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1
Sherris, M., L. Tedesco, and B. Zehnwirth. "Investment Returns and Inflation Models: Some Australian Evidence." British Actuarial Journal 5, no. 1 (April 1, 1999): 237–67. http://dx.doi.org/10.1017/s135732170000043x.
Повний текст джерелаАнотація:
ABSTRACTThe development of stochastic investment models for actuarial and investment applications has become an important area of interest to actuaries. This paper reports the application of some techniques of modern time series and econometric analysis to Australian inflation, share market and interest rate data. It considers unit roots, cointegration and state space models. Some of the results from this analysis are not reflected in the published stochastic investment models.
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Reddy, Wejendra, David Higgins, and Ron Wakefield. "An investigation of property-related decision practice of Australian fund managers." Journal of Property Investment & Finance 32, no. 3 (April 1, 2014): 282–305. http://dx.doi.org/10.1108/jpif-02-2014-0014.
Повний текст джерелаАнотація:
Purpose – In Australia, the A$2.2 trillion managed funds industry including the large pension funds (known locally as superannuation funds) are the dominant institutional property investors. While statistical information on the level of Australian managed fund investments in property assets is widely available, comprehensive practical evidence on property asset allocation decision-making process is underdeveloped. The purpose of this research is to identify Australian fund manager's property asset allocation strategies and decision-making frameworks at strategic level. Design/methodology/approach – The research was undertaken in May-August 2011 using an in-depth semi-structured questionnaire administered by mail. The survey was targeted at 130 leading managed funds and asset consultants within Australia. Findings – The evaluation of the 79 survey respondents indicated that Australian fund manager's property allocation decision-making process is an interactive, sequential and continuous process involving multiple decision-makers (internal and external) complete with feedback loops. It involves a combination of quantitative analysis (mainly mean-variance analysis) and qualitative overlay (mainly judgement, or “gut-feeling”, and experience). In addition, the research provided evidence that the property allocation decision-making process varies depending on the size and type of managed fund. Practical implications – This research makes important contributions to both practical and academic fields. Information on strategic property allocation models and variables is not widely available, and there is little guiding theory related to the subject. Therefore, the conceptual frameworks developed from the research will help enhance academic theory and understanding in the area of property allocation decision making. Furthermore, the research provides small fund managers and industry practitioners with a platform from which to improve their own property allocation processes. Originality/value – In contrast to previous property decision-making research in Australia which has mainly focused on strategies at the property fund investment level, this research investigates the institutional property allocation decision-making process from a strategic position involving all major groups in the Australian managed funds industry.
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Gabe, Jeremy, Spenser Robinson, Andrew Sanderford, and Robert A. Simons. "Lease structures and occupancy costs in eco-labeled buildings." Journal of Property Investment & Finance 38, no. 1 (October 4, 2019): 31–46. http://dx.doi.org/10.1108/jpif-07-2019-0098.
Повний текст джерелаАнотація:
Purpose The purpose of this paper is to investigate whether energy-efficient green buildings tend to provide net lease structures over gross lease ones. It then considers whether owners benefit by trading away operational savings in a net lease structure. Design/methodology/approach Empirical models of office leasing transactions in Sydney, Australia, with wider transferability supported by analysis of office rent data in the USA. Findings Labeled green buildings are approximately four to five times more likely than non-labeled buildings to use a net lease structure. However, despite receiving operational savings, tenants in net leases pay higher total occupancy costs (TOC), benefiting owners. On average, the increase in TOC paid by tenants in a net lease is equal to or greater than savings attributed to an eco-labeled building. Practical implications A full accounting of TOC in eco-labeled buildings suggests that net lease structures provide numerous benefits to owners that offset the loss of trading away operational savings. Originality/value The principal-agent market inefficiency, or “split incentive,” is a widely cited barrier to private investment in energy-efficient building technology. Here, a uniquely broad look at rental cash flows suggests its role as a barrier is exaggerated.
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Perera, Treshani, David Higgins, and Woon-Weng Wong. "The evaluation of the Australian office market forecast accuracy." Journal of Property Investment & Finance 36, no. 3 (April 3, 2018): 259–72. http://dx.doi.org/10.1108/jpif-04-2017-0029.
Повний текст джерелаАнотація:
Purpose Property market models have the overriding aim of predicting reasonable estimates of key dependent variables (demand, supply, rent, yield, vacancy and net absorption rate). These can be based on independent drivers of core property and economic activities. Accurate predictions can only be conducted when ample quantitative data are available with fewer uncertainties. However, a broad-fronted social, technical and ecological evolution can throw up sudden, unexpected shocks that result in the econometric outputs sceptical to unknown risk factors. Therefore, the purpose of this paper is to evaluate Australian office market forecast accuracy and to determine whether the forecasts capture extreme downside risk events. Design/methodology/approach This study follows a quantitative research approach, using secondary data analysis to test the accuracy of economists’ forecasts. The forecast accuracy evaluation encompasses the measurement of economic and property forecasts under the following phases: testing for the forecast accuracy; analysing outliers of forecast errors; and testing of causal relationships. Forecast accuracy measurement incorporates scale independent metrics that include Theil’s U values (U1 and U2) and mean absolute scaled error. Inter-quartile range rule is used for the outlier analysis. To find the causal relationships among variables, the time series regression methodology is utilised, including multiple regression analysis and Granger causality developed under the vector auto regression (VAR). Findings The credibility of economic and property forecasts was questionable around the period of the Global Financial Crisis (GFC); a significant man-made Black Swan event. The forecast accuracy measurement highlighted rental movement and net absorption forecast errors as the critical inaccurate predictions. These key property variables are explained by historic information and independent economic variables. However, these do not explain the changes when error time series of the variables were concerned. According to VAR estimates, all property variables have a significant causality derived from the lagged values of Australian S&P/ASX 200 (ASX) forecast errors. Therefore, lagged ASX forecast errors could be used as a warning signal to adjust property forecasts. Research limitations/implications Secondary data were obtained from the premier Australian property markets: Canberra, Sydney, Brisbane, Adelaide, Melbourne and Perth. A limited ten-year timeframe (2001-2011) was used in the ex-post analysis for the comparison of economic and property variables. Forecasts ceased from 2011, due to the discontinuity of the Australian Financial Review quarterly survey of economists; the main source of economic forecast data. Practical implications The research strongly recommended naïve forecasts for the property variables, as an input determinant in each office market forecast equation. Further, lagged forecast errors in the ASX could be used as a warning signal for the successive property forecast errors. Hence, data adjustments can be made to ensure the accuracy of the Australian office market forecasts. Originality/value The paper highlights the critical inaccuracy of the Australian office market forecasts around the GFC. In an environment of increasing incidence of unknown events, these types of risk events should not be dismissed as statistical outliers in real estate modelling. As a proactive strategy to improve office market forecasts, lagged ASX forecast errors could be used as a warning signal. This causality was mirrored in rental movements and total vacancy forecast errors. The close interdependency between rents and vacancy rates in the forecasting process and the volatility in rental cash flows reflects on direct property investment and subsequently on the ASX, is therefore justified.
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Masouman, Ashkan, and Charles Harvie. "Forecasting, impact analysis and uncertainty propagation in regional integrated models: A case study of Australia." Environment and Planning B: Urban Analytics and City Science 47, no. 1 (April 16, 2018): 65–83. http://dx.doi.org/10.1177/2399808318767128.
Повний текст джерелаАнотація:
The integration of input–output and econometric models at regional level has gained popularity for its superior performance in forecasting employment and examining the impacts of policies. There are a number of approaches to integrate the two models. This paper examines the integration of input–output with econometric modelling using two merging methodologies, namely coupling and holistic embedding. Each methodology is analysed with respect to the accuracy of its results of total and sectoral employment forecasting. Both methodologies are applied to a regional economy in Australia. The methodology which shows superior forecasting accuracy is applied to examine the significance of sectors that generate the highest number of employments relative to other sectors.
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Stavytskyy, Andriy, and Daria Martynovych. "THE ECONOMETRIC MODELING OF UKRAINIAN MACROECONOMIC TENDENCIES." Ekonomika 91, no. 1 (January 1, 2012): 79–92. http://dx.doi.org/10.15388/ekon.2012.0.906.
Повний текст джерелаАнотація:
Econometric models are widely used in economic policies of many states. They help to build a great variety of econometric systems for every country and take into account the specifics of each economy.In this article, the structural macroeconomic models that describe the main aspects of the economic policy were applied. The interdependence between the level of inflation, the value of investment, savings, consumption, export and import transactions, taxes on the foreign trade were defined based on the analysis of the key macroeconomic parameters of Ukraine. After investigating all economic indicators, they were transformed into stationary time series for a correct use in the model. In addition, heteroscedasticity and autocorrelation of residuals were excluded in all econometric equations.As a result, the research shows that a large share of black economy leads to a rather high level of inflation in the state, because its value is primarily determined by expectations of the population under such circumstances. The paper indicates that the further export growth leads to a lower consumption growth and also to a lower growth of savings. Such a situation indicates an insufficient development of the domestic market. Investment growth has been fund not to be directly linked to consumption increase and economic development in general. Unfortunately, the main sources of investment in Ukraine are the funds of enterprises and foreign sources. The analysis shows a need to encourage public involvement into investment processes. For example, the creation of public–private partnerships is especially useful while implementing infrastructural projects.
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ZEUG-ŻEBRO, Katarzyna. "Spatial modeling of investment activity of enterprises in service sector." Scientific Papers of Silesian University of Technology. Organization and Management Series 2021, no. 150 (2021): 357–68. http://dx.doi.org/10.29119/1641-3466.2021.150.27.
Повний текст джерелаАнотація:
Purpose: Due to the visible disproportions, the problem of innovation is increasingly often perceived regionally. These inequalities result from the concentration of knowledge, resources and the amount of expenditure on innovation in a few regions. The aim of the paper is to study the spatial dependence between Polish voivodships in terms of expenditure on innovative activities in enterprises in the service sector. Design/methodology/approach: For the selected variable conditioning the innovative activity of the enterprise, a classical econometric model will be built and the necessity to include the spatial factor in the modeling process will be verified. For this purpose, two spatial models will be considered: the spatial error model and spatial lag model. Findings: During the study, the hypothesis on the legitimacy of introducing spatial relationships to the econometric model describing the shaping of the amount of expenditure on innovative activities in enterprises in the service sector in Polish voivodeships was verified. The hypothesis has been verified positively – there are spatial relationships between the examined objects. Research limitations/implications: The need to take into account the spatial factor in the econometric model results in taking into account spatial estimation methods. The research used selected spatial models. Due to the limitations resulting from the availability of source data, the analysis was conducted only for voivodships in selected years. The analysis should be further deepened, e.g., by even more precise identification of the models and taking into account other neighborhood matrices - only the first-order neighborhood matrix was included in the study. Practical implications: Modeling the phenomenon of innovation. Social implications: An essential condition influencing the innovative activity of enterprises is their environment. It is the regional factors that largely influence innovation and faster development of enterprises. Originality/value: Introducing spatial relationships to the econometric model of outlays on innovative activities of enterprises in the service sector.
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Vidales, María, and Carmelo García-Pérez. "Financing sources and social development: an empirical analysis." Social Responsibility Journal 15, no. 5 (August 5, 2019): 640–57. http://dx.doi.org/10.1108/srj-06-2018-0149.
Повний текст джерелаАнотація:
PurposeThe purpose of this paper is to analyse, from an empirical point of view, the importance of each of the main sources of funding in developing countries (foreign direct investment, official development assistance, external debt and remittances) in achieving sustainable, social and inclusive development.Design/methodology/approachThe methodology followed to achieve this purpose is the construction of three econometric models. The general model incorporates as a dependent variable the Human Development Index (HDI) and, as explanatory variables, the four sources of funding indicated above, as well as three exogenous variables (human capital, corruption and natural resources). This model is complemented by two extensions that aim to analyse the behaviour of explanatory variables in reducing inequalities and improving each of the HDI components.FindingsThe results of the estimations of the econometric models show that foreign direct investment and remittances are the sources of funding with the greatest impact on achieving development. Moreover, official development assistance while not making a positive contribution to the achievement of development as a whole, could be adequate to reduce inequalities.Originality/valueThe added value of this paper consists in carrying out a joint analysis of these four sources of funding because previous researches focussed the attention on some of them, drawing partial conclusions. The conclusion of this study is that the four sources of funding analysed can be considered complementary to promote sustainable and inclusive development, although foreign direct investment has a much more important role.
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Balash, Vladimir, Olga Balash, Alexey Faizliev, and Elena Chistopolskaya. "Economic Growth Patterns: Spatial Econometric Analysis for Russian Regions." Information 11, no. 6 (May 29, 2020): 289. http://dx.doi.org/10.3390/info11060289.
Повний текст джерелаАнотація:
In this article, we analyze the σ - and β -convergence, using the data of the socio-economic development of Russian areas, and discover the role of spatial autocorrelation in regional economic development. We are considering 80 areas of the Russian Federation for the period of 2010–2017. Moran coefficients were used to estimate spatial autocorrelation. We compare the Moran scatterplots for GDP per capita and GDP growth rates per capita in 2017 and in 2014. We study the impact on raising investment in leading capital and the costs of technological innovation. We evaluate a wide range of specifications of spatial econometric models for all kinds of weight matrices. We combine standard geographical proximity with specialization proximity to assess whether they are substitutes or additions to converging economic growth rates. The weight matrix of the neighborhood and specialization similarities are used. The weight matrix of specialization similarities of the regional economies is based on data on the structure of tax payments in 82 industries. The specialization structure of the region’s economy is related to its location. Clusters obtained by matrices of specialization proximity are well separable from each other in space. The connectivity within clusters and the boundaries between them become more apparent over time. It is shown that according to the results of estimation of conditional β -convergence models, the models of 2010–2014 and 2014–2017 differ significantly. There is a statistically significant β -convergence for the period 2010–2014. There is also the presence of spatial autocorrelation. Based on the results of valuation models constructed from data after 2014, it can be concluded that the coefficient estimates for the explanatory variables are not significantly different from zero, and accordingly there is no tendency towards regional convergence in terms of economic development. The results obtained in the work are stable for the proposed models and spatial weight matrices. Territorial proximity is a more important factor than the similarity of specialization for explanation the economic growth rates of Russian regions.
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Mahmoudi, Saeid, Nasser Nasiri, and Saeid Hajihassaniasl. "Investigating the Factors Affecting Foreign Direct Investment in Selected Muslim Countries: A Panel Data Approach." Turkish Journal of Islamic Economics 8, no. 1 (February 15, 2021): 153–75. http://dx.doi.org/10.26414/a132.
Повний текст джерелаАнотація:
This paper attempts to test the effects of foreign direct investment on selected Islamic countries by using spatial econometric analysis. For this purpose, foreign direct participation and investment data from selected countries were used as panel data between 2000-2013 years period. The foreign direct investment equation is estimated using static (fixed and random effects) and dynamic (Generalized Method of Moments) methods as panel data in both conventional and spatial econometric models. The results of the estimated model show the existence of spatial correlations between selected countries and hence the use of this type of estimation is justified. On the other hand, the variables of degree of openness of the economy and economic security have a positive and significant effect on attracting foreign direct investment in the studied countries while inflation rate, economic growth and human capital solely have no significant effect on foreign direct investment in these countries.
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Salem, Mohamed, and Andrew Baum. "Determinants of foreign direct real estate investment in selected MENA countries." Journal of Property Investment & Finance 34, no. 2 (March 7, 2016): 116–42. http://dx.doi.org/10.1108/jpif-06-2015-0042.
Повний текст джерелаАнотація:
Purpose – The purpose of this paper is to identify the main determinants of foreign direct real estate investments (foreign direct investment (FDI)) in selected Middle Eastern and North African (MENA) countries. Design/methodology/approach – The empirical work of this study is an econometric analysis of FDI in the commercial real estate sector for eight MENA markets, namely Algeria, Egypt, Morocco, Qatar, Saudi Arabia, Turkey, Tunisia and the UAE during the period 2003-2009. The econometric analysis is carried out using the pooled Tobit model technique for panel data. Findings – The paper finds that both country-specific factors and real estate sector-specific variables consistently support hypotheses explaining commercial real estate-related FDI, and find evidence that political stability explains why some selected MENA countries attract more real estate investments than other MENA countries. Practical implications – The findings should be seriously considered in any policy making effort on the part of governments in the region. Originality/value – The authors contribute to the existing literature in many ways. First, the study aims to develop econometric models, using both conventional and unique variables, to be generalised and applied to any developed or emerging market. The study applies relevant techniques in estimating the models, including the pooled Tobit model. Second, the research studies eight selected MENA real estate markets from 2003 to 2009, a timeframe and geography not examined in previous published empirical work on commercial real estate investments. Lastly, and for the first time in real estate literature, the study applies the location dimension of Dunning’s OLI paradigm as a theoretical explanation for the behaviour of foreign investors in commercial real estate towards the selected MENA markets.
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Baranovskyi, O., M. Kuzheliev, D. Zherlitsyn, and K. Serdyukov. "CRYPTOCURRENCY MARKET TRENDS AND FUNDAMENTAL ECONOMIC INDICATORS: CORRELATION AND REGRESSION ANALYSIS." Financial and credit activity: problems of theory and practice 3, no. 38 (June 30, 2021): 249–61. http://dx.doi.org/10.18371/fcaptp.v3i38.237454.
Повний текст джерелаАнотація:
Abstract. The first cryptocurrency was born in 2008. Already today, virtual financial assets and tokens are a significant part of trading in global financial markets. The cryptocurrency market capitalization currently exceeds 600 billion U.S. dollars. However, there is a lot of discussion about cryptocurrency functions and the correlation between Bitcoin prices and the basic economic indices.
Therefore, the purpose of the paper is to define the statistical substantiation of the influence of fundamental economic indicators on the market of virtual financial assets and the possibility of using cryptocurrency as the investment assets.
This article is based on the theoretical principles and methods of econometric analysis; the system approach methods to define the main vehicles and trends of the international financial market. The study presents correlation analysis, regression models with paired and multiple variables. For these models, R-Studio instruments are the main tools of quality estimation and results interpretation.
The article shows the results of the correlation analysis of Bitcoin’s U.S. dollar price dynamics and changes in the main stock, monetary market indicators, cryptocurrencies market tendency, levels of the United States fundamental economic indicators for the period from 2014 to 2021. Traditional multifactorial regression models are used to determine the level and the impact of individual indicators of the world stock market at the U.S. dollar price of Bitcoin. A comparison of the level of volatility of key investment financial assets in the market of cryptocurrencies and stock markets is carried out.
The authors determine the level of correlation dependence and make a regression model of the impact of fundamental economic indicators and stock market trends on the dynamics of U.S. dollar prices for key cryptocurrencies. The article presents conclusions on trends and problems of using cryptocurrencies as an investment asset, considering volatility and profitability.
Implementation of the results allows to clarify the economic essence of cryptocurrencies as a specific financial vehicle, as well as improving the existing models of investment management, considering the statistical characteristics of the virtual financial assets.
The main direction of further research is to build models of medium-term prediction of prices for the main cryptocurrencies as an investment asset in conditions of changes in global financial markets, which must consider the fundamental economic indicators of the world economy and trends on key stock and commodity markets.
Keywords: virtual financial asset, cryptocurrency, bitcoin, econometric model, financial market, economic indicator, investment asset.
JEL Classification D53, E44, G15, C58
Formulas: 3; fig.: 3; tabl.: 3; bibl.: 31.
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Krupa, Thomas, Kirils Farbarzevics, and Bassam Salame. "INVESTMENT EFFICIENCY OF LIFE INSURANCE COMPANIES IN GERMANY: APPLICATION OF A TWO-STAGE SBM." Współczesna Gospodarka 10, no. 1 (32) (March 31, 2019): 79–91. http://dx.doi.org/10.26881/wg.2019.1.08.
Повний текст джерелаАнотація:
Purpose – To prove the robustness of the efficiency-measuring model against potentially system-relevant disturbances to company variables such as SIZE, ROA, solvency and organizational form.
Methodology – In the first stage, the established model is applied using the SBM to measure insurance efficiency. The underlying data sets are from the twenty biggest life insurance companies (2008-2017) in Germany. In the second stage, the established model is examined for its robustness against disturbance variables. Several disturbance variables are introduced individually to the system and examined for their influence by three econometric methods, Tobit regression, OLS and the fixed-effect model. This approach allows a comparative analysis of the results with respect to the systemic relevance of every added variable. In the end, the accuracy of the second stage is compared through the Spearman test.
Findings – The comparative analysis of all three econometric techniques brought ROA as an efficiency-influencing variable. Furthermore, both proved econometric models Tobit and OLS are SBM-suitable with cross-sectional data. Further evidence for SBM compatibility are found for Tobit and the fixed-effect model with panel data.
JEL classification: C510, C520
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Li, Guangdong, and Chuanglin Fang. "Spatial Econometric Analysis of Urban and County-level Economic Growth Convergence in China." International Regional Science Review 41, no. 4 (June 10, 2016): 410–47. http://dx.doi.org/10.1177/0160017616653446.
Повний текст джерелаАнотація:
Economic growth convergence, one of the classical assumption in regional economic growth, has been perplexing. There are many empirical studies trying to test if there is regional convergence in China. In this article, we bring new information of the finer spatial scale to the existing literature by using neoclassical convergence analysis, cross-sectional specifications, panel data models, and spatial econometric techniques to test the convergence hypothesis across 2,286 cities and counties in China. Empirical findings from cross-sectional data and spatial panel data show that significant absolute β and conditional β convergence are present in gross domestic product per capita after controlling for investment return rate, human capital, savings rate, population growth, technology advancement, capital depreciation rate, and initial technology level. We also find spatial agglomeration in urban and county economic growth is strong, and spatial effects are significant. Urban and county economic growth convergence rates for 1992–2010 show a gradually accelerated development trend. We present significant evidence that levels of investment, human capital, and initial technology impose significant facilitating effects on city and county economic growth, while savings and population growth have significant negative effects. And city and county economic growth differ in terms of convergence levels and influential factors.
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Reddy, Wejendra. "Evaluation of Australian industry superannuation fund performance; asset allocation to property." Journal of Property Investment & Finance 34, no. 4 (July 4, 2016): 301–20. http://dx.doi.org/10.1108/jpif-12-2015-0084.
Повний текст джерелаАнотація:
Purpose – Property is a key investment asset class that offers considerable benefits in a mixed-asset portfolio. Previous studies have concluded that property allocation should be within the 10-30 per cent range. However, there seems to be wide variation in theory and practice. Historical Australian superannuation data shows that the level of allocation to property asset class in institutional portfolios has remained constant in recent decades, restricted at 10 per cent or lower. This is seen by many in the property profession as a subjective measure and needs further investigation. The purpose of this paper is to compare the performance of the AU$431 billion industry superannuation funds’ strategic balanced portfolio against ten different passive and active investment strategies. Design/methodology/approach – The analysis used 20 years (1995-2015) of quarterly data covering seven benchmark asset classes, namely: Australian equities, international equities, Australian fixed income, international fixed income, property, cash and alternatives. The 11 different asset allocation models are constructed within the modern portfolio theory framework utilising Australian ten-year bonds as the risk free rate. The Sharpe ratio is used as the key risk-adjusted return performance measure. Findings – The ten different asset allocation models perform as well as the industry fund strategic approach. The empirical results show that there is scope to increase the property allocation level from its current 10-23 per cent. Upon excluding unconstrained strategies, the recommended allocation to property for industry funds is 19 per cent (12 per cent direct and 7 per cent listed). This high allocation is backed by improved risk-adjusted return performance. Research limitations/implications – The constrained optimal, tactical and dynamic models are limited to asset weight, no short selling and turnover parameters. Other institutional constraints that can be added to the portfolio optimisation problem include transaction costs, taxation, liquidity and tracking error constraints. Practical implications – The 11 different asset allocation models developed to evaluate the property allocation component in industry superannuation funds portfolio will attract fund managers to explore alternative strategies (passive and active) where risk-adjusted returns can be improved, compared to the common strategic approach with increased allocation to property assets. Originality/value – The research presents a unique perspective of investigating the optimal allocation to property assets within the context of active investment strategies, such as tactical and dynamic models, whereas previous studies have focused mainly on passive investment strategies. The investigation of these models effectively contributes to the transfer of broader finance and investment market theories and practice to the property discipline.
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Puntillo, Pina, and Paolo Tenuta. "The Impact of Local Government Investment on Corporate Decisions." Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438 5, no. 2 (September 8, 2011): 70–81. http://dx.doi.org/10.17323/j.jcfr.2073-0438.5.2.2011.70-81.
Повний текст джерелаАнотація:
This work aims to provide evidence on the impact of public investment on local business decisions. In particular we want to see the effect of public investment on the development of local area - measured by GDP and employment - and therefore the effect that the development of the area determines the location decisions of businesses.The paper continues from Part 1 (EJournal of Corporate Finance №1 (17) 2011). In this Part, is empirically tested the research hypothesis, through an econometric analysis, describing the models and variables used in the application of panel techniques, and presents the results of the estimates, while last section concludes with summary of some considerations.
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Kudryavtseva, T. Yu, and A. E. Skhvediani. "An econometric analysis of the regional industrial specialization: The Russian manufacturing industry case study." Economic Analysis: Theory and Practice 19, no. 9 (September 29, 2020): 1765–90. http://dx.doi.org/10.24891/ea.19.9.1765.
Повний текст джерелаАнотація:
Subject. The article reviews the manufacturing industry in Russian regions, calculates the indicators of regional industrial specialization needed for development of econometric models of spatial panel data. Objectives. The purpose is to create a methodology for analyzing the regional industrial specialization based on econometric tools; to test it, using the case of the manufacturing industry, for determining the type of externalities in the Russian Federation. Methods. To build econometric models, we use methods of least squares and maximum likelihood. We apply localization ratios to assess regional industrial specialization in terms of the volume of employment, revenue and investment in manufacturing, workforce productivity, etc. Results. The findings show the clustering of regions by the level of productivity. The localization of manufacturing industry in regions in terms of localization of employment and localization of productivity is negatively related to productivity in the region. This can be explained by the transition of regional economies to the post-industrial mode, where the service sector becomes more important, and by possible over-industrialization and specialization of certain regions in the context of the need to develop related sectors and to build links between them. The presence of direct negative MAR externalities may indicate a need for further research in positive Porter and Jacobs externalities for Russian regions manufacturing industry. Conclusions. The developed methodology enables to identify and analyze relationships between regional industrial specialization and regional indicators; to specify the type of externalities and determine the existence of indirect and direct effects of industry localization.
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Margaryan, Atom, Haroutyun Terzyan, and Emil Grigoryan. "Telecommunications sector of Armenia and Baltic countries: the impact of foreign direct investment attraction." Economic Annals-ХХI 185, no. 9-10 (November 21, 2020): 99–107. http://dx.doi.org/10.21003/ea.v185-10.
Повний текст джерелаАнотація:
We examine the institutional and investment developments in the telecommunications sector of Armenia in the last two decades and compare them with those of the Baltic countries, namely, Latvia and Lithuania. In particular, directions of foreign investments made in the sector and the impacts on economic and technological systems of Armenia and the chosen Baltic countries have been thoroughly analyzed. During the analysis, an economic model has been used to assess the impact of foreign direct investments on the income (revenues) of the telecommunications sector of the countries under investigation. Econometric analysis made it possible to consider the above-mentioned links in more depth and in detail. First, a correlation analysis has been carried out which has proved the validity of the hypotheses that there is a strong connection between FDI and the revenue of the telecommunications sector in Armenia and Latvia in the considered time period of 2009-2019. The causal roots of the relationships between the two variables have been studied. After processing the statistical data and refining the model specifications, an econometric model for Armenia has been proposed with the help of which the key relationships have been clarified. The evaluated model, which satisfies the basic quality of econometric models, helped to draw important conclusions on the depth and nature of the impact of foreign direct investment volume on the income of the telecommunications sector in Armenia. The model clearly shows the unstable influence of foreign direct investments on income, which confirms the riskiness of the Armenian economy as a whole, since the country has been in an economic blockade and in a state of war with a neighbouring state for more than 20 years.
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Kolosnitsyna, M. G., and Yu E. Ermolina. "Public Spending on Education and Economic Growth: Cross-Country Analysis." Voprosy statistiki 28, no. 3 (June 29, 2021): 70–85. http://dx.doi.org/10.34023/2313-6383-2021-28-3-70-85.
Повний текст джерелаАнотація:
This paper aims to identify the relationship between public spending on education and GDP in two groups of countries: members and non-members of the OECD, based on statistical and econometric methods, including the methodology for international comparative analysis. The two selected groups of countries differ in their level of economic development: the OECD, the so-called ‘rich countries club’, and the second group, relatively low-income developing countries. The first part of the article deals with theoretical and information and methodological issues related to research on the relationship between educational development and economic growth, in particular the general theory of human capital investment, human capital in endogenous growth models, principles for empirical estimates of the relationship between education spending and economic growth. In the second part of the article, were tested the hypotheses concerning key factors of economic growth. The authors based them on studied theoretical sources, empirical works, and the proposed statistical base of empirical calculations. The paper substantiated the degree of impact of various factors using different groups of countries as an example. Based on panel data for 1995–2018, we estimate econometric models of the relationship between GDP and education expenditures, using time lags. The results confirm the positive impact of total education spending on GDP in the long term. However, the results differ for the two groups of countries. While in rich countries, investment in all levels of education has a positive impact on GDP, in poor countries, only primary education has a positive return, while spending on secondary and vocational education reduces GDP. This may be due to the lack of demand for high-level education in economies with poorly developed technologies and labor markets. As conclusions, the authors formulate proposals of a managerial and methodological nature regarding the need to consider the country’s development level in its educational policy and choose investment directions that are adequate to the current needs of the economy. In countries with a low level of development and a low level of education for the majority of the population, diverting public resources to finance professional education may slow economic growth in the short term. Conversely, increased coverage of mass primary education may contribute to rapid growth in the near future.
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Jimenez, Manuel I., Philip Abbott, and Kenneth Foster. "Measurement and analysis of agricultural productivity in Colombia." El futuro de las humanidades 11, no. 20 (2019): 4–37. http://dx.doi.org/10.17230/ecos.2019.47.1.
Повний текст джерелаАнотація:
Tremendous agricultural potential in Colombia has gone untapped for decades due to: i) civil strife and the criminal drug trade; ii) uncertain property rights; iii) inadequate infrastructure; iv) lack of innovation and technological development; v) lack of funding, vi) lack of investment; and vii) misallocation of resources within the sector. Proof of this is the relatively lower growth of the value of Colombia’s agriculture versus other countries in the region during the agricultural prices booms (FAO, 2015). This paper analyzes whether Colombia’s weak agricultural performance was due to low productivity growth rather than input accumulation. Using econometric specifications, this paper finds that Colombia’s agricultural productivity grew on average between 0.8% and 1.3% annually from 1975 and 2013. This growth was mainly driven by livestock and poultry productivity, which grew between 1.6% and 2.2%, while crop productivity grew between 0% and 0.8%. Likewise, this paper finds biased technical and scale effects whenever the models are able to test their presence. In addition, it finds evidence that Colombia’s agricultural productivity growth was affected by changing economic circumstances. These results are significant for post-conflict rural investment because they provide information about the returns on future government investment options in the rural sector of Colombia.
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Ma, Le, Richard Reed, and Jian Liang. "Separating owner-occupier and investor demands for housing in the Australian states." Journal of Property Investment & Finance 37, no. 2 (March 4, 2019): 215–32. http://dx.doi.org/10.1108/jpif-07-2018-0045.
Повний текст джерелаАнотація:
PurposeThere has been declining home ownership and increased acceptance of long-term renting in many western countries including Australia; this has created a problem when examining housing markets as there are dual demand and include both owner-occupiers and investors. The purpose of this paper is to examine the long-run relationship between house prices, housing supply and demand, and to estimate the effects of the two types of demand (i.e. owner-occupier and investor) on house prices.Design/methodology/approachThe econometric techniques for cointegration with vector error correction models are used to specify the proposed models, where the housing markets in the Australian states and territories illustrate the models.FindingsThe results highlight the regional long-run equilibrium and associated patterns in house prices, the level of new housing supply, owner-occupier demand for housing and investor demand for housing. Different types of markets were identified.Practical implicationsThe findings suggest that policies that depress the investment demand can effectively prevent the housing bubble from further building up in the Australian states. The empirical findings shed light in the strategy of maintaining levels of housing affordability in regions where owner-occupiers have been priced out of the housing market.Originality/valueThere has been declining home ownership and increased acceptance of long-term renting in many western countries including Australia; this has created a problem when examining housing markets as there are dual demand and include both owner-occupiers and investors. This research has given to the relationship between supply and dual demand, which includes owner-occupation and investment, for housing and the influence on house prices.
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Ma, Renfeng, Congcong Wang, Yixia Jin, and Xiaojing Zhou. "Estimating the Effects of Economic Agglomeration on Haze Pollution in Yangtze River Delta China Using an Econometric Analysis." Sustainability 11, no. 7 (March 29, 2019): 1893. http://dx.doi.org/10.3390/su11071893.
Повний текст джерелаАнотація:
Haze pollution, a serious livelihood and environmental issue, has hindered China’s economic development. This paper, based on the improved output density model, empirically analyzes spatial patterns and impact factors of haze pollution within the Yangtze River Delta from 2015 to 2017 by statistical and spatial econometric models. The study shows that: (1) The characteristics of haze pollution due to seasonal changes are obvious in the Yangtze River Delta region, and the situation has gradually improved. (2) The haze pollution has significant local agglomeration characteristics and spatial heterogeneity, demonstrated as significant low-level agglomerations in Hangzhou, Ningbo, and Taizhou, and high agglomerations in Chuzhou, Yangzhou, Zhenjiang, and Taizhou. The polluted area clusters around the provincial boundary, and its level gradually decreases from northwest to southeast. There is a significant spatial positive correlation and spatial spillover effect of intercity haze pollution, which will have a negative impact on the region and surrounding areas. (3) The population growth, research and development (R&D) investment, industrial structure, industrial smoke and dust emissions, and urban construction in the Yangtze River Delta have positive impacts on haze pollution, while factors, such as investment intensity of foreign direct investment (FDI), energy consumption and precipitation, have a negative impact on smog pollution. However, there is no Kuznets curve relationship between smog pollution and economic growth. By optimizing spatial distribution, incorporating production factors, and sharing pollution control infrastructure, this paper shows that economic agglomeration has an inhibitory effect on haze pollution.
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Ackah, Ishmael. "Does bad company corrupt good character? A spatial econometric analysis of oil resource management in Africa." International Journal of Energy Sector Management 11, no. 3 (September 4, 2017): 480–502. http://dx.doi.org/10.1108/ijesm-10-2016-0002.
Повний текст джерелаАнотація:
Purpose A widely held belief before the 1990s – referred to as the oil-blessing hypothesis – was that oil discovery and production should promote economic growth and development and lead to poverty reduction. However, the so-called ‘oil-curse’ hypothesis, postulated by Sachs and Warner in 1995, challenged this belief, thus provoking a heated debate on the theme. The oil-curse hypothesis has been traditionally tested by means of cross-sectional and panel-data models. The author goes beyond these traditional methods to test whether the presence of spatial effects can alter the hypothesis in oil-producing African countries. In particular, this paper aims to investigate the effects on economic growth of oil production, oil resources and oil revenues along with the quality of democratic institutions, investment and openness to trade. Design/methodology/approach A Durbin spatial model, a cross-sectional model and panel-data model are used. Findings First, the validity of the spatial Durbin model is vindicated. Second, consistently with the oil-curse hypothesis, oil production, resources, rent and revenues have a negative and generally significant effect on economic growth. This result is robust for across the panel data, spatial Durbin and spatial autoregressive models and for different measures of spatial proximity between countries. Third, the author finds that the extent to which the business environment is perceived as benign for investment has a positive and marginally effect on economic growth. Additionally, economic growth of a country is further stimulated by a spatial proximity of a neighbouring country if the neighbouring country has created strong institutions protecting investments. Fourth, openness to international trade has a positive and marginally significant effect on economic growth. Originality/value This paper examines theories and studies that have been done before. However, as the related literature on the growth–resource abundance nexus has rarely examined spatial effects, this study seeks to test jointly the spatial effect and the neighbouring effect on the oil curse hypothesis.
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Ogorelkova, Natalya Vladimirovna, and Irina Mikhaylovna Reutova. "FACTORS OF THE EFFICIENCY OF MANAGING PORTFOLIO PENSION RESERVES OF NON-STATE PENSION FUNDS." Scientific Bulletin: finance, banking, investment., no. 3 (52) (2021): 22–30. http://dx.doi.org/10.37279/2312-5330-2020-3-22-30.
Повний текст джерелаАнотація:
The article is devoted to the consideration of approaches and assessment of the efficiency of management of investment portfolios of non-state pension funds. This article is a logical continuation of the previously conducted research on assessing the effectiveness of pension savings management and contains an analysis of the effectiveness of the second component of investment portfolios of non-state pension funds (NPF) — pension reserves. The article examines the factors influencing the efficiency of managing the portfolios of pension reserves of non-state pension funds on the basis of statistical data on 28 NPFs for 2013–2018. The factors chosen were the volumes and growth rates of the funds attracted from pension reserves, the share of pension reserves in the economies of scale of non-state pension funds, the presence of risk strategies (the share of shares and investment units), and the amount of remuneration of management companies. The aim of the study is to assess the influence of the selected factors on the efficiency of managing the portfolio of pension reserves of NPFs based on the construction of econometric models. The construction of one-factor and multi-factor econometric models confirms the absence of dependence of the effectiveness of portfolios of pension reserves of APFs, determined by the Sharpe ratio, on the size of attracted pension reserves per one insured person; from the share occupied by NPFs in the non-state pension market, as well as from remuneration to management companies paid by non-state pension funds. The influence of the chosen investment strategy and the growth rate of pension reserves on the efficiency of managing pension reserves of NPFs is revealed.
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Stamatiou, Pavlos, and Nikolaos Dritsakis. "The Effects of FDI on Greek Economy: An Empirical Analysis." International Journal of Accounting and Finance Studies 2, no. 2 (July 23, 2019): p39. http://dx.doi.org/10.22158/ijafs.v2n2p39.
Повний текст джерелаАнотація:
This paper investigates the effect of Foreign Direct Investment (FDI) on economic growth in Greece, within a framework that also accounts unemployment rate, using annual data covering the period 1970 to 2017. Several econometric models are applied including the ARDL bound test approach for cointegration as well as ECM-ARDL model for causality. The results of the study confirm the existence of a long run relationship among the examined variables. The Granger causality results indicated a strong unidirectional causality between economic development and foreign direct investments with direction from economic development to foreign direct investments. Finally, the variance decomposition method and the impulse response functions are used to test the strength of causality between the variables. The results of the study offer new perspectives and insight for new policies for sustainable economic development, increasing investments and reducing unemployment.
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Sadiku, Luljeta, Merale Fetahi-Vehapi, and Murat Sadiku. "EMPIRICAL ANALYSIS OF EFFECTS OF INCOME TAX ON ECONOMIC GROWTH OF WESTERN BALKAN COUNTRIES." Knowledge International Journal 28, no. 1 (December 10, 2018): 129–35. http://dx.doi.org/10.35120/kij2801129s.
Повний текст джерелаАнотація:
The existing theoretical literature advocates that tax policy plays a vital role on the economic development, principally policy that include a reduction in the rate of taxation is a dominant incentive of economic growth. In this regard, almost all Western Balkan countries cut the income tax and move to a flat tax rate in order to stimulate the employment and investment which in turn will spur the economic growth. Thus, the purpose of this research paper is to empirically examine how changes of income tax affect the economic growth of Western Balkan countries. For analysing this issue, panel econometric models are employed using yearly data for the time period 2005-2016. The estimation results reveal that the personal income tax has positive and significant impact on growth. While corporate tax has negative impact on growth in almost all models, but the coefficient is statistically insignificant. This implies that the current corporate tax rates couldn’t endow with sustainable economic growth in the sample countries.
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Suslov, V. I., T. S. Novikova, and O. I. Gulakova. "Price Effects in the Evaluation of Investment Projects." Economy of Region 17, no. 1 (March 2021): 16–30. http://dx.doi.org/10.17059/ekon.reg.2021-1-2.
Повний текст джерелаАнотація:
In the context of globalisation, there is a need to assess the difference between domestic and world price effects as an im- portant component of the economic analysis of investment projects. We developed an integrated approach to measuring the differences between commercial and public efficien cy (indicati ng pri ce effec ts) and substantiat ing the applicat ion of specific mechanisms for implementing relevant projects based on the principles of public-private partnership. We propose to estimate price effects using three interrelated models: financial and economic model, input-output multi-regional model, and econometric model. The combination of these models allows analysing large investment projects considering their influence on the develop- ment trends of the global, national and regional economy. This methodology was tested on the example of a real regional project for the construction of the Eastern Siberia — Pacific Ocean (ESPO-2) oil pipeline. The results show that the share of price effects amounted to more than 35 % of net present value within the framework of public efficiency, confirming their high significance. Tax price effects have the largest share in the structure of the price effects. Indirect price effects of the considered project are less significant. The research results have confirmed that the identification of indicators of public efficiency and in-depth analysis of price effects increase the validity of the assessment of regional infrastructure projects. In the future, we plan to use the proposed methods as an integral part of a comprehensive assessment of large-scale production, transport and research infrastructure projects.
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Mazreku, Ibish, Fisnik Morina, and Elvis Curraj. "Evaluation of the Financial Performance of Pension Funds. Empirical Evidence: Kosovo, Albania and North Macedonia." European Journal of Sustainable Development 9, no. 1 (February 1, 2020): 161. http://dx.doi.org/10.14207/ejsd.2020.v9n1p161.
Повний текст джерелаАнотація:
Purpose: This research paper aims to analyze the evaluation of the financial performance of pension funds, to find the relationship between contributions, return on investment and net asset value with pension fund performance. The following research questions have been asked in order to realize the purpose of the research: What are the factors affecting the performance of the pension fund? What is the relationship between pension fund performance and contributions, return on investment, and net asset value?
Methodology: For the specification of the econometric model of this study, we rely on secondary data published in official World Bank reports and reports of pension funds in Kosovo, Albania and North Macedonia. To measure the empirical results, these statistical tests are used: standard multiple regression, fixed effects model, random effect model, and Hausman Taylor Regression.
Findings: Based on the empirical results, we can conclude that the increase in gross domestic product, return on investment, contributions and net assets have positively influenced the performance of pension funds for the countries included in the study. The other independent variable, the exchange rate, on the basis of econometric estimations, has turned out to be non-significant.
Practical implications: The empirical results of this study may recommend that relevant institutions in Kosovo, Albania and North Macedonia undertake reforms towards the creation of efficient pension systems, and these reforms are of crucial importance for pension systems, which have an economic and social character in their function as fund accumulators and benefit distributors for the categories in need.
Originality: The study is conducted with secondary data and all the empirical analysis are original based on the authors' calculations through econometric models. Through the results of this study we aim to provide additional empirical evidence on the performance of pension funds in Kosovo, Albania and North Macedonia, recommending that relevant institutions improve the functioning of the pension system, as it is a very important part of a financial system of a country which has an impact on economic growth.
Keywords: financial performance, pension fund, contributions, net assets, return on investment
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KORNIEIEVA, Iuliia. "Evaluating the system of factors influencing the investment decision under postindustrial transformations." Naukovi pratsi NDFI 2020, no. 3 (December 4, 2020): 128–43. http://dx.doi.org/10.33763/npndfi2020.03.128.
Повний текст джерелаАнотація:
The article analyzes the prerequisites for systematic use of Big Data sources by government agencies as a tool for forecasting systemic financial risks during investment decision processes at the state level as well as for the formation of public investment policy. The author made a comprehensive assessment of the system of factors that influence the investment decision-making process in terms of post-industrial transformations. The author proposes to solve the problem of forming investment activity information risks based on empowerment of big data analytics. The proposed model assesses the institutional framework by analyzing a wide range of factors such as the level of shadow economy, corruption and economic freedom, including government integrity, property rights, investment freedom, that influence the process of investment decision. Based on indices analysis expands the limited capabilities of risk assessment models of financial instruments based on market data, that reflect the components of expectations, covering the behavioral factor - speculative behavior. Cluster assessment of investment inflows to Ukraine was conducted based on econometric modeling using VAR analysis revealed no significant impact of indicators that reflect the presence of institutional barriers for investors concerning FDI from offshore countries (Cyprus, British Virgin Islands), the impact was limited to an average of 5%. Along with economic factors, the determinants of FDI inflows from developed countries (Germany, Great Britain, United States of America, Austria, the Netherlands) were institutional ones influencing the formation of compliance risks, the impact of which ranged within 30%.
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Pattitoni, Pierpaolo, Barbara Petracci, Valerio Potì, and Massimo Spisni. "Management fee base: financing and investment decisions." Journal of European Real Estate Research 8, no. 1 (May 5, 2015): 46–65. http://dx.doi.org/10.1108/jerer-03-2014-0015.
Повний текст джерелаАнотація:
Purpose – The aim of this paper is to focus on different compensation structures for real estate mutual fund Management Companies and assess whether management fees paid on either Net Asset Value (NAV) or Gross Asset Value (GAV) generate distorted incentives relative to those generated by performance fees paid on the market value of the fund. Design/methodology/approach – To test whether management fees induce Management Companies to opportunistic behaviors, the relative effect of NAV- and GAV-based fees is compared over time using a plethora of econometric models. Findings – It is found that Management Companies that are paid GAV-based fees start with higher leverage to expand assets under management, then, subsequently, drive leverage and over-investment down as fund maturity approaches to minimize the negative impact of negative NPV investments on the final market value of the fund and therefore on performance fees paid at maturity. Research limitations/implications – A dataset of Italian listed real estate mutual funds is used. While the Italian market can be considered an ideal setting for an empirical analysis, studies on other countries would make it possible to test implications of the model that are only weakly identified in our setting. Practical implications – Results could be important when designing managerial contracts. Originality/value – It is shown that Management Companies actively manage the size of their balance sheet to maximize fees, and that NAV-based fees produce effects similar to market-based fees in terms of managerial incentives.
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Ferrão, Joaquim, José Dias Curto, and Ana Paula Gama. "Low-leverage policy dynamics: an empirical analysis." Review of Accounting and Finance 15, no. 4 (November 14, 2016): 463–83. http://dx.doi.org/10.1108/raf-09-2015-0135.
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Purpose The purpose of this paper is to provide new insights into the low-leverage phenomenon by analyzing the dynamics of firms’ financing policies. The authors explore three theoretical explanations of firms’ motivations to switch among different levels of debt aversion: financial constraints, financial flexibility and financial distress. Design/methodology/approach The authors apply a multilevel mixed-effects model to a panel data sample of 9,005 US listed firms during 1987-2014. To use a multinomial ordered logit model, the authors break down the low-leverage firms into several levels of debt aversion. Findings The empirical analysis provides four main findings. First, there is a dynamic behavior regarding leverage policy: after five years, 39.4 per cent of initial zero debt firms remain all-equity firms, 14.2 per cent are leveraged firms and approximately 19.7 per cent still adopt a low-leverage policy. Second, greater asset volatility increases the expected likelihood that firms will be debt averse. Third, when firms grow bigger and older, they show a greater likelihood of moving toward a higher leverage level. Fourth, results derived from the investment variables of research and development, acquisitions, and capital expenditure provide strong evidence in favor of the financial flexibility hypothesis. Practical implications These findings suggest that conservative debt policy is integrated with corporate investment decisions. Originality/value This paper contributes to extant literature by emphasizing the dynamic process associated with a low-leverage policy, unlike prior studies that focus on the determinants and characteristics of low-leverage firms. It also applies an econometric methodology that is new to the field: multilevel models.
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Guerini, Mattia, Alessio Moneta, Mauro Napoletano, and Andrea Roventini. "THE JANUS-FACED NATURE OF DEBT: RESULTS FROM A DATA-DRIVEN COINTEGRATED SVAR APPROACH." Macroeconomic Dynamics 24, no. 1 (August 1, 2018): 24–54. http://dx.doi.org/10.1017/s1365100518000445.
Повний текст джерелаАнотація:
In this paper, we investigate the causal effects of public and private debts on US output dynamics. We estimate a battery of Cointegrated Structural Vector Autoregressive models, and we identify structural shocks by employing Independent Component Analysis, a data-driven technique which avoids ad-hoc identification choices. The econometric results suggest that the impact of debt on economic activity isJanus-faced. Public debt shocks have positive and persistent influence on economic activity. In contrast, rising private debt has a milder positive impact on gross domestic product, but it fades out over time. The analysis of the possible transmission mechanisms reveals that public debtcrowds inprivate consumption and investment. In contrast, mortgage debt fuels consumption and output in the short-run, but shrinks them in the medium-run.
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A. Asongu, Simplice. "Linkages between investment flows and financial development." African Journal of Economic and Management Studies 5, no. 3 (August 26, 2014): 269–99. http://dx.doi.org/10.1108/ajems-05-2012-0036.
Повний текст джерелаАнотація:
Purpose – The purpose of this paper is to introduce previously missing financial components (efficiency, activity and size) in the assessment of the finance-investment nexus. Design/methodology/approach – Vector autoregressive models in the perspectives of Vector Error Correction Model and short-run Granger causality are employed. There is usage of optimally specified econometric methods as opposed to purely discretionary model specifications in mainstream literature. Findings – Three main findings are established: first, while finance led investment elasticities are positive, investment elasticities of finance are negative; second, but for Guinea Bissau, Mozambique and Togo, finance does not seem to engender portfolio investment; and finally, contrary to mainstream literature, financial efficiency appears to impact investment more than financial depth. Practical implications – Four policy implications result: first, extreme caution is needed in the use of single equation analysis for economic forecasts; second, financial development leads more to investment flows than the other way round; third, financial allocation efficiency is more relevant as means to attracting investment flows than financial depth; and finally, the somewhat heterogeneous character of the findings also point to shortcomings in blanket policies that are not contingent on country-specific trends in the finance-investment nexus. Originality/value – First, contrary to the mainstream approach we use four measures of financial intermediary development (depth, efficiency, activity and size) as well as four types of investment flows (domestic, foreign, portfolio and total). Second, the chosen investment and financial indicators are derived upon preliminary robust correlation analyses from the broadest macroeconomic data set available on investment and financial intermediary flows.
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Tsolacos, S., G. Keogh, and T. McGough. "Modelling Use, Investment, and Development in the British Office Market." Environment and Planning A: Economy and Space 30, no. 8 (August 1998): 1409–27. http://dx.doi.org/10.1068/a301409.
Повний текст джерелаАнотація:
The authors provide an empirical investigation of office market dynamics and model the user, investment, and development elements of this market. They recognise explicitly that the user and investment markets in office property influence trends in development and that development activity in turn affects office use and investment. This theoretical premise suggests that an analysis of these separate components of the market can make a significant contribution to a fuller understanding of office market dynamics, including swings in development activity. In the European context, there is a lack of research on modelling the functional elements of the office market individually, although such modelling is more common in US studies. Furthermore, most quantitative empirical work lacks an examination of the investment market for property and its intertemporal effects on development activity. In this paper, the authors estimate econometric models for rents, capital values, and development activity in the national office market in Great Britain. The results establish the significant influence of demand-side economic forces in the user market and the importance of use and investment market signals in the determination of office building output. However, the findings also strongly suggest that the investment market needs to be explored in more detail in order to identify and document the nature of the forces which interact in this sector of the office market.
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Tufail, Saira, and Sadia Batool. "An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Pakistan." LAHORE JOURNAL OF ECONOMICS 18, no. 2 (July 1, 2013): 1–35. http://dx.doi.org/10.35536/lje.2013.v18.i2.a1.
Повний текст джерелаАнотація:
In this study, we formulate a new inflation equation to capture the potential effects of gold and stock prices on inflation in Pakistan. We aim to assess the inflation-hedging properties of gold compared to other assets such as real estate, stock exchange securities, and foreign currency holdings. Applying time-series econometric techniques (cointegration and vector error correction models) to data for 1960–2010, we find that gold is a potential determinant of inflation in Pakistan. On the other hand, it also provides a complete hedge against unexpected inflation. Real estate assets are more than a complete hedge against expected inflation, although stock exchange securities outperform gold and real estate as a hedge against unexpected inflation. Foreign currency proves to be an insignificant hedge against inflation. Given the dual nature of the relationship between gold and inflation, it is increasingly important for the government to monitor and regulate the gold market in Pakistan. Moreover, stock market investment should be encouraged by the government given that asset price inflation does not pose a critical problem for Pakistan as yet.
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Nesticò, Antonio, and Francesco Sica. "The sustainability of urban renewal projects: a model for economic multi-criteria analysis." Journal of Property Investment & Finance 35, no. 4 (July 3, 2017): 397–409. http://dx.doi.org/10.1108/jpif-01-2017-0003.
Повний текст джерелаАнотація:
Purpose The decisions taken today relating to urban renewal interventions are rarely supported by logical and operational methodologies capable of effectively rationalising selection processes. For this purpose, it is necessary to propose and implement analysis models with the aim of promoting the sustainable development of the territory. The purpose of this paper is to define a model for the optimal allocation of scarce resources. Design/methodology/approach The Discrete Linear Programming (DLP) is used for selecting investments aimed at achieving financial, social, cultural and environmental sustainability. Findings The proposed model lends itself to the construction of investment plans on behalf of both types of decision makers, of both a public and a private nature. Research limitations/implications All projects are evaluated according to multi-criteria logics, so that it is possible to find compromise solutions, in accordance with the stakeholders’ different preferences. Practical implications The model, written with A Mathematical Programming Language using DLP logics, is tested – case study – so as to define an investment programme finalised for urban renewal of a vast area. Social implications The proposed econometric model makes it possible to obtain the optimal combination of projects for urban renewal with a view to achieving the sustainable development of the territory. Originality/value Using the proposed model, all projects are evaluated according to multi-criteria logics, so that it is possible to find compromise solutions, in accordance with the stakeholders’ different preferences.
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Le Roux, P., and B. Ismail. "Modelling the impact of changes in the interest rates on the economy: An Austrian perspective." South African Journal of Economic and Management Sciences 7, no. 1 (July 23, 2004): 132–50. http://dx.doi.org/10.4102/sajems.v7i1.1433.
Повний текст джерелаАнотація:
Even though econometric models and yield curve analysis are useful in assessing the impact of interest rate changes on the economic structure, their power to predict the magnitude and direction of swings in the business cycle is often restricted to the use of short-term interest rates. From an Austrian school perspective on interest rates, empirical evidence suggests that the profitability of heavy industries further downstream outperforms that of light industries in the initial stages of monetary easing, due to a rising demand for investment goods and a rise in capacity utilisation levels. This paper assesses the impact of interest rates changes on the productive structure of the economy by taking into account the effect thereof on sector earnings and ultimately share prices.
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Sukharev, O. S. "Structural Policy: Towards a New Investment Model of Economic Growth." Finance: Theory and Practice 23, no. 2 (May 4, 2019): 84–104. http://dx.doi.org/10.26794/2587-5671-2019-23-2-84-104.
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The article examines structural policy as a tool for developing a new economic growth model in Russia. The author considers the conditions of economic growth based on increased investment. The purpose of the article is to determine the current characteristics of the Russian economy structural dynamics by the components of GDP and basic sectors. The basic sectors of the current investment structure have been assessed — processing sector and transactional and raw materials sector — and the directions for further development have been specified. The research methodology consists of: structural analysis of GDP and sectoral dynamics; the received and applied “structural formula” of assessing the contribution of the system elements to economic growth; formulated simple optimization models and a numerical optimization method (gradient projection method). The method of empirical and statistical estimates has also been used. Optimization models have made it possible to demonstrate the solution to the problem of distributing investments between the sectors with a target function for maximum profit and minimum risk. The analysis of growth and the conditions for economic growth obtained by the model-analytical method — in terms of the rate of change in oil prices and the exchange rate — allowed us to empirically show periods of growth and recession in the economy. They depend on the growth rate of oil prices and the devaluation of the rouble. This approach, with further use of econometric models linking macroparameters, will make it possible to evaluate the effect of changes in structural parameters on economic growth. The overall result of the study is as follows: the intensification of investments is insufficient to organize the investment model of economic growth in Russia. The stimulation of gross consumption and a change in the structure of investments are required. It is necessary to reduce the gap between the sectors by risk mitigation. External factors affecting the economic growth in Russia (oil prices, currency inflows) must be eliminated by changing the structure, including the sensitivity increase of its elements to macroeconomic policy instruments, and differentiating sectoral policy measures considering the positive impact on the contribution of GDP components and sectors of money growth and inflation.
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Siripanich, Amarin, Taha Hossein Rashidi, and Emily Moylan. "Interaction of Public Transport Accessibility and Residential Property Values Using Smart Card Data." Sustainability 11, no. 9 (May 13, 2019): 2709. http://dx.doi.org/10.3390/su11092709.
Повний текст джерелаАнотація:
This study examines the relationship between residential property values and accessibility indicators derived from transit smart card data. The use of smart card data to estimate accessibility indicators for explaining the housing market has not yet been explored in the literature. Hence, this paper employs information from Brisbane, Australia’s “go card” and corresponding property data to develop residential property hedonic pricing models using an ordinary least square (OLS) model, a spatial lagged model (SL), a spatial error model (SE), and a geographically weighted regression (GWR). Due to the systematic coincidence between location and price similarities, these spatial econometric models yield superior goodness-of-fit over the OLS model. Using the proposed definition of public transit accessibility in this study, it was found that properties located in well-connected, well-serviced, and accessible locations generally experience premiums in their values. The results indicate that there is value added to the property market from the public investment in public transport services and infrastructure, which supports the adoption of transit funding mechanisms, such as value-capture taxes. Furthermore, the analysis of spatial interactions between transport accessibility and the housing market could be of use to policy makers to ensure a just distribution of capital investment in future infrastructure projects.
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V. B., Shahin, Jamila G. M., Fargana G. M., and Nazim Hajiyev. "The Impact of Oil Prices on Economic Activity: The Case of Azerbaijan." Journal of Politics and Law 14, no. 2 (December 23, 2020): 39. http://dx.doi.org/10.5539/jpl.v14n2p39.
Повний текст джерелаАнотація:
The strategic purpose of the economic policy of Azerbaijan is to ensure sustainable growth. The external factors including oil prices in the world market and investments have a significant influence on economic activity in Azerbaijan. The relationship between oil prices and gross domestic product has been scrutinized and the sensitivity of macroeconomic indicators to oil prices has been investigated. The dependence of investment activity, including foreign investments on oil prices has been determined. In the research, econometric models have been constructed in the purpose of studying the impact of oil prices on key macroeconomic indicators from the qualitative and quantitative point of view. At the same time, a comparative analysis of oil reserves of Azerbaijan with other oil countries has been conducted. According to the results, the government should determine new and sustainable growth pillars based on risks emerged from oil price, improve economic policy and accelerate the transition to innovative high-tech models of economic development.
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Tadeu, Hugo Ferreira Braga, and Jersone Tasso Moreira Silva. "Determinants of Productivity in Brazil: an empyrical analysis of the period 1996-2020." International Journal of Economics and Statistics 9 (April 16, 2021): 30–40. http://dx.doi.org/10.46300/9103.2021.9.6.
Повний текст джерелаАнотація:
Empirical studies regarding the determinants of productivity in developing countries, including Brazil, have demonstrated the negative impact of high inflation rates on the industrial capacity. However, the recent Brazilian experience clearly shows that stabilization since 1996, in and of itself, is not capable of recovering the investment rates. With this in mind, this study's goal is to answer, with the help of econometric simulation models, the questions: (i) what are the key-drivers to assess the Brazilian economy since 1996?; and (ii) what are the key-factors to be considered when investments are made, particulary in productivity? To answer the questions we evaluated the impacts of macro-economic variables on private investments, using a strategic bias and a long term vision plan. The estimates demonstrate empirical crowding-in evidence of public investments in infrastructure over private investments as a real impact to productivity. As for public invetsments (noninfrastructural) we suggest that the crowding-in impact dislocates private investments. All these indicators were obtained as presented in the therory, with the exception of the real interest rates variable (r), in which we observed that the coefficient is positive and insignificant in the estimated equation.
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Salgado, Roberto J. Santillán, Marissa Martínez Preece, and Francisco López Herrera. "Modeling the risk-return characteristics of the SB1 Mexican private pension fund index." Global Journal of Business, Economics and Management: Current Issues 5, no. 2 (March 4, 2016): 70. http://dx.doi.org/10.18844/gjbem.v5i2.370.
Повний текст джерелаАнотація:
This paper analyzes the returns and variance behavior of the largest specialized private pension investment funds index in Mexico, the SIEFORE Básica 1 (or, SB1). The analysis was carried out with time series techniques to model the returns and volatility of the SB1, using publicly available historical data for SB1. Like many standard financial time series, the SB1 returns show non-normality, volatility clusters and excess kurtosis. The econometric characteristics of the series were initially modeled using three GARCH family models: GARCH (1,1), TGARCH and IGARCH. However, due to the presence of highly persistent volatility, the series modeling was extended using Fractionally Integrated GARCH (FIGARCH) methods. To that end, an extended specification: an ARFIMA (p,d,q) and a FIGARCH model were incorporated. The evidence obtained suggests the presence of long memory effects both in the returns and the volatility of the SB1. Our analysis’ results have important implications for the risk management of the SB1. Keywords: Private Pension Funds, Time Series modelling, GARCH models, Long Term memory series
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Puntillo, Pina, and Paolo Tenuta. "The Impact of Local Government Investment On Corporate Decisions." Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438 5, no. 1 (May 31, 2011): 83–93. http://dx.doi.org/10.17323/j.jcfr.2073-0438.5.1.2011.83-93.
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Авторы: Pina Puntillo
Paolo Tenuta
This work aims to provide evidence on the impact of public investment on local business decisions. In particular we want to see the effect of public investment on the development of local area - measured by GDP and employment - and therefore the effect that the development of the area determines the location decisions of businesses.In other words, we therefore wish to demonstrate how the infrastructure is one of the determinants of competitiveness and development potential of an area of active firms. A good level of infrastructure produces significant advantages (so-called positive externalities) for the local economy because, not only allows to increase the productivity of factors of production, reducing costs, but also influences the degree of attraction of the area (residents, tourists, businesses, funders), the location decisions of new businesses, the strengthening of existing ones.The conceptual framework draws on the contributions made by many national and international literature on the role that public investment play in economic growth in the territories and the attractiveness of the territory.The paper is organized in two parts. Part 1 discusses the concept of local public investment, which is under a legal entity, examines the issue of investment planning and illustrates how the literature has suggested and tested empirically with reference to the role of public investment in the dynamics of growth and competitiveness of the territories. In the Part 2, is empirically tested the research hypothesis, through an econometric analysis, describing the models and variables used in the application of panel techniques, and presents the results of the estimates, while last section concludes with summary of some considerations.
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Meyer, Daniel Francois, and Lerato Mothibi. "The Effect of Risk Rating Agencies Decisions on Economic Growth and Investment in a Developing Country: The Case of South Africa." Journal of Risk and Financial Management 14, no. 7 (June 24, 2021): 288. http://dx.doi.org/10.3390/jrfm14070288.
Повний текст джерелаАнотація:
Over the last decade, the South African economy has endured prevailing economic challenges, including weak economic growth, unreliable electricity supply, rising fiscal deficits, declining investment inflows and the inexorable rise in government debt alongside the expected impact of the coronavirus pandemic. Credit ratings have significantly evolved, making them key elements in the modern financial markets because of their creditworthiness opinions, as many investors across the globe rely heavily on their opinions. A quantitative research approach was followed using data from 1994Q1 to 2020Q2. The analysis entailed a descriptive and econometric analysis where two models were estimated using the autoregressive distributed lag (ARDL) model. The findings reveal long-run relationships between economic growth (GDP), risk rating index, foreign direct investment (FDI), exchange rate, gross fixed capital formation and lending rates. The results also reveal a bi-directional causality between economic growth and the rating index and between FDI and the rating index. This study’s findings suggest that investments and economic growth in the country need to be stimulated significantly to impact risk rating agencies decisions. Policymakers need to redirect resources towards effective and efficient capital-forming initiatives and development projects to improve the country’s sovereign risk rating to re-ignite growth.
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Garcia Regalado, Jorge, Cesar Freire Quintero, and Henry Moscoso Miranda. "Modelo Econométrico del sector de la construcción en Ecuador / Econometric model of the ecuadorian construction sector." Ciencia Unemi 8, no. 14 (August 24, 2015): 37. http://dx.doi.org/10.29076/issn.2528-7737vol8iss14.2015pp37-47p.
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Modelo-mecanismo de transmisión de cambios y ajustes de la variable Inversión en este sector, dentro de los aspectos metodológicos utilizados se utilizan modelos Autor regresivos (VAR) y se construyen las funciones de impulso respuesta tanto a nivel agregado como por sector y subsector (obra pública y privada), para lo cual se analizan los componentes del lado de la demanda agregada y los sectores productivos que conforman el PIB de la Construcción. La longitud del análisis de tiempo comprende desde el año 2000 hasta fines del año 2013 y las variables que se utilizan tienen una frecuencia trimestral. Dado que este sector de la Economía Ecuatoriana presenta condiciones especiales en estos últimos años, las políticas destinadas en este sector y contempladas en el marco de la Matriz productiva-Energética son instrumentos muy activos para considerarlos dentro del escenario pronosticado para este sector en los próximos años y sus efectos en la Economía directamente con la generación y calidad de empleo y sus consecuencias. AbstractThe paper aims to analyze the impulses and impacts of investment in the construction sector in Ecuador, by using a model of the transmission of changes and adjustments of the investment variable in this sector. Auto- regressive models (VAR) are applied and the functions of impulse response are developed at both aggregate level and sector and subsector levels (public and private works). For this reason the components of aggregate demand and production sectors that make up the GDP of construction are analyzed. The period of time under analysis ranges from 2000 to late 2013 and the variables that are used have a quarterly basis. Since the conditions of this sector of the Ecuadorian economy have been marked in recent years, the policies for construction envisaged in the framework of the national production-energy model are very active instruments to be considered within the scenario predicted for this sector in the coming years and they will have direct effects on the economy by generating quality employment and quality which will bring consequences.
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Huy Hoang, Nguyen, Nguyen Van Phong, and Nguyen Trung Dong. "Examining the relationship between public spending and some socioeconomic indicators of Ho Chi Minh city using time series models." Science & Technology Development Journal - Economics - Law and Management 3, no. 1 (June 12, 2019): 68–84. http://dx.doi.org/10.32508/stdjelm.v3i1.542.
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This paper used multiple time series regression models namely VAR(p) — (Vector Autoregression ) and VECM (Vector Error Correction Model) to study the relationship between public spending and some socioeconomic indicators of Ho Chi Minh City (HCMC) such as — gross Domestic Product; FDI — Foreign Direct Investment..., the topic that has received a special interest of both economists and governmental authorities. With the main contents include introducing the economic geography of Ho Chi Minh City, we expect the empirical results to aim to find the relationship public spending and some socioeconomic indicators of Ho Chi Minh City. Through analyzing research methods and pointing out a suitable model, it helps managers adjust policies, so that public spending brings the highest efficiency to the economic leader of the country, Ho Chi Minh City. This model helps us consider the long-term relationship of variables (time series). The results of the model are read through Granger causality tests, Graph of impulse response function. The table decomposes variance and co-integration equations... They are so useful to show the effectiveness of applying econometric models in the analysis of economic and financial problems.
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Deng, Haiyan, Ruifa Hu, Jikun Huang, Carl Pray, Yanhong Jin, and Zhonghua Li. "Attitudes toward GM foods, biotechnology R&D investment and lobbying activities among agribusiness firms in the food, feed, chemical and seed industries in China." China Agricultural Economic Review 9, no. 3 (September 4, 2017): 385–96. http://dx.doi.org/10.1108/caer-10-2016-0162.
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Purpose Economic interest groups such as seed, pesticide, feed, and food companies play an important role in supporting or preventing the production of genetically modified (GM) crops. The purpose of this paper is to examine firm managers’ attitudes toward GM technology, biotechnology R&D investment, and political lobbying activities. Design/methodology/approach Using data from surveys of 160 managers in the food, feed, chemical, and seed industries in 2013-2014, this paper employed three probit models to examine the determinants of managers’ attitudes, biotechnology R&D investment, and lobbying activities. Findings The results show that most Chinese agribusiness managers are concerned about GM foods and oppose its adoption. Nevertheless, one-third of the firms invest in biotechnology R&D and less than 15 percent of managers lobbied the government to change biotechnology policies. The econometric estimation results suggest that profit change expectation is the main factor affecting managers’ attitudes and biotechnology R&D investment decisions, whereas lobbying activities are significantly influenced by their attitudes and biotechnology R&D investment. In addition, managers’ attitudes toward GM foods also significantly influence firms’ decisions to invest in biotechnology R&D. Originality/value This paper has improved on previous research in two ways. First, it analyses the determinants of agribusiness firm managers’ attitudes toward GM technology, biotechnology R&D investment, and lobbying activities. Second, the methodology involves an analysis of agribusiness firm survey data in the food, feed, chemical, and seed industries, which is the first time to use such data to research on economic interest group in agricultural biotechnology field.
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Mi, Lin, Karen Benson, and Robert Faff. "Further evidence on idiosyncratic risk and REIT pricing: a cross-country analysis." Accounting Research Journal 29, no. 1 (May 3, 2016): 34–58. http://dx.doi.org/10.1108/arj-07-2013-0048.
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Purpose The purpose of this study is to provide new cross-country evidence on the relation between real estate investment trust (REIT) returns and idiosyncratic risk for samples of listed and unlisted REITs in the US and Australia. Design/methodology/approach Five alternative models with exponential GARCH enhancements were employed, in a Fama-MacBeth (1973) setup. The authors assess the statistical significance of the idiosyncratic risk variable and interpret the outcomes. Findings The results show that listed REITs in the US and Australia demonstrate a positive idiosyncratic risk-return linkage over the long period of January 1980-November 2013 and April 1994-December 2012, respectively. A further examination by sub-period reveals that this positive relation is only evident in the new REIT era (January 1993-September 2001), absent in the vintage era (before December 1992) and maturity era (November 2001-August 2008). The unlisted REITs in both countries show no relation with idiosyncratic risk. Further, the global financial crisis has no effect on the relation between idiosyncratic risk and REIT returns. Originality/value A key motivation of this paper stems from the mixed findings documented in the literature. Also very little research has been done on the idiosyncratic risk-REIT returns linkage in the Australian context. This study offers unique insights from comparisons: Australia vs the US; and listed vs unlisted REITs.
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& Al-Hiyali, Alsudani. "AN ECONOMIC ANALYSIS OF THE EFFECT OF SOME ECONOMIC VARIABLES ON THE STRUCTURE OF AGRICULTURAL EMPLOYMENT IN IRAQ FOR THE PERIOD 1990-2017." IRAQI JOURNAL OF AGRICULTURAL SCIENCES 52, no. 3 (June 22, 2021): 682–90. http://dx.doi.org/10.36103/ijas.v52i3.1359.
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The research aimed at analyzing the structure of agricultural employment in Iraq as well as analyzing the current status of economic variables related to agricultural employment during the period 1990-2017, including the agricultural workforce, agricultural wages, agricultural investment and agricultural GDP. In the achievement of its objectives, the research relied on descriptive and quantitative analysis, as well as the use of some modern econometric methods in estimating models. The results using the ARDL methodology in the analysis indicate a long-term relationship between the volume of agricultural employment and each of the explanatory variables included in the model, which are (agricultural GDP, agricultural investments, agricultural wages and technological development). The research concluded that the negative effects of the policies pursued towards the agricultural sector to a large extent have been reflected on the size of the demand for agricultural employment and the productive efficiency of agricultural labor. The research recommended that investments should be directed to developing human resources, aiming to raise their efficiency, and encouraging the private sector to increase investments in various fields that would open new labor markets in order to accommodate the various types of unemployment that exist in the state’s economic structure.
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Tang, Wenbin, Qingbin Cui, Feilian Zhang, and Hongyan Yan. "Evaluation of the land value-added benefit brought by urban rail transit: The case in Changsha, China." Journal of Transport and Land Use 14, no. 1 (May 10, 2021): 563–82. http://dx.doi.org/10.5198/jtlu.2021.1645.
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Accurate evaluation of land value-added benefit brought by urban rail transit (URT) is critical for project investment decision making and value capture strategy development. Early studies have focused on the value impact strength under the assumption of the same impact range for all stations. However, the value impact range at different stations may vary owing to different accessibilities. Therefore, the present study releases this assumption and incorporates the changed impact range into the land value-added analysis. It presents a method to determine the range of land value-added impact and sample selection using the generalized transportation cost model, then spatial econometric models are further developed to estimate the impact strength. On the basis of these models, the entire value-added benefit brought by URT is evaluated. A case study of the Changsha Metro Line 2 in China is discussed to demonstrate the procedure, model, and analysis of spatial impact. The empirical analysis shows a dumbbell-shaped impact on the land value-added benefit along the transit line with a distance-dependent pattern at each station. In addition, the land value-added benefit from Changsha Metro Line 2 reached 12.099 billion USD. Lastly, two main value-added benefit capture modes are discussed, namely, land integration development and special land tax.