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Full-Text Articles in Business
The Cascade Effect On Lending Conditions: Evidence From The Syndicated Loan Market, Wei-Shao Wu, H H Chang, Sandy Suardi, Yuanchen Chang
The Cascade Effect On Lending Conditions: Evidence From The Syndicated Loan Market, Wei-Shao Wu, H H Chang, Sandy Suardi, Yuanchen Chang
Sandy Suardi
This paper investigates, both theoretically and empirically, how interactions among potential lenders may influence contract terms via informational cascade in the syndicated loan market. Our model shows that the ex-post observed interest rate is higher and the probability of syndication failure is lower when potential lenders can only observe the decisions of their predecessors versus when they can freely communicate with each other. Empirical tests confirm the model's predictions and the existence of a cascade effect on lending conditions. Using relational distance to proxy for the segmentation of communication, we find that relational distance is positively related to the loan …
Are Levels Effects Important In Out-Of-Sample Performance Of Short Rate Models?, Sandy Suardi
Are Levels Effects Important In Out-Of-Sample Performance Of Short Rate Models?, Sandy Suardi
Sandy Suardi
This paper derives short-term interest rate volatility forecasts from various interest rate models. While models that specify both GARCH and levels effects are superior in their forecasts accuracy, they systematically under predict interest rate volatility more frequently than simple short rate models.
Are Empirical Measures Of Macroeconomic Uncertainty Alike?, Chew Lian Chua, David Kim, Sandy Suardi
Are Empirical Measures Of Macroeconomic Uncertainty Alike?, Chew Lian Chua, David Kim, Sandy Suardi
Sandy Suardi
There is a plethora of time series measures of uncertainty for inflation and real output growth in empirical studies but little is known whether they are comparable to the uncertainty measure reported by individual forecasters in the survey of professional forecasters. Are these two measures of uncertainty inherently distinct? This paper shows that, compared with many uncertainty proxies produced by time series models, the use of real-time data with fixed-sample recursive estimation of an asymmetric bivariate generalized autoregressive conditional heteroskedasticity model yields inflation uncertainty estimates which resemble the survey measure. There is, however, overwhelming evidence that many of the time …
The Australian Firearms Buyback And Its Effect On Gun Deaths, Wang-Sheng Lee, Sandy Suardi
The Australian Firearms Buyback And Its Effect On Gun Deaths, Wang-Sheng Lee, Sandy Suardi
Sandy Suardi
The 1996-1997 National Firearms Agreement (NFA) in Australia introduced strict gun laws, primarily as a reaction to the mass shooting in Port Arthur, Tasmania, in 1996, where 35 people were killed. Despite the fact that several researchers using the same data have examined the impact of the NFA on firearm deaths, a consensus does not appear to have been reached. In this paper, we reanalyze the same data on firearm deaths used in previous research, using tests for unknown structural breaks as a means to identifying impacts of the NFA. The results of these tests suggest that the NFA did …
Impact Of Socio-Economic Factors And Social Affiliation On Living Standards: A Quantile Regression Approach Impact Of Socio-Economic Factors And Social Affiliation On Living Standards: A Quantile Regression Approach, Renuka Mahadevan, Sandy Suardi
Impact Of Socio-Economic Factors And Social Affiliation On Living Standards: A Quantile Regression Approach Impact Of Socio-Economic Factors And Social Affiliation On Living Standards: A Quantile Regression Approach, Renuka Mahadevan, Sandy Suardi
Sandy Suardi
The influence of socio-economic factors and social affiliation on living standards is shown to be contingent on the living standard status of the household. This new result casts doubt on studies that use conditional mean regression analysis and the Oaxaca-Blinder decomposition analysis to study the impact of 'characteristics' and 'structural' components in areas such as poverty, health and labour market outcomes.
The Effects Of Uncertainty Dynamics On Exports, Imports And Productivity Growth, Renuka Mahadevan, Sandy Suardi
The Effects Of Uncertainty Dynamics On Exports, Imports And Productivity Growth, Renuka Mahadevan, Sandy Suardi
Sandy Suardi
This paper investigates the trade-productivity growth relationship by incorporating uncertainty/volatility in a VECM-GARCH model. Using Singapore as a case study, we find evidence supporting the crucial role of imports as a beneficial conduit for growth in both total factor productivity (TFP) and labour productivity even after controlling for economic uncertainty in the model. Differences in the causality test results for TFP, labour productivity and trade growth between models with and without uncertainty show the importance of incorporating uncertainty in drawing robust inferences about their causal relationships. The findings that volatility in productivity growth impedes import growth while volatility in export …
Are Changes In Foreign Exchange Reserves A Good Proxy For Official Intervention?, Sandy Suardi, Yuanchen Chang
Are Changes In Foreign Exchange Reserves A Good Proxy For Official Intervention?, Sandy Suardi, Yuanchen Chang
Sandy Suardi
Little is known about the adequacy of changes in reserves as a proxy for intervention despite its use in computing exchange market pressure index. This paper demonstrates the co-movement between monthly reserves changes and intervention is governed by intervention amount, the frequency of the intervention and the nature of intervention activity. We find purchases and sales of US dollars intervention produces correlation asymmetry in the US but not in Japan and Germany. Furthermore, the conditional correlation is stronger when intervention frequency and amount increase. Our results are robust to influence of key macroeconomic factors and revaluation effects on foreign reserves.
A Dynamic Analysis Of The Impact Of Uncertainty On Import- And/Or Export-Led Growth: The Experience Of Japan And The Asian Tigers, Renuka Mahadevan, Sandy Suardi
A Dynamic Analysis Of The Impact Of Uncertainty On Import- And/Or Export-Led Growth: The Experience Of Japan And The Asian Tigers, Renuka Mahadevan, Sandy Suardi
Sandy Suardi
Increasing integration of the Asian Tigers with the world economy through trade has exposed their income and trade to greater uncertainty and volatility. This paper models uncertainty in trade and income and re-examines the stability of the trade-growth nexus for Japan and the Asian Tigers in a dynamic framework. We find that in a volatile environment Japan's GDP growth is only import-led while Hong Kong's GDP growth is both export and import growth-led. On the other hand, incorporating uncertainty breaks the causal link between Korea's GDP growth and trade but it does not affect Taiwan's mutually causative relationship between GDP …
Regional Differences Pose Challenges For Food Security Policy: A Case Study Of India, Renuka Mahadevan, Sandy Suardi
Regional Differences Pose Challenges For Food Security Policy: A Case Study Of India, Renuka Mahadevan, Sandy Suardi
Sandy Suardi
This paper examines factors affecting the calorie gap by considering the risk of calorie inadequacy or excess at the tails of food intakes. Non-linear estimations accounting for rural/urban differences in more and less developed states allow for policy-making on two levels. First, the calorie gap was found to respond differently depending on the calorie status of the individual, to various socio-economic characteristics, social assistance programmes, as well as caste and religion. Second, these impacts depended on rural/urban differences and at other times on the development of the states. These findings pose significant challenges towards achieving a balanced regional food security …
Minimum Wages And Employment: Reconsidering The Use Of A Time Series Approach As An Evaluation Tool, Wang-Sheng Lee, Sandy Suardi
Minimum Wages And Employment: Reconsidering The Use Of A Time Series Approach As An Evaluation Tool, Wang-Sheng Lee, Sandy Suardi
Sandy Suardi
The time series approach used in the minimum wage literature essentially aims to estimate a treatment effect of increasing the minimum wage. In this article, we employ a novel approach based on aggregate time series data that allows us to determine if minimum wage changes have significant effects on employment. This involves the use of tests for structural breaks as a device for identifying discontinuities in the data, which potentially represent treatment effects. In an application based on Australian data, the tentative conclusion is that the introduction of minimum wage legislation in Australia in 1997 and subsequent minimum wage increases …
Modelling And Forecasting Short-Term Interest Rate Volatility: A Semiparametric Approach, Aijun Hou, Sandy Suardi
Modelling And Forecasting Short-Term Interest Rate Volatility: A Semiparametric Approach, Aijun Hou, Sandy Suardi
Sandy Suardi
This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, level effect and serial dependence in the conditional variance. Moreover, the semiparametric approach yields robust volatility estimates even if the short rate drift function and the underlying innovation distribution are misspecified. Empirical investigation with the U.S. three-month Treasury bill rates suggests that the semiparametric procedure produces superior in-sample and out-of-sample forecast of short rate changes volatility compared with the widely used single-factor diffusion models. This forecast …
When The Us Sneezes The World Catches Cold: Are Worldwide Stock Markets Stable?, Sandy Suardi
When The Us Sneezes The World Catches Cold: Are Worldwide Stock Markets Stable?, Sandy Suardi
Sandy Suardi
There is a widespread belief that the US subprime mortgage crisis has escalated into a full-blown current global financial crisis and that many economies throughout the world have been hit by it. Using a test of financial market stability, this article shows the varying degree of impact system-wide shocks during the US subprime crisis had on developed and emerging market stock indices. There is evidence that some developed and stable markets display signs of financial fragility with systematic shocks being propagated differently during extreme and normal market conditions. In addition, the crisis increases the response of emerging market returns to …
Factor Reversal In Euro Zone Stock Returns: Evidence From The Crisis Period, Hsin-I Chou, Jing Zhao, Sandy Suardi
Factor Reversal In Euro Zone Stock Returns: Evidence From The Crisis Period, Hsin-I Chou, Jing Zhao, Sandy Suardi
Sandy Suardi
The adoption of the euro led to a shift in importance from country to industry effects in euro zone stock returns. For the first time, this paper shows that country effects have regained importance in the recent spate of crises. This euro-wide factor reversal is driven by countries with poor economic fundamentals, comprising Portugal, Italy, Ireland, Greece, and Spain (PIIGS). The results imply that a more traditional country portfolio approach provides greater diversification benefits during crisis periods and the minimum-variance frontier of industry portfolios in PIIGS countries can be improved by adjusting country weights.
An Examination Of Linear And Nonlinear Causal Relationships Between Commodity Prices And U.S. Inflation, Renuka Mahadevan, Sandy Suardi
An Examination Of Linear And Nonlinear Causal Relationships Between Commodity Prices And U.S. Inflation, Renuka Mahadevan, Sandy Suardi
Sandy Suardi
This article uses both linear and nonlinear causality tests to examine the causal relationships between changes in commodity prices and U.S. inflation. Prior to the Great Moderation, there is evidence that changes in commodity price indices linearly lead inflation. The stability of the causal relationship appears to vary over time with a stronger bivariate link established before the Great Moderation. Further, there is evidence of significant nonlinear causality from raw industrials and metals indices to inflation with most of this detected nonlinear relationship being captured using the Baba, Engle, Kraft, and Kroner asymmetric generalized autoregressive conditional heteroskedasticity model. This implies …
Dynamic Effects Of Trade And Output Volatility On The Trade-Growth Nexus: Evidence From Singapore, Renuka Mahadevan, Sandy Suardi
Dynamic Effects Of Trade And Output Volatility On The Trade-Growth Nexus: Evidence From Singapore, Renuka Mahadevan, Sandy Suardi
Sandy Suardi
Purpose - This paper seeks to revisit the highly debated trade‐growth hypothesis by considering the effects of trade and output volatility on the relationship between trade and economic growth. Design/methodology/approach - The relationship is modeled by testing for the existence of output and trade (export and imports separately) using the conditional variances of the variables and then specifying an autoregressive conditional heteroskedastic (ARCH) process in a vector error correction model. Findings - Using Singapore as a case study, the paper finds the two‐way relationship between export growth and trade‐adjusted GDP growth is robust even after controlling for the effects of …
Predicting Short-Term Interest Rates Using Bayesian Model Averaging: Evidence From Weekly And High Frequency Data, Chew Lian Chua, Sandy Suardi, Sarantis Tsiaplias
Predicting Short-Term Interest Rates Using Bayesian Model Averaging: Evidence From Weekly And High Frequency Data, Chew Lian Chua, Sandy Suardi, Sarantis Tsiaplias
Sandy Suardi
This paper examines the forecasting performance of Bayesian model averaging (BMA) for a set of single factor models of short-term interest rates. Using weekly and high frequency data for the one-month Eurodollar rate, BMA produces predictive likelihoods that are considerably better than those associated with the majority of the short-rate models, but marginally worse than those of the best model in each dataset. We also find that BMA forecasts based on recent predictive likelihoods are preferred to those based on the marginal likelihood of the entire dataset.
Nonstationarity, Cointegration And Structural Breaks In The Australian Term Structure Of Interest Rates, Sandy Suardi
Nonstationarity, Cointegration And Structural Breaks In The Australian Term Structure Of Interest Rates, Sandy Suardi
Sandy Suardi
This article examines the unit-root property of the Australian short- and long-term interest rates using unit-root tests that accommodate a single or two breaks under the null and/or alternative hypothesis. Two breaks in interest rates are found to coincide with the 1982/83 and 1990/91 recessions or the 1993 inflation targeting period. We further investigate the implications of these structural breaks on the cointegrating relationship implied by the single, linear expectations hypothesis of the term structure of interest rates. While there is evidence that the data are consistent with the expectations hypothesis at the shorter end of the term structure, breaks …
Central Bank Intervention, Threshold Effects And Asymmetric Volatility: Evidence From The Japanese Yen-Us Dollar Foreign Exchange Market, Sandy Suardi
Sandy Suardi
Recent empirical evidence of nonlinearities in the time series behaviour of exchange rates suggests that a linear model of the exchange rate may yield invalid inference when used to assess the effectiveness of central bank intervention. Using a double threshold GARCH model of the Japanese yen-US dollar exchange rates, we find that interventions by the Bank of Japan and the Federal Reserve are more effective in changing the direction of the exchange rate movements and reducing its volatility level in a regime when the exchange rates are severely misaligned. There is also evidence in such a regime for a negative …
Macroeconomic Volatility, Trade And Financial Liberalization In Africa, Abdullahi Ahmed, Sandy Suardi
Macroeconomic Volatility, Trade And Financial Liberalization In Africa, Abdullahi Ahmed, Sandy Suardi
Sandy Suardi
This paper examines the effects of financial and trade liberalization on growth volatility of real output and consumption in Africa. Our results suggest trade liberalization is associated with greater output and consumption growth volatility while financial liberalization increases the efficacy of consumption smoothing and stabilizes income and consumption growth. In addition, we find financial market depth and institutional quality operate jointly with trade and financial openness to reduce volatility in output and consumption growth. There is also evidence that good institutions which foster low inflation levels and volatility promote consumption and output growth stability.
An Impulse-Response Function For A Var With Multivariate Garch-In-Mean That Incorporates Direct And Indirect Transmission Of Shocks, Chew Lian Chua, Sandy Suardi, Sarantis Tsiaplias
An Impulse-Response Function For A Var With Multivariate Garch-In-Mean That Incorporates Direct And Indirect Transmission Of Shocks, Chew Lian Chua, Sandy Suardi, Sarantis Tsiaplias
Sandy Suardi
We generalise the impulse response function of Elder (2003) by considering indirect volatility spillovers for a VAR model with multivariate GARCH-in-Mean. The extension is relevant for variables that exhibit direct and indirect volatility spillovers (Tsiaplias and Chua, in press).
A Nonparametric Garch Model Of Crude Oil Price Return Volatility, Aijun Hou, Sandy Suardi
A Nonparametric Garch Model Of Crude Oil Price Return Volatility, Aijun Hou, Sandy Suardi
Sandy Suardi
The use of parametric GARCH models to characterise crude oil price volatility is widely observed in the empirical literature. In this paper, we consider an alternative approach involving nonparametric method to model and forecast oil price return volatility. Focusing on two crude oil markets, Brent and West Texas Intermediate (WTI), we show that the out-of-sample volatility forecast of the nonparametric GARCH model yields superior performance relative to an extensive class of parametric GARCH models. These results are supported by the use of robust loss functions and the Hansen's (2005) superior predictive ability test. The improvement in forecasting accuracy of oil …