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Sacred Heart University

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Full-Text Articles in Social and Behavioral Sciences

The Macrodynamics Of Indian Rupee Swap Yields, Tanweer Akram, Khawaja Mamun Jun 2023

The Macrodynamics Of Indian Rupee Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors using the autoregressive distributive lag (ARDL) approach. It examines whether the short-term interest rate has a decisive influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial production, the logarithm of the equity price index, and the logarithm of the INR exchange rate. The estimated models show that the short-term interest rate has an important influence on the swap yields. This implies that the Reserve Bank of India (RBI) can sway borrowing and lending …

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An Inquiry Concerning Japanese Yen Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun May 2023

An Inquiry Concerning Japanese Yen Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

This paper econometrically models Japanese yen (JPY)–denominated interest rate swap yields. It examines whether the short-term interest rate exerts an influence on the long-term JPY swap yield after controlling for several key macroeconomic variables, such as core inflation, the growth of industrial production, the percentage change in the equity price index, and the percentage change in the exchange rate. It also tests whether there are structural breaks in the dynamics of Japanese swap yields and related variables. The estimated econometric models show that the short-term interest rate exerts an important influence on the long-term swap yield in some periods but …

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Asymmetric Effects In Geopolitical Risk And Foreign Reserves Accumulation Among Brics Countries, Kwame O. Asomaning Feb 2023

Asymmetric Effects In Geopolitical Risk And Foreign Reserves Accumulation Among Brics Countries, Kwame O. Asomaning

Doctoral Dissertations (DBA)

Over the past decade, the rise of Geopolitical Risk (GPR) has had a significant effect on macro financial variables, prompting central banks to accumulate reserves as a "war chest" to protect their economies from the detrimental effects of such shocks. This study examines the asymmetries in the long run, short run, and locational asymmetric effects on foreign reserves in the BRICS countries, using both the Nonlinear ARDL (NARDL) and Quantile ARDL (QARDL) models over the period 2000Q1–2021Q4. The results of the NARDL model suggest that GPR has long-run asymmetric effects for BRICS, while in the short run, all countries display …

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Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun Feb 2023

Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

This paper models the dynamics of Chinese yuan (CNY)–denominated long-term interest rate swap yields. The financial sector plays a vital role in the Chinese economy, which has grown rapidly in the past several decades. Going forward, interest rate swaps are likely to have an important role in the Chinese financial system. This paper shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables, such as inflation or core inflation, the growth of industrial production, percent change in the equity price index, and the percentage change in the CNY exchange …

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Leadership And Performance In Informal Institutions: The Internal Dynamics Of Brics, Zhen 'Arc' Han, Mihaela Papa Jan 2023

Leadership And Performance In Informal Institutions: The Internal Dynamics Of Brics, Zhen 'Arc' Han, Mihaela Papa

Political Science & Global Affairs Faculty Publications

How does leadership affect the performance of informal institutions? Leadership in BRICS is particularly puzzling: this informal institution rapidly grows despite the disparate interests of its members, some of which are in longstanding conflict. This article examines how three forms of leadership – intellectual, entrepreneurial, and structural – affect institutional performance using BRICS cooperation data. It demonstrates the importance of intellectual leadership, particularly in strategically framing the cooperation problem in a way that creates mutual gains, as essential for realising collective outcomes in informal institutions. Collective action is catalyzed through the interplay of the three leadership forms. However, the activating …

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Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun Jan 2023

Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Faculty Publications

This paper models the dynamics of Chinese yuan–denominated long-term interest rate swap yields. It shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables, such as core inflation, the growth of industrial production, the percent change in the equity price index, and the percentage change in the Chinese yuan exchange rate. The autoregressive distributed lag approach is applied to model the dynamics of the long-term swap yield. The findings reinforce and extend John Maynard Keynes’s conjecture that in advanced countries, as well as emerging market economies such as China, …

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An Analysis Of Uk Swap Yields, Tanweer Akram, Khawaja Mamun Dec 2022

An Analysis Of Uk Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

John Maynard Keynes argued that the central bank influences the long-term interest rate through the effect of its policy rate on the short-term interest rate. However, Keynes’s claim was confined to the behavior of the long-term government bond yield. This paper investigates whether Keynes’s claim holds for the yields of spread products and over-the-counter financial derivatives by econometrically modeling the dynamics of the pound sterling–denominated longterm interest rate swap yield. It uses the generalized autoregressive conditional heteroskedasticity (GARCH) modeling approach to examine the relationship between the month-over-month changes in the short-term swap yield and the month-over-month change in the long-term …

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The Dynamics Of Monthly Changes In Us Swap Yields: A Keynesian Perspective, Tanweer Akram, Khawaja Mamun Sep 2022

The Dynamics Of Monthly Changes In Us Swap Yields: A Keynesian Perspective, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

John Maynard Keynes (1930) asserted that the central bank sways the long-term interest rate through the influence of its policy rate on the short-term interest rate. Recent empirical research shows that Keynes's conjecture holds for long-term Treasury yields in the United States. This paper investigates whether Keynes's conjecture also holds for the monthly changes in US long-term swap yields by econometrically modeling its dynamics using an autoregressive distributed lag (ARDL) approach. The econometric modeling reveals that there is statistically significant effect on the monthly changes in the Treasury bill rate on the monthly changes in swap yields of different maturity …

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A Garch Approach To Modeling Chilean Long-Term Swap Yields, Tanweer Akram, Khawaja Mamun May 2022

A Garch Approach To Modeling Chilean Long-Term Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap yield after controlling for other factors, such as the change in inflation, change in the growth of industrial production, change in the log of the equity price index, and change in the log of the exchange rate. It applies the generalized autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the long-term swap yield. The change in the short-term interest rate has an economically …

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Securing Repo: Counterparty Risk And Collateral Supply Effects In The Tri-Party Repo Market, Stephen H. Frank Feb 2022

Securing Repo: Counterparty Risk And Collateral Supply Effects In The Tri-Party Repo Market, Stephen H. Frank

Doctoral Dissertations (DBA)

I examine the co-variance between tri-party repurchase agreement (repo) spreads and proxies for collateral values and counterparty risk. Since the Global Financial Crisis of 2008 (GFC), the Federal Reserve (Fed) has taken measures to mitigate repo market instability. These measures have collectively placed the Fed astride repo markets as ongoing borrower, lender and purchaser of US Treasury and Agency securities. By analyzing the relationships between repo spreads, the US 10-year yield and the TED spread, I assess the effectiveness of Fed measures to mitigate repo market instability. Using multiple breakpoint Bai-Perron regression and Markov Switching tests, I find that these …

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Which Financial Measures Can Be Leveraged To Help Close The Unfunded Liability Gap For State Pension Plans?, Selette M. Jemison Aug 2021

Which Financial Measures Can Be Leveraged To Help Close The Unfunded Liability Gap For State Pension Plans?, Selette M. Jemison

Doctoral Dissertations (DBA)

The main purpose of this study is to identify the key determinants of the unfunded liability (UL) for state and local public Defined Benefit (DB) pension plans. The UL is a measure of pension debt in plans across the U.S. This debt continues to rise while pension obligations to current and future retirees must also be satisfied. The UL is derived by subtracting the market value of plan assets from its accrued liabilities. If assets are less than liabilities, it signals a lack of funds set aside to cover all pension benefits and generates what is known as an unfunded …

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The Economics Of Giving: How Monetary Policy Impacts Charitable Giving, Asa J. F. Cort Jun 2021

The Economics Of Giving: How Monetary Policy Impacts Charitable Giving, Asa J. F. Cort

Doctoral Dissertations (DBA)

This paper examines the impact of the monetary policy transmission mechanism specifically the Loan Supply (Narrow Credit Channel), Market Interest Rates (Interest Rate Channel) and Asset Price Levels (Wealth Channel) have on charitable giving within the United States. An OLS (Ordinary Least Squares) model is used to test whether the variables within each channel influences charitable giving. We find that each variable used (revolving credit, real estate loans, federal funds rate, inflation, real disposable income and housing prices) is statistically significant in influencing charitable giving within the United States.

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Capital Allocation Imbalance And The Effects On Monetary Policy, Peter G. George May 2021

Capital Allocation Imbalance And The Effects On Monetary Policy, Peter G. George

Doctoral Dissertations (DBA)

This paper examines the association between liquidity injections and capital allocations in the United States. In the analysis, liquidity injections are proxied by monetary base and the capital allocations are reflected by excess reserves, vault cash, total bank credit, and M2-M1. Monthly data are utilized for all variables for the sample period March 1984 – June 2020. Four Bai-Perron multiple breakpoint regressions and Markov switching estimations are employed to examine changeable patterns and interactions. The results indicate that liquidity injections are imbalanced and are allocated to total bank credit prior to quantitative easing, excess reserves prior to QE through post-QE, …

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Monetary Policy And Systemic Risk-Taking In The Euro Area Banking Sector, Alain Kabundi, Francisco Nadal-De Simone Sep 2020

Monetary Policy And Systemic Risk-Taking In The Euro Area Banking Sector, Alain Kabundi, Francisco Nadal-De Simone

WCBT Faculty Publications

Available empirical evidence on the significance of the (micro) risk-taking channel of monetary policy is not enough to indicate a threat to financial stability. Evidence of risk-taking with systemic risk implications is necessary. Statistical measures that capture systemic risk in all its forms within a structural factor-augmented vector autoregressive model suggest that conventional and unconventional monetary policies have resulted in systemic risk-taking in the euro area banking sector. Systemic risk has taken the form of an increase in the banking sector’s vulnerability via contagion and interconnectedness. Banks’ balance sheets, however, do not account for the full transmission from (micro) risk …

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Do Oil Price Returns Impact Exchange Rates Fluctuations: Evidence From The Top Four Oil Importing Countries In Asia – China, India, Japan And South Korea, Alexander Nti Jun 2020

Do Oil Price Returns Impact Exchange Rates Fluctuations: Evidence From The Top Four Oil Importing Countries In Asia – China, India, Japan And South Korea, Alexander Nti

Doctoral Dissertations (DBA)

Using daily data obtained from Federal Reserve Bank of St. Louis database, we convert oil price and exchange rates to first difference logarithm to examine the link between oil price and exchange rates. We apply Johansen Cointegration models to examine relationship between the series, and our results indicate the variables are not cointegrated. Augmented Dicky Fuller test indicates that the series are nonstationary at level, but stationary at first difference. Impulse response analysis based on unrestricted vector autoregressive (VAR) yields varying results for the relationship between oil price and exchange rates across the currencies of the four countries considered. Thus, …

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Market Risk And Market-Implied Inflation Expectations, Lucjan T. Orlowski, Carolyne Cebrian Soper Nov 2019

Market Risk And Market-Implied Inflation Expectations, Lucjan T. Orlowski, Carolyne Cebrian Soper

WCBT Faculty Publications

We examine interactions between market risk and market-implied inflation expectations. We argue that these interactions are asymmetric and varied in time. Specifically, market risk becomes elevated by expectations of either very low or high expected inflation. Market risk does not react to expectations of moderate, stable inflation. In our analysis, market risk is proxied by VIX and market-implied inflation expectations are reflected by five- and ten-year breakeven inflation. We use daily data for 5 and 10 year breakeven inflation and VIX for the sample period January 3, 2003 – January 24, 2019 for empirical testing. We employ asymptotic VAR, multiple …

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The Price Of Independence In An Echo Chamber With Dependence Ambiguity, Lorán Chollete, Michael Klass, Victor De La Peña Jul 2019

The Price Of Independence In An Echo Chamber With Dependence Ambiguity, Lorán Chollete, Michael Klass, Victor De La Peña

WCBT Working Papers

How much should we pay to remove the interdependence of biased information sources? This question is relevant in both statistics and political economy. When there are many information sources or variables, their dependence may be unknown, which creates multivariate ambiguity. One approach to answer our leading question involves use of decoupling inequalities from probability theory. We present a new inequality, designed to cope with this question, which holds for any type of dependence across information sources. We apply our method to a simple formalization of a political echo chamber. For a given set of marginal information, this bound is the …

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The Influence Of Publicly-Traded Reits And Market-Based Inflation Expectations On Daily-Priced Private Commercial Real Estate Returns, Tiffany Burns Gherlone Apr 2019

The Influence Of Publicly-Traded Reits And Market-Based Inflation Expectations On Daily-Priced Private Commercial Real Estate Returns, Tiffany Burns Gherlone

Doctoral Dissertations (DBA)

Investors requiring daily Net Asset Values (NAV) represent a large and growing source of capital for the private institutional real estate asset class. Defined contribution and other daily-valued vehicles are increasing their investments into private, direct commercial real estate through funds that estimate changes to income and values in order to mark a daily NAV. Utilizing nine years of daily data from the NCREIF Fund Index – Daily Priced, we optimize a generalized autoregressive conditional heteroskedasticity model with generalized error distribution parameterization (GARCH-GED) to better understand the influence of publicly-traded real estate securities and changes in market-implied inflation expectations on …

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The Effect Of Environmental Change On Gdp, Jackson V. Barliant Jan 2019

The Effect Of Environmental Change On Gdp, Jackson V. Barliant

Writing Across the Curriculum

Climate change is one of the most debated topics of the 21st century. Not only has it been detrimental to our eco-system, but it is beginning to redefine and reshape society. Can the U.S. economy continue to flourish while acknowledging the necessary steps that need to be taken in regard to combatting climate change? Yes, the inherent change within our environment due to climate change can not only be withstood by our economy, but it presents an opportunity to revolutionize and expand through innovation.

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Financial Market Risk And Macroeconomic Stability Variables: Dynamic Interactions And Feedback Effects, Agnieszka M. Chomicz-Grabowska Jan 2019

Financial Market Risk And Macroeconomic Stability Variables: Dynamic Interactions And Feedback Effects, Agnieszka M. Chomicz-Grabowska

Doctoral Dissertations (DBA)

This study investigates dynamic interactions and feedback effects between financial market risk proxied by VIX and key macroeconomic stability variables that include the rate of unemployment, headline inflation and market-based inflation expectations reflected by the breakeven inflation. I argue that market risk should play a stronger role in macroeconomic modeling and forecasting than it has been recognized thus far in the literature. I employ vector autoregression with impulse response functions, as well as two-state Markov switching tests to examine these interactions on the longest available US monthly data. The empirical tests show that the association between market risk and macroeconomic …

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Regulations, Governance, And Resolution Of Non-Performing Loan: Evidence From An Emerging Economy, Abu S. Amin, Mahmood Osman Iman, Mahfuja Malik Jan 2019

Regulations, Governance, And Resolution Of Non-Performing Loan: Evidence From An Emerging Economy, Abu S. Amin, Mahmood Osman Iman, Mahfuja Malik

WCBT Faculty Publications

How do banks resolve a severe bad loan problem in a capital-constrained, low-income economy when a government bailout is not an option? We address this question by examining new evidence from a sharp decline in bad loan ratios in a panel of conventional commercial banks in Bangladesh. On the aggregate level, the bad loan ratio in this market has dropped from 41% in 1999 to only 10% in 2012. We find that at a micro level, this dramatic improvement is associated with bank management quality and internal governance that were substantially enhanced during a decade of large-scale regulatory reforms. The …

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Wavering Interactions Between Commodity Futures Prices And Us Dollar Exchange Rates, Lucjan T. Orlowski, Monika Sywak Jan 2019

Wavering Interactions Between Commodity Futures Prices And Us Dollar Exchange Rates, Lucjan T. Orlowski, Monika Sywak

WCBT Faculty Publications

This paper examines the intricate impact of commodity futures settlement prices on USD exchange rates. The daily data on changes in logs of futures prices and changes in logs of US dollar in euro and USD trade weighted exchange rate are tested with Bayesian VAR, multiple breakpoint regression and two-state Markov switching. Commodities include West Texas Intermediate and Brent crude oil, as well as copper and gold. The tests imply prevalence of an inverse relationship between changes in commodity futures prices and USD exchange rates, but their interactions become positive at stressful market conditions. Strengths, statistical significance and causal interactions …

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Sunshine, Fertility And Racial Disparities, Karen Smith Conway, Jennifer Trudeau Jan 2019

Sunshine, Fertility And Racial Disparities, Karen Smith Conway, Jennifer Trudeau

WCBT Faculty Publications

This research investigates the effect of sun exposure on fertility, with a special focus on how its effects and consequences for birth outcomes may differ by race. Sun exposure is a key mechanism for obtaining Vitamin D, but this process is inhibited by skin pigmentation. Vitamin D has been linked to male and female fertility and risk of miscarriage, and Vitamin D deficiency is more prevalent among blacks than whites. Using 1989–2004 individual live births data from the Natality Detail Files, county-level, monthly conceptions are estimated as a function of monthly solar insolation, temperature and humidity, as well as month, …

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Does The Legal System Affect The Cost Of External Financing? Evidence From Ipo Underpricing Of Foreign Firms Listed In U.S. Stock Markets, Shaokang Wang, Jing Jiang Jan 2019

Does The Legal System Affect The Cost Of External Financing? Evidence From Ipo Underpricing Of Foreign Firms Listed In U.S. Stock Markets, Shaokang Wang, Jing Jiang

WCBT Faculty Publications

To study the effect of the legal system on the cost of external financing, we examine the degree of underpricing of the IPOs by foreign companies listed in U.S. We find that firms from highly corrupted countries have larger IPO underpricing. The quality of the home-country public law enforcement reduces the degree of IPO underpricing. In particular, the criminal sanction for violations of securities laws is the most significant factor in reducing underpricing. The evidence shows that even when a non-U.S. firm meets sophisticated U.S. regulations and goes public in a U.S. exchange, the degree of underpricing is still influenced …

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The Effect Of Excess Reserves On U.S Real Gross Domestic Product, Prince J. Adjei Apr 2018

The Effect Of Excess Reserves On U.S Real Gross Domestic Product, Prince J. Adjei

Doctoral Dissertations (DBA)

The recent financial crisis has triggered questions regarding the role of the Federal Reserve Bank and the effectiveness of its intervention in the financial markets, post the crisis. This paper investigates the impact of huge spikes in excess reserves on the U.S. real gross domestic product. U.S. Federal Reserve in an effort to deal with the 2008 financial crisis instituted a series of programs aimed at taming the impact of the crisis. Through its emergency lending activities and Quantitative Easing (QE) programs, the Federal Reserve created a huge spike in excess reserves to levels not seen before. The empirical findings …

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Connecticut Economic Outlook For 2018-2020: A Perspective From Sacred Heart University Students In Business Economics, Jack Welch College Of Business Apr 2018

Connecticut Economic Outlook For 2018-2020: A Perspective From Sacred Heart University Students In Business Economics, Jack Welch College Of Business

WCBT Undergraduate Publications

The United States economy has been through its fair share of struggles in recent years. Following the 2008 Financial Crisis, many people were uncertain of how it was going to impact the future of American business, policies, and individual states economic potential. After the election of President Donald Trump, it is evident that there has been a great amount of growth in the United States economy, and the growth that has been made can be reflected in multiple ways. Using the tools and knowledge we have obtained in our Economic and Financial Forecasting course at Sacred Heart University, we are …

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Volatility Of Commodity Futures Prices And Market-Implied Inflation Expectations, Lucjan T. Orlowski Nov 2017

Volatility Of Commodity Futures Prices And Market-Implied Inflation Expectations, Lucjan T. Orlowski

WCBT Faculty Publications

This study examines intricate interplay between crude oil, copper and gold futures prices, and market-implied inflation expectations that are proxied by the breakeven inflation derived from the 5-year US Treasury Note yields. We perform the Bai-Perron multiple breakpoint tests, Bayesian VAR with impulse response functions and GARCH with GED parameterization tests on daily data for the sample period January 3, 2003 – March 26, 2015. The results show a strong causal impact of shocks in the breakeven inflation on West Texas Intermediate and Brent crude oil as well as copper futures prices, albeit to varied degrees during the examined sample …

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The Effectiveness And Effects Of Alcohol Regulation: Evidence From India, Dara Lee Luca, Emily Owens, Gunjan Sharma Nov 2017

The Effectiveness And Effects Of Alcohol Regulation: Evidence From India, Dara Lee Luca, Emily Owens, Gunjan Sharma

WCBT Faculty Publications

We provide quasi-experimental evidence on the effects of alcohol regulation on alcohol consumption and associated public health outcomes using detailed individual level and aggregate data from India, where state level laws generate substantial variation in the availability of commercially produced alcohol across people of different ages. We find that despite significant law evasion, men who are legally allowed to drink are substantially more likely to consume alcohol. Further, men who are legally allowed to drink are significantly more likely to commit violence against their partners, suggesting a causal channel between alcohol consumption and domestic violence. We also examine the effects …

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Essays In Financial Economics, Johnson Owusu-Amoako Apr 2017

Essays In Financial Economics, Johnson Owusu-Amoako

Doctoral Dissertations (DBA)

In this study, we empirically investigate the impact of credit default swap rates on short-term interest rates. We find that CDS rates significantly impact short-term interest rates. The impact remains significant after controlling for inflation and unemployment. Applying co-integration test and vector error correction modeling, the study also finds a causal relationship between CDS rates and short-term interest rates. These relationships are confirmed through autoregressive conditional heteroscedasticity (ARCH), exponential generalized ARCH [EGARCH] and vector auto-regression (VAR) analyses. The empirical results have important implications in setting short-term interest rates. A regular revision of policy targeting to capture the continual changes in …

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Interactions Between United States (Vix) And United Kingdom (Vftse) Market Volatility: A Time Series Study, Jacob Friar Apr 2017

Interactions Between United States (Vix) And United Kingdom (Vftse) Market Volatility: A Time Series Study, Jacob Friar

WCBT Undergraduate Publications

Financial markets have become increasingly more dependent on calculated measures of volatility. Many of the leading economies have developed their own indices that reflect the expectations of market volatility, including the United States (VIX) and the United Kingdom (VFTSE). This study uses these two indices in particular to conduct a time series analysis as a means to identifying potential relationships between the value of the VIX and VFTSE, over time. The analysis concludes that there is a two-way relationship between the indices, and therefore the VAR Model was implemented. Further evaluation of the impulses reveals that while values of each …

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