Econometrics Commons^™

Vector Autoregression Analysis Of The Relationship Between Inflation Rate, Interest Rate, And Exchange Rate To The Jakarta Islamic Index, Ajeng Qurrota A'Yun, Nur Fatwa

Journal of Strategic and Global Studies

ABSTRACT

The Indonesian Sharia Capital Market is an interesting thing to study because based on the 2019 Global Islamic Finance Report (GIFR) report, Indonesia is ranked first in the Global Sharia Financial Market. The Jakarta Islamic Index (JII) is the sharia stock index that was first launched on the Indonesian capital market on July 3, 2000 and only consisted of the 30 most liquid Islamic shares listed on the Indonesia Stock Exchange. This study will try to uncover how the relationship between macroeconomic variables in Indonesia by using Vector Autoregression (VAR) analysis and using monthly secondary data from 2012-2019. VAR …

Macroeconomic Shocks And Credit Risk Stress Testing: Evidence From The Egyptian Banking Sector, Noha Elgaliy

Theses and Dissertations

Stress tests can satisfy a range of policy objectives and ensure banks are adequately resilient to common economic shocks or specific financial risks. Though the growing body of literature on stress testing, the existing studies have usually focused on developed countries who have relatively stable macroeconomic indicator when compared developing countries. Therefore, this thesis aims to present a macroeconomic credit risk model that explicitly links a set of selected macroeconomic factors including gross domestic product, inflation, lending interest rates and exchange rate to banking non-preforming loans using evidence from the Egyptian banking sector over the time period from 2011 to …

Infrastructure In India's Internal War: A District-Level Analysis Of The Naxalite-Maoist Conflict, Krunal Desai

Undergraduate Economic Review

Since the last few decades of economic liberalization, India has been experiencing a civil conflict threat by communist insurgents known as Naxalites. Because this group desires to separate themselves from the state through violent means, they began occupying themselves in some of the least developed districts in India. Coincidentally, because of low human development, the Government of India created an infrastructure program known as the Backwards Regions Grant Fund (BRGF) that targets a selected set of districts that lack basic infrastructures such as roads, sanitation facilities, and electrical grids. This study aims to question the notion that government assistance should …

Information Cascades In The Classroom: The Relationship Between In-Class Feedback And Course Performance, Amanda C. Cook, James Bland, Andrew Meisner

The Journal of Economics and Politics

Technology is used in undergraduate courses to engage students and provide feedback about understanding. TopHat is an application which displays multiple choice questions mid-class. In this field experiment, we determine if displaying or hiding the distribution of peer responses has an impact on exam scores. When students see peer responses, we observe information cascades on both correct and incorrect answers. Getting an individual TopHat question correct predicts a 1.3 percentage point increase on final exam scores, however we find no difference in predictive power between treatments. Participating in one negative cascade predicts that a student will score approximately five percentage …

The Effects Of Environmental Corporate Social Responsibility On Financial Returns, Kevin Acevedo

Theses and Dissertations

A major issue concerning companies is global warming and the impact that firms have on the environment. Companies are taking steps towards sustainability, but it is unclear if sustainable business practices are beneficial to companies’ financial performance. This paper examines the effect of environmental corporate social responsibility (CSR) of Fortune 250 companies on financial performance. The analysis reveals significant effects on financial performance, but they are inconsistent and hard to interpret.

Effect Of Health Aid On Life Expectancy In Sub-Saharan Africa, Sakiru Oladele Akinbode Dr., Isiaq O. Oseni

Journal for the Advancement of Developing Economies

No abstract provided.

Long-Run Effects Of Austerity, Guilherme Klein Martins

Economics Department Working Paper Series

This paper provides evidence that austerity shocks have long-run negative effects on GDP. Besides addressing the important gap in the growing fiscal research regarding the short time horizon of the estimations, this paper analyzes two other important assumptions made in the literature regarding the (i) symmetry of episodes of fiscal expansion and con- traction and (ii) uniformity of fiscal multipliers for different sizes of shocks. We use narrative fiscal shocks and propensity score reweighting in a local projections setup to account for the potential endogeneity of austerity policies and the non-linearity of its effects over time. The estimation is also …

Covid-19 Vaccine Disparities And Attitudes, Deonne Cartwright, Meryem Saygili

Pursue: Undergraduate Research Journal

The past couple of years have caused so much uncertainty and grief amidst the global pandemic. The goal of this study is to explore the attitudes behind COVID-19 vaccination to address the cause for vaccine disparities and help minimize health disparities in the United States. The study considers two multivariable regressions in SPSS of the social factors on vaccination status and vaccine confidence. This model studies the relationship between one’s ethnicity, race, education level, education specialization, household income, political ideology, and media source on vaccine confidence and vaccination status on an East Texas college campus. A campus-wide survey was conducted …

The Macroeconomic Impacts Of Government Debt In Pakistan, Ateeb Akhter Shah Syed, Kaneez Fatima, Junaid Kamal

Business Review

This paper examines the Ricardian equivalence hypothesis for Pakistan using a vector error-correction model. The sample period extends from June 2002 to January 2020. The results are reported using variance decompositions and impulse response functions. The base model contains six variables and is estimated with 4 lags. We find support for the idea that wealth does not increase as government debt increases; Hence, it proves the fact that economic agents are rational actors and foresee current expansionary actions of the government that result in accumulation of debt as the present value of future taxation that they have to pay and …

Dimensional Analysis And Logarithmic Transformations In Applied Econometrics, Deepankar Basu

Economics Department Working Paper Series

In economics, it is common to use dimensioned variables, e.g. earn- ings (measured in dollars per year), as arguments in the logarithmic function. This is conceptually problematic because a logarithmic func- tion can only take dimensionless quantities as its argument. One way to avoid this conceptual error is to rewrite commonly used logarithmic regressions using an arbitrarily chosen reference unit so that ratios of dimensioned quantities are used in logarithmic functions. With the addition of a zero conditional mean assumption about the reference unit to the standard list of assumptions about asymptotic properties of ordinary least squares estimators, such a …

Permutation-Based Tests For Discontinuities In Event Studies, Federico Bugni, Jia Li

Research Collection School Of Economics

We propose using a permutation test to detect discontinuities in an underlying economic model at a cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data. The test statistic measures the distance between the empirical distribution functions of observed data in two local subsamples on the two sides of the cutoff. Critical values are computed via a standard permutation algorithm. Under a high-level condition that the observed data can be coupled by a collection of conditionally independent variables, we establish the asymptotic validity of the permutation test, allowing …

The Foundations Of Behavioral Finance: A Case Study Of Robinhood Users And The Impact Of Biases In Financial Markets, Robert Michael Arciola

Senior Projects Spring 2022

Financial markets play a vital role in economies around the world. They facilitate the interactivity between those who are in need of capital and those with capital to invest. While its own separate entity, the stock market is correlated with the economy in various ways in which one may significantly impact the other on a regular basis. Thus, investors and firms participating in markets have much power in influencing the economy. Human behavior is prone to biases that are not accounted for in standard finance theory but is the subject of behavioral economics by utilizing psychology and sociology to aid …

Learning Before Testing: A Selective Nonparametric Test For Conditional Moment Restrictions, Jia Li, Zhipeng Liao, Wenyu Zhou

Research Collection School Of Economics

This paper develops a new test for conditional moment restrictions via nonparametric series regression, with approximating series terms selected by Lasso. Machine-learning the main features of the unknown conditional expectation function beforehand enables the test to seek power in a targeted fashion. The data-driven selection, however, also tends to distort the test’s size nontrivially, because it restricts the (growing-dimensional) score vector in the series regression on a random polytope, and hence, effectively alters the score’s asymptotic normality. A novel critical value is proposed to account for this truncation effect. We establish the size and local power properties of the proposed …

Uniform Nonparametric Inference For Spatially Dependent Panel Data: The Xtnpsreg Command, Jia Li, Zhipeng Liao, Wenyu Zhou

Research Collection School Of Economics

In this article, we introduce a command, xtnpsreg, that implements a uniform nonparametric inference procedure for possibly unbalanced panel datasets with general forms of spatio-temporal dependence. We demonstrate how to apply this command in several use cases, including (i) the nonparametric estimation of conditional mean function and its marginal response; (ii) the construction of uniform confidence bands for these nonparametric functional parameters; (iii) specification tests for parametric model restrictions; and (iv) the estimation and uniform inference for functional coefficients in semi-nonparametric models.

County Walkability And Small Business Receipts, Talia Perluss

Scripps Senior Theses

This thesis explores the correlation between county walkability and small business receipts, as well as other possible demographic variables that could explain the success of small businesses, by using a fixed-effect panel regression model. Using county-level data in the years 2012 and 2017, this paper finds that there is a significant correlation between an increase in walkability and an increase in receipts. When running the fixed-effect regressions, this paper found that there is a moderately high positive correlation between walkability and per capita income, suggesting that the effects of an increase in walkability may also capture the effects of an …

The Impact Of The Covid-19 Pandemic On Corporate Financial Fragility In The Vietnamese Manufacturing Industry, Trang Nguyen

Honors Theses

In the past decades, under the government’s export-led growth strategy, the Vietnamese manufacturing sector – the backbone of the whole Vietnamese economy – has established a deep tie with the international market and the reliance on foreign buyers has fueled the growth of this sector before COVID-19. However, during the pandemic, when the global market contracted at -3.5 percent and demand slumped globally, this existing growth model and the manufacturing sector’s reliance on foreign buyers induced significant risks to this sector from both the demand and supply side. Using the firm-level data on 41 manufacturing exporting companies from the Vietstock …

Capital Nationality And Economic Development, Guilherme Klein Martins

Economics Department Working Paper Series

This paper reviews different literature strands and performs an empirical test to evaluate how capital ownership, particularly its nationality, might affect long-run economic develop- ment. Our results indicate that low and middle-income countries with larger foreign capital stock in 1980 had lower economic growth over the next 39 years. The estimations also indi- cate that these economies developed a less specialized export basket, which became relatively more concentrated in low-tech goods. The results are inverted to high-income economies, for which the effects are positive on GDP growth and export specialization and complexi- fication. The results are in line with the …

Reading The Candlesticks: An Ok Estimator For Volatility, Jia Li, Dishen Wang, Qiushi. Zhang

Research Collection School Of Economics

Academic research on nonparametric “spot” volatility inference often relies on high-quality transaction data that are not available to an average investor. Most investors, however, have free access to intraday candlestick charts through their online trading applications. Based on such data, we propose an Optimal candlesticK (OK) estimator for the spot volatility at a given time point. Under a standard infill asymptotic setting for Itˆo semimartingale price process, we show that the OK estimator is asymptotically unbiased and has minimal asymptotic variance within a class of linear estimators. In addition, its estimation error can be coupled by a Brownian functional, whose …

Hot Boy Summer? Analyzing Managerial Reactions To Season-Long Fluctuating Player Performance In Major League Baseball, John Rodgers Hood

Honors Projects

This paper suggests numerical weights that a Major League Baseball (MLB) manager may use when comparing player performance across multiple past performance periods to predict future performance. By the end of the MLB regular season, current season performance becomes more predictive than prior season performance for pitchers but not hitters. After estimating weights for different past time periods of performance, this paper compares the weights with how managers value performance in high-stakes situations across these same time periods. I find that MLB managers overreact to recent performance by both hitters and pitchers in postseason settings.

Covid-19 School Re-Openings: The Effect On Women’S Labor Force Participation, Isabella Difeo

Williams Honors College, Honors Research Projects

As schools and daycares closed in March of 2020, mothers left the labor market in droves, either completely giving up their jobs or significantly cutting back on hours in order to care for children and/or help facilitate online learning. Furthermore, fields historically dominated by women were particularly hard hit, such as education, hospitality, and retail causing many women who may not be mothers to leave the work force as well. This paper considers how women’s labor force participation has changed throughout the COVID-19 pandemic and how the re-opening of schools, in particular, has impacted women’s return to the workforce. Triple …