Social and Behavioral Sciences Commons^™

Time Series, Unit Roots, And Cointegration: An Introduction, Lonnie K. Stevans

Lonnie K. Stevans

The econometric literature on unit roots took off after the publication of the paper by Nelson and Plosser (1982) that argued that most macroeconomic series have unit roots and that this is important for the analysis of macroeconomic policy. Yule (1926) suggested that regressions based on trending time series data can be spurious. This problem of spurious correlation was further pursued by Granger and Newbold (1974) and this also led to the development of the concept of cointegration (lack of cointegration implies spurious regression). The pathbreaking paper by Granger (1981), first presented at a conference at the University of Florida …

A Second Look At The 2007-08 Food Price Crisis: Considering The Impact Of Endogenous Dynamics On Food Prices, Luigi Russi

Luigi Russi

This paper offers an alternative to the conventional explanation of the 2007-08 food price crisis in terms of escalating demand or dwindling supply. Instead, its focus is on the legal institutional structure of commodity futures markets, which has witnessed a drastic alteration in the role of speculators. These have transformed from “market makers” (that keep commodity futures markets liquid by arbitraging on price fluctuations) to “market breakers”. Index speculation, in particular, has had the effect of muddling information about market “fundamentals” because of the need – brought about by commodity index swaps – for swap dealers to hedge the fluctuations …

The Unbearable Lightness Of The Economics-Made-Fun Genre, Peter Spiegler

Peter Spiegler

Several commentators have argued that the Economics-Made-Fun (“EMF”) genre contains very little actual economics. As such, it would seem that criticisms of EMF do not apply economics more broadly. In this paper I take a contrary view, arguing that, in fact, at a deep conceptual level, the engine of EMF analyses is precisely the engine of mainstream economics. Specifically, I argue that both EMF and mainstream economics rest on a conceptual foundation known as the Principal of the Substitution of Similars (“PSS”). Understanding how PSS leads EMF practitioners to make claims well beyond what is warranted by their analysis also …

Money Supply Endogeneity And Bank Stock Returns, Z. Badarudin, M. Ariff, A. Khalid

Ahmed Khalid

This article presents results of tests on two related hypotheses on moneysupply. The first relates to an unresolved issue of money endogeneity whilethe second centres on the yet-explored relationship between money supplyand bank stock returns if money is found to be endogenous. Our results,using long-horizon data of Group of Seven (G-7) economies, supports causality in money supply as running from bank lending to bank deposits,a result that is predicted by the post-Keynesian money supply endogeneity(bank-credit-driven) theory. Thus, the result is not consistent withexogeneity proposition. A new evidence of positive relationship betweenendogenous money supply and aggregate bank stock return is statisticallysignificant …

Full Dissertation: Costly Screening And The Market Structure Of Consumer Credit, Pingkang Yu

Pingkang Yu

There is a significant theoretical literature about the nature of equilibrium in consumer credit markets. The prevailing conclusion of these models is that a pooling equilibrium across borrower risk types is unlikely to be a market equilibrium. Instead, borrowers will be segregated and self-select and the resulting separating equilibrium will have specialized lenders for different risk types. The theoretical exercises in this dissertation differ from previous literature in four major ways: 1) considering both type I and type II errors in underwriting applicants; 2) including fraudulent applicants who have no intention of repaying; 3) considering differences in both underwriting costs …

The Effect Of Treasury Auction Announcements On Interest Rates: 1990-1999, James J. Forest

James J Forest

In this study we examine the secondary-market response of U.S. Treasury interest rates to both the release of pre-auction auction supply announcements and post-auction details from U.S. Treasury auctions during the period of the 1990s. Rate changes are found to differ significantly on auction days. Pre-auction announcements of auction volumes are shown to affect rates significantly, in contrast with the findings of Wachtel and Young (1987) with respect to deficit announcements. We find that surprises in the release of bid-to-cover ratios affect Treasury rates significantly, while the surprises in the volume of noncompetitive bids appears to have little affect on …

Default Risk And Collateral In The Absence Of Commitment, David C. Mills, Robert R. Reed

David C Mills Jr

Default risk is an important concern for lenders and is a main reason they require borrowers to pledge collateral. There are two reasons for this. The first is that collateral provides some incentive for the borrower to not strategically default. The second is that, in the event of default, the lender can liquidate the collateral and salvage some value from the failed credit relationship. This paper provides a model to study properties of allocations that arise when collateral is part of an optimal lending contract that looks much like a repurchase agreement. In particular, a lack of commitment to future …

Human Capital Formation And Economic Development In Pakistan: An Empirical Analysis, Muhammad Irfan Chani, Mahboob Ul Hassan, Muhammad Shahid

Muhammad Irfan Chani

This study investigates the casual relationship between economic development and formation of human capital in Pakistan. Based on endogenous growth theory, this study empirically tests the standard growth model consisting of gross domestic product (GDP) per capita as a dependent variable and human capital formation, investment in physical capital and labor force as independent variables. Autoregressive distributive lag (ARDL) bound testing approach to cointegration is used to check the long-run equilibrium relationship between the variables included in the model. For checking the causal relationship between economic development and human capital formation, pair-wise Granger causality test is used for time series …

Some Socio Economic Determinants Of Fertility In Pakistan: An Empirical Analysis, Muhammad Irfan Chani, Muhammad Shahid, Mahboob Ul Hassan

Muhammad Irfan Chani

This study aims to investigate the role that various socioeconomic factors like female education, urbanization and female labour force participation play in determining fertility of women in Pakistan. ARDL bound test approach to cointegration is used to analyze the long-run relationship of the variables by using the data for the period from 1980 to 2009. The empirical results show that there exists a long-run as well as short-run relationship between fertility and urbanization, female labour force participation and female education in Pakistan. The analysis indicates there is a negative relationship between all 3 determinants with fertility. Female education and urbanization …

Do Australian Investment And Savings Behave Procyclically?, Arusha V. Cooray, B. Felmingham

Arusha Cooray

This study uses spectral analysis to examine the behaviour of Australian savings and investment and their synchronisation with the business cycle over the period September 1959 to December 2005. The results reveal that the major cyclical components of savings and investment cohere strongly. Further, savings coheres strongly with the business cycle suggesting that Australian savings is procyclical. Investment also exhibits a procyclical pattern although the evidence of this is weaker

Investing In Hedge Funds: Risks, Returns And Performance, Francis Koh, Winston T. H. Koh, David K. C. Lee, K. F. Phoon

Francis Koh

No abstract provided.

Securities Market Theory: Possession, Repo And Rehypothecation, Jean-Marc Bottazzi, Jaime Luque, Mario Pascoa

Jaime P. Luque

The History And Rationale For A Separate Bank Resolution Process, Thomas Fitzpatrick, Moira Kearney-Marks, James Thomson

James B Thomson

Everyone recognizes the need to have a credible resolution regime in place for fi nancial companies whose failure could harm the entire financial system, but people disagree about which regime is best. The emergence of the parallel banking system has led policymakers to reconsider the dividing line between fi rms that should be resolved in bankruptcy and firms that should be subject to a special resolution regime. A look at the history of insolvency resolution in this country suggests that a blended approach is worth considering. Activities that have potential systemic impact might be best handled administratively, while all other …

Governance-Default Risk Relationship And The Demand For Intermediated And Non-Intermediated Debt, Safdar Khan

Safdar Khan

No abstract provided.

Probabilistic Forecasts Of Volatility And Its Risk Premia, Worapree Maneesoonthorn, Gael Martin, Catherine Forbes, Simone Grose

Worapree Ole Maneesoonthorn

No abstract provided.

Getting An Early Start In Self-Employment, David T. Robinson

David T. Robinson

This paper studies the impact of adolescent work experience on adult self-employment. Using a novel data source, I find that respondents who run their own businesses as adolescents are three times more likely to be self-employed as an adult. This effect is strongest among children with self-employed parents: the impact of adolescent self-employment on adult self-employment is around seven times higher for the offspring of self-employed parents than for those who have wage-earning parents. These findings suggests that adolescent self-employment is a channel that transmits human capital from parents to children, thereby influencing the child's adult-life vocational choice.

Territorial Tax System Reform And Corporate Financial Policies, Matteo Arena, George Kutner

Matteo P. Arena

We examine the effect of a permanent change to a country corporate income repatriation tax system on corporate financial policies. In 2009 Japan and the U.K. switched from a worldwide to a territorial system for the taxation of repatriated foreign earnings. The new system effectively reduced the tax liabilities of most multinational firms when repatriating earnings. We find that after the change firms accumulate less cash, pay out larger amounts through dividends and share repurchases, and invest less abroad. We do not find that the tax system change has significantly affected domestic investments even when controlling for capital constraints.

Business And Non-Profit Organizations Facing Increased Competition And Growing Customers' Demands (Vol. 11), Anna Ujwary-Gil

Anna Ujwary-Gil

The monograph focuses attention on the description and analysis of new phenomena and processes for commercial and non-commercial organizations. Valid conditions are pointed out for the functioning of both commercial and non-commercial organizations and an attempt is made to explain their impact on these organizations. The analysis also examines the strategies used by organizations in the face of fierce competition and increasing consumer demands in their effort to gain and maintain a competitive edge. This case study below is segmented into four areas of interest: • commercial and non-commercial organizations as an object of research, • commercial and non-commercial organizations …

Fiscal Decentralization And Governance, John Thornton

John Thornton

The literature on the economics of fiscal decentralization stresses the potential for both positive and negative effects on governance in a country. Using a data set comprising sixty-four developed and developing economies and several different measures of fiscal decentralization, the authors find that countries in which a larger share of fiscal revenues and expenditures are located at the level of subnational governments appear to be less corrupt. The authors also find that the beneficial impact of fiscal decentralization on corruption is mitigated in the presence of mechanisms enforcing vertical administrative decentralization. The results indicate that fiscal decentraliza- tion appears to …

Knowledge Spillovers And The Growth Of British Cities, John Thornton, Yener Altunbas

John Thornton

The relative importance of intra-industry or inter-industry knowledge spillovers for the growth of cities remains an open question. Using a unique data set on the growth of 109 British cities during 1951–1991, we find evidence suggesting that the most important knowledge spillovers occur between rather than within industries, which is consistent with Jacobs (1969, 1985).

What Is Going On With Our Economy, Tom Campbell

Tom Campbell

The financial crisis was caused by two factors. First was the abnormally easy money policy followed by the Federal Reserve for many years, keeping down interest rates, and creating a bubble in real estate. The second was the influence of the federal government, under both parties, and through both Congress and the President, to increase home ownership whether or not individuals were financially able to carry the mortgage. The first factor fed the second as higher real estate prices gave the impression that refinancing would be able to pay off mortgages even if a borrower's income could not. Solutions to …

An Analysis Of Different Approaches To Women Empowerment: A Case Study Of Pakistan, Amatul R. Chaudhary, Muhammad Irfan Chani, Zahid Pervaiz

Muhammad Irfan Chani