Economics Commons^™

Investigating Chaos In The Nigerian Asset And Resource Management (Arm) Discovery Fund, Ibiyinka A. Fuwape, Samuel T. Ogunjo

CBN Journal of Applied Statistics (JAS)

This paper investigates chaos in a Nigerian mutual fund, Asset and Resource Management Company Limited (ARM) for a period of eleven years. The existence of chaotic signals in the data was identified by the reconstruction of the phase space of the daily closing price of the fund and the delay time was quantified using mutual information function and the embedding dimension by the false nearest neighbours, where the values were identified to be 15 and 20 respectively. The presence of chaotic signals in the ARM data was further confirmed by the correlation dimension method which yielded a dimension of 2.2 …

Modeling The Nigerian Inflation Rates Using Periodogram And Fourier Series Analysis, Chukwuemeka O. Omekara,, Emmanuel J. Ekpenyong, Micheal P. Ekerete

CBN Journal of Applied Statistics (JAS)

This work considers the application of Periodogram and Fourier Series Analysis to model all-items monthly inflation rates in Nigeria from 2003 to 2011. The main objectives are to identify inflation cycles, fit a suitable model to the data and make forecasts of future values. To achieve these objectives, monthly all-items inflation rates for the period were obtained from the Central Bank of Nigeria (CBN) website. Periodogram and Fourier series methods of analysis are used to analyze the data. Based on the analysis, it was found that inflation cycle within the period was fifty one (51) months, which coincides with the …

Nigerian Stock Index: A Search For Optimal Garch Model Using High Frequency Data, Olaoluwa Simon Yaya

CBN Journal of Applied Statistics (JAS)

This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the assumptions of stationarity and asymmetry. Fractionally integrated types are also considered to capture the possibility of return series having property of long range dependency. The parameter estimations are carried out on the assumptions of normality and non-normality of GARCH innovations, with models and forecasts evaluated using information criteria and loss functions respectively. Under normality assumption, Hyperbolic GARCH (HYGARCH(1,d,1)) model is selected and Integrated GARCH (IGARCH(1,1)) …

Time Series Modeling Of Nigeria External Reserves, Iheanyichukwu S. Iwueze, Eleazar C. Nwogu, Valentine U. Nlebedim

CBN Journal of Applied Statistics (JAS)

This paper discusses the levels and trend of external reserves in Nigeria. The relevance of this lies in the fact that it could help to monitor the reserves and throw early warning signal about any economic crisis. Monthly data on Nigeria external reserves for the period January 1999 to December, 2008 derived from the 2008 CBN Statistical Bulletin was analyzed using ARIMA model. Results of the analyses show that (i) the data requires logarithmic transformation to stabilize the variance and make the distribution normal (ii) the appropriate model that best describes the pattern in the transformed data is the Autoregressive- …

A Markov Decision Process Approach To Optimal Control Of A Multi-Level Hierarchical Manpower System, Akaninyene U. Udom

CBN Journal of Applied Statistics (JAS)

A recurrent problem in manpower control is how to attain the desired structural configuration in an optimal way, since it is possible to reach a desired structural configuration using different control inputs. The major aim of this paper is to develop a Markov Decision Process for optimal control of a Multi-level Hierarchical Manpower System (MHMS) by promotion and interdepartmental transfers. This is examined under control by intervention and contraction cost Markov Decision Process.

Agco Corporation Valuation, Sean Michael Miller

Undergraduate Honors Capstone Projects

This paper will discuss the excellent growth potential that AGCO Corporation faces and the reason that this company's stock is rated as a hold position. AGCO has seen tremendous progress and is in an industry that shows that a growing world population will continue to need food and more efficient ways to create food. However, based on sensitivities of assumptions in the models presented herein and on a current share price that is already close to my assumed fair value I do not issue a buy recommendation.

Minimum Investment Requirement, Financial Integration And Economic (In)Stability: A Refinement To Matsuyama (2004), Haiping Zhang

Research Collection School Of Economics

This note proposes a simple, more precise, necessary condition for symmetry breaking in Matsuyama (Financial Market Globalization, Symmetry-Breaking, and Endogenous Inequality of Nations, Econometrica, 2004 ), i.e., the positive interest rate response to income changes, which essentially arises from the assumptions of financial frictions and minimum investment size requirement of individual projects. This condition also holds under the more general settings. Thus, this note o ers an empirically testable hypothesis, i.e., Matsuyama's symmetry breaking is more likely, if the interest rate response to income changes is positive and sufficiently large.

A Study Of Household Finance In China, Zhen Huang

Lingnan Theses

The emerging field of household finance, which studies the welfare benefits of financial markets for households and how effectively households use this market, is of significant importance for both academics and policy makers. However, studies in this new field remain scarce. Using data from a national representative survey that is unique for its combination of abundant household characteristics and heterogeneous individual preferences, attitudes and believes, and for its inclusion of investment behaviour and performances, this thesis pioneers a positive household finance study in developing countries by systematically investigating Chinese householders’ investments in the stock market. Moreover, this is the first …

Strengths And Limitations Of The Design Of Helen Keller International’S Childsight® Program Based On Lessons Learned Through The Implementation In Vietnam, 2011-2013, Bradley J. Owen

Capstone Collection

The ophthalmology sector in Vietnam currently faces many challenges. The Asia- Pacific Region, including Vietnam, is reported to have the most cases of uncorrected refractive error in the world at approximately 62 million people. A 2009 study implemented by the World Health Organization also concluded that the Western Pacific region, including Southeast Asia, has 3.98% of the population suffering from uncorrected refractive error, with an estimated cost to the region’s GDP of 111 billion dollars, or .86% of regional GDP (Smith, et al. 2009). In Vietnam alone it is estimated that one in five children suffer from some form of …

Examining The Low Volatility Anomaly In Stock Prices, Munish Malhotra

Electronic Theses and Dissertations

Modern portfolio theory states that investments with greater beta, a common measure of risk, require greater returns from investors in order to compensate them for taking greater risk. Therefore, under the premise that market participants act rationally and therefore markets run efficiently, investments with higher beta should generate higher returns vis-à-vis investments with lower beta over the long run. In fact, many studies suggest that investments with lower beta actually generate equal to or higher returns relative to investments with higher beta. In looking at data for the S&P 500 going back 22 years between 1990 and 2012, this study …

The Cost Of Green Infrastructure: Worth The Investment?, Martha Sheils

Green Infrastructure

Is GI worth the investment?

• LID techniques often lead to cost savings when we look at WHOLE PROJECT COSTS

• Natural Infrastructure investments for flood control, drinking water protection and wildlife habitat can yield SIGNIFICANT AVOIDED COSTS and additional co-benefits to communitites

An Epidemiological Approach To Opinion And Price-Volume Dynamics, Dong Hong, Harrison G. Hong, Andrei Ungureanu

Research Collection Lee Kong Chian School Of Business

We develop a simple and tractable model of opinions and price-volume dynamics based on a word-of-mouth communication process widely used in epidemiology. Risk-averse investors have different opinions depending on whether they heard the news from a friend. Opinions initially diverge and then converge over time as news spreads, which leads to price adjustment and trading volume. News released to many leads to an expected difusion rate (the change in the fraction of investors with the news) that declines with time. But news initially released to few leads to an expected diffusion rate that initially increases in time and only then …

By Choice Or By Chance? Why Is Nevada Last In Federal Funding And What Can Be Done About It?, Tracy M. Gordon

Brookings Scholar Lecture Series

The federal government spends more than $600 billion or 17 percent of its budget each year on grants to states and localities. Nevada consistently ranks at the bottom among states in its allocation of federal dollars per capita. This presentation will examine the reasons for Nevada’s “donor state” status including state demographics, federal funding formulas, and state policy decisions. It will focus especially on Medicaid, the largest federal grant program, and Governor Brian Sandoval’s recent decision to participate in the program expansion scheduled for 2014 under the Affordable Care Act. The presentation will also discuss reasons for intergovernmental grants and …

Competition In Hong Kong’S Banking Industry, Lai Yee Chu, Yue Cui, Nan Ye, Yuelin Yan

Lingnan Journal of Banking, Finance and Economics

This paper tests the competition structure of Hong Kong’s banking industry using the Panzar-Rosse approach and a panel dataset of the largest 20 banks in Hong Kong from 1998 to 2011. The estimation results showed that the competitive pressures were equal across time and across the different sizes of the banks in Hong Kong’s banking industry. Competitive pressures may heighten in the near future as banks will seek to gain competitive edge and they can do so through mergers and acquisitions. Regulations are also slowly being relaxed after the financial crisis in order to boost the economy and more advances …

Assess The Crisis Management Effort Following The Outbreak Of The Subprime Crisis, Yuchen Luo

Lingnan Journal of Banking, Finance and Economics

In this paper, I employ a linear regression model to examine the effectiveness of four microeconomic variables, namely government debt, GDP growth rate, household consumption growth rate and government spending growth rate, in stimulating economic growth. In order to test the effectiveness of expansionary fiscal policy in different macro-environments, countries were first partitioned into low and high government debt categories. In addition, raw dataset was partitioned into two time periods, respectively, representing normal macroeconomic years and recession years. My results suggest that countercyclical government spending has been an effective stimulation tool but its effect was more significant in countries of …

Can The Euro Rival The United States Dollar And Become The World Currency?, Kar Wai Man, Feissal Thomas Germais Mombo Paraga Apengue, Weixin Zhang, Yiqing Tu, Yuan Yuan

Lingnan Journal of Banking, Finance and Economics

Due to the outstanding performance of the Euro since its advent, the public may wonder whether the Euro would, one day, replace the US dollar (USD) which has all along been a force to be reckoned with all around the world. By tracing the chain of contributions the USD (the United States of America) and the Euro (European Union) have made to the world economy in the past and at present, we hope to arrive at some conclusions. However, the paper will give primacy to predicting the future trends for them separately.

Democracy And Economic Growth: A Perspective Of Cooperation, Menghan Yang, Li Zhang

Lingnan Journal of Banking, Finance and Economics

Does democracy cause higher economic growth? We build a model taking culture and interpersonal cooperation into account and find that democracy increases economic productivity through giving people more equal rights, which allows people to build a larger interpersonal network so that they can reduce investment risk and employ high-productivity (high-risk) methods in production.

Does Okun’S Law Still Hold Today?, Michael Jeffrey White, Lai Yee Chu

Lingnan Journal of Banking, Finance and Economics

Arthur Okun claimed that when a country’s unemployment rate fell, the GDP expanded. This paper investigates the claim of Arthur Okun and the effect of unemployment rates and GDP of a country on each other. Data from three countries, namely, USA, Japan, and France, were tested to see if there was a causal link between the two variables. It was found that the proposed law of Arthur Okun did not hold. In the USA, there was a two way causality link but different directions of effect. France and Japan did not have a causal link between the two variables.

Impact Of Change In Exchange Rate On Foreign Direct Investment: Evidence From China, Weifeng Jin, Qing Zang

Lingnan Journal of Banking, Finance and Economics

Based on the monthly data of foreign direct investment (FDI) in China and the index of real effective exchange rate (REER) of RMB during Jan 1997 to Sep 2012, we develop a statistical model in this paper to test the impact of changes in exchange rate in the host country on FDI, with reference to international and domestic research. According to the results of the empirical test, the appreciation of RMB promotes FDI after the reforms in the exchange rate regime in 2005 and this phenomenon is a result from the change in the type of FDI into China in …

Issue Brief: Auditing Your Town's Development Code For Barriers To Sustainable Water Management, New England Environmental Finance Center

Sustainable Communities Capacity Building

This issue brief is intended for town officials who want to understand how development regulations in their community affect local water resources. Municipal development codes – the set of regulations that control the built environment – can have a great influence on the availability of clean and healthy water for drinking, recreation, and commercial uses. This in turn affects the community’s social, environmental, and economic vitality.

Comprehensive plans, zoning codes, and building standards are just a few examples of regulations that intentionally or unintentionally regulate the way water is transported, collected and absorbed. Regulations that produce dispersed development or large …

Issue Brief: Saving By Mitigating, University Of Louisville, New England Environmental Finance Center

Sustainable Communities Capacity Building

Natural disasters can cause loss of life, inflict damage to buildings and infrastructure, and have devastating consequences for a community’s economic, social, and environmental well-being. Hazard mitigation means reducing damages from disasters.

Local governments have the responsibility to protect the health, safety, and welfare of their citizens. Proactive mitigation policies and actions help reduce risk and create safer, more disaster-resilient communities. Mitigation is an investment in your community’s future safety, equity, and sustainability.

Does A Weak Social Fabric Fuel The Predatory Lending Industry? The Link Between Payday Lending Activity And Community Trust, Alyssa H. Curran

Master's Theses - Economics

The purpose of this paper is to address a gap in theory pertaining to the relation between payday lending activity in each state and the level of trust and social capital in that state. This research has been motivated by the fact that no study has explicitly looked at the association between predatory financial institutions and the overall level of trust and social capital in a community. Nor has a nation-wide study been done. Multiple years of data is employed in this study to examine both the concentration of payday lenders in each state and the volume of payday activity …

The Geographic And Social Distance In Finance, Liping Ma

Graduate Theses and Dissertations

Our research interests lie in studying the economic behavior, choices, and actions of individuals given their geographical and Social proximity to others, and analyze the consequences of such decisions to the financial health and survival of households, firms, and the macro economy. Network analysis and spatial econometrics take account of information spill-overs and constraints of behaviors as consequence of the geographical and Social distance between and among individuals. In this research, we apply those techniques to analyze aspects of corporate governance and explanations for the recent housing crisis.

The literature on principle-agent problems has devoted most of its attention to …

Local Responses To Federal Grants: Evidence From The Introduction Of Title I In The South, Elizabeth U. Cascio, Nora Gordon, Sarah Reber

Dartmouth Scholarship

We analyze the effects of the introduction of Title I of the 1965 Elementary and Secondary Education Act, a large federal grants program designed to increase poor students' educational services and achievement. We focus on the South, the poorest region of the country. Title I increased school spending by $0.50 on the dollar in the average southern school district and by more in districts with less ability to offset grants through local tax reductions. Title I-induced increases in school budgets appear to have reduced high school dropout rates of whites, but not blacks.

Determinants Of The Profitability Of The U.S. Banking Industry During The Financial Crisis, Shiang Liu

All Theses

This research focuses on the determinants of the profitability of the US banking industry during the financial crisis. The analysis focuses on both internal and external variables regarding the profitability of banking sector, including bank-specific variables, industry-specific variables and macro economy variables. Data over the period 2007-2012 for 8677 US banks is derived from the Federal Deposit Insurance Corporation, Nasdaq Stock Market and Federal Reserve Bank. Fixed effect panel model are used to analyze the estimator and the significance of the determinants of the profitability. In this study, I test the nonlinear relationship between profitability and capital adequacy ratio and …

Assessing Revenue Managers' Level Of Trust In Information Systems: An Exploratory Study Of Las Vegas Casino Resorts, Landon Taylor Shores

UNLV Theses, Dissertations, Professional Papers, and Capstones

This study examined revenue managers' level of trust in their revenue management system (RMS) at Las Vegas casino resorts. The study utilized an e-mail interview to measure revenue managers' attitudes about their RMS's degree of reliability and dependability, the degree to which they trust their RMS's pricing recommendations, and if a revenue manager's level of trust in technology had any effect on their likelihood of trusting their RMS.

The study invited 11 property and corporate revenue managers from Las Vegas casino resorts to participate in an e-mail interview, with nine revenue managers agreeing to participate. The main findings of the …

Private Debt Syndicates: Governance, Networks, And Syndicate Structure, William R. Mccumber

Graduate Theses and Dissertations

I examine the primary market for syndicated private credit agreements to U.S. firms within the context of contract theory with information asymmetries between contracting parties in a repeated game. Specific governance mechanisms determine a firm's cost of borrowing in syndicated credit agreements. Firms with governance mitigating agency risk between stakeholders, i.e. independent boards, strong shareholder monitoring, and greater CEO pay-performance sensitivity, enjoy lower borrowing costs. The interests of creditors and shareholders diverge with regard to external governance. Lenders charge higher spreads to firms at greater risk of acquisition and reward stronger firms with price concessions when they possess staunch anti-takeover …

Growing The Asset Management Franchise: Evidence From Hedge Fund Firms, William Fung, David Hsieh, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

We investigate the growth strategies of hedge fund firms. We find that firms with successful first funds are able to launch follow-on funds that charge higher performance fees, set more onerous redemption terms, and attract greater inflows. While first funds outperform follow-on funds, the superior performance of the former attenuates following the launch of the second fund. Multiple-product firms underperform single-product firms, but harvest greater fee revenues. Consequently, the multiple-product firm has become the dominant business model in the hedge fund industry.

Essays On The Economics Of Child Care And Child Custody, Jennifer Lee Hafer

Graduate Theses and Dissertations

In my first essay I use data from licensed child care centers in the state of Arkansas to examine the relationship between quality and price charged. To measure quality, I use Arkansas's Better Beginnings Quality Rating and Improvement System, a tier-structured voluntary certification program which can be viewed as a voluntary increase in regulations for licensed child care centers which allows them to send an observable signal of quality to consumers. Using an hedonic pricing estimation with controls for varying geographic markets, results indicate firms with Better Beginnings classification charge higher prices once the highest levels of certification are obtained. …

Financial Literacy And Financial Planning In France, Luc Arrondel, Majdi Debbich, Frédérique Savignac

Numeracy

We study financial literacy in France using the PATER survey and following the Lusardi and Mitchell (2011c) approach. We find that some subpopulations are less financially literate than others: women, young and old people as well as less-educated people are more likely to face difficulties when dealing with fundamental financial concepts such as risk diversification and inflation and interest compounding. We also find some differences in financial knowledge depending on the political opinion of the respondents. Finally we show that these differences in financial knowledge are correlated with differences in the propensity to plan: people who score higher on the …