Economics Commons^™

Global And Regional Sources Of Risk In Equity Markets: Evidence From Factor Models With Time-Varying Conditional Skewness, Aamir R. Hashmi, Anthony S. Tay

Research Collection School Of Economics

We examine the influence of global and regional factors on the conditional distribution of stock returns from six Asian markets, using factor models in which unexpected returns comprise global, regional and local shocks. The models allow for conditional heteroskedasticity and time-varying conditional skewness, and are used to measure mean, variance, and skewness spillovers. We find that incorporating time-varying conditional skewness improves the fit of our spillover models, and can alter measurements of variance spillovers. However, time-varying conditional skewness is mostly a local phenomenon; with exceptions, there is little spillover in skewness from global and regional factors.

Why Not A Dollar?, Evelyn Murphy

New England Journal of Public Policy

Statisticians point out that women do not yet have quite as many years’ experience in the workforce as men have. It’s true that for the generation that began working in the 1960s, fewer women than men have a steady forty or fifty years of on-the-job experience. So maybe there should be a gap of a few pennies (at most!) to reflect that slight disadvantage. But not 23 cents’ worth! Social scientists hedge their conclusions about what causes that broad gap with disclaimers. They acknowledge that biases exist in their measurements. They admit that they cannot say for sure that differences …

Rethinking Retirement Policy In Massachusetts, Ellen A. Bruce

New England Journal of Public Policy

Women are significantly poorer than men in old age. One major cause of women’s disproportional poverty is retirement income policy that bases pensions and savings incentives on earned income. This paper describes the structure of our retirement policies and argues that some policies should be implemented that are not associated with earned income as a way to both support women’s caregiving roles and insure their economic well-being in old age.

Asian Currency Baskets: A Useful Surveillance Tool?, Charles Adams, Hwee Kwan Chow

Research Collection School Of Economics

This paper considers whether an intra-regional currency basket and the associated divergence indicators could play a useful role in official exchange rate surveillance. Recently, proponents of an Asian currency basket have referred to the role the European Currency Unit played in constructing exchange rate divergence indicators as evidence of the usefulness of intra-regional currency baskets for exchange rate monitoring. The paper shows that such indicators have a number of features that can lead to them obscuring underlying changes in exchange rates and that the signals they emit will often be difficult to interpret. In addition, the use of regional currency …

The Effect Of Micro-Credit On Poverty Alleviation: The Case Of Urban And Rural Egypt, Raghda El Ebrashi

Archived Theses and Dissertations

No abstract provided.

Global Current Account Imbalances: American Fiscal Policy Versus East Asian Savings, Menzie David Chinn, Hiro Ito

Economics Faculty Publications and Presentations

We consider the origins of global current account imbalances. We first discuss how the expansion of the US current account deficit and the decrease in global real interest rates can be reconciled with the widespread view that American expansionary fiscal policy is partly the source of current trends. We then investigate empirically the medium-term determinants of the current account using a model that controls for factors related to institutional development. In addition to the conventional macroeconomic factors, we examine a series of environmental factors, including the degree of financial openness and the extent of legal development. We find that for …

The Effect Of Devaluation On Output In The Egyptian Economy: A Vector Autoregression Analysis, Sahar Mohamed Abdel-Haleim Abdel-Moneim

Archived Theses and Dissertations

No abstract provided.

Indiana State University Financial Report 2007, Indiana State University

Financial Reports

No abstract provided.

Selected Lid Projects In New England, New England Environmental Finance Center

Planning

Examples of low impact development (LID) projects in each state in New England.

Applying Virtue Ethics To Business: The Agent-Based Approach, John Dobson

Finance

No abstract provided.

Aesthetics As A Foundation For Business Activity, John Dobson

Finance

This paper identifies the ultimate justification for business activity as an aesthetic justification. Aesthetics, loosely defined as the appreciation of beauty, subsumes both ethics and economics within an holistic justificatory mechanism for business decisions.Five essential qualities of aesthetic judgment are identified: disinterest, subjectivity, inclusivity, contemplativity, and internality. The quality of aesthetic judgment, exercised by the individual through the organization, will determine the extent to which business activity enhances quality of life.

Us-Swiss Term Structures And Exchange Rate Dynamics, A. Can Inci

Finance Department Faculty Journal Articles

In this study, a multi-country nonlinear model is constructed to simultaneously estimate the exchange rate dynamics and the term structure of interest rates in the US and in Switzerland. The model has better empirical performance compared to the earlier well-known affine international models. Risk premiums of bond yields vary between the two countries. The estimated state variables exhibit local characteristics. These conclusions imply the potential advantages of international diversification and demonstrate the Home Bias phenomenon. Exchange rate dynamics estimated by the models account for the Forward Premium Anomaly. Introduction of jump diffusions provides marginal improvement.

Impact Of Country Financial Development On The Firm: International Evidence, A. Can Inci

Finance Department Faculty Journal Articles

The impact of financial development of a country on the earnings, capital spending, and stock returns of the firms of that country is the subject of this study. There are two different financial development indices which are utilized. The first is based on Love (2003), and the second is based on Khurana (2006). Using 40 different countries, the causality relationships and cumulative impacts of the lags of earnings and lags of capital spending on subsequent earnings, capital spending, and returns are examined for the financially developed countries and financially non-developed countries. Earnings and capital spending Granger-cause stock returns in financially …

Nova Southeastern University 2007-2008 Annual Report, Nova Southeastern University

NSU Annual Reports

No abstract provided.

Stock Market Theory, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (2003, August). Stock mkt theory 8/03 (Unpublished manuscript).
• Dittmar, A. K., & Dittmar, R. F. (2004, February). Stock repurchase waves: An explanation of the trends in aggregate corporate payout policy (Unpublished manuscript).
• Carlson, J. B. (2001, April 1). Why is the dividend yield so low? Federal Reserve Bank of Cleveland Economic Commentary. Federal Reserve Bank of Cleveland.
• University of Michigan News Service. (2004, December 15). Stock repurchases are replacing dividends. University of Michigan News Service.
• Farrell, C. (1998, May 11). Commentary: Does the dividend yield even matter? BusinessWeek. The McGraw-Hill Companies, Inc. …

Assorted Finance Notes, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (2004). Handwritten notes on financial theory, structural models, and asset arbitrage formulas (Unpublished manuscript).
• Shaikh, A. (2000). Working paper graphs detailing actual stock prices and post-Keynesian interest rate spreads (Unpublished manuscript).
• Ibbotson Associates. (1990). Exhibit 37: Month-by-month total percentage returns on common stocks and long-term government bonds from 1926 to 1990 (Unpublished chart).
• Siegel, J. J. (1998). Excerpts on market values, corporate profitability, and country market statistics from stocks for the long run. McGraw-Hill.
• Ordine, A. (2004). Mathematical theory of interest: Test 4 sample problems, solutions, and formulas for amortization schedules and sinking funds …

Are You Sure You're Saving Enough For Retirement?, Jonathan Skinner

Dartmouth Scholarship

Many view the soon-to-retire Baby Boomers as woefully unprepared for their golden years, while other economists have taken a more sanguine view of American levels of saving. And if Americans are failures at saving enough for retirement, why are some retirees so happy? The seemingly simple question of "Am I saving enough for retirement?" is apparently not so simple at all. Instead, it touches on a variety of deeper issues in economics, psychology, and health policy. I use the program ESPlanner to present life-cycle retirement wealth targets for a range of incomes and situations typical of American Economic Association members. …

Productivity Effects On Mexican Manufacturing Employment Before And After Nafta, Andre V. Mollick, Rene Cabral

School of Economics and Finance Faculty Publications

A vast literature employs vector autoregressions (VAR) methods in order to capture whether innovations in productivity lead to increases or decreases in employment for U.S. manufacturing. Studying 25 Mexican manufacturing industries with annual data from 1984 to 2000, we examine labour productivity (value added per employee) and total factor productivity (TFP) effects on Mexican manufacturing employment. We find that productivity measures vary considerably in Mexico. Making use of panel data methods that control for sector specific effects, the business cycle and real wages, interesting results emerge. First, there are strong positive impacts of TFP (without and with human capital) on …

Abnormal Trading Volume, Stock Returns And The Momentum Effects, Ying Zheng

Dissertations and Theses Collection (Open Access)

This paper intends to study the intermediate-term momentum and long-term reversal of stock prices by investigating the informational role of unusual trading volume for winner and loser stocks. I argue that unusual trading volume has different implications for winner and loser stocks. Specifically, high trading volume for losers is driven by purchases made by informed investors; while high trade volume for winners could be driven by either information or representativeness bias or both. The arguments are tested in the paper by showing that in the short run, losers/winners with high abnormal trading volume outperform losers/winners with low abnormal trading volume; …

Odious, Not Debt, Anna Gelpern

Georgetown Law Faculty Publications and Other Works

This article argues that the doctrine of Odious Debt, which has enjoyed a revival since the U.S. invasion of Iraq in 2003, frames the problem of odious debt in a way that excludes most of the problematic obligations incurred by twentieth-century despots. Advocacy and academic literature traditionally describe the odious debt problem as one of government contracts with private creditors. Most theories of sovereign debt key off the same relationship. But in the latest crop of cases, including Iraq, Liberia, and Nigeria, private creditors represent a small fraction of the old regime's debts. Most of the creditors are other governments …

Poverty Reduction: An Evaluation Of Micro Finance And Foreign Aid, Wade Summers

Honors Program Theses

Over the last 50 years, the United States has been pouring money into foreign aid, yet this aid has failed to bring the poor out of poverty. Micro finance institutions claim to they are able to increase the wealth of the poor. This paper will compare micro finance's ability to alleviate poverty against traditional uses of foreign aid. The results of this paper are while the profitability of micro finance is not clear, independent studies indicate that it has been successful in bringing the poor out of poverty. This paper concludes that micro finance should receive a larger portion of …

Interest Rate Hicks, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (2007). Theories of interest rates: Expectations and conventions in interest rate theories (Unpublished manuscript) (22-25_Inte... p. 2).
• Dodds, J. C., & Ford, J. L. (1992). Expectations, uncertainty and the term structure of interest rates. Taylor & Francis (22-25_Inte... p. 2).
• Ford, J. L., & Stark, T. (1967). Long and short-term interest rates: An econometric study. Augustus M. Kelley (22-25_Inte... p. 3).
• Ciocca, P., & Nardozzi, G. (1996). The high price of money: An interpretation of world interest rates. Clarendon Press (22-25_Inte... p. 3).
• Patinkin, D. (1972). Studies in monetary economics. Harper …

Interest Rate Theory Ii, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Competition, finance and interest rates v2 by Anwar Shaikh, PhD (Unpublished manuscript, July 16, 2007) (22-39_Int ... p. 3)
• Interest rates and Gibson's paradox by Anwar Shaikh, PhD (Unpublished handwritten notes, June 29, 2007) (22-39_Int ... p. 12)
• Theories of interest rates by Anwar Shaikh, PhD (Unpublished manuscript, July 5, 2007) (22-39_Int ... p. 13)
• Difference between bond ROR's and YTM's by Anwar Shaikh, PhD (Unpublished handwritten notes, November 24, 2004) (22-39_Int ... p. 17)
• Profit rates, interest rates, and arbitrage by Anwar Shaikh, PhD (Unpublished handwritten notes, June 13, 2007) (22-39_Int ... p. 22)
• Bond market …

Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung

Finance Faculty Publications

We find that the characteristics of real estate related securities are different from those of the general common equities. To help investors understand better the products offered by real estate mutual funds, we develop style descriptors that are specifically created for real estate related securities. Among the universe of real estate securities, we find real estate funds tilt toward large stocks and favor growth moderately over value. Growth managers outperform value mangers in this sector by 1.51% to 2.30% per year. However, there is evidence of shifts in the investment style among the funds. Our results help investors in evaluating …

Choices For Financing Fiscal And External Deficits, Ishrat Husain Dr.

Faculty Research - Newspaper and Magazine Articles

The on going debate on the growing trade and current account deficits and fiscal deficit needs to be encouraged as it creates awareness of economic issues among the general public and puts pressures on the policy makers to take corrective actions. However, this debate has so far been dominated by a superficial or highly perfunctory analysis perpetuated by two extreme positions. Those who wish to criticize and find fault with the government paint a doom and gloom day scenario and argue that deficits are a result of mismanagement and wrong economic policies pursued and pose a serious threat to macroeconomic …

Wal-Mart Bank In Mexico: Money To The Masses And The Home-Host Hole, Anna Gelpern

Georgetown Law Faculty Publications and Other Works

In November 2006 Wal-Mart's Mexican subsidiary received approval to open a bank. The application faced little opposition in Mexico, unlike the company's failed effort to start a bank in the United States. This was partly because in Mexico, Wal-Mart's entry was generally regarded as increasing competition in a historically concentrated banking sector. With over three-quarters of all Mexicans unbanked, the authorities also looked to Wal-Mart to reach the underserved. Along with the promise, Wal-Mart's entry presents a transnational regulatory dilemma with implications beyond Wal-Mart and Mexico. Because it is Wal-Mart's only banking venture, the new institution will have its Mexican …

Temporal Aggregation And Risk-Return Relation, Jin Xing, Leping Wang, Jun Yu

Research Collection School Of Economics

The function form of a linear intertemporal relation between risk and return is suggested by Merton's [1973. Econometrica 41, 867–887] analytical work for instantaneous returns, whereas empirical studies have examined the nature of this relation using temporally aggregated data, i.e., daily, monthly, quarterly, or even yearly returns. Our paper carefully examines the temporal aggregation effect on the validity of the linear specification of the risk–return relation at discrete horizons, and on its implications on the reliability of the resulting inference about the risk–return relation based on different observation intervals. Surprisingly, we show that, based on the standard Heston's [1993. Review …

Realized Daily Variance Of S&P 500 Cash Index: A Revaluation Of Stylized Facts, Shirley Huang, Qianqiu Liu, Jun Yu

Research Collection School Of Economics

In this paper the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang, Mykland and Ait-Sahalia (2005). The time series properties of realized daily variance are compared with those of variance estimates obtained from parametric GARCH and stochastic volatility models. Unconditional and dynamic properties concerning the realized daily variance are examined, the relationship between realized variance and returns is investigated, and the stylized facts concerning realized daily …

Modeling Transaction Data Of Trade Direction And Estimation Of Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka

Research Collection School Of Economics

This paper implements the Asymmetric AutoregressiveConditional Duration (AACD) model of Bauwens and Giot (2003) to analyzeirregularly spaced transaction data of trade direction, namely buy versus sellorders. We examine the influence of lagged transaction duration, lagged volumeand lagged trade direction on transaction duration and direction. Our resultsare applied to estimate the probability of informed trading (PIN) based on theEasley, Hvidkjaer and O’Hara (2002) framework. Unlike the Easley-Hvidkjaer-O’Hara model, which uses the daily aggregate number of buy and sellorders, the AACD model makes full use of transaction data and allows forinteractions between buy and sell orders.

Central Bank Of Nigeria Annual Report And Statement Of Accounts For The Year Ended 31st December 2006, Central Bank Of Nigeria

CBN Annual Report

This Report reviews the operations of the Central Bank of Nigeria (CBN) and macroeconomic developments during the fiscal year 2006 and appraises the major economic policy outcomes during the period. The Bank reported a stable foreign exchange market in 2006, with an average effective official exchange rate of N 128.65 per U.S dollar, an increase of 2.6% over 2005. The stock of external reserves, valued at US$12.30 billion, was 49.6% higher than in 2005, driven by high crude oil prices and lower debt-service burden. The reserves were equivalent to 28.4 months of import cover, exceeding the 6 months requirement under …