Economics Commons^™

Dynamic Interactions Among Stock Prices, Interest Rates, Real Activity And Money In Malaysia, Chin Sieng Chong

Student Works (2000-2009)

This study investigates the causal relations and dynamic interactions among stock prices, real interest rate, real money balances and real activity in Malaysia using monthly data from January 1987 to December 2001. This full sample period is also divided into two sub-periods for analysis. The first sub-period covers January 1987 to August 1998 while the second sub-period covers September 1998 to December 2001. The conventional unit root tests suggest that all variables are integrated of order one. This finding is further supported by the results of the unit root test which allows for a structural break in the series. All …

Bank Consolidation As A Strategic Response To The Banking Crisis : An Analysis Of The Choice Of Anchor Banks, Talagavathi R. Karapayah

Student Works (2000-2009)

The financial crisis of 1997 and the result1ng effects showed the weaknesses and vulnerability of the Malaysian banking system. In addition, impending globalization and liberalization of the financial sector has increased the urgency to strengthen the banking sector. Strengthening of the banking sector was to be realized by the merger of banking institutions under 10 anchor banks. The decision to consolidate the banking industry under 10 anchor banks was a necessary decision but the reasons for the choice of these 10 banks were not explained. This paper looked at some of the possible reasons for the selection of the particular …

Industri Pengeluaran Makanan Di Malaysia : Prospek Dan Cabaran, Hasanah Badrul

Student Works (2000-2009)

Krisis kewangan yang melanda negara pada Julai 1997 sebenarnya telah menyedarkan Malaysia tentang kepentingan bekalan makanan negara. Krisis ini telah mendorong kerajaan mengkaji semula Dasar Pertanian Negara (DPN) bagi tujuan meningkatkan sekuriti bekalan makanan negara. Matlamat kerajaan menjadikan Malaysia sebagai negara pengeluar makanan boleh dicapai melalui beberapa pendekatan, langkah, galakan, polisi dan kerjasama daripada semua pihak sama ada di peringkat nasional, negeri ataupun daerah. Isu sekuriti bekalan makanan merupakan isu yang penting dan berkait rapat dengan industri pengeluaran makanan negara. Industri pengeluaran makanan di Malaysia mempunyai potensi dan prospek masa depan yang cerah. Ini kerana industri pengeluaran makanan telah diberi …

The Determinants Of Private College Tuition Fees : A Hedonic Approach, Miin See

Student Works (2000-2009)

In the private higher education markets in Malaysia today, education programs are marketed like any other commercial products. The programs are designed, packaged, priced and sold to the consumers - the students. Due to the fact that in these markets, the students are mostly self-funded (without scholarship) pricing strategy is one of the most important marketing tools used by the private higher education institutes (PHEIs). Using the hedonic pricing model, this study has identified several factors that are influential in determining the tuition fee of a degree program offered by a PHEI in Malaysia. This study investigates two markets: the …

Krisis Minsky Dan Kerapuhan Sistem Kewangan Di Indonesia, Irfan Sungkar

Student Works (2000-2009)

Berbagai keterangan dan jawapan telah diberikan oleh para pakar ekonomi dalam menjelaskan mengapa krisis kewangan boleh berlaku, termasuk dalam kes yang terjadi di Indonesia. Akan tetapi, secara amnya jawapan yang diberikan tersebut masih belum meyakinkan dan boleh dipertikaikan. Kertas kerja ini membahas apakah hipotesa dan hujah Minsky berkenaan dengan ketak-stabilan kewangan boleh diterapkan dalam memberikan penjelasan yang menyeluruh mengenai terjadinya krisis kewangan di Indonesia. Hujah Minsky berkenaan dengan terdapatnya suatu anjakan yang secara endogenous menyebabkan sistem kewangan menjadi tak stabil akan dikaji kesesuruannya di Indonesia. Hasil analisa dan dapatan kajian adalah membuktikan bahawa sememangnya telah terjadi suatu anjakan menuju ketak­stabilan …

Employee Perception On The Implementation Of The Performance Appraisal System At The University Of Malaya, Sazali Kamaruddin

Student Works (2000-2009)

The purpose of this study is to investigate and identify issues pertaining to the implementation of the current performance appraisal system, the New Remuneration System (NRS) with specific reference to the University of Malaya, Kuala Lumpur, Malaysia. This research also tries to examine the effectiveness of the NRS as one of the management tools for the determination of salary increment, promotion, bonuses and other employee benefits. Specifically the study aims to identify employee perception of the current performance appraisal system; whether it is a just and accurate system for the employees of the University of Malaya or otherwise. The result …

An Analysis Of The Islamic Unit Trusts In Malaysia, Mohd Nizam Barom

Student Works (2000-2009)

The objective of this research is to assess the growth, development and performance of the Islamic unit trust in Malaysia for almost a decade of its operation in the market. The growth and development of the sector is analysed using several indicator and compared with the overall unit trust industry. It is then followed by a risk-adjusted performance analysis of the Islamic funds based on three indices. namely the Adjusted Sharpe Index. Treynor Index and Adjusted Jensen Alpha. The analysis also includes adherence of risk and return characteristics of the funds to that stated objective, the degree of risk diversification …

The Community Economic Development Movement, William H. Simon

Faculty Scholarship

Within a five-minute walk of the Stony Brook subway stop in the Jamaica Plain section of Boston, you can encounter the following:

• A renovated industrial site of about five acres and sixteen buildings that serves as a business incubator for small firms that receive technical assistance from the Jamaica Plain Neighborhood Development Corporation (JPNDC), a nonprofit community development corporation, which is also housed there. Known as the Brewery after its former proprietor, a beer-maker, the complex is owned by a nonprofit subsidiary of JPNDC.
• A 44,000-foot "Stop & Shop" supermarket. The market opened in 1991 after years in which the …

An Empirical Analysis Of The Macroeconomic Effects Of Government Purchases, Eric Horent

LSU Doctoral Dissertations

This dissertation investigates the implications of different methods of identifying exogenous shocks to defense purchases for estimating the macroeconomic effects of shocks to government purchases. Four identification schemes are examined: the narrative approach of Ramey and Shapiro (1997), a more comprehensive narrative approach that tries to isolate exogenous reductions in defense purchases as well as exogenous increases in defense purchases, the Choleski decomposition, and long-run restrictions. The effects of alternative methods of identifying policy shocks are examined within two common VAR systems estimated over specific sample periods. The benchmark model includes four lagged values of defense purchases, real GDP, the …

The Role Of Partnerships In Economic Development And Labor Markets In The United States, Randall W. Eberts, George A. Erickcek

Upjohn Institute Working Papers

This paper describes the role of local partnerships in the delivery of workforce and economic development services in the United States. Partnerships include both public and private organizations and increasingly depend upon local business people for leadership. With grassroots organizations traditionally taking the lead in addressing local issues and a long history of decentralized government, it is not surprising that a labyrinth of partnerships characterize the provision of public services. This paper grew out of a study tour that the Upjohn Institute conducted in conjunction with the Local Employment and Economic Development (LEED) Committee of the Organization for Economic Co-Operation …

Money, Credit, And Banking In Colonial And Postcolonial West Africa, Akanmu G. Adebayo

Faculty Articles

Scholarship in African economic history has been dominated by a wave of revisionism lately. The degree of African indebtedness, the imperatives of loan repayment, and the long-term implications of ongoing political and economic changes, all make such a revision exigent indeed. Focusing on the Yoruba of southwestern Nigeria, this paper produces new evidence to reinterpret and redefine African precolonial financial institutions. The paper has two main parts. Part 1 focuses on the introduction of cowrie currency into Yorubaland and its impact on social stratification. Part 2 examines ajo, the savings institution, esusu, the rotating savings and credit associations (roscas), and …

Empirical Characteristic Function In Time Series Estimation, J. Knight, Jun Yu

Research Collection School Of Economics

Policymakers seeking to design efficient and smoothly functioning pension systems for their aging workforces are beginning to acknowledge the key importance of administrative expenses when formulating rules for pension plan structure and fee disclosure requirements. This study explores the links between retirement plan offerings and pension expenses for a wide range of private and public sector pension plan types, using an invaluable new data set on two thousand Australian pension funds. Our analysis indicates how pension plan design can strongly influence plan expenses and consequently eventual retirement security.

Forecasting Volatility In The New Zealand Stock Market, Jun Yu

Research Collection School Of Economics

This study evaluates the performance of nine alternative models for predicting stock price volatility using daily New Zealand data. The competing models contain both simple models such as the random walk and smoothing models and complex models such as ARCH-type models and a stochastic volatility model. Four different measures are used to evaluate the forecasting accuracy. The main results are the following: (1) the stochastic volatility model provides the best performance among all the candidates; (2) ARCH-type models can perform well or badly depending on the form chosen: the performance of the GARCH(3,2) model, the best model within the ARCH …

A Gaussian Approach For Continuous Time Models Of Short Term Interest Rates, Jun Yu, Peter C. B. Phillips

Research Collection School Of Economics

This paper proposes a Gaussian estimator for nonlinear continuous time models of the short-term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite-sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to US and British interest rates is given.

Neyman's Smooth Test And Its Applications In Econometrics, Anil K. Bera, Aurobindo Ghosh

Research Collection School Of Economics

No abstract provided.

Asset Prices, The Real Exchange Rate, And Unemployment In A Small Open Economy: A Medium-Run Structuralist Perspective, Hian Teck Hoon, Edmund S. Phelps

Research Collection School Of Economics

No abstract provided.

A Small-Sample Overlapping Variance-Ratio Test, Yiu Kuen Tse, K. W. Ng, Xibin Zhang

Research Collection School Of Economics

The null distribution of the overlapping variance-ratio (OVR) test of the random-walk hypothesis is known to be downward biased and skewed to the right in small samples. As shown by Lo and MacKinlay (1989), the test under-rejects the null on the left tail seriously when the sample size is small. This unfortunate property adversely affects the applicability of the OVR test to macroeconomic time series, which usually have rather small samples. In this paper we propose a modified overlapping variance-ratio statistic and derive its exact mean under the normality assumption. We propose to approximate the small-sample distribution of the modified …

Sovereign Bonds And The Collective Will, Lee C. Buchheit, G. Mitu Gulati

Faculty Scholarship

No abstract provided.

Monitoring Process Variability With Symmetric Control Limits, Zhenlin Yang

Research Collection School Of Economics

Control charts for monitoring process variability, such as the R-chart and S-chart, do not have symmetric probability limits as the distribution of the sample variability is not normal. Hence, the usual zone rules can not be applied although it is still desirable to be able to use the information from more than one point in decision making. In this paper, a modified S-chart based on an optimal normalizing transformation of the sample variance is first introduced. The new chart is shown to have approximate symmetric probability limits and hence can be interpreted in the same way as that of a …

Essays On The Bayesian Inequality Restricted Estimation, Asli K. Ogunc

LSU Doctoral Dissertations

Bayesian estimation has gained ground after Markov Chain Monte Carlo process made it possible to sample from exact posterior distributions. This research aims at contributing to the ongoing debate about the relative virtues of the Frequentist and Bayesian theories by concentrating on the qualitative dependent variable models. Two Markov Chain Monte Carlo (MCMC) methods have been used throughout this dissertation to facilitate Bayesian estimation, namely Gibbs (1984) sampling and the Metropolis (1953, 1970) Algorithm. In this research, several Monte Carlo experiments have been carried out to better understand the finite sample properties of Bayesian estimator and its relative performance to …

How Does Spousal Education Matter? Some Evidence From Cambodia, Tomoki Fujii, Sophal Ear

Research Collection School Of Economics

An econometric analysis of the World Food Programme Civil Insecurity Baseline Survey (1998) and Cambodia Socio-Economic Survey (1999) data is undertaken to examine the role of education and literacy in explaining household expenditure, as hypothesized in human capital theory where education is an investment with returns in the form of income. Explanatory variables were selected from a large set of observed variables by a systematic procedure to avoid the bias arising from arbitrary model selection. Spousal education and literacy are found to be significant explanatory variables in the determination of household expenditure, exceeding even the coefficients attached to the head …

A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations, Yiu Kuen Tse, Albert K.C. Tsui

Research Collection School Of Economics

In this article we propose a new multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. Whereas each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analog. Our new model retains the intuition and interpretation of the univariate GARCH model and yet satisfies the positive-definite condition as found in the constant-correlation and Baba-Engle-Kraft-Kroner models We report some Monte Carlo results on the finite-sample distributions of the maximum likelihood estimate of …

Estimation Of The Stochastic Volatility Model By The Empirical Characteristic Function Method, J. Knight, S. Satchell, Jun Yu

Research Collection School Of Economics

The stochastic volatility model has no closed form for its likelihood and hence the maximum likelihood estimation method is difficult to implement. However, it can be shown that the model has a known characteristic function. As a consequence, the model is estimable via the empirical characteristic function. In this paper, the characteristic function of the model is derived and the estimation procedure is discussed. An application is considered for daily returns of Australian/New Zealand dollar exchange rate. Model checking suggests that the stochastic volatility model together with the empirical characteristic function estimates fit the data well.

A History Of Revenue Forecasts, Mark Rider

Faculty Articles

Feenberg et al. (1989) apply a simple regression-based method to test the rationality of state revenue forecasts. Using the same regression-based methodology, we test the rationality of federal revenue forecasts for fiscal year 1802 through 2001. We find that Treasury forecasts of federal revenues satisfy the conditions of weak rationality.

Trade And Poverty In The Poor Countries, Jagdish N. Bhagwati, T.N. Srinivasan

Faculty Scholarship

While freer trade, or “openness” in trade, is now widely regarded as economically benign, in the sense that it increases the size of the pie, the recent anti-globalization critics have suggested that it is socially malign on several dimensions, among them the question of poverty.

Their contention is that trade accentuates, not ameliorates, and that it deepens, not diminishes, poverty in both the rich and the poor countries. The theoretical and empirical analysis of the impact of freer trade on poverty in the rich and in the poor countries is not symmetric, of course. We focus here only on the …