Economics Commons^™

Pitfalls And Possibilities In Predictive Regression, Peter C.B. Phillips

Cowles Foundation Discussion Papers

Financial theory and econometric methodology both struggle in formulating models that are logically sound in reconciling short run martingale behaviour for financial assets with predictable long run behavior, leaving much of the research to be empirically driven. The present paper overviews recent contributions to this subject, focussing on the main pitfalls in conducting predictive regression and on some of the possibilities offered by modern econometric methods. The latter options include indirect inference and techniques of endogenous instrumentation that use convenient temporal transforms of persistent regressors. Some additional suggestions are made for bias elimination, quantile crossing amelioration, and control of predictive …

Hot Property In New Zealand: Empirical Evidence Of Housing Bubbles In The Metropolitan, Ryan Greenaway-Mcgrevy, Peter C.B. Phillips

Cowles Foundation Discussion Papers

Using recently developed statistical methods for testing and dating exhuberant behavior in asset prices we document evidence of episodic bubbles in the New Zealand property market over the past two decades. The results show clear evidence of a broad-based New Zealand housing bubble that began in 2003 and collapsed over mid 2007 to early 2008 with the onset of the worldwide recession and the financial crisis. New methods of analyzing market contagion are also developed and are used to examine spillovers from the Auckland property market to the other metropolitan centres. Evidence from the latest data reveals that the greater …

Business Cycles, Trend Elimination, And The Hp Filter, Peter C.B. Phillips, Sainan Jin

Cowles Foundation Discussion Papers

We analyze trend elimination methods and business cycle estimation by data filtering of the type introduced by Whittaker (1923) and popularized in economics in a particular form by Hodrick and Prescott (1980/1997; HP). A limit theory is developed for the HP filter for various classes of stochastic trend, trend break, and trend stationary data. Properties of the filtered series are shown to depend closely on the choice of the smoothing parameter (λ). For instance, when λ = O ( n 4 ) where n is the sample size, and the HP filter is applied to an I(1) process, the filter …

Minimum Distance Testing And Top Income Shares In Korea, Jin Seo Cho, Myung-Ho Park, Peter C.B. Phillips

Cowles Foundation Discussion Papers

We study Kolmogorov-Smirnov goodness of fit tests for evaluating distributional hypotheses where unknown parameters need to be fitted. Following work of Pollard (1979), our approach uses a Cramér-von Mises minimum distance estimator for parameter estimation. The asymptotic null distribution of the resulting test statistic is represented by invariance principle arguments as a functional of a Brownian bridge in a simple regression format for which asymptotic critical values are readily delivered by simulations. Asymptotic power is examined under fixed and local alternatives and finite sample performance of the test is evaluated in simulations. The test is applied to measure top income …

Renting Trouble: Current Government Policy Of Relying On The Private Rented Sector To Deliver Social Housing Is Unlikely To Succeed, Tom Dunne

Reports

A review of the history of housing in Ireland shows that owner occupancy and social housing were policy choices by successive governments. Owner occupancy was heavily supported through a system of grants and tax breaks and social housing was directly provided through local authorities at subsidised rents. In recent years policy has changed and tenure neutrality is now guiding the government’s attitude to housing. This is a significant change which has not been sufficiently discussed and has consequences which are not appreciated. Relying on the market to provide rental housing for people on low incomes and who may be in …

Still “Saving Babies”? The Impact Of Child Medicaid Expansions On High School Completion Rates, Lincoln H. Groves

Center for Policy Research

Precipitated by the legislative decision to decouple child Medicaid benefits from welfare receipt, the number of young children qualifying for public health insurance grew markedly throughout the 1980s and early 1990s. From a baseline of roughly 15% in the average state at the beginning of the decade, the rate increased to more than 40% of all young children in the United States by the time all federal mandates were fully enacted in 1992. This paper extends the academic literature examining early childhood investments and longer-term human capital measures by exploring whether public health insurance expansions to low-income children led to …

Depression As Sickness Behavior? A Test Of The Host Defense Hypothesis In A High Pathogen Population, Jonathan Stieglitz, Benjamin C. Trumble, Melissa Emery Thompson, Aaron D. Blackwell, Hillard Kaplan, Michael Gurven

ESI Publications

Sadness is an emotion universally recognized across cultures, suggesting it plays an important functional role in regulating human behavior. Numerous adaptive explanations of persistent sadness interfering with daily functioning (hereafter “depression”) have been proposed, but most do not explain frequent bidirectional associations between depression and greater immune activation. Here we test several predictions of the host defense hypothesis, which posits that depression is part of a broader coordinated evolved response to infection or tissue injury (i.e. “sickness behavior”) that promotes energy conservation and reallocation to facilitate immune activation. In a high pathogen population of lean and relatively egalitarian Bolivian foragerhorticulturalists, …

Economic Freedom And Participation In Physical Activity, Joshua C. Hall, Brad R. Humphreys, Jane E. Ruseski

Economics Faculty Working Papers Series

Physical activity is an important part of a healthy lifestyle and influences a variety of health outcomes. A recent paper has found economic freedom to be positively associated with greater participation in physical activity in a sample of 34 European countries. We empirically investigate the relationship between economic freedom and physical activity across U.S. states. Contrary to the cross-country results, we find that states with higher levels of economic freedom have lower rates of participation in physical activity.

Testing Mean Stability Of Heteroskedastic Time Series, Violetta Dalla, Liudas Giraitis, Peter C.B. Phillips

Cowles Foundation Discussion Papers

Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead to unsupported and controversial conclusions about time dependence, causality, and the effects of unanticipated shocks. In spite of what may seem as obvious differences between a time series of independent variates with changing variance and a stationary conditionally heteroskedastic (GARCH) process, such processes may be hard to distinguish in applied work using basic …

Effects Of Monetary Policy On The Banking System Stability In Nigeria, A. Bamidele, J. Musa, L. Bala-Keffi, O. Owolabi, S. Imam

Economic and Financial Review

The paper examined the effect of monetary policy on banking system stability in Nigeria. The main objective was to evaluate how monetary policy affected the banking system stability during the global financial crisis in Nigeria. Static and dynamic error correction models were estimated using monthly data from January 2007 to June 2013 and the error correction model was found most efficient. The banking system stability index was computed using banking soundness index, banking vulnerability index and economic climate index. The results showed that increase in monetary policy rate, depreciation of nominal exchange rate and rising inflation rate negatively affected the …

An Empirical Analysis Of The Effect Of Monetary Policy On The Manufacturing Sector In Nigeria, M. Ali, H. Aliero, M. Abubakar

Economic and Financial Review

This study examined the effect of monetary policy on the manufacturing sector in Nigeria from 1970 to 2012 using Autoregressive Distributed Lag (ARDL) bound testing approach. Exchange rate was found as the only channel of monetary policy transmission with significantly negative effect on the manufacturing sector. This implies that manufacturing firms largely rely on foreign inputs for production and do not depend on the banking system for funding. The study, therefore, recommends indigenous technology and financial system development to reduce dependence on imported inputs and facilitate access to more funds.

Factors Explaining Exchange Rate Volatility In Nigeria: Theory And Empirical Evidence, H. E. Oaikhenan, O. S. Aigheyisi

Economic and Financial Review

The study empirically investigated the factors explaining the volatility of the bilateral exchange rate of the naira to the U.S. dollar, using data for 1970-2013 period. The EGARCH (1.1) modeling technique was used. The empirical evidence indicated that volatility of the naira exchange rate was characterised by clustering, strong leverage effect and moderate degree of persistence. It was found that increased net capital flows, greater integration of the Nigerian economy into the global market, deepening of the nation’s financial system, favourable crude oil prices, increase in the level of external reserves as well as economic growth were germane to dampening …

Sources And Impact Of Excess Liquidity On Monetary Policy In Nigeria, S. A. Ukeje, D. Amanze, L. Akinboyo, K. Ajayi

Economic and Financial Review

This paper examined the sources and effects of excess liquidity in the Nigerian banking system. The Deposit Money Banks (DMBs) in Nigeria do not hold voluntary reserve over and above the required reserve for precautionary reasons depending on their risk appetite. The practice over the years has been that DMBs constrained themselves by holding involuntary reserve which is a major concerns to the monetary authorities. The ideal situation is that banks should deploy excess reserves as loans to the public and invest in government securities, but on the contrary this is not done based on the profit maximisation tendencies of …

Experiential Knowledge And Interdisciplinary Approaches To Address Herbicide Resistance: Insights From Theory And Practice, David Shaw, David E. Ervin

Economics Faculty Publications and Presentations

The exponential increase in herbicide resistant weeds around the globe poses a “wicked problem” that resists solutions developed from disciplinary science (Ervin and Jussaume; Shaw). Traditonal voluntary education and technical assistance approaches have failed to stem the advance of resistance. Scholars and practitioners recognize that improved understanding of human behavior leading to more resistant weeds must provide the foundation of knowledge for innovating more effective approaches. Principles to negotiate progress on wicked problems stress interdisciplinary approaches that integrate frontier social and natural science concepts with stakeholder experiences to discover novel approaches (Sayer et al). Standard templates to address the problem …

Legal Risk And Investor Protection For Retail Investment Products: An Empirical Study Of Lawsuits Regarding Mutual Funds And Structured Notes In Taiwan, Christopher C. H. Chen

Research Collection Yong Pung How School Of Law

This article analyses the results of 322 lawsuits regarding retail mutual funds and structured notes in Taiwan between 2000 and 2012 and their relationship with other factors such as investors’ personal characteristics, main arguments and causes of action. This article has the following major findings: (1) the winning rate for investors was quite low, meaning that banks face low legal risk from misselling claims; (2) investors were not better off by filing a complaint to the Banker’s Association; (3) we have not proved the courts showing preference for investors with certain personal traits due to limited information available; (4) a …

Assessing Alabama Consumer Attitudes And Beliefs About Locally Or Regionally Produced Livestock And Products, Nii O. Tackie, Jannette R. Bartlett, Akua Adu-Gyamfi

Professional Agricultural Workers Journal

Abstract

Local and regional food production has gained increased interest of consumers in recent years. The study, therefore, focused on assessing consumer attitudes and beliefs on local or regional livestock products. Data were obtained from a convenience sample of 432 participants from South Central Alabama, and were analyzed using descriptive statistics, including chi-square tests. A majority of respondents thought using chemicals and additives in locally or regionally produced beef or goat meat was a serious hazard. Therefore, many were willing to pay more for meat certified as locally or regionally produced. Also, most agreed or strongly agreed with statements on …

Cognitive Function And Human Capital Accumulation Across The Day: Evidence From Randomized School Schedules, Teny Maghakian Shapiro, Kevin M. Williams, James E. West

Economics

This study examines how variation of within-day cognitive function affects human capital accumulation. Cognitive function, which neurobiologists have found varies widely across the day, has thus far been an important omission in the economics literature. We quantify its role on human capital accumulation using data from five cohorts of college freshman at the United States Air Force Academy, where students face randomized scheduling and a common set of classes and exams. We find clear evidence that daily fluctuations in cognitive function affects academic achievement-a student does 0.25 standard deviations better at her highest observed ability than at her worst. Cognitive …

Availability Of Higher Education And Educational Outcomes: Quantifying The Impacts Of College Openings And Cohort Size, Teny Maghakian Shapiro

Economics

Research has established the benefits of higher education and the importance of affordability, however less is known about how the availability of higher education affects educational attainment. By constructing a comprehensive dataset on college openings in the U.S. from 1969 to 1991, I show that exogenous variation in two-year and four-year college availability, caused by changed birth cohort sizes and local college openings, substantially affects educational attainment. New four-year colleges increase the likelihood of obtaining a Bachelor's degree, while new two-year colleges only affect Associate's degree attainment. Additionally, results show that students from larger cohorts are crowded out of four-year …

Gold Mining And Economic And Social Change In West Africa, Michael Kevane

Economics

Economic theory often suggests that social institutions are strongly influenced by specific geographic features of regions. The history of gold mining in West Africa, however, suggests that the relationship between mineral resources and social organization is complex and fluid. First, over the centuries gold mining revenues may have encouraged state formation, but at the same time opportunities for conflict and corruption may have undermined state functioning. Second, while gold extraction and trade required social organization, the interpersonal relationships engendered by gold mining also led to new identities and social institutions. These dialectical considerations illustrate how simple theories of how geography …

دور فجوة الهو ةٌ التنظ مٌ ةٌ ف ز اٌدة سلوك العمل المنحرف دراسة تحل لٌ ةٌ لآراء ع نٌة من العامل نٌ ف معمل سمنت الكوفة, عامر علي حسين العطوي, خيرية عبد فضل الخالدي

Muthanna Journal of Administrative and Economics Sciences

المستخلص يهدف هذا البحث إلى اختبار دور فجوة الهوية التنظيمية في زيادة سلوك العمل المنحرف لعينة من العاملين في معمل سمنت الكوفة , إذ تم توزيع (307) استمارة استبيان على العاملين ورؤساء الأقسام في معمل سمنت الكوفة. وبعد تفحص الاستمارات المسترجعة استبعدت (15) استمارة لعدم صلاحيتها وعدم تحقيق الشروط المطلوبة للإجابة عن الاستبيان، وبذلك يكون عدد الاستمارات الصالحة للدراسة والتحليل (292) استمارة. يضم مفهوم فجوة الهوية التنظيمية متغيرين هما خصائص هوية المنظمة الحالية وخصائص هوية المنظمة المثالية او المرغوبة اما متغير سلوك العمل المنحرف فيتكون من ثلاث أبعاد رئيسة هي: سلوك العمل المنحرف تجاه المنظمة، و سلوك العمل المنحرف تجاه …

دور فجوة الهو ةٌ التنظ مٌ ةٌ ف ز اٌدة سلوك العمل المنحرف دراسة تحل لٌ ةٌ لآراء ع نٌة من العامل نٌ ف معمل سمنت الكوفة, عامر علي حسين العطوي العطوي, عبد فضل الخالدي

Muthanna Journal of Administrative and Economics Sciences

المستخلص يهدف هذا البحث إلى اختبار دور فجوة الهوية التنظيمية في زيادة سلوك العمل المنحرف لعينة من العاملين في معمل سمنت الكوفة , إذ تم توزيع (307) استمارة استبيان على العاملين ورؤساء الأقسام في معمل سمنت الكوفة. وبعد تفحص الاستمارات المسترجعة استبعدت (15) استمارة لعدم صلاحيتها وعدم تحقيق الشروط المطلوبة للإجابة عن الاستبيان، وبذلك يكون عدد الاستمارات الصالحة للدراسة والتحليل (292) استمارة. يضم مفهوم فجوة الهوية التنظيمية متغيرين هما خصائص هوية المنظمة الحالية وخصائص هوية المنظمة المثالية او المرغوبة اما متغير سلوك العمل المنحرف فيتكون من ثلاث أبعاد رئيسة هي: سلوك العمل المنحرف تجاه المنظمة، و سلوك العمل المنحرف تجاه …

The Impact Of Obstacles To The Application Of Electronic Management On The Functions Of Customer Relationship Management: An Exploratory Study Of The Opinions Of A Sample Of Al-Rafidain Bank Employees, The Right Side In Al-Qadisiyah Governorate, Khawla Radi Azaab

Muthanna Journal of Administrative and Economics Sciences

ملخص الدراسةتهتم الدراسة الحالية باستكشاف طبيعة تأثير معوقات تطبيق الإدارة الالكترونية على وظائف إدارة علاقات الزبون، اتخذت الدراسة من موظفي مصرف الرافدين عينة لها، حيث تم توزيع استمارة استبيان بواقع (60) استبانة (50) استبانة صالحة للتحليل و(10) استبانة غير صالحة أي نسبة استجابة تبلغ 83 % وجرى تحليل البيانات باستخدام الأساليب الإحصائية الملائمة (الأوساط الحسابية والانحرافات المعيارية والارتباط والانحدار). وبعد تحليل النتائج، أتضح وجود علاقة ارتباط وأثر بين معوقات تطبيق الإدارة الالكترونية وإدارة علاقات الزبون. وخرجت الدراسة بجملة من الاستنتاجات أهمها المحاولات جادة من قبل المصرف لتطبيق الإدارة الالكترونية لتسهيل إجراءات العمل الإداري وتقليل الوقت والجهد والسرعة في انجاز العمل. …

قياس الأداء الشركات الصناعية وفق بطاقة الأداء المتوازن (دراسة ميدانية لمجموعة من الشركات الصناعية في محافظة الديوانية), خضير مجيد علاوي

Muthanna Journal of Administrative and Economics Sciences

ملخص الدراسةتعد بطاقة الأداء المتوازن إحدى تقنيات إدارة الكلفة الإستراتيجية وأنموذجا أكثر شمولا لقياس وتقييم الأداء لاشتماله على إطار متكامل يتضمن العديد المقاييس المالية وغير المالية والتي تمثل جزءا من نظام معلومات متكامل للمستويات الإدارية المختلفة , ويهدف البحث إلى قياس الاداء في الشركات الصناعية من خلال استطلاع أراء مجموعة من المدراء لغرض تطبيق هذه التقنية الحديثة في (مجموعة من الشركات الصناعية في محافظة الديوانية ) لغرض تقويم أداءها الاستراتيجي لأجل تمكين المديرين من اتخاذ قرارات رشيدة لزيادة كفاية وفاعلية أداءهم وبما يحقق أهداف الوحدة الاقتصادية والاستمرار في سوق المنافسة والتكيف مع الظروف البيئية التي تتصف بالتغيير والتقييد وذلك من …

دور القطاع الصناعي الخاص في تخفيض معدلات البطالة مع التركيز على اقليم كردستان العراق للفترة (2005 -2010 ), شيماء محمد نجيب المرتضى

Muthanna Journal of Administrative and Economics Sciences

ملخص الدراسة يساهم القطاع الصناعي الخاص في الدول النامية وبالأخص في الدول التي تمر بمراحل انتقالية في الاقتصاد دورا مهما لرفع كفاءة الأداء الصناعي ، فيهدف البحث الى دراسة وتحليل دور القطاع الخاص الصناعي في الإقليم فى توفير فرص العمل للفترة من عام ) 2005 -2010) لرفع الكفاءة الاقتصادية والإنتاجية من اجل خفض معدلات البطالة والحد من الفقر من خلال مساهمة القطاع الخاص الصناعي ، ومن اجل الوقوف على تطور مؤشرات عدد المنشات الصناعية الخاصة و رؤس الاموال المستثمرة في الصناعة وفرص العمل فى القطاع الخاص الصناعي ، وإيجاد الحلول للعديد من المشاكل الاقتصادية التي تواجه القطاع الصناعي في العراق …

مدى تأثير تطبيق محاسبة القيمة العادلة على جودة المعلومات المحاسبية دراسة ميدانية على عدد من الشركات المدرجة في سوق الخرطوم للأوراق المالية, الفاتح الامين عبد الرحيم

Muthanna Journal of Administrative and Economics Sciences

ملخص الدراسةتتناول الدراسة مدى تأثير محاسبة القيمة العادلة على جودة المعلومات المحاسبية. وتتمثل مشكلة الدراسة في السؤال الرئيسي التالي: ما هو تأثير تطبيق محاسبة القيمة العادلة على خصائص المعلومات المحاسبية؟ وذلك بهدف بيان تأثير استخدام القيمة العادلة على جودة المعلومات المحاسبية.ولتحقيق أهداف الدراسة تمّ إتباع المنهج الاستقرائي والاستنباطي والمنهج الوصفي ،حيث تمّ في الجانب النظري من الدراسة مراجعة الأدبيات ذات الصلة بمحاسبة القيمة العادلة، واستخدم المنهج الاستقرائي في تحليل المشكلة وتحديد مكوناتها، بينما اعتمد الباحث على المنهج الاستنباطي في صياغة فروض البحث. أما المنهج الوصفي فقد تم الاعتماد عليه في الجانب الميداني.ومن أهم النتائج التي تم التوصل إليها: تساهم القيمة …

Currency Substitution: Evidence From Nigeria, Sani I. Doguwa

CBN Journal of Applied Statistics (JAS)

This paper examines the existence, causes and effects of currency substitution in Nigeria by estimating conventional money demand equations based on a partial adjustment and an autoregressive distributed lag models using three definitions of monetary aggregates. The behavior of the foreign currency/Naira deposit ratios have been influenced by devaluation expectations, exchange rate risks and political uncertainties during the Yar’adua-Jonathan presidency. Also, the money demand estimations reveal that short-term foreign interest rates significantly affect the demand for the Naira, suggesting strong evidence of currency substitution and the possibility of importing considerable instability in the economy.

On Time Series Modeling Of Nigeria’S External Reserves, Doguwa I. Sani, Sarah O. Alade

CBN Journal of Applied Statistics (JAS)

This paper proposes three short-term forecasting models for the adjusted external reserves using the seasonal autoregressive integrated moving average (SARIMA), seasonal autoregressive integrated moving average with an exogenous input (SARIMA-X) and an autoregressive distributed lag (ARDL) processes. The performances of the proposed models are compared with the existing model obtained using an autoregressive integrated moving average (ARIMA) process using the pseudo-out-of-sample forecasting procedure over July 2013 to May 2014. The results show that SARIMA model outperformed the other models in three to six months forecast horizon, whereas ARDL model performs better in one to two months forecast horizon. Therefore, in …

Impact Of The 2007/2008 Global Financial Crisis On The Stock Market In Nigeria, Peter Njiforti

CBN Journal of Applied Statistics (JAS)

The convergence of global economy makes all countries and all markets sensible to the happenings in other countries (the contagious effect). The 2008 global financial crisis that had its origin from USA was alleged to have had varying degree of impacts on different capital markets in various countries. This paper investigated the impact of the 2007/2008 global financial crisis on the Nigerian capital market. Monthly time series data from January 2006 to December 2009. All Share Index (ASI) was used as proxy for the performance of the Nigerian Capital market, while Credit to the Private Sector (CPS), Price of Crude …

Fiscal Decentralization, Economic Growth And Human Resource Development In Nigeria: Autoregressive Distributed Lag (Ardl) Approach, Elijah Udoh, Udoma Afangideh, Elias A. Udeaja

CBN Journal of Applied Statistics (JAS)

There is a widespread belief that fiscal decentralization is an effective tool for increasing the efficiency of public expenditures. Decentralization is expected to boost accountability and transparency in the provision of public goods for the well-being of the society. However, countervailing views maintain that little or no impact has been created at the periphery in terms of improving the welfare of the people in Nigeria. The main objective of this paper was to investigate how the decentralized system of expenditure impacted on human resource development in Nigeria. Using ARDL/Bounds Testing approach and data for the period 1980 to 2012, the …

Queue Modelling For Successful Implementation Of The Cash-Less Policy In Nigeria, Amos N. Dauda, Kenneth N. Korve, Onuche P. Agada

CBN Journal of Applied Statistics (JAS)

In line with the realization of the vision of the cash-less policy as being fronted by the Central Bank of Nigeria, this paper seeks to solve problems of long waiting time and queue lengths of customers known to be associated with the queuing system of the Automated Teller Machine (ATM), an indispensable piece of machinery for successful implementation of the policy. To this end, the M/G/1 model, a single-channel queuing model with Poisson arrivals, General distribution service time has been applied in modelling the ATM queuing system across three commercial banks: Guarantee Trust Bank (GTB), Diamond bank and Ecobank all …