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2020

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Articles 1381 - 1410 of 2108

Full-Text Articles in Economics

Measuring The Risk In Risk Measures: The Case Of The Nigerian Foreign Exchange Market, K. Katata Mar 2020

Measuring The Risk In Risk Measures: The Case Of The Nigerian Foreign Exchange Market, K. Katata

Economic and Financial Review

As part of its mandate, the Central Bank of Nigeria (CBN) carried out a series of foreign exchange policy decisions from 2014 to 2016. This paper, therefore, evaluated model risk of two key risk measures, expected shortfall (ES) and value-at-risk (VaR), due to the CBN's policy decisions using daily data for the naira exchange rates covering 2010 to 2014, as well as, 2011 to 2015 for the respective policy resolutions. The risk measures were implemented using 6 different models, as the most common techniques used by regulators and practitioners. The implementation of Basel III recommends the switchover from VaR to …

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Is Inflation Always And Everywhere A Monetary Phenomenon? Evidence From Nigeria, J. K. Achua, H. Nagado, I. I. Okafor Mar 2020

Is Inflation Always And Everywhere A Monetary Phenomenon? Evidence From Nigeria, J. K. Achua, H. Nagado, I. I. Okafor

Economic and Financial Review

Is inflation always a monetary phenomenon in Nigeria? Autoregressive Distributed Lag (ARDL) results of Nigerian data, spanning 2005q1-2017q4, indicate that changes in money supply have no long-run significant impact on domestic price level behaviour. The results, however, reveal that non-monetary factors: import, global oil price, exchange rate, inflation expectation, fuel pump price and monetary policy rate significantly upsurge inflationary pressure. Conversely, household income (the shadow of unemployment) significantly dampens inflationary pressure while fiscal deficits moderate the pressure. The findings establish the dominance of structural and fiscal dynamics in the inflation equation of the economy.

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Network Competition And Team Chemistry In The Nba, William C. Horrace, Hyunseok Jung, Shane Sanders Mar 2020

Network Competition And Team Chemistry In The Nba, William C. Horrace, Hyunseok Jung, Shane Sanders

Center for Policy Research

We consider a heterogeneous social interaction model where agents interact with peers within their own network but also interact with agents across other (non-peer) networks. To address potential endogeneity in the networks, we assume that each network has a central planner who makes strategic network decisions based on observable and unobservable characteristics of the peers in her charge. The model forms a simultaneous equation system that can be estimated by Quasi-Maximum Likelihood. We apply a restricted version of our model to data on National Basketball Association games, where agents are players, networks are individual teams organized by coaches, and competition …

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Globalisation And Government Size In Nigeria: A Revisit Of The Compensation Hypothesis, P. I. Nwosa, T. O. Akinbobola Mar 2020

Globalisation And Government Size In Nigeria: A Revisit Of The Compensation Hypothesis, P. I. Nwosa, T. O. Akinbobola

Economic and Financial Review

The link between globalisation and government expenditure has remained contentious in the literature particularly from a disaggregated perspective. Hence, this study examines the compensation hypothesis by analysing the relationship between globalisation and government size in Nigeria for the period 1981 to 2018. Globalisation is proxied by trade and financial openness while government size is measured by final consumption expenditure by the general government (FCE), share of government expenditure on economic services (ECO), share of government expenditure on social and community services (SCS), and share of government expenditure on transfers (TRF). The study employed the error correction modelling technique and the …

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Analysis Of The Impact Of Central Bank Of Nigeria's Agricultural Intervention Funds On The Economy, E. T. Adamgbe, M. C. Belonwu, E. R. Ochu, I. I. Okafor Mar 2020

Analysis Of The Impact Of Central Bank Of Nigeria's Agricultural Intervention Funds On The Economy, E. T. Adamgbe, M. C. Belonwu, E. R. Ochu, I. I. Okafor

Economic and Financial Review

This paper set out to investigate the impact of Central Bank of Nigeria's interventions on the agricultural sector within an economy-wide framework of general equilibrium modelling. The paper adopted a dynamic (recursive), two-sector general equilibrium model of the Nigerian economy with some modifications on the standard model developed by the Centre for Econometric and Applied Research (CEAR) and incorporated the contributions of the CBN's agricultural based interventions as increases in the stock of agricultural capital to have a more robust size of interventions into the agricultural sector. The SAM used for the CGE model analysis was derived from the updated …

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Borderplex Business Barometer, Volume 4, Number 3, Thomas M. Fullerton Jr., Steven L. Fullerton, Ana Gutierrez Zubiate, Ignacio Santana Mar 2020

Borderplex Business Barometer, Volume 4, Number 3, Thomas M. Fullerton Jr., Steven L. Fullerton, Ana Gutierrez Zubiate, Ignacio Santana

Border Region Modeling Project

No abstract provided.

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Estimating Residential Water Demand In A Relocation Area With Inadequate Piped Water System, Rosalina Palanca-Tan Mar 2020

Estimating Residential Water Demand In A Relocation Area With Inadequate Piped Water System, Rosalina Palanca-Tan

Economics Department Faculty Publications

This paper assesses household water demand and estimates a demand equation particularly for low-income households in the Philippines. The study uses survey data on the value and volume of household water purchases from different water providers in a government resettlement area. The paper provides empirical evidence on the impact of average water price on household water consumption, as well as the effects of household income and size on household water consumption. The study finds that households buying water from jetmatic pump wells and water tankers pay more than five times that of those served by the piped water system. This …

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Visualizing Income Distribution In The United States, Sang T. Truong, Humberto Barreto Mar 2020

Visualizing Income Distribution In The United States, Sang T. Truong, Humberto Barreto

School of Business and Leadership Working Papers

Visit research.depauw.edu/econ/incomevis to see a novel, eye-catching visual display of the income distribution in the United States that conveys fundamental information about the evolution and current level of income inequality to a wide audience. We use IPUMS CPS data to create household income deciles adjusted for price level and household size for each of the 50 states and the District of Columbia from 1976 to 2018. We adjust for state price differences from 2008 to 2018. Plotting these data gives a 3D chart that provides a startling picture of income differences within and across states over time. Those interested in …

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(Wp 2020-02) Belief Reversals As Phase Transitions And Economic Fragility: A Complexity Theory Of Financial Cycles With Reflexive Agents, John B. Davis Mar 2020

(Wp 2020-02) Belief Reversals As Phase Transitions And Economic Fragility: A Complexity Theory Of Financial Cycles With Reflexive Agents, John B. Davis

Economics Working Papers

This paper aims to contribute to the analysis of expectations and belief reversals in an evolutionary and complexity economics framework. It formulates its analysis in terms of the concept of reflexivity, drawing on the ideas regarding reflexivity in financial markets of George Soros, and lays out a model of how a financial cycle expresses a systematic pattern of interacting feedback effects. The paper develops this analysis as a complex interaction between sets of heterogeneous expectations derived from the behavior of reflexive economic agents. Positive and negative feedback phases in a cycle are distinguished and associated with boom and bust stages …

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The Political-Economy Trilemma, Joshua Aizenman, Hiro Ito Mar 2020

The Political-Economy Trilemma, Joshua Aizenman, Hiro Ito

Economics Faculty Publications and Presentations

This paper investigates Rodrik’s political-economy trilemma: policy makers face a trade-off of choosing two out of three policy goals or governance styles, namely, (hyper-) globalization, national sovereignty, and democracy. We develop a set of indexes that measure the extent of attainment of the three factors for 139 countries in the period of 1975-2016. Using these indexes, we examine the validity of the hypothesis of the political-economy trilemma by testing whether the three trilemma variables are linearly related. We find that, for industrialized countries, there is a linear relationship between globalization and national sovereignty (i.e., a dilemma), and that for developing …

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A Computable General Equilibrium Modeling Of The Economic Effects Of Reducing Non-Tariff Measures In The Malaysian Food Sector, Siew Hoon Yew Mar 2020

A Computable General Equilibrium Modeling Of The Economic Effects Of Reducing Non-Tariff Measures In The Malaysian Food Sector, Siew Hoon Yew

Student Works (2020-2029)

The Malaysian food processing sector is highly regulated with non-tariff measures (NTMs), and particularly with standard NTMs applied to imports. Though these measures are used for legitimate reasons such as health and safety, some appear to have been instituted for political reasons and serve as “hidden” barriers to trade, given this sector is highly import intensive. This sector is therefore considered to be over regulated and it is argued that a reduction of restrictive NTMs and non-tariff barriers (NTBs) is needed to facilitate trade. Since NTMs, in general, are opaque and less transparent relative to tariffs, they pose a significant …

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Investing With Cryptocurrencies: A Liquidity Constrained Investment Approach, Simon Trimborn, Mingyang Li, Wolfgang Karl Hardle Mar 2020

Investing With Cryptocurrencies: A Liquidity Constrained Investment Approach, Simon Trimborn, Mingyang Li, Wolfgang Karl Hardle

Sim Kee Boon Institute for Financial Economics

Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have low liquidity compared to traditional assets, one needs to take into account liquidity issues when adding them to a portfolio. We propose a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which is a combination of risk-return portfolio optimization under liquidity constraints. Cryptocurrencies are included in portfolios formed with stocks of the S&P 100, US Bonds, and commodities. We illustrate the importance of the liquidity constraints in an in-sample and out-of-sample study. LIBRO improves the weight optimization in …

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Coastal Empire Economic Monitor, 4th Quarter, 2020, Georgia Southern University Center For Business Analytics And Economic Research Mar 2020

Coastal Empire Economic Monitor, 4th Quarter, 2020, Georgia Southern University Center For Business Analytics And Economic Research

Coastal Empire Economic Monitor

The Economic Monitor provides a continuously updated quarterly snapshot of the Savannah Metropolitan Statistical Area economy, including Bryan, Chatham, and Effingham counties in Georgia. The coincident index measures the current economic heartbeat of the region. The leading index is designed to provide a short-term forecast of the region's economic activity in the upcoming six to nine months.

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International Trade Policy Preferences: Evidence Of The Interaction Of Socio-Tropic Influences And Uncertainty Shocks, Joseph P. Daniels, Emily Kapszukiewicz, Marc Von Der Ruhr Mar 2020

International Trade Policy Preferences: Evidence Of The Interaction Of Socio-Tropic Influences And Uncertainty Shocks, Joseph P. Daniels, Emily Kapszukiewicz, Marc Von Der Ruhr

Economics Faculty Research and Publications

This paper provides new evidence supporting the hypothesis that patriotism and nationalism influence personal trade policy preferences in addition to the typical economic determinants. It also examines the interaction of the 9/11 terrorist attacks along with patriotism and nationalism on policy preferences. Using the Heckscher-Ohlin model as a theoretical framework, ordered probit estimations were applied to survey responses from an International Social Survey Program survey question about preferences towards limiting imports. Extensions of the model were sequentially estimated to investigate the impact of national identity on policy preferences. The model was augmented to test how feelings of nationalism and patriotism …

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Random Assignments Of Bundles, Shurojit Chatterji, Liu Peng Mar 2020

Random Assignments Of Bundles, Shurojit Chatterji, Liu Peng

Research Collection School Of Economics

We propose a model studying the random assignments of bundles with no free disposal. The key difference between our model and the one where objects are allocated (see Bogomolnaia and Moulin (2001)) is one of feasibility. The implications of this difference are significant. Firstly, the characterization of sd-efficient random assignments is more complex. Secondly, we are able to identify a preference restriction, called essential monotonicity, under which the random serial dictatorship rule (extended to the setting with bundles) is equivalent to the probabilistic serial rule (extended to the setting with bundles). This equivalence implies the existence of a rule on …

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A Behavioral Signaling Explanation For Stock Splits: Evidence From China, Chenyu Cui, Frank Weikai Li, Jiaren Pang, Deren Xie Mar 2020

A Behavioral Signaling Explanation For Stock Splits: Evidence From China, Chenyu Cui, Frank Weikai Li, Jiaren Pang, Deren Xie

Research Collection Lee Kong Chian School Of Business

We propose a behavioral signaling explanation for the positive announcement effects of stock splits. There are two key behavioral ingredients in our model. First, (retail) investors have misconceptions about stock splits that make them view stock splits as good news. Second, investors are loss-averse and will be particularly disappointed if a splitting firm’s ex-post performance falls short of expectation. In a separating equilibrium, only managers with favorable private information use stock splits to signal. Using a comprehensive sample of stock splits in China over the period of 1998 to 2017, we find supporting evidence: (1) stock splits elicit positive announcement …

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Why Commonality Persists?, Raja Velu, Zhaoque Zhou, Chyng Wen Tee Mar 2020

Why Commonality Persists?, Raja Velu, Zhaoque Zhou, Chyng Wen Tee

Research Collection Lee Kong Chian School Of Business

Studies on commonality in returns, order flows and liquidity find that the first principal component is closely aligned with the market factor. With the increasing presence of high-frequency trading, commonality in returns, order flows, and liquidity can potentially arise from the commonality in the interpretation of real-time signals. In this paper, we go beyond the first factor and show that the other dominant principal components consistently reflects investors' herding behavior, demonstrating the multi-dimensional aspect of commonality. Instead of relating the asset returns to order flows, we take both as endogenous, and provide empirical evidence showing that returns commonality is driven …

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The Classical Theory Of Supply And Demand, Sabiou M. Inoua, Vernon L. Smith Mar 2020

The Classical Theory Of Supply And Demand, Sabiou M. Inoua, Vernon L. Smith

ESI Working Papers

This paper introduces and formalizes the classical view on supply and demand, which, we argue, has an integrity independent and distinct from the neoclassical theory. Demand and supply, before the marginal rev-olution, are defined not by an unobservable criterion such as a utility func-tion, but by an observable monetary variable, the reservation price: the buyer’s (maximum) willingness to pay (WTP) value (a potential price) and the seller’s (minimum) willingness to accept (WTA) value (a potential price) at the marketplace. Market demand and supply are the cumulative distri-bution of the buyers’ and sellers’ reservation prices, respectively. This WTP-WTA classical view of …

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Let’S Chat... When Communication Promotes Efficiency In Experimental Asset Markets, Brice Corgnet, Mark Desantis, David Porter Mar 2020

Let’S Chat... When Communication Promotes Efficiency In Experimental Asset Markets, Brice Corgnet, Mark Desantis, David Porter

ESI Working Papers

The growing prevalence of stock market chat rooms and social media suggests communication between traders may affect market outcomes. Using data from a series of laboratory experiments, we study the causal effect of trader communication on the price efficiency of markets. We show that communication allows markets to convey private information more effectively. This effect is most pronounced when the communication platform publicizes a reputation score that might identify a person as not being truthful. This illustrates the need for market designers to consider social interactions when designing market institutions to leverage the social motives that foster information aggregation.

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Commentary: Where Does The Talent Pools Of Smes Come From?, T. Mandy Tham Mar 2020

Commentary: Where Does The Talent Pools Of Smes Come From?, T. Mandy Tham

Research Collection Lee Kong Chian School Of Business

In a commentary, SMU Assistant Professor of Finance Mandy Tham explored how ‘family members’ is defined could affect the size of talent pool for SMEs and family businesses, and suggested some criteria for the selection of family members to be nurtured for the SMEs and family businesses.

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Refusal Bias In Hiv Data From The Demographic And Health Surveys: Evaluation, Critique And Recommendations, Oyelola A. Adegboye, Tomoki Fujii, Denis H. Y. Leung Mar 2020

Refusal Bias In Hiv Data From The Demographic And Health Surveys: Evaluation, Critique And Recommendations, Oyelola A. Adegboye, Tomoki Fujii, Denis H. Y. Leung

Research Collection School Of Economics

Non-response is a commonly encountered problem in many population-based surveys. Broadly speaking, non-response can be due to refusal or failure to contact the sample units. Although both types of non-response may lead to bias, there is much evidence to indicate that it is much easier to reduce the proportion of non-contacts than to do the same with refusals. In this article, we use data collected from a nationally representative survey under the Demographic and Health Surveys program to study non-response due to refusals to HIV testing in Malawi. We review existing estimation methods and propose novel approaches to the estimation …

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Specification Tests For Temporal Heterogeneity In Spatial Panel Data Models With Fixed Effects, Yuhong Xu, Zhenlin Yang Mar 2020

Specification Tests For Temporal Heterogeneity In Spatial Panel Data Models With Fixed Effects, Yuhong Xu, Zhenlin Yang

Research Collection School Of Economics

We propose adjusted quasi score (AQS) tests for testing the existence of temporal heterogeneity in slope and spatial parameters in spatial panel data (SPD) models, allowing for the presence of individual-specific and/or time-specific fixed effects (or in general intercept heterogeneity). The SPD model with spatial lag is treated in detail by first considering the model with individual fixed effects only, and then extending it to the model with both individual and time fixed effects. Two types of AQS tests (naïve and robust) are proposed, and their asymptotic properties are presented. These tests are then fully extended to SPD models with …

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Common Power Laws For Cities And Spatial Fractal Structures, Tomoya Mori, Tony E. Smith, Wen-Tai Hsu Mar 2020

Common Power Laws For Cities And Spatial Fractal Structures, Tomoya Mori, Tony E. Smith, Wen-Tai Hsu

Research Collection School Of Economics

City-size distributions are known to be well approximated by power laws across a wide range of countries. But such distributions are also meaningful at other spatial scales, such as within certain regions of a country. Using data from China, France, Germany, India, Japan, and the United States, we first document that large cities are significantly more spaced out than would be expected by chance alone. We next construct spatial hierarchies for countries by first partitioning geographic space using a given number of their largest cities as cell centers and then continuing this partitioning procedure within each cell recursively. We find …

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Hybrid Stochastic Local Unit Roots, Offer Lieberman, Peter C. B. Phillips Mar 2020

Hybrid Stochastic Local Unit Roots, Offer Lieberman, Peter C. B. Phillips

Research Collection School Of Economics

Two approaches have dominated formulations designed to capture small departures from unit root autoregressions. The first involves deterministic departures that include local-to-unity (LUR) and mildly (or moderately) integrated (MI) specifications where departures shrink to zero as the sample size n -> infinity. The second approach allows for stochastic departures from unity, leading to stochastic unit root (STUR) specifications. This paper introduces a hybrid local stochastic unit root (LSTUR) specification that has both LUR and STUR components and allows for endogeneity in the time varying coefficient that introduces structural elements to the autoregression. This hybrid model generates trajectories that, upon normalization, …

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Random Assignment Of Bundles, Shurojit Chatterji, Peng Liu Mar 2020

Random Assignment Of Bundles, Shurojit Chatterji, Peng Liu

Research Collection School Of Economics

We propose a model studying the random assignments of bundles with no free disposal. The key difference between our model and the one where objects are allocated (see Bogomolnaia and Moulin (2001)) is one of feasibility. The implications of this difference are significant. Firstly, the characterization of sd-efficient random assignments is more complex. Secondly, we are able to identify a preference restriction, called essential monotonicity, under which the random serial dictatorship rule (extended to the setting with bundles) is equivalent to the probabilistic serial rule (extended to the setting with bundles). This equivalence implies the existence of a rule on …

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Welfare Consequences Of Access To Health Insurance For Rural Households: Evidence From The New Cooperative Medical Scheme In China, Jessica Ya Sun Mar 2020

Welfare Consequences Of Access To Health Insurance For Rural Households: Evidence From The New Cooperative Medical Scheme In China, Jessica Ya Sun

Research Collection School Of Economics

This study evaluates the welfare benefits of the New Cooperative Medical Scheme (NCMS), the main public health insurance plan for the rural population in China. The findings show that the value of the NCMS to recipients is slightly lower than the government's costs of implementation, ranging from 0.79 to 0.97 per RMB of the resource cost of the NCMS. The estimated moral hazard costs are low compared with the total benefits. It is also estimated that the benefits originating from the NCMS's insurance function only constitute 20% of the total benefits, suggesting a need for higher generosity levels among rural …

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Time-Series Momentum: Is It There?, Dashan Huang, Jiangyuan Li, Liyao Wang, Guofu Zhou Mar 2020

Time-Series Momentum: Is It There?, Dashan Huang, Jiangyuan Li, Liyao Wang, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

Time-series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return, and is the focus of several recent influential studies. This paper shows, however, that asset-by-asset time-series regressions reveal little evidence of TSM, both in- and out-of-sample. While the t-statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and non-parametric bootstraps. From an investment perspective, the TSM strategy is profitable, but its performance is virtually the same as that of a similar strategy that is based on historical sample mean and …

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Fighting Money Politics And Shamanic Practices, Guno Tri Tjahjoko Mar 2020

Fighting Money Politics And Shamanic Practices, Guno Tri Tjahjoko

Jurnal Politik

This study aims to describe the efforts of female candidates to break the practice of money politics and the influence of shamans in the 2018 Sriharjo subdistrict election (pilkades). The author used qualitative methods with a case study of the Sriharjo village-head election in Bantul Regency. The author collected primary data through interviews, in-depth group discussions, and observations. Secondary data were collected through a literature review, online articles, photos, and video studies of the pilkades process. The findings of this study show the practice of money politics carried out by “snipers,” whose job is to distribute envelopes containing money from …

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Estimation Of Fixed Effects Spatial Dynamic Panel Data Models With Small T And Unknown Heteroskedasticity, Liyao Li, Zhenlin Yang Mar 2020

Estimation Of Fixed Effects Spatial Dynamic Panel Data Models With Small T And Unknown Heteroskedasticity, Liyao Li, Zhenlin Yang

Research Collection School Of Economics

We consider the estimation and inference of fixed effects (FE) spatial dynamic panel data (SDPD) models under small T and unknown heteroskedasticity by extending the M-estimation strategy for homoskedastic FE-SDPD model of Yang (2018, Journal of Econometrics). Unbiased estimating equations are obtained by adjusting the conditional quasi-score functions given the initial observations, leading to M-estimators that are free from the initial conditions and robust against unknown cross-sectional heteroskedasticity. Consistency and asymptotic normality of the proposed M-estimator are established. The standard errors are obtained by representing the estimating equations as sums of martingale differences. Monte Carlo results show that the proposed …

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Sustainable Cooperation In International Trade: A Quantitative Analysis, Yuan Mei Mar 2020

Sustainable Cooperation In International Trade: A Quantitative Analysis, Yuan Mei

Research Collection School Of Economics

How does the presence of multilateral institutions affect the sustainability of trade-policy cooperation? Do free-trade agreements make multilateral cooperation less sustainable? Will countries be more likely to deviate from negotiated tariffs when more trade liberalization realizes in the future? These questions have been studied in theory literature using models that feature repeated games, but have yet to be quantitatively analyzed. In this paper, I propose a methodology to quantitatively characterize the equilibrium strategies on tariffs of various nations in a widely used repeated-game framework. I then apply this methodology to address these questions from a quantitative perspective. The numerical results …

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