Econometrics Commons^™

Unraveling The Effects Of Transfer Pricing Documentation Regulation: Indonesia’ Evidence, Anggari Dwi Saputra

Jurnal Akuntansi dan Keuangan Indonesia

To counter tax avoidance using transfer mispricing practices, Indonesia introduced a transfer pricing documentation policy. This policy requires taxpayers to be transparent with their transfer pricing decisions. Treating the implementation of this policy as a shock to the taxpayers, this paper examines how the transfer pricing documentation policy affects a firm's tax avoidance behaviour by employing regression discontinuity design and difference-in-difference. Immediately after introducing the policy, a regression discontinuity analysis results indicate a 0.9 percentage point increase in tax/sales among taxpayers obligated to prepare transfer pricing documentation. A 0.3 to 0.7 percentage point increase in the tax/sales of the treatment …

Reducing Food Scarcity: The Benefits Of Urban Farming, S.A. Claudell, Emilio Mejia

Journal of Nonprofit Innovation

Urban farming can enhance the lives of communities and help reduce food scarcity. This paper presents a conceptual prototype of an efficient urban farming community that can be scaled for a single apartment building or an entire community across all global geoeconomics regions, including densely populated cities and rural, developing towns and communities. When deployed in coordination with smart crop choices, local farm support, and efficient transportation then the result isn’t just sustainability, but also increasing fresh produce accessibility, optimizing nutritional value, eliminating the use of ‘forever chemicals’, reducing transportation costs, and fostering global environmental benefits.

Imagine Doris, who is …

Financial Contagion And Financial Lockdowns, Gabriele Camera, Alessandro Gioffré

ESI Working Papers

Extreme financial shocks often elicit extraordinary policy interventions that preclude financial activity on a large scale, for example as the 1933 U.S. “bank holiday.” We study these interventions using a random matching framework where the financial contagion process is explicit and the diffusion of the initial shock can be analytically characterized. The study suggests that there is scope for forced closures of individual firms or even economy-wide financial lockdowns only when firms are financially vulnerable and policy institutions are not well-functioning. Here, ordinary policy alone cannot prevent or sufficiently mitigate contagion, while complementing it with a lockdown or individual closures …

Evolution Of Primate Vocal Repertoires: Vocal Systems As Embodied Capital For Mediating Within-Group Conflict, Eric Schniter, Mateo Peñaherrera-Aguirre

ESI Working Papers

Life history traits constrain investments in costly neural and somatic embodied capital, potentially shaping the evolution of primate vocal communication systems. This study integrates life history theory with the social complexity hypothesis to test a sequential pathway from longevity to social dynamics to vocal repertoire size, using updated vocal repertoire data for McComb & Semple’s (2005) set of 42 non-human primate species, alongside measures of group size and within-group conflict. We compiled data on vocal repertoire size, within-group conflict, group size, endocranial volume, and maximum longevity, analysing these via Phylogenetic Sequential Canonical Cascade Model and ancestral character reconstructions. …

Heat & Social Cooperation: The Effects Of Thermal Stress On Altruism, Alexander J. Courtman

Master's Theses

Recent literature has highlighted the effects of temperature on economic outcomes and violence in humans, on both the interpersonal and intergroup levels: as temperatures rise, humans are more likely to exhibit increased aggression and agitation. However, little research has been done on how pro-social behaviors like cooperation and altruism among humans might respond to increased temperatures. As extreme heat events increase in frequency, will humans and communities work together in the face of adverse shocks and crises? Leveraging experimental data collected randomized controlled trails held in 4 locations across the world, this paper seeks to establish a relationship between thermal …

Human-Robot Interactions: Insights From Experimental And Evolutionary Social Sciences, Eric Schniter

ESI Working Papers

"Experimental research in the realm of human-robot interactions has focused on the behavioral and psychological influences affecting human interaction and cooperation with robots. A robot is loosely defined as a device designed to perform agentic tasks autonomously or under remote control, often replicating or assisting human actions. Robots can vary widely in form, ranging from simple assembly line machines performing repetitive actions to advanced systems with no moving parts but with artificial intelligence (AI) capable of learning, problem-solving, communicating, and adapting to diverse environments and human interactions. Applications of experimental human-robot interaction research include the design, development, and implementation of …

Enlightenment Ideals And Belief In Progress In The Run-Up To The Industrial Revolution: A Textual Analysis, Ali Almelhem, Murat Iyigun, Austin Kennedy, Jared Rubin

ESI Working Papers

We trace the evolution of the language of science, religion, and political economy in the centuries leading to the British Industrial Revolution. Using textual analysis of 264,443 works printed in England between 1500 and 1900, we test whether British culture manifested a belief in progress associated with science and industry. Our analysis yields three main findings. First, there was a separation in the languages of science and religion beginning in the mid-18th century. Second, volumes using language at the nexus of science and political economy became more progress-oriented during the Enlightenment. Third, volumes using industrial language—especially those at the science-political …

Insights Into The Challenges Posed By Climate Change And Land Competition To Brazil’S Midwest Pulpwood Market, Roberto Hajime Sant Anna Kimura

Theses and Dissertations

I investigated the effect of climate change in one of the few expanding markets in the world in Brazil. In the last decades the demand for pulpwood increased from zero to 11 million tons, leading to an expansion of 700 thousand hectares of Eucalyptus plantation. In 2024, a new mill will start operating increasing the consumption of wood fiber by 8.2 million tons (+49%). I used mathematical programming to investigate how different scenarios of productivity and land will affect the market. My results showed that around 946,000 hectares (+124%) of additional timberland will be necessary in the upcoming decades. The …

Bitcoin And South African Stock Market Returns During Covid-19 Pandemic: A Test Of The Safe-Haven Hypothesis, Akaninyene U. Udom, Sopuru W. Nnamani

CBN Journal of Applied Statistics (JAS)

This paper tests the safe-haven property of Bitcoin for South African stocks using Full and Diagonal BEKK-GARCH models. The study uses the Johannesburg stock exchange Top40 index, and bitcoin returns data before COVID-19 (August 2018 to December 2019) and during COVID-19 (January 2020 to June 2021). The results show that bitcoin cannot be considered as safe-haven for stocks in South Africa since it is weakly correlated with stock and had a high volatility during the Pandemic. Therefore, the safe-haven hypothesis of bitcoin on South African stocks is not true for the period under study. The policy implication is that bitcoin …

Generalized Ratio-Product Cum Regression Variance Estimator In Two-Phase Sampling, Isah Muhammad

CBN Journal of Applied Statistics (JAS)

This study develops a flexible and efficient generalized ratio-product cum regression type estimator of population variance utilizing auxiliary variable in two-phase sampling that incorporates the properties of ratio-type and product-type estimators. The properties of the estimator were derived using first order approximation. The theoretical conditions under which the precision and the flexibility of the estimator is better than some classical estimators are also provided. Empirical evidence from five real datasets suggests that the proposed estimator outperforms the classical variance, ratio variance, product, and exponential ratio type estimators in terms of precision and efficiency. The estimator can be utilized to provide …

Modelling The Naira Exchange Rate Dependence Using Static And Time-Varying Copula, Kabir Katata

CBN Journal of Applied Statistics (JAS)

This paper examines the dependence structure of different currencies versus the Nigerian Naira using constant and time-varying copula. Daily Naira/USD, Naira/Yuan, Naira/Pound, and Naira/Euro exchange rates from 23 December 2011 to 12 May 2020 were utilised. We fitted eight constant and time-varying copula families using the exchange rate standardised residuals. The study finds that the Naira exchange rate may be estimated with student t-copula, Symmetrized Joe-Clayton (SJC), or Rotated Gumbel copula models and Autoregressive (AR)– Glosten Jagannathan RunkleGeneralized Autoregressive Conditional Heteroscedastic (GJR-GARCH) (1,1) models with skewed t residuals for margins. The Naira exchange rate returns is timevarying, tail-dependent, and asymmetric. …

External Debt Pass-Through To Inflation In Nigeria, Emmanuel A. Asue, James V. Ikyaator

CBN Journal of Applied Statistics (JAS)

This study examines external debt pass-through to inflation in Nigeria using annual data from 1981 to 2020 based on structural vector autoregressive (SVAR) model. The results reveal that an increase in external debt service leads to a significant depreciation of the exchange rate, which leads to a contemporaneous increase in inflation, while the direct response of inflation to external debt is statistically not significant. The impulse response confirms these results. The forecast error variance decomposition depicts that future values of official exchange rate depend on external debt, inflation and external debt service. The study recommends that the Nigerian government should …

Financial Inclusion And Poverty Reduction In Nigeria: The Role Of Microfinance Institutions, Okwudili W. Ugwuoke, Oliver E. Ogbonna, Aye-Agele Freeman

CBN Journal of Applied Statistics (JAS)

This study investigates the role of microfinance institutions as a vehicle for driving financial inclusion and alleviating poverty in Nigeria using the EFinA 2018 household survey data. The probit model, propensity score matching, and average treatment effect methods are applied for the analyses. The study finds that financial inclusion driven by access to, and usage of products/services provided by microfinance institutions reduces poverty. The study recommends among others the need for increased access to microfinance products/services and an integrated poverty reduction policies that identifies microfinance institutions as a critical enabler

Per Capita Gdp’S Potential Effect On The Percentage Of Children In Foster Care, Jenna Mcclain

Honors College Theses

Few studies have been conducted on the presence of a direct connection between per capita gross domestic product (GDP) and the percentage of children in foster care in a given region. GDP is a known indicator of economic growth (Powers, 1995; Roshaniza & Selvaratnam, 2015), as is a child’s potential for foster care placement associated with a parent or family’s financial status (Bald et. al, 2022; Barth et. al, 2010). Poverty is the bridge in many of these scenarios – low GDP can be indicative of higher poverty rates, and financial hardship under poverty classification can lead to child maltreatment …

The Effect Of Export-Related Measures On Indonesian Export Of Palm, Cpo, And Its Derivative Products, Edy Krismanto Sipayung, Christina Ruth Elisabeth

Economics and Finance in Indonesia

This study investigated the effect of Export-Related Measures (ERMs) imposed by the Government of Indonesia on the export volume and value of palm, Crude Palm Oil (CPO), and its derivatives products utilizing the export data of Indonesia to 194 destination countries in the 2011–2020 period. This study combined the dataset of ERMs from the United Nations Conference on Trade and Development (UNCTAD) database and relevant Indonesian regulations. The results reveal that ERMs have a positive and significant effect on both the export volume and value of Indonesian palm, CPO, and its derivatives products. The price-raising effect or costs of ERMs …

Exchange Rate Responses And Volatility Spillover Effects During The Covid-19 Pandemic In Indonesia, Panky Tri Febiyansah

Economics and Finance in Indonesia

This paper aims to assess the impact of the confirmed COVID-19 cases, the timing of the outbreak, and physical measures on the returns and spillover effects of exchange rate in Indonesia. The model will be tested by the exponential generalized autoregressive conditional heteroskedastic (EGARCH) process and the spillover volatility index. The study discovers that the confirmed cases, outbreak news, and the implementation of large-scale social restrictions simultaneously contribute to a leverage effect on the volatility of a direct quote of Indonesian Rupiah to Australian Dollar, Euro, US Dollar, Singapore Dollar, and Great British Pound. To a certain extent, the heatwave …

Dynamic Factor Copula Models With Estimated Cluster Assignments, Dong Hwan Oh, Andrew John Patton

Research Collection School Of Economics

This paper proposes a dynamic multi-factor copula for use in high-dimensional time series applications. A novel feature of our model is that the assignment of individual variables to groups is estimated from the data, rather than being pre-assigned using SIC industry codes, market capitalization ranks, or other ad hoc methods. We adapt the k-means clustering algorithm for use in our application and show that it has excellent finite-sample properties. Applying the new model to returns on 110 US equities, we find around 20 clusters to be optimal. In out-of-sample forecasts, we find that a model with as few as five …

Are Bond Returns Predictable With Real-Time Macro Data?, Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We investigate the predictability of bond returns using real-time macro variables and consider the possibility of a nonlinear predictive relationship and the presence of weak factors. To address these issues, we propose a scaled sufficient forecasting (sSUFF) method and analyze its asymptotic properties. Using both the existing and the new method, we find empirically that real-time macro variables have significant forecasting power both in-sample and out-of-sample. Moreover, they generate sizable economic values, and their predictability is not spanned by the yield curve. We also observe that the forecasted bond returns are countercyclical, and the magnitude of predictability is stronger during …

An Analysis Of Poverty Convergence: Evidence From Pennsylvania Counties, Angel Alcantara, Stephanie M. Brewer, James J. Jozefowicz

The Journal of Economics and Politics

This paper extends applications of unconditional and conditional β-convergence and σ-convergence analysis to poverty rates in a panel data sample of Pennsylvania counties during the period 1990-2019. Spatial structural breaks between rural and urban counties in Pennsylvania plus the possibility that Philadelphia County is an outlier are acknowledged to avoid spurious inferences. The findings support the existence of unconditional β-convergence in the pooled, urban, and rural samples with non-metropolitan areas exhibiting the greatest convergence. However, the largest conditional β-convergence is observed for urban counties, and this outcome is robust to the exclusion of Philadelphia County. Graphical evidence evinces a greater …

Economic Policy Uncertainty And Stock Portfolio Optimization: Cross Country Wavelet-Based Approach, Sara Iqbal, Waqar Ahmed Sethar, Suad Sindhiyao

CBER Conference

The purpose of this research is to assess the impact of Economic Policy Uncertainty (EPU) on the Sectoral returns of China, Pakistan, the USA, the UK, and India. The panel data consisting of EPU, and sectoral returns of Stock Market data of sample countries is from 2012 to 2022. To achieve the research objectives, the wavelet coherence method is used. By applying wavelet coherence analysis to the time series data of economic policy uncertainty and sector returns, researchers can explore how the coherence or correlation between these variables changes over different periods and frequency components which helps in assessing short-, …

Appraising Economic Development: Estimating Subnational Gdp For Pakistan Through Nightlights, Wajid Ali

CBER Conference

Pakistan, where inequalities and unbalanced development are prevalent. This study focuses on Pakistan as a case example and employs three distinct datasets, including nightime lights data from the Suomi National Polar-orbiting Partnership Visible Infrared Imaging Radiometer Suite (NPP-VIIRS), district-level information on prices and production of selected agricultural commodities, and population data from the LandScan Global Population project.

Will The Philippine Development Plan 2023-2028 Targets Be Met?, Jesus Felipe

Angelo King Institute for Economic and Business Studies (AKI)

EARLY THIS YEAR, President Ferdinand Marcos, Jr. signed the Philippine Development Plan 2023-2028 (PDP). The document contains hundreds of targets. Some of the key targets to be attained by 2028 are as follows (in fact, the Plan provides yearly targets):

1.) an annual growth rate of 6.5-8% (since 2024); 2.) a gross national income per capita of $6,044-$6,571 (50% higher than that in 2023); 3.) inflation between 2%-4% (from 2.5%-4.5% in 2023); 4.) a government fiscal deficit of 3% (from 6.1% in 2023); 5.) a debt-to-GDP ratio of 48%-53% (from 60%-62% in 2023); 6.) an unemployment rate of 4%-5% (from …

Suggested Versus Extended Gifts: How Alternative Market Institutions Mitigate Moral Hazard, Weiwei Zheng, Jason Shachat, Daniel Houser

ESI Working Papers

Gift exchange can partially mitigate supply-side moral hazard, even in anonymous market interactions. In a market where quality is not fully contractable, the amount that a price exceeds the market-clearing level for the lowest quality is a gift from the buyer. We show that the gift formation process, inextricably linked with a market institution’s price formation process, greatly influences the size and effectiveness of the gift. When the market institution dictates that prices are formed by bids posted by buyers, any gift is one extended to the seller. When the market institution dictates that prices are formed by offers posted …

Match Stability With A Costly And Flexible Number Of Positions, James Gilmore, David Porter

ESI Working Papers

One of the objectives of two-sided matching mechanisms is to pair two groups of agents such that there is no incentive for pair deviation. The outcome of a match can significantly impact participants. While much of the existing research in this field addresses the matching with fixed quotas, this is not always applicable. We introduce the concept of slot stability, recognizing the potential motivation for organizations to modify their quotas after the match. We propose an algorithm designed to create stable and slot stable matches by employing flexible, endogenous quotas to address this issue.

Estimating And Applying Autoregression Models Via Their Eigensystem Representation, Leo Krippner

Sim Kee Boon Institute for Financial Economics

This article introduces the eigensystem autoregression (EAR) framework, which allows an AR model to be specified, estimated, and applied directly in terms of its eigenvalues and eigenvectors. An EAR estimation can therefore impose various constraints on AR dynamics that would not be possible within standard linear estimation. Examples are restricting eigenvalue magnitudes to control the rate of mean reversion, additionally imposing that eigenvalues be real and positive to avoid pronounced oscillatory behavior, and eliminating the possibility of explosive episodes in a time-varying AR. The EAR framework also produces closed-form AR forecasts and associated variances, and forecasts and data may be …

Customer Capital And Trade Intermediaries: Evidence From China, Jungho Lee, Jianhuan Xu

Research Collection School Of Economics

Using a unique dataset that links the production and sales of Chinese exporting firms, we document that the value of export goods a firm produces often differs from the value of export goods that the firm sells in foreign markets. We show that this empirical pattern reflects that some exporters act as trade intermediaries, which we refer to as producer intermediaries. We further show that firms with higher accumulated marketing expenditures are more likely to become producer intermediaries. To understand the implications of our empirical findings, we develop a theoretical framework in which firms can lend and borrow customer capital …

Limit Theory For Locally Flat Functional Coefficient Regression, Peter C. B. Phillips, Ying Wang

Research Collection School Of Economics

Functional coefficient (FC) regressions allow for systematic flexibility in the responsiveness of a dependent variable to movements in the regressors, making them attractive in applications where marginal effects may depend on covariates. Such models are commonly estimated by local kernel regression methods. This paper explores situations where responsiveness to covariates is locally flat or fixed. The paper develops new asymptotics that take account of shape characteristics of the function in the locality of the point of estimation. Both stationary and integrated regressor cases are examined. The limit theory of FC kernel regression is shown to depend intimately on functional shape …

Connecting The (Dirty) Dots: Current Account Surplus And Polluting Production, Jungho Lee, Shang-Jin Wei, Jianhuan Xu

Research Collection School Of Economics

According to the existing open-economy macroeconomics literature, a current account surplus is associated with a welfare loss only when distortions exist in either savings or investment. We propose a new welfare effect even in the absence of such distortions. In our theory, a trade imbalance − the largest component of a current account imbalance − interacts with a country’s pollution control (“cleanness”) regime to generate welfare effects outside the standard channels. In particular, a trade surplus alters the shipping costs and composition of a country’s imports, producing a welfare loss associated with greater pollution.

How Global Value Chains Affect Economic Output And Unemployment: An Empirical Evidence From Asean Countries, Sri Juli Asdiyanti Samuda

Bulletin of Monetary Economics and Banking

This paper examines the effects of Global Value Chains on economic output and unemployment in ten ASEAN countries from 1999 to 2018. This study provides estimation using the system GMM and panel causality test to determine the effect of GVC thoroughly. The results indicate a positive and significant effect of global value chains on economic output in ASEAN countries. However, the findings also show that global value chains increase unemployment during the observation period. Heterogenous panel non-causality findings suggest that economic output does not affect the level of participation of GVC, but unemployment affects the level of participation in ten …

Religion And Growth, Sascha O. Becker, Jared Rubin, Ludger Woessmann

ESI Working Papers

We use the elements of a macroeconomic production function—physical capital, human capital, labor, and technology—together with standard growth models to frame the role of religion in economic growth. Unifying a growing literature, we argue that religion can enhance or impinge upon economic growth through all four elements because it shapes individual preferences, societal norms, and institutions. Religion affects physical capital accumulation by influencing thrift and financial development. It affects human capital through both religious and secular education. It affects population and labor by influencing work effort, fertility, and the demographic transition. And it affects total factor productivity by constraining or …