Econometrics Commons^™

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 …

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 …

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 …

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 …

Self-Financing, Parental Transfer, And College Education, Jungho Lee, Sunha Myong

Research Collection School Of Economics

We show that financial constraints can affect the human capital accumulation of college students by influencing students’ labor supply. We document that many college students work a substantial number of hours at low-skill jobs, and students who have fewer financial resources (in particular, parental transfer) tend to work more. We develop a model that incorporates college students’ labor supply and its interaction with parental transfer in the presence of financial constraints. By estimating the model, we quantify the trade-off between self-financing and human capital accumulation and discuss the implications of a wage subsidy policy.

Are There Differences In Household Borrowing Across Religions?, Seth Dunn

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This study explores the relationship between religion and economic behavior, specifically asking whether variations in household borrowing can be attributable to identification with different Christian religious traditions across the United States. The hypothesis of different borrowing behaviors across religions is motivated historically and theoretically. Historical data from l967 and 1971 are used in ordinary least squared and logistic regression analyses. Density of religious affiliations and relevant controls are used to predict households’ debt and attitudes towards different reasons for borrowing. Some differences across religions are found. This research contributes to a broader literature exploring the impact of religion on economic …

Understanding Factors Influencing Electric Vehicle Adoption: Evidence From Panel Data Analysis, Ryker Brian

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This paper investigates the factors influencing the adoption of electric vehicles (EVs) using panel data from California. The analysis employs a panel data model with within effects to examine the relationship between EV adoption rates and various socio-economic factors. The continued analysis gives out-of-sample forecasted results for the 4 counties with the highest share of electric vehicles registered in 2021. Additionally, the paper explores the influence of supply-side issues and complementary infrastructure on EV adoption. An introduction to Hidden Markov Methods is then given as the next step in the research.

Sharing Economy Last Mile Delivery: Three Essays Addressing Operational Challenges, Customer Expectations, And Supply Uncertainty, Nicolò Masorgo

Graduate Theses and Dissertations

Last mile delivery has become a critical competitive dimension facing retail supply chains. At the same time, the emergence of sharing economy platforms has introduced unique operational challenges and benefits that enable and inhibit retailers’ last mile delivery goals. This dissertation investigates key challenges faced by crowdshipping platforms used in last mile delivery related to crowdsourced delivery drivers, driver-customer interaction, and customer expectations. We investigate the research questions of this dissertation through a multi-method design approach, complementing a rich archival dataset comprised of several million orders retrieved from a Fortune 100 retail crowdshipping platform, with scenario-based experiments. Specifically, the first …

Business Cycle Downturn Estimation For Ciudad Juarez: 1991-2022, Steven L. Fullerton, Thomas M. Fullerton Jr.

Border Region Modeling Project

A monthly frequency metropolitan business cycle downturn likelihood equation is estimated for Ciudad Juarez. The binary index of economic conditions is based upon monthly IMMEX export oriented manufacturing employment. A dynamic probit methodology is used for parameter estimation. Continuous explanatory variables include a 1-year minus 1-month Mexico interest rate spread, a 2015 = 100 weighted real exchange rate index, and a 10-year minus 3-month USA interest rate spread. Parameter estimation results confirm the various hypotheses examined. However, model simulation outcomes are less favorable with the results indicating that accurate forecasting of the post-2010 business cycles may require additional refinement to …

Spatial Disaggregation Of Poverty And Disability: Application To Tanzania, Tomoki Fujii

Research Collection School Of Economics

Estimating poverty measures for disabled people in developing countries is often difficult, partly because relevant data are not readily available. We extend the small-area estimation developed by Elbers, Lanjouw and Lanjouw (2002, 2003) to estimate poverty by the disability status of the household head, when the disability status is unavailable in the survey. We propose two alternative approaches to this extension: Aggregation and Instrumental Variables Approaches. We apply these approaches to data from Tanzania and show that both approaches work. Our estimation results show that disability is indeed positively associated with poverty in every region of mainland Tanzania.

Common Bubble Detection In Large Dimensional Financial Systems, Ye Chen, Peter C. B. Phillips, Shuping Shi

Research Collection School Of Economics

Price bubbles in multiple assets are sometimes nearly coincident in occurrence. Such near-coincidence is strongly suggestive of co-movement in the associated asset prices and is likely driven by certain factors that are latent in the financial or economic system with common effects across several markets. Can we detect the presence of such common factors at the early stages of their emergence? To answer this question, we build a factor model that includes I(1), mildly explosive, and stationary factors to capture normal, exuberant, and collapsing phases in such phenomena. The I(1) factor models the primary driving force of market fundamentals. The …

Group Identity And The Formation Of Conditional Social Preferences Among Chinese Youth, Timo Heinrich, Jason Shachat, Qinjuan Wan

ESI Working Papers

Con icts between local and migrant populations have been ubiquitous in modern China. We examine the potential for longer-term amelioration of this conflict through successive generations and intergroup contact within integrated schooling. We adopt the perspective that in- and out-group biased behaviour structurally arises from group conditional social preferences. We assess the group-conditional social preferences of local and migrant children in a second-tier Chinese city, Xiamen, and the extent these preferences correlate with those of their parents. We find that local students have a greater likelihood of Egalitarian preferences and a lower likelihood of Generous preferences when allocating with locals …

Regresi Ambang Untuk Mendalami Pengaruh Nonlinier Kekuatan Pasar Terhadap Pinjaman Bank Di Asean-5, Mahjus Ekananda

Jurnal Ekonomi dan Pembangunan Indonesia

Credit distribution has developed rapidly in the ASEAN region and it is largely dominated by the banking sector compared to other financial institutions. This study explores the effects of various changes to the GDP growth regime, firm size, and monetary policy. The objects of this research are commercial banks in ASEAN-5 from year 2010 to 2019. This study utilises the threshold regression method and a single proxy to measure market power. Results of this study found that monetary policy and market forces affect productive credit. Changes in impact that occur are mostly due to different behavior between banks in response …