Finance Commons^™

Testing For Multiple Bubbles, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu

Research Collection School Of Economics

Identifying explosive bubbles that are characterized by periodically collapsing behavior over time has been a major concern in the literature and is of great importance for practitioners. The complexity of the nonlinear structure in multiple bubble phenomena diminishes the discriminatory power of existing tests, as evidenced in early simulations conducted by Evans (1991). Multiple collapsing bubble episodes within the same sample period make bubble diagnosis particularly difficult and complicate attempts at econometric dating. The present paper systematically investigates these issues and develops new procedures for practical implementation and surveillance strategies by central banks. We show how the testing procedure and …

Specification Sensitivities In Right-Tailed Unit Root Testing, Shu-Ping Shi, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the sup ADF test of Phillips, Wu and Yu (2011), which implements a right-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare the limit theory of the sup ADF test under different hypotheses and model specifications. The …

Impact Of Agricultural Profitability, Productivity And Interest Rate On Farmland Value For Selected U.S. And Slovak States, Maria Majerhoferova

Graduate Theses and Dissertations

This thesis examines agricultural factors which may have impact on agricultural land values. Based on theory, three primary factors are considered to have an impact on land value: agricultural productivity, agricultural profitability and interest rate. The study is of two countries: the US, where data are from 16 states and Slovakia with 6 states. The ten-year period from 2000 until 2009 is used in the analysis. A capitalization model is used to estimate the relationship between agricultural productivity, profitability and interest rate and land value. Three types of agricultural land are used: cropland and its value in relationship with crops, …

Grey Market For Indian Ipos: Investor Sentiment And After-Market Performance, Chandrasekhar Krishnamurti, Tiong Yang Thong, Vishwanath Ramanna

Research Collection Lee Kong Chian School Of Business

Extant research on developed markets shows that investor sentiment is a prominent feature in IPO grey markets. There is sparse work in the context of emerging markets. We fill this lacuna by studying the working of the Indian IPO market. We consider this work interesting and relevant for the following reasons. First, grey market trading always involves short-selling as securities are not yet available. Since legal and institutional environment is less developed in emerging markets, the functioning of grey markets is of interest to policy makers and financial economists. Second, retail investors participate to a greater extent in IPOs of …

Maximising Benefits, Ishrat Husain Dr.

Faculty Research - Newspaper and Magazine Articles

The recent moves to devolve some of the functions and responsibilities of the federal government to the provinces through the 18th Amendment and the decision of the National Finance Commission (NFC) to allocate a larger portion of divisible tax pool to the provinces are highly commendable. These steps have the potential to overcome some of the structural difficulties and micro-economic distortions that have been keeping Pakistan as an underachiever economically and socially. In a multi-ethnic and multi-linguistic society, with one of the federating units being much advanced and enjoying political dominance, de-concentration of powers and equitable sharing of resources among …

Mexico Consensus Economic Forecast, Volume 14, Number 3, Thomas M. Fullerton Jr., Adam G. Walke

Departmental Papers (E & F)

No abstract provided.

Does Inflation Targeting Matter For Output Growth? Evidence From Industrial And Emerging Economies, Andre V. Mollick, Rene Cabral, Francisco G. Carneiro

Economics and Finance Faculty Publications

This paper examines the effects of inflation targeting on industrial and emerging economies’ output growth over the “globalization years” of 1986-2004. Controlling for trade openness and two indicators of financial globalization, the authors find systematic positive and significant effects of inflation targeting on real output growth. In dynamic models, the findings show strong output persistence in industrial economies, in which partial and full inflation targeting regimes have a positive long-run impact on growth. In emerging markets, only full inflation targeting policies have any output effect in the long-run. The results suggest that strict inflation targeting is needed to make the …

From Boom To Doom To Boom: Offshore Financial Centres And Development In Small States, Richard Woodward

Articles

During the 1990s tax havens and offshore financial centres (OFCs) were subject to a string of initiatives designed to raise their tax and regulatory regimes to accepted international standards. Many commentators forecast that this would lead to the demise of OFCs, a worry for the many small states whose economic well being depended heavily on the provision of offshore financial services. Despite this regulatory onslaught many small state OFCs have prospered in the new millennium. This paper seeks to explain this apparent paradox by arguing that (1) international initiatives were riddled with loopholes and exceptions that have been gleefully seized …

Ecowas Single Currency By Year 2020: The Need For Timely And Reliable Data To Enhance The Achievement Of The Convergence Criteria, Olorunyomi L. Akinboyo

Bullion

The issue of single currency in West Africa has long been on the agenda of the political and monetary authorities since the inception of ECOWAS in 1975. The principal aim of economic and monetary integration effort was to expand intra-community trade. As obtained in other regional blocks especially in the euro area where a single currency the, 'Euro' is used. ECOWAS identified a number of impediments to the development of inter-regional trade. which include multiplicity of currencies, widespread controls and restrictions on exchange transactions. Consequently, member central banks and other relevant agencies adopted brood and diverse set of statistical data, …

A Martingale Approach For Testing Diffusion Models Based On Infinitesimal Operator, Zhaogang Song

Research Collection Lee Kong Chian School Of Business

I develop an omnibus specification test for diffusion models based on the infinitesimal operator. The infinitesimal operator based identification of the diffusion process is equivalent to a “martingale hypothesis” for the processes obtained by a transformation of the original diffusion model. My test procedure is then constructed by checking the “martingale hypothesis” via a multivariate generalized spectral derivative based approach that delivers a  asymptotical null distribution for the test statistic. The infinitesimal operator of the diffusion process is a closed-form function of drift and diffusion terms. Consequently, my test procedure covers both univariate and multivariate diffusion models in a unified …

The Implications Of Sovereign Wealth Fund Investment On Capital Markets: A Bottom-Up View, David Fernandez

Research Collection Lee Kong Chian School Of Business

The buzz around sovereign wealth funds has been turned down a notch, but they remain a hot topic. The accusations of sovereign wealth funds having hidden agendas remain, but with the very public losses suffered by some during the recent financial turmoil, such talk has even less credibility. And given that most of those losses were from investments in US, UK, and European financial institutions, hope that sovereign wealth funds would be the saviors of Wall Street has also faded. At its base, four trends continue to keep sovereign wealth funds in focus. First, there is the phenomenal rise of …

Recent Developments In European Bank Competition, Juliana Yu Sun

Research Collection School Of Economics

This paper investigates the degree of bank competition in the euro area, the U.S. and U.K. before and after the recent financial crisis, and revisits the issue whether the introduction of EMU and the euro have had any impact on bank competition. The results suggest that the level of bank competition converged across euro area countries in the wake of the EMU. The recent global financial crisis led to a fall in competition in several countries and especially where large credit and housing booms had preceded the crisis...

Ole, Ole… Oh No? The Economic And Social Impacts The Fifa World Cup Has On Its Host Countries And How South Africa, The 2010 Host, May Be Affected, Colleen A. Schohl

Honors Theses

Research has not shown any proven long-term positive economic impacts directly resulting from hosting the FIFA World Cup; however, the intangible "feel good" factor has been hypothesized to bring positive effects to a country and its individual residents. This is one variable that has shown to have some positive effect on a host country, but its benefit is usually short-lived and commonly overlooked by researchers (Kavetsos and Szymanski, 2010). If questions on how to measure this factor could be answered, researchers would better be able to address the overall economic impact. Based on analysis of the South African economy, South …

Determinants Of Exchange Rate Hedging An Empirical Analysis Of U.S. Small-Cap Industrial Firms, Zachary M. Lehner

HIM 1990-2015

Using a sample of 141 U.S. small-cap industrial firms, I examine the firm characteristics that influence its use of foreign exchange derivatives to hedge exchange rate risk. Companies in the industrial sector produce goods and services that are used for the production of another final product. The performance of this sector is closely correlated to the level of demand from the final consumer. I find firm size, the amount of foreign sales, and firm liquidity influence the firm's decision to use foreign exchange derivatives to hedge exchange rate risk. For those firms that hedge exchange rate risk using derivatives, a …

Echoes From Geneva: Finding John Calvin’S Socio-Economic Interests In The Modern World, Brenda K. Savage

Master of Liberal Studies Theses

Through an examination of John Calvin’s intentions in ending the prohibition on usury and the practical application of his teachings in sixteenth-century Geneva, and a consideration of the elements of poverty, social outcasts, and exploitation common to both Geneva and the modern world, it can be argued that the Reformer has much to offer of continued relevancy for those seeking to engage their contemporary world by finding alternatives that can help the financially disenfranchised. Calvin is often referred to as the “Father of Modern Interest,” and as such many people have directly blamed him for the exploitation associated with capitalism. …

The Battle Between Multinaional Sic] Tax Avoidance And Corporate Competitiveness, Nico Koop

HIM 1990-2015

In the past decade, there has been a significant decrease in US corporate tax revenues. Multinational companies have been employing several different techniques of tax avoidance to get around paying corporate taxes. Tax avoidance is used by any large multinational corporation for a variety of reasons. The US has one of the highest corporate tax rates in the world and is seeing many companies relocate their operations abroad to lower their tax expenses. The different methods of tax avoidance are discussed in this thesis, as well as the different reasons behind their use. To understand how companies implement tax avoidance …

Vertical Linkages And The Collapse Of Global Trade, Rudolfs Bems, Robert C. Johnson, Kei-Mu Yi

Dartmouth Scholarship

A common view is that cross-border vertical linkages played a key role in the 2008-2009 collapse of global trade. This paper presents two accounting results from a global input-output framework that shed light on this channel. We feed in observed changes in final demand and find that trade in final goods fell by twice as much as trade in intermediate goods. Nevertheless, intermediate goods account for more than two-fifths of the trade collapse. We also find that vertical specialization trade fell 13 percent, while value-added trade fell by 10 percent, because declines in demand were largest in highly vertically-specialized sectors.

The Effects Of Walmart On Healthcare And Unionization: Is America Really Saving Money And Living Better?, Leyla Ziad

Renée Crown University Honors Thesis Projects - All

As the largest private sector employer in the United States, corporate retail giant Walmart continues to make waves in United States culture and the economy since launching its first store in 1962. As Walmart seeks to expand, the validity of its consumer guarantee to “save money, live better” has been increasingly scrutinized, given Walmart’s use of controversial business practices, most notably its employee benefit policies and anti-unionization efforts. With over 1.4 million employees in the United States, there is much talk surrounding the potential costs of Walmart’s low prices. This study analyzes selected healthcare and unionization impacts of Walmart in …

Analyzing The Relative Efficiency Of Nevada Secondary Schools, Jesse Welsh

UNLV Theses, Dissertations, Professional Papers, and Capstones

A definitive answer to how to allocate school-level expenditures to yield the greatest "bang for the buck" has continually eluded education finance researchers. With increased regulation, oversight, and sanctions resulting from the No Child Left Behind Act, paired with financial strains on states' education budgets, measuring schools' production and efficiency has become urgent.

The methodology for this study was comprised of two phases. Phase I analyzed the per-pupil expenditures of middle and high schools over a three-year period and developed descriptive statistics that revealed the expenditure patterns by category. Phase II used a micro-level economic approach, data envelopment analysis, to …

Investment Styles, Fees, & Returns Among Individually Managed & Team Managed Mutual Funds, Kendal Cehanowicz

Honors Projects in Finance

Identifying a successful mutual fund investment involves a crucial analysis of alternatives, all of which influence the true benefit of the investment. Major considerations must include performance, management and fees; which ultimately determine investment returns. Studies have shown that team managed mutual funds exhibit similar risk adjusted performance to individually managed mutual funds, however studies lack this comparison of performance based on fund fees and investment objective. This gap in research implies that there is an opportunity to examine how fund management, investment objective, and fund fees affect overall returns to the investor. Using the 2010 Center for Research in …