Spelling suggestions: "subject:"econometrics."" "subject:"sconometrics.""
131 |
A vector autoregression approach to the effects of monetary policy in South AfricaNdou, Eliphas 22 July 2013 (has links)
This dissertation applies vector autoregression approaches to assess the effects of the monetary policy in South Africa. First, the dissertation quantified declines in the consumption expenditure attributed to the combined house wealth and credit effects due to the contractionary monetary policy shocks. The results at the peak of interest rates effects on consumption on the sixth quarter provide little support that the indirect house wealth channel is the dominant source of monetary policy transmission to consumption. Second, the dissertation assessed how real interest rate reacts to positive inflation rate shocks, exchange rate depreciation shocks and the existence of Fisher effect over longer periods. Evidence confirmed the Fisher effect holds over longer horizons and the real interest rate reacts negatively to the inflation and exchange rate shocks. In addition, findings show that the strict inflation-targeting approach is not compatible with significant real output growth. The results show that only the real effective exchange rate is growth enhancing under flexible inflation targeting approach. Third, the dissertation investigated and compared the effects of contractionary monetary policy and exchangerate appreciation shocks on trade balance in South Africa. Evidence suggests that the exchange rate appreciation shocks worsen the trade balance for longer periods than contractionary monetary policy shocks in South Africa. In addition, the findings indicate that monetary policy operates through the expenditure switching channel rather than the income channel in the short run to lower net trade balance. Finally, the dissertation investigated the effect of contractionary monetary policy shocks on output in South Africa and Korea. The chapter compared what the estimated structural shocks suggested about policy shocks relative to bank systematic responses. Evidence shows that a contractionary monetary policy shock reduces output persistently in South Africa compared to transitory declines in Korea. The estimated monetary policy shocks suggest that Korean monetary policy was expansionary during the recession in 2009 unlike the South Africa counterparty. I attribute the differences to monetary policy intervention tools such as swap arrangement, in addition to interest rate reductions used to deal with recession in Korea.
|
132 |
A study of the relationship between the qualitative characteristics of accounting earnings and stock returnMohammady, Ahmad January 2011 (has links)
The main purpose of this thesis is to test whether the quality of earnings improves the usefulness of accounting information in the decision making process. This is particularly important because the Financial Accounting Standard Board (FASB) considers the usefulness of accounting information as the primary objective of financial statements (FASB, 1978). To achieve this purpse, the thesis examines two interrelated subjects. The first subject of the study "The qualitative characteristics of accounting earnings and stock return" (Chaoter 3) assesses the impact of earnings quality on stock returns as a representative for the usefulness of earnings information. The research also attempts to extend the concept of earnings quality and its constructs based on the primary qualitative characteristics of accounting information from the FASB's viewpoint. Therefore, the study defines earnings quality as the extent to which reported earnings capture both dimensions of the qualitative characteristics of accounting information, relevance and reliability. Eight earnings quality attributes are characterized as either 'relevance-based' or 'reliability-based' to capture earnings information quality. Moreover, associations between earnings quality attricutes and stock returns are considered to test whether earnings quality information is reflected in the investors' decision-making process. The result indicates that all earnings quality attributes but one are associated with the returns of stock in the predicted way; the exception is conservatism. This finding suggests that the earnings quality attributes make accounting information useful for decision making, which is consostent with the FASB's assertion. In addition, comparisons of incremental explanatory power show that relevance-based earnings quality attributes explain more of the stock returns variation than do reliability-based earnings quality attributes. The second subject of the thesis, 'The effect of earnings quality on the value-relevance of accounting information' (Chapter 4), aims to link earnings quality constructs with the equity valuation model by assessing their effect on the relative desirability between the value-relevance of earnings and book value of equity. In this respect, the study investigated whether earnings quality constructs, systematized in the first topic of this study, are reflected in the equity valuation prcoess. This is an important issue, as the incorporation of earnings quality attributes into equity valuation models may provide more realistic estimates of the firm's value. The study conducts factor analysis on eight earnings quality attributes to construct an index of each earnings quality dimension for each firm-year. The results indicate that in portfolios of firms with high quality earnings (HH), the value-relevance of earnings and book value are respectively higher and lower than in portfolios of firms with low quality earnings (LL). Moreover, the study finds that the ability of earnings and book value jointly to explain stock price is significatnly higher in firms with high quality earnings information compared to firms with low quality earnings information. This finding confirms that earnings quality constructs provide relevant information in the valuation process.
|
133 |
Shari'a compliant equity investments : enhancing Shari'a compliant screening methodologiesMalik, Rizwan January 2017 (has links)
From a theoretical perspective, Islamic banking and finance is different from conventional banking and finance because interest (riba) is prohibited in Islam. The unique feature of Islamic banking and finance is its profit-and-loss sharing (PLS) paradigm. As such, the equity stock market mechanism follows this unique PLS paradigm without the involvement of riba, gharar and maysir, allowing Shari’a sensitive investors’ access to the stock market. But the problem is to identify the Shari’a compliant equity stocks (that are both Shari’a compliant in the capital structure as well as the underlying business) within the equity stock market. In order to assist the Shari’a sensitive investors, the Dow Jones Islamic Market Index (DJIMI) for the first time in history issued the first Shari’a screening methodology in 1999 that facilitated access to the stock market. Subsequently, a number of other Shari’a screening methodologies have been developed by other index providers, banks and regulators; all of them are derivatives of the DJIMI. The rules used in the screening process have not originated from the Holy Quran or the traditions of the Prophet Muhammad (PBUH), and accordingly are not considered absolute rules. These screening methodologies have been criticised in the literature for being imprecise, inconsistent, lacking credibility and on the use of Shari’a screening thresholds restricting the Shari’a non-compliant activities. The study is designed to address two main areas: 1) to examine the historical development of Shari’a screening methodologies to date, and 2) to investigate how the existing Shari’a screening methodologies can be enhanced for the benefit of the Islamic banking and finance (IBF) industry. A qualitative analysis is carried out in the first part of the study. A statistical technique of exploratory factor analysis (EFA) is carried out in the second part of the study. The examination of the first part of the study shows that the fundamental variables underlying existing screening methodologies should be based on actual interest income and interest expense as it’s the actual interest received or paid that is Shari’a non-compliant instead of on the basis of source of funds (debt, receivables). This part of the study also finds that the Shari’a screening methodologies were introduced as a need of the time under Maslahah (public interest and rule of exception). It was expected that scholars and practitioners would review and revise the screening methodologies over time to ensure adherence to Shari’a. However, they have remained the same while the Islamic banking and finance industry has developed significantly. Further examination of current practices, suggested Shari’a screening thresholds to be dynamic and ones based on the growth and development in Islamic banking and finance. Based on findings of the first part, the study conducted an exploratory analysis in the second part using different portfolios and screened them based on interest income and interest expense and compared with existing practices. It is recommended that Shari'a screening methodologies incorporate these screening filters in addition to the existing filters to ensure that the portfolio remains Shari'a compliant. Further, the study in the second part developed an IBF index using exploratory factor analysis to quantify the development in IBF industry in 41 countries. These countries were placed in five groups (leaders, developed countries, developing countries, emerging markets and least developed countries) and it was concluded that Shari’a screening thresholds for countries based in groups “leaders” and “developed countries” can be lowered to 20% and 25% respectively as the IBF industry in the underlying countries have developed significantly and there are sufficient Shari’a compliant stocks to provide the investor a diversified portfolio, while for other countries the existing thresholds should continue as the IBF industry in the country is still in early growth period and Islamic financing availability in the country is not adequate. In this way, the Shari’a compliant equity investments can go forward in a more effective manner and thus a move towards more dynamic and progressive screening methodologies, rather than the existing static ones.
|
134 |
Economic analyses explaining historic preservation the impact of social and economic values /Maskey, Vishakha. January 1900 (has links)
Thesis (Ph. D.)--West Virginia University, 2007. / Title from document title page. Document formatted into pages; contains viii, 114 p. : ill. (some col.), maps (some col.). Vita. Includes abstract. Includes bibliographical references.
|
135 |
Learning, oil price shocks, and monetary policy /McGough, Bruce. January 2000 (has links)
Thesis (Ph. D.)--University of Oregon, 2000. / Typescript. Includes vita and abstract. Includes bibliographical references (leaves 143-145). Also available for download via the World Wide Web; free to University of Oregon users.
|
136 |
An empirical analysis of the interactions between environmental regulations and economic growthNondo, Chali. January 2009 (has links)
Thesis (Ph. D.)--West Virginia University, 2009. / Title from document title page. Document formatted into pages; contains viii, 129 p. : ill. (some col.), col. maps. Includes abstract. Includes bibliographical references (p. 118-128).
|
137 |
Essays on Econometrics and Decision TheoryMontiel Olea, Jose Luis 25 September 2013 (has links)
This dissertation presents three essays. The first essay, coauthored with Tomasz Strzalecki, is a classical exercise in axiomatic decision theory. We propose a simple and novel axiomatization of quasi-hyperbolic discounting, a tractable model of present bias preferences that has found many applications in economics. Our axiomatization imposes consistency restrictions directly on the intertemporal tradeoffs faced by the decision maker, without relying on auxiliary calibration devices such as lotteries. Such axiomatization is useful for experimental work since it renders the short-run and long-run discount factor elicitation independent of assumptions on the decision maker's utility function. The second essay, coauthored with Carolin Pflueger, belongs to the field of econometric theory. We develop a test for weak identification in the context of linear instrumental variables regression. The central feature of our test is its robustness to heteroskedasticity, autocorrelation, and clustering. We define identification to be weak when the Two-Stage Least Squares (TSLS) or the Limited Information Maximum Likelihood (LIML) Nagar bias is large relative to a benchmark. To test the null hypothesis of weak identification we propose a scaled non-robust first stage F statistic: the effective F. The test rejects for large values of the effective F. The critical values depend on an estimate of the covariance matrix of the OLS reduced form regression coefficients and on the covariance matrix of the reduced form errors. The third essay—the main chapter of this dissertation—belongs to the intersection of econometric theory and statistical decision theory. I present a new class of tests for hypothesis testing problems with a special feature: a boundary-sufficient statistic. The new tests minimize a weighted sum of the average rates of Type I and Type II error (average risk), while controlling the conditional rejection probability on the boundary of the null hypothesis; in this sense they are efficient conditionally similar on the boundary (ecs). The ecs tests emerge from an axiomatic approach: they essentially characterize admissibility—an important finite-sample optimality property—and similarity on the boundary in the class of all tests, provided the boundary-sufficient statistic is boundedly complete. / Economics
|
138 |
Robust estimation and testing : finite-sample properties and econometric applicationsYou, Jiazhong, 1968- January 2000 (has links)
High breakdown point, bounded influence and high efficiency at the Gaussian model are desired properties of robust regression estimators. Robustness of validity, robustness of efficiency and high breakdown point size and power are the fundamental goals in robust testing. The objective of this dissertation is to examine the finite-sample properties of robust estimators and tests, and to find some useful applications for them. This is accomplished by extensive Monte Carlo experiments and other inference techniques in various contamination situations. In the linear regression model with an outlying regressor and deviations from the normal error distribution, robust estimators demonstrate noticeable advantages over the standard LS and maximum likelihood (ML) estimators. Our findings reveal that the finite-sample behavior of the robust estimators is very different from their asymptotic properties. The robust properties of estimators carry over to test statistics based on these estimators. The robust tests we proposed can achieve to the large extent the fundamental goals in robust testing. Economic applications on modelling the household consumption behavior and testing for (G)ARCH effects show that one can capture big gains from the appropriate utilization of the robust methods even at very simple models.
|
139 |
Empirical Bayes estimation of small area proportionsFarrell, Patrick John January 1991 (has links)
Due to the nature of survey design, the estimation of parameters associated with small areas is extremely problematic. In this study, techniques for the estimation of small area proportions are proposed and implemented. More specifically, empirical Bayes estimation methodologies, where random effects which reflect the complex structure of a multi-stage sample design are incorporated into logistic regression models, are derived and studied. / The proposed techniques are applied to data from the 1950 United States Census to predict local labor force participation rates of females. Results are compared with those obtained using unbiased and synthetic estimation approaches. / Using the proposed methodologies, a sensitivity analysis concerning the prior distribution assumption, conducted with a view toward outlier detection, is performed. The use of bootstrap techniques to correct measures of uncertainty is also studied.
|
140 |
An Analysis of the Determinants of Intercollegiate Athletic Success Among NCAA Division I and Division III InstitutionsMeyers, Samuel P 01 January 2015 (has links)
The magnitude and allocation of institutional athletic expenditures varies widely across NCAA divisions at the intercollegiate level. I illustrate the relationship between expenditures and institutional characteristics on overall athletic department success (i.e., Directors’ Cup scores) for NCAA Division I and Division III institutions. Specifically, using a fixed effects panel regression model I find that there is a small, positive relationship between total athletic expenditures and Directors’ Cup scores. I also show that time-varying institutional characteristics do not have a significant relationship with athletic performance. Further, my study supports the existence of a positive relationship between female athletic expenditures and Directors’ Cup scores, particularly for Division III institutions. These results provide valuable insights on the scale and distribution of resources associated with institutional achievement across genders and levels of competition in intercollegiate athletics.
|
Page generated in 0.0608 seconds