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Dynamics of Financial Development and Economic Growth: Panel Data Analysis for Selected Indian States 金融发展和经济增长的动态:印度选定邦的面板数据分析
Dynamic Econometric Models Pub Date : 2018-07-30 DOI: 10.12775/DEM.2018.001
Shravani Sharma, Supran Kumar
{"title":"Dynamics of Financial Development and Economic Growth: Panel Data Analysis for Selected Indian States","authors":"Shravani Sharma, Supran Kumar","doi":"10.12775/DEM.2018.001","DOIUrl":"https://doi.org/10.12775/DEM.2018.001","url":null,"abstract":"With the help of standard refined panel analysis techniques the present study analysed the dynamics of causal relationship between financial development and economic growth for selected Indian states. Mainly focusing on banking level indicators the present attempt measured the extent of financial development in the selected Indian states. Three major econometric techniques including panel unit root tests, cointegration tests and finally the panel error correction model have been implemented for identifying the relationship between variables. Firstly, the series was tested for cross-sectional independence and then checked for the presence of unit roots. The results of both first and second generation unit root indicated an integration of order one for all the variables and a long-run relationship between financial development and respective economic growth indicators was confirmed by the Pedorni’s and Westerlund’s cointegration tests. The results of the present study emphasized on the critical role of credit provided by banks in the process of long run economic growth across states. Apart from this the results of the study highlighted a very relevant fact that the Indian economy has a lot of scope in harvesting the less financially developed areas of the states which can run rapidly on the greeny path of dynamic and sharp long term sustainable economic growth.         Keywords: causality; economic growth; financial development; panel data; unit root JEL codes: G21; C23; O40.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45639627","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models 预测欧元/兹罗提汇率:购买力平价假说在ESTVEC模型中的作用
Dynamic Econometric Models Pub Date : 2017-12-29 DOI: 10.12775/DEM.2017.006
A. Burda, Błażej Mazur, Mateusz Pipień
{"title":"Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models","authors":"A. Burda, Błażej Mazur, Mateusz Pipień","doi":"10.12775/DEM.2017.006","DOIUrl":"https://doi.org/10.12775/DEM.2017.006","url":null,"abstract":"The purpose of this paper is to verify empirical consequences of imposing various forms of purchasing power parity (PPP) within a class of smooth transition vector error correction models (ESTVECM) for analysis of EUR/PLN exchange rage. Empirical importance of exponential smooth transition functions is confronted with the linear error-correction mechanism. A class of competing models for recursive samples are compared by the like-lihood ratio test, information criteria, and out of sample forecast accuracy measures.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"17 1","pages":"97-114"},"PeriodicalIF":0.0,"publicationDate":"2017-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42579685","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Determinants of Corporate Performance : Modelling Approach 企业绩效的决定因素：建模方法
Dynamic Econometric Models Pub Date : 2017-12-29 DOI: 10.12775/DEM.2017.007
Ewa Majerowska, Magdalena Gostkowska-Drzewicka
{"title":"Determinants of Corporate Performance : Modelling Approach","authors":"Ewa Majerowska, Magdalena Gostkowska-Drzewicka","doi":"10.12775/DEM.2017.007","DOIUrl":"https://doi.org/10.12775/DEM.2017.007","url":null,"abstract":"This study is to investigate the influence of the selected factors of the capital structure on the corporate performance. An empirical analysis covers a sample of 90 non-financial companies traded on the Warsaw Stock Exchange, in the period of 2000-2015. The panel data models for two corporate performance measures such ROA and ROE were estimated. The company’s capital structure negatively affects its performance. It is in line with pecking order theory and previous studies on capital structure of Polish companies.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"17 1","pages":"115-127"},"PeriodicalIF":0.0,"publicationDate":"2017-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44637083","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS 国际航空纳入欧盟排放交易体系风险的制度依赖评估
Dynamic Econometric Models Pub Date : 2017-12-29 DOI: 10.12775/DEM.2017.008
A. Włodarczyk
{"title":"Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS","authors":"A. Włodarczyk","doi":"10.12775/DEM.2017.008","DOIUrl":"https://doi.org/10.12775/DEM.2017.008","url":null,"abstract":"In this article the European Union Aviation Allowances (EUAA) price risk, associated with the activity of aircraft operators within the European Economic Area (EEA), has been evaluated across the low and high volatility periods occurring on the carbon permits market. It is found that Markov-switching heteroscedasticity models distinguish well between two volatility regimes, as well as three volatility regimes on the EUAA futures market, and that the assess-ments of EUAA price risk are clearly different in the regimes. These findings may be explained by the European Union Emission Trading Scheme (EU ETS) design and the changes in both the EU climate policy rules and global regulations in the scope of CO2 emissions by international aviation.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"17 1","pages":"129-145"},"PeriodicalIF":0.0,"publicationDate":"2017-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41670514","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland 评估时变Beta的准确性。来自波兰的证据
Dynamic Econometric Models Pub Date : 2017-12-28 DOI: 10.12775/DEM.2017.010
Barbara Będowska-Sójka
{"title":"Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland","authors":"Barbara Będowska-Sójka","doi":"10.12775/DEM.2017.010","DOIUrl":"https://doi.org/10.12775/DEM.2017.010","url":null,"abstract":"This paper empirically investigates various approaches to model time-varying systematic risk on the Polish capital market. A plenty of methods is examined in the developed markets and the Kalman filter approach is usually indicated as the best method for estimation of time-varying beta. However, there exists a gap in the studies for the emerging markets. In the paper we apply weekly data of fifteen stocks listed on the Warsaw Stock Exchange from banking and informatics sector. The sample starts at the beginning of 2001 and ends in 2015 including the hectic crisis period. We estimate beta within few competing approaches: two MGARCH models, BEKK and DCC, unobserved component model, and static beta from linear regression. All beta estimates are compared in the securities market line framework. We find that unobserved component beta together with beta from DCC model have higher predictive accuracy than beta from BEKK model or static beta. The beta estimates are positively correlated within the industry and negatively correlated for stocks from different sectors. Finally, the prediction of beta coefficients are more accurate for stocks from banking sector than for IT companies.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"17 1","pages":"161-176"},"PeriodicalIF":0.0,"publicationDate":"2017-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42175078","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Business Cycles Variability in Polish Regions in the Years 2000 – 2016 2000 - 2016年波兰地区经济周期变化
Dynamic Econometric Models Pub Date : 2017-12-28 DOI: 10.12775/DEM.2017.011
Rafał Warżała
{"title":"Business Cycles Variability in Polish Regions in the Years 2000 – 2016","authors":"Rafał Warżała","doi":"10.12775/DEM.2017.011","DOIUrl":"https://doi.org/10.12775/DEM.2017.011","url":null,"abstract":"The aim of this article is to study the morphology of regional business cycle in Poland. To do this, such parameters were calculated, like: cycle length, coherence ratio, standard deviation ratio, mean delay, cross-correlation ratio. The main conclusion is that regions have different sensitivity to economy \"shocks,\" both positive and negative. The analysis of the regional specialization appear varied level of it among individual regions. Despite a few exceptions, it can be marked correlation between the level of regional specialization and the degree of sensitivity to economic disturbances.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"17 1","pages":"177-189"},"PeriodicalIF":0.0,"publicationDate":"2017-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41979324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
How the Change of Governing Party Influences the Efficiency of Financial Market in Poland 执政党的更迭对波兰金融市场效率的影响
Dynamic Econometric Models Pub Date : 2017-12-28 DOI: 10.12775/DEM.2017.009
D. Witkowska, K. Kompa
{"title":"How the Change of Governing Party Influences the Efficiency of Financial Market in Poland","authors":"D. Witkowska, K. Kompa","doi":"10.12775/DEM.2017.009","DOIUrl":"https://doi.org/10.12775/DEM.2017.009","url":null,"abstract":"Financial market seems to be sensitive to political changes, especially when the change of governing party is connected with essential changes of the economic development concepts. Such situation took place in Poland in 2015, as a result of the presidential and parliamentary elections. The aim of our research is to investigate the changes occurred on the market, represented by some stable growth open mutual funds, and stock indexes: WIG and TBSP. Analysis is provided applying single index and CAPM models, classical investment performance measures, and statistical interference.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"17 1","pages":"147-159"},"PeriodicalIF":0.0,"publicationDate":"2017-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43700035","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Application of Hidden Markov Models to the Analysis of Real Convergence 隐马尔可夫模型在实收敛性分析中的应用
Dynamic Econometric Models Pub Date : 2017-12-22 DOI: 10.12775/DEM.2017.004
Michał Bernardelli, M. Próchniak, B. Witkowski
{"title":"The Application of Hidden Markov Models to the Analysis of Real Convergence","authors":"Michał Bernardelli, M. Próchniak, B. Witkowski","doi":"10.12775/DEM.2017.004","DOIUrl":"https://doi.org/10.12775/DEM.2017.004","url":null,"abstract":"This paper employs hidden Markov models and the Viterbi path to analyze the process of real convergence. Such an approach combines the analysis of cyclical and income-level convergence. Twelve macroeconomic variables in the sample of 28 EU countries observed in the 1995-2016 period are within the scope of the study. The results indicate, among others, the existence of real convergence of Poland toward the remaining EU countries in terms of the levels of GDP per capita at PPP and GDP growth rates, with a short-run period of divergence during the global crisis.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"17 1","pages":"59-80"},"PeriodicalIF":0.0,"publicationDate":"2017-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47878576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market 波兰天然气市场风险价值某些动态估计方法的比较
Dynamic Econometric Models Pub Date : 2017-12-21 DOI: 10.12775/DEM.2017.005
Alicja Ganczarek-Gamrot, J. Stawicki
{"title":"Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market","authors":"Alicja Ganczarek-Gamrot, J. Stawicki","doi":"10.12775/DEM.2017.005","DOIUrl":"https://doi.org/10.12775/DEM.2017.005","url":null,"abstract":"The paper compares the results of the estimation of VaR made using Markov chains as well as linear and non-linear autoregressive models. A comparative analysis was conducted for linear returns of the daily value of the gas base index quoted on the Day-Ahead Market (DAM) of the Polish Power Exchange (PPE) in the period commencing on January 2, 2014 and ending on April 13, 2017. The consistency and independence of the exceedances of estimated VaR were verified applying the Kupiec and Christoffersen tests.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"17 1","pages":"81-96"},"PeriodicalIF":0.0,"publicationDate":"2017-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42607059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Microeconometric Analysis of Telecommunication Services Market with the use of SARIMA Models 基于SARIMA模型的电信服务市场微观计量分析
Dynamic Econometric Models Pub Date : 2017-12-07 DOI: 10.12775/DEM.2017.003
P. Kaczmarczyk
{"title":"Microeconometric Analysis of Telecommunication Services Market with the use of SARIMA Models","authors":"P. Kaczmarczyk","doi":"10.12775/DEM.2017.003","DOIUrl":"https://doi.org/10.12775/DEM.2017.003","url":null,"abstract":"The paper presents the results of testing the effectiveness of the multi sectional model in the short-term forecasting of hourly demand for telephone services. The model was based on the integration of the linear regression model with dichotomous independent variables and the SARIMA model. The regression was used as a filter of modelled variability of the demand. The SARIMA was applied to model residual variability. The research shows that the proposed integration provides a greater possibility of approximation and prediction in comparison to the non-supported linear regression model. The results of the study provide support for operational planning of telecommunications operator.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"17 1","pages":"41-57"},"PeriodicalIF":0.0,"publicationDate":"2017-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42956883","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
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