JOURNAL OF QUANTITATIVE ECONOMICS最新文献_第3页

Identifying Financial Performance Drivers in the Indian Banking Sector During the COVID-19 Crisis 识别印度银行业在 COVID-19 危机期间的财务业绩驱动因素

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JOURNAL OF QUANTITATIVE ECONOMICS Pub Date : 2024-04-20 DOI: 10.1007/s40953-024-00396-9

Anju Goswami, Pooja Malik

{"title":"Identifying Financial Performance Drivers in the Indian Banking Sector During the COVID-19 Crisis","authors":"Anju Goswami, Pooja Malik","doi":"10.1007/s40953-024-00396-9","DOIUrl":"https://doi.org/10.1007/s40953-024-00396-9","url":null,"abstract":"In order to shed light on the possible factors responsible for volatility in the financial performance of Indian banks, we primarily consider four novel variables in the study, including the COVID-19 crisis, NPLs, systemic risk, and government response. For this, we employ bank-level observations of 412 Indian commercial banks spanning 2018–2022. Using fixed-effects and 2SLS methods, we find that government response, COVID-19, and income diversification play a significant role in positively affecting the financial performance of Indian banks. However, non-performing loans, provisioning, systemic risk, and bank size are responsible for their poor performance. Projected macro-economic statistics suggest that the GDP growth rate and inflation have significantly increased the strength and resilience of Indian banks. The main evidence mainly supports the ‘bad-management’, ‘too-big-too-fail’, and ‘diversification opportunity’ hypotheses. The heterogeneity test and robustness check results are nearly identical to those reported in the main evidence. Overall, our findings reduce the concern of policymakers, though not completely eliminated, that tighter government regulation and provisioning for Indian banks may expedite the bank’s ability to withstand their credit risk, systemic risk, and exogenous shocks, which can lead to a rapid improvement in their performance.","PeriodicalId":42219,"journal":{"name":"JOURNAL OF QUANTITATIVE ECONOMICS","volume":"174 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140626044","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

Creditworthiness: The Role of Trust in the Socioeconomic Network 信用度：信任在社会经济网络中的作用

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JOURNAL OF QUANTITATIVE ECONOMICS Pub Date : 2024-04-18 DOI: 10.1007/s40953-024-00393-y

Silu Muduli, Shridhar Kumar Dash

引用次数: 0

Economic Growth in Middle-Income Countries: The Role of Political Stability and Foreign Direct Investment 中等收入国家的经济增长：政治稳定和外国直接投资的作用

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JOURNAL OF QUANTITATIVE ECONOMICS Pub Date : 2024-04-18 DOI: 10.1007/s40953-024-00394-x

Mongi Chebli, Kais Saidi

引用次数: 0

Collusion with Not-So-Secret Rings 与并不神秘的指环勾结

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JOURNAL OF QUANTITATIVE ECONOMICS Pub Date : 2024-03-01 DOI: 10.1007/s40953-024-00387-w

Ceesay Muhammed

引用次数: 0

Inflation-Growth Relationship: New Evidence for India 通货膨胀与增长的关系：印度的新证据

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JOURNAL OF QUANTITATIVE ECONOMICS Pub Date : 2024-03-01 DOI: 10.1007/s40953-024-00388-9

Barendra Kumar Bhoi, Gulapsha Tabasum

引用次数: 0

Role of Crude Oil in Determining the Price of Corn in the United States: A Non-parametric Approach 原油在决定美国玉米价格中的作用：非参数方法

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JOURNAL OF QUANTITATIVE ECONOMICS Pub Date : 2024-02-29 DOI: 10.1007/s40953-024-00382-1

引用次数: 0

Forecasting and Analyzing Predictors of Inflation Rate: Using Machine Learning Approach 预测和分析通货膨胀率的预测因素：使用机器学习方法

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JOURNAL OF QUANTITATIVE ECONOMICS Pub Date : 2024-02-29 DOI: 10.1007/s40953-024-00384-z

Pijush Kanti Das, Prabir Kumar Das

{"title":"Forecasting and Analyzing Predictors of Inflation Rate: Using Machine Learning Approach","authors":"Pijush Kanti Das, Prabir Kumar Das","doi":"10.1007/s40953-024-00384-z","DOIUrl":"https://doi.org/10.1007/s40953-024-00384-z","url":null,"abstract":"In this study, we investigate and apply the models from the machine learning (ML) paradigm to forecast the inflation rate. The models identified are ridge, lasso, elastic net, random forest, and artificial neural network. We carry out the analysis using a data set with 56 features of 132 monthly observations from January 2012 to December 2022. The random forest (RF) model can forecast the inflation rate with greater accuracy than other ML models. A comparison to benchmark econometric models like auto-regressive integrated moving average demonstrates the superior performance of the RF model. Moreover, nonlinear ML models are proven to be more successful than a linear ML or time series models and this is mostly due to the unpredictability and interactions of variables. It indicates that the significance of nonlinear structures for forecasting inflation is important. Furthermore, the ML models outweigh the benchmark econometric model in forecasting the undulations due to the COVID-19 impact. The findings in this study support the benefit of applying ML models to forecast the inflation rate. Even without considering the sporadicity of pandemic, nonlinear model like artificial neural network (ANN) outweighs other models. Additionally, the ML models like RF and ANN model yield variable importance measures for each explanatory variable. ML models shows capability to not only better forecasting but also able to provide the insight regarding the covariates for improved forecasting results and policy prescriptions.","PeriodicalId":42219,"journal":{"name":"JOURNAL OF QUANTITATIVE ECONOMICS","volume":"51 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140003550","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

Economic Development, Inequality and Dynamics of Social Movements in the United States: Theory and Quantitative Analysis 美国的经济发展、不平等和社会运动动态：理论与定量分析

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JOURNAL OF QUANTITATIVE ECONOMICS Pub Date : 2024-02-19 DOI: 10.1007/s40953-024-00383-0

Sargis Karavardanyan

{"title":"Economic Development, Inequality and Dynamics of Social Movements in the United States: Theory and Quantitative Analysis","authors":"Sargis Karavardanyan","doi":"10.1007/s40953-024-00383-0","DOIUrl":"https://doi.org/10.1007/s40953-024-00383-0","url":null,"abstract":"How have social movements in the United States been impacted by simultaneously evolving economic realities such as episodes of development and inequality across time? This paper empirically examines how the structural forces of the economy such as growth (income per-capita) and decline (income inequality) interact with the regional characteristics to derive patterns of social movements in United States from 1960 to 1995. I suggest that—unlike the arguments found in popular social movement theories such as relative deprivation and economic grievances that the society will express resentment against lack of financial resources through protesting and riots—there will be less collective action formations during heightened inequality even when there is growth in per-capita income. This paper provides novel application of methodological approaches in social movement studies such as the Generalized Additive Models with smoothing functions and Synthetic Control Method to extract micro-level inferences on the relationship between economic factors and social movement formations. I gauge the implications of the main argument with a new dataset that is a composition of aggregated levels of social movements per-capita, real per-capita personal income, income inequality index, labor unemployment laws, social policy liberalization index and equal pay laws among other variables. The empirical exercises reveal that when accounting for the full range of socio-economic variables with fixed effects and instrumental variables, the dual impact of economic growth and decline on social movements is non-linear and U-shaped in the US states across time.","PeriodicalId":42219,"journal":{"name":"JOURNAL OF QUANTITATIVE ECONOMICS","volume":"32 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139909834","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

Persistence in Tax Revenues: Evidence from Some OECD Countries 税收收入的持续性：一些经合组织国家的证据

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JOURNAL OF QUANTITATIVE ECONOMICS Pub Date : 2024-02-19 DOI: 10.1007/s40953-024-00386-x

Guglielmo Maria Caporale, Silvia García Tapia, Luis Alberiko Gil-Alana

引用次数: 0

Revisiting the Classical Theory of Investment: An Empirical Assessment from the European Union 重温投资的经典理论：欧盟的经验评估

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JOURNAL OF QUANTITATIVE ECONOMICS Pub Date : 2024-02-09 DOI: 10.1007/s40953-024-00385-y

Fahd Boundi-Chraki, Ignacio Perrotini-Hernández

{"title":"Revisiting the Classical Theory of Investment: An Empirical Assessment from the European Union","authors":"Fahd Boundi-Chraki, Ignacio Perrotini-Hernández","doi":"10.1007/s40953-024-00385-y","DOIUrl":"https://doi.org/10.1007/s40953-024-00385-y","url":null,"abstract":"In alignment with classical investment theory, this study explores the enduring relationships and causal linkages among total private investment, profit rate, unit labour costs, and demand growth within the European Union throughout the period spanning from 1961 to 2019. The empirical approach adopted involves the use of advanced econometric techniques designed to address cross-sectional dependence and slope heterogeneity. As a first stage, we examine stationarity and cointegration by employing second-generation panel unit root and cointegration tests. Subsequently, we estimate long-run equations through estimators intended to control for cross-sectional dependence and slope heterogeneity. As a further step, we use the Dumitrescu-Hurlin procedure to examine potential bidirectional causality between the variables and detect whether there exists endogeneity in the data. Finally, we apply the dynamic common correlated effects estimator mean group with instrumental variables to control for the potential presence of endogeneity. The outcomes of the analysis underscore a positive association between private investment and the profit rate, unit labour costs, and demand growth, thus providing robust empirical support for the classical theory of investment.","PeriodicalId":42219,"journal":{"name":"JOURNAL OF QUANTITATIVE ECONOMICS","volume":"6 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139763613","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