Journal for Studies in Economics and Econometrics最新文献_第7页

Is there an Interdependence in Foreign Exchange Markets During Non-Crisis Periods? Empirical Evidence from Mena Countries 非危机时期外汇市场是否存在相互依赖关系?来自中东和北非国家的经验证据

Journal for Studies in Economics and Econometrics Pub Date : 2020-08-01 DOI: 10.1080/10800379.2020.12097363

H. Bouhali, M. Chiadmi, F. Ghaiti

引用次数: 1

Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios 探索积极管理、最大限度多样化投资组合的行为

Journal for Studies in Economics and Econometrics Pub Date : 2020-08-01 DOI: 10.1080/10800379.2020.12097362

L. Theron, G. V. Van Vuuren

{"title":"Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios","authors":"L. Theron, G. V. Van Vuuren","doi":"10.1080/10800379.2020.12097362","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097362","url":null,"abstract":"Maximising returns is often the goal of asset management, but in the current (2020) low-interest investment environment, plagued by political, trade and economic uncertainty, managing portfolio risk also plays a significant role. Maximally diversified (MD) portfolios are assembled with an emphasis on risk management, not return outperformance. This approach can yield considerable benefits for risk- averse investors. While some work has been done applying this technique to passive portfolios, little to none has been undertaken on active portfolios, restricted by tracking errors (TEs) and evaluated relative to a benchmark. For the first time, actively managed maximum diversification portfolios are scrutinised over time. In booming markets, actively managed MD portfolios generate significant outperformance, but during recessionary periods, no significant benefits emerge. Returns and Sharpe ratios are weak and volatilities high (albeit lower than other strategies). As TE increases, actively managed MD portfolio weights become less confined and adjust ever closer to the overall (unconstrained) MD portfolio weights. Fewer benefits are realised as TEs increase for actively managed MD portfolios compared with the unconstrained alternative.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"49 - 72"},"PeriodicalIF":0.0,"publicationDate":"2020-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097362","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46284241","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

Trade Openness, Institutions and Financial Development in Sub-Saharan Africa 撒哈拉以南非洲的贸易开放、制度和金融发展

Journal for Studies in Economics and Econometrics Pub Date : 2020-08-01 DOI: 10.1080/10800379.2020.12097361

W. Bandura

引用次数: 2

First Palestinian intifada and intergenerational transmission of human capital 第一次巴勒斯坦起义和人力资本的代际传递

Journal for Studies in Economics and Econometrics Pub Date : 2020-07-28 DOI: 10.1080/03796205.2022.2043769

Sameh Hallaq

{"title":"First Palestinian intifada and intergenerational transmission of human capital","authors":"Sameh Hallaq","doi":"10.1080/03796205.2022.2043769","DOIUrl":"https://doi.org/10.1080/03796205.2022.2043769","url":null,"abstract":"Abstract This paper attempts to estimate the intergenerational transmission of human capital in Palestine. The main question is whether formal parental education improves their offspring’s cognitive skills and school achievements. I use the instrumental variable method in the estimations to overcome the potential endogeneity of parental education. The main source of variation in parental educational attainment is parents’ exposure to the First Palestinian Intifada (1988–1993) during their middle and high school ages. During the First Palestinian Intifada, many school days were lost due to frequent school closures and other restrictions. Furthermore, many young people preferred to search for low-skill employment in Israel, since it provided them with better wages than the local labour market and hardly required any level of educational attainment. This study employs two outcomes, namely the standardised cognitive test scores and school achievements during the academic year 2012/2013 for students between grade 5 and grade 9 in West Bank schools. Overall, the results support the hypothesis of a human capital spill-over but more so for girls than for boys, where the instrumental variables results are often insignificant because of their large standard errors.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"45 1","pages":"209 - 242"},"PeriodicalIF":0.0,"publicationDate":"2020-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45913188","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

A FORWARD GUIDANCE INDICATOR FOR THE SOUTH AFRICAN RESERVE BANK: IMPLEMENTING A TEXT ANALYSIS ALGORITHM 南非储备银行的前瞻性指标：文本分析算法的实现

Journal for Studies in Economics and Econometrics Pub Date : 2020-05-10 DOI: 10.1080/03796205.2020.1919424

Ruan Erasmus, H. Hollander

{"title":"A FORWARD GUIDANCE INDICATOR FOR THE SOUTH AFRICAN RESERVE BANK: IMPLEMENTING A TEXT ANALYSIS ALGORITHM","authors":"Ruan Erasmus, H. Hollander","doi":"10.1080/03796205.2020.1919424","DOIUrl":"https://doi.org/10.1080/03796205.2020.1919424","url":null,"abstract":"Abstract The expansion of central bank communications and the increased use thereof as a policy tool to manage expectations have led to an area of research, semantic modelling, that analyses the words and phrases used by central banks. We use text-mining and text-analysis techniques on South African Reserve Bank monetary policy committee statements to construct an index measuring the stance of monetary policy: a forward guidance indicator (FGI). We show that, after controlling for market expectations, FGIs provide significant explanatory power for future changes in the repurchase interest rate (the primary monetary policy instrument). Their out-of-sample predictive power is, however, weak. Furthermore, we show that FGIs are primarily driven by inflation expectations, which highlights the strong link between the SARB’s communication strategy and its inflation targeting mandate. In fact, we observe a systematic anti-inflation bias in the communicated stance of monetary policy—both absolutely and asymmetrically. Overall, Monetary Policy Committee (MPC) statements reflect relevant information on the inflationary stance and policy decisions of the South African Reserve Bank (SARB), but, since forecasts are conditional on current information, they provide unreliable forward guidance. Given this finding, MPC statements should emphasize the conditional nature of the SARB’s stance, and what that implies for the future path of the policy rate.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"41 - 72"},"PeriodicalIF":0.0,"publicationDate":"2020-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/03796205.2020.1919424","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45868555","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

Detecting the Environmental Kuznets Curve in African Countries 非洲国家环境库兹涅茨曲线的检测

Journal for Studies in Economics and Econometrics Pub Date : 2020-04-01 DOI: 10.1080/10800379.2020.12097355

A. Alsayed, A. Malik

{"title":"Detecting the Environmental Kuznets Curve in African Countries","authors":"A. Alsayed, A. Malik","doi":"10.1080/10800379.2020.12097355","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097355","url":null,"abstract":"The growth of the African economy is increasing rapidly since the last decades, but those economic activities affect environmental quality. Researches have shown that an increase in economic activities would lead to environmental degradation which may eventually cause environmental collapse. In this study we intend to examine the relationship between CO2 emission as a proxy of the environmental quality and gross domestic product (GDP) as a proxy of economic growth in Africa, then to detect and compare the Environmental Kuznets Curve (EKC) between African economic groups. An annual data of forty-eight (48) African countries classified into four economic levels according to World-Bank classification: lower income, lower middle income, lower upper income, and higher income countries for the period between 1960 to 2014, using panel data regression technique. The main findings show that there is a significant positive relationship between CO2 emission and GDP in Africa, as one unit of GDP increase, CO2 emission will increase by 0.37 metric ton in the African continent. Moreover, the analysis shows the existence of the EKC hypothesis of an inverted U-shape curve for all African economic levels with a higher turning point in higher income countries.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"35 - 44"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097355","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"60291146","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: 7

When Does Export Diversification Improve Economic Growth? A Comparative Analysis of Sub-Saharan African Countries 出口多样化何时能促进经济增长?撒哈拉以南非洲国家的比较分析

Journal for Studies in Economics and Econometrics Pub Date : 2020-04-01 DOI: 10.1080/10800379.2020.12097359

D. Yuni, N. Urama, U. Ugwuegbe, T. Agbanike

引用次数: 1

An Efficiency Analysis of Female Hair Dressers in Empangeni, South Africa: The Role of Infrastructure 南非恩潘格尼女性理发师的效率分析：基础设施的作用

Journal for Studies in Economics and Econometrics Pub Date : 2020-04-01 DOI: 10.1080/10800379.2020.12097358

R.T. Nokuthula, M.B. Tavonga

{"title":"An Efficiency Analysis of Female Hair Dressers in Empangeni, South Africa: The Role of Infrastructure","authors":"R.T. Nokuthula, M.B. Tavonga","doi":"10.1080/10800379.2020.12097358","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097358","url":null,"abstract":"Infrastructure is widely considered an important determinant of firm performance but evidence on its importance on technical efficiency of hairdressers is very limited. Against this background, this study sought to compute and compare the technical efficiency levels of female hairdressers operating by the road side with those operating within formalised and designated salons. Primary cross-sectional data were collected using questionnaires and analysed within a quantitative research design. Technical efficiency was measured using a stochastic frontier technique which, in computing efficiency scores, separates the effect of random factors that are exogenous to the hairdressers. Based on a Cobb Douglas functional form chosen by relevant statistical tests, results from the stochastic frontier model estimated by the maximum likelihood confirm that hairdressers operating in designated saloons are more efficient when compared with hairdressers operating by the road side. A policy implication arising from this finding is that the provision of proper infrastructure is necessary to improve technical efficiency of hairdressers currently operating by the road side.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"113 - 128"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097358","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47985644","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

Liquidity Risk and Asset Liability Mismatches: Evidence From South Africa 流动性风险与资产负债错配:来自南非的证据

Journal for Studies in Economics and Econometrics Pub Date : 2020-04-01 DOI: 10.1080/10800379.2020.12097357

G. Marozva, D. Makina

引用次数: 5

Aggregational Effects in Extreme Value and Generalized Hyperbolic Models for Value-At-Risk Estimation: Evidence From the NYSE, FTSE, KRX and TWSE 风险价值估计的极值和广义双曲型模型中的聚集效应：来自纽约证券交易所、富时指数、KRX和TWSE的证据

Journal for Studies in Economics and Econometrics Pub Date : 2020-04-01 DOI: 10.1080/10800379.2020.12097356

Q. Mashalaba, C-K. Huang

引用次数: 1