13,393 research outputs found

    Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices

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    The relationship between macroeconomic variables and stock market returns is, by now, well-documented in the literature. However, a void in the literature relates to examining the cointegration between macroeconomic variables and stock market’s sector indices rather than the composite index. Thus in this paper we examine the long-term equilibrium relationships between selected macroeconomic variables and the Singapore stock market index (STI), as well as with various Singapore Exchange Sector indices—the finance index, the property index, and the hotel index. The study concludes that the Singapore’s stock market and the property index form cointegrating relationship with changes in the short and long-term interest rates, industrial production, price levels, exchange rate and money supply. Implications of the study and suggestions for future research are provide

    Implementation of quasi-static time series simulations for analysis of the impact of electric vehicles on the grid

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    © 2019 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.In this paper, symmetrical electric vehicle charging impacts in existing low-voltage distribution grid are investigated throughout proposed methodology and their results analysed. Symmetrical loading- and voltage-related impacts are assessed for the extensive grid. A synthetic EV mix pattern was used with the purpose to demonstrate a universal observation of charging impacts. These patterns were allocated quasi-randomly to the points of common coupling within the grid based on predefined scenarios - 8, 10, 12 and 20 percent. Subsequently, quasi-static time series simulations for a duration of one year in 10-minute time steps were executed. Consequently, this paper yields results, which offer practical insight in the maximum share of electric vehicle charging in low-voltage distribution grids and provide guidance for future decision-making of distribution grid operators

    Finite mixtures of matrix-variate Poisson-log normal distributions for three-way count data

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    Three-way data structures, characterized by three entities, the units, the variables and the occasions, are frequent in biological studies. In RNA sequencing, three-way data structures are obtained when high-throughput transcriptome sequencing data are collected for n genes across p conditions at r occasions. Matrix-variate distributions offer a natural way to model three-way data and mixtures of matrix-variate distributions can be used to cluster three-way data. Clustering of gene expression data is carried out as means to discovering gene co-expression networks. In this work, a mixture of matrix-variate Poisson-log normal distributions is proposed for clustering read counts from RNA sequencing. By considering the matrix-variate structure, full information on the conditions and occasions of the RNA sequencing dataset is simultaneously considered, and the number of covariance parameters to be estimated is reduced. A Markov chain Monte Carlo expectation-maximization algorithm is used for parameter estimation and information criteria are used for model selection. The models are applied to both real and simulated data, giving favourable clustering results

    Impact of Infrastructure on Productivity: Case of Indian Registered Manufacturing

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    This study is primarily focused on the productivity impacts of the provision of infrastructure on the registered manufacturing sector in India. This is analyzed by estimating the cost elasticity of infrastructure inputs. For this purpose we postulate a variable cost function model for the manufacturing sector with cost as a function of the prices of the variable inputs, levels of output and infrastructure stocks. Variable inputs include capital, labour and intermediate input. Infrastructure is assumed to be a quasi-fixed input since its provision is done mainly by the public sector and it cannot be instantaneously adjusted in the short-run. The cost function model estimated consists of the variable translog cost function and the cost share equations for the variable inputs. We have used time series data and it pertains to the period 1965-1999. Twenty-three infrastructure variables are used in this study which, are aggregated using the principal component methodology. Three alternative specifications of the quasi-fixed inputs are explored. The alternatives are economic infrastructure, social infrastructure and aggregate infrastructure. Estimated results suggest that infrastructure provision enhances the productivity in the manufacturing sector and it helps to lower the costs in the sector. Apart from this it also has several bias effects with respect to the variable inputs.

    Private Investment and Economic growth Evidence from Ethiopia

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    This study attempts to evaluate the inter-relationship among two macro variables, namely private investment and GDP growth both in the long and short run with reference to Ethiopian economy using a data set of 1970-2011. I try to pinpoint the important determinants of each variable, using the standard econometric techniques. Long run relationship between variables is specified by using method proposed by Johansen and Juselious (1990).Based on the results of the long-run co-integration tests parameters short correction model is used to estimate the short run relationship between the variables. As expected, growth has a strong positive relationship with public and private investment; there is evidence of uni directional causality between real GDP, and private investment. A general negative theoretical relationship between public and private investment is confirmed in the context of Ethiopian economy, i.e. public investment has a ―crowding-out‖ effect on private investment at large. This is because public investment has primarily been financed in the past through internal and external borrowing. The government revenues collected through taxation has little contribution in promoting public investment. Overall, the major policy implication of this study is that, given the long run positive impact private investment and public investment on economic growth, it will be natural to think of supplementary reforms

    The Transactions Demand for Money in Chile

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    This paper examines the transactions demand for money in Chile over the period from 1986 to 2000. Using systems cointegration methods suggested by Johansen (1995), we find that although macroeconomic data for Chile exhibit strong trend-stationarity during this period it is possible to recover relatively robust single-equation specifications for the transactions demand for money. Error-correction models in which money demand is conditioned on real wealth, the level of economic activity, and the nominal Central Bank policy rate provide robust basis for inference. Controlling for a shift in velocity in the end of 1998 the models exhibit a high-degree of out-of-sample predictive power over the period from 1998 to mid 2000.

    Fiscal Regime Shifts in Portugal

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    We estimate changes in fiscal policy regimes in Portugal with a Markov Switching regression of fiscal policy rules for the period 1978-2007, using a new dataset of fiscal quarterly series. We find evidence of a deficit bias, while repeated reversals of taxes making the budget procyclical. Economic booms have typically been used to relax tax pressure, especially during elections. One-off measures have been preferred over structural ones to contain the deficit during economic crises. The EU fiscal rules prompted temporary consolidation, but did not permanently change the budgeting process.fiscal regimes, Markov Switching, Portugal.

    Port Efficiency and Regional Development

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    This paper attempts to elucidate one of the mechanisms that link trade barriers, in the form of port costs, and subsequent growth and regional inequality. Not only inland costs can be perceived as a further barrier to link trade liberalization and growth (Haddad and Perobelli, 2005), but also port costs. Unlike highway link, congestion at port may have severe impacts spread over space and time whereas highway link congestion may be resolved within several hours. Since port is part of the transportation network, any congestion/disruption is likely to ripple throughout the hinterland. In this sense, it is important to model properly the role nodal congestion plays in a context of spatial models and international trade. Thus, we have developed a spatial CGE model integrated to a transport network system in order to simulate the impacts of increases in port efficiency in a context of trade liberalization. The role of ports of entry and ports of exit are explicitly considered in order to grasp the holistic picture in an integrated interregional system.
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