Output decline in Hungary and Poland in 1990-91 : structural change and aggregate shocks

The authors try to distinguish between general and national features in explaining the impulse, transmission channels, and path of output decline in Hungary and Poland. It is clear that output losses are massively concentrated in the socialized industrial sectors, but they identify significant differences in the distribution of those losses and their associated employment outcomes; in the timing and degree of synchronization of those losses; and in the two countries'different policy responses to these powerful recessionary pressures. In particular, they try to separate shocks particular to a sudden (Polish) big bang and those attributable to a more gradual path of reform (Hungary). The contrast between Hungary and Poland is less robust than initial impressions led one to expect. By 1991, both economies have open trade regimes, and a practically fully liberalized price system. The magnitude of shocks to both economies and the accompanying macroeconomic policies clearly diverged. The role of macroeconomic policies was easier to isolate in 1990, before the full effects of the CMEA shock could be felt. Interestingly, in 1990, the decline in output was far smaller in Hungary than in Poland, and was of rather a different nature. In 1990, employment declined more rapidly than output in Hungary, but lagged sharply behind output in Poland. So productivity increased, albeit marginally, in Hungary, while declining sharply in Poland. Contrary to expectations, the Polish big bang approach has produced less adjustment than the more gradual approach followed by Hungary. One reason for this could be the lack of progress on microeconomic reforms that have accompanied the drastic shift in macroeconomic policies. But the authors suggest that this result could also be associated with the two different paths to reform, the big bang and gradualism.Environmental Economics&Policies,Economic Theory&Research,Fiscal&Monetary Policy,Banks&Banking Reform,Access to Markets

BIG DATA ALGORITHMS AND PREDICTION: BINGOS AND RISKY ZONES IN SHARIA STOCK MARKET INDEX

Each country with a stock exchange normally calculates various indexes. So is the case for Malaysia’s Kuala Lumpur Stock exchange (KLSE). FTSE BURSA Malaysia EMAS Sharia price index (FTBMEMA) is one of its Sharia indexes. In an effort to find which other indices may forecast this Sharia index, we selected 23 relevant indexes and two exchange rates. Momentum indicators for short, medium and long term have been calculated for the variables. The objective of this study is to find predictive indicators for FTBMEMA out of the population of 188 original and derived variables. Difficulty arises in reducing the number of variables for regression or other predictive models like neural networks. In this preliminary study, data mining attribute selection algorithms along with cross validation criteria have been used, through the use of Java class library Weka (JCLW), for reducing the number to statistically relevant variables for our regression estimation in an effort to forecast various performance parameters for FTBMEMA like performing either in a mean performance range, having jackpots and bingos or falling into danger zones. Provided the extent of the required predictive accuracy, the results may bring additional insights for diversifying and hedging various types of investment portfolios as well as for maximizing returns by portfolio managers

Investor confidence, macroeconomic forces and the performance of stock market- an empirical investigation of the Pakistan stock market

This study investigates investor confidence and the macroeconomic factors contributing to the Stock market performance in Pakistan during the period 1997- 2012. We find that: (1) Macro economic variables play an important role in explaining stock market performance in Pakistan. (2) The effects of macroeconomic variables on the stock market performance across different sectors, different firm sizes, and different risk portfolios are somewhat different. (3) Historical stock return volatility significantly influences the current stock market volatility; and historical volatility shocks drive volatility changes in all sectors of the stock market. (4) Investor sentiment exhibits explanatory power in capturing financial market anomalies such as the size, sector momentum effect and betas of the firm. Particularly, there is a positive association between investor confidence and stock returns, and the majority of variations in stock returns are explained by the investor sentiment index. (5) The sensitivities of the stock market performance are different across different industries. (6) The findings also indicate that risky portfolio returns are more sensitive to the investor confidence, and vice versa. (7) Similarly, the large firms are less sensitive, where small firms are highly sensitive to the investors’ confidence. The findings let us to conclude that high risk firms and small firms are hard-to-arbitrage. Our findings facilitate policy-makers and practitioners to understand the importance of investor sentiment and take remedial measures to build confidence among investors

The Monetary Transmission Mechanism in Chile: A Medium-Sized Macroeconometric Model

This paper proposes and estimates a macroeconomic model of the Chilean economy. The model is designed as a short- and medium-term inflation-forecasting tool, which precisely identifies the transmission mechanism followed by monetary policy in Chile. The model specifies short-run dynamics as well as long-run equilibrium conditions. Cointegration and error correction techniques are used to estimate the relevant parameters, while some relations are calibrated. The model includes the main components of aggregate demand and external accounts, a supply-side block that relies on a standard production function, a specification for asset prices, and a wage/markup/price and labor market block. The short- and long run interdependence among each of these factors is taken into account to yield a forward-looking macroeconomic dynamic equilibrium. The key steadystate relative prices, such as the long-run real interest rate, the real exchange rate, and the sovereign risk premium, are endogenously determined. The model is used to explore and quantify the effects of monetary policy on inflation and how monetary policy is transmitted to inflation. The results obtained here are compared to the results of other simpler but less informative models, such as VAR and a smaller scale macroeconomic model, based on Phillips curves. The paper analyzes the response of some key macroeconomic variables to a number of permanent shocks.

Regional financial integration in the Gulf Cooperation Council banking and stock markets

The main objective of this research is to examine the degree of regional and global financial integration among the banking and stock Markets in the Gulf Cooperation Council (GCC). The cointegrating and causal relationships between these financial systems is examined to discover whether or not progress towards regional and global financial integration is being achieved, which is more important, and whether or not current policies are the most appropriate instruments to that en

An operational framework for the short-term forecasting of inflation

Over the last 15 years the Greek economy has made significant progress towards macroeconomic stability with a remarkable degree of inflation containment both in levels and volatility. These changes in inflation dynamics have implications for the short term forecasting of inflation. This paper proposes a framework to forecast Greek inflation (measured by both the National and the Harmonised indices, and the subcomponents of HICP) at an 18-month horizon by blending pure econometric model based forecasts with expert judgement. A rolling out of sample forecasting exercise as well as a battery of standard statistical tests suggests that the proposed underlying dynamic econometric model with the inclusion of variables reflecting economic activity, domestic and foreign costs, exchange rates etc. forecast encompasses simple benchmark specifications. This conclusion seems reasonably robust to alternative competing benchmarks.inflation forecasting

Macroeconomic modelling for policy analysis

Over the last 30 years, the Inforum approach to macro modelling has been shared by economists worldwide. Researchers have focussed much of their efforts to developing a linked system of international interindustry models with a consistent methodology. A world-wide network of research associates use the same methods and software obtaining comparable results. The XXth Inforum World Conference was held in Florence in September 2012 and this book contains a selection of papers presented during that Conference. All these contributions are aimed at policymakers, stakeholders, and applied economists. Some papers are devoted to specific topics (total factor productivity, energy issues, external linkages, demographic changes) and some others are oriented to macro model building and simulations

UK market efficiency and the Myners review: a univariate analysis of strategic asset allocation by industrial sectors.

The Treasury's report "Institutional Investment in the United Kingdom: A Review" (the Myners Review) suggested in 2001 that various sectors of the UK equity market may be suitable for active investment management, tacitly assuming that some sectors are efficient whilst others are not. The validity of this assumption is tested against 29 industrial sector indices within the FTSE All Share index. Sector efficiency is, taken to be that index values reflect information correctly (strong efficient) or to the point where benefits do not exceed costs (weakly efficient). Existence of a sector index following a random walk is used to identify strong efficiency with the subsequent conclusion that passive management would be appropriate. Where the time series is not random, forecasting gains less than the management costs of active trading indicate weak efficiency with the corollary that passive management is still applicable. Industrial sectors where the index can be forecast with gains in excess of costs are not efficient and are appropriate for active management. The indices are tested for stationarity: none are stationary in levels but all reject the Dickey Fuller null hypothesis of a unit root in their first difference, the logarithmic return. Tests for randomness are based on pure random walks and random walks with drift and/or trend. Non-random time series are examined for maintained regressions based on AR, MA and ARMA. Where appropriate, ARCH is applied to the variance, utilising GARCH, Threshold GARCH, GARCH-in mean, Exponential GARCH and Component GARCH. Additionally there is a test for cointegration. All potential data generating processes' residuals are tested for independent identical distributions using the BDS test. If the maintained regression produces residuals that are III) then that series is assumed to be explained. The results show that four indices are strong efficient and five are weak; giving nine sectors that should be managed passively. Only one sector is found where there is scope for active management to make an abnormal gain in excess of costs. Nineteen of the indices had GARCH, which indicated a possible lack of efficiency but no decision on management style. One index was unexplained. Thus the Myners review's suggestion of active management where appropriate was valid, but limited solely to the Personal Care & Household Products sector

Essays in the economics and political economy of climate change

Empirical research on anthropogenic climate change is constrained by two fundamental facts: climate change is unprecedented and its impacts occur gradually. This implies that neither evidence from recent history nor the near future can directly inform policy. Under such circumstances, empirical research must find historical analogs capturing particular features of future climate change and policy, which, combined with theory, can provide credible out-of-sample predictions. The four papers in this dissertation use new data settings and methodologies to causally examine central questions related to climate change mitigation, adaptation, innovation, and impacts. Results from these papers can help inform future climate-related research and various issues regarding the political economy of climate policy