Essays on fractional cointegration and long memory time series

This dissertation contains three essays on distinguishing between structural breaks under long memory, testing for fractional cointegration relationship between the financial markets and developing optimal forecast methods under long memory in the presence of a discrete structural break. Chapter 1 introduces the concepts of long memory, fractional cointegration and briefly describes the rest of the chapters. Chapter 2 suggests a testing procedure to discriminate between stationarity, a break in the mean and a break in persistence in a time series that may exhibit long memory is introduced. The asymptotic properties of test statistics based on the CUSUM statistic are studied. In a Monte Carlo study we further analyze the finite sample properties of the procedure. An application to inflation rates shows the potential of our procedure for future research. Chapter 3 revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one market across trading zones. Also the other combinations of different markets in different trading zones are considered. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a small minority of different cases. Investigating further we find that all volatility series show persistence breaks during the observation period which may be a reason for different findings in previous studies. Finally, we develop methods in Chapter 4 to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is taken into account. Using Monte Carlo simulations, we confirm that our methods substantially improve the forecasting performance under long memory. We further present an empirical application to inflation rates that emphasizes the importance of our methods

Does board diversity leadership affect corporate decisions and risk control? evidence from Kenyan commercial banks

14th annual conference of the International Leadership Association (ILA) leadership across the great divides: Bridging Cultures, Contexts, and Complexities, Denver Colorado- USA.The aim of this paper is to provide preliminary analysis of the relationship between corporate decisions, risk taking behavior and gender diversity. Using a panel of 28 Kenyan banks over the period 2000-2009, the study examined effect of corporate leadership in banks (number of female directors, proportion of female directors on boardrooms and gender presence in boards) and its value to board effectiveness, strategic control and monitoring of management. After controlling for relevant sources of endogeneity, the value of women in bank boardrooms could not be clearly justified. Particularly, the results show a negative association between profitability and female directors on the board and that diverse board in Kenyan banks probably lack decision control or are less effective. The study also shows that in the context of an emerging country, there is increased gender diversity in boards with women holding 9% of bank board seats in 2009. Larger boards and larger firms in addition to a long history of existence determine women appointment to the board. The study also finds evidence of a high risk appetite for a women director that does not pay off. In addition, the results support a positive association between gender diversity and financing costs. Overall, the results indicate tokenism is a key practice in the Kenyan banking sector.The aim of this paper is to provide preliminary analysis of the relationship between corporate decisions, risk taking behavior and gender diversity. Using a panel of 28 Kenyan banks over the period 2000-2009, the study examined effect of corporate leadership in banks (number of female directors, proportion of female directors on boardrooms and gender presence in boards) and its value to board effectiveness, strategic control and monitoring of management. After controlling for relevant sources of endogeneity, the value of women in bank boardrooms could not be clearly justified. Particularly, the results show a negative association between profitability and female directors on the board and that diverse board in Kenyan banks probably lack decision control or are less effective. The study also shows that in the context of an emerging country, there is increased gender diversity in boards with women holding 9% of bank board seats in 2009. Larger boards and larger firms in addition to a long history of existence determine women appointment to the board. The study also finds evidence of a high risk appetite for a women director that does not pay off. In addition, the results support a positive association between gender diversity and financing costs. Overall, the results indicate tokenism is a key practice in the Kenyan banking sector

Book Review: Searching for Peace in Africa: An Overview of Conflict Prevention and Management Activities

Book Title: Searching for Peace in Africa: An Overview of Conflict Prevention and Management Activities (1999)Book Authors: Monique Mekenkamp, Paul van Tongeren and Hans van de Veen (eds)Utrecht: European Platform for Conflict Prevention and Transformation. 528 pp

Human Rights and the Global Climate Change Regime

This article discusses human rights implications of the market-based mechanisms operationalized under the global climate change regime. It examines greenhouse gas emissions rights created by the Kyoto Protocol and continued by the Paris Agreement. This article discusses implications of these rights for the protection and realization of human rights in the wake of climate change and argues that greenhouse gas emissions rights, as currently constituted, are incompatible with human rights protections. While the Paris Agreement’s recognition of human rights is a significant development, the protection and realization of human rights by states under a free-market approach to climate change remains a challenge. This article calls for allocation of carbon investment rights for developing countries as a means of promoting the climate justice platform identified by human rights proponents, and reducing the economic gulf between developed and developing countries

The Letter

It was fortunate that Mrs. Agwambo had, in what she would have thought uncharacteristic of herself, walked straight onto the carpet in her high and pointed heeled shoes, for the door she had just gently pushed shut narrowly missed her as it violently swung open. Mrs. Agwambo turned to see who it was, her forehead wrinkling in disapproval. Auntie, who had flung the front door open, did not come in. Breathing heavily, she leaned forward, most of her weight falling on her right hand which firmly gripped the handle of the door it had shot after and reined back. ‘There’s a letter for Bebi’s father,’ Auntie said, then paused to catch her breath, before continuing, ‘on the sideboard.

Relaxing financing constraint in the microfinance industry : is commercialization the answer?

Published on Journal of Business & Economics ResearchA critical question facing Microfinance Institutions (MFIs) is whether they can attract commercial capital as a solution to their financing problem and as a way of relaxing strained development aid. While donations have made enormous contributions to microfinance development and poverty reduction among the poor to date, an attempt to scale-up funding from this traditional source has been an uphill task. It is argued that vast resources of commercial capital can become available to microfinance if critical success strategies of access to commercial funding are developed. This paper offers research evidence that identifies significant predictors for successful Commercialization of microfinance based on firm-level data from African MFIs for three financial years between 1998 and 2003. The research develops and tests a commercial rating rule (predictive model) for determining success in tapping commercial capital. The results indicate the emergence of new finance sources, widened financing options for MFIs and the capacity to relax growth constraints in the industry. However, the findings also suggest the need for MFIs to satisfy the interests and requirements of prospective commercial investors to overcome new challenges.A critical question facing Microfinance Institutions (MFIs) is whether they can attract commercial capital as a solution to their financing problem and as a way of relaxing strained development aid. While donations have made enormous contributions to microfinance development and poverty reduction among the poor to date, an attempt to scale-up funding from this traditional source has been an uphill task. It is argued that vast resources of commercial capital can become available to microfinance if critical success strategies of access to commercial funding are developed. This paper offers research evidence that identifies significant predictors for successful Commercialization of microfinance based on firm-level data from African MFIs for three financial years between 1998 and 2003. The research develops and tests a commercial rating rule (predictive model) for determining success in tapping commercial capital. The results indicate the emergence of new finance sources, widened financing options for MFIs and the capacity to relax growth constraints in the industry. However, the findings also suggest the need for MFIs to satisfy the interests and requirements of prospective commercial investors to overcome new challenges

Leveraging donor funds: the switch to commercial sources of funding

“UNU/WIDER CONFERENCE”Sustainable livelihood strategies in microfinance are a major force behind enterprise development in poor societies. But uncertainty of continued donor funding poses a risk to operations. This paper presents findings on, critical success factors that define minimum pre-conditions for microfinance institutions considering commercial funding as an alternative. The study is conducted on broad -based industry experts responsible for making funding decisions. Paper explores what it takes to finance MFIs through leveraged funds and argues that key transitional factors are critical for a successful switch to commercial funding. A realistic checklist for self-assessment of MFI's progress in a commercialization strategy is proposed.Sustainable livelihood strategies in microfinance are a major force behind enterprise development in poor societies. But uncertainty of continued donor funding poses a risk to operations. This paper presents findings on, critical success factors that define minimum pre-conditions for microfinance institutions considering commercial funding as an alternative. The study is conducted on broad -based industry experts responsible for making funding decisions. Paper explores what it takes to finance MFIs through leveraged funds and argues that key transitional factors are critical for a successful switch to commercial funding. A realistic checklist for self-assessment of MFI's progress in a commercialization strategy is proposed

The Kenyan Mwananchi and the National Language: Kiswahili and “Pili Mswahili” by Moreno Batamba et l’Orchestre Moja One

The frame for this critical interpretation of the Kiswahili popular love song “Pili Mswahili” by Moreno Batamba et L’Orchestre Moja One (1981) is the discussion on African contributions to the making of modern Africa. The argument is that “Pili Mswahili” is an instance of the mwananchi’s, common person’s, agentive contribution to the establishment of Kiswahili as a national language in Kenya. The song is read as an urging of non-Swahili Kenyans to accept Kiswahili – which, in spite of its being an important lingua franca in Kenya, was, after all, the language of one ethnic group in a multi-ethnic state where “tribalism” is a major political factor – as their national language. It is shown that “Pili Mswahili” complemented the efforts of the makers and executors of government policy that had nation formation as the ultimate objective. Nation formation is understood to be a key strategy in the African appropriation of the African nation-state that started life as a colonial invention

Foreign direct investment and growth in Tanzania : roles of the domestic financial system and human capital

Includes bibliographical references (leaves 51-55).Recent theoretical and empirical literature suggests various links through which foreign direct investments (FDI) exert positive impact on economic growth. It is argued that FDI will have a positive effect on domestic economic growth under certain circumstances. Some proponents of FDI and growth have emphasized on the role of the level of technological advancement and human capital while others have focused on the level of the development of the domestic financial system. In the former case, the literature suggests that better trained people will easily acquire technologies introduced with FDI inflows and spread it to the rest of the economy while in the later case, it suggests that a well developed domestic financial system enhances efficient allocation of financial resources and therefore it is a pre-condition for FDI to positively contribute to economic growth. In this paper, both propositions are investigated. The paper examines whether Tanzania has sufficiently developed its financial system and invested in human capital adequately to enhance its FDI absorptive capacity and let it contribute positively to economic growth for the period 1970 -2006. The study uses bounds testing approach of cointegration within the framework of Autoregressive Distributed Lag (ARDL) developed by Peresan et al. (2001) also used by Fosu and Frimpong (2006); and Khan (2007). An ARDL estimation technique follows three main steps. After testing for unit roots, an Ordinary Least Square (OLS) model is estimated in order to test for the existence of long-run relationships between the variables by conducting F-test for joint significance of the coefficients of lagged levels of variables

Relaxing Financing Constraint In The Microfinance Industry: Is Commercialization The Answer?

A critical question facing Microfinance Institutions (MFIs) is whether they can attract commercial capital as a solution to their financing problem and as a way of relaxing strained development aid. While donations have made enormous contributions to microfinance development and poverty reduction among the poor to date, an attempt to scale-up funding from this traditional source has been an uphill task. It is argued that vast resources of commercial capital can become available to microfinance if critical success strategies of access to commercial funding are developed. This paper offers research evidence that identifies significant predictors for successful Commercialization of microfinance based on firm-level data from African MFIs for three financial years between 1998 and 2003. The research develops and tests a commercial rating rule (predictive model) for determining success in tapping commercial capital. The results indicate the emergence of new finance sources, widened financing options for MFIs and the capacity to relax growth constraints in the industry. However, the findings also suggest the need for MFIs to satisfy the interests and requirements of prospective commercial investors to overcome new challenges