scholarly journals Construction of China’s financial conditions index in the post-crisis era

2019 ◽  
Vol 2 (2) ◽  
pp. 258-276
Author(s):  
Nan Li ◽  
Liu Yuanchun
Keyword(s):  
Financial Stability ◽  
Design Methodology ◽  
Predictive Power ◽  
Time Varying ◽  
Content Type ◽  
Vector Autoregressive ◽  
Financial Variables ◽  
Financial Conditions ◽  
Time Varying Parameter ◽  
Better Than

Purpose The purpose of this paper is to summarize different methods of constructing the financial conditions index (FCI) and analyze current studies on constructing FCI for China. Due to shifts of China’s financial mechanisms in the post-crisis era, conventional ways of FCI construction have their limitations. Design/methodology/approach The paper suggests improvements in two aspects, i.e. using time-varying weights and introducing non-financial variables. In the empirical study, the author first develops an FCI with fixed weights for comparison, constructs a post-crisis FCI based on time-varying parameter vector autoregressive model and finally examines the FCI with time-varying weights concerning its explanatory and predictive power for inflation. Findings Results suggest that the FCI with time-varying weights performs better than one with fixed weights and the former better reflects China’s financial conditions. Furthermore, introduction of credit availability improves the FCI. Originality/value FCI constructed in this paper goes ahead of inflation by about 11 months, and it has strong explanatory and predictive power for inflation. Constructing an appropriate FCI is important for improving the effectiveness and predictive power of the post-crisis monetary policy and foe achieving both economic and financial stability.

scholarly journals A time-varying approach to analysing fiscal policy and asset prices in South Africa

2014 ◽  
Vol 6 (1) ◽  
pp. 46-63 ◽  
Author(s):  
Rangan Gupta ◽  
Charl Jooste ◽  
Kanyane Matlou
Keyword(s):  
Fiscal Policy ◽  
Stock Prices ◽  
Asset Prices ◽  
Marked Change ◽  
Var Model ◽  
Time Varying ◽  
Content Type ◽  
Vector Autoregressive ◽  
Time Varying Parameter ◽  
The Impact

Purpose – This paper aims to study the interplay of fiscal policy and asset prices in a time-varying fashion. Design/methodology/approach – Using South African data since 1966, the authors are able to study the dynamic shocks of both fiscal policy and asset prices on asset prices and fiscal policy based on a time-varying parameter vector autoregressive (TVP-VAR) model. This enables the authors to isolate specific periods in time to understand the size and sign of the shocks. Findings – The results seem to suggest that at least two regimes exist in which expansionary fiscal policy affected asset prices. From the 1970s until 1990, fiscal expansions were associated with declining house and slightly increased stock prices. The majority of the first decade of 2000 had asset prices increasing when fiscal policy expanded. On the other hand, increasing asset prices reduced deficits for the majority of the sample period, while the recent financial crises had a marked change on the way asset prices affect fiscal policy. Originality/value – This is the first attempt in the literature of fiscal policy and asset prices to use a TVP-VAR model to not only analyse the impact of fiscal policy on asset prices, but also the feedback from asset prices to fiscal policy over time.

scholarly journals Time-varying impact of U.S. financial conditions on China's inflation: a perspective of different types of events

2021 ◽  
Vol 5 (4) ◽  
pp. 604-622
Author(s):  
Yanhong Feng ◽  
◽  
Shuanglian Chen ◽  
Wang Xuan ◽  
Tan Yong ◽  
...  
Keyword(s):  
Financial Market ◽  
Trade Flow ◽  
Time Varying ◽  
Vector Autoregressive ◽  
Financial Conditions ◽  
Time Varying Parameter ◽  
Different Types ◽  
Changes Over Time ◽  
Over Time ◽  
Time Point

<abstract> <p>In recent years, the frequency adjustment of U.S. monetary policy has a dynamic and global impact on other countries' economy. Based on the financial conditions index (FCI), the paper employs the time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV) and spillover index respectively to investigate the time-varying impact of U.S. financial conditions (UFCI) on China's inflation (CINF) and its impact mechanisms. Some results are achieved as follows: first, the impacts of UFCI on CINF vary greatly over time both in the dimension of action duration and time point. Second, the effects of UFCI on CINF directly relate to different types of major events, and they are heterogeneous in action duration, degree, direction as well as the trend and range of fluctuations. In addition, UFCI can work on CINF through trade flow and China's financial market, and the China's financial market plays a main conductive role, and its conductive effect changes over time.</p> </abstract>

scholarly journals The future of financial markets and regulation: what strategy for Europe?

foresight ◽  
2014 ◽  
Vol 16 (2) ◽  
pp. 95-108 ◽  
Author(s):  
Jean-Baptiste Gossé ◽  
Dominique Plihon
Keyword(s):  
Financial Markets ◽  
Capital Market ◽  
Financial Stability ◽  
Design Methodology ◽  
Financial Integration ◽  
Content Type ◽  
Realistic Option ◽  
The Future ◽  
Unstable Environment ◽  
Insight Into

Purpose – This article aims to provide insight into the future of financial markets and regulation in order to define what would be the best strategy for Europe. Design/methodology/approach – First the authors define the potential changes in financial markets and then the tools available for the regulator to tame them. Finally, they build five scenarios according to the main evolutions observed on the financial markets and on the tools used by the regulator to modify these trends. Findings – Among the five scenarios defined, two present highly unstable features since the regulator refuses to choose between financial opening and independently determining how to regulate finance in order to preserve financial stability. Three of them achieve financial stability. However, they are more or less efficient or feasible. In terms of market efficiency, the multi-polar scenario is the best and the fragmentation scenario is the worst, since gains of integration depend on the size of the new capital market. Regarding sovereignty of regulation, fragmentation is the best scenario and the multi-polar scenario is the worst, because it necessitates coordination at the global level which implies moving further away from respective national preferences. However, the more realistic option seems to be the regionalisation scenario: this level of coordination seems much more realistic than the global one; the market should be of sufficient size to enjoy substantial benefits of integration. Nevertheless, the “European government” might gradually increase the degree of financial integration outside Europe in line with the degree of cooperation with the rest of the world. Originality/value – Foresight studies on financial markets and regulation are quite rare. This may be explained by the difficulty to forecast what will be their evolution in the coming decades, not least because finance is fundamentally unstable. This paper provides a framework to consider what could be the best strategy of regulators in such an unstable environment.

Current CITE-ings from the popular and trade computing press: telework and telecommuting

2016 ◽  
Vol 33 (1) ◽  
pp. 21-22 ◽  
Author(s):  
Martin Kesselman
Keyword(s):  
Literature Review ◽  
Design Methodology ◽  
Virtual Reference ◽  
Content Type ◽  
Advantages And Disadvantages ◽  
Better Than

Purpose – This article examines Current CITE-ings from the Popular and Trade Computing Press, Telework and Telecommuting Design/methodology/approach – The methodology adopted is a literature review. Findings – Readily available technologies now allow librarians to perform most of their work-offsite. Some traditional building-based services such as reference, have been taken over by virtual reference and now even instruction offers options on par with or even better than classroombased questions such as a webinar that can be viewed and reviewed at any time or by having librarians embedded into various courseware packages. Researchlimitations/implications – Librarians no longer need be limited to a single library; groups of subject librarians can work together in the cloud to provide services to multiple universities. Originality/value – This article collates some articles from the non-library literature that mayprovide some ideas and review advantages and disadvantages for both the library and employee

Volatility discovery in cryptocurrency markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Thomas Dimpfl ◽  
Dalia Elshiaty
Keyword(s):  
Design Methodology ◽  
Stochastic Volatility Model ◽  
Discrete Version ◽  
Data Series ◽  
Content Type ◽  
Vector Autoregressive ◽  
Volatility Model ◽  
Information Shares ◽  
The Common ◽  
To Come

PurposeCryptocurrency markets are notoriously noisy, but not all markets might behave in the exact same way. Therefore, the aim of this paper is to investigate which one of the cryptocurrency markets contributes the most to the common volatility component inherent in the market.Design/methodology/approachThe paper extracts each of the cryptocurrency's markets' latent volatility using a stochastic volatility model and, subsequently, models their dynamics in a fractionally cointegrated vector autoregressive model. The authors use the refinement of Lien and Shrestha (2009, J. Futures Mark) to come up with unique Hasbrouck (1995, J. Finance) information shares.FindingsThe authors’ findings indicate that Bitfinex is the leading market for Bitcoin and Ripple, while Bitstamp dominates for Ethereum and Litecoin. Based on the dominant market for each cryptocurrency, the authors find that the volatility of Bitcoin explains most of the volatility among the different cryptocurrencies.Research limitations/implicationsThe authors’ findings are limited by the availability of the cryptocurrency data. Apart from Bitcoin, the data series for the other cryptocurrencies are not long enough to ensure the precision of the authors’ estimates.Originality/valueTo date, only price discovery in cryptocurrencies has been studied and identified. This paper extends the current literature into the realm of volatility discovery. In addition, the authors propose a discrete version for the evolution of a markets fundamental volatility, extending the work of Dias et al. (2018).

Jumping to conclusions – an analysis of the NBA Draft Combine athleticism data and its influence on managerial decision-making

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Tobias Berger ◽  
Frank Daumann
Keyword(s):  
Decision Making ◽  
Design Methodology ◽  
Predictive Power ◽  
Principal Component ◽  
Decision Makers ◽  
Decision Quality ◽  
Managerial Behavior ◽  
Managerial Decision ◽  
Content Type ◽  
Selection Behavior

PurposeThe NBA Draft policy pursues the goal to provide the weakest teams with the most talented young players to close the gap to the superior competition. But it hinges on appropriate talent evaluation skills of the respective organizations. Research suggests the policy might be valid but to date unable to produce its intended results due to the “human judgement-factor”. This paper investigates specific managerial selection-behavior-influencing information to examine why decision-makers seem to fail to constantly seize the opportunities the draft presents them with.Design/methodology/approachAthleticism data produced within the NBA Draft Combine setting is strongly considered in the player evaluations and consequently informs the draft decisions of NBA managers. Curiously, research has failed to find much predictive power within the players pre-draft combine results for their post-draft performance. This paper investigates this clear disconnect, by examining the pre- and post-draft data from 2000 to 2019 using principal component and regression analysis.FindingsEvidence for an athletic-induced decision-quality-lowering bias within the NBA Draft process was found. The analysis proves that players with better NBA Draft Combine results tend to get drafted earlier. Controlling for position, age and pre-draft performance there seems to be no proper justification based on post-draft performance for this managerial behavior. This produces systematic errors within the structure of the NBA Draft process and leads to problematic outcomes for the entire league-policy.Originality/valueThe paper delivers first evidence for an athleticism-induced decision-making bias regarding the NBA Draft process. Informing future selection-behavior of managers this research could improve NBA Draft decision-making quality.

Simple correlations for calculating NHTPB enthalpy of formation through molecular structures

2019 ◽  
Vol 15 (1) ◽  
pp. 258-264 ◽  
Author(s):  
Hamid Reza Ghaieni ◽  
Saeed Tavangar ◽  
Mohammad Moein Ebrahimzadeh Qhomi
Keyword(s):  
Enthalpy Of Formation ◽  
Design Methodology ◽  
Predictive Power ◽  
Cross Validation ◽  
Molecular Structures ◽  
Mean Square ◽  
Mean Square Deviation ◽  
Simple Correlation ◽  
Content Type ◽  
Regression Methods

Purpose The purpose of this paper is to present simple correlation for calculating nitrated hydroxyl-terminated polybutadiene (NHTPB) enthalpy of formation. Design/methodology/approach It uses multiple linear regression methods. Findings The proposed correlation has determination coefficient 0.96. The correlation has root mean square deviation and the average absolute deviations values 53.4 and 46.1 respectively. Originality/value The predictive power of correlation is checked by cross-validation method (R2=0.96, Q L O O 2 = 0.96 ).

Research on thermal property and temperature rating prediction of Mongolian robe ensembles

2018 ◽  
Vol 30 (6) ◽  
pp. 747-756 ◽  
Author(s):  
Xiaofang Guo ◽  
Hui Shi ◽  
Chenglong Wei ◽  
Xiao Dong Chen
Keyword(s):  
Prediction Model ◽  
Thermal Property ◽  
Thermal Insulation ◽  
Design Methodology ◽  
Environmental Adaptation ◽  
Photographic Method ◽  
Mongolian Plateau ◽  
Content Type ◽  
Research Findings ◽  
Better Than

Purpose The purpose of this paper is to reveal the unique thermal property of Mongolian clothing from the current western clothing and explain their environmental adaptation to the climate of Mongolian plateau in China. Design/methodology/approach Thermal insulation and the temperature rating (TR) of eight Mongolian robe ensembles and two western clothing ensembles were investigated by manikin testing and wearing trials, respectively. The clothing area factor (fcl) of these Mongolian clothing was measured by photographic method and estimated equation from ISO 15831. Finally, the TR prediction model for Mongolian clothing was built and compared with current models for western clothing in ISO 7730 and for Tibetan clothing in previous article. Findings The results demonstrated that the total thermal insulation of Mongolian robe ensembles was much bigger than that of western clothing ensembles and ranged from 1.81clo to 3.11clo during the whole year. The fcl of the Mongolian clothing should be determined by photographic method because the differences between these two methods were much bigger from 0.6 to 13.9 percent; the TR prediction model for Mongolian robe ensembles is TR=25.57−7.13Icl, which revealed that the environmental adaptation of Mongolian clothing was much better than that of western clothing and similar to that of Tibetan clothing. Originality/value The research findings give a detailed information about the thermal property of China Mongolian clothing, and explain the environmental adaptation of Mongolian clothing to the cold and changing climate.

scholarly journals Volatility clustering in land markets

2014 ◽  
Vol 32 (5) ◽  
pp. 378-385 ◽  
Author(s):  
Helen Xiaohui Bao ◽  
Helen Hui Huang ◽  
Yu-Lieh Huang ◽  
Pin-te Lin
Keyword(s):  
Economic Theory ◽  
Portfolio Management ◽  
Government Policy ◽  
Design Methodology ◽  
Land Markets ◽  
Time Varying ◽  
Content Type ◽  
Volatility Clustering ◽  
Systematic Pattern ◽  
Empirical Approaches

Purpose – The purpose of this paper is to investigate the volatility clustering in the return of land markets through both theoretical and empirical approaches. Design/methodology/approach – Using extensive monthly panel data at the provincial level from 1986 to 2013, the authors identify the existence of time-correlated and time-varying returns in Canadian land markets. Findings – Consistent with the proposed theory, volatility clustering in land markets tends to be observed in more populated areas. Originality/value – The result has significant implications for portfolio management, economic theory and government policy by revealing the systematic pattern of volatility clustering in land markets.

Modeling schedule overrun and cost escalation percentages of highway projects using fuzzy approach

2017 ◽  
Vol 24 (5) ◽  
pp. 809-827 ◽  
Author(s):  
Ahmed Ebrahim Abu El-Maaty ◽  
Amr M. El-Kholy ◽  
Ahmed Yousry Akal
Keyword(s):  
Linear Regression ◽  
Design Methodology ◽  
Fuzzy Theory ◽  
Linear Regression Analysis ◽  
Fuzzy Approach ◽  
Analysis Method ◽  
Highway Projects ◽  
Content Type ◽  
Theoretical And Numerical Analysis ◽  
Better Than

Purpose Modeling represents the art of translating problems from an application area into tractable mathematical formulations whose theoretical and numerical analysis provides insight, answers and guidance useful for the originating application. The purpose of this paper is to determine the causal causes of schedule overrun and cost escalation of highway projects in Egypt in order to be used as independents variables in mathematical models for predicting the percentages of schedule overrun and cost escalation of such projects in Egypt. Design/methodology/approach A survey of a randomly selected samples yielded responses from 40 owners, 15 consultants and 56 contractors. The survey includes 38 schedule overrun factors and 26 cost escalation factors. The effectiveness degree of the identified factors has been identified by the triangle fuzzy approach. Findings The results of the survey show that “contractor’s technical staff is insufficient and ineligible to accomplish the project” is the most important cause of schedule overrun, while the major cause of cost escalation is inadequate preparation of the project concerning planning and execution. Originality/value The main contribution of this study is predicting the percentages of schedule overrun and cost escalation of highway projects in Egypt. Through the application of the linear regression analysis method and statistical fuzzy theory, four predictive models have been developed and it has been noted that the linear regression-based model shows prediction accuracy better than statistical fuzzy-based model in predicting percentages of schedule overrun and cost escalation.

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