scholarly journals PREDICTING NPLs FOR CROATIA WITH MACROECONOMIC VARIABLES

2021 ◽  
Vol 30 (2) ◽  
pp. 571-586
Author(s):  
Mile Bošnjak ◽  
◽  
Jurica Vukas ◽  
Ivan Šverko
Keyword(s):  
Unemployment Rate ◽  
Index Construction ◽  
Macroeconomic Variables ◽  
Unemployment Rates ◽  
Quarterly Data ◽  
Production Index ◽  
Asymmetric Effects ◽  
Nonperforming Loans ◽  
Regression Approach ◽  
Construction Works

This paper aims to examine some of the macroeconomic drivers of nonperforming loans (NPL) in Croatia. Unemployment rate, industrial production index, construction works volume and the number of tourist arrivals were evaluated as the drivers on a quarterly data sample from 2008q4 to 2020q4. Following quantile regression approach, unemployment rates and construction works volume appeared as significant drivers of NPL in Croatia. Furthermore, empirical findings from this paper suggest asymmetric effects on NPL from its drivers. While decrease in construction works volume and increase in unemployment rates were found to correspond with increase in NPL, an increase in construction works volume and decrease in unemployment rates were not correlated with decrease in NPL. Consequently, the paper brings implications for credit institutions in Croatia within the context of COVID-19 pandemic crises.

scholarly journals THE INFLUENCE OF CONSUMPTION AND INVESTMENT ON UNEMPLOYMENT IN TURKEY: A SVAR APPROACH

Ekonomika ◽  
2017 ◽  
Vol 96 (1) ◽  
pp. 74-92 ◽  
Author(s):  
Mustafa Ozan Yıldırım ◽  
Ahmet Eren Yıldırım
Keyword(s):  
Unemployment Rate ◽  
Variance Decomposition ◽  
Structural Var ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Macroeconomic Variables ◽  
Unemployment Rates ◽  
Dynamic Relationship ◽  
Turkish Economy ◽  
Basic Hypothesis

The aim of this paper is to examine the dynamic relationship between consumption, investment and unemployment in Turkey using structural VAR (SVAR) models. The four different SVAR models are estimated by using quarterly observations of dynamic and contemporaneous relations for the mentioned macroeconomic variables, covering the 2005-2016 period for the Turkish economy. Four different unemployment rates are used in the study to represent the unemployment rate in the Turkish economy, which are overall, young (15-24 age), male and female unemployment rates. Impulse response functions and variance decomposition results obtained from the study show that consumption shocks have a significant impact on both the unemployment rate and the investments, in support of the basic hypothesis that is argued in the study. Investment shocks also have a similar effect on unemployment rates and positive investment shocks have reduced unemployment rates. Moreover, another result obtained in all four models suggests that a shock in consumption increases investment through the accelerator effect.

Territorial Features of Application of Precision Farming Technologies

2020 ◽  
pp. 59-66
Author(s):  
E.A. Skvortsov ◽  
◽  
A.S. Gusev ◽  
Keyword(s):  
Regional Development ◽  
Unemployment Rate ◽  
Negative Correlation ◽  
Agricultural Production ◽  
Agricultural Development ◽  
Precision Farming ◽  
Production Index ◽  
Scientific Problem ◽  
Development Indicators ◽  
Production Growth

The article discusses the issues of territorial patterns in the implementation of precision farming technologies, which are insufficiently studied and constitute a significant scientific problem. The purpose of the study is to identify the territorial patterns of the introduction of precision farming technologies in conjunction with the indicators of agricultural development in the regions. The number of applied precision farming technologies was clarified, 37 regions took part in the study, 24 of them provided information on the application of these technologies. The results of correlation of regional development indicators (12 indicators in three blocks) and the amount of equipment with precision farming elements are presented. The greatest positive correlation is observed between the introduction of precision farming technologies and the agricultural production index at comparable prices (0.51) and the level of subsidies (0.37). The greatest negative correlation is observed between the introduction of these technologies and the change in the registered unemployment rate (-0.3). Based on the results obtained, it can be assumed that in regions with high values of agricultural production growth and subsidies, precision farming technologies will be most intensively introduced.

scholarly journals Unemployment and COVID-19 Impact in Greece: A Vector Autoregression (VAR) Data Analysis

2021 ◽  
Vol 5 (1) ◽  
pp. 41
Author(s):  
Christos Katris
Keyword(s):  
Data Analysis ◽  
Response Function ◽  
Unemployment Rate ◽  
Vector Autoregression ◽  
Impulse Response Function ◽  
Youth Unemployment ◽  
The Other ◽  
Var Model ◽  
Unemployment Rates ◽  
The Impact

In this paper, the scope is to study whether and how the COVID-19 situation affected the unemployment rate in Greece. To achieve this, a vector autoregression (VAR) model is employed and data analysis is carried out. Another interesting question is whether the situation affected more heavily female and the youth unemployment (under 25 years old) compared to the overall unemployment. To predict the future impact of COVID-19 on these variables, we used the Impulse Response function. Furthermore, there is taking place a comparison of the impact of the pandemic with the other European countries for overall, female, and youth unemployment rates. Finally, the forecasting ability of such a model is compared with ARIMA and ANN univariate models.

Market overreaction, firm-specific information and macroeconomic variables in US and Chinese markets during COVID-19

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ooi Kok Loang ◽  
Zamri Ahmad
Keyword(s):  
Unemployment Rate ◽  
Stock Return ◽  
Design Methodology ◽  
Specific Information ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Real Gdp ◽  
Chinese Markets ◽  
The Impact ◽  
Loser Portfolio

PurposeThis study examines the impact of firm-specific information and macroeconomic variables on market overreaction of US and Chinese winner and loser portfolio before and during COVID-19.Design/methodology/approachThe firm-specific information includes firm size, volume, volatility, return of asset (ROA), return of equity (ROE), earning per share (EPS) and quick ratio while the macroeconomic variables are export rate, import rate, real GDP, nominal GDP, FDI, IPI and unemployment rate. Besides, one-third of the top performance stocks are categorized as winner portfolio while one-third of lowest performance stocks are categorized as loser portfolio. This study uses AECR to indicate stock return and measure market overreaction. GAECR is used to determine contrarian profit. The data range of pre-COVID-19 is from 1-Jan-2015 to 31-Dec-2019 while the period of COVID-19 is from 1-Jan-2020 to 31-Dec-2020.FindingsIn pre-COVID-19, firm-specific information (volatility, ROA, ROE and EPS) and macroeconomic variables are found to be correlated to stock return in US and Chinese portfolios except Chinese winner portfolio. Nonetheless, the impact of firm-specific information has vanished and macroeconomic variables are significant to stock return in COVID-19. It shows that investors rely on the economic indicators to trade in turbulent period due to emergence of COVID-19 as a disruption in market. Furthermore, US and Chinese portfolios are overreacted during COVID-19. Chinese loser portfolio has higher tendency of overreaction than US loser portfolio while US winner portfolio has higher tendency of overreaction than Chinese winner portfolio.Originality/valueThe results of this study assists academician, practitioners and investors on understanding and create awareness to the existence of market overreaction and the determinants that can cause the phenomenon.

scholarly journals The COVID-19 Shock: A Bayesian Approach

2021 ◽  
Vol 14 (10) ◽  
pp. 495
Author(s):  
Oussama Abi Younes ◽  
Sumru Altug
Keyword(s):  
Interest Rates ◽  
Unemployment Rate ◽  
Bayesian Approach ◽  
Economic Activity ◽  
Preventive Measures ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Vector Autoregressive ◽  
Unemployment Rates ◽  
Explicit Recognition

The coronavirus crisis that started in December 2019 was declared a pandemic by March 2020 and had devastating global consequences. The spread of the virus led to the implementation of different preventive measures prior to the availability of effective vaccines. While many governments implemented lockdowns to counter the pandemic, others did not let the virus halt economic activity. In this paper, we use a Bayesian Vector Autoregressive framework to study the effects of the pandemic on prices, unemployment rates, and interest rates in nine countries that took distinctive approaches in tackling the pandemic, where we introduce lockdowns as shocks to unemployment. Based on impulse response functions, we find that in most countries the unemployment rate rose, interest rates fell or turned negative, and prices fell initially following the implementation of the lockdown measures. However, the massive fiscal and monetary stimulus packages to counteract the effects of the pandemic reversed some of the effects on the variables, suggesting that models with explicit recognition of such effects should be developed.

The Impact of Economic Sentiment, Consumer, Producer and Investor's Confidence Indices on Stock Returns of the Listed Companies in FTSE-20 in Greece

2018 ◽  
pp. 162-209
Author(s):  
Constantine Cantzos ◽  
Petros Kalantonis ◽  
Aristidis Papagrigoriou ◽  
Stefanos Theotokas
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Macroeconomic Variables ◽  
Production Index ◽  
Behavioral Indicators ◽  
Portfolio Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
The Relationship

This chapter examines the relationship between stock returns of companies listed in the FTSE-20 on the Athens Exchange and behavioral indicators. The research is based on the behavioral APT model, which examines stock returns' risk factors through the involvement of macroeconomic variables and behavioral indicators. The data is the closing price of 17 shares listed in the FTSE-20 index, a number of macroeconomic variables, and a series of behavioral indicators for the period of January 2001-December 2014. Regressions were conducted with dependent variable stock returns of a portfolio invested equally in these 17 stocks. In addition, the research tests the existence of long-run and short-run equilibrium and causality. The change in the industrial production index along with the risk premium have a positive and significant impact on the portfolio returns. Johansen's test showed that there is a long-run equilibrium between stock returns, macroeconomic variables, and behavioral indicators. The VECM and VAR models showed that there is not long and short-run causality, not even Granger causality. No similar research has been conducted in Greece, thus it fills a literature gap.

Is the Quality of Nursing Homes Countercyclical? Evidence From 2001 Through 2015

2018 ◽  
Vol 59 (6) ◽  
pp. 1044-1054 ◽  
Author(s):  
Sean Shenghsiu Huang ◽  
John R Bowblis
Keyword(s):  
Nursing Homes ◽  
Unemployment Rate ◽  
Nursing Staff ◽  
Employee Turnover ◽  
Local Economy ◽  
Care Process ◽  
Process Measures ◽  
Unemployment Rates ◽  
For Profit ◽  
Design And Methods

Abstract Background and Objectives To examine whether nursing homes (NHs) provide better quality when unemployment rates rise (countercyclical) and explore mechanisms contributing to the relationship between quality and unemployment rates. Research Design and Methods The study uses the data on privately owned, freestanding NHs in the continental United States that span a period from 2001 through 2015. The empirical analysis relies on panel fixed-effect regressions with the key independent variable being the county-level unemployment rate. NH quality is measured using deficiencies, outcomes, and care process measures. We also examine nursing staff levels, as well as employee turnover and retention. Results NHs have better quality when unemployment rates increase. Higher unemployment rates are associated with fewer deficiencies and lower deficiency scores. This countercyclical relationship is also found among other quality measures. In terms of mechanisms, we find higher nursing staff levels, lower employee turnover, and better workforce retention when unemployment rates rise. Improvement in staffing is likely contributing to better quality during recessions. Interestingly, these effects predominately occur in for-profit NHs for deficiencies and staffing levels. Discussions and Implications NH quality is countercyclical. With near record-low unemployment rates in 2018, regulatory agencies should pay close attention to NH quality when and where the local economy registers strong growth. On the other hand, the finding of the unemployment rate–staffing/turnover relationship also suggests that policies increasing staffing and reducing employee turnover may not only improve NH quality but also have the potential to smooth quality fluctuations between business cycles.

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