scholarly journals Out-of-sample analysis of international reserves for emerging economies with a dynamic panel model

2020 ◽  
Vol 67 (5) ◽  
pp. 675-674
Author(s):  
Kuk Jung ◽  
Hyun Pyun
Keyword(s):  
Goodness Of Fit ◽  
Capital Inflows ◽  
International Reserves ◽  
Dynamic Panel ◽  
Dynamic Panel Model ◽  
Financial Variables ◽  
Panel Model ◽  
Out Of Sample ◽  
Foreign Capital Inflows ◽  
Using Data

Using data on 70 emerging countries for 1990-2011, we re-examine the validity of both traditional and recently proposed determinants of international reserves. The dynamic panel model considers panel unit root, endogeneity, and country heterogeneity and reveals that not only traditional determinants but also new financial variables - M2/GDP and foreign capital inflows through over-the-counter markets - have significant effects on reserves hoarding. More importantly, out-of-sample forecasts show that the dynamic model yields the best goodness-of-fit, and its predicted values successfully account for the recent patterns in reserve accumulations.

scholarly journals Impact of Backward Linkages and Domestic Contents of Exports on Labor Productivity and Employment: Evidence from Japanese Industrial Data

2021 ◽  
Vol 36 (4) ◽  
pp. 607-625
Author(s):  
Mohamedou Nasser dine ◽  
Tengku Munawar Chalil
Keyword(s):  
Labor Productivity ◽  
Manufacturing Industry ◽  
Service Industry ◽  
Value Added ◽  
Dynamic Panel ◽  
Dynamic Panel Model ◽  
Panel Model ◽  
Key Driver ◽  
Using Data ◽  
Backward Linkages

This study examines how backward linkages (foreign value added [FVA] exports) and domestic value-added (DVA) exports impact industry-level labor productivity and employment in Japan by estimating a static and dynamic panel model using data drawn from the World Input-Output Dataset and Socio-Economic Accounts. We find that the domestic content of trade is a key driver of productivity and employment in Japan for all industries, while backward linkages lead to declining productivity and foster labor displacement. A sectoral analysis reveals that productivity benefits most of the backward linkages and domestic value-added exports in the manufacturing industry but weakens as the backward linkages increase in the service industry. We find that the DVA exports variable promotes employment, whereas the FVA variable displaces it.

scholarly journals Regional differences in the capitalisation of first and second pillar payments of the CAP into land rental prices

2020 ◽  
Author(s):  
Klaus Salhofer ◽  
Paul Feichtinger
Keyword(s):  
Agricultural Policy ◽  
Regional Differences ◽  
Dynamic Panel ◽  
Accounting Data ◽  
Dynamic Panel Model ◽  
Panel Model ◽  
Land Rental ◽  
Part Time ◽  
High Yields ◽  
Large Farms

Abstract Nearly 80 per cent of Common Agricultural Policy (CAP) expenditures are spent on three different measures: first pillar payments (FPPs), agri-environmental payments (AEPs) and less favoured area payments (LFAPs). Based on a dynamic panel model and farm accounting data for Bavaria, we find that, on average, 30 per cent of FPPs, 40–50 per cent of LFAPs, but no relevant share of AEPs are capitalised into land rental prices. The capitalisation ratio varies considerably across regions. Above average capitalisation ratios for FPPs are observed in more favourable areas with high yields, a low grassland share and large farms. The same is true for LFAPs for areas with high yields, large farms and a greater share of part-time farmers.

scholarly journals X-Differencing and Dynamic Panel Model Estimation

2010 ◽  
Author(s):  
Chirok Han ◽  
Peter C. B. Phillips ◽  
Donggyu Sul
Keyword(s):  
Model Estimation ◽  
Dynamic Panel ◽  
Dynamic Panel Model ◽  
Panel Model

scholarly journals Does Climate Change Mitigation Activity Affect Crude Oil Prices? Evidence from Dynamic Panel Model

2014 ◽  
Vol 2014 ◽  
pp. 1-9
Author(s):  
Jude C. Dike
Keyword(s):  
Climate Change ◽  
Crude Oil ◽  
Climate Change Mitigation ◽  
Oil Prices ◽  
Carbon Intensity ◽  
Dynamic Panel ◽  
Dynamic Panel Model ◽  
Panel Model ◽  
Crude Oil Prices ◽  
Change Mitigation

This paper empirically investigates how climate change mitigation affects crude oil prices while using carbon intensity as the indicator for climate change mitigation. The relationship between crude oil prices and carbon intensity is estimated using an Arellano and Bond GMM dynamic panel model. This study undertakes a regional-level analysis because of the geographical similarities among the countries in a region. Regions considered for the study are Africa, Asia and Oceania, Central and South America, the EU, the Middle East, and North America. Results show that there is a positive relationship between crude oil prices and carbon intensity, and a 1% change in carbon intensity is expected to cause about 1.6% change in crude oil prices in the short run and 8.4% change in crude oil prices in the long run while the speed of adjustment is 19%.

Impact of Macroeconomic Factors on Cash Holdings?: A Dynamic Panel Model

2018 ◽  
Vol 17 (1_suppl) ◽  
pp. S27-S53 ◽  
Author(s):  
Lalita Anand ◽  
M. Thenmozhi ◽  
Nikhil Varaiya ◽  
Saumitra Bhadhuri
Keyword(s):  
Exchange Rate ◽  
Cash Holdings ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Stock Market Index ◽  
Price Shocks ◽  
Dynamic Panel ◽  
Macroeconomic Factors ◽  
Dynamic Panel Model ◽  
Panel Model

We examine if macroeconomic factors impact cash holdings and how it influences the speed of adjustment of cash to target levels using the Arellano-Bover/Blundell-Bond dynamic panel model. We analyse a balanced panel and find that exchange rate, stock market index and oil price shocks impact cash holdings positively. We also observe that firms hold more cash in expectation of GDP growth, oil price shocks, increase in credit spread, budget deficit and hold marketable securities in expectation of inflationary conditions in the economy, while they hold less cash in expectation of an increase in exchange rate and increase in long-term and short-term bond rates. We further substantiate that cash holdings in firms adjust to target cash reserves in a dynamic process. We provide strong evidence that macroeconomic policy decisions impact cash levels in firms.

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