scholarly journals Evaluating Rainfall Risk Profile of Indian Subcontinent Based on Index Metrics

2020 ◽  
Vol 4 (2) ◽  
pp. 38-50
Author(s):  
Bharath V ◽  
Kotreshwar G
Keyword(s):  
Indian Subcontinent ◽  
Building Blocks ◽  
Risk Profile ◽  
Risk Transfer ◽  
Rainfall Index ◽  
Alternative Risk Transfer ◽  
Augmented Dickey Fuller ◽  
Floods And Droughts ◽  
The Garch Model ◽  
Adf Test

Floods and droughts represent an embedded monsoon factor impacting the Indian economy. Evaluating monsoon risk based on rainfall index metrics could help design appropriate alternative risk transfer products.  This study proposes a new set of rainfall indices that can be used to explore the excess rainfall risk profile of the Indian Subcontinent. The study proposed a new set of indices for evaluating excess rainfall risk profiles which are defined as Excess Rainfall Days (ERDs). The methodology proceeds in a step-wise form: Empirical values of ERDs over 50 years for selected MSDs of India are derived, and then these index values are analyzed for determining the degree of variability and volatility, followed by the examination of the degree of inter-correlation amongst indices of selected Meteorological Sub-divisions. The research is based on the applications of econometric models such as the Augmented Dickey-Fuller (ADF) test followed by the GARCH model. The results revealed that several of the statistical properties of ERD indices support the idea that these indices could be used as building blocks for designing rainfall derivatives similar to HDDs/CDDs underlying temperature derivatives.

scholarly journals PRICE INTERACTIONS AND CAUSAL RELATIONSHIPS AMONG CORN, EXCHANGE RATE AND ANIMAL PROTEIN SOURCES IN NIGERIA

2021 ◽  
Vol 59 (1) ◽  
Author(s):  
Unekwu Onuche
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Poultry Meat ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Meat Price ◽  
Augmented Dickey Fuller ◽  
Causality Tests ◽  
Short Run ◽  
Adf Test

Price transmissions between corn, exchange rate, poultry meat, and fish were investigated using the data from OECD-FAO for the years 1990-2019, to establish the existence of long-term relationships between them and identify their directions of causality, in order to elicit investmentaiding facts. The augmented Dickey-Fuller (ADF) test, the Johansen cointegration approach and the Granger causality test were employed. Following the ADF test, all series are I(1), while the cointegration test indicates short-run dynamics between them. The Vector Autoregressive (VAR) system reveals that poultry meat price influences all variables, prices of poultry meat and exchange rate relate positively to their own lags, and exchange rate relates positively to lags of poultry meat prices. A positive relationship was noticed between fish price and lags of poultry meat price, while corn price relates positively with lags of poultry meat price. Granger causality tests indicate unidirectional drives from poultry price to fish price, the exchange rate to fish price and poultry meat price to corn price. Responses from prices of fish, corn and poultry to innovations from exchange rate are negative, while positive responses exist in other scenarios. Exchange rate stabilization will mitigate external risks, especially to the fisheries sector, while corn farmers can increase profits in the short-run by exploring knowledge of poultry meat price movements.

scholarly journals Effect of Interest Rate on Stock Prices in Ghana

2021 ◽  
Vol 12 (1(S)) ◽  
pp. 1-7
Author(s):  
Peter Arhenful ◽  
Augustine Kwadwo Yeboah ◽  
Kofi Sarfo Adjei
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Stock Prices ◽  
Time Series Data ◽  
Stock Exchange ◽  
Ordinary Least Squares ◽  
Series Data ◽  
Augmented Dickey Fuller ◽  
Ghana Stock Exchange ◽  
Adf Test

The paper assesses the effect of interest rate on stock prices, with emphases on Ghana Stock Exchange; using monthly time series data from July 2007 to December 2019. The Augmented Dickey-Fuller (ADF) test was employed to establish the stationarity properties of the data or otherwise. Using the Ordinary Least Squares (OLS) estimation technique of Multiple Regression, the results (? = – 0.891, p < 0.05) revealed an indirect association between interest rates and stock prices in the Ghanaian context; which is consistent with the theoretical conclusion that an increase in interest rate results in a decrease in stock prices. Thus, in the light of this finding, it was recommended that policymakers should consider the stock market dynamics due to the significant relationship that exists between the two macroeconomic variables.

scholarly journals A comparative study of the application of alternative risk transfer methods of insurance in South Africa and Zimbabwe

2015 ◽  
Vol 4 (3) ◽  
pp. 241-249
Author(s):  
Athenia Bongani Sibindi
Keyword(s):  
South Africa ◽  
Risk Management ◽  
South African ◽  
Traditional Method ◽  
Insurance Market ◽  
Market Segments ◽  
Risk Transfer ◽  
Stage Of Development ◽  
Alternative Risk Transfer ◽  
Compare And Contrast

Alternative risk transfer techniques represent the crown jewels in the risk management arena. This non-traditional method of insurance has gained prominence over the last few decades. Against this backdrop, the present study seeks to unravel the development of the alternative risk financing insurance segment within a developing country setting. The study specifically sets out to compare and contrast the ART insurance market segments of South Africa and Zimbabwe. The study is documents that the Zimbabwean market is at a nascent stage of development, whilst the South African market is fully developed. Notwithstanding the prospects for the development of this sector looks bright.

scholarly journals Sarima Modeling of Monthly Temperature in the Northern part of Ghana

2021 ◽  
pp. 37-45
Author(s):  
Emmanuel Ayitey ◽  
Justice Kangah ◽  
Frank B. K. Twenefour
Keyword(s):  
Northern Region ◽  
Temperature Data ◽  
Information Criteria ◽  
Sarima Model ◽  
Monthly Temperature ◽  
Augmented Dickey Fuller ◽  
Best Fitting ◽  
Adf Test ◽  
Fitting Model ◽  
Sarima Models

The Sarima model is used in this study to forecast the monthly temperature in Ghana's northern region. The researchers used temperature data from January 1990 to December 2020. The temperature data was found to be stationary using the Augmented Dickey Fuller (ADF) test. The ACF and PACF plots proposed six SARIMA models: SARIMA (1,0,0) (1,0,0) (12), SARIMA (2,0,0) (1,0,0) (12), SARIMA (1,0,1) (1,0,0) (12), SARIMA (0,0,1) (1,0,0) (12), SARIMA (0,0,1) (0,0,1) (12), SARIMA (0,0,1) (0,0,1) (12). The best model was chosen based on the lowest Akaike Information Criteria (AICs) and Bayesian Information Criteria (BIC) values. The Ljung-Box data, among others, were used to determine the model's quality. All diagnostic tests are passed by the SARIMA (1,0,0) (1,0,0) (12) model. As a result, the SARIMA (1,0,0) (1,0,0) (12) is the best-fitting model for predicting monthly temperatures in Ghana's northern region.

scholarly journals Dynamic Interaction Between Nifty 50 and Nifty Sectoral Indices: An Empirical Study on Indian Stock Indices

2021 ◽  
Vol 29 (02) ◽  
pp. 17-24
Author(s):  
Ramya K ◽  
◽  
Bhuvaneshwari D ◽  
Keyword(s):  
Stock Exchange ◽  
Granger Causality Test ◽  
Dynamic Interaction ◽  
Stock Index ◽  
Causality Test ◽  
Financial Planners ◽  
Augmented Dickey Fuller ◽  
Johansen Cointegration Test ◽  
Financial Awareness ◽  
Adf Test

This study aims to determine the cointegrating and causal relationship between Nifty 50 and Nifty sectoral indices. Historical index data of the select indices were collected from the National Stock Exchange (NSE) database for the period Jan 2014 - Dec 2018. Appropriate Econometric tools - Augmented Dickey-Fuller (ADF) test, Phillips and Perron (PP) test, regression model, Granger causality test, and Johansen cointegration test were used to analyze the data. The findings of the study imply that the movements of Nifty sectoral index prices could determine the flow of stock index prices, i.e., Nifty 50 and vice versa during the period of the study which could also help the policymakers and financial planners in providing financial awareness to investors and clients in decision making.

scholarly journals Investigating the Impact of External Debt on Economic Growth: A Case Study of Pakistan

2021 ◽  
Vol 4 (2) ◽  
pp. 41-51
Author(s):  
IRUM SAJJAD ◽  
IRUM SAJJAD ◽  
DR. MUHAMMAD AZAM KHAN
Keyword(s):  
Economic Growth ◽  
Growth Rate ◽  
External Debt ◽  
Gdp Growth ◽  
Policy Makers ◽  
Explanatory Variables ◽  
Gdp Growth Rate ◽  
Augmented Dickey Fuller ◽  
The Impact ◽  
Adf Test

This article is an attempt to evaluate the effect of external debt on economic growth for during the period of 1980–2016. The Augmented Dickey Fuller (ADF) test is used for determining stationarity, whereas the ADF test results exhibit that the variables used found are . The empirical results indicate that external debt and total debt service have deleterious and statistically significant impacts on GDP growth rate. The other explanatory variables namely human capital by life expectancy, exports, and Foreign Direct Investment (FDI)reveals significantly positive significant influence on GDP growth rate. Appropriate policy should be adopted by the policy makers to reduce external debt, increase volume of exports and enhance more foreign investment, it will boost economic growth in the country.

Sign in / Sign up

Export Citation Format

Share Document