Board Inclusion in Financial Reporting and Dividend Policy: Evidence from Static and Dynamic Panel VAR Models

The study explored how board inclusion in financial reporting affects the dividend policy in Nigeria. The study was conducted within the context of deposit money banks (DMBs) and data were gathered from the financial statement of listed DMBs in Nigeria for ten years spanning from 2008 to 2017. The study employed static and dynamic panel VAR technique. The result showed that dividend per share can predicts frequency of the board meeting, the frequency of board meeting can predicts board compliance to banks' rules and regulation in the future and board compliance to banks' rules and regulation can predict dividend per share. The study concluded that board inclusion in financial reporting on dividend policy exerts long-run and short run negative effect on dividend policy. In view of this study recommended that the board inclusion in financial reporting should aim at discouraging manipulative accounting tendencies and enhance true fare of financial position of the banks with the goal of improving or maximising dividend policy represented by the amount of cash pay-out as dividend to shareholders as a form of reward for their investments.

The determinants of demand for tourism in Turkey: Does terror-threat matter? A Markov Regime Switching-VAR approach

This paper investigates the impacts of potential determinants of demand for tourism in Turkey through Markov Regime Switching-Vector Auto Regression (MS-VAR) estimations from 1999 to 2017 on monthly data. The determinants are income level, exchange rates and the threat of terror incidences. The terror variable, following the Global Terrorism Index (GTI) 2017 report, is calculated for Turkey by the author. This research has conducted two separate MS-VAR models to observe the relevant parameters’ signs of the demand for tourism function. Both MS-VAR models revealed that income level and exchange rates have positive influences on tourism while the terror threat has a negative impact on tourism in Turkey. Terror adversely affects the demand for tourism in the short-term in which terror has occurred in the nearest past (i.e., a month ago). The MS-VAR models also yield that a similar negative impact of terror on tourism activities does not appear over the longer periods.

The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic

Since late 2019, during one of the largest pandemics in history, COVID-19, global economic recession has continued. Therefore, investors seek an alternative investment that generates profits during this financially risky situation. Cryptocurrency, such as Bitcoin, has become a new currency tool for speculators and investors, and it is expected to be used in future exchanges. Therefore, this paper uses a Value at Risk (VaR) model to measure the risk of investment in Bitcoin. In this paper, we showed the results of the predicted daily loss of investment by using the historical simulation VaR model, the delta-normal VaR model, and the Monte Carlo simulation VaR model with the confidence levels of 99%, 95%, and 90%. This paper displayed backtesting methods to investigate the accuracy of VaR models, which consisted of the Kupiec’s POF and the Kupiec’s TUFF statistical testing results. Finally, Christoffersen’s independence test and Christoffersen’s interval forecasts evaluation showed effectiveness in the predictions for the robustness of VaR models for each confidence level.

Contractionary depreciations in Latin America during the 2000s

ABSTRACT This paper explores the effects of currency depreciations on output for the main Latin American countries that have been using Inflation Targeting for almost two decades. We construct VAR models for Brazil, Chile, Colombia, Mexico and Peru for the last two decades and we find that depreciations have short-run contractionary effects in Brazil and Mexico. We illustrate some of the policy implications of that finding by building a simple model, and we show that contractionary effects of depreciations may have destabilizing effects when monetary policy is conducted using a standard Taylor Rule.

A New Zealand study of association between crime and the state of the economy

<p>The aim of this thesis is to investigate whether there are associations between economically motivated crimes and macroeconomic variables. Economically motivated crimes include burglary, fraud and theft. Non-traffic offences are used as the measurement of overall crime levels, and an association between non-traffic offences and macroeconomic variables is analysed as well. Forecasting the number of people charged with burglary, fraud, theft and non-traffic offences is another objective of this thesis. Association between economically motivated crimes and the unemployment rate is also analysed at a regional level. Methods used in this thesis include Vector Autoregressive (VAR) models, Vector Error Correction Models (VECM) and Autoregressive Integrated Moving Average (ARIMA) models. VECM and VAR models are used to produce Granger-Causality tests and impulse responses in order to summarise the associations between crimes and macroeconomic variables. All modelling methods are used to generate forecasts. The conclusion from this thesis is that there are associations between crime and some macroeconomic variables at a national level. The biggest impact on crime is its own value in the past. The impact of macroeconomic variables is minor, and this makes the sign of the impact less important. In fact, the sign of the impact is hard to conclude because it moves between positive and negative in different periods. At a national level, the growth rate of unemployment causes the growth rate of burglary, theft and non-traffic charges. The association between unemployment and crime becomes insignificant once all macroeconomic variables are included. Overall, the growth rate of personal weekly average income or household debt and disposable income ratio (both measuring personal or household financial condition) causes an increase in the growth rate of burglary, theft and non-traffic charges. Movement of inflation causes an increase in the growth rate of fraud charges. At a regional level, growth in the unemployment rate causes an increase in theft charges in Auckland and Northland. In Nelson/Marlborough/West Coast, growth in the unemployment rate causes growth in burglary charges and vice versa. Growth in the unemployment rate causes growth in the rate of fraud charges, but this is found in Northland only. Forecasts produced by this study suggest that the number of people charged with burglary, theft, fraud and non-traffic offences will continue to decrease up until 2019, but at a lower rate of reduction.</p>

A New Zealand study of association between crime and the state of the economy

<p>The aim of this thesis is to investigate whether there are associations between economically motivated crimes and macroeconomic variables. Economically motivated crimes include burglary, fraud and theft. Non-traffic offences are used as the measurement of overall crime levels, and an association between non-traffic offences and macroeconomic variables is analysed as well. Forecasting the number of people charged with burglary, fraud, theft and non-traffic offences is another objective of this thesis. Association between economically motivated crimes and the unemployment rate is also analysed at a regional level. Methods used in this thesis include Vector Autoregressive (VAR) models, Vector Error Correction Models (VECM) and Autoregressive Integrated Moving Average (ARIMA) models. VECM and VAR models are used to produce Granger-Causality tests and impulse responses in order to summarise the associations between crimes and macroeconomic variables. All modelling methods are used to generate forecasts. The conclusion from this thesis is that there are associations between crime and some macroeconomic variables at a national level. The biggest impact on crime is its own value in the past. The impact of macroeconomic variables is minor, and this makes the sign of the impact less important. In fact, the sign of the impact is hard to conclude because it moves between positive and negative in different periods. At a national level, the growth rate of unemployment causes the growth rate of burglary, theft and non-traffic charges. The association between unemployment and crime becomes insignificant once all macroeconomic variables are included. Overall, the growth rate of personal weekly average income or household debt and disposable income ratio (both measuring personal or household financial condition) causes an increase in the growth rate of burglary, theft and non-traffic charges. Movement of inflation causes an increase in the growth rate of fraud charges. At a regional level, growth in the unemployment rate causes an increase in theft charges in Auckland and Northland. In Nelson/Marlborough/West Coast, growth in the unemployment rate causes growth in burglary charges and vice versa. Growth in the unemployment rate causes growth in the rate of fraud charges, but this is found in Northland only. Forecasts produced by this study suggest that the number of people charged with burglary, theft, fraud and non-traffic offences will continue to decrease up until 2019, but at a lower rate of reduction.</p>

Youth Unemployment in Mexico and Central America

The objective of this paper is to identify the variables that determine female and male youth unemployment rates, as well as female and male self-employment rates, in Mexico and Central American countries. The methodology of the analysis rests on the estimation of VAR models with panel data from the period 1990-2018. The results indicate that there are gender differences in the behaviour of unemployment and self-employment rates: remittances increase female unemployment, but not male unemployment; the human development index and economic growth rate reduce male unemployment, but not female unemployment. In addition, female and male self-employment rates fall with the rise in the human development index, but only the male one falls to rising economic growth. These results had not been reported in the literature. The paper also presents a review of labor market developments in Latin America associated with the Covid pandemic. The main recommendation from this paper is that social policies related to unemployment must take explicit steps to address the difficulties young women face in the labour market. This paper is original since there are very few studies of youth unemployment for Latin American countries; it is the first to be based on the estimation of VAR models. The work concludes with a number of policy recommendations that should be put in place to combat the &ldquo;culture&rdquo; of abuse and discrimination faced by women in the labour market.