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Article
Publication date: 7 October 2021

Le Thanh Ha and Finch Nigel

This paper analyzes variations in effects of monetary and fiscal shocks on responses of macroeconomic variables, determinacy region and welfare costs due to changes in…

Abstract

Purpose

This paper analyzes variations in effects of monetary and fiscal shocks on responses of macroeconomic variables, determinacy region and welfare costs due to changes in trend inflation.

Design/methodology/approach

The authors develops the New-Keynesian model, which the central banks can employ either nominal interest rate (IR rule) or money supply (MS rule) to conduct monetary policies. They also use their budgets for capital and recurrent spending to conduct fiscal policies. By using simulated method of moment (SMM) for parameter estimation, the authors characterize Vietnam's economy during 1996Q1 -2015Q1.

Findings

The results report that consequences of monetary policy and fiscal policy shocks become more serious if there is a rise in trend inflation. Furthermore, the money supply might not be an effective instrument and using the government budget for recurrent spending produces severe consequences in the high-trend-inflation economy.

Originality/value

This is the first paper that examines the effects of trend inflation on the monetary and fiscal policy implementation in the case of Vietnam.

Details

Journal of Economics and Development, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1859-0020

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Article
Publication date: 14 July 2021

Alexey Ponomarenko

This study aims to examine a potential case of interdependence in loan and deposit interest rate setting.

Abstract

Purpose

This study aims to examine a potential case of interdependence in loan and deposit interest rate setting.

Design/methodology/approach

The authors set up a theoretical microsimulation model with endogenous loan interest rate determination via a learning algorithm.

Findings

The authors show that in certain environments, it may be beneficial for large banks to incorporate information on retail funding costs into the lending rate setting decision.

Originality/value

The author’s model is based on the realistic money creation mechanism.

Details

Journal of Financial Economic Policy, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1757-6385

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Book part
Publication date: 15 July 2017

Farzad Taheripour and Wallace E. Tyner

The purpose of this chapter is to ask and answer the question of what would happen if Genetically Modified Organism (GMO) plant materials were banned. We report on two…

Abstract

The purpose of this chapter is to ask and answer the question of what would happen if Genetically Modified Organism (GMO) plant materials were banned. We report on two studies – one with United States only ban and one with a global ban. We used a global computable general equilibrium (CGE) model, Global Trade Analysis Project (GTAP), for the analysis. This model has been used in hundreds of published papers on trade, energy, land use, and environmental issues. Our use of the model was to estimate the crop yield benefits for the major GMO crops, and then to convert this to a loss if the GMO traits were banned. We then shocked the GTAP model with the yield losses and estimate economic, land use, and greenhouse gas (GHG) emission impacts. We found that losing the GM technology would cause commodity and food prices to increase and also bring about a significant increase in GHG emissions. The increase in emissions is caused by the need to convert forest and pasture to compensate for the lost production. Another interesting conclusion of the global ban study is that economic well-being for the United States, the world’s largest GMO user, actually increases with a ban. Many regions that ban or use little GMO varieties like the European Union, India, China, and Japan all see economic well-being decrease. These counterintuitive results are driven mainly by trade patterns. Therefore GMO technology helps agriculture reduce its carbon footprint. Without this technology, agricultural land-use GHG emissions increase as do food prices. Some groups would like to see GMOs banned and also see GHG emissions fall. You cannot have it both ways.

Details

World Agricultural Resources and Food Security
Type: Book
ISBN: 978-1-78714-515-3

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Book part
Publication date: 31 May 2016

Mikio Takebayashi

This chapter examines the airline performance effect arising from collaboration between airlines and high speed railway (HSR). The analysis presents scenario simulations…

Abstract

This chapter examines the airline performance effect arising from collaboration between airlines and high speed railway (HSR). The analysis presents scenario simulations using a bi-level model, which takes into account the effect of competition among airlines and HSR. Using real data, we examine the Japanese domestic market and the Japan-based international market: the markets consist of Tokyo Metropolitan Area, Osaka Metropolitan Area, Seoul/Korea, Frankfurt/Germany, Paris/France, London/United Kingdom, and Los Angeles/United States. Analysis of the domestic market assumes airlines and HSR compete against each other, and analysis of the international market assumes airlines only compete with each other. Initially, we conduct performance analysis using a simulation that mimics the current relationship between airlines and HSR. Then we present three scenarios for different combinations of collaboration between airline and HSR based on airline alliances. The results from this exercise are then used to examine the impact of the collaboration on the profits of airlines and HSR, passenger’s utility, and the network design of airlines. Last, we show the potential benefit to airlines – profitability, market share, and demand growth – from the airline-HSR collaboration. Our model shows that in Japan: (1) Airlines can improve their profitability in international operations by the collaboration with HSR when airlines set their hubs so they can connect to HSR; (2) The airline which has a lower unit operating cost than rivals and sets its hubs to connect to HSR can improve its joint profit with HSR through collaboration; (3) Airlines that don’t operate domestic flights and don’t set their hubs to connect to HSR encourage increased fare competition by coordinating with HSR, but their profit decreases. Whether these results are generalizable to other regions should be the subject of future study.

Details

Airline Efficiency
Type: Book
ISBN: 978-1-78560-940-4

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Book part
Publication date: 17 October 2014

Philip Z. Maymin

Economic models based on simple rules can result in complex and unpredictable deterministic dynamics with emergent features similar to those of actual economies. I present…

Abstract

Economic models based on simple rules can result in complex and unpredictable deterministic dynamics with emergent features similar to those of actual economies. I present several such models ranging from cellular automaton and register machines to quantum computation. The additional benefit of such models is displayed by extending them to model political entanglement to determine the impact of allowing majority redistributive voting. In general, the insights obtained from simulating the computations of simple rules can serve as an additional way to study economics, complementing equilibrium, literary, experimental, and empirical approaches. I culminate by presenting a minimal model of economic complexity that generates complex economic growth and diminishing poverty without any parameter fitting, and which, when modified to incorporate political entanglement, generates volatile stagnation and greater poverty.

Details

Entangled Political Economy
Type: Book
ISBN: 978-1-78441-102-2

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Article
Publication date: 27 July 2020

Irfan Ahmed and Ali Mohammad Medabesh

This study quantifies empirically the induced impact of income distribution and consumption expenditure on the structures of agriculture production of Nigerian economy.

Abstract

Purpose

This study quantifies empirically the induced impact of income distribution and consumption expenditure on the structures of agriculture production of Nigerian economy.

Design/methodology/approach

The study calibrates an extended input-output model on a social accounting matrix (SAM) for Nigeria for the year 2010. Moreover, the study conducts a dispersion analysis to identify the key agriculture sectors/subsectors both in exogenous and endogenous setup.

Findings

This study presents an empirical analysis of propagation in the structure of production particularly in the structure of agriculture sector. It combines the aggregate and the disaggregated levels of analysis and identifies the key sectors/subsectors both in the exogenous and endogenous setup. The comparison of both findings confirms that the composition of income distribution and consumption expenditure significantly influences the composition and the aggregated and disaggregated order of structure of agriculture production.

Originality/value

Knowledge of interindustry connections is vital in policy implications since the policy makers prefer strongly interconnected sectors to the sectors with poor industry linkages. These connections are estimated as forward and backward linkages, which provide indices to set the criteria for key sectors identification. This study presents an empirical analysis of propagation in the structure of production particularly in the structure of agriculture sector. It combines the aggregate and the disaggregated levels of analysis and identifies the key sectors/subsectors both in the exogenous and endogenous setup.

Details

International Journal of Social Economics, vol. 47 no. 8
Type: Research Article
ISSN: 0306-8293

Keywords

Content available
Article
Publication date: 9 September 2020

Guglielmo Maria Caporale and Alex Plastun

This paper explores abnormal price changes in the FOREX by using both daily and intraday data on the EURUSD, USDJPY, USDCAD, AUDUSD and EURJPY exchange rates over the…

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Abstract

Purpose

This paper explores abnormal price changes in the FOREX by using both daily and intraday data on the EURUSD, USDJPY, USDCAD, AUDUSD and EURJPY exchange rates over the period 01.01.2008–31.12.2018.

Design/methodology/approach

It applies a dynamic trigger approach to detect abnormal price changes and then various statistical methods, including cumulative abnormal returns analysis, to test the following hypotheses: the intraday behaviour of hourly returns on overreaction days is different from that on normal days (H1), there are detectable patterns in intraday price dynamics on days with abnormal price changes (H2) and on the following days (H3).

Findings

The results suggest that there are statistically significant differences between intraday dynamics on days with abnormal price changes and normal days respectively; also, prices tend to change in the direction of the abnormal change during that day, but move in the opposite direction on the following day. Finally, there exist trading strategies that generate abnormal profits by exploiting the detected anomalies, which can be seen as evidence of market inefficiency.

Originality/value

New evidence on abnormal price changes and related trading strategies in the FOREX.

Details

Journal of Economic Studies, vol. 48 no. 1
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 29 August 2019

Guglielmo Maria Caporale and Alex Plastun

The purpose of this paper is to examine price overreactions in the case of the following cryptocurrencies: bitcoin, litecoin, ripple and dash.

Abstract

Purpose

The purpose of this paper is to examine price overreactions in the case of the following cryptocurrencies: bitcoin, litecoin, ripple and dash.

Design/methodology/approach

A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U-test) tests confirm the presence of price patterns after overreactions: the next day price changes in both directions are bigger than after “normal” days. A trading robot approach is then used to establish whether these statistical anomalies can be exploited to generate profits.

Findings

The results suggest that a strategy based on counter-movements after overreactions is not profitable, whilst one based on inertia appears to be profitable but produces outcomes not statistically different from the random ones. Therefore, the overreactions detected in the cryptocurrency market do not give rise to exploitable profit opportunities (possibly because of transaction costs) and cannot be seen as evidence against the efficient market hypothesis (EMH).

Originality/value

The overreactions detected in the cryptocurrency market do not give rise to exploitable profit opportunities (possibly because of transaction costs) and cannot be seen as evidence against the EMH.

Details

Journal of Economic Studies, vol. 46 no. 5
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 14 November 2016

Guglielmo Maria Caporale, Luis Alberiko Gil-Alana and Alex Plastun

The purpose of this paper is to provide some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures…

Abstract

Purpose

The purpose of this paper is to provide some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques.

Design/methodology/approach

The analysis uses various statistical techniques (average analysis, Student’s t-test, dummy variables, and fractional integration) to test for the presence of this anomaly, and then a trading simulation approach to establish whether it can be exploited to make extra profits.

Findings

The statistical evidence points to abnormal positive returns on Fridays, and a trading strategy based on this anomaly is shown to generate annual profits of up to 25 per cent. The implication is that the Ukrainian stock market is inefficient.

Originality/value

This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student’s t-test, dummy variables, and fractional integration) to test for the presence of this anomaly, and then a trading simulation approach to establish whether it can be exploited to make extra profits. The statistical evidence points to abnormal positive returns on Fridays, and a trading strategy based on this anomaly is shown to generate annual profits of up to 25 per cent. The implication is that the Ukrainian stock market is inefficient.

Details

Journal of Economic Studies, vol. 43 no. 6
Type: Research Article
ISSN: 0144-3585

Keywords

Content available
Article
Publication date: 2 October 2017

Nelson Alfonso Gómez-Cruz, Isabella Loaiza Saa and Francisco Fernando Ortega Hurtado

The purpose of this paper is to provide a comprehensive survey of the literature about the use of agent-based simulation (ABS) in the study of organizational behavior…

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7060

Abstract

Purpose

The purpose of this paper is to provide a comprehensive survey of the literature about the use of agent-based simulation (ABS) in the study of organizational behavior, decision making, and problem-solving. It aims at contributing to the consolidation of ABS as a field of applied research in management and organizational studies.

Design/methodology/approach

The authors carried out a non-systematic search in literature published between 2000 and 2016, by using the keyword “agent-based” to search through Scopus’ business, management and accounting database. Additional search criteria were devised using the papers’ keywords and the categories defined by the divisions and interest groups of the Academy of Management. The authors found 181 articles for this survey.

Findings

The survey shows that ABS provides a robust and rigorous framework to elaborate descriptions, explanations, predictions and theories about organizations and their processes as well as develop tools that support strategic and operational decision making and problem-solving. The authors show that the areas that report the highest number of applications are operations and logistics (37 percent), marketing (17 percent) and organizational behavior (14 percent).

Originality/value

The paper illustrates the increasingly prominent role of ABS in fields such as organizational behavior, strategy, human resources, marketing and logistics. To-date, this is the most complete survey about ABS in all management areas.

Details

European Journal of Management and Business Economics, vol. 26 no. 3
Type: Research Article
ISSN: 2444-8451

Keywords

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