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1 – 10 of 28Jennifer L. Castle and David F. Hendry
Structural models' inflation forecasts are often inferior to those of naïve devices. This chapter theoretically and empirically assesses this for UK annual and quarterly…
Abstract
Structural models' inflation forecasts are often inferior to those of naïve devices. This chapter theoretically and empirically assesses this for UK annual and quarterly inflation, using the theoretical framework in Clements and Hendry (1998, 1999). Forecasts from equilibrium-correction mechanisms, built by automatic model selection, are compared to various robust devices. Forecast-error taxonomies for aggregated and time-disaggregated information reveal that the impacts of structural breaks are identical between these, helping to interpret the empirical findings. Forecast failures in structural models are driven by their deterministic terms, confirming location shifts as a pernicious cause thereof, and explaining the success of robust devices.
Roberta A. Scull and Barbara S. Kavanaugh
Bobbie Scull's bibliography of federal government bibliographies was begun in 1971 as an annual informational publication primarily intended for the faculty at Louisiana…
Abstract
Bobbie Scull's bibliography of federal government bibliographies was begun in 1971 as an annual informational publication primarily intended for the faculty at Louisiana State University. Later she distributed it to libraries all over the state of Louisiana. In 1973 RSR began to publish these lists on an annual basis. This is the fourth such appearance. In the meantime these bibliographies were cumulated and published in two volumes: Bibliography of U.S. Government Bibliographies 1968–73 and 1974–76. (Pierian Press, 1975, 1979). RSR is proud to continue the annual supplements which are now computer produced at LSU. Although this supplement appears in Volume 8:1 (1980) in the future they will appear in the final issue of the year.
Amit Majumder, Megnath Routh and Dipayan Singha
One of the noteworthy developments in the world economy is the cryptocurrency in general and the bitcoin in particular. Although several types of cryptocurrency are in…
Abstract
One of the noteworthy developments in the world economy is the cryptocurrency in general and the bitcoin in particular. Although several types of cryptocurrency are in operation in the current digital economy, the most prevalent is the bitcoin, which was launched formally in 2009 by an individual or group known under the pseudonym Satoshi Nakamoto. The value of bitcoin has increased to such an extend that it reached 19.7 billion US dollars by January 2, 2018 (Statista, 2018). As the bitcoin price touches a new high day by day, various terrorist organizations are using this cryptocurrency to anonymously finance their grotesque terrorist activities around the world by bypassing the surveillance mechanism of the banking system of the respective countries. Against this backdrop, this chapter aims to understand the mechanism of cryptocurrencies in general and the bitcoin in particular. Finally, it also endeavors to identify the trend of the bitcoin economy and its impact on nefarious activities in general and terrorism financing in particular. It has been revealed from the study that cryptocurrency economy has become so popular across the world that it has created an alternative virtual economy devoid of regulations from a specific country or a group of countries. By using vector error correction model (VECM), it had been observed that there exists a statistically significant long-run association between terrorist incidences and bitcoin transaction/circulation in the panel of 12 countries for 2010–2016. However, there is a huge concern over its way of operation and its unholy nexus with terrorism financing.
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Ashima Goyal and Prashant Parab
The authors model heterogeneity of inflation expectations across Indian households using the Inflation Expectations Survey of Households data set. Using Carroll-type…
Abstract
The authors model heterogeneity of inflation expectations across Indian households using the Inflation Expectations Survey of Households data set. Using Carroll-type epidemiological models and pooled cross sectional analyses, the authors find that women, homemakers, older people and Tier 2 and 3 city dwellers tend to have higher inflation expectations compared to their counterparts. In the epidemiological model-based analysis, these very cohorts display higher speed of adjustment to news. Overall higher relative adjustment speeds point to the significance of central bank communications.
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This chapter examines a class of interest rate rules that respond to public expectations and to lagged variables. Varying levels of commitment correspond to varying…
Abstract
This chapter examines a class of interest rate rules that respond to public expectations and to lagged variables. Varying levels of commitment correspond to varying degrees of response to lagged output and targeting of the price level. If the response rises (unintentionally) above the optimal level, the outcome deteriorates severely. Hence, the optimal level of commitment is sensitive to the method of expectations formation and partial commitment is the robust, optimal policy. The policymaker should adjust the price level toward a target, but complete adjustment is neither necessary nor desirable.
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Annalisa Ferrando, Ioannis Ganoulis and Carsten Preuss
This paper explores how firms formed their expectations about the availability of bank finance since the financial crisis. Various expectations hypotheses that incorporate…
Abstract
Purpose
This paper explores how firms formed their expectations about the availability of bank finance since the financial crisis. Various expectations hypotheses that incorporate backward and/or forward-looking elements and inattention are tested. From a policy perspective, the most important hypothesis is whether policy announcements have a direct impact on the expectations of companies.
Design/methodology/approach
The analysis is based on a large sample of euro area companies from the ECB “Survey on the Access to Finance of Enterprises” between 2009 and 2018. Ordered logit models are used to relate individual replies on expectations to firms' information available at the time of the forecasts. The model controls for the business cycle and firms' structural characteristics. Using a difference-in-differences approach, we test how policy announcements may affect expectations.
Findings
Firms update what otherwise look like adaptive expectations on the basis of new information. The hypothesis of rational expectations is rejected. Moreover, we do not find evidence of inattention or of a wave of pessimism/optimism. The analysis of expectations around the time of the ECB Outright Monetary Transactions program provides some evidence of forward-looking expectations.
Originality/value
The paper contributes to the literature on expectations by using a novel survey in eleven countries. In the multi-country setting, country-specific business cycle effects and waves of pessimism or optimism are better controlled for. The policy announcements of summer 2012 provide for a natural experiment to test the direct impact of such announcements on expectations, an issue of relevance for the monetary policy transmission to economic activity.
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The purpose of this paper is to explore the impact that minimum quality standards have on product quality when entrepreneurial innovation is considered.
Abstract
Purpose
The purpose of this paper is to explore the impact that minimum quality standards have on product quality when entrepreneurial innovation is considered.
Design/methodology/approach
The author develops a game-theoretic model. It is a standard vertical product differentiation model, but incorporates a minimum quality standard and uncertain entrepreneurial innovation.
Findings
While the minimum quality standard increases the expected quality of the low-quality product, under reasonable circumstances the expected quality of the high-quality good decreases. Thus, average quality can decrease with regulation intended to increase product quality.
Research limitations/implications
Past research on minimum quality standards does not consider its impact on entrepreneurial effort when their innovation investments lead to uncertain outcomes.
Practical implications
Minimum quality standard regulation can have counterproductive impacts if the impact on entrepreneurs is not considered. The regulation can disincentivize entrepreneurs leading to lower quality products.
Social implications
Regulation can be welfare reducing.
Originality/value
This paper is the first to incorporate entrepreneurial innovation into a product quality model to explore the impact of minimum quality standard regulation.
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The purpose of this paper is to investigate the relationship between individual investors’ level of sophistication and their expectations of risk and return in the stock market.
Abstract
Purpose
The purpose of this paper is to investigate the relationship between individual investors’ level of sophistication and their expectations of risk and return in the stock market.
Design/methodology/approach
The author combines survey and registry data on individual investors in Sweden to obtain 11 sophistication proxies that previous research has related to individuals’ financial decisions. These proxies are related to a survey measure regarding individual investors’ expectations of risk and return in an index fund using linear regressions.
Findings
The findings in this paper indicate that sophisticated investors have lower risk and higher return expectations that are closer to objective measures than those of less-sophisticated investors.
Originality/value
These results are important, since they enhance the understanding of the underlying mechanisms through which sophistication can influence financial decisions.
Jörgen Hellström, Rickard Olsson and Oscar Stålnacke
The purpose of this paper is to measure individual investors’ expectations of risk and return and to evaluate different expectation measures.
Abstract
Purpose
The purpose of this paper is to measure individual investors’ expectations of risk and return and to evaluate different expectation measures.
Design/methodology/approach
The authors measure individual investors’ expectations of risk and return regarding an index fund and two stocks using survey data on a random sample of individual investors in Sweden. The survey contains three different return and four different risk expectation measures. To evaluate the different expectation measures, three different evaluation perspectives are considered.
Findings
The risk expectations obtained from the different measures are positively correlated across respondents, but their average magnitudes differ considerably across measures. The return expectations are also positively correlated, and their magnitudes also differ, but to a lesser extent. Consequently, the same individual can express risk expectations that either underestimate or overestimate the forward risk, depending on the measure that is used. The variations in the expectations mainly relate to differences in the responses to the questions underlying the different measures, rather than to the methods used to obtain the expectations. The results from the evaluation of the measures indicate that the expectation measure proposed by Dominitz and Manski (2011) is the only measure for which it is possible to distinguish between individuals’ expectations, using all three of the evaluation perspectives.
Originality/value
This is, to the best of the authors’ knowledge, the first paper that evaluates different survey measures of individual investors’ expectations of risk and return.
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This study aims to examine short- and long-run effects of specific macroeconomic conditions on risk premium estimates on lending.
Abstract
Purpose
This study aims to examine short- and long-run effects of specific macroeconomic conditions on risk premium estimates on lending.
Design/methodology/approach
Empirical estimates are based on error correction and autoregressive distributed lag models.
Findings
The results suggest that, in the short run, inflation expectations, recession expectations and actual inflationary conditions tend to have a significant impact on risk premium estimates; in the long run, however, only inflation expectations and recession expectations are significant in risk premium estimates on lending.
Originality/value
This study examines how specific conditions of uncertainty and expectations influence variability in risk premium estimates on lending in the US economy.
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