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Article
Publication date: 23 August 2023

Amir T. Payandeh Najafabadi and Fatemeh Atatalab

The usual, simple and computationally expensive recovery payment method for a given reinsurance treaty, besides the total run-off triangle, builds a new run-off triangle, say…

Abstract

Purpose

The usual, simple and computationally expensive recovery payment method for a given reinsurance treaty, besides the total run-off triangle, builds a new run-off triangle, say recovery run-off triangle, for the reinsurer’s contribution and predicts the reinsurer’s contribution to the total loss reserves. This paper, without building a recovery run-off triangle, uses the available prior knowledge about a reinsurance treaty to predict the cedent’s loss reserve under five reinsurance treaties.

Design/methodology/approach

The authors propose a new solution to the problem of how to consider reserving issues when there is a reinsurance treaty for a portfolio of general insurance policies. Considering this when determining pricing or making capital decisions is very important.

Findings

In particular, it considers the quota share (QS) treaty, surplus (SPL) treaty, excess-of-loss (XL) treaty, largest claims reinsurance (LCR) treaty and excédent du coût moyen relatif (ECOMOR) treaty. Then, it develops a theoretical foundation for predicting the cedent’s loss reserve and evaluating such prediction using the mean square error of prediction (MSEP). The impact of such reinsurance treaties on the variability of the cedent’s loss reserve has been investigated through a simulation study.

Originality/value

This paper, without building a recovery run-off triangle, uses the available prior knowledge about a reinsurance treaty to predict the cedent’s loss reserve under five reinsurance treaties. In particular, it considers the QS treaty, SPL treaty, XL treaty, LCR treaty and ECOMOR treaty. Then, it develops a theoretical foundation for predicting the cedent’s loss reserve and evaluating such prediction using the MSEP. The impact of such reinsurance treaties on the variability of the cedent’s loss reserve has been investigated through a simulation study.

Details

Journal of Modelling in Management, vol. 19 no. 1
Type: Research Article
ISSN: 1746-5664

Keywords

Article
Publication date: 27 December 2022

Kip Errett Patterson

This conceptual article presents a schematic for use with extended cybernetic recursion in living systems and applies it to the issue of hyper vigilance as a demonstration of its…

Abstract

Purpose

This conceptual article presents a schematic for use with extended cybernetic recursion in living systems and applies it to the issue of hyper vigilance as a demonstration of its utility.

Design/methodology/approach

The test-operate-test-exit (TOTE) schematic of Miller et al. (1960) is critically evaluated along with other schematics, including those of ordered cybernetics, and a new schematic is proposed, a recursive test-operate-test (rTOT), which emphasizes teleological purpose and hierarchical structure. The background psychophysiology of trauma is reviewed and then rTOT is applied to hyper vigilance, a cardinal component of post-traumatic stress disorder (PTSD).

Findings

Once the schematic was developed, it was applied to the behavior of hyper vigilance. Other applications are suggested.

Research limitations/implications

As demonstrated, the rTOT schematic has potentially wide application because of its pragmatic and detailed structure.

Practical implications

The rTOT requires careful consideration of teleological purposes for its application and is simple enough, but also complex enough, for relevant utilization. Its compact nature and adjustable hierarchy scope are good mini-max complexity solutions for cybernetic, information modeling schematics.

Social implications

The revealed teleological purpose of the trauma adaptation of hyper vigilance presents significant alternative formulation options for prevention and intervention.

Originality/value

While the rTOT schematic is derived from previous schematics, it is original in its emphasis on information processing, the teleological aspects of extended recursion and on the provision of a hierarchical structure for those recursions. It is considerably more compact than other schematics associated with the ordered cybernetics literature. The explication of the adaptation model for post-trauma consequences is significantly enhanced by the rTOT application.

Details

Kybernetes, vol. 53 no. 3
Type: Research Article
ISSN: 0368-492X

Keywords

Article
Publication date: 22 November 2023

Hamid Baghestani and Bassam M. AbuAl-Foul

This study evaluates the Federal Reserve (Fed) initial and final forecasts of the unemployment rate for 1983Q1-2018Q4. The Fed initial forecasts in a typical quarter are made in…

Abstract

Purpose

This study evaluates the Federal Reserve (Fed) initial and final forecasts of the unemployment rate for 1983Q1-2018Q4. The Fed initial forecasts in a typical quarter are made in the first month (or immediately after), and the final forecasts are made in the third month of the quarter. The analysis also includes the private forecasts, which are made close to the end of the second month of the quarter.

Design/methodology/approach

In evaluating the multi-period forecasts, the study tests for systematic bias, directional accuracy, symmetric loss, equal forecast accuracy, encompassing and orthogonality. For every test equation, it employs the Newey–West procedure in order to obtain the standard errors corrected for both heteroscedasticity and inherent serial correlation.

Findings

Both Fed and private forecasts beat the naïve benchmark and predict directional change under symmetric loss. Fed final forecasts are more accurate than initial forecasts, meaning that predictive accuracy improves as more information becomes available. The private and Fed final forecasts contain distinct predictive information, but the latter produces significantly lower mean squared errors. The results are mixed when the study compares the private with the Fed initial forecasts. Additional results indicate that Fed (private) forecast errors are (are not) orthogonal to changes in consumer expectations about future unemployment. As such, consumer expectations can potentially help improve the accuracy of private forecasts.

Originality/value

Unlike many other studies, this study focuses on the unemployment rate, since it is an important indicator of the social cost of business cycles, and thus its forecasts are of special interest to policymakers, politicians and social scientists. Accurate unemployment rate forecasts, in particular, are essential for policymakers to design an optimal macroeconomic policy.

Details

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

Keywords

Article
Publication date: 26 May 2023

Yuquan Chen, Dela-Dem Doe Fiankor, Kuan Kang and Qian Zhang

Carbon storage in protected land is a practical climate stabilization strategy. It is increasingly being recognized as an essential means of safeguarding biomass carbon and…

Abstract

Purpose

Carbon storage in protected land is a practical climate stabilization strategy. It is increasingly being recognized as an essential means of safeguarding biomass carbon and improving local ecological conditions. Yet, increasing soil carbon sequestration by setting aside nature reserves does not depend only on the scale of the reserve but more so on the implementation and enforcement of the reserve protection policy. This paper aims to discuss the aforementioned issues.

Design/methodology/approach

The authors show how nature reserves established and managed by different administrative levels affect carbon sequestration. Empirically, the authors estimate a time-varying difference-in-difference model that exploits China's distinct four-layered hierarchical nature reserve management system at the county level.

Findings

The findings show that higher administrative level (i.e. national and provincial) nature reserves have no effects on the carbon dynamic. However, reserves managed by lower administrative levels (i.e. prefecture- and county-level) are associated with reduced carbon sequestration. The results imply local governments fail to fulfil their responsibilities for nature reserves protection, leading to increased extractive activities and declined ecological biomass.

Research limitations/implications

Responsibility and accountability mechanisms for the violation of the nature reserves requirements need to be stipulated accordingly. Greater emphasis should be placed on nature reserves at the base level. The central government should continue efforts toward the establishment of ad hoc and independent management agencies at the ground-management level that are free of influence from base-level governments.

Originality/value

The heterogeneity in the performance of nature reserves across administrative levels confirms that ecosystem service quality is highly dependent on establishment, management and supervision. This provides a better understanding of the socio-ecological interdependence of protected areas.

Details

China Agricultural Economic Review, vol. 15 no. 4
Type: Research Article
ISSN: 1756-137X

Keywords

Article
Publication date: 26 September 2023

Alexandre Mondoux, Bastien Christinet, Roxane Fenal and Olivier Viret

This study aims to identify the economic impact of a potential implementation of a Climatic Reserve for the Swiss predominant white grape variety (Chasselas) vinified in the AOC…

Abstract

Purpose

This study aims to identify the economic impact of a potential implementation of a Climatic Reserve for the Swiss predominant white grape variety (Chasselas) vinified in the AOC (controlled designation of origin) category. The Climatic Reserve would imply the possibility of harvesting an additional quantity of grapes whose commercialization in wine would be delayed until it is approved by the relevant authority.

Design/methodology/approach

The impact of a potential implementation of this wine supply management tool is simulated through an innovative method that combines the vector autoregressive (VAR) model to estimate the influence of the previous consumptions and productions on the current consumption and linear regression [ordinary least square (OLS) method] to estimate the price elasticity to measure the evolution of the price depending on the simulated consumption. The VAR model is based on state-level data about production, stocks, and consumption (all the channels of distribution combined), while the OLS regression for estimating price elasticity uses the retail market data (Nielsen Panel). With the sales and price variables on a monthly frequency design, the latter represents about 40% of the wine market in Switzerland.

Findings

According to simulations carried out at the level of a region from the canton of Vaud in Switzerland (2000–2018), the increase in turnover linked to the release of the Climatic Reserve would be +3.1% for the indigenous white grape variety Chasselas.

Originality/value

The Climatic Reserve is a wine supply management tool that could complement the existing yield restriction, which does not significantly influence the quantities sold, according to previous studies. Our paper contributes to the literature by demonstrating the economic advantage of this supply management tool to deal with the increasingly frequent climatic hazards in wine production and market. The methodology could be applied to other wine regions (contexts) or other agricultural sectors.

Details

International Journal of Wine Business Research, vol. 35 no. 4
Type: Research Article
ISSN: 1751-1062

Keywords

Article
Publication date: 29 March 2023

Sabri Burak Arzova, Ayben Koy and Bertaç Şakir Şahin

This study investigates the effect of unproven energy reserve news on the volatility of energy firms' stocks. Thus, investors' perception of unproven energy reserves is revealed…

Abstract

Purpose

This study investigates the effect of unproven energy reserve news on the volatility of energy firms' stocks. Thus, investors' perception of unproven energy reserves is revealed. Additionally, the study aims to determine whether the effect of the news changes according to time and volatility level.

Design/methodology/approach

The general autoregressive conditional heteroskedasticity (GARCH) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models consist of the energy reserve exploration news in Turkey for the period 2009–2022 and the volatility of 14 energy stocks.

Findings

The results indicate energy exploration news's negative and significant effect on volatility. According to empirical results, energy stock volatility is most affected in the first ten days. Besides, the results show that the significant models of energy reserve news in low-volatility stocks are proportionally higher than in high-volatility stocks.

Research limitations/implications

Only unproved reserve news is included in the analysis, as sufficient confirmed reserves could not be reached during the sampling period. Further studies can compare proven and unproved reserve news effects. Additionally, a similar analysis can be conducted between Turkey and another country with a similar socio-economic character to examine different investor behaviors.

Practical implications

This research includes indications on managing investors' reactions to unproven energy reserve news.

Originality/value

This study contributes to the literature by analyzing unproven reserves. Contrary to previous studies, examining stock volatility also makes the study unique.

Details

Review of Behavioral Finance, vol. 16 no. 1
Type: Research Article
ISSN: 1940-5979

Keywords

Article
Publication date: 28 March 2022

Serdar Simonyan and Sema Bayraktar

This paper examines the relationship between sovereign credit default swaps (CDS) and several macroeconomic factors in an asymmetric setting and distinguishes between short-run…

Abstract

Purpose

This paper examines the relationship between sovereign credit default swaps (CDS) and several macroeconomic factors in an asymmetric setting and distinguishes between short-run and long-run impacts. Country-specific factors (e.g. equity index, international reserves, interest rate and industrial production) and global factors (e.g. US stock volatility [VIX], geopolitical risk and oil price) are the main explanatory variables.

Design/methodology/approach

This analysis uses a nonlinear autoregressive distributed lag approach that enables us to study both long-run and short-run dynamics.

Findings

This study results show that two country-specific factors (equity index and international reserves) and two global factors (VIX and oil price) are the most important factors and affect CDS asymmetrically.

Research limitations/implications

The asymmetric relationships between sovereign CDS and variables in bull and bear markets can also be studied. Consideration of asymmetries in the variance could also be a fruitful step taken for further research.

Practical implications

The findings imply that investors and portfolio managers should design their investment and hedging decisions related to government bonds by taking into account the existence of an asymmetric relationship.

Social implications

Moreover, policymakers can benefit from this asymmetric information in the timing of debt issuance.

Originality/value

This paper examines the relationship between sovereign CDS and several macroeconomic factors in an asymmetric setting and distinguishes between short-run and long-run impacts.

Details

International Journal of Emerging Markets, vol. 18 no. 12
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 5 February 2024

Vishnu K. Ramesh

This study aims to examine the role of economic political uncertainty (EPU) on various corporate policies, namely, cash reserves, investment, capital structure and operating…

Abstract

Purpose

This study aims to examine the role of economic political uncertainty (EPU) on various corporate policies, namely, cash reserves, investment, capital structure and operating activities of Indian listed firms.

Design/methodology/approach

To assess the influence of policy-related uncertainties, the author uses the India-specific EPU news-based index constructed by Baker et al. (2016) as a proxy for policy uncertainties. This study uses data from listed Indian firms spanning the period 2003 to 2019. The author uses panel regression models with firm-fixed effects to analyze the impact of EPU on corporate policies, including cash reserves, leverage and CAPEX, while considering key control variables.

Findings

In response to heightened EPU, firms tend to increase their cash reserves, curtail their investment activities and favour secured financing options. Notably, this study aligns with the “real options” framework, demonstrating that firms with substantial investment irreversibility significantly reduce their capital expenditures during periods of elevated EPU. Additionally, the results reveal that rising EPU corresponds to heightened borrowing costs and increased operating expenses for firms.

Originality/value

In contrast to prior research that predominantly investigated the impact of EPU on the decisions of listed firms in developed markets, this study delves into the role of EPU on corporate policies among listed firms in India. This focus is particularly relevant, given the significant policy changes that have transpired in the Indian business landscape in recent years.

Details

Indian Growth and Development Review, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1753-8254

Keywords

Article
Publication date: 9 January 2024

Siti Nurhidayah Mohd Roslen, Mei-Shan Chua and Rafiatul Adlin Hj Mohd Ruslan

The purpose of this study is to empirically investigate the asymmetric effects of financial risk on Sukuk market development for a sample of Malaysian countries over the period of…

Abstract

Purpose

The purpose of this study is to empirically investigate the asymmetric effects of financial risk on Sukuk market development for a sample of Malaysian countries over the period of 2010–2021.

Design/methodology/approach

This study refers to the International Country Risk Guide (ICRG) in determining the financial risk factors to be studied in addition to the Malaysia financial stress index (FSI) to capture changes in financial risk level. The authors use the nonlinear autoregressive distributed lag (NARDL) model to tackle the nonlinear relationships between identified financial risk variables and Sukuk market development.

Findings

The results suggest the existence of a long-run relationship between foreign debt service stability, international liquidity stability (ILS), exchange rate stability (ERS) and financial stress level with the Sukuk market development in Malaysia. Indeed, higher ILS and ERS will boost Sukuk market size, whereas higher foreign debt services and financial stress are negatively related to Sukuk market development. Findings also indicate that the long-run positive and negative impacts of identified financial risk components on Sukuk market development are statistically different. Taking into account the role of the Sukuk market in facilitating Malaysia’s economic growth, the country should aim to keep the foreign debt-to-GDP ratio at a sustainable level.

Research limitations/implications

This study points to three possible directions for future research. The first is the differential impact of financial risk components on Sukuk issuance for different Sukuk structures. As more data becomes available in the future, this area could be further explored by conducting the above analysis for different combinations of Sukuk structures and currency denominations. In addition, future researchers could also consider exploring the variability of financial risk impacts through comparative studies of the leading Sukuk-issuing countries to account for differences in regulatory frameworks and supporting infrastructure.

Practical implications

This study provides valuable practical and policy implications for strengthening the growth of the Sukuk market. While benefiting from the diversification benefits of funding sources to finance private or government projects and developments, Malaysia should remain vigilant to global economic conditions, foreign exchange markets and financial stress levels, as all of these factors may significantly influence investor sentiment and the rate of return offered by Sukuk issuance.

Originality/value

The use of the NARDL approach, which investigates the long-run effects of financial risk factors on Sukuk market development in Malaysia, makes this study a valuable addition to the literature, as there has been little research into the asymmetric effects of those variables on Sukuk market development using samples from emerging Asian markets.

Details

Journal of Islamic Accounting and Business Research, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1759-0817

Keywords

Open Access
Article
Publication date: 12 December 2023

Robert Mwanyepedza and Syden Mishi

The study aims to estimate the short- and long-run effects of monetary policy on residential property prices in South Africa. Over the past decades, there has been a monetary…

Abstract

Purpose

The study aims to estimate the short- and long-run effects of monetary policy on residential property prices in South Africa. Over the past decades, there has been a monetary policy shift, from targeting money supply and exchange rate to inflation. The shifts have affected residential property market dynamics.

Design/methodology/approach

The Johansen cointegration approach was used to estimate the effects of changes in monetary policy proxies on residential property prices using quarterly data from 1980 to 2022.

Findings

Mortgage finance and economic growth have a significant positive long-run effect on residential property prices. The consumer price index, the inflation targeting framework, interest rates and exchange rates have a significant negative long-run effect on residential property prices. The Granger causality test has depicted that exchange rate significantly influences residential property prices in the short run, and interest rates, inflation targeting framework, gross domestic product, money supply consumer price index and exchange rate can quickly return to equilibrium when they are in disequilibrium.

Originality/value

There are limited arguments whether the inflation targeting monetary policy framework in South Africa has prevented residential property market boom and bust scenarios. The study has found that the implementation of inflation targeting framework has successfully reduced booms in residential property prices in South Africa.

Details

International Journal of Housing Markets and Analysis, vol. 17 no. 7
Type: Research Article
ISSN: 1753-8270

Keywords

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