New Series / Volume 12, No. 2 /
Old Series/ Volume 28, No. 2 / July, 2012
- Front Page
- Towards the Identification of Cross-Commodity Relationships in Metals Markets
- A model of Self-Regulation in Banking Industry
- Network Analysis of an Indian Stock Market using the Minimum Spanning Tree Algorithm
- Inter-Sectoral Terms of Trade and Aggregate Supply Response in Gujarat and Indian Agriculture
- Assessing Response of Growth Funds to Macroeconomic Information and Market Index
- Can Mergers be Useful to Face Trade Liberalisation?: The Role of Technology
- Combination Forecasts of International Demand for Tourism in Tunisia
- The LIBOR Rate: What does it Look Like during Turmoil Times?
- Modeling Causality between Electricity Consumption and Economic Growth In BIICS Countries
- Monetary Policy (by Partha Ray)
Author(s): Julien Chevallier and Florian Lelpo
Abstract: This article deals with a cointegration analysis commodity by commodity in metals markets (e.g. Gold, Silver, Platinum, Aluminum, Copper, Nickel, Zinc, Lead) during 1993-2011 using daily data. The main focus lies in the determination of the long term relationship - if any - within precious and industrial metals. We carry out cointegration analyses with/without structural breaks for specific groups of metals commodities. To sum up the main findings, for each of the pair (or more) of commodities investigated, it has been possible to detect at least one cointegration relationship. Therefore, we could broadly conclude that there are more cross-commodity linkages in metals markets than usually thought by market practitioners.
Author(s): Sofiane Aboura and Emmanuel Lepinette
Abstract: This article derives a model of self-regulation where banks issue insurance products to hedge their own leverage ratio. This approach is an alternative policy to Basel regulation for controlling systemic risk without increasing equity level. Then, we construct two insurability indicators informative about the attractiveness of these hedging instruments. Their implementation, on each of the 22 banks of 5 major countries from 2005 to 2012, reveals the cartography of fragility of several banks.
Author(s): Prakhar Singhal and Surajit Sinha
Abstract: This paper analyses the topological properties of one of the Indian stock markets, namely the National Stock Exchange (NSE), using the Minimum Spanning Tree (MST) algorithm to find the impact of the Subprime Financial Crisis on Indian stock market: how the crisis affected individual stocks, how the relative importance of the sectors shifted across different phases of the crisis, and how stocks clustered over time. This kind of a study of an Indian stock market is the first of its kind. The stocks belonging to S&P Nifty 50 (which is the headline index of NSE) are classified into 9 sectors of the Indian economy and the analyses are done both stock-wise and sector-wise. The study is expected to be useful in designing investment strategies and optimal portfolios. The research also aims to find the core sectors of the Indian economy and predict the state of the economy in the near future.
Author(s): Ravindra H. Dholakia and Amey A Sapre
Abstract: This paper empirically investigates the role of inter-sectoral terms of trade in determining the growth performance of agriculture in Gujarat and All India during the period 1960-2011. Structural breaks endogenously identified in inter-sectoral terms of trade and phase wise growth performance in distinct periods in both Gujarat and all India is analysed. Empirical findings support the hypothesis that favourable terms of trade for agriculture lead to higher growth in agriculture. The results show a strong evidence for positive price elasticity of supply in agriculture and almost rules out the possibility of backward bending supply curve. The paper establishes favourable terms of trade as a major factor for achieving high growth in agriculture.
Author(s): V. Sree Vinutha and Rao Nageswara S.V.D.
Abstract: Returns on portfolios are expected to be influenced by macroeconomic factors. In this work, we employ the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) to analyze the ability of the portfolios of 50 growth funds in India to rationally evaluate economic news in terms of the risk premium pertaining to the factors. We test if the market portfolio itself suffices in explaining return on growth funds or if the economic factors also play a role in influencing returns. In the process, we conceptualize rolling regressions on a dynamic window basis to obtain efficient parameter estimates.
Author(s): G. Badri Narayanan
Abstract: The objective of this study is to analyse the effects of trade liberalisation on firm-level profits with mergers and its dependence on the degree of Increasing Returns to Scale (IRS), under an oligopolistic competition framework involving two countries. Mergers, as considered in this paper, cause an increase in the firm-level profits. The extent to which they enhance the profits is inversely proportional to the number of firms in the country. With mergers, the effects of freer trade depends on the extent to which the fall in profit due to fall in price outweighs the gain in profit due to increased output. A firm in the high-IRS country can gain more from a merger than one in the low-IRS country, if the aggregate output is at sufficiently large scale.
Author(s): Amira Gasmi Sassi
Abstract: This paper aims to model and predict international tourism demand in Tunisia
using modern econometric techniques by testing the hypothesis that the forecast combination method improves the
predictive accuracy of individual models.
Empirical study is conducted using monthly data of six tourism source markets for Tunisia over the period 1997-2009. We use two forecast errors measures, MAPE and RMSPE, to assess alternative individual forecasting models and combination techniques. Our results provide robust evidence suggesting that combination forecasts, in general, outperform the individual forecasts. The combination method allows reducing the risk of total failure of the prediction by improving the accuracy of the worse predictions. The empirical results of combination techniques show some disparities across the forecast horizon.
Author(s): Julien Fouquau and Philippe Spieser
Abstract: The aim of this paper is to study the dynamics of the interbank rates during the turmoil times. The reference we used is the Libor rate (1 and 3 months maturities), an essential benchmark for many contracts notably the CDS and derivative products. To achieve our goal, we used various types of econometric tests. After checking the non-stationarity versus the non linearity, we adopted four methodologies to test the presence of unit root tests versus breaks. Our main findings are, for the principal currencies Libor references (Us, Euro), that they are actually stationary with breaks. It confirms so the bias of classical tests, already stated by Perron 1989.
Author(s): Helmi Hamdi, Rashid Sbia, Abdelaziz Hakimi and Nabila Boukef-Jlassi
Abstract: This paper tests the causal relationship between per capita electricity consumption and gross domestic product (GDP) per capita for Brazil, India, Indonesia, China and South Africa for the period 1971-2009. To reach this goal, we use panel cointegration analysis and Granger causality tests. Our results reveal that electricity consumption and GDP are cointegrated and the granger causality tests indicate a long-run relationship between electricity consumption and GDP growth for all countries except for South Africa. The short-run estimations indicate that GDP granger cause electricity consumption but not the reverse; hence the existence of unidirectional short-run causality relationship between the two variables.
Author(s): Pushpa Trivedi