...International Conference On Applied Economics – ICOAE 2010 299 DOES STOCK MARKET DEVELOPMENT CAUSE ECONOMIC GROWTH? A TIME SERIES ANALYSIS FOR BANGLADESH ECONOMY MD. SHARIF HOSSAIN (PH. D.)1 - KHND. MD. MOSTAFA KAMAL2 Abstract In this paper the principal purpose has been made to investigate the causal relationship between stock market development and economic growth in Bangladesh. To investigate long-run causal linkages between stock market development and economic growth the Engle-Granger causality and ML tests are applied. In this paper another attempt has been made to investigate the non-stationarity in the series of stock market development and economic growth by using modern econometric techniques. The co-integrated tests are applied to know whether this pair of variables shares the same stochastic trend or not. From our analysis it has been found that the stock market development strongly influences the economic growth in Bangladesh economy, but there is no causation from economic growth to stock market development. Thus unidirectional causality has prevailed between stock market development and economic growth in the Bangladesh economy. Also it has been found that all the variables are integrated of order 1, and both the variables stock market development and economic growth share the same stochastic trend in Bangladesh economy. JEL Code: C010 Key Words: Stock Market Development, Causal Relationship, Non-stationarity, Unit Root Test, Co-integrated Tests 1 ...
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...Does Saving really matter for Growth in Developing Countries? The Case of a Small Open Economy Olajide S. Oladipo, PhD Department of Economics and Finance School of Business, Medgar Evers College 1637 Bedford Avenue, Brooklyn, NY 11225 Email: ooladipo@ mec.cuny.edu Abstract The study employed the Toda and Yamamoto (1995) and Dolado and Lutkepohl (1996) – TYDL- methodology to uncover the direction of causal relationship between savings and economic growth in Nigeria between 1970 and 2006. The empirical results suggest that savings and economic growth are positively cointegrated indicating a stable long run equilibrium relationship. Further, the findings revealed a unidirectional causality between savings and economic growth and the complementary role of FDI in growth. Keywords: Cointegration, FDI, Savings and Economic Growth JEL Classification: C32; E21;O11 Does Saving really matter for Growth in Developing Countries? The Case of a Small Open Economy Introduction The relationship between savings and economic growth has received increased attention in recent years especially in developed and emerging economies [see Bacha (1990), DeGregorio (1992), Levine and Renelt (1992), and Jappelli and Pagano (1994)]. This might not be unconnected to the central underpinning of Lewis’s (1955) traditional development theory that increasing savings would accelerate economic growth. Research efforts by Kaldor (1956) and Samuelson and Modigliani (1966) examined how different savings...
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...International Journal of Business and Society, Vol. 11 No. 2, 2010, 35 - 50 THE EFFECTS OF MACROECONOMIC EVILS ON PROPERTY AND VIOLENT CRIMES IN MALAYSIA Chor Foon Tang♣ University of Malaya ABSTRACT The main objective of this study is to investigate the effects of macroeconomic evils – unemployment and inflation on different categories of crime rates – property and violent crimes in Malaysia via the multivariate Johansen-Juselius and Granger causality techniques. This study used annual data from 1970 to 2006. Johansen-Juselius cointegration tests revealed that property and violent crimes are cointegrated with unemployment and inflation. Furthermore, the empirical evidence exhibit that unemployment and inflation are the driving factors for crimes in Malaysia. Therefore, supply-side economy may be an ideal choice of policy to reduce crime rates in Malaysia. Keywords: Crime, Inflation, Unemployment, Malaysia 1. INTRODUCTION Recent deliberation on whether “Malaysia is a safe haven for travel and investment?” was frequently asked by the international tourists and foreign investors owing to the increasing trend of crime rates in Malaysia. From the visual inspection in Figure 1, both property and violent crime rates in Malaysia has increased quite significantly between 1970 and 2006. Over a decade from 1970 to 1980, both property and violent crime rates in Malaysia increased more than two folds. The property crime rate increased drastically from 25 thousand...
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...This page intentionally left blank Introductory Econometrics for Finance SECOND EDITION This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. It includes examples and case studies which finance students will recognise and relate to. This new edition builds on the successful data- and problem-driven approach of the first edition, giving students the skills to estimate and interpret models while developing an intuitive grasp of underlying theoretical concepts. Key features: ● Thoroughly revised and updated, including two new chapters on ● ● ● ● ● ● panel data and limited dependent variable models Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models Detailed examples and case studies from finance show students how techniques are applied in real research Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods Thoroughly class-tested in leading finance schools Chris Brooks is Professor of Finance at the ICMA Centre, University...
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...Boston College Economics The Stata Journal (yyyy) Working Paper Number ii, pp. 1–38 vv, No. 667 Enhanced routines for instrumental variables/GMM estimation and testing Christopher F. Baum Mark E. Schaffer Boston College Heriot–Watt University Steven Stillman Motu Economic and Public Policy Research Abstract. We extend our 2003 paper on instrumental variables (IV) and GMM estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates. Keywords: st0001, instrumental variables, weak instruments, generalized method of moments, endogeneity, heteroskedasticity, serial correlation, HAC standard errors, LIML, CUE, overidentifying restrictions, Frisch–Waugh–Lovell theorem, RESET, Cumby-Huizinga test 1 Introduction In an earlier paper, Baum et al. (2003), we discussed instrumental variables (IV) estimators in the context of Generalized Method of Moments (GMM) estimation and presented Stata routines for estimation and testing comprising the ivreg2 suite. Since that time, those routines have been considerably enhanced and additional routines have been added to the suite. This paper presents the analytical underpinnings of both basic IV/GMM estimation and these enhancements and describes the enhanced routines. Some of these features are now also available in Stata 10’s ivregress, while others are not. The additions include: • Estimation and testing...
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...This page intentionally left blank Introductory Econometrics for Finance SECOND EDITION This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. It includes examples and case studies which finance students will recognise and relate to. This new edition builds on the successful data- and problem-driven approach of the first edition, giving students the skills to estimate and interpret models while developing an intuitive grasp of underlying theoretical concepts. Key features: ● Thoroughly revised and updated, including two new chapters on ● ● ● ● ● ● panel data and limited dependent variable models Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models Detailed examples and case studies from finance show students how techniques are applied in real research Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods Thoroughly class-tested in leading finance schools Chris Brooks is Professor of Finance...
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...A Guide to Modern Econometrics 2nd edition Marno Verbeek Erasmus University Rotterdam A Guide to Modern Econometrics A Guide to Modern Econometrics 2nd edition Marno Verbeek Erasmus University Rotterdam Copyright 2004 John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ, England Telephone (+44) 1243 779777 Email (for orders and customer service enquiries): cs-books@wiley.co.uk Visit our Home Page on www.wileyeurope.com or www.wiley.com All Rights Reserved. No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning or otherwise, except under the terms of the Copyright, Designs and Patents Act 1988 or under the terms of a licence issued by the Copyright Licensing Agency Ltd, 90 Tottenham Court Road, London W1T 4LP, UK, without the permission in writing of the Publisher. Requests to the Publisher should be addressed to the Permissions Department, John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ, England, or emailed to permreq@wiley.co.uk, or faxed to (+44) 1243 770620. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold on the understanding that the Publisher is not engaged in rendering professional services. If professional advice or other expert assistance is required,...
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...Writing Tips For Economics Research Papers∗ Plamen Nikolov, Harvard University † June 10, 2013 1 General Tips about Writing Style When I read your term papers, I look for your ability to motivate your question using economic logic, your ability to critically analyze the past literature, and your ability to recognize empirical problems as they arise. In particular, it is important that your term paper demonstrates that you are more knowledgeable, analytic, and sophisticated about the economics of health or development economics than we would expect, say, a clever editorial writer for The New York Times to be. You should present evidence, cite literature, explain economic trade-os, and generally approach the issue from an analytic perspective. Sometimes, a student is tempted to stray into opinion-page, journalistic writing in his or her term paper. Do not do this. Teaching good economics writing is one of the goals of the departmental writing requirement and is a valuable lesson for potential thesis writers. You will get a lower grade if your writing is • ungrammatical, • unclear, • journalistic. If you have trouble writing grammatically, please leave yourself some extra time and go to a writing 1 tutor . Clarity is the rst priority in economics writing. Do not worry about being snappy if you are being clear. Journalistic writing is characterized by the lack of an analytical tone. Below, you will nd some notes about the...
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...Writing Tips For Economics Research Papers∗ Plamen Nikolov, Harvard University † June 10, 2013 1 General Tips about Writing Style When I read your term papers, I look for your ability to motivate your question using economic logic, your ability to critically analyze the past literature, and your ability to recognize empirical problems as they arise. In particular, it is important that your term paper demonstrates that you are more knowledgeable, analytic, and sophisticated about the economics of health or development economics than we would expect, say, a clever editorial writer for The New York Times to be. You should present evidence, cite literature, explain economic trade-os, and generally approach the issue from an analytic perspective. Sometimes, a student is tempted to stray into opinion-page, journalistic writing in his or her term paper. Do not do this. Teaching good economics writing is one of the goals of the departmental writing requirement and is a valuable lesson for potential thesis writers. You will get a lower grade if your writing is • ungrammatical, • unclear, • journalistic. If you have trouble writing grammatically, please leave yourself some extra time and go to a writing 1 tutor . Clarity is the rst priority in economics writing. Do not worry about being snappy if you are being clear. Journalistic writing is characterized by the lack of an analytical tone. Below, you will nd some notes about the...
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...Case of Salary discrimination based on Gender In this case the assertion has been made that the males of the population receive a higher salary than do females as a direct result of their gender. In order to test this assertion, we must first set up a hypothesis, and then test that hypothesis by analyzing the data provided. The first step in hypothesis testing is formalizing the hypothesis into a null hypothesis and an alternative hypothesis. The null hypothesis is a restatement of the assertion being made, while the alternative hypothesis is the negation of the null hypothesis. The null and alternative hypotheses can be stated respectively as follows: H0 : The mean salary of females < the mean salary of males H1 : The mean salary of females > or = the mean salary of males Before proceeding with determining a difference, and cause and effect linear relationship between these two variables, it is important to note that any individual outliers must be eliminated from the data set before a multiple linear regression is performed. The existence of such outliers in a model could skew the resulting linear relationship. The performance of successive stem and leaf box plots revealed the existence of 6 outliers. These outliers were then removed from the sample Splitting the data set according to gender and comparing the means of the two groupings reveals a difference in the average salary of the sampled males and sampled females. This does not, however, tell...
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...AND COMMENTS TO Joy de Beyer ( jdebeyer@worldbank.org) and Ayda Yurekli (ayurekli@worldbank.org) World Bank, MSN G7-702 1818 H Street NW Washington DC, 20433 USA Fax : (202) 522-3234 Contents I. Introduction 1 Purpose of this Tool 1 Who Should Use this Tool 2 How to Use this Tool 2 II. Define the Objectives of the Analysis 4 The Reason for Analysis of Demand 4 The Economic Case for Demand Intervention 4 Analysis of Demand for the Policy Maker 5 Design an Analysis of Demand Study 6 Components of a Study 6 The Nature of Econometric Analysis 7 Resources Required 7 Summary 8 References and Additional Information 8 III. Conduct Background Research 9 IV. Build the Data Set 11 Choose the Variables 11 Data Availability 11 Data Types 12 Prepare the Data 13 Data Cleaning and Preliminary Examination 14 Preparing the Data Variables 14 References and Additional Information 19 V. Choose the Demand Model 20 Determine the Identification Problem 20 Test for Price Endogeneity 21 ...
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...have been conducted in this field. The following paper focuses on the pollution haven hypotheses stating that lax environmental regulations increase Foreign Direct Investment inflow since investing firms experience significant cost efficiencies and comparative advantages. The data set is mainly chosen from the World Data Bank and five explanatory variables are used to investigate their influence on FDI inflow (as percentage of GDP). During the empirical analysis a pivotal factor will be the OECD membership even if several environmental standards are controlled. We expect to see some significant determinants of FDI inflow in order to either agree or reject the pollution haven hypotheses. Contents 1 Introduction 2 The Two Hypotheses 3 Data Set 4 Econometric Model and Results 4.1 Linear Regression Model (OLS) . . . . . . . . . . . . . . . . . 4.2 Assumptions of Gauss-Markov-Theorem . . . . . . . . . . . . 4.3 Chow Test for Structural Break . . . . . . . . . . . . . . . . . 5 Conclusion A Appendix A.1 Program Code EViews . . . . . . . . . . . . . . . . . . . . . . 1 1 1 2 3 4 6 7 9 9 1 Introduction International trade theory is based on the concept of comparative advantages which is consistent with what we could observe in the booming globalization process during the last decades. A multinational firm...
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...YOUR ECONOMETRICS PAPER BASIC TIPS There are a couple of websites that you can browse to give you some ideas for topics and data. Think about what you want to do with this paper. Econometrics is a great tool to market when looking for jobs. A well-written econometrics paper and your presentation can be a nice addition to your resume. You are not expected to do original research here. REPLICATION of prior results is perfectly acceptable. Read Studenmund's Chapter 11. One of the most frustrating things in doing an econometrics paper is finding the data. Do not spend a lot of time on a topic before determining whether there is data available that will allow you to answer your question. It is a good idea to write down your ideal data set that would allow you to address your topic. If you find that the available data is not even close to what you had originally desired, you might want to change your topic. Also, remember that knowing the location of your data – website, reference book, etc – is not the same as having your data available to use. It may take a LONG time to get the data in a format that EVIEWS can read. Do not leave this till the last minute. For most data, I enter the data into Excel first. I save the Excel sheet in the oldest version, namely MS Excel Worksheet 2.1 . The reason is that format can be read by most programs whereas newer formats may or may not be read. Eviews easily reads an Excel sheet 2.1 version. You should use the...
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...CASE: 32 - Overdue Bills CONTENTS 1) The Executive Summary a) Describe the most important Facts and Conclusions. 2) Introduction a) Purpose and Scope of Paper b) Questions of Interest, and/or hypotheses c) Describe the nature of the data set 3) Analysis and methods section a) Interpret the statistical summaries i) Tell the reader what you have found in the data (results, facts only). ii) Explain what those findings mean with regard to the problem (interpret results). b) Design – describe the most important aspects of how the data was collected. 4) Conclusions and summary section a) What has the analysis revealed? How have your questions been answered? (Refers back to the questions of interest, problem statement, and/or hypothesis b) Why was the analysis done (Refer back to your background) c) What of value was discovered? (Any unexpected results) 5) References 6) Appendix Executive Summary Based on my analysis I was able to determine that the size of the bill has an effect on the number of days the bill is late. I was also able to determine that commercial and residential bills get paid at different times based on the amount of them. We can also say that with the slope of .0166 (residential) means for each increase of one unit in X, the Y is estimated to increase .0166 units. On the other side the commercial business the slope of -0.191 for each increase of one unit in x, the Y is estimated to increase -0.191. The regression analysis for commercial...
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...A Statistical Analysis of Case 32 Michael A. Wilson GM533 02/12/2012 INTRODUCTION The purpose of this analysis is to analyze the QSCA in determining if the amount or size of a bill is directly correlated to the number of days the bill is past due. In order to support the validity of this relationship, a statistical analysis of the data provided will support the relationship within 95% confidence levels. These findings should give a better understanding of the QSCA’s business and provide vital insight on the relationship between the data being evaluated. SUMMARY The focal point of this analysis is to determine whether or not the amount of the bill has an effect on the number of days the bill is late. This information will be extremely valuable for the business to develop higher efficiency and profitability within the account services team. In addition, the final output of the analysis can be applied to several situations, such as insights into customer trends like bill payments, financing, and the current economic impact on the bill collection business. This analysis will help confirm the importance of paying a bill on time and should be supported by the client services team in the management of bill collection. We are currently face with challenging economic times and the support of motivating clients to expedite their bill payments will help businesses and customer’s personal and internal finances. In order to validate the relationship between the amount of a bill...
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