Macroeconomic Factors and the Asymmetric Predictability of Conditional Variances

This paper investigates the predictability of the volatilities of large versus small firms. Using AR-GARCH models we show that there is symmetry in the ability of firms of different market values to predict conditional variances. Specifically, we show that volatility surprises of small (large) firms are important in predicting the conditional variance of large (small) firms. These results are different than those previously reported which indicate that there is an asymmetry in the predictability of the volatilities of large versus small firms. This predictive ability is still present when the equation of conditional variance includes state variables such as the default premium, dividend yield and the term premium. Finally, our results indicate that the pattern of symmetric predictability is present in both pre- and post-war sample periods.     

Correcting for biases when estimating production functions: an illusion of the laws of algebra?

This paper shows that the endogeneity bias that allegedly appearswhen estimating production functions using value data, and whichthe literature has tried to deal with since the 1940s, is simplythe result of omitted-variable bias due to a poor approximationto an accounting identity. This problem has no econometric solution.As a result, recent attempts to solve the problem by developingnew estimators are questioned. The only possible way to estimatethe technological parameters of the production function is touse physical quantities.     

ICT-specific technological progress in the United Kingdom

This paper analyses the impact of rapid technological change in the information and communications technology (ICT) sector on economic growth in the United Kingdom. We find that technological progress specific to the ICT sector accounts for around 20–30% of long-run labor productivity growth. We demonstrate that a permanent increase in the growth rate of ICT-specific technological progress will increase the investment expenditure share of GDP but lower the aggregate depreciation rate, while an increase in the return to investment in ICT will increase both the expenditure share and the depreciation rate.     

Bank consolidation and new business formation

As the trend of bank consolidation activities continues to grow in the US and globally, the debate on the impact of such consolidation on small business credits and activities are still inconclusive. Building on the existing research [Berger, A.N., Saunders, A., Scalise, J.M., Udell, G.F., 1998. The effects of bank mergers and acquisitions on small business lending. Journal of Financial Economics 50, 187–229]; [Black, S.E., Strahan, P.E., 2002. Entrepreneurship and bank credit availability. Journal of Finance LVII (6), 2807–2833], this paper investigates the effects of the actual intensity of bank consolidation on the formation of new businesses in the US local markets. Evidence portrays that in the short-run, the overall intensity of bank consolidation is negatively related to the rate of new business formation, and this negative relationship is primarily driven by consolidations initiated by large acquirers. On the contrary, consolidations between small-to-medium sized banks show a positive impact on new business development and these results are consistent even when the M&As are distinguished with respect to in-market or out-of-market acquirers initiating the deals. However, two years after the consolidations, the evidence reveals a positive and significant impact on the rate of new business formation in the local markets for consolidations initiated by large in-market acquirers.     

Stock returns,inflation and interest rates in the United Kingdom

The Fisherian theory of interest asserts that a fully perceived change in inflation would be reflected in nominal interest rates and stock returns in the same direction in the long run. This paper examines the Fisherian hypothesis of asset returns using alternative techniques of linear regression, and vector error correction models to examine the nature of the relationship between stock returns and inflation in the UK. Consistent with the Fisherian hypothesis, empirical evidence in the linear regression model suggests a positive and statistically significant relationship between stock returns and inflation, which regards common stock as a good hedge against inflation. The results based on the unit root and cointegration tests indicate a long-run reliable relationship between price levels, share prices, and interest rates which could be interpreted as the long-run determinants of stock returns. The findings also suggest a bidirectional relationship between stock returns and inflation. The evidence of a significant Fisher effect is robust across model specifications.     

Ontology-based approach for identifying the credibility domain in social Big Data

ABSTRACT

The challenge of managing and extracting useful knowledge from social media data sources has attracted much attention from academics and industry. To address this challenge, semantic analysis of textual data is focused on in this paper. We propose an ontology-based approach to extract semantics of textual data and define the domain of data. In other words, we semantically analyze the social data at two levels: the entity level and the domain level. We have chosen Twitter as a social channel for the purpose of concept proof. Ontologies are used to capture domain knowledge and to enrich the semantics of tweets, by providing specific conceptual representation of entities that appear in the tweets. Case studies are used to demonstrate this approach. We experiment and evaluate our proposed approach with a public dataset collected from Twitter and from the politics domain. The ontology-based approach leverages entity extraction and concept mappings in terms of quantity and accuracy of concept identification.     

The effects of two directions of conflict and facilitation on frontline employees’ job outcomes

This study investigated the effects of two directions of conflict and facilitation simultaneously on job performance, job satisfaction, and affective organisational commitment based on data obtained from frontline hotel employees in Northern Cyprus. As expected, family–work conflict dimished job performance, while family–work facilitation enhanced job performance. Contrary to our prediction, conflict between work and family domains intensified job performance. The results of the path analysis revealed that work–family facilitation increased job satisfaction, while family–work facilitation triggered affective organisational commitment. The findings pertaining to the relationships between job performance, job satisfaction, and affective organisational commitment were in the hypothesised directions. Also, the results of the confirmatory factor analysis demonstrated that the four-factor model that consisted of work–family conflict, family–work conflict, work–family facilitation, and family–work facilitation was superior compared with other models tested. Implications of the empirical findings and their future research directions are discussed in our study.     

The process of technical change in UK manufacturing

This paper tests the validity of the Fisher hypothesis, which establishes a positive relation between interest rates and expected inflation, for the G7 countries and 45 developing economies. For this purpose, we estimate a version of the GARCH specification of the hypothesis for all countries included in the sample. We also test the augmented Fisher relation by including the inflation uncertainty in the equation. The simple Fisher relation holds in all G7 countries but in only 23 developing countries. There is a positive and statistically significant relationship between interest rates and inflation uncertainty for six of the G7 and 18 of the developing countries and this relationship is negative for seven developing countries.     

The prices of silver and exchange rates in a metallic monetary system—the cases of India and Iran

Using the notion of co-integration theory and a vector error correction modelling approach, this paper examines in retrospect the long-run relationship between the exchange rate of silver-based currencies and the intrinsic value of silver in India and Iran in a bivariate model. The results based on unit root and co-integration tests indicate a reliable long-run relationship between the price of silver and the exchange rate of silver-based currencies. Our findings also suggest a bi-directional relationship between the price of silver and exchange rate of pound per rupee in the case of India and a feedback relationship between the intrinsic value of qiran and the exchange rate of pound per qiran in the case of Iran.