Exchange rate volatility–economic growth nexus in Uganda

The global financial crisis has disrupted trade and capital flows in most developing economies, resulting in an increased volatility of exchange rates. We develop an autoregressive distributed lag model to investigate the effect of exchange rate volatility on economic growth in Uganda. Using data spanning the period 1960–2011, we find that exchange rate volatility positively affects economic growth in Uganda in both the short run and the long run. However, in the short run, political instability negatively moderates the exchange rate volatility–economic growth nexus. These results are robust to alternative specifications of the economic growth model.     

Interest rate,size and book-to-market effects in Australian financial firms

The Fama–French three-factor model (1993) has been extensively used to study the pricing of nonfinancial stocks. This study provides the first examination of the pricing of Australian financial stocks using the Fama–French framework. The four-factor model (market, size, book-to-market and momentum) augmented with the level, slope and curvature of the interest rate term structure is used to examine the pricing of Australian financial stocks. The interest rate factors have not been previously considered for pricing Australian stocks within the Fama–French framework. Consistent with US evidence, we use a system-based estimation to show that the size and book-to-market factors are not priced in the cross section of the equity returns of Australian financial stocks. Momentum and term spread are priced in the equity returns of both financial and nonfinancial stocks. These findings are robust to the inclusion of control variables such as default spread, the inflation rate and a dummy variable for the global financial crisis.     

Heterogeneous Treatment Under Regression Discontinuity Design: Application to Female High School Enrolment

This paper undertakes a regression discontinuity (RD) framework with multiple cutoffs unlike typical RD setting where researchers normalize the score variable and pool all the observations. This paper explores this heterogeneity in the effect of Islamic mayor on female secular high schooling in Turkey using the multiple cutoff RD framework developed in Cattaneo et al. (2016). The presence of many parties in the 1994 municipality election in Turkey means that vote share of the strongest opponent party can vary substantially leading to different cutoffs. Meyersson (2014) finds that Islamic mayors of 1994 promoted female high schooling using a normalized and pooled RD framework, which averages the effect across all the different cutoffs. We extend his work by segregating the effect of Islamic mayor across different opponent party's vote shares. Our results suggest that the positive effect on female secular high school attainment was more pronounced in municipalities where the strongest opponent party was secular than where the opponent was conservative. This heterogeneity can be attributed to a policy change in 1999, which restricted religious high school graduates from entering universities.     

Does bank efficiency matter? Market value relevance of bank efficiency in Australia

The stochastic frontier analysis is employed to investigate efficiency of publicly listed Australian banks over the period 1985 to 2008. The results suggest that technical, cost and profit efficiency of Australian banks have improved over time. Large banks have attained a higher level of cost efficiency but a lower level of technical efficiency compared to small banks. No substantial difference between the two groups is found in terms of profit efficiency. A panel regression of bank stock return on bank efficiency suggests that an improvement in technical, cost or profit efficiency contributes to the market value of a bank. Thus, the shareholder wealth maximization goal is aligned with the goal of maximizing bank efficiency in the Australian context.     

Measuring Market Power in the Integrated Malaysian Poultry Industry: New Empirical Industrial Organization Approach

This article examines the level of competition that prevails in the Malaysian poultry markets by using the new empirical industrial organization methodology. We follow the Bresnahan (1982) and Lau (1982) oligopoly model, which allows the identification of market power using aggregated time-series data. The methodology involves the estimation of demand and supply equations for the identification of the parameters measuring the degree of market power. This study uses annual data from 1980–2010 to estimate the demand and supply equations of the poultry market in Malaysia. The estimation results show that the demand for chicken meat is inelastic (?0.124), indicating that consumers are not sensitive to price change. On the other hand, income is elastic at 3.636, implying that poultry meat is a luxury. The cross-price elasticity with respect to beef is ?2.405, rejecting beef as a substitute to chicken meat in Malaysia. The coefficient of conduct parameters for the three subperiods of 1980–1990, 1991–2004, and 2005–2010 measuring market power are 0.6740, 0.5540, and 0.5790, respectively. The results indicate imperfect competitive market in the poultry industry as more farmers opt to join poultry integrators.     

Short‐Horizon Return Predictability in International Equity Markets

This study measures the degree of short‐horizon return predictability of 50 international equity markets and examines how its variation is related to the indicators of equity market development. Two multiple‐horizon variance ratio tests are employed to measure the degree of return predictability. We find evidence that return predictability is negatively correlated with publicly available indicators of equity market development. Our cross‐sectional regression analysis shows that the per capita gross domestic product, market turnover, investor protection, and absence of short‐selling restrictions are correlated with cross‐market variations in return predictability.     

Seasonal models of peak electric load demand

Energy consumption in a pilgrim city belonging to a Gulf Cooperation Council (GCC) country exhibits strong seasonal pattern due to higher demand in summer season and additional load during the pilgrimage months. The pilgrimage month's timing is not fixed in the Gregorian calendar. The event varies according to the lunar calendar called the Hegira calendar, which lags behind the former by approximately 14 days in a year. Ten seasonal demand models are developed to model energy estimate for a GCC pilgrimage city. Among the long-range forecast models, three trigonometric models, a multiplicative model, and a multivariate model using categorical variables are considered. Further, a composite nonlinear model whose coefficients are nonlinear is suggested. This model combines the seasonality extracted from a multivariate regression model and a model that represents the peak electric load pattern. Adopting least square fit of a chi-square error function expanded by parabolic expansion, the parameters of the nonlinear model are identified. Moreover, smoothing-based techniques, such as moving average, double exponential smoothing, Winter's, and a multiplicative seasonal model, are suggested. The peak electric load model on lunar and solar calendars is closely related, and the deference in fitting error can be attributed to the magnitude of data. Computational results and statistical tests are presented to analyze the models. It is observed that the multiplicative model performs better to predict the peak electric load demand.     

WEALTH ACCUMULATION OF CANADIAN AND FOREIGN-BORN HOUSEHOLDS IN CANADA

This study focuses on the role of foreign-born households in Canada's asset market. An empirical analysis of wealth accumulation is conducted for a large sample of Canadian households circa 1977–84. This study period reflects a change in Canada's immigration policy which resulted in immigration Rows switching from Europe to Asia. A life-cycle framework is used to examine wealth accumulation behaviour of the foreign-born vis-à-vis Canadian-born households. The empirical results confirm the existence of an inverted 'U'-shaped wealth-age profile for both Canadian and immigrant households. However, the 1977 results show that the rate of wealth accumulation is higher for the immigrant household than the Canadian-born household in pre-retirement years, while the 1984 results reveal the opposite. After retirement, the rate of wealth dissipation is slower for Canadians than for foreign-born households. Only the 1984 results indicate that public social security wealth displaces household savings for both the Canadian-born and the foreign-born by a small amount. Finally, an immigrant household exhibits a stronger transfer motive within a family than a Canadian-born household regardless of year tested.