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  Subjects -> BUSINESS AND ECONOMICS (Total: 3182 journals)
    - ACCOUNTING (97 journals)
    - BANKING AND FINANCE (270 journals)
    - BUSINESS AND ECONOMICS (1165 journals)
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    - ECONOMIC SCIENCES: GENERAL (175 journals)
    - ECONOMIC SYSTEMS, THEORIES AND HISTORY (190 journals)
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    - INSURANCE (24 journals)
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    - MICROECONOMICS (24 journals)
    - PRODUCTION OF GOODS AND SERVICES (138 journals)
    - PUBLIC FINANCE, TAXATION (35 journals)
    - TRADE AND INDUSTRIAL DIRECTORIES (2 journals)

BUSINESS AND ECONOMICS (1165 journals)                  1 2 3 4 5 6 | Last

Showing 1 - 200 of 1566 Journals sorted alphabetically
4OR: A Quarterly Journal of Operations Research     Hybrid Journal   (Followers: 10)
Abacus     Hybrid Journal   (Followers: 13)
Accounting Forum     Hybrid Journal   (Followers: 25)
Acta Amazonica     Open Access   (Followers: 5)
Acta Commercii     Open Access   (Followers: 4)
Acta Oeconomica     Full-text available via subscription   (Followers: 2)
Acta Scientiarum. Human and Social Sciences     Open Access   (Followers: 7)
Acta Universitatis Danubius. Œconomica     Open Access   (Followers: 3)
Acta Universitatis Nicolai Copernici Zarządzanie     Open Access   (Followers: 4)
AD-minister     Open Access   (Followers: 3)
ADR Bulletin     Open Access   (Followers: 6)
Advances in Developing Human Resources     Hybrid Journal   (Followers: 23)
Advances in Economics and Business     Open Access   (Followers: 11)
AfricaGrowth Agenda     Full-text available via subscription   (Followers: 1)
African Affairs     Hybrid Journal   (Followers: 61)
African Development Review     Hybrid Journal   (Followers: 33)
African Journal of Business and Economic Research     Full-text available via subscription   (Followers: 3)
African Journal of Business Ethics     Open Access   (Followers: 6)
African Review of Economics and Finance     Open Access   (Followers: 3)
Afro-Asian Journal of Finance and Accounting     Hybrid Journal   (Followers: 7)
Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi     Open Access   (Followers: 3)
Agronomy     Open Access   (Followers: 11)
Akademika : Journal of Southeast Asia Social Sciences and Humanities     Open Access   (Followers: 6)
Alphanumeric Journal : The Journal of Operations Research, Statistics, Econometrics and Management Information Systems     Open Access   (Followers: 5)
American Economic Journal : Applied Economics     Full-text available via subscription   (Followers: 179)
American Journal of Business     Hybrid Journal   (Followers: 16)
American Journal of Business and Management     Open Access   (Followers: 53)
American Journal of Business Education     Open Access   (Followers: 10)
American Journal of Economics and Business Administration     Open Access   (Followers: 26)
American Journal of Economics and Sociology     Hybrid Journal   (Followers: 29)
American Journal of Evaluation     Hybrid Journal   (Followers: 14)
American Journal of Finance and Accounting     Hybrid Journal   (Followers: 21)
American Journal of Health Economics     Full-text available via subscription   (Followers: 13)
American Journal of Industrial and Business Management     Open Access   (Followers: 23)
American Journal of Medical Quality     Hybrid Journal   (Followers: 7)
American Law and Economics Review     Hybrid Journal   (Followers: 28)
ANALES de la Universidad Central del Ecuador     Open Access   (Followers: 2)
Annales de l'Institut Henri Poincare (C) Non Linear Analysis     Full-text available via subscription   (Followers: 1)
Annals in Social Responsibility     Full-text available via subscription  
Annals of Finance     Hybrid Journal   (Followers: 28)
Annals of Operations Research     Hybrid Journal   (Followers: 10)
Annual Review of Economics     Full-text available via subscription   (Followers: 32)
Applied Developmental Science     Hybrid Journal   (Followers: 3)
Applied Economics     Hybrid Journal   (Followers: 46)
Applied Economics Letters     Hybrid Journal   (Followers: 29)
Applied Economics Quarterly     Full-text available via subscription   (Followers: 10)
Applied Financial Economics     Hybrid Journal   (Followers: 24)
Applied Mathematical Finance     Hybrid Journal   (Followers: 7)
Applied Stochastic Models in Business and Industry     Hybrid Journal   (Followers: 5)
Arab Economic and Business Journal     Open Access   (Followers: 3)
Archives of Business Research     Open Access   (Followers: 6)
Arena Journal     Full-text available via subscription   (Followers: 1)
Argomenti. Rivista di economia, cultura e ricerca sociale     Open Access   (Followers: 3)
ASEAN Economic Bulletin     Full-text available via subscription   (Followers: 5)
Asia Pacific Business Review     Hybrid Journal   (Followers: 6)
Asia Pacific Journal of Human Resources     Hybrid Journal   (Followers: 327)
Asia Pacific Viewpoint     Hybrid Journal   (Followers: 1)
Asia-Pacific Journal of Business Administration     Hybrid Journal   (Followers: 3)
Asia-Pacific Journal of Operational Research     Hybrid Journal   (Followers: 3)
Asia-Pacific Management and Business Application     Open Access  
Asian Business Review     Open Access   (Followers: 2)
Asian Case Research Journal     Hybrid Journal   (Followers: 1)
Asian Development Review     Open Access   (Followers: 14)
Asian Economic Journal     Hybrid Journal   (Followers: 8)
Asian Economic Papers     Hybrid Journal   (Followers: 7)
Asian Economic Policy Review     Hybrid Journal   (Followers: 4)
Asian Journal of Accounting and Governance     Open Access   (Followers: 3)
Asian Journal of Business Ethics     Hybrid Journal   (Followers: 8)
Asian Journal of Social Sciences and Management Studies     Open Access   (Followers: 6)
Asian Journal of Sustainability and Social Responsibility     Open Access   (Followers: 1)
Asian Journal of Technology Innovation     Hybrid Journal   (Followers: 8)
Asian-pacific Economic Literature     Hybrid Journal   (Followers: 5)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5)
Atlantic Economic Journal     Hybrid Journal   (Followers: 10)
Australasian Journal of Regional Studies, The     Full-text available via subscription   (Followers: 1)
Australian Cottongrower, The     Full-text available via subscription   (Followers: 1)
Australian Economic Papers     Hybrid Journal   (Followers: 31)
Australian Economic Review     Hybrid Journal   (Followers: 6)
Australian Journal of Maritime and Ocean Affairs     Hybrid Journal   (Followers: 9)
Balkan Region Conference on Engineering and Business Education     Open Access   (Followers: 1)
Baltic Journal of Real Estate Economics and Construction Management     Open Access   (Followers: 2)
Banks in Insurance Report     Hybrid Journal   (Followers: 1)
BBR - Brazilian Business Review     Open Access   (Followers: 4)
Benchmarking : An International Journal     Hybrid Journal   (Followers: 10)
Benefit : Jurnal Manajemen dan Bisnis     Open Access  
BER : Consumer Confidence Survey     Full-text available via subscription   (Followers: 4)
BER : Economic Prospects : An Executive Summary     Full-text available via subscription  
BER : Economic Prospects : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Intermediate Goods Industries Survey     Full-text available via subscription   (Followers: 1)
BER : Manufacturing Survey : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Motor Trade Survey     Full-text available via subscription   (Followers: 1)
BER : Retail Sector Survey     Full-text available via subscription   (Followers: 2)
BER : Retail Survey : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Survey of Business Conditions in Building and Construction : An Executive Summary     Full-text available via subscription   (Followers: 4)
BER : Survey of Business Conditions in Manufacturing : An Executive Summary     Full-text available via subscription   (Followers: 3)
BER : Survey of Business Conditions in Retail : An Executive Summary     Full-text available via subscription   (Followers: 4)
BER : Trends : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Wholesale Sector Survey     Full-text available via subscription   (Followers: 1)
Berkeley Business Law Journal     Free   (Followers: 10)
Bio-based and Applied Economics     Open Access   (Followers: 1)
Biodegradation     Hybrid Journal   (Followers: 1)
Biology Direct     Open Access   (Followers: 7)
Black Enterprise     Full-text available via subscription  
Board & Administrator for Administrators only     Hybrid Journal  
Border Crossing : Transnational Working Papers     Open Access   (Followers: 2)
Briefings in Real Estate Finance     Hybrid Journal   (Followers: 5)
British Journal of Industrial Relations     Hybrid Journal   (Followers: 34)
Brookings Papers on Economic Activity     Open Access   (Followers: 49)
Brookings Trade Forum     Full-text available via subscription   (Followers: 3)
BRQ Business Research Quarterly     Open Access   (Followers: 2)
Building Sustainable Legacies : The New Frontier Of Societal Value Co-Creation     Full-text available via subscription   (Followers: 1)
Bulletin of Economic Research     Hybrid Journal   (Followers: 17)
Bulletin of Geography. Socio-economic Series     Open Access   (Followers: 7)
Bulletin of Indonesian Economic Studies     Hybrid Journal   (Followers: 3)
Bulletin of the Dnipropetrovsk University. Series : Management of Innovations     Open Access   (Followers: 1)
Business & Entrepreneurship Journal     Open Access   (Followers: 18)
Business & Information Systems Engineering     Hybrid Journal   (Followers: 5)
Business & Society     Hybrid Journal   (Followers: 9)
Business : Theory and Practice / Verslas : Teorija ir Praktika     Open Access   (Followers: 1)
Business and Economic Research     Open Access   (Followers: 6)
Business and Management Horizons     Open Access   (Followers: 12)
Business and Management Research     Open Access   (Followers: 19)
Business and Management Studies     Open Access   (Followers: 10)
Business and Politics     Hybrid Journal   (Followers: 8)
Business and Professional Communication Quarterly     Hybrid Journal   (Followers: 7)
Business and Society Review     Hybrid Journal   (Followers: 5)
Business Economics     Hybrid Journal   (Followers: 8)
Business Ethics: A European Review     Hybrid Journal   (Followers: 17)
Business Horizons     Hybrid Journal   (Followers: 7)
Business Information Review     Hybrid Journal   (Followers: 14)
Business Management and Strategy     Open Access   (Followers: 43)
Business Research     Hybrid Journal   (Followers: 2)
Business Strategy and the Environment     Hybrid Journal   (Followers: 13)
Business Strategy Review     Hybrid Journal   (Followers: 7)
Business Strategy Series     Hybrid Journal   (Followers: 6)
Business Systems & Economics     Open Access   (Followers: 2)
Business Systems Research Journal     Open Access   (Followers: 5)
Business, Management and Education     Open Access   (Followers: 18)
Business, Peace and Sustainable Development     Full-text available via subscription   (Followers: 3)
Bustan     Hybrid Journal   (Followers: 1)
Cadernos EBAPE.BR     Open Access   (Followers: 1)
Cambridge Journal of Economics     Hybrid Journal   (Followers: 59)
Cambridge Journal of Regions, Economy and Society     Hybrid Journal   (Followers: 10)
Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l Administration     Hybrid Journal   (Followers: 1)
Canadian Journal of Economics/Revue Canadienne d`Economique     Hybrid Journal   (Followers: 29)
Canadian journal of nonprofit and social economy research     Open Access   (Followers: 2)
Capitalism and Society     Hybrid Journal   (Followers: 2)
Capitalism Nature Socialism     Hybrid Journal   (Followers: 16)
Case Studies in Business and Management     Open Access   (Followers: 10)
CBU International Conference Proceedings     Open Access   (Followers: 1)
Central European Business Review     Open Access   (Followers: 1)
Central European Journal of Operations Research     Hybrid Journal   (Followers: 5)
Central European Journal of Public Policy     Open Access   (Followers: 2)
CESifo Economic Studies     Hybrid Journal   (Followers: 17)
Chain Reaction     Full-text available via subscription  
Challenge     Full-text available via subscription   (Followers: 4)
China & World Economy     Hybrid Journal   (Followers: 15)
China : An International Journal     Full-text available via subscription   (Followers: 19)
China Economic Journal: The Official Journal of the China Center for Economic Research (CCER) at Peking University     Hybrid Journal   (Followers: 12)
China Economic Review     Hybrid Journal   (Followers: 8)
China Finance Review International     Hybrid Journal   (Followers: 5)
China Nonprofit Review     Hybrid Journal   (Followers: 3)
China perspectives     Open Access   (Followers: 12)
Chinese Economy     Full-text available via subscription  
Ciência & Saúde Coletiva     Open Access   (Followers: 2)
CLIO América     Open Access   (Followers: 1)
Cliometrica     Hybrid Journal   (Followers: 4)
COEPTUM     Open Access  
Community Development Journal     Hybrid Journal   (Followers: 25)
Compensation & Benefits Review     Hybrid Journal   (Followers: 7)
Competition & Change     Hybrid Journal   (Followers: 10)
Competitive Intelligence Review     Hybrid Journal   (Followers: 2)
Competitiveness Review : An International Business Journal incorporating Journal of Global Competitiveness     Hybrid Journal   (Followers: 6)
Computational Economics     Hybrid Journal   (Followers: 9)
Computational Mathematics and Modeling     Hybrid Journal   (Followers: 8)
Computer Law & Security Review     Hybrid Journal   (Followers: 16)
Computers & Operations Research     Hybrid Journal   (Followers: 12)
Construction Innovation: Information, Process, Management     Hybrid Journal   (Followers: 14)
Contemporary Wales     Full-text available via subscription   (Followers: 3)
Contextus - Revista Contemporânea de Economia e Gestão     Open Access   (Followers: 1)
Contributions to Political Economy     Hybrid Journal   (Followers: 5)
Corporate Communications An International Journal     Hybrid Journal   (Followers: 7)
Corporate Philanthropy Report     Hybrid Journal   (Followers: 2)
Corporate Reputation Review     Hybrid Journal   (Followers: 4)
Creative and Knowledge Society     Open Access   (Followers: 10)
Creative Industries Journal     Hybrid Journal   (Followers: 9)
CRIS - Bulletin of the Centre for Research and Interdisciplinary Study     Open Access   (Followers: 1)
Crossing the Border : International Journal of Interdisciplinary Studies     Open Access   (Followers: 4)
Cuadernos de Administración (Universidad del Valle)     Open Access   (Followers: 2)
Cuadernos de Economía     Open Access   (Followers: 2)
Cuadernos de Economia - Latin American Journal of Economics     Open Access   (Followers: 2)
Cuadernos de Estudios Empresariales     Open Access   (Followers: 2)
Current Opinion in Creativity, Innovation and Entrepreneurship     Open Access   (Followers: 10)
De Economist     Hybrid Journal   (Followers: 12)
Decision Analysis     Full-text available via subscription   (Followers: 10)
Decision Sciences     Hybrid Journal   (Followers: 18)
Decision Support Systems     Hybrid Journal   (Followers: 16)
Defence and Peace Economics     Hybrid Journal   (Followers: 16)
der markt     Hybrid Journal   (Followers: 1)
Desenvolvimento em Questão     Open Access  

        1 2 3 4 5 6 | Last

Journal Cover Computational Economics
  [SJR: 0.24]   [H-I: 30]   [9 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1572-9974 - ISSN (Online) 0927-7099
   Published by Springer-Verlag Homepage  [2355 journals]
  • A Network Analysis of the United Kingdom’s Consumer Price Index
    • Authors: Georgios Antonios Sarantitis; Theophilos Papadimitriou; Periklis Gogas
      Pages: 173 - 193
      Abstract: In this paper we model the United Kingdom’s Consumer Price Index as a complex network and we apply clustering and optimization techniques to study the network evolution through time. By doing this, we provide a dynamic, multi-level analysis of the mechanism that drives inflation in the U.K. We find that the CPI classes’ network exhibits an evolving topology through time which depends substantially on the prevailing economic conditions in the U.K. We identify non-overlapping communities of these CPI classes and we observe that they do not correspond to the actual categories they belong to; a finding that suggests that diverse forces are driving the inter-relations of the CPI classes which are stronger between categories rather than within them. Finally, we construct a reduced version of the U.K. CPI that fulfills the core inflation measure criteria and can possibly be used as an appropriate measure of the underlying inflation in the U.K. Since this new measure makes use of only 14 out of the 85 U.K. CPI classes, it can be used to complement the Bank of England’s arsenal of core inflation measures without the need for further resource allocation.
      PubDate: 2018-02-01
      DOI: 10.1007/s10614-016-9625-9
      Issue No: Vol. 51, No. 2 (2018)
       
  • State and Network Structures of Stock Markets Around the Global Financial
           Crisis
    • Authors: Jae Woo Lee; Ashadun Nobi
      Pages: 195 - 210
      Abstract: We consider the effects of the 2008 global financial crisis on the global stock market before, during, and after the crisis. We generate complex networks from a cross-correlation matrix such as the threshold network (TN) and the minimal spanning tree (MST). In the threshold network, we assign a threshold value by using the mean and standard deviation of cross-correlation coefficients. When the threshold is equal to the mean of these coefficients, we observe a giant cluster composed of three economic zones in all three periods. We find that during the crisis, the countries in the Asian zone were weakly connected and those in the American zone were tightly linked to the countries in the European zone. At a large threshold, the three economic zones were fragmented. The European countries connected tightly, but the Asian countries bound weakly. The MST constructed from the distance matrix. In the MST, France remained a hub node in all three periods. The size of the MST shrank slightly during the crisis. We observe a scaling relation between the network distance of nodes from the central hub (France) and the geometrical distance. We observe the topological change of the financial network structure during the global financial crisis. The TN and MST are complementary roles to understand the connecting structure of financial complex networks. The TN reveals to observe the clustering effects and robustness of the cluster during the financial crisis. The MST shows the central hub and connecting node among the economic zones.
      PubDate: 2018-02-01
      DOI: 10.1007/s10614-017-9672-x
      Issue No: Vol. 51, No. 2 (2018)
       
  • Systemic Risk on Trade Credit Systems: with the Tangible
           Interconnectedness
    • Authors: Jisang Lee; Duk Hee Lee; Sung-Guan Yun
      Pages: 211 - 226
      Abstract: Using the unique data set of all the transactions with trade credit via 17 major banks in Korea during 2008–2012, we investigate the relationship between the network structure and the contagion of failures in the financial network. Due to the difference of terms between two types of trade credits in Korea, Account Receivable Financing and Supplier Loan, a non-trivial directed network of banks and firms can be formulated. With respect to this trade credit network (TCN), we propose a measure for systemic risk on liquidity channels by calculating the monthly potential risk of liquidity shortage in the worst-case scenarios and show some comparisons with the basic network characteristics. Results claim that the PageRank centralities of individual banks have significant positive impact on the level of systemic risk. More on, degrees of nodes in TCN follows power-law distributions and the network heterogeneity of given month also has significant positive impact on the risk level: that is, the high degree of imbalance in the liquidity channel implies the severe systemic shortage of the liquidity in the worst-case.
      PubDate: 2018-02-01
      DOI: 10.1007/s10614-016-9632-x
      Issue No: Vol. 51, No. 2 (2018)
       
  • Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching
           Approach
    • Authors: Kaihua Deng
      Pages: 227 - 262
      Abstract: The paper revisits the question of how stock return comovement varies with volatility and market returns. I propose an eigenvalue-based measure of comovement implied by the state-dependent correlation matrix estimated using a novel multivariate semi-Markov-switching approach. I show that compared to a basic Markov-switching structure the refined model performs very well in terms of capturing the well-known stylized facts of stock returns such as volatility clustering. With a focus on large-cap stocks, I illustrate the significance of comovement differential across states and document the different comovement patterns in different industries. Although the financial sector tends to conform to the conventional sentiment that comovement is highest when market is down and volatile, the conclusion should be tempered with caution when applied to other industries. In some cases, it is the high return state that registers the highest comovement.
      PubDate: 2018-02-01
      DOI: 10.1007/s10614-016-9596-x
      Issue No: Vol. 51, No. 2 (2018)
       
  • Artificial Momentum, Native Contrarian, and Transparency in China
    • Authors: Hung-Wen Lin; Mao-Wei Hung; Jing-Bo Huang
      Pages: 263 - 294
      Abstract: The Chinese stock market has a large ratio of retail investors, which is significantly different from the stock markets in the US and Europe. We have known that momentum profits exist in the latter by applying Jegadeesh and Titman’s (J Financ 48:65–91, 1993) model with 6-month formation and holding periods. However, there are only a few studies on momentum profits in China. Therefore, this study examines whether the Shanghai and Shenzhen stock markets produce momentum profits. We find that these two markets have significant contrarian but not momentum profits. We also create an “artificial momentum” portfolio and follow Bhattacharya et al. (Account Rev 78:641–678, 2003) to compute the transparency indices. Our outcomes show that the corporate transparencies of the winners (losers) in the artificial momentum portfolios are close to those in the commonly-defined momentum portfolios. The averages of the decile transparencies are between 4.5 and 6.5, not only for the top 10% of winners but also for the bottom 10% of losers. According to these results, we suggest that financial transparency is irrelevant to the inertia and reversal of stock prices in the Shanghai and Shenzhen stock markets.
      PubDate: 2018-02-01
      DOI: 10.1007/s10614-017-9699-z
      Issue No: Vol. 51, No. 2 (2018)
       
  • Estimation of Dynamic Mixed Hitting Time Model Using Characteristic
           Function Based Moments
    • Authors: Yogo Purwono; Irwan Adi Ekaputra; Zaäfri Ananto Husodo
      Pages: 295 - 321
      Abstract: We present a characteristic function-based method for the estimation of dynamic mixed hitting time model for duration between events and price changes. The model specifies duration between events as the first time a latent component of multivariate Brownian motion crosses a random boundary. Meanwhile, another (correlated) Brownian component generates the prices. The proposed estimation method facilitates computation and overcomes problems related to the discretization error in the moment conditions and the non-tractability in the joint probability density function. An empirical application using transaction level data on stocks of a large capitalization company traded on the Indonesia Stock Exchange is illustrated. Estimation results suggest that durations and return volatility have strong persistence and, further, there is a negative instantaneous relation between volatility and contemporaneous duration. The impact of considering the causality relation between volatilities and durations on instantaneous volatility estimate are also investigated.
      PubDate: 2018-02-01
      DOI: 10.1007/s10614-017-9692-6
      Issue No: Vol. 51, No. 2 (2018)
       
  • Sparse Bayesian Variable Selection with Correlation Prior for Forecasting
           Macroeconomic Variable using Highly Correlated Predictors
    • Authors: Aijun Yang; Ju Xiang; Lianjie Shu; Hongqiang Yang
      Pages: 323 - 338
      Abstract: In this paper, we propose an integrated sparse Bayesian variable selection in regressions with a large number of possibly highly correlated macroeconomic predictors. The variable selection is performed through the stochastic search variable selection technique. We assign a sparse prior distribution on the regression parameters and a correlation prior distribution for the binary vector. The performance of the proposed variable selection method is illustrated in forecasting one major macroeconomic time series of the US economy. Empirical results show that in terms of absolute forecast error and log predictive likelihood, our proposed method performs better than other three methods.
      PubDate: 2018-02-01
      DOI: 10.1007/s10614-017-9741-1
      Issue No: Vol. 51, No. 2 (2018)
       
  • Comparing Solution Methods for DSGE Models with Labor Market Search
    • Authors: Hong Lan
      Pages: 1 - 34
      Abstract: I compare the performance of solution methods in solving a standard real business cycle model with labor market search frictions. Under the conventional calibration, the model is solved by the projection method using the Chebyshev polynomials as its basis, and the perturbation methods up to third order in both levels and logs. Evaluated by two accuracy tests, the projection approximation achieves the highest degree of accuracy, closely followed by the third order perturbation in levels. Although different in accuracy, all the approximated solutions produce simulated moments similar in value.
      PubDate: 2018-01-01
      DOI: 10.1007/s10614-017-9670-z
      Issue No: Vol. 51, No. 1 (2018)
       
  • Where has All the Education Gone' Everywhere But into Growth
    • Authors: Hongchun Zhao; Yanjie Liu
      Pages: 35 - 74
      Abstract: Pritchett (World Bank Econ Rev 15(3):367–391, 2001) asked a famous question, “Where has all the education gone'” This brought the lack of correlation between the growth in measured education and the growth in income in developing countries to broad attention. Empirical findings confirm that after World War Two, human capital-output ratios have tended to be higher in less developed countries than in developed countries. We explain this pattern using a dynamic general equilibrium model with signaling games that explicitly considers the following: (1) workers with different abilities have different costs when choosing their educational levels, (2) employers are unable to directly observe workers’ abilities, and (3) worldwide governments broadly subsidize educational expenditure. Our simulation results suggest that modeling specifications with educational pooling and public subsidies to schooling could well mimic the related features of the data, and consequently these two factors could be especially important for explaining these features even though many other potential factors could also affect both economic growth and human capital accumulation simultaneously.
      PubDate: 2018-01-01
      DOI: 10.1007/s10614-016-9629-5
      Issue No: Vol. 51, No. 1 (2018)
       
  • Terms of Trade Shocks and Monetary Policy in India
    • Authors: Chetan Ghate; Sargam Gupta; Debdulal Mallick
      Pages: 75 - 121
      Abstract: Central banks in emerging market economies often grapple with understanding the monetary policy response to an inter-sectoral terms of trade shock. To address this, we develop a three sector closed economy NK-DSGE model calibrated to India. Our framework can be generalized to other emerging markets and developing economies. The model is characterized by a manufacturing sector and an agricultural sector. The agricultural sector is disaggregated into a grain and vegetable sector. The government procures grain from the grain market and stores it. We show that the procurement of grain leads to higher inflation, a change in the sectoral terms of trade, and a positive output gap because of a change in the sectoral allocation of labor. We compare the transmission of a single period positive procurement shock with a single period negative productivity shock and discuss the implications of such shocks for monetary policy setting. Our paper contributes to a growing literature on monetary policy in India and other emerging market economies.
      PubDate: 2018-01-01
      DOI: 10.1007/s10614-016-9630-z
      Issue No: Vol. 51, No. 1 (2018)
       
  • R&D-based Calibrated Growth Models with Finite-Length Patents: A Novel
           Relaxation Algorithm for Solving an Autonomous FDE System of Mixed Type
    • Authors: Hwan C. Lin; L. F. Shampine
      Pages: 123 - 158
      Abstract: The statutory patent length is 20 years in most countries. R&D-based growth models, however, often presume an infinite patent length. In this paper, finite-length patents are embedded in a non-scale R&D-based growth model, while allowing any patent’s effective life to be terminated prematurely, subject to two idiosyncratic hazards from imitation and creative destruction. This gives rise to an autonomous system of mixed-type functional differential equations (FDEs) that had never been encountered in the growth literature. Its dynamics are driven by current, delayed and advanced states. We present a relaxation algorithm to solve these FDEs by solving a sequence of standard boundary value problems for systems of ordinary differential equations. We use this algorithm to simulate a calibrated U.S. economy’s transitional dynamics by making discrete changes from the baseline 20 years patent length. We find that if transitional impacts are taken into account, the switch to the long-run optimal patent length can incur a welfare loss, albeit rather small.
      PubDate: 2018-01-01
      DOI: 10.1007/s10614-016-9597-9
      Issue No: Vol. 51, No. 1 (2018)
       
  • Investment Index Construction from Information Propagation Based on
           Transfer Entropy
    • Authors: Fujio Toriumi; Kazuki Komura
      Pages: 159 - 172
      Abstract: In recent years, the number of individual investors continues to increase in financial markets. However, the large information gap between individual and institutional investors unduly impairs individual investors, which may negatively influence the market. In this study, we propose a new investment index that focuses on the relationships among stocks to help manage the risk of individual investors. The relationships among stocks have often been analyzed by a cross-correlation matrix method. However, such methods are strongly influenced by irregular events, including drawdowns. Therefore, we employed a transfer entropy method to analyze the relationships among stocks. Transfer entropy is a sequence analysis method proposed by Schreiber that is robust for irregular events. First, we applied the partial correlation and transfer entropy methods to test the data and confirm robustness for unexpected events. Next, we generated stock-networks by transfer entropy that represents the relationships among stocks. Finally, we proposed an investment index that is calculated from stock-networks which are generated from transfer entropy. We compared the proposed investment index with long positions and obtained higher performance investment by our proposed method than with a long position.
      PubDate: 2018-01-01
      DOI: 10.1007/s10614-016-9618-8
      Issue No: Vol. 51, No. 1 (2018)
       
  • Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic
           Risk Perspective
    • Authors: Aki-Hiro Sato; Paolo Tasca; Takashi Isogai
      Abstract: We propose a simple model to simulate an interaction between banks and a financial market. In our model, banks are exposed to two sources of risks: market risk from their investments in assets external to the banking system and credit risk from lending in the interbank market. By and large, both risks increase during severe financial turmoil. In this scenario, the paper shows the conditions under which individual and the systemic defaults tend to coincide. This paper attempts to conduct a numerical simulation of banking ecosystems by using the actual values of financial items extracted from 89 Japanese banks’ balance sheets. From this numerical simulation, we confirm two points: (1) when financial market prices decrease due to crashes in a trend-followers-dominant market, banks lose their net worth coincidentally. Thus, the capital adequacy ratio decreases synchronously, and any bank may not provide other banks with money through the interbank markets. (2) In a contrarians-dominant or contrarians-predominant market, we observed mean-reverting fluctuations in market prices. Bankruptcies happen asynchronously, and market prices eventually decrease. However, other banks may provide the bank suffering from a shortage of assets with money through the interbank markets. We further compare the characteristics of the banking system in four types of market modes.
      PubDate: 2018-02-05
      DOI: 10.1007/s10614-018-9792-y
       
  • Big Data, Scarce Attention and Decision-Making Quality
    • Authors: Tongkui Yu; Shu-Heng Chen
      Abstract: Big data technology enables us to access tremendous amounts of information; however, individuals cannot process all available information due to the bounded attention. The impact of this tension upon information seeking and processing behaviors and the resultant decision-making quality is still unclear. By agent-based simulation, we explicitly model the endogenous information choice in a sequential decision-making process, where individuals choose independently how much information and what type of information (shallow information such as the popularity a product, or deep information such as the expected utility of a product) is to be used. It is found that when the information is costly, only a small part of the individuals use deep information and only limited pieces of it, and other individuals simply follow the majority choice. The decrease in the cost of of information cost due to big data can encourage individuals to make use of more information, resulting in a better overall decision quality. However, if the big data only reduces the cost of shallow information but not that of the deep information, the decision quality is diminished because more individuals are induced to adopt the herding strategy.
      PubDate: 2018-02-03
      DOI: 10.1007/s10614-018-9798-5
       
  • A New Prediction Model Based on Cascade NN for Wind Power Prediction
    • Authors: Amirhosein Torabi; Sayyed Ali Kiaian Mousavy; Vahideh Dashti; Mohammadhossein Saeedi; Nasser Yousefi
      Abstract: This paper presents a new prediction model based on empirical mode decomposition, feature selection and hybrid forecast engine. The whole structure of proposed model is based on nonstationarity and non-convex nature of wind power signal. The hybrid forecast engine consists of three main stages as; empirical mode decomposition, an intelligent algorithm and three stage neural network. All parameters of proposed neural network will be optimized by intelligent algorithm. Effectiveness of the proposed model is tested with real-world hourly data of wind farms in Canada, Spain and Texas. In order to demonstrate the validity of the proposed model, it is compared with several other wind speed and power forecast techniques where, different prediction horizons are considered from day-ahead to one week forecasting. Obtained results confirm the validity of the developed approach in prediction model for different forecast horizons.
      PubDate: 2018-01-18
      DOI: 10.1007/s10614-018-9795-8
       
  • Forecasting Inflation Uncertainty in the United States and Euro Area
    • Authors: Zied Ftiti; Fredj Jawadi
      Abstract: This study forecasts a particular type of economic uncertainty (inflation uncertainty) in the United States and Euro Area over 1997–2017. By using monthly data, we compute inflation uncertainty based on three models: symmetric and asymmetric generalized autoregressive conditional heteroscedasticity models and a stochastic volatility model. While the first two provide symmetric and asymmetric measures of inflation uncertainty, respectively, the third measure offers greater flexibility when measuring uncertainty. The analysis of the out-of-sample forecasts for inflation uncertainty shows the superiority of the stochastic volatility model for forecasting the dynamics of inflation uncertainty in both the short (1 year) and medium (4 years) terms. This finding is particularly interesting, as it allows researchers to better estimate the main inflation cost, namely inflation uncertainty, as well as its effect on the real economy.
      PubDate: 2018-01-16
      DOI: 10.1007/s10614-018-9794-9
       
  • Systematic Sensitivity Analysis of the Full Economic Impacts of Sea Level
           Rise
    • Authors: T. Chatzivasileiadis; F. Estrada; M. W. Hofkes; R. S. J. Tol
      Abstract: The potential impacts of sea level rise (SLR) due to climate change have been widely studied in the literature. However, the uncertainty and robustness of these estimates has seldom been explored. Here we assess the model input uncertainty regarding the wide effects of SLR on marine navigation from a global economic perspective. We systematically assess the robustness of computable general equilibrium (CGE) estimates to model’s inputs uncertainty. Monte Carlo (MC) and Gaussian quadrature (GQ) methods are used for conducting a Systematic sensitivity analysis (SSA). This design allows to both explore the sensitivity of the CGE model and to compare the MC and GQ methods. Results show that, regardless whether triangular or piecewise linear Probability distributions are used, the welfare losses are higher in the MC SSA than in the original deterministic simulation. This indicates that the CGE economic literature has potentially underestimated the total economic effects of SLR, thus stressing the necessity of SSA when simulating the general equilibrium effects of SLR. The uncertainty decomposition shows that land losses have a smaller effect compared to capital and seaport productivity losses. Capital losses seem to affect the developed regions GDP more than the productivity losses do. Moreover, we show the uncertainty decomposition of the MC results and discuss the convergence of the MC results for a decomposed version of the CGE model. This paper aims to provide standardised guidelines for stochastic simulation in the context of CGE modelling that could be useful for researchers in similar settings.
      PubDate: 2018-01-13
      DOI: 10.1007/s10614-017-9789-y
       
  • A Practical Approach to Testing Calibration Strategies
    • Authors: Yongquan Cao; Grey Gordon
      Abstract: A calibration strategy tries to match target moments using a model’s parameters. We propose tests for determining whether this is possible. The tests use moments at random parameter draws to assess whether the target moments are similar to the computed ones (evidence of existence) or appear to be outliers (evidence of non-existence). Our experiments show the tests are effective at detecting both existence and non-existence in a non-linear model. Multiple calibration strategies can be quickly tested using just one set of simulated data. Applying our approach to indirect inference allows for the testing of many auxiliary model specifications simultaneously. Code is provided.
      PubDate: 2018-01-11
      DOI: 10.1007/s10614-018-9793-x
       
  • Environmental Protection in Scenic Areas: Traffic Scheme for Clean Energy
           Vehicles Based on Multi-agent
    • Authors: Lei Li; Wenting Liu; Lindi Xiao; Hui Sun; Shi Wang
      Abstract: The low-carbon environmental protection and traffic congestion are two primary issues that people focus on highly and need to be solved efficiently. Under the circumstance, this paper designs a transportation simulation system for clean energy vehicles in scenic area based on multi-agent. From the view of introducing clean energy electric vehicles with limited funds and unlimited funds, we investigate the optimal introduction scheme and the optimal traffic scheme of clean energy vehicles to alleviate air pollution and tourist overcrowding. Combined with the specific circumstances of a famous scenic spot in China, we conduct the simulation and propose many countermeasures and suggestions to improve traffic scheme of clean energy vehicles.
      PubDate: 2018-01-10
      DOI: 10.1007/s10614-017-9790-5
       
  • Bayesian Testing for Leverage Effect in Stochastic Volatility Models
    • Authors: Jin-Yu Zhang; Zhong-Tian Chen; Yong Li
      Abstract: Stochastic volatility models have been widely appreciated to model the time-varying volatility in empirical finance. In practice, whether or not there is leverage effect in asset time series is one of important stylized facts. In this paper, in the context of the stochastic volatility models, the main purpose is to develop a Bayesian approach for testing the leverage effect. The performance of the developed procedure is illustrated by the simulation studies and two empirical examples.
      PubDate: 2018-01-04
      DOI: 10.1007/s10614-017-9784-3
       
 
 
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