Template-Type: ReDIF-Article 1.0 Author-Name: Iván Arribas Author-X-Name-First: Iván Author-X-Name-Last: Arribas Author-Name: Kamel Louhichi Author-X-Name-First: Kamel Author-X-Name-Last: Louhichi Author-Name: Angel Perni Author-X-Name-First: Angel Author-X-Name-Last: Perni Author-Name: José Vila Author-X-Name-First: José Author-X-Name-Last: Vila Author-Name: Sergio Gómez-y-Paloma Author-X-Name-First: Sergio Author-X-Name-Last: Gómez-y-Paloma Title: Modelling agricultural risk in a large scale positive mathematical programming model Abstract: Mathematical programming has been extensively used to account for risk in farmers' decision making. The recent development of the positive mathematical programming (PMP) has renewed the need to incorporate risk in a more robust and flexible way. Most of the existing PMP-risk models have been tested at farm-type level and for a very limited sample of farms. This paper presents and tests a novel methodology for modelling risk at individual farm level in a large scale model, called individual farm model for common agricultural policy analysis (IFM-CAP). Results show a clear trade-off between including and excluding the risk specification. Albeit both alternatives provide very close estimates, simulation results shows that the explicit inclusion of risk in the model allows isolating risk effects on farmer behaviour. However, this specification increases three times the computation time required for estimation. Journal: Int. J. of Computational Economics and Econometrics Pages: 2-32 Issue: 1 Volume: 10 Year: 2020 Keywords: agriculture; PMP; positive mathematical programming; risk and uncertainty; expected utility; highest posterior density; European common agricultural policy. File-URL: http://www.inderscience.com/link.php?id=104136 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:1:p:2-32 Template-Type: ReDIF-Article 1.0 Author-Name: Carlos Encinas-Ferrer Author-X-Name-First: Carlos Author-X-Name-Last: Encinas-Ferrer Title: Overvaluation in a non-optimal currency area Abstract: The devaluation tool in an optimal currency area allows economic policies to adjust relative costs in front of economic shocks. Devaluation risk is due to the relationship of domestic inflation with that of a nation's trading partners. If the gap between them is not adjusted by depreciation, it will start a process of overvaluation of national currency which ends in a trade deficit, reduced gross domestic product (GDP) and rising unemployment. Devaluation or depreciation would restore the competitiveness of the productive apparatus. However, in a non-optimal currency area - as a country unilaterally dollarised - this adjustment may be made by abandoning the anchor coin and adopting a new national currency, what it has been called ‘demonetisation’ (Encinas-Ferrer, 2003a, 2003b). The Eurozone experience from 2011 shows us that abandoning a non-optimal currency area and establishing a new national currency is a decision that no one has dared to take. Journal: Int. J. of Computational Economics and Econometrics Pages: 33-47 Issue: 1 Volume: 10 Year: 2020 Keywords: overvaluation; optimal currency areas; non-optimal currency areas; euro-zone. File-URL: http://www.inderscience.com/link.php?id=104149 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:1:p:33-47 Template-Type: ReDIF-Article 1.0 Author-Name: Chukiat Chaiboonsri Author-X-Name-First: Chukiat Author-X-Name-Last: Chaiboonsri Author-Name: Satawat Wannapan Author-X-Name-First: Satawat Author-X-Name-Last: Wannapan Author-Name: Giovanni Cerulli Author-X-Name-First: Giovanni Author-X-Name-Last: Cerulli Title: An analysis of long-run relationship between ICT sectors and economic growth: evidence from ASEAN countries Abstract: This paper is proposed to investigate the causal panel relationship between information and communication technologies (ICTs) segments and economic expansionary rates in ASEAN countries. Methodologically, the panel time-series data observed during 2006 to 2016 is employed to estimate the panel Granger causality test. According to the technical problem of lag selection for the panel causal analysis, the computationally statistical approach called Newton's optimisation method is helpfully applied to verify the suitable lag selection. The empirical results found that ICTs are not the major factor that causally motivates economic growth in ASEAN. This is confirmed by the extended section of the autoregressive distributed lag (ARDL) co-integration approach, which is based on Bayesian statistics combining with the simulation method called Markov chain Monte Carlo (MCMC). The results state Thailand is the only one among eight selected countries in ASEAN contained the long-run relationship between ICTs and GDP. This can be strongly concluded that the ICT sectors are not sustainable for driving economic growth in ASEAN. To address the issue, equitable educational systems and advanced infrastructural developments are the primary that should be corporately implemented. Journal: Int. J. of Computational Economics and Econometrics Pages: 48-69 Issue: 1 Volume: 10 Year: 2020 Keywords: ICT segments; economic growth; long-run relationship; ASEAN countries; Bayesian approach. File-URL: http://www.inderscience.com/link.php?id=104154 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:1:p:48-69 Template-Type: ReDIF-Article 1.0 Author-Name: Bruno G. Rüttimann Author-X-Name-First: Bruno G. Author-X-Name-Last: Rüttimann Title: Evidence for the globalisation types model integrating different trade theories Abstract: This paper summarises the research performed during the last 10 years regarding the globalisation phenomenon measuring and analysing the evolution of trade globalisation of the period 2003-2015. The goal was to find evidence for a new globalisation types model. Indeed, the economic system has become more complex during recent years, the current trade models not being able to capture individually the different aspects, not being universally applicable. The evolution of globalisation has been measured with a new entropy-based metric that computes the interweavement of trade flows. The research has shown that economic world trade has been globalising during recent years but with different patterns: de-globalising for advanced economies and globalising for emerging economies. These differences can be explained with this globalisation types model. Journal: Int. J. of Computational Economics and Econometrics Pages: 70-91 Issue: 1 Volume: 10 Year: 2020 Keywords: globalisation types; globalisation forms; globalisation models; inequality metric; trade flows; foreign trade; trade theory; Kuznets. File-URL: http://www.inderscience.com/link.php?id=104155 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:1:p:70-91 Template-Type: ReDIF-Article 1.0 Author-Name: Elżbieta Rychłowska-Musiał Author-X-Name-First: Elżbieta Author-X-Name-Last: Rychłowska-Musiał Title: Real options games between two competitors: the case of price war Abstract: This paper takes the subject of optimal investment strategies for firms acting on a competitive market. An investment decision-making process is described as a game between two players, and the real options approach is used to find a value of an investment project, therefore the paper falls in the area of the real options games. Based on games solutions we formulate recommendations for competitors. It comes as no surprise that the advantage is primarily on the side of a dominant company, but under certain circumstances, a weaker party has a very strong bargaining chip. To mitigate possible effects of price war, firms may cooperate and their negotiations could be supported by a payoff transfer computed as the coco value. It also turned out that the possible cooperation between competitors gains significance when a project risk is high, as well as when the price war is cut-throat. Journal: Int. J. of Computational Economics and Econometrics Pages: 92-110 Issue: 1 Volume: 10 Year: 2020 Keywords: real options; investment option; real options games; competition; price wars; bargaining game; cooperative-competitive value; coco value. File-URL: http://www.inderscience.com/link.php?id=104177 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:1:p:92-110 Template-Type: ReDIF-Article 1.0 Author-Name: Moawia Alghalith Author-X-Name-First: Moawia Author-X-Name-Last: Alghalith Author-Name: Christos Floros Author-X-Name-First: Christos Author-X-Name-Last: Floros Title: Futures hedging with stochastic volatility: a new method Abstract: The aim of this paper is to present a continuous-time dynamic model of futures hedging. In particular, we extend the theoretical and empirical literature (e.g., Alghalith, 2016; Alghalith et al., 2015; Corsi et al., 2008) in several important ways. First, we present a theory-based model. A significant empirical contribution is that we do not need data for the basis risk or the spot price. To the best of our knowledge, this is the first paper to assume that the volatility of futures price is stochastic and thus to estimate the volatility of volatility of futures price. Using daily futures data from the S%P500 index, we calculate an average daily volatility as well as the volatility of volatility of futures prices. We recommend that the managers of the futures market should report the stochastic volatility of the futures price (and its volatility), in addition to the traditional volatility. Journal: Int. J. of Computational Economics and Econometrics Pages: 203-207 Issue: 2 Volume: 10 Year: 2020 Keywords: stochastic volatility; volatility of volatility; futures; hedging. File-URL: http://www.inderscience.com/link.php?id=107368 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:2:p:203-207 Template-Type: ReDIF-Article 1.0 Author-Name: Tong Zeng Author-X-Name-First: Tong Author-X-Name-Last: Zeng Author-Name: R. Carter Hill Author-X-Name-First: R. Carter Author-X-Name-Last: Hill Title: Stein-rule estimation in genetic carrier testing Abstract: In this paper, we apply the fully correlated random parameters logit (FCRPL) model to the genetic carrier testing data using shrinkage estimation. We show that shrinkage estimates with higher shrinkage constant improve the percentages of correct predicted choices by 2% and 10% respectively with Jewish and general population samples. The mean estimates of elasticity based on the shrinkage estimates are closer to those with the FCRPL model estimates and have smaller standard errors than the corresponding results based on the uncorrelated random parameters logit model estimates. Journal: Int. J. of Computational Economics and Econometrics Pages: 111-128 Issue: 2 Volume: 10 Year: 2020 Keywords: pretest estimator; positive-part Stein-like estimator; likelihood ratio test; random parameters logit model. File-URL: http://www.inderscience.com/link.php?id=107369 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:2:p:111-128 Template-Type: ReDIF-Article 1.0 Author-Name: Christos Floros Author-X-Name-First: Christos Author-X-Name-Last: Floros Author-Name: Constantin Zopounidis Author-X-Name-First: Constantin Author-X-Name-Last: Zopounidis Author-Name: Yong Tan Author-X-Name-First: Yong Author-X-Name-Last: Tan Author-Name: Christos Lemonakis Author-X-Name-First: Christos Author-X-Name-Last: Lemonakis Author-Name: Alexandros Garefalakis Author-X-Name-First: Alexandros Author-X-Name-Last: Garefalakis Author-Name: Efthalia Tabouratzi Author-X-Name-First: Efthalia Author-X-Name-Last: Tabouratzi Title: Efficiency in banking: does the choice of inputs and outputs matter? Abstract: This paper examines banking efficiency using recent data from PIGS countries (i.e., Portugal, Italy, Greece and Spain), which suffer from debt problems. We employ a two-stage approach based on the effect of several items of balance sheets on cash flows and data envelopment analysis (DEA). More specifically, we extend previous studies by giving attention to the deposit dilemma. The reported results show that the choice of inputs and outputs does matter in the case of European banking efficiency. Although the role of deposits is controversial, we find that deposits may be an output variable, owing to liquidity issues that play a major role in the efficiency of PIGS' banking sector. We also report that the DEA model with deposits as an output variable generates efficiency scores that fall between periods. These results are helpful to bank managers and financial analysts dealing with efficiency modelling. Journal: Int. J. of Computational Economics and Econometrics Pages: 129-148 Issue: 2 Volume: 10 Year: 2020 Keywords: PIGS; banking sector; efficiency; deposits dilemma; two-stage approach; cash flows; DEA; data envelopment analysis; regression. File-URL: http://www.inderscience.com/link.php?id=107370 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:2:p:129-148 Template-Type: ReDIF-Article 1.0 Author-Name: Dimitrios D. Thomakos Author-X-Name-First: Dimitrios D. Author-X-Name-Last: Thomakos Author-Name: Hossein Hassani Author-X-Name-First: Hossein Author-X-Name-Last: Hassani Title: Using singular spectrum analysis for inference on seasonal time series with seasonal unit roots Abstract: The problem of optimal linear filtering, smoothing and trend extraction for m-period differences of processes with a unit root is studied. Such processes arise naturally in economics and finance, in the form of rates of change (price inflation, economic growth, financial returns) and finding an appropriate smoother is thus of immediate practical interest. The filter and resulting smoother are based on the methodology of singular spectrum analysis (SSA). An explicit representation for the asymptotic decomposition of the covariance matrix is obtained. The structure of the impulse and frequency response functions indicates that the optimal filter has a 'permanent' and a 'transitory component', with the corresponding smoother being the sum of two such components. Moreover, a particular form for the extrapolation coefficients that can be used in out-of-sample prediction is proposed. In addition, an explicit representation for the filtering weights in the context of SSA for an arbitrary covariance matrix is derived. This result allows one to examine the specific effects of smoothing in any situation. The theoretical results are illustrated using different datasets, namely US inflation and real GDP growth. Journal: Int. J. of Computational Economics and Econometrics Pages: 149-182 Issue: 2 Volume: 10 Year: 2020 Keywords: core inflation; business cycles; differences; Euro; linear filtering; SSA; singular spectrum analysis; smoothing; trend extraction and prediction; unit root. File-URL: http://www.inderscience.com/link.php?id=107371 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:2:p:149-182 Template-Type: ReDIF-Article 1.0 Author-Name: GholamReza Keshavarz Haddad Author-X-Name-First: GholamReza Keshavarz Author-X-Name-Last: Haddad Author-Name: Mehrnoosh Hasanzade Author-X-Name-First: Mehrnoosh Author-X-Name-Last: Hasanzade Title: Bias decomposition in the value-at-risk calculation by a GARCH(1,1) Abstract: The recent researches show that value-at-risk (VaR) estimations are biased and is calculated conservatively. Bao and Ullah (2004) proved the bias of an ARCH(1) model for VaR can be decomposed in to two parts: bias due to the returns' misspecification distributional assumption for GARCH(1,1), i.e., (Bias1) and bias due to estimation error, i.e., (Bias<SUB align="right"><SMALL>2</SMALL></SUB>). Using quasi maximum likelihood estimation method this paper intends to find an analytical framework for the two sources of bias. We generate returns from Normal and t-student distributions, then estimate the GARCH(1,1) under Normal and t-student assumptions. Our findings reveal that Bias<SUB align="right"><SMALL>1</SMALL></SUB> equals to zero for the Normal likelihood function, but Bias<SUB align="right"><SMALL>2</SMALL></SUB> ≠ 0. Also, Bias<SUB align="right"><SMALL>1</SMALL></SUB> and Bias<SUB align="right"><SMALL>2</SMALL></SUB> are not zero for the t-student likelihood function as analytically were expected, however, all the biases become modest, when the number of observations and degree of freedom gets large. Journal: Int. J. of Computational Economics and Econometrics Pages: 183-202 Issue: 2 Volume: 10 Year: 2020 Keywords: VaR; value-at-risk; GARCH(1;1); second-order bias. File-URL: http://www.inderscience.com/link.php?id=107372 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:2:p:183-202 Template-Type: ReDIF-Article 1.0 Author-Name: Yao-Tsung Chen Author-X-Name-First: Yao-Tsung Author-X-Name-Last: Chen Author-Name: Hao-Qun Yang Author-X-Name-First: Hao-Qun Author-X-Name-Last: Yang Title: Multi-period mean-variance portfolio selection with practical constraints using heuristic genetic algorithms Abstract: Since Markowitz proposed the mean-variance (MV) formulation in 1952, it has been used to configure various portfolio selection problems. However Markowitz's solution is only for a single period. Multi-period portfolio selection problems have been studied for a long time but most solutions depend on various forms of utility function, which are unfamiliar to general investors. Some works have formulated the problems as MV models and solved them analytically in closed form subject to certain assumptions. Unlike analytical solutions, genetic algorithms (GA) are more flexible because they can solve problems without restrictive assumptions. The purpose of this paper is to formulate multi-period portfolio selection problems as MV models and solve them by GA. To illustrate the generality of our algorithm, we implement a program by Microsoft Visual Studio to solve a multi-period portfolio selection problem for which there exists no general analytical solution. Journal: Int. J. of Computational Economics and Econometrics Pages: 209-221 Issue: 3 Volume: 10 Year: 2020 Keywords: multi-period portfolio selection; mean-variance formulation; genetic algorithm; transaction costs. File-URL: http://www.inderscience.com/link.php?id=108382 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:3:p:209-221 Template-Type: ReDIF-Article 1.0 Author-Name: GholamReza Keshavarz Haddad Author-X-Name-First: GholamReza Keshavarz Author-X-Name-Last: Haddad Author-Name: Hadi Heidari Author-X-Name-First: Hadi Author-X-Name-Last: Heidari Title: Performance evaluation of the Bayesian and classical value at risk models with circuit breakers set up Abstract: Circuit breakers, like price limits and trading suspensions, are used to reduce price volatility in security markets. When returns hit price limits or missed, observed returns deviate from equilibrium returns. This creates a challenge for predicting stock returns and modelling value at risk (VaR). In Tehran Stock Exchange (TSE), the circuit breakers are applied to control for the excess price volatilities. This paper intend to address which models and what methodology should be applied by risk analysts to calculate the VaR when the returns are unobservable. To this end, we extend Wei's (2002) model, in the framework of Bayesian Censored and Missing-GARCH approach, to estimate VaR for a share index in TSE. Using daily data over June 2006 to June 2016, we show that the Censored and Missing- GARCH model with student-t distribution outperforms the other VaR estimation metods. Kullback-Leibler (KLIC), Kupic (1995) test and Lopez score (1998) outcomes show that estimated VaR by Censored and missing- GARCH model with student-t distribution is of the most accuracy among the other GARCH family estimated models. Journal: Int. J. of Computational Economics and Econometrics Pages: 222-241 Issue: 3 Volume: 10 Year: 2020 Keywords: circuit breakers; censored and missing-GARCH; Bayesian estimation; VaR; value at risk; ranking models. File-URL: http://www.inderscience.com/link.php?id=108384 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:3:p:222-241 Template-Type: ReDIF-Article 1.0 Author-Name: Alexios Makropoulos Author-X-Name-First: Alexios Author-X-Name-Last: Makropoulos Author-Name: Charlie Weir Author-X-Name-First: Charlie Author-X-Name-Last: Weir Author-Name: Xin Zhang Author-X-Name-First: Xin Author-X-Name-Last: Zhang Title: Stages and determinants of European Union small and medium sized firms' failure process Abstract: This paper uses a combination of Factor and Cluster analysis to identify and compare failure processes in small and medium sized firms from a number of European Union countries. Panel data analysis is then used to identify the determinants of the firms' transition from financial health towards liquidation in the alternative failure processes. The results suggest that there are four different firm failure processes. We find that financial performance and director characteristics differ between firm failure processes. We also find that the economic environment, the legal tradition of countries and excessive firm growth are determinants of the transition of firms towards liquidation across most firm failure processes. These findings may be of practical use to policy makers, lenders and risk managers who will benefit from a better understanding of the differences between the alternative firm failure processes and from the determinants of a firm's transition towards liquidation within these failure processes. Journal: Int. J. of Computational Economics and Econometrics Pages: 242-263 Issue: 3 Volume: 10 Year: 2020 Keywords: SME failure; firm failure; firm failure process; factor/cluster analysis; ordered random effects regression; failure status transition. File-URL: http://www.inderscience.com/link.php?id=108389 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:3:p:242-263 Template-Type: ReDIF-Article 1.0 Author-Name: Konstantinos Gkillas Author-X-Name-First: Konstantinos Author-X-Name-Last: Gkillas Author-Name: Christos Floros Author-X-Name-First: Christos Author-X-Name-Last: Floros Author-Name: Christoforos Konstantatos Author-X-Name-First: Christoforos Author-X-Name-Last: Konstantatos Author-Name: Dimitrios I. Vortelinos Author-X-Name-First: Dimitrios I. Author-X-Name-Last: Vortelinos Title: Abnormal returns and systemic risk: evidence from a non-parametric bootstrap framework during the European sovereign debt crisis Abstract: We investigate the impact of European Central Bank (ECB) interventions on major European and Turkish stock and credit default swap (CDS) markets highlighting the importance of abnormal to excess abnormal returns in the systemic risk. In particular, we examine the impact of ECB announcements (news) on major European and Turkish financial markets (stocks and CDSs indices) for a high and low-volatility period, i.e., from November 6th, 2008 to December 31st, 2015. We also examine the market efficiency by using both an event study methodology and the Capital Asset Pricing Model. Moreover, the impact of the ECB events is measured by an event study and a systemic risk analysis. The results show that investors exposed to Finland, Sweden, Austria and Spain tend to be more vulnerable to risk and volatility, when ECB announcements are published. Journal: Int. J. of Computational Economics and Econometrics Pages: 264-290 Issue: 3 Volume: 10 Year: 2020 Keywords: abnormal returns; bootstrap; ECB events; financial crises. File-URL: http://www.inderscience.com/link.php?id=108390 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:3:p:264-290 Template-Type: ReDIF-Article 1.0 Author-Name: Ouael El Jebari Author-X-Name-First: Ouael El Author-X-Name-Last: Jebari Author-Name: Abdelati Hakmaoui Author-X-Name-First: Abdelati Author-X-Name-Last: Hakmaoui Title: An analysis of major Moroccan domestic sectors interdependencies and volatility spillovers using multivariate GARCH models Abstract: This paper tries to give a thorough analysis of the mechanisms of volatility spillovers, as well as, a study of the time-varying interdependencies of volatilities of seven major sectors of the Moroccan stock exchange by proposing an empirical approach based on multivariate GARCH models. It uses daily data spanning the period between 02/07/2007 and 15/12/2016, covering seven principal sectors indices. The results of the study confirm the existence of multiple volatility transmissions in both ways and of both signs between sectors of our sample, along with, the quasi-abundance of positive correlations suggesting possible contagion effects. More importantly, our findings are in line with those discovered in the U.S financial market. The notoriety of this paper resides in the fact that it broadens previously documented studies focusing mainly on external shocks by providing a study of internal shocks while applying two multivariate GARCH models. Journal: Int. J. of Computational Economics and Econometrics Pages: 291-307 Issue: 3 Volume: 10 Year: 2020 Keywords: volatility spillover; dynamic conditional correlations; interdependencies; domestic sectors; multivariate GARCH models. File-URL: http://www.inderscience.com/link.php?id=108392 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:3:p:291-307 Template-Type: ReDIF-Article 1.0 Author-Name: Dimitrios Kartsonakis-Mademlis Author-X-Name-First: Dimitrios Author-X-Name-Last: Kartsonakis-Mademlis Author-Name: Nikolaos Dritsakis Author-X-Name-First: Nikolaos Author-X-Name-Last: Dritsakis Title: A note on the use of the Box-Cox transformation for financial data Abstract: This paper tests whether the Box-Cox transformation reduces the problem of non-normality in financial data. Journal: Int. J. of Computational Economics and Econometrics Pages: 419-422 Issue: 4 Volume: 10 Year: 2020 Keywords: ARIMA models; Box-Cox transformation; Box-Jenkins methodology; normality; stock market; oil prices. File-URL: http://www.inderscience.com/link.php?id=110755 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:4:p:419-422 Template-Type: ReDIF-Article 1.0 Author-Name: Klaus Weyerstrass Author-X-Name-First: Klaus Author-X-Name-Last: Weyerstrass Author-Name: Reinhard Neck Author-X-Name-First: Reinhard Author-X-Name-Last: Neck Author-Name: Dmitri Blueschke Author-X-Name-First: Dmitri Author-X-Name-Last: Blueschke Author-Name: Boris Majcen Author-X-Name-First: Boris Author-X-Name-Last: Majcen Author-Name: Andrej Srakar Author-X-Name-First: Andrej Author-X-Name-Last: Srakar Author-Name: Miroslav Verbič Author-X-Name-First: Miroslav Author-X-Name-Last: Verbič Title: Stabilisation policies in a small Euro area economy: taxes or expenditures? A case study for Slovenia Abstract: In this paper, we investigate how effective stabilisation policies can be in Slovenia. In particular, we analyse whether policy or expenditure policy has stronger multiplier effects. Slovenia is an interesting case because it is a small open economy in Central Europe that was already in the Euro area before the Great Recession. Using the SLOPOL10 model, an econometric model of the Slovenian economy, we show that those public spending measures that entail both demand and supply side effects are more effective at stimulating real GDP than pure demand side measures. Measures that improve the education level of the labour force are very effective at stimulating potential GDP. Employment can be most effectively stimulated by reducing the tax wedge on labour income, thereby positively affecting Slovenia's international competitiveness. However, simulations show that fiscal policy measures can only mitigate but not undo the adverse effects of a crisis like the Great Recession. Journal: Int. J. of Computational Economics and Econometrics Pages: 309-327 Issue: 4 Volume: 10 Year: 2020 Keywords: stabilisation policy; fiscal policy; tax policy; public expenditures; macroeconomics; Slovenia; public debt; econometric model; simulation. File-URL: http://www.inderscience.com/link.php?id=110756 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:4:p:309-327 Template-Type: ReDIF-Article 1.0 Author-Name: Varun Chotia Author-X-Name-First: Varun Author-X-Name-Last: Chotia Title: Infrastructure development and income inequality in India: an empirical investigation Abstract: The purpose of this paper is to investigate the relationship between infrastructure development and income inequality in India from 1991 to 2012, by using the auto regressive distributed lag (ARDL) bound testing approach. The co-integration test confirms the presence of a long run relationship between infrastructure development and income inequality. The ARDL test results indicate that infrastructure development does not help in reducing income inequality. Both inflation and economic growth amplify the income inequality both in the long run as well as the short run whereas trade openness comes out to be the indicator which is able to decrease the gap between rich and poor in India. The study calls for adopting economic policies and reforms which are aimed at developing and strengthening the infrastructure levels, bringing in more investment in order to achieve the much required inclusive growth, and ultimately reduce the income inequality currently prevailing in India. Journal: Int. J. of Computational Economics and Econometrics Pages: 328-344 Issue: 4 Volume: 10 Year: 2020 Keywords: infrastructure development; income inequality; co-integration; auto regressive distributed lag; ARDL; India. File-URL: http://www.inderscience.com/link.php?id=110768 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:4:p:328-344 Template-Type: ReDIF-Article 1.0 Author-Name: Mohammed Issa Shahateet Author-X-Name-First: Mohammed Issa Author-X-Name-Last: Shahateet Title: The role of R%D in economic growth in Arab countries Abstract: This paper explores the impact of research and development (R%D) activities on economic growth in 12 Arab countries of the Middle East. We have conducted different pre-estimation tests to justify model selection, including cross-sectional dependence, stationarity, causality, and cointegration. We perform post-estimation diagnostics to test for both long-run and short-run relationship by applying a panel auto regressive distributed lag (ARDL) model using data for the period 1996-2016. Long-run analysis confirms that R%D activities positively affect economic growth while in the short-run this relationship is not significant. Journal: Int. J. of Computational Economics and Econometrics Pages: 345-365 Issue: 4 Volume: 10 Year: 2020 Keywords: research and development; R%D; economic growth; auto regressive distributed lag; ARDL model; panel data; Arab countries. File-URL: http://www.inderscience.com/link.php?id=110770 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:4:p:345-365 Template-Type: ReDIF-Article 1.0 Author-Name: Chukiat Chaiboonsri Author-X-Name-First: Chukiat Author-X-Name-Last: Chaiboonsri Author-Name: Satawat Wannapan Author-X-Name-First: Satawat Author-X-Name-Last: Wannapan Author-Name: Giovanni Cerulli Author-X-Name-First: Giovanni Author-X-Name-Last: Cerulli Title: Economic and business cycles with time varying in India: evidence from ICT sectors Abstract: The purposes of this paper are two main sections. The former is to study the relationship between Indian ICT industries and GDP by applying Bayesian inference. Yearly predominant indexes collected during 2000 to 2015, including Indian GDP, fixed phone usages, mobile phone distributions, internet servers, and broadband suppliers are analysed by employing the Markov-switching model (MS-model) and Bayesian vector autoregressive model (BVAR). The latter is the time-varying parametric VAR model with stochastic volatilities (TVP-VAR). With Bayes statistics, this time-varying analysis can more clearly provide the extended perception to the underlying flexible structure in the economy. Additionally, the Bayesian regression model is used to investigate the ICT multiplier related to Indian economic growth. Empirically, results indicate IT sectors are now becoming the importance of Indian economic expansion, compared with telecommunication sectors. The ICT multiplier also confirms high-technological industrial zones should be systematically enhanced, especially, researches and developments in cyberspace. Journal: Int. J. of Computational Economics and Econometrics Pages: 366-379 Issue: 4 Volume: 10 Year: 2020 Keywords: information and communication technology; ICT; Bayesian inference; Markov-switching model; MS-model; Bayesian vector autoregressive model; BVAR; time-varying parameter VAR; TVP_VAR. File-URL: http://www.inderscience.com/link.php?id=110772 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:4:p:366-379 Template-Type: ReDIF-Article 1.0 Author-Name: Faruk Balli Author-X-Name-First: Faruk Author-X-Name-Last: Balli Author-Name: Eleonora Pierucci Author-X-Name-First: Eleonora Author-X-Name-Last: Pierucci Author-Name: Jian Gan Author-X-Name-First: Jian Author-X-Name-Last: Gan Title: Determinants of risk sharing via exports: trade openness and specialisation Abstract: Economic theory predicts that one of the main benefits of financial globalisation is the improvement of international risk sharing. In this paper, we provide an empirical evaluation of the determinants of risk sharing via exports. We conclude that risk sharing via exports is somehow important in emerging countries but not among OECD countries. More importantly, we find that trade openness and production/export specialisation generally have, with some exceptions, positive and statistically significant relationship with risk sharing. On the contrary, concentration on export destinations has been proved to be negatively correlated with risk sharing. Journal: Int. J. of Computational Economics and Econometrics Pages: 380-397 Issue: 4 Volume: 10 Year: 2020 Keywords: risk sharing; production specialisation; export specialisation; trade openness; financial globalisation. File-URL: http://www.inderscience.com/link.php?id=110773 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:4:p:380-397 Template-Type: ReDIF-Article 1.0 Author-Name: Antonio Zinilli Author-X-Name-First: Antonio Author-X-Name-Last: Zinilli Author-Name: Mario De Marchi Author-X-Name-First: Mario De Author-X-Name-Last: Marchi Title: Value-added in high technology and industrial basic research: a weighted network observing the trade of high-tech goods Abstract: Expenditure on research and development (R%D) is a key indicator of the innovative efforts of countries. In this paper, we want to examine through a new approach the relationship between basic research and economic benefits. Although we are aware that the topic has already been extensively addressed, this paper differs from the previous literature because it focuses on value-added trade instead of gross trade flows. We use an exponential random graph model for weighted networks to study the impact of private investment in basic research on value-added of exports in high technology, namely the domestic value-added absorbed abroad. We want to understand if this measure (without intermediate imports) is able to confirm the results of the previous literature, which used gross flows. Our results show that private investment in basic research has a positive influence on exports, giving a competitive advantage in international trade. Journal: Int. J. of Computational Economics and Econometrics Pages: 398-418 Issue: 4 Volume: 10 Year: 2020 Keywords: industrial basic research; Wang-Wei-Zhu decomposition; exponential random graph model; weighted networks; core-periphery model. File-URL: http://www.inderscience.com/link.php?id=110778 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijcome:v:10:y:2020:i:4:p:398-418