167 research outputs found
Asesment of the Ability of Business Tendency Surveys to Monitor and Predict Economic Activities in Lebanon
No full textSumru Guler Altug; Simon Neaime; Leila DagherIn this thesis, we examine and forecast the growth cycle in Lebanon through business survey indicators. Survey indicators are combined into a composite index named “Confidence” in each sector to replicate current business conditions on a sectoral level. These indicators are then aggregated into a single composite indicator referred to as ESI to match the reference series and reflect overall economic activity in Lebanon.
On the basis of the quarterly approximation of the Bry and Boschan algorithm, the ESI dating chronology was closely able to match that of the reference series with high degree of concordance between phases.
For more robust findings, short-term forecasts of quarterly economic growth(CI) are compared between time series models incorporating the ESI against their corresponding benchmark (AR, ARIMA) by adopting a pseudo out-of-sample forecasting technique. The results show more than 30% improvement in forecast accuracy across the different horizons, for the AR augmented model compared to its benchmark.
In conclusion , business survey indicators presented by the ESI were able to monitor past economic development of the CI as well as performing short-term forecast for different horizons
The Effect of Insider Trading by a Dominant Trader in a Simple Securities Market Model
No full textThis paper studies the effects of strategic behavior by an informed trader
who is large relative to the remaining traders in a simple securities market
model. The strategic interaction among market participants is modelled as a
price-setting game in which the dominant trader sets price, taking into account
the reactions of uninformed traders who behave competitively. The equilibrium
outcomes of this game are compared with those which emerge when all traders act
as price-takers and/or all information is public. Besides characterizing the
informational efficiency of prices under alternative assumptions and describing
the dual advantages conferred by superior information and the ability to move
first and set prices, these comparisons help to determine whether observations
on equilibrium prices and quantities traded suffice to reveal the existence of.
strategic insider trading in an otherwise competitive market.Altug, Sumru. (1985). The Effect of Insider Trading by a Dominant Trader in a Simple Securities Market Model. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/55460
Capital structure decisions of Turkish firms
No full textSince the seminal work of Modigliani and Miller (1958) the theory on capital structure has successfully investigated the conditions under which the capital structure decision of a firm would be relevant for its value. Among the factors identified in the theoretical literature as relevant for the firm’s capital structure decision are size, expected bankruptcy and agency costs, growth opportunities, profitability, asset structure and non-debt tax shields. Moreover, despite conflicting results regarding some of the firm-specific characteristics, much of the previous empirical work on the subject has confirmed most of the predictions of the theoretical literature.1 However, much of the empirical analysis has been based on companies in the major industrialised countries and mostly in the United States. The evidence provided by these studies suggests that despite the differences in accounting, legal and institutional structures, factors that affect the capital structure choice of firms are similar across developed countries. The main motivation of this study stems from this generally accepted view. More specifically, the approach taken in the present chapter attempts to provide insights into the following questions. First, would the factors which appear to influence the financing decisions of firms in industrialised countries exert similar impact on the capital structure decisions of firms operating in a different environment? Second, if similar factors exert different impact, can we trace why our results are different
Covid-19 Shock: A Bayesian Approach
No full textSimon Neaime
Leila Dagher
Muhammed Alparslan TunceyThe coronavirus, that started in December 2019, became a pandemic that hit the world
economy and had devastating consequences. The spread of the virus suggested
preventive measures knowing that no vaccine was available. Therefore, city, district and
then country-wide lockdowns were implemented. These variations are introduced as
shocks to unemployment, and will be studied in a Vector Autoregressive Framework.
The shock to unemployment will be discussed using Bayesian inference. This approach
has well-known advantages when studying heavily parameterized models like VARs, as
it assigns prior probabilities to the model parameters. These prior beliefs can be updated
whenever new information is available. This in turn can help in modelling and
forecasting changes that occur following the shock
Dynamic Macroeconomic Analysis: - Theory and Policy in General Equilibrium.
No full textDynamic stochastic general equilibrium (DSGE) models have begun to dominate the field of macroeconomic theory and policy-making. These models describe the evolution of macroeconomic activity as a recursive sequence of outcomes based upon the optimal decision rules of rational households, firms and policy-makers. Whilst posing a micro-founded dynamic optimisation problem for agents under uncertainty, such models have been shown to be both analytically tractable and sufficiently rich for meaningful policy analysis in a wide class of macroeconomic problems, for example, monetary and fiscal policy, economic cycles and growth and capital flows. This volume collects specially commissioned papers from leading researchers, which pull together some of the key recent results in diverse areas. This book will promote research using optimising models and inform researchers, post-graduate students and economists in policy-oriented organisations of some of the key findings and policy implications
Monetary and Fiscal Interactions in DSGE framework
No full textDynamic stochastic general equilibrium (DSGE) models have begun to dominate the field of macroeconomic theory and policy-making. These models describe the evolution of macroeconomic activity as a recursive sequence of outcomes based upon the optimal decision rules of rational households, firms and policy-makers. Whilst posing a micro-founded dynamic optimisation problem for agents under uncertainty, such models have been shown to be both analytically tractable and sufficiently rich for meaningful policy analysis in a wide class of macroeconomic problems, for example, monetary and fiscal policy, economic cycles and growth and capital flows. This volume collects specially commissioned papers from leading researchers, which pull together some of the key recent results in diverse areas. This book will promote research using optimising models and inform researchers, post-graduate students and economists in policy-oriented organisations of some of the key findings and policy implications
Time-to-Build and Aggregate Fluctuations: Some New Evidence.
No full textThis paper presents maximum likelihood estimates and tests of a model similar to one Kydland and Prescott (1982) suggested. For this purpose, it derives equilibrium laws of motion for a set of aggregate variables as functions of the model's parameters and the innovation to the technology shock. The paper shows that a single unobservable index can explain the variability in the observed series, but identifying the single index with the innovation to the technology shock implies that per capita hours is not well explained. It also shows that time-separable preferences with respect to leisure are consistent with the data. Copyright 1989 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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