1,720,984 research outputs found
Predictive power of output growth, inflation, and interest rate on stock return and volatility: a comparison
No full textUsing monthly data from seven mature and emerging markets and a battery of GARCH and EGARCH models, the study of Davis and Kutan (2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three mature markets (US, Japan, and Singapore) and four emerging markets who experienced a crisis before (Malaysia, India, Korea, and Philippines). It is found that economic volatility, as measured by movement in inflation, output growth, and interest rate, have a weak predictor power for stock market volatility and returns. In line with the evidence reported in Davis and Kutan (2003), the findings suggest that there is no support for the Fisher effect in stock returns among the seven mature and emerging markets
Augmented MCi: AN Indicator Of Monetary Policy Stance For ASEAN-5?
Get PDFThis paper uses quarterly data from 1980 to 2004 for ASEAN-5 founder countries to estimate the weight of the Augmented Monetary Conditions Index (AMCI), and identifies the key transmission mechanism paths using Pesaran and Pesaran’s (1997) ARDL procedure, and Pesaran et al.’s (2001) bounds procedure. The roles of credit and asset price channels are assessed for aggregate demand conditions and in the transmission of monetary policy. Results reveal evidence of cointegration for all the ASEAN-Five founder countries. The estimate of the interest and exchange rate elasticities of aggregate demand is used to determine the weight of the exchange rate in the AMCI, and ultimately the weight is then used to construct the AMCI ratio. Exchange rate, asset price, and interest rate channels are three key transmission mechanisms in the conduct of monetary policy in Indonesia and Thailand. Meanwhile in Malaysia and Singapore, exchange rate, both the long and short term interest rate, and credit channels are three key transmission mechanisms in the conduct of monetary policy. In the Philippines, four key transmission mechanisms take place, namely the interest rate, exchange rate, credit, and asset price channels, with short rate relatively weaker than the long rate at the margin. The estimated weights of real interest rates and real exchange rate are used to estimate the AMCI ratios. The AMCI ratios range from 0.052 to 0.664 [0.052:1 for Philippines, 0.056:1 for Thailand, 0.073:1 for Indonesia, 0.109:1 for Malaysia; and 0.664 for Singapore]. Monetary conditions during the period under-study are found to be reflected in each of the central banks’ reaction to the prevailing economic situation, which implies that AMCI tracks the movements of the real GDP plausibly on the average, particularly after 1997.Augmented Monetary Conditions Index; monetary policy; transmission mechanism
A monetary policy rule: The augmented Monetary Conditions Index for Philippines using UECM and bounds tests
Get PDFThis paper constructs the augmented monetary conditions index (AMCI) over 1982:1-2004:4 using UECM and bounds test approach for the Philippines data. Results reveal evidence of cointegration between the real GDP and its determinants, namely short-term interest rate, exchange rate and claims on private sectors that take into account three key transmission mechanisms channels in the conduct of monetary policy, namely the interest rate, exchange rate and credit channels. While asset price channel is found to be insignificant. The monetary conditions during the study periods is reflected in the Bangko Sentral ng Pilipinas’s reaction to the prevailing economic situation, imply that the AMCI tracks the inverse movements of the real GDP growth reasonably well after 1990s. Possible light of policy implications have put forward.AMCI, monetary policy, cointegration, bounds test, UECM, transmission mechanisms
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
- …
