Pub Date : 2020-01-01DOI: 10.1504/ijcee.2020.10024440
Dimitrios Kartsonakis Mademlis, N. Dritsakis
{"title":"A note on the use of the Box-Cox Transformation for Financial Data","authors":"Dimitrios Kartsonakis Mademlis, N. Dritsakis","doi":"10.1504/ijcee.2020.10024440","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10024440","url":null,"abstract":"","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"140 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719639","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.1504/ijcee.2020.110773
Faruk Balli, E. Pierucci, Jian Gan
{"title":"Determinants of risk sharing via exports: trade openness and specialisation","authors":"Faruk Balli, E. Pierucci, Jian Gan","doi":"10.1504/ijcee.2020.110773","DOIUrl":"https://doi.org/10.1504/ijcee.2020.110773","url":null,"abstract":"","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719476","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.1504/ijcee.2020.10025933
C. Ferrer
{"title":"Overvaluation in a non-optimal currency area","authors":"C. Ferrer","doi":"10.1504/ijcee.2020.10025933","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10025933","url":null,"abstract":"","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719696","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.1504/ijcee.2020.10031037
Antonio Zinilli, M. D. Marchi
{"title":"Value-added in high technology and industrial basic research: a weighted network observing the trade of high-tech goods","authors":"Antonio Zinilli, M. D. Marchi","doi":"10.1504/ijcee.2020.10031037","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10031037","url":null,"abstract":"","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.1504/ijcee.2020.104154
C. Chaiboonsri, S. Wannapan, G. Cerulli
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.
{"title":"An analysis of long-run relationship between ICT sectors and economic growth: evidence from ASEAN countries","authors":"C. Chaiboonsri, S. Wannapan, G. Cerulli","doi":"10.1504/ijcee.2020.104154","DOIUrl":"https://doi.org/10.1504/ijcee.2020.104154","url":null,"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.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1504/ijcee.2020.104154","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719875","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.1504/ijcee.2020.10025910
I. Arribas, K. Louhichi, Ángel Perni, J. Vila, S. Gomez-y-Paloma
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.
{"title":"Modelling agricultural risk in a large scale positive mathematical programming model","authors":"I. Arribas, K. Louhichi, Ángel Perni, J. Vila, S. Gomez-y-Paloma","doi":"10.1504/ijcee.2020.10025910","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10025910","url":null,"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.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-12-18DOI: 10.1504/ijcee.2020.104149
Carlos Encinas-Ferrer
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.
{"title":"Overvaluation in a non-optimal currency area","authors":"Carlos Encinas-Ferrer","doi":"10.1504/ijcee.2020.104149","DOIUrl":"https://doi.org/10.1504/ijcee.2020.104149","url":null,"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.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2019-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1504/ijcee.2020.104149","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45223990","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-12-18DOI: 10.1504/ijcee.2020.10025945
E. Musiał
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.
{"title":"Real options games between two competitors: the case of price war","authors":"E. Musiał","doi":"10.1504/ijcee.2020.10025945","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10025945","url":null,"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.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2019-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48394274","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-03DOI: 10.1504/IJCEE.2019.10019511
Hanène Mejdoub, M. Arab
This paper discusses the risk aggregation issue in the sphere of the non-life insurance industry. In this context, we attempt to investigate the impact of the dependence structure among losses using copula theory, on the total risk capital estimation measured by the value-at-risk (VaR). First, using numerical illustrations based on a Tunisian insurance company, we apply various copula families that can capture the dependencies across losses that are derived from four lines of business. Then, based on the Monte-Carlo simulation, the total risk capital is deduced by applying VaR on the aggregate loss distributions. We also conduct a comparative analysis between the various types of the copulas. Our findings reveal that there is a regular impact on the capital requirement estimation indicating that a static approach ignoring the real dependencies between different risks can systematically lead to an overestimation of the total capital requirement.
{"title":"Insurance risk capital and risk aggregation: bivariate copula approach","authors":"Hanène Mejdoub, M. Arab","doi":"10.1504/IJCEE.2019.10019511","DOIUrl":"https://doi.org/10.1504/IJCEE.2019.10019511","url":null,"abstract":"This paper discusses the risk aggregation issue in the sphere of the non-life insurance industry. In this context, we attempt to investigate the impact of the dependence structure among losses using copula theory, on the total risk capital estimation measured by the value-at-risk (VaR). First, using numerical illustrations based on a Tunisian insurance company, we apply various copula families that can capture the dependencies across losses that are derived from four lines of business. Then, based on the Monte-Carlo simulation, the total risk capital is deduced by applying VaR on the aggregate loss distributions. We also conduct a comparative analysis between the various types of the copulas. Our findings reveal that there is a regular impact on the capital requirement estimation indicating that a static approach ignoring the real dependencies between different risks can systematically lead to an overestimation of the total capital requirement.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2019-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46651605","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-03DOI: 10.1504/IJCEE.2019.10019510
Franklin Amuakwa-Mensah, Victoria Nyarkoah Sam, E. Kihiu
The concept of migration has been a male phenomenon in time past, however, there has been a change in events as females are gradually gaining dominance in migration patterns in recent times. Using nationwide survey data this paper investigates the determinants of internal migration decisions for males and females in Ghana. We examined whether there is any significant differences in how climate elements together with anticipated welfare gains and socio-economic factors explain internal migration decision of males and females. We find some variations in the determinants of migration decisions for males and female, though these decisions are significantly affected by anticipated welfare gain, socio-economic factors and climate conditions. We observed that females respond more to climate or environmental elements than males. Moreover, the effect of climate on migration decisions for both males and females is reinforced by anticipated welfare gain.
{"title":"Gender dimension of migration decisions in Ghana: the reinforcing role of anticipated welfare of climatic effect","authors":"Franklin Amuakwa-Mensah, Victoria Nyarkoah Sam, E. Kihiu","doi":"10.1504/IJCEE.2019.10019510","DOIUrl":"https://doi.org/10.1504/IJCEE.2019.10019510","url":null,"abstract":"The concept of migration has been a male phenomenon in time past, however, there has been a change in events as females are gradually gaining dominance in migration patterns in recent times. Using nationwide survey data this paper investigates the determinants of internal migration decisions for males and females in Ghana. We examined whether there is any significant differences in how climate elements together with anticipated welfare gains and socio-economic factors explain internal migration decision of males and females. We find some variations in the determinants of migration decisions for males and female, though these decisions are significantly affected by anticipated welfare gain, socio-economic factors and climate conditions. We observed that females respond more to climate or environmental elements than males. Moreover, the effect of climate on migration decisions for both males and females is reinforced by anticipated welfare gain.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2019-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41843448","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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