JEFAS Vol. 22 Nº 42 (2017)

URI permanente para esta colecciónhttps://hdl.handle.net/20.500.12640/4130

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Mostrando 1 - 6 de 6

Solo Metadatos
A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries
(Universidad ESAN. ESAN Ediciones, 2017-06-01) Rossetti, Nara; Nagano, Marcelo Seido; Meirelles, Jorge Luis Faria
Purpose – This paper aims to analyse the volatility of the fixed income market from 11 countries (Brazil, Russia, India, China, South Africa, Argentina, Chile, Mexico, USA, Germany and Japan) from January 2000 to December 2011 by examining the interbank interest rates from each market. Design/methodology/approach – To the volatility of interest rates returns, the study used models of auto-regressive conditional heteroscedasticity, autoregressive conditional heteroscedasticity (ARCH), generalized autoregressive conditional heteroscedasticity (GARCH), exponential generalized autoregressive conditional heteroscedasticity (EGARCH), threshold generalized autoregressive conditional heteroscedasticity (TGARCH) and periodic generalized autoregressive conditional heteroscedasticity (PGARCH), and a combination of these with autoregressive integrated moving average (ARIMA) models, checking which of these processes were more efficient in capturing volatility of interest rates of each of the sample countries. Findings – The results suggest that for most markets, studied volatility is best modelled by asymmetric GARCH processes – in this case the EGARCH – demonstrating that bad news leads to a higher increase in the volatility of these markets than good news. In addition, the causes of increased volatility seem to be more associated with events occurring internally in each country, as changes in macroeconomic policies, than the overall external events. Originality/value – It is expected that this study has contributed to a better understanding of the volatility of interest rates and the main factors affecting this market.
Solo Metadatos
Capital structure management differences in Latin American and US firms after 2008 crisis
(Universidad ESAN. ESAN Ediciones, 2017-06-01) Rodrigues, Santiago Valcacer; Moura, Heber José de; Santos, David Ferreira Lopes; Sobreiro, Vinicius Amorim
Purpose – This paper aims to analyse the capital structure determining factors of Latin American and US corporations after the crisis of 2008, as a means of comparing theoretical assumptions and empirical results in markets of different efficiency levels. Design/methodology/approach – The study sample comprises 1,091 companies belonging to the six largest economies in Latin America plus the USA, in the years 2009 to 2013. The authors performed a regression with data from a balanced overview, which were obtained by using the criterion of minimum weighted square. Findings – The results demonstrated differences in determining factors of capital structure between companies from Latin America and from the USA. The pecking order theory was mostly observed in Latin American companies and the trade-off theory greater was closely aligned with US firms. Originality/value – This research brings new contributions to the issue, once the differences and determinative of the debt profile in companies from different economic contexts are compared.
Solo Metadatos
Dependencia serial de largo plazo en el índice bursátil chileno, a través del coeficiente de Hurst y Hurst ajustado
(Universidad ESAN. ESAN Ediciones, 2017-06-01) Acuña-Opazo, Christian; Álvarez-Marín, Alejandro
Purpose – This research examined the existence of long-term memory by calculating the coefficient of Hurst and Hurst set, and the analysis of characteristics of chaotic structures in the series of stock market of Chile, specifically through the Selective Price Index Shares. Design/methodology/approach – A brief analysis of the market was developed, according to Box and Jenkins methodology. The validity of the results was performed by means of the test proposed by Brock, Dechert and Scheinkman. Secondly, we proceeded to analyze the dynamics and patterns of the index and its performance, to see if there was evidence of long-term memory. Findings – The results demonstrate the presence of long-term memory in the Chilean stock market, determined by stock index in two scales, daily and quarterly, which also corroborates results obtained by other authors, confirming the use of the methodology Range Re-scalded for the identification and determination of long-term memory in a time series. Originality/value – This study will allow future researchers to perform similar analyzes in other markets, providing a new approach when analyzing the long-term memory and the factors that affect it.
Solo Metadatos
Does more energy consumption support economic growth in net energy-importing countries?
(Universidad ESAN. ESAN Ediciones, 2017-06-01) Esen, Ömer; Bayrak, Metin
Purpose – This study aims to examine the effects of energy consumption on economic growth by means of a panel data analysis of 75 net energy-importing countries for the period 1990 to 2012. Design/methodology/approach – For the purpose of the analysis, the countries are classified into two groups, and each group is then classified into subgroups. The first group is formed based on the energy import dependence of the countries and is classified into two subgroups according to whether their dependence is greater than or less than 50 per cent. The second group is formed based on the income level of the countries and is classified into four subgroups, specifically, low-income economies, lower-middle-income economies, upper-middle-income economies and high-income economies. Findings – The findings obtained for both panel data and for each country indicate that there is a positive and statistically significant relationship between energy consumption and economic growth over the long term such that energy consumption contributes more to economic growth as the import dependence of the country decreases. Moreover, the effect of energy consumption on economic growth decreases as the income level of the country increases. This indicates that the efficient use of energy is as important as energy consumption, which is regarded as an important indicator of economic development. Originality/value – The authors expect that these findings will make a valuable contribution to the results of future studies, as they analyze the relationships among the variables by including the energy intensities of the countries.
Solo Metadatos
The short-term response of the Hispanic noncitizen population to anti-illegal immigration legislation: The case of Arizona SB 1070
(Universidad ESAN. ESAN Ediciones, 2017-06-01) Sánchez, Gonzalo E.
Purpose – This paper aims to examine the short-term effect of the Arizona Immigration Law of 2010 (SB1070) on the noncitizen Hispanic state population. Design/methodology/approach – To get a consistent estimate of this effect a synthetic control method has been used to calculate a suitable counterfactual. Findings – Results indicate that this bill produced a statistically significant short-term reduction in the proportion of noncitizen Hispanics in Arizona between 10 and 15 per cent. However the evidence suggests that this effect vanishes after a few months. Originality/value – These findings are consistent with previous evidence of the high mobility of the undocumented population in the US and contribute to the understanding of the effects of federal and statelevel immigration legislation.
Solo Metadatos
Using a naive Bayesian classifier methodology for loan risk assessment: evidence from a Tunisian commercial bank
(Universidad ESAN. ESAN Ediciones, 2017-06-01) Krichene, Aida
Purpose – Loan default risk or credit risk evaluation is important to financial institutions which provide loans to businesses and individuals. Loans carry the risk of being defaulted. To understand the risk levels of credit users (corporations and individuals), credit providers (bankers) normally collect vast amounts of information on borrowers. Statistical predictive analytic techniques can be used to analyse or to determine the risk levels involved in loans. This paper aims to address the question of default prediction of short-term loans for a Tunisian commercial bank. Design/methodology/approach – The authors have used a database of 924 files of credits granted to industrial Tunisian companies by a commercial bank in the years 2003, 2004, 2005 and 2006. The naive Bayesian classifier algorithm was used, and the results show that the good classification rate is of the order of 63.85 per cent. The default probability is explained by the variables measuring working capital, leverage, solvency, profitability and cash flow indicators. Findings – The results of the validation test show that the good classification rate is of the order of 58.66 per cent; nevertheless, the error types I and II remain relatively high at 42.42 and 40.47 per cent, respectively. A receiver operating characteristic curve is plotted to evaluate the performance of the model. The result shows that the area under the curve criterion is of the order of 69 per cent. Originality/value – The paper highlights the fact that the Tunisian central bank obliged all commercial banks to conduct a survey study to collect qualitative data for better credit notation of the borrowers.