Dynamic Panel Methods Research Articles

Impact of corporate governance attributes on audit report lag of corporate: The case of BIST-30

The purpose of this study is to investigate the effects of corporate governance behaviors on audit report lag. The lag of audit reports concerns investors and other parties. Therefore, it can affect the firm value of the enterprises. For this aim, 30 companies operating in Istanbul Stock Exchange (BIST) were used in this study. The data of the firms are taken from the independent audit reports. As the audit report lag, the difference between December 31 and of the date when companies announced their report was taken. In this study, we used the proportion of non-executive directors to total number of board, total assets, share of the largest shareholder and free float rate as corporate governance attributes. Findings of this study was based on the used system dynamic panel method. As a result, it was concluded that the corporate governance behaviors of the firms were not effective on the audit report lags of the firms.

İmalat Sanayi İşletmelerinde Kurumsal Yönetim Uygulamasının Sermaye Yapısı Üzerine Etkisi: Türkiye Örneği

In this study, Debt / Total Assets and Debt / Equity ratios of manufacturing industry enterprises included in BIST corporate governance index are examined annually between the years 2005-2013. In the study, where the relevant ratios have been examined over the years, the direction of change in the capital structure by utilizing corporate governance index with the help of panel and dynamic panel methods has been tried to be explicated. In analyses performed on manufacturing industry enterprises reveal that there is a significant increase both in Debt / Total Assets and Debt / Equity ratios following the inclusion of those enterprises in the corporate governance index. The results of the study indicate a statistically significant increase in the indebtedness of the manufacturing industry enterprises included in the corporate governance index.

Military Spending, Conflict and External Debt in Sub-Saharan Africa

ABSTRACTThe damaging economic effects of the debt crises on Africa in the late 1980s encouraged considerable research on the determinants of external debt in developing economies. Although sub-Saharan Africa's (SSA) debt was cut by two-thirds by 2008, through two debt relief programmes, debt in the region has since been rising at an increasingly rapid pace. This study provides an empirical analysis of the determinants of external debt in SSA over the period 1960–2016, using dynamic panel methods. It also considers two potentially important factors that have received relatively little attention. One is military spending, rarely considered, despite a number of well-publicised scandals over the procurement of unnecessary and expensive high-tech weapons systems. A second, is the possibility that the countries studied have been involved in conflict. The empirical results point to a positive impact of military spending on external debt, but with some evidence of heterogeneity across the countries. Furthermore, findings indicate that the positive effect of military expenditure on debt becomes more marked in countries that have been affected by conflict. These results imply that policies to improve security and reduce military spending could be beneficial in reducing external debt and, potentially, improving economic performance in the region.

Cross-Border Banking, International Financial Flows and Financial Deepening

The study evaluates the significance of cross-border banking and international financial flows in enhancing financial deepening in the Southern African Development Community (SADC), including isolating the impact of regional, or pan-African, banks. The study also attempts to estimate the responses of the domestic financial sector to shocks in foreign banks and financial flows. Dynamic panel and general method of moments (GMM) estimations established that cross-border bank slows down development of domestic financial markets, although there are traces of positive effects in some measures. Pan-African Banks support credit development in domestic markets although diluting profitability. Impulse response and variance decomposition shows a largely negative reaction of domestic financial markets to shocks in foreign banks and financial flows in the short run, with the reaction turning positive in the long run. Indicatively, the results are demonstrating limited, but positive, financial spill-overs effects of foreign banks on financial development of other SADC countries. PanAfrican Banks are still to have a significant impact in the SADC countries.

Global growing‐area elasticities of key agricultural crops estimated using dynamic heterogeneous panel methods

AbstractWe estimate the short‐ and long‐run global response of corn, soybeans, wheat, and rice growing areas to output price changes allowing responses to vary across countries using methods from the panel time‐series literature. Our estimates of growing‐area response are considerably lower than estimates obtained using more traditional models. Previous findings appear biased due to the assumption of homogeneous response across countries. Our aggregate estimates of short‐ and long‐run elasticities of four crop growing areas with respect to average price are 0.024 and 0.143, respectively. Crop‐specific results indicate that both corn and soybean growing areas are generally more responsive than wheat and rice. For corn and soybeans, the long‐run own‐price growing‐area elasticities are 0.274 and 0.793, respectively. The long‐run own‐price elasticities for wheat and rice are 0.279 and 0.045, respectively. The short‐run own‐price elasticities for corn and soybeans are 0.133 and 0.199, respectively, which are higher than wheat (0.037) and rice (0.00001).

The assessment of liquefied natural gas (LNG) demand reversibility in selected OECD countries

Experience has shown that there is a relationship between demand and price, contrary to the short-term mode, which is expected to be inverted between price and value, and the effects of lowering and rising prices follow reverse. But symmetric results; in the long run, there may be unlawful reactions It would seem that the effect of the price increase and its effect on the amount with its photo mode is not the effect of the price decline. To illustrate the effects of price symmetry, the price can be broken down into three parts, the maximum price, the lowering price, and the increasing price, according to the Getely method. The main objective of this paper is to investigate the effects of the LNG product in the OECD countries. The study uses seasonal data from 2011–2015 for selected countries (Japan, South Korea, United States, United Kingdom, and Spain). Dynamic panel method is also used to estimate the model of this research. According to research findings, long-term and short-term elasticities of effective factors on LNG demand in selected countries have been calculated. The results show that LNG demand in the selected importing countries is relatively reversible in the short and long-term.

Learning from failure in healthcare: Dynamic panel evidence of a physician shock effect.

Procedural failures of physicians or teams in interventional healthcare may positively or negatively predict subsequent patient outcomes. We identify this effect by applying (non)linear dynamic panel methods to data from the Belgian transcatheter aorta valve implantation registry containing information on the first 860 transcatheter aorta valve implantation procedures in Belgium. We find that a previous death of a patient positively and significantly predicts subsequent survival of the succeeding patient. We find that these learning from failure effects are not long-lived and that learning from failure is transmitted across adverse events.

Does FDI Attract Immigrants? An Empirical Gravity Model Approach

This study tests whether foreign direct investment (FDI) and migration are substitutes or complements using data on bilateral FDI flows from countries that are members of the Organisation for Economic Co-operation and Development (OECD) and bilateral immigration to OECD countries over the period 1996 to 2006. Our most conservative estimates, using dynamic panel methods, suggest that a $1 million increase in FDI to another OECD country increases immigration by about 60 migrants, while the same increase to non-OECD locations increases migration by about 1,000. These findings support a core-periphery model of globalization and development.

How Effective are Policy Interventions in a Spatially-Embedded International Real Estate Market?

We introduce the role of ‘space’ in analyzing the effect of macroeconomic policy interventions on cross-country housing price movements. We build an empirically testable analytical model and test our theoretical predictions for a panel of European countries over the period 1985–2015. Our aim is to demonstrate that while macroeconomic policy exerts a significant impact on international housing markets, the magnitudes of such impacts may be overestimated in the absence of spatial frictions. To test our hypotheses, we employ a spatial dynamic panel method and quantify intra- and inter-country differences of the effects of macroeconomic policy interventions on spatially interdependent housing markets. Endogeneity issues arise in our estimation, which we ameliorate by employing the spatial Durbin model for panel data. Following this approach, we include spatial, temporal and spatio-temporal lags for the identification purpose. We show that a spatially-embedded model produces relatively smaller and correct signs for macroeconomic variables in contrast to the traditional non-spatial model. It is concluded that empirical estimates from the traditional model are consistently over-estimated. These have significant policy implications for the exact role of macroeconomic interventions in explaining housing price movements. A battery of robustness tests and evaluations of predictive performance confirm our results.

Energy Consumption and Economic Growth:Evidence from Developed and Emerging Markets

This research analyzed the effect of energy consumption on economic growth using neo-classical one-sector aggregate production function with panel data from Emerging Markets and Developed countries over the period 2000–2013. This study has applied dynamic panel method in the form of two-step panel Generalized Method of Moments (both difference and system) GMM. The findings of this research exposed that both gross fixed capital formation and energy consumption have significant and positive effect on economic growth in both Developed and Emerging Market countries. In addition, labour force has been found to influence positively on economic growth in the group of Developed Market countries. However, labour force established the significant as well as negative effect on economic growth in the Frontier Market countries. Since the findings revealed that all the sampled countries are energy dependent, therefore, their policy makers should continue to promote the development of energy infrastructure with the aim to gain higher economic growth by making effective energy policies. This can be achieved through the allocation of more resources to the development of new sources of energy and ensure sustainability of energy use.

Accounting for Nonlinearity, Asymmetry, Heterogeneity, and Cross-Sectional Dependence in Energy Modeling: US State-Level Panel Analysis

This paper provides an example of several modeling and econometric advances used in the panel estimation of energy demand elasticities. The paper models the demand of total, industrial, and transport energy consumption and residential and commercial electricity consumption by analyzing US state-based panel data. The paper employs recently developed dynamic panel methods that address heterogeneity, nonstationarity, and cross-sectional dependence. In addition, the paper (i) considers possible nonlinear relationships between energy consumption and income without employing polynomial transformations of integrated income; and (ii) allows for and calculates possible asymmetric relationships between energy consumption and price. Finally, the paper models energy efficiency improvements by a nonlinear time trend. To our knowledge no other paper has combined all of the econometric and modeling advances that are applied here. Most of the results conformed to expectations; however, limited to no evidence of nonlinearities and asymmetries were uncovered.

The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme

We explore the transmission of the ECB's public sector asset purchase programme (PSPP) via the portfolio rebalancing of investment funds and their investors. Evidence for this channel would validate several theoretical propositions and provide insights into market perceptions of intervention effects. Using dynamic panel methods, we find that PSPP-holding funds rebalance towards bonds issued by non-EA deposit taking corporations. Other bond and mixed funds also tend to rebalance towards non-EA issued NFC and government bonds. There is some evidence of rebalancing into longer-term maturities but none towards equities. These effects mainly become significant after the scaling-up of the programme. This pattern of rebalancing implies a heavy reliance on weakness of the euro to generate inflation and it reflects a continued reluctance to invest in the growth prospects of EA banks and corporates.

Growth Volatility and Government Expenditure in Low and Middle Income Countries: A Dynamic Panel Analysis

We examine the relation between the governmentconsumption expenditure and outputgrowth volatility in 57 low and middle incomecountries by using both static and dynamic panelmethods. It seems that the results of thesemethods largely differ from each other. Contraryto some previous results reported in the literature,we present a strong evidence for a negativerelation between government expenditure andvolatility in low and middle income countries. Wealso conclude that the volatilities of governmentconsumption, trade openness and investmentare signifi cant in explaining the growth volatility.To have a more stable economy, policy makersin these countries should pay more attentionto some issues. In this context, we think thata change in the tax and expenditure system inorder to make automatic stabilizers work betterwould be helpful. Additionally, it is important tohave a sound fi scal and monetary position to effectivelycarry out countercyclical policies whenneeded. Moreover, adopting and implementingclear and fl exible rule-based economic policiesshould be considered. Finally, improving the institutionalstructure and policy making capacitymust be an ultimate aim to reduce the economicvolatility.

Employment impacts of upstream oil and gas investment in the United States

We use dynamic panel methods at the state level to understand how the increase in exploration and production of oil and natural gas since the mid-2000s has impacted employment. We find robust statistical support for the hypothesis that changes in drilling do, in fact, have an economically meaningful and positive impact on employment. The strongest impact is contemporaneous, though months later in the year also experience statistically and economically meaningful growth. Once dynamic effects are accounted for, we estimate that an additional rig count results in the creation of 31 jobs immediately and 315 jobs in the long run. Robustness checks suggest that these multipliers could be even bigger. Our results imply that the national impact of upstream investment remains small, perhaps due to the sector's small size and inter-state migration.

Impact of economic, financial, and institutional factors on CO2 emissions: Evidence from Sub-Saharan Africa economies

Given the acceleration of economic changes in Sub-Saharan Africa economies (SSA), a better understanding of the relationship between economic growth and pollution is essential for policy makers. The purpose of this study is to investigate the impact of economic, financial and institutional developments on CO2 emissions for 25 SSA countries over the period 1996–2010. We use the reduced form modeling to control unobserved heterogeneity specific to countries and the GMM dynamic panel method to control endogeneity. We found no -evidence in our investigation for the Environmental Kuznets Curve (EKC) hypothesis. Indeed, a monotonically increasing relationship with GDP is found more appropriate for CO2 emissions. The results confirm that political stability, government effectiveness, democracy, and control of corruption influence negatively CO2 emissions. On the contrary, regulatory quality and rule of law have a positive effect on CO2 emissions. The results confirm the importance of institutional frameworks in reducing carbon dioxide emissions since institutional quality not only affects carbon dioxide emissions directly, but also indirectly via economic growth and trade openness.

Long Run Impacts of Interest Rate Liberalization on Stock Market Development

The paper investigates the long run impacts of interest rate liberalization on stock market development in the seven selected sub-Saharan African countries using panel dataset that spans 1990 to 2013. Interest rates deregulation is measured by liberalization index considering the different periods that the respective SSA countries liberalized their interest rates. The index of stock market development is proxy by market capitalization. The study employs dynamic heterogeneous panel method using the technique of Pooled Mean Group (PMG). The results reveal that on the average liberalizing the interest rates has a negative long run impact on the development of the stock markets in the seven selected SSA economies. The policy recommendation as a result of this finding is that liberalization of interest rates in the SSA region should be a guided one.

Impact of Public Infrastructure on Output of U.S. Food Manufacturing Industries: A Heterogeneous Dynamic Panel Approach

ABSTRACTThis study analyzes the long‐run impacts of public infrastructure on output of 34 U.S. food manufacturing/processing industries during 1958–2000 using heterogeneous dynamic panel methods, including mean group and pooled mean group methods. The results suggest that public infrastructure has a long‐term output impact across U.S. food manufacturing and processing industries. A 1% increase in public infrastructure increases U.S. food manufacturing output by 0.06% in the long run. The long‐run positive impact of public infrastructure on food output suggests its importance to the food manufacturing sector of continuous public infrastructure investment [EconLit citations: Q13; H54; C33].

Information sharing and the volume of private credit in transition: Evidence from Ukrainian bank-level panel data

The effect of lenders' information sharing on the volume of credit is ambiguous in theory and underexplored empirically. Departing from the scant existing literature, which draws on country-level aggregate data, we study the impact of information sharing on the volume of private credit by examining unique bank-level panel data from Ukraine, a transition economy where information sharing among banks is only a recent phenomenon. Employing the fixed-effects framework and dynamic panel methods to address endogeneity due to the non-exogenous nature of banks' choice to participate in information sharing, we find no credit volume effect of information sharing when information sharing takes place through the central bank-administered public credit registry. In contrast, information sharing through private credit bureaus is associated with an increase in the volume of bank lending, in particular when a bank is partner of multiple private credit bureaus. This effect is robust and non-negligible in magnitude.

Spatial panel data forecasting over different horizons, cross-sectional and temporal dimensions

Les évaluations empiriques de la capacité de prévision des modèles spatiaux en panel sont encore peu nombreuses. Quelques contributions méthodologiques reposent sur des données simulées afin de mettre en avant le potentiel de ces méthodes. Tandis que les simulations peuvent être utiles pour évaluer les propriétés d’un seul estimateur, le cadre empirique des études de simulation est souvent basé sur des hypothèses fortes concernant la forme et la régularité de la distribution statistique des variables utilisées. Il est alors utile d’avoir, à côté des études de simulation, des évaluations empiriques des modèles économétriques concurrents basées sur des données réelles. Dans cet article, nous évaluons des méthodes spatiales (dynamiques) en panel concurrentes, en utilisant un certain nombre de bases de données caractérisées par différentes dimensions temporelles et coupes transversales, ainsi que différents niveaux d’autocorrélation spatiale. Nous réalisons notre étude empirique sur des données de chômage régional pour la France, l’Espagne et la Suisse. En outre, nous faisons des tests sur différents horizons de prévision, afin d’évaluer la vitesse de dégradation de la qualité de prévision. Nous comparons deux classes de méthodes: les modèles Var spatiaux (Sp Var ) et les modèles dynamiques en panel utilisant des vecteurs propres de filtrage spatial ( Sf ). Nous constatons que, comme l’on pouvait s’y attendre, le déséquilibre entre la dimension temporelle et transversale (T > > n) joue en faveur du modèle Sp Var . Néanmoins l’avantage du modèle de Sp Var sur le modèle SF semble diminuer à mesure que l’horizon de prévision s’élargit et le modèle Sf semble être préféré pour des prévisions très lointaines.

The non-linear effect of population growth and linear effect of age structure on per capita income: A threshold dynamic panel structural model

This paper investigates the non-linear effect of population growth and linear effects of age structure on per capita income, using the threshold dynamic structural panel (TDSP) and non-linear generalized method of moments (NGMM) Models. A data set from 81 countries (both developing and developed) covering a 50-year period is used. The results indicate that there is a non-linear relationship between population growth and per capita income. Population growth rate before the zero percent threshold has a significant and positive impact on per capita income, while no significant impact is found after the threshold. Therefore, the optimistic view can be adopted for developed countries where population growth rate is low. In contrast, the neutralistview is applicable in countries where population growth is relatively high. The model’s results also indicate that changes in population age structure affect per capita income—changes which describe a linear relationship. The ‘young dependency’ ratio has a consistently significant and negative effect on per capita income while the participation rate has a significant and positive effect on per capita income. However the ‘old dependency’ ratio has a fragile and contradictory effect on per capita income. Therefore, the view of proponents of age structure is generally acceptable.