Effect Of Macroeconomic Variables Research Articles

Macro-economic Variable and Its Behavioural Effect on Government Spending in Nigeria (a) (VECM Analysis)

The gross objective of this research work is to ascertain the behavioural effect of some key macro-economic variables to increase in government spending over a period of 1981 to 2014 using vector error correction model and ganger causality test as an estimation tools for justification. From the output of the major estimate, we found that the behavioural effect of macro-economic variables to increase in government spending are multidimensional such that some macro-economic variables such as (BOT and INTR) are a significant but inversely related to total government spending while others maintain a direct flow. The economic implication of negative balance of trade is unfavourable balance of trade which signifies that Nigerians import more in monetary term than it’s export while the negative value of the interest rate is in line with our apriori expectation. Consumer price index is positive and statistically significant which suggest double jeopardy. That is, consumers are confident to buy more when the purchasing power of naira has declined and finally, we observe significant level of unemployment. One major factor that could be responsible for this abnormities is not far from the fact that larger quantum of government spending in Nigeria is massively allocated toward recurrent expenditure while few percentage is injected into capital expenditure which amount to highly and ever teaming unemployment rate over the years. Sequel to the above findings, the study recommends that emphasis be made on productive and manufacturing sectors of the economy for massive output and encourage exportation as it is a symbol of favorable balance of trade which will further showcase government effort and help reducing the ever teaming unemployment rate in Nigeria.

The Effect of Macroeconomic Variables on the Stock Market Index of the Tehran Stock Exchange

This paper examines the relationship between stock market index and macroeconomic policies (Fiscal and Monetary) on Iran's economy using quarterly data in the period 1999-2013. This study employed cointegration test and vector autoregressive models (VAR) to examine relationships between the stock market index and the macroeconomic variables. The empirical results reveal that a positive money shock can increase stocks return. According to impulse responses, the government expenditure had a slight impact on stocks return in the short term. But the government expenditure has a positive effect on exchange index in long run. Also the effect of taxes on the stock's price index is negative, so that it reaches its maximum level after the third lag and then alleviates. The GDP shock has positive effect on the stock's price index. Increase in production level leads to increase in earnings and profitability, leading to a positive response from stocks index. Therefore the results showed that the macroeconomic variables such as inflation, exchange rate and GDP have significant effects on Tehran exchange price index. So the hypothesis that the improving economic factors can have a useful role in the booming capital market is confirmed. Also the effect of fiscal policy factors such as tax revenues and government expenditures is more than monetary policy factors on stock returns.

Macro-Economic Variable and Its Behavioural Effect on Government Spending in Nigeria ( a ) ( VECM Analysis )

The gross objective of this research work is to ascertain the behavioural effect of some key macro-economic variables to increase in government spending over a period of 1981 to 2014 using vector error correction model and ganger causality test as an estimation tools for justification. From the output of the major estimate, we found that the behavioural effect of macro-economic variables to increase in government spending are multidimensional such that some macro-economic variables such as (BOT and INTR) are a significant but inversely related to total government spending while others maintain a direct flow. The economic implication of negative balance of trade is unfavourable balance of trade which signifies that Nigerians import more in monetary term than it’s export while the negative value of the interest rate is in line with our apriori expectation. Consumer price index is positive and statistically significant which suggest double jeopardy. That is, consumers are confident to buy more when the purchasing power of naira has declined and finally, we observe significant level of unemployment. One major factor that could be responsible for this abnormities is not far from the fact that larger quantum of government spending in Nigeria is massively allocated toward recurrent expenditure while few percentage is injected into capital expenditure which amount to highly and ever teaming unemployment rate over the years. Sequel to the above findings, the study recommends that emphasis be made on productive and manufacturing sectors of the economy for massive output and encourage exportation as it is a symbol of favorable balance of trade which will further showcase government effort and help reducing the ever teaming unemployment rate in Nigeria.

Macroeconomic dynamics and magnitude of poverty: a comparative analysis of different regimes

The poverty level in Pakistan has been increasing and despite decades after independence it is still a very critical socioeconomic issue. This study examines the effects of macroeconomic variables (GDP, inflation, unemployment, and tax revenues) on the poverty rate in Pakistan since 1974 to 2014. Moreover, this study also investigated the impact of a different regime i.e. democracy and military regime with reference to macroeconomic variables and poverty rate. The descriptive statistical analysis was carried out by using graphs and inferential statistical analysis was performed using Pearsons correlation and multiple regression analysis. The results showed that the real GDP and tax revenues have significant negative effects on the poverty rate. The inflation also showed a significant positive effect on the poverty rate, which implied that an increase in inflation hurts the poor more and leads to increased poverty. The unemployment rate showed insignificant positive impact on the poverty rate. On the aspect of influence of different regimes i.e. democracy and military rule, the results showed democracy has a negative impact on the poverty rate, implying that the democratic regimes are more favourable for poverty reduction in Pakistan.

The effect of macroeconomic variables on non performance financing of Islamic Banks in Indonesia

This research is going to discuss about the determinant macro variables and bank’s behavior determinant credit risk on Islamic rural bank in Indonesia. It could be seen on macro variables such as inflation, exchange rate, Jakarta I slamic index (JII) and money supply (M2), and bank’s behavior such as financing. Research methodology used at this study is Vector Error Correction Model (VECM). Following these procedures, it applies Unit Roots Test, Augmented Dickey Fuller Test, Lag Length Criteria Test, Correlation Matrix – Johansen Julius Co-integration Test, VECM Estimation, Impulse Response and Variance Decomposition Test. The result show that both bank behaviors and macroeconomic variables are significant affecting non-performing financing (NPF). The banking need more careful to manage internal and external factors that influence non-performing financing (NPF).

The Effect of Macroeconomic Variables on Non-performing Loans in Turkish Banking Sector

The Effect of Macroeconomic Variables on Non-performing Loans in Turkish Banking Sector

The effects of macroeconomic variables on non-oil exports in Iran

The effect of macroeconomic variables on non oil exports in Iran has been explored in this study during period (1970–2012) and by means of Vector Error Correction Model (VECM). The results indicated that there is a balanced relationship among non oil exports and its main variables in the long run so that according to research hypotheses, there is a reverse relationship among inflation rate, uncertainty of real exchange rate, and inflation uncertainty with non oil exports. Hence, with respect to effect of macroeconomic variables on non oil exports, it is suggested to take controlling policies for fixation of exchange rate, controlling inflation, and support from Gross National Product (GDP).

Macroeconomic Variables and Value Creation in the Nigerian Quoted Companies

This study uses 1,425 observations, relating to firm level and time series data sets, to examine the effect of macroeconomic variables on the economic value created by the Nigerian quoted companies. The data described macroeconomic variables such as inflation (INF), interest rates (INT), capital expenditure ratio of government (CAR) foreign exchange rates (FRXG), gross domestic product (GDPG) and the developments in the capital (CMKG) and labour market (LBMG), on the one hand and the economic value added (EVA) by 186 purposively selected quoted companies for the years 2001-2012, on the other. To allow for comparison of results, the companies were categorized into two sub-sectors: manufacturing (715 observations) and services (710 observations). The study uses descriptive and inferential statistical tools such as mean, standard deviation, correlation, pooled ordinary least square (OLS) regression and generalized method of moments (GMM) techniques to analyze data. The study found that EVA followed an autoregressive function after one period hence, lagged EVA was included in the model estimated. Due to the problem of heteroskedasticity i.e. the presence of significant serial correlation in disturbance term, Generalized Method of Moment results were relied upon and significant (positive and negative) impact of CAR (β=-0.0173, p

PENGARUH VARIABEL MAKROEKONOMI DAN KONDISI PASAR MODAL INTERNASIONAL TERHADAP INDEKS HARGA SAHAM GABUNGAN

This study aims to analyze the effect of macroeconomic variables and international capital market conditions on the stock price index, namely: Effect of macroeconomic variables and the International Capital Markets Index against JCI in short-term. Short- term and long term research is descriptive and associative. The type of data in this study is secondary data from the years 2004-2013 in the form of time series data obtained from the IDX Statistics and Bank Indonesia publications. The analytical method used is the Error Correction Model.Hasil study are (1) BI Rate, Exchange Rate and STI have significant effect on the composite index in the short term, but money supply, DJIA and CAC40 have not significant effect on the composite index. (2)Money Supply, , Exchange Rate, DJIA and STI have significant effect on the composite index in the short term, but BI Rate, and CAC40 have not significant effect on the composite index.Keyword: Composite Stock Price Index, Macroeconomic Variables, International Capital Markets Index and Error Correction Model.

The Effective Factors on Informal Economy in Developing Countries (Panel Data Model)

A part of countries' economic activities is appertained to informal economy in which the activities done are not recorded in countries' formal statistics. Existence of the informal economy causes reduction in government incomes and has undesirable impact on policies' efficiency. Various factors are involved in formation and growth of the informal economy. In this article, the effect of macroeconomic variables on informal economy volume is investigated and analyzed for 98 developing countries using panel data model during 1999 to 2007. Estimation results show that there is a direct relationship between inflation and unemployment rate indices and the informal activities volume throughout countries, so that by one percent increase in inflation and unemployment indices, informal economy’s share in gross domestic product of the investigated countries is increased by (0.19) and (0.04) percent, respectively. Economy's openness degree and the index presenting economic corruption and economy's openness degree interaction affect the informal economy volume negatively. Informal economy's elasticity relative to each of these indices is attained equal to (-0.05) and (-0.04) respectively. This significant finding shows that although there is an indirect relationship between economy's openness degree and the informal economy volume, in countries where there is higher degree of economy openness and lower economic corruption simultaneously, informal economy's share in gross domestic product is also lower thereby economic corruption has a significant effect on informal economy volume. The present article also investigates oil economies role in the informal economy volume. The model estimation results confirm higher the informal economy volume in oil-exporting countries relative to non-oil economies.

A Study of the Effect of Macroeconomic Variables on Stock Market: Saudi Perspective

As we know investment in the Saudi stock market (TASI) is gaining popularity particularly since 2001 (Report of Aljazira Capital – 2010), it is important to know the impact of different macro-economic variables on the returns of the Saudi stock market. In this regard along with an extensive literature review we also referred specific recent few important studies which considered the Saudi stock return as a dependent variable and other economic factors as the independent variables [Kalyanaraman and Al-Tuwajri (2014), Arouri and Rault (2010) and Onour (2008)]. This paper examines the three important factors influencing the returns in the Saudi Stock Exchange (TASI) based on the macroeconomic variables of Saudi Economy. The dependent variable taken here is the Saudi index that is TADAWUL All Stock Index (TASI) and the three independent variables considered for our study here are the Oil WTI, Saudi Exports and the PE Ratio. Correlation analysis revealed that Saudi Exports and the PE Ratio were found to be highly correlated with TASI at 1% level of significance whereas Oil WTI and TASI are significantly correlated at 5% level. Step-wise regression analysis of the data revealed that the multiple regression models is significant at 1% level and the variable PE Ratio was the most important determinant of TASI followed by Oil WTI and Saudi Exports. Further the three independent variables explain about 93% of variation in the TASI Last Price.

Murabahah Versus Interest Rate, the Equilibrium Relationship with Macroeconomic Variables in Jordanian Economy: An ARDL Approach

In the first decade of the 21st century, the world witnessed another global financial crisis, which was inaugurated in late last quarter of 2007. Its impacts that still can be seen everywhere until now has left severe impacts on the macroeconomic variables such as, Gross Domestic Product, Unemployment Rate, Inflation Rate, and Exchange Rate. This paper attempts to investigate the effects of MURABAHAH and interest rate on the global financial crisis 2008. Effects of MURABAHAH and IR on the financial crisis through its known and obvious indications or magnifications were intensely explained in this study. Six variables were targeted in this study, that are, Murabahah Rate, Interest Rate, Inflation Rate, Unemployment Rate, Exchange Rate and Gross Domestic Product. The data for this study was collected from Jordanian statistics department, Central Bank of Jordan, World Bank, and Jordanian Islamic Bank. The time series of 1984- 2012 was chosen as the study duration. The outcome of this paper show that the effect of macroeconomic variables on Murabahah is acceptable compare with its impact on Interest rate and Murabahah can make equilibrium faster than interest rate. However, the police makers in Jordan must pay more attention to the Islamic finance as an alternative of conventional finance.

Life of Paneer: An Insight on Effect of Macroeconomic Variables on Stock Exchange

The effect of Macroeconomics on the stock market or stock exchange is not a newly discovered concept. Many academicians and economists have observed various factors in the macroeconomics theories that affect the prices and indices of stock exchange. Along with academic views, there is a sufficiently well amount of empirical evidence to point out such relations. This paper is divided in three major sections. The first part of the paper talks majorly about some of the variables that have been identified by various authors to affect the stock market in various countries.The second section of the paper is a story of an Indian investor named Paneer. A small investor, this section will discuss the journey of this unaware investor through the stock market and attempt to identify the reasons of the events that happened by analyzing the various macroeconomic variables that were at play.

Assessment of mortgage default risk via Bayesian state space models

Managing risk at the aggregate level is crucial for banks and financial institutions as required by the Basel III framework. In this paper, we introduce discrete time Bayesian state space models with Poisson measurements to model aggregate mortgage default rate. We discuss parameter updating, filtering, smoothing, forecasting and estimation using Markov chain Monte Carlo methods. In addition, we investigate the dynamic behavior of the default rate and the effects of macroeconomic variables. We illustrate the use of the proposed models using actual U.S. residential mortgage data and discuss insights gained from Bayesian analysis.

Assessing the Proportionality Assumption in Default Rate Forecasting Using the Proportional Hazard Model

The first generation quantitative bankruptcy prediction models are not designed to accommodate the time dimension. To overcome this limitation, various dynamic models based on survival analysis are developed recently. Among them, Cox (1972)’s proportional hazard model has been widely used in various fields because of the advantage of being free of distributional assumptions. The proportionality assumption, however, must be applied precisely when there is a potential structural change. In this paper, we assess the violation of proportionality assumption in the firm failure prediction model built around the Cox’s proportional hazard model and proposed non-proportional hazard model. We also examine the effect of macroeconomic variables to suggested non-proportional hazard model. We perform an investigation using the Korean stock market since the market, which has experienced two well-known structural changes caused by the Asian financial crisis and 2008 Global financial crisis, is well suited for analyzing the impact of the proportionality assumption on the appropriateness and predictability of the Cox’s proportional hazard model. It is shown that a non-proportional hazard model including a change point is a proper alternative, when the proportionality assumption is violated.

FIRM DEFAULT AND AGGREGATE FLUCTUATIONS

This paper studies the relationship between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. By using a panel data set for virtually all incorporated Swedish businesses over 1990-2009, a period which includes a full-scale banking crisis, we find strong evidence for a substantial and stable impact from aggregate fluctuations on business defaults. A standard logit model with financial ratios augmented with macroeconomic factors can account surprisingly well for the outburst in business defaults during the banking crisis, as well as the subsequent fluctuations in default frequencies. Moreover, the effects ofmacroeconomic variables differ across industries in an economically intuitiveway. Out-of- sample evaluations show that our approach is superior to models that exclude macro information and standard well-fitting time-series models. Our analysis shows that firm-specific factors are useful in ranking firms' relative riskiness, but that macroeconomic factors are necessary to understand fluctuations in the absolute risk level.

Effect of Macroeconomic Variables on the FDI inflows: The Moderating Role of Political Stability: An Evidence from Pakistan

This study has examined the moderating role of Political Stability (PS) on the relationships between macroeconomic variables and the Foreign Direct Investment (FDI) inflows in Pakistan. For that purpose, this study used the authentic annual data for the period 1991 to 2011. The empirical analysis involved using the ADF test to check the stationary of the data, the EViews software and hierarchal regression using SPSS 19.0 statistical software package. The results of the study confirmed that that GDP growth rate, exports, imports and balance of payment have positive significant effects on FDI inflows in Pakistan. On the other hand, the inflation rate was not significant in determining the FDI inflows in the country. However, the GDP growth rate and Balance of Payment tends to be a significant determinant of FDI inflows when the moderating effect of the Political stability is accounted for. Based on the findings of this study, it is strongly suggested that political stability is crucial for the country’s domestic and foreign investment expansion in the future course of direction.

Does Economic Growth Ensure Life Satisfaction? : A Study of Emerging Economies

The BRIC Countries, with their recent developments, are expected to soon take over the G-6 set of economies by 2016. The developments experienced by BRIC economies are in the form of trade, investment and development, and are due to the huge population and economic foundations of these economies. Due to the strong economic growth of the BRIC countries, the consumers are able to spend more, thus emerging to be a major reason of consumer growth. The economic growth and developments taking place in the developing nations has a major effect on the level of satisfaction of the people in these economies. This paper analyses the effects of macroeconomic variables - namely Inflation, Unemployment, Gross Domestic Product (GDP), Foreign Direct Investment (FDI) and Prime Lending rate on the life satisfaction of people in the emerging economies - namely Brazil, China, India and the Russian Federation (BRIC).

거시경제변수가 호텔기업의 수익성에 미치는 영향

The purpose of this study is to find out the effect of macroeconomic variables on the hotel profitability and suggest the reasonable way to handle them. To achieve this purpose, seven macroeconomic variables were used as an independent variable. These were the index of industrial production, West Texas Intermediate, the consumer price index, the unemployment rate, the money supply, the trade balance and the exchange rate. And ROA and ROE of total hotels were used as a dependant variable respectively. As the result of regression, it was found that the index of industrial production and the exchange rate had a significant and positive effect on ROA. And West Texas Intermediate, the consumer price index and the unemployment rate had a significant and negative effect on ROA. Also the consumer price index and the unemployment rate had a significant and negative effect on ROE and the exchange rate had a significant and positive effect on ROE. Through the analysis two key variables were found to be very important ones. These were the unemployment rate and the exchange rate. So the hotel managers need to emphasize on the good price of domestic hotel products and supply the various productions and services to the guests when the exchange rate is increased. But when the unemployment rate is increased, the hotel managers should consider to supply the middle price products with the hight price products.

Effects of Macroeconomic Variables on Foreign Direct Investment in a Liberalized Economy: The Case of Nigeria

The study investigated the impact of some selected macroeconomic variables on the attraction of foreign direct investment (FDI) in Nigeria between 1975 and 2009. Augmented Dickey-Fuller test was used to examine the time series property of the data and Johansen co-integration test was employed to ascertain the long-run relationship between the dependent variable (FDI) and the independent macroeconomic variables. Ordinary least technique also was employed in the study. Error correction coefficient was high, rightly signed and significant which reveals a long run relationship between the selected macroeconomic variables and FDI for the period of study. The explanatory variables included in the model showed statistical significant impact on FDI. The overall regression was significant as denoted by the probability of the F-statistic at 5% significant level. On this note, among the recommendations made include: the Nigerian government should promote non-oil exports and discourage over dependence on imports of goods and raw materials; diversification of the economy should be paramount in the minds of the resource managers of our economy and it is imperative that the country has to promote private sector led growth and the creation of enabling environment, especially infrastructure.