Growth Rate Of Industrial Production Research Articles

Value Effect and Macroeconomic Risk

The authors study the extent to which macroeconomic risk (i.e., the innovations in macroeconomic variables) drives the positive cross-sectional relationship between future stock returns and relative firm value, using such measures as the book-to-market ratio and earnings-to-price ratio. The authors provide evidence that value stocks are riskier than growth stocks. They show that value stocks have higher risk loadings than growth stocks on the growth rate of industrial production, the term premium, and the default premium. They also find that the risk loadings and risk premiums account for more than half of the average return spreads between value and growth portfolios. The evidence suggests that risk plays an important role in explaining the value effect, which has implications for value and growth investment.

Research on AutoCAD secondary development and function expansion based on VBA technology

AutoCAD is the most widely used drawing tool among the similar design drawing products. In the process of drawing different types of design drawings of the same product, there are a lot of repetitive and single work contents. The traditional manual method uses a drawing software AutoCAD drawing graphics with low efficiency, high error rate and high input cost shortcomings and many more. In order to solve these problems, the design of the parametric drawing system of the hot-rolled I-beam (steel beam) cross-section is completed by using the VBA secondary development tool and the Access database software with large-capacity storage data, and the analysis of the functional extension of the plane drawing and the parametric drawing design in this paper. For the secondary development of AutoCAD functions, the system drawing work will be simplified and work efficiency also has been greatly improved. This introduction of parametric design of AutoCAD drawing system to promote the industrial mass production and related industries economic growth rate similar to the standard I-beam hot-rolled products.

China’s Macroeconomic Fundamentals on Stock Market Volatility: Evidence from Shanghai and Hong Kong

This paper examines the effect of Chinese macroeconomic variables, the industrial production growth rate, the producer price index, the 3-month short-term Shanghai Interbank Offer Rate and the consumer price index, on the volatility of the Shanghai and Hong Kong stock markets. We apply the generalized autoregressive conditional heteroskedastic mixed data sampling model for the study. Our empirical findings on various indexes and enterprises in the Shanghai and Hong Kong markets show that Chinese macroeconomic variables have a greater power to explain the volatility in Hong Kong than in Shanghai. They also contribute significantly to Hong Kong’s market volatility.

A Study of the Cyclicity Indicators of the Country’s Economic Development

This article analyzes the main indicators of Russia’s economic development (gross domestic product, unemployment rate, consumer price index, fixed investment, and the growth rate of industrial production) in 2000–2013. Such indicators make it possible to construct economic cycles. In addition, this article provides a polynomial forecast for 2014–2015 with respect to the medium-term cycles in the country’s economic development. This forecast does not take into account the government’s anticyclical policy.

Oil Price and Economic Resilience. Romania’s Case

The emerging economies that do not face fiscal, monetary and foreign debt pressures can use the savings generated by lower oil prices for investments in order to generate economic growth. Hence, there is no doubt that the oil price affects the economy’s resilience to shocks. The importance of this impact derives from the magnitude of the price change and its diffusion within the economy. Moreover, the sustainability of any company and of the economy as a whole is subject to the availability and the price of the energy resources. The cost of these resources is an important variable used in the majority of the models regarding the assessment of sustainable development. Therefore, this article examines the impact of the oil price changes on industrial production in Romania. We found that, similar to other countries, in Romania, the growth rate of industrial production responds more strongly to a rise in oil prices. Thus, the oil Brent price has an asymmetric effect on the production evolution. This finding suggests that macroeconomic stabilization is more difficult to achieve when the oil price rises.

Stock market crashes shocks and real economy in Tunisia

Our paper analyses the effect of stock market crashes shocks on the real economy in Tunisia using the vector autoregressive (VAR) model. On the one hand, the impulse response analysis shows that the real investment growth rate negatively reacts to stock market crashes shocks. On the other hand, the variance decomposition results suggest that the stock market crashes shocks explain a larger proportion of the variability in real investment growth rate. In contrast, the real industrial production growth rate, the real GDP growth rate and the real private consumption growth rate are only a little sensitive to Tunisian stock market crashes shocks.

Russian Industry in October 2016: Cautious Optimism Inspired by Sales

There are hopes for industrial recovery from stagnation in Russia, according to analysis of the results of a survey that was carried out by the Gaidar Institute in October 2016. A positive shift in real sales dynamics coupled with slowly upgraded forecasts for the same is supplemented by a moderate, albeit positive, recovery of industrial production growth rates and a likely upward revision in assessments of finished product stocks. No visible positive shifts in output plans have been seen to date.

Disagreement in expectations and the credibility of monetary authorities in the Brazilian inflation targeting regime

Abstract Based on market expectations reported by the Central Bank of Brazil for the SELIC interest rate, the IPCA inflation, the exchange rate (BRL/USD) and the growth rate of industrial production for four different forecasting horizons, this work analyzes the term structures of disagreement in expectations regarding the future values of these variables. It also investigates the driving factors of disagreement, paying special attention to the influence of monetary authorities’ credibility. An extensive regression analysis shows that the levels of the term structures of disagreement are negatively related to the output gap (although this result is not very robust); and that the levels of the term structures of disagreement in expectations about the IPCA inflation rate and the SELIC interest rate have a strong negative relationship with central bankers’ credibility; this relationship is positive in the case of the growth rate of industrial production.

Equity Prices and Real Output: Evidence from a Structural VAR f or the MINT Economies

This paper presents a bivariate structural VAR model which investigates the interrelationships between the stock market indexes of the MINT economies - Mexico, Indonesia, Nigeria and Turkey; and a significant macro-economy proxy measured by the growth rate of industrial production using monthly data from 2000:1 to 2014:12 obtained from DataStream International, World bank, IMF and stock exchange sites of each countries where available. Improving on previous studies, we employed the Bai and Perron test to determine the significant break period and the Coefficient covariance matrix was specified by employing the HAC (Newey-West) method and allowing error distributions to differ across breaks which identified a common break (pre and post crisis) period for all the MINT economies corresponding to respective economic activity of the countries. Examining possible relationship between the variables, our Granger/ Block exogeneity test reveals that, the null hypothesis will not be rejected in all cases, except the hypothesis that stock returns has a lead-lag effect on industrial production for the case of Mexico during the pre-crisis period but reverse is not the case. Our VAR estimation revealed that real activity shocks only explain a small fraction of the variability in real stock prices during the pre-crisis period than the post-crisis period in the case of Indonesia, Nigeria and Turkey excluding Mexico which explained larger variation in the pre-crisis than the post-crisis period for both the stock return and real activity. The results also reveals smaller variation of each variable on one another for variation of real activities due to innovations from stock returns for Nigeria and Indonesia alone while Mexico ant Turkey depicts the opposite. Thus, the study provides additional evidence for the absence of the direct linkage between real stock returns and real economic activities measured by industrial production which shows that the market is inefficient and perhaps not derived or guided by fundamentals, more so, the impact of the global financial crisis is also revealed and policy recommendation provided.

Regularizing Bayesian Predictive Regressions

We show that regularizing Bayesian predictive regressions provides a framework for prior sensitivity analysis. We develop a procedure that jointly regularizes expectations and variance-covariance matrices using a pair of shrinkage priors. Our methodology applies directly to vector autoregressions (VAR) and seemingly unrelated regressions (SUR). The regularization path provides a prior sensitivity diagnostic. By exploiting a duality between regularization penalties and predictive prior distributions, we reinterpret two classic Bayesian analyses of macro-finance studies: equity premium predictability and forecasting macroeconomic growth rates. We find there exist plausible prior specifications for predictability in excess S&P 500 index returns using book-to-market ratios, CAY (consumption, wealth, income ratio), and T-bill rates. We evaluate the forecasts using a market-timing strategy, and we show the optimally regularized solution outperforms a buy-and-hold approach. A second empirical application involves forecasting industrial production, inflation, and consumption growth rates, and demonstrates the feasibility of our approach.

The analysis of industrial production structure dynamics in Russia

The article is devoted to research of sectorial and regional features of industry development in Russia, structure of industrial production, size and quality of economic growth. Comparative analysis of the dynamics of certain types of industrial production in Russia showed that the crisis of 2008–2009 has produced a significant impact on the production volumes, particularly in the areas of machinery and equipment as well as transport equipment. Based on analysis of official statistics the comparative analysis of industrial production volumes in leading regions is presented. It is shown that the structure of the manufacturing industry is dominated by activities not related to the production of machinery and equipment. The coefficients of growth of the shipped goods manufacturing industry are presented. It is shown that these coefficients significantly differ relating to the type of economic activity. A significant growth of regional differentiation in industrial production is revealed. It is shown that the growth rate of industrial production is not constant and different in different regions. The article offers to consider regional preferences determined by their climatic features and comparative advantages, as well as new realities determined by new challenges and threats.

Predicting output growth at long horizons: stock return volatility and the monetary policy influence

In this paper, we investigate the presence of multiple horizon causation from stock return volatility to the growth rates of industrial production in terms of a causal chain system, where monetary policy instruments and inflation operate as auxiliary processes. Multiple horizon non-causality is tested by implementing the test procedure proposed by Dufour et al. (2006) on data from four economies, namely USA, Germany, Japan and Italy. Our results reveal a large number of highly significant direct and indirect causality links of significant size running from stock return volatility to output growth at both short- and long-horizons in all four economies. A pseudo out-of-sample forecasting evaluation also shows how conditioning on such information yields better output growth predictions at different forecast periods.

Macro- and Microeconomic aspects of going Public in the Czech Republic and Poland

The intent of this study is to explore macro- and microeconomic aspects of going public in the Czech Republic and in Poland. There are significant differences in the going public activity on both markets and we firstly aim to determine the influence of GDP growth rates, reference interest rates, industrial production growth rates and a main stock exchange index on numbers of IPOs. Secondly, we survey chief financial officers (CFOs) in the Czech and Polish enterprises to compare practice in the CEE region to findings in previous empirical studies and theoretical approaches in the area of initial public offering motivation.

Horizon-Specific Macroeconomic Risks and the Cross-Section of Expected Returns

We decompose the growth rate of industrial production, and its time-varying volatility, into components with dierent degrees of persistence, and we study the price of risk associated with each of these components’ innovations. We document that, for both mean and volatility, only those uctuations with half-life larger than four years are priced in the cross-section of individual stocks. A standard deviation increase in exposure to long-run macroeconomic growth shocks increases expected returns by 2.5% annually, whereas exposures to long-run volatility innovations command a negative premium of 1:6% per standard deviation. Each of the two proposed measure of macroeconomic risk, the long-run comovement between returns and shocks in macroeconomic growth and the long-run comovement between returns and shocks in the volatility, jointly prices the cross-section of returns on portfolios of stocks sorted on various dimensions (book-to-market, size and past returns) along with the crosssection of government bonds sorted by maturity. Our new evidence resuscitates a central role for business cycle and medium-term cycle (see Comin and Gertler, 2006) aggregate risk as a key determinant of equilibrium asset prices.

Growth in total factor productivity and links among firms

In this paper we study the relevance of links among firms in explaining the mean and the auto-correlation property of the aggregate total factor productivity rate of growth (Solow residual). Our approach relies on the interaction between idiosyncratic shocks of firms and the network structure of firms. We analytically study this phenomenon using the adjacency matrix of a complete network and we present a simulation with more general random adjacency matrices. We also check empirically, using Italian data, the relationship between the network structure and the Solow residual. In particular, in the empirical part, we find two main results: firstly, the relationship between the Solow residual and the measure of connectivity of firms is positive, in accordance with the analytical results. Secondly, we find that the measure of connectivity is pro-cyclical with the annual growth rate of industrial production.

FINANCIAL VARIABLES AND THE OUT-OF-SAMPLE FORECASTABILITY OF THE GROWTH RATE OF INDIAN INDUSTRIAL PRODUCTION

In this paper, we consider the forecasting power, both in- and out-of-sample, of 11 financial variables with respect to the growth rate of Indian industrial production over the monthly out-ofsample period of 2005:4–2011:4, using an in-sample of 1994:1–2005:3. The financial variables used are: M0, M1, M2, M3, lending rate, 3-month Treasury bill rate, term spread, real effective exchange rate, real stock prices, dividend yield and non-food credit growth. We observe that that, at times, in-sample and out-of-sample predictive ability of the financial variables tend to coincide. We find relatively strong evidence of out-of-sample predictability for at least one of the horizons for M0, M1, M2, M3, the lending rate and real share price growth rate. The term-spread and dividend yield are added to the list when weaker versions of the out-of-sample test statistics are considered as well. Given that we consider a large number of financial variables, when we checked the significant results by accounting for data mining across the 11 financial variables, majority of these results ceases to be significant, with only M0, M1 and M2 retaining some of its predictive ability.

Effects of Economic Policies on the Brazilian Industrial Sector: Lessons from Austrian School of Economics

This paper examines how Brazil’s government interventions, via economic policy affects the total factor productivity (TFP) and the industrial production growth rate in the period of 1998:4 to 2012:1. The study uses nine indicators of economic policy and the empirical results show that high values of tax burden, the real interest rate, the real minimum wage, the electricity tariffs and the proportion of interest burden of public debt/GDP reduce the TFP and the growth of industry and in contrast, high proportions of primary spending/GDP and BNDES credit/GDP positively affect these indicators of industry. The net effect of these interventions shows a negative impact on the TFP and the growth rate of industrial production as well. In this context, the discussion raised by Mises is still update and important due to the fact that the same notions of state interventionism still lingers.

The Real Sector of the Economy in April 2014: Factors & Trends

In April 2014, the economic situation was determined both by slowdown of growth rates of consumer demand and a drop in investment demand. Investments in capital assets in April 2014 and January-April amounted to 97.3% and 95.7%, respectively, against the respective indices of the previous year. A decrease in growth rates of retail trade sales volumes year on year to 2.6% was determined by dramatic slowdown of households’ real income and real wages and salaries. After a drop in January, year on year indices of industry demonstrated growth in February-April 2014. In April 2014, year on year growth rates of industrial production amounted to 2.4%, while in manufacturing and production of primary products, to 3.9% and 1.7%, respectively. However, despite the fact that the situation has improved to some extent the expected growth in industry in 2014 will amount by the estimate of the Ministry of Economic Development of the Russian Federation to 1.0%, which is justified by the expected 2.4% drop in investment activities in 2014.

Growth in Total Factor Productivity and Links Among Firms

In this paper we study the relevance of links among firms in explaining the mean and the auto-correlation property of the aggregate total factor productivity rate of growth (Solow residual). Our approach relies on the interaction between idiosyncratic shocks of firms and the network structure of firms. We study analytically this phenomenon using the adjacency matrix of a complete network and we present a simulation with more general random adjacency matrices. We also check empirically, using Italian data, the relationship between the network structure and the Solow residual. In particular, in the empirical part, we find two main results: Firstly, the relationship between the Solow residual and the measure of connectivity of firms is positive, in accordance with the analytical results. Secondly, we find that the measure of connectivity is pro-cyclical with the annual growth rate of industrial production.

Countercyclical currency risk premia

We describe a novel currency investment strategy, the ‘dollar carry trade,’ which delivers large excess returns, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the U.S. price of risk is high. The countercyclical variation in risk premia leads to strong return predictability: the average forward discount and U.S. industrial production growth rates forecast up to 25% of the dollar return variation at the one-year horizon. The estimated model implies that the variation in the exposure of U.S. investors to worldwide risk is the key driver of predictability.