Panel GMM Research Articles

A Financial Performance Comparison of Czech Credit Unions and European Cooperative Banks

This paper empirically assesses the financial performance of Czech credit unions in relation to other European cooperative banks in terms of their profitability and stability. We created a unique dataset of 283 cooperative banks from 15 European countries in the period 2006-2013. Using the system GMM and alternative panel data methods, we reveal worse performance of Czech credit unions in terms of both profitability and stability compared to their European peers. We also argue that big credit unions in the Czech Republic have assumed a non-sustainable business model depending on excessive risk taking while enjoying implicit subsidy via deposit insurance. In conclusion, we argue that under recent capital management policies, big Czech credit unions will likely face serious financial problems in coming years.

Fiscal rules and procyclicality: an empirical analysis

While it is well acknowledged and researched that fiscal rules promote fiscal discipline, there is still apprehension that fiscal rules by imposing strict constraints on fiscal spending can be procyclical and destabilising. It could happen that when the need of the hour is to increase expenditures during bad times and control expenditures in good times, fiscal rules may tempt governments to trail the opposite path. Using a panel GMM model, this paper has tried to empirically test whether the nature of fiscal rule influences this procyclicality of fiscal policy in a cross-country panel framework for 61 countries for the post 2000 period. Considering that countries have shifted overtime towards fiscal rules adjusted for cycles to reduce the procyclicality bias, the above is tested under two alternate variants of fiscal rules, i.e., those with conventional budget balance rules and those who have fiscal rules adjusted for business cycle impact usually called cyclically adjusted balances (CAB)/structural balance (SB) rules. Empirical results support that while adoption of simple budget balance fiscal rules has not been able to protect these economies from procyclical fiscal policy, the adoption of CAB/SB based fiscal rules are associated with countercyclical fiscal policy. Results of the paper, thus, support the policy conclusion that designing fiscal rules that incorporate business cycles into the target, either via well-defined escape clauses or through formulation of limits in cyclically adjusted terms, can achieve the dual objective of fostering higher growth while simultaneously maintaining fiscal discipline.

FINANCIAL DEVELOPMENT, INCOME, TRADE, AND URBANIZATION ON CO2 EMISSIONS: NEW EVIDENCE FROM KYOTO ANNEX COUNTRIES

This study attempts to empirically investigate the impact of financial development, income, trade openness, and urbanization on carbon dioxide (CO2) emissions for the 21 Kyoto Annex countries using a balance panel data and GMM system over the period of 1970-2016. The results show a positive relationship between income and CO2 emissions in long-run. All models support the EKC hypothesis which assumes an inverted U-shaped relationship among income and environmental degradation. Financial development has a long-run negative influence on CO2 emissions, indicating that financial development reduces the environmental degradation. This means that financial development can be used as an implement to keep the degradation environmental clean by presenting financial reforms. The urbanization declines the CO2 emissions; however, it is essential for the policymakers and urban planners in these countries to control the rapid increase in urbanization. The panel causality confirms that bi-directional causal relationship between financial development, CO2 emissions, income, trade openness, and Urbanization in short-run.

Does economic openness affect liberal and electoral democracy in a different way? Empirical evidence from developing countries

AbstractThe focus of this paper was to empirically analyze the impacts of economic liberalization on the liberal and electoral democracy in a sample of 106 less developed and developing countries over the period 1970–2016. The economic relationship between these countries and the global trade and the financial system generates a crucial question of to what extent political conditions are affected by this changing relation. To test these relationships, this paper uses V‐Dem's liberal democracy and electoral democracy indices and nine economic liberalization variables. Utilizing two‐step system dynamic panel GMM estimation indicates that trade openness and economic globalization, de facto strongly affects electoral democracy.

Outsourcing and Productivity During Economic Crisis: Evidence from Indian Manufacturing Firms

Outsourcing as a form of production reorganisation has important implications for factor productivity. Empirical verification of this relationship for India, however, is unavailable in the recent times. To fill this gap, we measure the relationship between outsourcing and multifactor productivity for Indian firms between 2010 and 2014. We use fixed-effect panel data regression and GMM estimates to establish that outsourcing raises productivity significantly at the source. The outsourcing–productivity link has important policy implications for developing countries, such as India. Relative inflexibility of labour market institutions and slow-moving legal procedures may otherwise restrict the restructuring of firms under duress. Outsourcing-related productivity improvements might have helped to overcome such disadvantages even during the global crisis of 2008–2009. JEL: D24, L6

Output, renewable and non-renewable energy production, and international trade: Evidence from EU-15 countries

This research presents first empirical evidence on the dynamic relationship between output, renewable and non-renewable energy production, international trade, capital and labour in the case of the EU-15 countries over the period of 1980–2015 for individual countries as well as a group. A simple production function of capital and labour is extended as such that it incorporates the impact of renewable and nonrenewable energy inputs, and international trade on output level. Econometric estimations of the extended production equations are carried out via ARDL approach to cointegration for individual country cases and panel GMM econometric technique for the entire EU-15. The ARDL empirical results indicate the existence of cointegration relationships amongst the variables in the case of seven countries of the EU-15, in addition to the GMM based, long-run relationship for the entire EU-15 as a panel. The ARDL procedure suggests that the relative impact of renewable and nonrenewable energy inputs on output levels vary considerably for individual countries. The GMM results demonstrate the existence of the relative importance of renewable and non-renewable energy inputs along with international trade on output in the EU-15 countries. This paper also discusses policy implications of the empirical results, as well as offering policy recommendations.

GMM, 패널, PPML 비교분석을 통한 FTA와 FTA파급효과 분석

GMM, 패널, PPML 비교분석을 통한 FTA와 FTA파급효과 분석

The Nature of Finance – Growth Relationship: Evidence from a Panel of Oil-Producing Countries

The position of research on the relationship between financial sector development and economic growth remains largely inconclusive. Several authors believe the relationship is monotonic while others show that it is non-linear. A section of growth literature indicates that this relationship varies, depending on the country’s specific context and the quality of its institutions. This paper examines the nature of the finance - growth relationship in a panel of oil-producing countries. We aim at determining the point of threshold where the relationship is non-linear and changes abruptly. We employ dynamic panel GMM and panel threshold regressors to analyse data from 30 oil-producing and 30 non-oil producing countries. Our results confirm the notion of “too much finance” using evidence of threshold in the relationship. We report evidence that this threshold varies from country to country depending on the states of institutions maintained in each country. We compare the finance-growth relationship in oil producing and the non-oil producing countries, the result is quite revealing. The non-oil producing countries outperform the oil-producing. Our paper agrees and disagrees with several recent studies on this topic. We discuss policy implications of our findings and make recommendation for reforms.

How do Islamic versus conventional equity markets react to political risk? Dynamic panel evidence

This study aims to assess the differential impact of political risk on Sharia-compliant vis-à-vis conventional stocks. For comparison purposes, the analysis is carried out within the separate contexts of developed and developing economies, employing a framework that controls for an array of relevant influences and risk factors. Based on dynamic panel GMM techniques, the results suggest that conventional equity markets of developed countries prove much more sensitive to political uncertainty than do their Islamic counterparts. In developing countries, political risk tends to have a substantial effect on both conventional and Islamic markets, with such an effect being more pronounced in the former than in the latter. Additionally, Islamic equity markets appear to be neither immune to global sources of risk nor sheltered from contagion effects triggered by financial and economic crises. Overall, the present findings lend no support to the decoupling hypothesis between Islamic and conventional equities.

Bank fragility in Africa: GMM dynamic panel data evidence

This study investigates the impact of bank-level and macroeconomic variables on bank fragility using a dynamic two-step GMM panel estimator on 433 banks in 46 African countries over the period 1997–2012. The study finds that both bank characteristics and macroeconomic variables are key drivers of bank fragility. The past experience of higher levels of non-performing loans (NPLs) significantly and positively determines current levels of NPLs. The growth of gross loan is negative and significant but economic growth leads to higher NPLs. The equity to assets ratio and the log of assets of banks are negatively associated with NPLs suggesting their potential to provide buffers to banks. Equally, total assets reduce bank fragility. These findings have important policy implications. The study shows that credit risk management initiatives, bank operation oversight and regulations should not be restricted in the times of financial crises, even during positive economic growth episodes in the business cycle.

Does Government Expenditure Matter for Economic Growth?

AbstractThis paper aims to determine how the composition of public expenditure affects countries’ economic growth depending on their level of development. We show that there is a strong association between a country's level of development and the amount of public spending. Productive spending dominates in poorer countries while richer countries have a higher proportion of unproductive spending. Furthermore, productive spending has a greater effect on growth in poorer countries. We illustrate our findings using dynamic panel GMM estimators with data from 147 countries (31 low, 69 medium and 47 high‐income countries) covering the period 1970–2008. We also find that education expenditures are the more productive public spending.

On the nexus of financial development, economic growth, and energy consumption in China: New perspective from a GMM panel VAR approach

This paper studies the endogenous relationships among financial development, energy consumption, and economic growth in China by applying a GMM panel VAR approach with a panel data of 30 Chinese provinces over the period 1996Q1–2015Q4. Financial development is measured by six individual indicators and by a comprehensive indicator obtained through the PCA method. We also account for regional heterogeneity by dividing our sample into three regions: eastern region, central region, and western region.We underline our findings in three aspects. First, financial development measured by most individual indicators (m2, credit, revenue of the insurance industry, and stock market value) and the comprehensive one has a significantly negative impact on economic growth. Second, energy consumption can significantly contribute to economic growth in all regions, while no feedback effect is found except in the western region. This result is further supported by the Granger causality tests. Last, financial development in the sense of m2, credit, stock turnover, and the comprehensive indicator can significantly lessen energy consumption in all regions. But this inhibitory effect is found to be largest in the western region, followed by the eastern region, and be smallest in the central region. The Granger causality tests confirm further the existence of heterogeneity across regions. A bidirectional Granger causality between the two variables is found in the eastern region, a unidirectional Granger causality running from energy consumption to financial development is identified in the central region, and no significant causal relationship shows up in the western region. Our findings provide valuable policy implications for China heading for a green economic growth.

Institutional Ownership and Dividend Payout in Emerging Markets: Evidence from India

We examine the relationship between institutional investor ownership and dividend payouts using a large sample of NSE-listed non-financial firms during the period 2001 to 2016. Consistent with the evidence from the US market, institutional investors, on average, have larger holdings in dividend-paying firms and are seen to prefer dividend payers over non-payers among larger firms. However, among smaller firms, institutional investors seem to prefer non-paying firms. Consistent with it, logistic regression results reveal that institutional investors do improve a firms’ propensity to pay dividends, primarily across large firms. Further, among dividend-paying firms, institutional investors, on average, are observed to have relatively lesser holdings in firms with higher payouts than those with lower payouts. In line with these observations, regression analysis also provides no evidence to support a positive relationship between total institutional ownership and payout level. However, across investor categories, we do find evidence for domestic institutional investors (DII) in improving payouts. Further, we use a dynamic panel GMM estimator to correct for endogeneity and find that the relationship is robust among large firms. Our results highlight the role of DII in improving dividend payout and provide support to models that predict a positive relationship. JEL Classification: G23, G32, G34, G35

KONVERGENSI HARGA PANGAN POKOK ANTAR WILAYAH DI INDONESIA

In Indonesia, the increase in food prices usually results in the rise in the inflation rate. To cope with this problem, a better food distribution among regionsis absolutely required. This study aimed to describe the dynamics of food prices, to test the convergence level of food prices and to analyze the factors that influence the changes in food prices between regions in Indonesia. The data used were obtained from the Central Agency of Statistics and the Ministry of Agriculture from 2002 to 2010. The method used was analysis of dynamic panel data (First Difference-Generalized Methode Moment/FDGMM). The results of the study showed that all commodities of food prices were convergent, sugar at the highest level and rice at the lowest, while the factors that influence changes in food prices were production rate, Gross Domestic Product (GDP) and population. Keywords: Convergence, Food Prices, GMM Panel Data

KONVERGENSI HARGA PANGAN POKOK ANTAR WILAYAH DI INDONESIA

In Indonesia, the increase in food prices usually results in the rise in the inflation rate. To cope with this problem, a better food distribution among regionsis absolutely required. This study aimed to describe the dynamics of food prices, to test the convergence level of food prices and to analyze the factors that influence the changes in food prices between regions in Indonesia. The data used were obtained from the Central Agency of Statistics and the Ministry of Agriculture from 2002 to 2010. The method used was analysis of dynamic panel data (First Difference-Generalized Methode Moment/FDGMM). The results of the study showed that all commodities of food prices were convergent, sugar at the highest level and rice at the lowest, while the factors that influence changes in food prices were production rate, Gross Domestic Product (GDP) and population. Keywords: Convergence, Food Prices, GMM Panel Data

Pengaruh Pembiayaan Perbankan Syariah terhadap Pertumbuhan Ekonomi: Studi Empiris di 13 Negara

This study aims to analyze the effect of financing in Islamic banking on economic growth. The case studies were conducted across 13 countries from 2010 to 2015 using the Panel GMM. The results of this study indicate that financing, especially financial depth in Islamic banking has a positive influence on economic growth. These results reaffirmed the need for full support from the government to further develop Islamic banking.
 Keywords: economic growth, Islamic banking, financing.

Donor Country’s Fiscal Status and ODA Decisions before and after 2008 Global Financial Crisis

Purpose - The purpose of this study is to empirically investigate the impact of donor's fiscal status on aid decisions before and after the 2008 global financial crisis. The effects on aid can change depending on the donor country's fiscal status and the period of financial crisis. Research design, data, and methodology - A fixed effect regression and dynamic panel GMM is conducted using a comprehensive dataset combining 31 donor and 167 recipient countries during 1996-2015. The key explanatory variable is central government debt-to-GDP ratio of donor country. Recipient countries' GNI per capita, population, governance indicators, and bilateral trade-to-GDP ratio between donor and recipient countries are included as control variables. Results - We can confirm the relationship between donor country's fiscal status and aid flow. The cyclical component of government debt is found to have a negative impact on grant decisions particularly after the 2008 global financial crisis. This effect becomes larger in the countries with high government debt-to-GDP ratio. ODA decisions from the countries with low financial constraint do not significantly affected by the recipient countries' factors such as GNI, population, and governance indicator. Conclusions - Based on the empirical results of this study, the source of aid should be diversified by incorporating private sector and innovative financing sources.

BIRCH algorithm and data management in financial enterprises based on dynamic panel GMM test

A risk management strategy to inspect BIRCH algorithm and data in financial enterprises based on dynamic panel GMM was proposed to increase effectiveness of risk management for financial enterprises. Firstly, description method of dynamic panel GMM was offered to establish primary model of partners. Secondly, design and realization of BIRCH algorithm on parallelization of Spark was researched on focus and Spark transformation operation of much time consumption in the process of parallelization was obtained through analysis of theoretical performance; meanwhile, shuffle and disk accessing frequency can be reduced to achieve performance optimization according to directed acyclic graph DAG of parallelized BIRCH algorithm. Finally, the proposed algorithm was applied to risk management of financial enterprises.

Central Bank Reputation and Inflation-Unemployment Performance: Empirical Evidence from an Executive Survey of 62 Countries

Although there is a well-established theoretical literature that links central bank (CB) reputation with inflation performance following Barro and Gordon, there is little empirical work testing the relationship rigorously. This paper empirically tests the impact of reputation on inflation-unemployment performance using a novel set of data on CB reputation - an annual local business manager survey on central bank policy covering 62 countries during 1995-2016. This paper finds that CB reputation is a significant determinant of inflation: the results of an FE panel and Arellano-Bond difference GMM model show that high-reputation CBs have achieved better inflation performances over the past 20 years with lower levels of inflation than others, holding the output gap and unemployment rate constant. This result remains robust to various control variables including money growth, past inflation levels, exchange rates, and financial crisis dummies. This paper also finds that high CB reputation is associated with a tight anchoring of inflation expectations to inflation targets in inflation-targeting countries. The effects of reputation on the volatility of inflation and unemployment rates are found to be not robust. This paper offers evidence of the opposite-direction causality as well that goes from high inflation to decreased CB reputation.

The Effect of Commerce-Finance-Banking Linkage Restrictions on Banksassets Quality: The Case of Developing Countries

The Effect o f Commerce-Finance-Banking Linkage Restrictions on Banksassets Quality: The Case of Developing Countries Tahmasb Mazaheri, Saeid Shirkavnd, Ali Jamali Abstract The purpose of this study is to investigate the effect of banks non-bank financial and commerce activities restrictions on their assets quality in developing countries from 2000 to 2012. The researchsampleincludes the banking systemsof 108developing countries. The dependent variable is the ratio of non-performing loan to total assets of banks (proxy of assets quality), and independent variables include proxies of non-bank financial (banking-financelinkage) and commerceactivities (banking-commercelinkage) restrictions including insurance, capital market, real estate and investment in non-financial firms. The research also control for the effect of some country-specific and industry-specific variables. Due to the endogeneity problem of the variables, dynamic panel data and GMM are used for analyzing data. The results show that tighterrestrictions on the non-bank financial activities (insurance, real estate and real estate) generally havesignificant negative effect on banks assets quality. Securities market activities restrictions also have a significant negative effect on banks assets quality. In contrast, the increases in insurance and real estate activities restrictions havesignificant positive effect on banks assets quality. Increasing the stringency of banks commerce activities restrictions does improve banks assetsquality. Full Text: PDF DOI: 10.15640/jibe.v6n2a3