Simultaneous Equation Model Research Articles

A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China

AbstractContracts that expire in January, May, and September attract the most trading activity for corn futures in China. Contracts that mature in other months are thinly traded, even when they are the closest to maturity. In this paper, we examine and compare the behavior and determinants of the bid–ask spreads (BASs) of active and inactive contracts using the best bid offer data set. We show that both the magnitude and volatility of BAS for inactive contracts exhibit U‐shaped patterns, whereas active contracts' BAS increase only near their expiration. Inactive contracts are also of low liquidity risk after introducing market makers. On the basis of the simultaneous equation model, we find that BAS responds negatively to volume and positively to volatility and order imbalance. The impacts are larger in inactive contracts. Moreover, introducing market makers to inactive contracts is conducive to attracting trading and lowering trading costs.

Refined GMM estimators for simultaneous equations models with network interactions

Refined GMM estimators for simultaneous equations models with network interactions

Relationship between FinTech index and bank’s performance: a comparative study between Islamic and conventional banks in the MENA region

PurposeThis paper aims to describe a new method for constructing the FintTech Index that measures the development of FinTech in the conventional and Islamic banking sectors in the Middle East and North Africa (MENA). It also tests the effect of this new proxy on the performance of conventional and Islamic banks in MENA countries.Design/methodology/approachUsing data from Islamic and conventional banks in the MENA region between 2010 and 2020, the authors rely on Text Mining Technology with the help of AntConc, principal component and factor analysis. The study also uses the simultaneous equation model to test the interdependent relationship between FinTech and bank performance.FindingsThe study argues that the proposed measure effectively represents the FinTech industry in the MENA financial markets. The results provide micro evidence on the application of FinTech innovation in Islamic and conventional banks to improve their performance, profitability, stability and efficiency. Furthermore, the findings can provide insights for practitioners and researchers interested in implementing FinTech collaboration to enhance the performance of Islamic and conventional banks in the MENA region.Practical implicationsInvestors can leverage this FinTech Index in portfolio investments, trading strategy and hedging in MENA countries. In addition, policymakers can benefit from the challenges outlined in this work to support the development and incubation of FinTech in conventional and Islamic banks. Thus, they can better recognize the new generation of banking services with which they need to deal and collaborate.Originality/valueThis paper makes a methodological contribution to the literature on FinTech search patterns by combining factor analysis with corpus processing software. This is the most comprehensive global FinTech index. In addition, to the best of the authors’ knowledge, this study is the first to examine the simultaneous relationship between the FinTech index and the performance of Islamic and conventional banks.

Evaluation of the triangle-relationship of industrial pollution, foreign direct investment, and economic growth in China’s transformation

Unlike previous research on foreign direct investment (FDI), economic growth, and pollution, this study focuses on investigating complex interactions specifically. A dynamic simultaneous equation model is adopted, together with the one-step systematic GMM, drawn upon to empirically analyze 30 Chinese provinces between 2006 and 2017. The results show that FDI does promote economic growth in China which, in turn, positively affects FDI. However, FDI inflow and economic growth both have negative environmental effects. A higher level of environmental pollution corresponds with FDI becoming more attractive. In the case of China, therefore, the pollution-haven hypothesis holds weight. Specifically, industrial environmental pollution is found to positively affect economic growth, indicating this growth to fall on the left side of the environmental Kuznets Curve. Accordingly, therefore, policymakers should look to optimize China’s industrial structure, guide the inflow of high-quality FDI, and promote healthy and sustainable development under the country’s new development philosophy.

Class versus race? Multidimensional inequality and intersectional identities in France

ABSTRACT Drawing on a unique survey question about personal identity in France, this article explores how majority and minority populations identify in terms of race/ethnicity and class. While prior studies have focused on one of these identities, the added value of this article is to examine both using a simultaneous equation model. Literature predicts that minorities have stronger ethnoracial identities, while majority members emphasize their class. Our findings confirm this trend, yet we go further by exploring heterogeneity by immigrant generation, origin and socioeconomic status. Guided by theories of assimilation, we show that non-European minorities are more likely to stress ethnoracial identity than Europeans, even among the second generation. Low-SES French majority members are more likely to emphasize ethnoracial items, suggesting a defensive white identity. In contrast, high-SES minorities stress both race/ethnicity and class. The conclusion discusses the intersection between class, race, and migration in France.

Determinants of demand and supply of microcredit among fish farmers in Osun State

With the help of microcredit, a farmer’s way of life could be transformed from one of utter destitution to one of greater dignity. For the poor and disadvantaged, especially rural farmers, it unlocks potential and increases productivity and well-being. This study investigated the determinants of demand and supply of microcredit among fish farmers in Osun State. A multi-stage sampling procedure was used to select 150 fish farmers and 50 microcredit providers for the study. Data were analyzed using descriptive statistics and a simultaneous equation model. The result revealed that many fish farmers are males (86.5%), married (77%), and educated (95%). Simultaneous equation estimates revealed that farmers’ income, age, interest rate, and educational level determine microcredit demand among fish farmers whereas liquidity, experience in lending, and interest rate determine the microcredit supply in the study area. The findings of the study revealed that microcredit suppliers consider several factors before supplying credit to fish farmers.

오피스 시장 예측에 관한 연구

This study is to predict the office market using the simultaneous equation of office sales price and rent. The variables are office sales price, rental price, vacancy rate, industrial production index, corporate bond yield rate, and the number of unemployed in Seoul, and the office sales price model and rental price model were established using these variables. The spatial scope is Seoul, and the temporal scope is from the first quarter of 2001 to the first quarter of 2021. As a result of the office sales price model, it was found that a 1% increase in the office rental price would increase the office sales price by 0.922%, and a 1% increase in the industrial production index would increase the office sales price by 1.686%. As a result of the the office rental price model, office rental price increases by 0.325% when the office sales price increases by 1%, and office rental price increases by 0.531% when the vacancy rate increases by 1%. It is judged that the vacancy rate has a positive (+) effect on rental price because there are similar trends in office rental price and vacancy rate, and the vacancy rate has risen due to low growth, and the rental price has risen due to the rise in real estate prices. As a result of the simulation, it was found that the prediction result of the simultaneous equation model predicted the actual office sales price and rent well.

Modeling Linkages among Urban Agglomeration, Construction Industry, Non-Renewable Energy, and Zero-Carbon Future

On the one hand, the twin perspectives of the construction industry and urban agglomeration proliferate economic prosperity. However, on the other hand, construction activities and increased population density give rise to environmental challenges. This study is an initial attempt to explore links between the construction industry, urban agglomeration, non-renewable energy utilization, carbon dioxide emissions (CO2e), and economic output within a system of simultaneous equation modeling. This study develops modeling specifications to include the construction industry as a shifting factor and CO2e as a determinant of technical efficiency. A heterogeneous fully modified ordinary least squares (FMOLS) technique, capable of providing concrete empirical outcomes even in the presence of modern panel-data econometric issues, is utilized for the data of China’s 30 provincial/ city divisions during the 2003–2019 period. It has been revealed that: (i) the influence of urban agglomeration on the economic output was heterogeneous, with an adverse link for China’s western part, neutrality connection for the central part, and favorable for China’s eastern part; and (ii) shifting from China’s western to eastern parts, the expansion of the construction industry has a significant impact on economic output, and, hence, has been described as “the Economic Effects of Urban agglomeration” for the Chinese economy. The policies of this study have crucial lessons for global economies.

Competitiveness, corruption, and income inequalities: approaching the ‘Janus’ face of development with simultaneous equation modelling

Competitiveness, corruption, and income inequalities: approaching the ‘Janus’ face of development with simultaneous equation modelling

CEO turnover, stakeholder management, and dynamics between corporate social responsibility and firm performance

AbstractFocusing on the CEO transition period, this paper documents that the variation of CSR is highly associated with the fluctuation of firm performance. Moreover, it is found that the strong association is undermined for the CEO transition period during which ample variations of value relevant firm policies take place. Furthermore, the empirical evidence suggests that CEOs whose predecessors relinquish power involuntarily are more likely to adjust CSR activities for the purpose of optimal stakeholder management. The paper presents a heuristic and parsimonious model to guide the empirical investigation and conducts a system of simultaneous equations to ameliorate the endogenous nexus of firm performance, CEO turnover and CSR adjustment. The results are also robust to a battery of additional checks.

Analyzing Supply and Demand Response of Indonesian Cloves in International Market

Indonesia is the world's largest clove producer and consumer. In addition, Indonesia is also a world exporter and importer of cloves, with the largest harvest area in the world. This study aims to analyze the supply and demand responses of Indonesian cloves in the international market. The study used time series data for the period 1985–2019. The research used an econometric design by building a simultaneous equation model. Data analysis using the two-stage Least Square method. The results showed that the factors that are responsive in the short term are the exchange rate of the rupiah against the US dollar, demand for Indonesian cloves, Comoros and Tanzania clove production, world clove prices t-1, and United Arab Emirates GDP per capita, while in the long term are Indonesian and Madagascar clove harvest area, the rupiah exchange rate against the US dollar, Indonesian clove demand, Comoros, Madagascar and Tanzania clove production, world clove prices t-1, and United Arab Emirates GDP per capita.

The Interaction of Cultural and Creative Industries Clusters and Regional Economic Resilience from the Perspective of Spatial Analysis

Cultural and creative industries (CCIs) clusters are essential in increasing regional economic resilience, and regions with solid economic resilience can also promote the formation of CCIs clusters. However, there is little research on the two-way effect of cultural and creative industries on regional economic resilience. This study explores the relationship between the clusters of CCIs clusters and regional economic resilience from a spatial perspective. This paper takes 31 provinces and cities in China as the research object, uses panel data from 1997 to 2020, and divides the CCIs clusters into specialization and diversification. The spatial simultaneous equations model was used to verify the two-way influence relationship and the spatial interaction between the specialization and diversification of CCIs clusters and the regional economic resilience, respectively. The study found a two-way positive relationship between specialized CCIs clusters and regional economic resilience, while the opposite relationship existed between diversified CCIs clusters and regional economic resilience. There were positive spatial spillovers between CCIs clusters and regional economic resilience. The enhancement of local economic resilience comes from the specialization of local CCIs clusters and the diversification of CCIs clusters in neighboring regions.

Modeling the U.S. Firearms Market

AbstractWe estimate the first econometric model of the national civilian firearms market in the United States (1946–2016), where per capita firearms‐related harm is exceptionally high. Solving simultaneous equation models instrumented by natural disasters and steel prices, and employing unique firearms prices and quantities data, we find this market operates normally, except that firearms stocks may generate some new market demand in a positive feedback loop. Save for the Federal Assault Weapons Ban (1994–2004), federal firearms legislation does not influence firearms sales. We find that violent crime, including homicide and mass shootings, boosts domestic sales.

Analysis of fleet deployment in the international container shipping market using simultaneous equations modelling

ABSTRACT The shipping industry is a capital-intensive industry in which ship investment and demolition are directly related to the company’s profitability, transportation capacity, and fleet structure. Thus, companies need to consider investment and demolition activities carefully before making decisions about fleet deployment. This study focuses on decisions related to investment in new and second-hand vessels as well as vessel demolition in different sub-markets of the container shipping market at the same time. By considering market factors, operating conditions, and shipping alliances, we developed a systematic model for the container market. This model innovatively employs a simultaneous equations model (SEM) to analyze fleet deployment decisions and uses the three-stage least squares method to avoid endogenous effects. The results indicate that shipping alliances, fleet deployment, and bunker price all have significant effects on the investment and demolition decisions of shipping companies. We further discuss the strategic decisions of shipping companies related to joining shipping alliances and highlight the considerations of larger companies when expanding (primarily squeezing out competition and responding to the market). The results provide valuable information for shipping companies to determine the best ship deployment strategies and avoid overcapacity.

The bidirectional relationship between MFIs’ financial and social performance: Sustainability and outreach perspective

This paper examines the bidirectional relationship between sustainability and outreach of microfinance institutions (MFIs) in the MENA region, using unbalanced panel data regression during the period from 1999 to 2018. The simultaneous equation model (SEM) is used based on the 2SLS regression considering endogeneity problem between sustainability and outreach. Two main systems are developed based on SEM; the first relates sustainability with breadth of outreach, while the second includes sustainability and depth of outreach. Results state that sustainability and outreach are complementary objectives, and the direction of their relationship is from outreach to sustainability. This finding is tested and supported using various robustness checks, namely: excluding firms with few data, using other methods to estimate 2SLS regression model, and examining the impact of sustainability on outreach based on their indices developed based on the TOPSIS method. The study concludes with some suggestions for future research in this field.

Exploring interactions in water-related ecosystem services nexus in Loess Plateau

Scientific understanding of the driving relationship between water-related ecosystem services (WESs) and influencing factors, as well as the trade-off and synergy relationship between WESs and WESs, is the premise of reasonably bringing them into management decisions. However, the existing research often separates the above-mentioned two relationships and conducts independent research, which leads to the conflict of research conclusions and cannot be well adopted by managers. Therefore, based on the panel data of Loess Plateau in 2000–2019, this paper uses the simultaneous equation model to combine the two kinds of relationships existing between WESs and influencing factors, establish a feedback loop, and reveal the interactions mechanism of WESs nexus. The results show that: (1) The fragmentation of land use leads to the uneven spatial-temporal distribution of WESs. (2) Vegetation factors and land factors are the main driving factors that affect WESs, and the impact of climate factors on WESs is decreasing year by year. (3) The increase of water yield ecosystem services will lead to the obvious increase in soil export ecosystem services, and there is a synergistic relationship between soil export ecosystem services and nitrogen export ecosystem services. The conclusion can provide an important reference for implementing the strategy of ecological protection and high-quality development.

Channeling and Wages Among New US Immigrants from Mexico, India, and the Philippines

National — and local — conversations about immigration are often centered on immigrants’ integration into the US society. One factor that shapes immigrants’ integration is their pre-migration work experience, skills, and training and a series of studies have used “channeling” as a concept to identify immigrants who have worked in the same occupation and/or industry in the destination labor market as they had in the origin labor market, prior to migration. Using the New Immigrant Survey (NIS) and a simultaneous equation model (SiEM) approach, this article expands on this research by exploring the impact of channeling on wages for Asian Indians, Filipino/as, and Mexicans with lawful permanent resident (LPR) status. Contrary to prior findings on the effects of channeling within specific industries, we find that channeling is associated with lower, not higher, immigrants’ wages. The findings are robust to different definitions of channeling, as the negative effects of channeling hold within industrial sectors and occupational groups. Moreover, the results indicate that channeling is not exclusive to the Mexico–US migration stream, but instead may be a feature of various US-bound immigration streams, including those from India and the Philippines.

Simultaneous Equations Models For Fava bean Crop in Egypt

Despite the importance of the fava bean crop for leguminous crops in Egypt, its production has been decreasing in the past years, as it decreased from about 305 thousand tons in 2007 to about 101 thousand tons in 2019. And that there is a significant change in the percentage available for consumption to obtain fava beans, as the average consumption of fava beans crop increased from about 395.0 thousand tons in 2010 to about 964.0 thousand tons in 2019. The food gap in Egypt from the fava bean crop during the period (2010-2019) fluctuated between high and low, and the food gap of the fava bean crop during the period (2010-2019) . By comparing the results of the forecast using the simultaneous model by predicting using the general direction equations, the credibility of the results of the model is shown, where by estimating the standard deviation of the variables under study, it is found that the value of the deviations of the values of the variables under study using the model is low using the general trend equations Thus, an increase towards the use of standard models in prediction, due to their importance in clarifying the interchangeable and intertwined relationships between variables, which is difficult to clarify models with a single equation, the expected values of the model variables are more realistic and logical than those that are estimated using other methods of estimation.

Inter-Dependency and Inter-relationship Among Tax Revenue, Infrastructure and Human Capital Development in Nigeria: Small Scale Macroeconometric Model

Recently, there has been increased calls for human capital development across the African economics. The role of human capital to economic growth and development cannot be overemphasized. Infrastructural development and efficient tax system are veritable tools for promoting human development. When human development is stunted, infrastructural development and tax revenue also shrink. This paper examined the inter-relationship and interdependency among tax revenue, infrastructure and human development in Nigeria for the period 1980- 2021. This paper adopted the simultaneous equation modeling approach and a system of equations where tax revenue, infrastructure and human development are taken to be exogenous. From the result, temporary 10 percent increase in value added tax revenue has higher effect on human capital development , real GDP and broad money supply. In contrast, permanent increase in value added tax revenue has higher effect on government spending on social and community services(including health and education) and inflation rate than the temporary 10 percent increase in value added tax revenue. Hence, to increase human capital development in Nigeria, temporary tax revenue shock is sufficient. The government should diversify its revenue base and expend more on health and education in addition to building a strong institutional framework to ensure the efficacy of government spending on both health and education. Keywords: Infrastructure, human capital, macroeconometric model, tax revenue, Nigeria JEL Codes: H54, J24, F41, H24 DOI: 10.7176/RHSS/13-6-04 Publication date: March 31 st 2023

The Transmission Effect Test of China’s Rotation Mechanism on the Cotton Reserve Market

As an important strategic material in China, cotton policy has positive significance in stabilizing the safety of domestic cotton, ensuring cotton income, and stabilizing cotton output. At the same time, affected by the future market price, the cotton industry supply chain cost management is particularly important. Based on the data of China’s cotton price, consumption, yield, and wheeling-in and wheeling-out from 1978 to 2016, the simultaneous equation model is used to empirically analyze the transmission effect of the rotation mechanism of reserve cotton (RMRC) on cotton supply and demand. Studies have shown that China’s cotton reserve policy and the RMRC play a positive role in balancing the supply and demand of the domestic cotton market and preventing excessive fluctuations in cotton prices. The transmission effect of the RMRC on domestic cotton yield and consumption is significant and there are certain differences. The transmission effect of domestic cotton yield is stronger than the transmission effect on domestic cotton consumption. The difference is owing to the transfer path of the RMRC being different. We should improve the regulation and control effect of the RMRC on cotton demand, realize the normalization of the RMRC, and clarify the policy objectives of the RMRC.