Term Interest Research Articles

‘Families of mankind’: British liberty, League internationalism, and the traffic in women and children

ABSTRACT The League of Nations’ long term interest in the traffic in women and children mirrored, in key ways, what I call the ‘familial internationalism’ of some of its most influential British founders. Grounded in their understanding of the British Empire as an institution uniquely able to reconcile ‘liberty and self-government’ with the denial of liberty and self-government to the colonies, this vision of internationalism recast nations as cultural ‘families of mankind’ rather than political units with a right to sovereignty. This article thus explores first the influence of British imperial thought on League internationalism and then moves on to an analysis of the League’s Advisory Committee on the Traffic in Women and Children. In contrast to most historical investigations of the Committee, I read these archives as multivocal sites of political and cultural contestation about the status of women in relation to the national ‘family’. Ultimately, I argue, the work of the Committee resulted in an international convention that restricted women’s liberty by making it more difficult for them to travel internationally.

The Role of Monetary Policy in Transmission of Asset Prices into Goods Prices

Monetary policy in the contemporary world reacts, through short term interest rate, to deviations of inflation rate and output from their respective targets, while asset prices are responded to the extent they contribute to these deviations. This practice significantly affects transmission of asset prices into goods prices, which has serious implications for income distribution. This paper sets the objectives of estimating transmission of asset prices into goods prices and the role of monetary policy in influencing this transmission. In this regard, the paper hypothesizes that inflation rate positively responds to asset prices and this response weakens if interest rate leans against the winds of inflation, output and asset prices. To test these hypotheses, we have estimated different specifications of vector autoregressive (VAR) model and impulse response functions have been found after identifying structural shocks. Data of Pakistan’s economy on inflation rate, large scale manufacturing index, interest rate and asset price index – comprising house prices, stock prices and exchange rate – are used for the time period 2000m01 to 2019m06. We find evidence in support of both hypotheses; asset price inflation positively transmits into goods price inflation and this transmission intensifies if interest rate does not respond to other variables in the model. Moreover, transmission of asset prices into inflation rate, as compared to output, is influenced more by monetary policy. Finally, we find that the transmission of exchange rate and house prices to inflation rate are very much affected by monetary policy while in case of stock prices the influence of policy is moderate.

INFLATION PERSISTENCE IN NORTH SUMATERA PROVINCE

The purpose of this study was to determine the persistence of inflation in major North Sumatera Province in 2007 until 2012 and value contributed Output Growth (GDP) of North Sumatera, Exchange Rate, Interest Rate and Error Correction Term about Inflation in North Sumatera. Data is used secondary data from general Consumer Price Index (CPI) from North Sumatera Province include Medan, Pematangsiantar, Sibolga and Padangsidempuan monthly of January 2007 until December 2012. And secondary data Consumer Price Index (CPI) of North Sumatera Province, Gross Domestic Product of Province Sumatera Utara, Exchange Rate and Interest Rate of BI Rate yearly of 1999 until 2012. Model is used model econometric with Autoregressive method and Error Correction Model. Result of this research with estimation of VAR model concludes that degree of persistence of 4 town from North Sumatera Province is low. Result of estimation of model ECM concludes that Interest Rate significantly affect to inflation rate, while Gross Domestic Product of North Sumatera Province and Exchange Rate not significantly affect to inflation rate. While ECT becomes significant correction to variable inflation rate. Where the form of error correction in the ECM suggests a long-term relationship between the variables inflation, GDP variable, the variable exchange rate and variable interest rate is comparable.

FED VE ECB NİN PARA POLİTİKASI VE BÜYÜME ARASINDAKİ İLİŞKİ: TÜRKİYE İÇİN VAR ANALİZİ (2000-2017)

Monetary policies of the Federal Reserve of the USA and the European Central Bank (ECB) have an impact on all global economies. However, the interest rates or interest decisions that these banks use as monetary policy instruments may have positive or negative effects especially on developing economies. The relationship between the interest rates used by the Fed and ECB as monetary policy and the growth rate of Turkey is investigated for the years 2000-2017 by applying VAR analysis. Cointegration test findings show that the federal fund rate, the ECB short-term interest rate and the growth variables move together in the long-term. According to Granger causality test findings, it is seen that there is only a one-way relationship from the federal fund rate and the ECB short-term interest rate to the growth rate. However, it was concluded that there was no causality from the federal fund rate to the short term interest rate of the ECB

Shelter from the Storm: Which Safe Asset for Climate Disasters?

Hurricanes give rise to flight-to-safety episodes during which High Tech stocks consistently behave differently from stocks in other industries. We isolate a safety premium of 3.75\% which peaks at 16% annualized for periods of 20 days after landfall. The safety premium is greater than the short term interest rate and thus greater than any safety premium embedded in government bonds. It has strengthened since the Global Financial Crisis. The flight-to-safety is not associated with a flight-to-liquidity episode, nor with changing risk aversion, but is a flight-to-quality. Accounting for higher moments of abnormal returns turns decisive for identifying safe assets.

The Behaviour of Interest Rates in Turkey

Short term interest rates are one of the most influential monetary policy tools for contemporary central banks. More often they are used to prompt the monetary transmission mechanism either to avoid recessions or to control the rising prices via affecting the market interest rates. The main aim of this study is to investigate the relationships among short term and other types of market interest rates in Turkey. Monthly data on short term interest rates set by the Turkish Central Bank, benchmark market interest rates on Turkish 2 year Treasury Bonds and bank lending and bank deposit rates are used in this study covering the period between 2012(M06) and 2019(M09). The relationships between the variables are investigated by adopting co-integration and error correction models. The results revealed that there is a strong significant co-movement between short term and other market interest rates. As the findings of error correction models revelaed a percent change in short term rates are accompanied by a 0.86 percent change in lending and 0.76 percent change in deposit rates.

A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model

This paper develops a threshold-augmented dynamic multi-country model (TG-VAR) to quantify the macroeconomic effects of the Covid-19 pandemic. We show that there exist threshold effects in the relationship between output growth and excess global volatility at individual country levels in a significant majority of advanced economies and several emerging markets. We then estimate a more general multi-country model augmented with these threshold effects as well as long term interest rates, oil prices, exchange rates and equity returns to perform counterfactual analyses. We distinguish common global factors from trade-related spillovers, and identify the Covid-19 shock using GDP growth projection revisions of the IMF in 2020Q1. We account for sample uncertainty by bootstrapping the multi-country model estimated over four decades of quarterly observations. Our results show that, without policy support, the Covid-19 pandemic would cause a significant and long-lasting fall in world output, with outcomes that are quite heterogenous across countries and regions. While the impact on China and other emerging Asian economies are estimated to be less severe, the United Kingdom, and several other advanced economies may experience deeper and longer-lasting effects. Non-Asian emerging markets stand out for their vulnerability. We show that no country is immune to the economic fallout of the pandemic because of global inter-connections as evidenced by the case of Sweden. We also find that long-term interest rates could temporarily fall below their pre-Covid-19 lows in core advanced economies, but this does not seem to be the case in emerging markets.

A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model

This paper develops a threshold-augmented dynamic multi-country model (TGVAR) to quantify the macroeconomic effects of Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility at individual country levels in a significant majority of advanced economies and in the case of several emerging markets. We then estimate a more general multi-country model augmented with these threshold effects as well as long term interest rates, oil prices, exchange rates and equity returns to perform counterfactual analyses. We distinguish common global factors from trade-related spillovers and identify the Covid-19 shock using GDP growth forecast revisions of the IMF in 2020Q1. We account for sample uncertainty by bootstrapping the multi-country model estimated over four decades of quarterly observations. Our results show that the Covid-19 pandemic will lead to a significant fall in world output that is most likely long-lasting, with outcomes that are quite heterogenous across countries and regions. While the impact on China and other emerging Asian economies are estimated to be less severe, the United States, the United Kingdom, and several other advanced economies may experience deeper and longer-lasting effects. Non-Asian emerging markets stand out for their vulnerability. We show that no country is immune to the economic fallout of the pandemic because of global interconnections as evidenced by the case of Sweden. We also find that long-term interest rates could fall significantly below their recent lows in core advanced economies, but this does not seem to be the case in emerging markets.

Monetary Policy Surprises and Exchange Rate Behavior

Central banks unexpectedly tightening policy rates often observe the exchange value of their currency depreciate, rather than appreciate as predicted by standard models. We document this for Fed and ECB policy days using eventstudies and ask whether an information effect, where the public attributes the policy surprise to an unobserved state of the economy that the central bank is signaling by its policy may explain the abnormality. It turns out that many informational assumptions make a standard two-country New Keynesian model match this behavior. To identify the particular mechanism, we condition on multiple asset prices in the eventstudy and model implications for these. We find that there is heterogeneity in this dimension in the eventstudy and no model with a single regime can match the evidence. Further, even after conditioning on possible information effects driving longer term interest rates, there appear to be other drivers of exchange rates. Our results show that existing models have a long way to go in reconciling eventstudy analysis with model-based mechanisms of asset pricing.

Subjective Shadow Rate Beliefs at the Zero Lower Bound

We estimate shadow rates (Black (1995); Wu and Xia (2016)) using forward rates on US Treasuries and forecasts of short term interest rates from the Blue Chip Financial Survey. We estimate a suite of alternative models with different numbers of factors, with and without forecast data, and assuming forecasts are full information rational expectations or that forecasters have distorted beliefs. Regardless of how expectations formation is modeled, our estimates that incorporate forecasts imply: (1) deeper easing by the Federal Reserve during the ZLB period relative to previous estimates, (2) longer real-time forecasts of the duration of the ZLB period, and (3) a structural break in the effect of monetary policy on the macro-economy before and after the Great Recession. Our estimates also imply that the perceived path of policy was much tighter than the Fed’s official projected path, suggesting the FOMC’s statements were not perceived as fully credible during the Great Recession.

Non-Markovian Forward-Backward Stochastic Differential Equations with Discontinuous Coefficients

In this paper, the existence and uniqueness of a weak solution in the sense of [1] and [2] has been shown for a class of fully coupled forward-backward SDE (FBSDE) such that the forward drift coefficient is allowed to be discontinuous with respect to the backward component of the solution. The novelty of this paper lies on the fact that the FBSDE is non-Markovian, i.e., the coefficients of the FBSDEs are allowed to be random. This type of FBSDEs is inspired by the regime shift model, where the short term interest rate switches between regimes according to the rate level. As a consequence, the discontinuity of the system becomes inevitable, making it violate the usual assumptions of most existing results for FBSDEs. We show the weak well-posedness of the FBSDE by an approximation scheme, along with the decoupling strategy.

Monetary Policy Surprises and Exchange Rate Behavior

Central banks unexpectedly tightening policy rates often observe the exchange value of their currency depreciate, rather than appreciate as predicted by standard models. We document this for Fed and ECB policy days using event-studies and ask whether an information effect, where the public attributes the policy surprise to an unobserved state of the economy that the central bank is signaling by its policy may explain the abnormality. It turns out that many informational assumptions make a standard two-country New Keynesian model match this behavior. To identify the particular mechanism, we condition on multiple asset prices in the event-study and model implications for these. We find that there is heterogeneity in this dimension in the event-study and no model with a single regime can match the evidence. Further, even after conditioning on possible information effects driving longer term interest rates, there appear to be other drivers of exchange rates. Our results show that existing models have a long way to go in reconciling event-study analysis with model-based mechanisms of asset pricing. Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.

Price Impact on Term Structure

We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with different maturities, including a cross price impact that is endogenous to the term structure. We connect the introduced impact to classic no-arbitrage theory for interest rate markets, showing that impact can be embedded in the pricing measure and that no-arbitrage can be preserved. We present pricing examples in presence of price impact and numerical examples of how impact changes the shape of the term structure. Finally, to show that our approach is applicable we solve an optimal execution problem in interest rate markets with the type of price impact we developed in the paper.

The Effects of Structural Shocks on Macroeconomic Fundamentals under Aggressive Monetary Policy: The Case of Turkey

Purpose: This study aims to investigate the impact of aggressive monetary policy in terms of inflation on the effects of structural shocks over macroeconomic fundamentals in Turkey. For this purpose, we estimate the basic new Keynesian model by using the Bayesian method for the period of 2000Q1 to 2019Q1. Design/methodology/approach: We use the most recent quarterly dataset of the real gross domestic product index, consumer price index and short term interest rate for Turkey. The prior distribution of structural parameters and shock processes are determined according to the literature. Then, we estimate two different version of the basic new Keynesian model with six distinct chains of Metropolis-Hasting algorithm with each of 100000 draws. Finally, we examine the long term impact of aggressive monetary policy on the effects of structural shocks with the help of the unconditional variance decomposition. Besides, the short term and over time analysis are conducted via the conditional forecast error variance decompositions. Findings: The results of Bayesian impulse responses are consistent with theoretical framework of the new Keynesian synthesis. Besides, the historical shock decompositions of endogenous variables give valuable insight for the last twenty years of Turkish economy. The empirical results show that aggressive monetary policy increases the effects of monetary policy shock on inflation while its impact on output gap and interest rate decreases at every quarter. Moreover, the aggressive monetary policy boosts the effects of supply shock on the variability of output gap over time. Research limitations/implications: If the Central Bank of Turkey intends to implement aggressive monetary policy to sustain price stability, the monetary authority should bear in mind that their effects on both the real sector and the short term interest rate will diminish. Originality/value: This study deals with the popular discussion about the aggressiveness of monetary authority in emerging countries with its own distinctive design.

Cross-Domain Deep Visual Feature Generation for Mandarin Audio–Visual Speech Recognition

There has been a long term interest in using visual information to improve automatic speech recognition (ASR) system performance. Both audio and visual information are required in conventional audio visual speech recognition (AVSR) systems. This limits their wider applications when visual modality is not present. To this end, one possible solution is to use acoustic-to-visual (A2V) inversion techniques to generate visual features. Previous research in this direction used synthetic acoustic-articulatory parallel data in inversion model training. The acoustic mismatch between the audio-visual (AV) parallel data and target data was not considered. In addition, the target language to apply these technologies has been focused on English. In this article, a real 3D Audio-Visual Mandarin Continuous Speech (3DAV-MCS) corpus was used to train deep neural network based A2V inversion models. Cross-domain adaptation of the inversion models allows suitable visual features to be generated from acoustic data of mismatched domains. The proposed cross-domain deep visual feature generation techniques were evaluated on two state-of-the-art Mandarin speech recognition tasks: DAPRA GALE broadcast transcription and BOLT conversational telephone speech recognition. The AVSR systems constructed using the cross-domain generated visual features consistently outperformed the baseline convolutional neural network (CNN) ASR systems by up to 3.3% absolute (9.1% relative) character error rate (CER) reductions after both speaker adaptive training and sequence discriminative training were performed.

Liability driven investment with alternative assets: Evidence from Brazil

We study the portfolio choice problem for an asset-liability investor who invests in stocks, equity mutual funds, government bonds, short term interest, hedge funds, listed real estate, and commodities futures available in Brazil. Inflation and real interest play as important risk sources. We estimate the asset classes and liabilities time-varying conditional covariance structure using an asymmetric multivariate dynamic conditional correlation GARCH model and compare the asset-liability portfolio's global minimum variance allocation with Brazilian pension funds' market portfolio. The conditional covariance structure provides insights about the complex dynamic relationships between the asset classes and liabilities. We find that some (though not all) Brazilian alternative assets render strong diversification and liabilities hedging benefits for asset-liability investors. There are significant strategic asset allocation differences between the market portfolio and the liability driven portfolio as given by our model. We, therefore, question the Brazilian pension funds' allocation.

A Techno-Economic Assessment of Small Energy Access Microgrids in the Philippines

In an effort to expedite the electrification in off-grid areas in the Philippines, the Qualified Third Party (QTP) scheme encourages private sector to engage in power generation and distribution business through competitive selection, a process that requires at least two rival bidders with rigorous registration requirements. An exemption is offered for microgrids with sub-100 kW capacity by not undergo competitive selection in order to further attract investors and private sector to engage in these off-grid areas since these areas are deemed highly unviable. The Department of Energy opened around 995 areas waived by electric cooperatives for third party servicing. The sub-100 kW capacity can serve areas with fewer than 500 household connections, which fits the profile of the 995 areas. In this work, the techno-economic feasibility of installation of sub-100 kW microgrids is done in order to know the required level of subsidies, loans, and/or grants to sustainably operate in these areas. The proposed microgrids were evaluated using ISLA, an open-source microgrid optimizer validated by HOMER Pro, by finding the optimal system component sizes of solar PV, battery, and diesel generators with the least levelized cost of electricity (LCOE). Initial results suggest initial investment cost for the establishment of 15 sub-100 kW microgrids ranged from USD 0.5 to 1 M (~PHP 25 to 55 M), with LCOE averaged at PHP 10.26/kWh. This corresponds to 30 % reduction relative to the LCOE from using diesel generator only. Strategies such as partial financing and full grant of capital expenditures show that the former can provide generation rates at par with typical generation rates of existing electric cooperatives at ~PHP 5 to 6 per kWh, while full subsidy can significantly reduce the generation cost to PHP 2 to 3 per kWh. Providing long term and low interest rates from financial institutions to fund these projects will help hasten the deployment of sub-100 kW microgrids. To achieve financial sustainability in these areas, productive use of energy through income generating projects should be highly encouraged in order to give the inhabitants the capacity to pay.

The effects of monetary policy on housing prices

Abstract. Many factors have an impact on housing prices. Among these factors, short term interest rates have significant importance. It is because changes in short term interests are important indicators of the efficiency of the monetary policy and the functioning of the housing prices channel is an important tool for the monetary authority to have an impact on economic activities. The purpose of this paper is to study the efficiency of the housing prices channel in Turkey. In our study, we used VAR method based on data from 2007-2019. As a result of the analysis, we found out that interest rates and the housing credit index directly affect housing prices in Turkey. Keywords. Housing prices, Monetary transmission mechanism, Housing price channel, VAR analysis. JEL. E20, E40, E50.

Investment Opportunities and Challenges in Tamil Nadu for Industrial Development- An Assessment

In recent years, significant of Foreign Direct Investment has been increasing especially in the developing countries. These countries are trying their level best to attract more and more FDI. Foreign Direct Investment takes place when a company invests directly in the production or marketing of a product in a foreign country.FDI is defined as an investment involving a long term relationship that reflects the long term interest and control of a resident entity in the host country. Industrial investment plays a significant role in the development of a country. Broadly there are two types of foreign investment viz., foreign direct investment and portfolio investment. The developments are easily possible through Foreign Direct Investment (FDI) because it helps to bring close the different economies of the world by investing capital in a country. Capital formation is an important determinant of economic growth. While domestic investments add to the capital stock in an economy, FDI plays a complementary role in overall capital formation and filling up the gap between domestic savings and investment. Foreign investment plays an important role in the long term economic development by augmenting availability of capital, enhancing competitiveness domestic economy through transfer of technology, strengthening infrastructure, raising productivity, generating new employment opportunities and boosting exports. The Government has implemented several reforms in recent years to attract more FDIs. These include improving infrastructure, revising the law on the land acquisition, reforming labour law and rationalizing the process of obtaining environmental clearances. In this article researcher focused on industrial opportunities and challenges in Tamil Nadu for industrial development of the state.

Dynamics of Foreign Direct Investment Manufacturing Sector in Indonesia

This research was conducted to determine the short-term and long-term effects between Gross Domestic Product, Interest Rates, and Inflation on Foreign Direct Investment in the manufacturing sector for the period 2004-2017. Study applied VECM (Vector Error Correction Model), secondary data obtained from Bank Indonesia, BPS, and Bappenas. Based on the statistical results it can be concluded that: first, GDP has a positive and not significant effect in the short term, then in the long run, it has a negative effect toward FDI. Second, in the short term interest rates have a negative and not significant while in the long term interest rates have a negative and significant effect on FDI in the manufacturing sector. Lastly, inflation has a negative and insignificant effect, while, in the long-run inflation has a positive and significant effect on FDI in the manufacturing sector.