Abstract The paper investigates the impact of automatic horizontal fiscal transfers on risk sharing and consumption smoothing in a 2-country DSGE model of monetary union. In particular, it uses the Asdrubali et al. (1996) approach to quantify and decompose the strength of consumption...

Purpose – The purpose of this paper is to determine whether current account imbalances – surpluses or deficits – are “excessive” and hence constitute a valid concern. The second objective is to assess the degree of capital mobility by comparing the variance of the current account...

Abstract This paper analyses a stochastic volatility model generated by first order normal-Laplace autoregressive process. The model parameters are estimated by the generalized method of moments. A simulation experiment is carried out to check the performance of the estimates. Finally, a real...

Gallant and Tauchen (1996) describe an estimation technique, known as Efficient Method of Moments (EMM), that uses numerical methods to estimate parameters of a structural model. The technique uses as matching conditions (or moments, in the GMM jargon) the gradients of an auxiliary model that...

Abstract After a quick review of superpositions of OU (supOU) processes, integrated supOU processes and the supOU stochastic volatility model we estimate these processes by using the generalized method of moments (GMM). We show that the GMM approach yields consistent estimators and that it works...

Purpose This study aims to find the relationship of stock market returns and selected financial market variables (market capitalization, earnings per share, price-earnings multiples, dividend yield and trading volume) of Malaysia grounded by the arbitrage pricing theories....

Purpose – The purpose of this paper is to analyse whether labour social responsibility (LSR) practices influence on corporate reputation (CR) and on labour reputation (LR). Design/methodology/approach – LSR is defined as all those labour practices made by a company for the benefit of...

Purpose – This study aims to examine the factors affecting the foreign direct investment (FDI) and foreign portfolio investment (FPI) flows among the 16 economies comprising the Middle East and North African (MENA) region. Design/methodology/approach – Panel data for the period 1984-2012 are...

Purpose Excessive working capital or paucity of the same can impair the profits and health of an organization. The purpose of this paper is to analyze the impact of working capital management (WCM) on the profitability of firms for a sample comprising of non-financial companies in countries of...

Purpose – The purpose of this paper is to use a dynamic model to investigate capital structure determinants for 178 firms listed on the Johannesburg Stock Exchange for the period 1998‐2008. The sample of firms is also used to examine the cost and speed of adjustment towards a target debt...