Macro Factors

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Common macro factors and currency premia

Common macro factors and currency premia

For carry trade excess returns we find a maxMSFE-F statistic of 8.22 for All countries and 4.98 for Developed countries, with p-values of 0.01 and 0.03, respectively. The corresponding statistics for the dollar carry trade are 10.66 and 7.56, each of which has a p-value close to 0.01. Regarding the momentum strategy, we find an insignificant maxMSFE-F statistic for All countries—1.21 with a p-value of 0.25—but significant results for Developed countries momentum—an maxMSFE-F statistic of 6.07 with a p-value of 0.04; this is perhaps not surprising because our macro factors exhibit stronger predictive power when we consider the smaller group of currencies that were not subject to issues such as capital controls, etc. Overall, however, at a nominal significance level of 5%, the Clark and McCracken (2012) reality check procedure suggests that the out-of-sample predictive power of the factors for the currency strategies cannot be linked to data snooping but is indeed due to significant predictive information in the macro factors.

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Unspanned macroeconomic factors in the yield curve

Unspanned macroeconomic factors in the yield curve

Figure 1 displays the estimated factors of the macro-yields model. The top three plots report the yield curve factors, while the bottom two refer to the unspanned factors. The estimated yield curve factors of the macro-yields model are highly correlated with the NS factors, which we estimate by ordinary least squares as in Diebold and Li (2006) and report in dashed red lines in the top plots. The differences between the NS factors and the first three macro-yields factors are due to the fact that, in the macro-yields model, the yield curve factors are common to both yield curve and macroeconomic variables. In fact, in the macro-yields model, we extract the yield curve factors from both yields and macroeconomic variables and impose the NS restrictions on the factors loadings of the yields to identify them as yield curve factors. The two bottom plots of Figure 1 show the unspanned macro factors. The bottom left plot reports the first unspanned macro factor along with the industrial production index, while the bottom right plot reports the second unspanned macroeconomic factor along with the real interest rate (computed as the difference between the federal funds rate and the consumer price index). As it is clear from the plots, the first unspanned macroeconomic factor closely tracks the industrial production index, with a correlation of 90%, and the second unspanned macroeconomic factor proxies the real interest, with a correlation of 74%. This is in line with the fact that, as reported in Table 2, the first unspanned macroeconomic factor explains mainly measures of real economic activity, while nominal variables are explained partly by the yield curve factors and partly by the second unspanned factor. We can thus conclude that the macro-yields models identifies two unspanned macroeconomic factors: real economic activity and real interest rate. In the next Section we assess the quantitative importance of the unspanned

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Prediction of Term Structure with Potentially Misspecified Macro Finance Models near the Zero Lower Bound

Prediction of Term Structure with Potentially Misspecified Macro Finance Models near the Zero Lower Bound

be seen that macro factors track quite closely to the actual data and the fitting of the bond yields are reasonably good across maturities. This demonstrates that ATSM is adequate to jointly model the dynamics in bond yields and macro factors. Nevertheless, it is noted that the model-implied bond yields often bleach the zero lower bound and become negative during the sample periods after late 1995. This generates notable degree of pricing errors when the actual short-term bond yields are effectively zero. Figure 1 (c) depicts actual and estimated yields curve at specified four points including both of non-zero and zero interest rate policy periods. This graph indicates goodness of fit in terms of cross section aspect of time series of term structure of panel (b). Table 2 and Figure 2 report the corresponding results for the QTSM which imposes a quadratic mapping in between bond yields and macro factors. The filtered output and inflation factors as shown in Figure 2 (a) and (b) also track closely to the actual data, however, there is a substantial deviation of the monetary stance factor. The latter case indicates that the enforced quadratic mapping in the macro-finance QTSM can be potentially misspecified. In contrast to the ATSM, the model-implied bond yields of QTSM are guaranteed to be positive. Hence, the QTSM is able to produce a much better fit to the actual short-term bond yields near the zero lower bound. Figure 2 (c) draws a counterpart of the QTSM for the yields curve of the ATSM in Figure 1 (c).

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Unspanned macroeconomic factors in the yield curve

Unspanned macroeconomic factors in the yield curve

Figure 1 displays the estimated factors of the macro-yields model. The top three plots report the yield curve factors, while the bottom two refer to the unspanned factors. The estimated yield curve factors of the macro-yields model are highly correlated with the NS factors, which we estimate by ordinary least squares as in Diebold and Li (2006) and report in dashed red lines in the top plots. The differences between the NS factors and the first three macro-yields factors are due to the fact that, in the macro-yields model, the yield curve factors are common to both yield curve and macroeconomic variables. In fact, in the macro-yields model, we extract the yield curve factors from both yields and macroeconomic variables and impose the NS restrictions on the factors loadings of the yields to identify them as yield curve factors. The two bottom plots of Figure 1 show the unspanned macro factors. The bottom left plot reports the first unspanned macro factor along with the industrial production index, while the bottom right plot reports the second unspanned macroeconomic factor along with the real interest rate (computed as the difference between the federal funds rate and the consumer price index). As it is clear from the plots, the first unspanned macroeconomic factor closely tracks the industrial production index, with a correlation of 90%, and the second unspanned macroeconomic factor proxies the real interest, with a correlation of 74%. This is in line with the fact that, as reported in Table 2, the first unspanned macroeconomic factor explains mainly measures of real economic activity, while nominal variables are explained partly by the yield curve factors and partly by the second unspanned factor. We can thus conclude that the macro-yields models identifies two unspanned macroeconomic factors: real economic activity and real interest rate. In the next Section we assess the quantitative importance of the unspanned

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Unspanned macroeconomic factors in the yield curve

Unspanned macroeconomic factors in the yield curve

As explained before, we estimate the model at the beginning of each year of our evaluation sample. Given that we report the performances up to two-year horizon, the first time the model is estimated is in January 1988 (with this parameters we produce the two-year ahead forecast for January 1990). Table 21 shows that while for the block-diagonal macro-yields model there is some instability in the selection of the number of macro factors, prior to 2000, the macro-yield model is stable: the information criterium selects always 5 factors. This result leads to a slight deterioration of the out-of-sample performances for the block diagonal model, see Table 22, probably due to the fact that for 1998 and 1999 the number of factors selected is equal to eight. For the macro-yields model the out-of-sample performances are equal to the ones reported in the main text, given that the number of factors selected is always equal to five.

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Unspanned macroeconomic factors in the yield curve

Unspanned macroeconomic factors in the yield curve

Figure 1 displays the estimated factors of the macro-yields model. The top three plots report the yield curve factors, while the bottom two refer to the unspanned factors. The estimated yield curve factors of the macro-yields model are highly correlated with the NS factors, which we estimate by ordinary least squares as in Diebold and Li (2006) and report in dashed red lines in the top plots. The differences between the NS factors and the first three macro-yields factors are due to the fact that, in the macro-yields model, the yield curve factors are common to both yield curve and macroeconomic variables. In fact, in the macro-yields model, we extract the yield curve factors from both yields and macroeconomic variables and impose the NS restrictions on the factors loadings of the yields to identify them as yield curve factors. The two bottom plots of Figure 1 show the unspanned macro factors. The bottom left plot reports the first unspanned macro factor along with the industrial production index, while the bottom right plot reports the second unspanned macroeconomic factor along with the real interest rate (computed as the difference between the federal funds rate and the consumer price index). As it is clear from the plots, the first unspanned macroeconomic factor closely tracks the industrial production index, with a correlation of 90%, and the second unspanned macroeconomic factor proxies the real interest, with a correlation of 74%. This is in line with the fact that, as reported in Table 2, the first unspanned macroeconomic factor explains mainly measures of real economic activity, while nominal variables are explained partly by the yield curve factors and partly by the second unspanned factor. We can thus conclude that the macro-yields models identifies two unspanned macroeconomic factors: real economic activity and real interest rate. In the next Section we assess the quantitative importance of the unspanned

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Nexus Between Macro Economic Factors And S&P Sensex Movements

Nexus Between Macro Economic Factors And S&P Sensex Movements

Abstract: The Indian stock market is vibrant and dynamic in nature; it has been going through many economic reforms structural changes after liberalization Indian economy since 1991 to till date. The Indian economy follows free market economic system, which enhance the scope of investing into stock market. Thereby stock market (Sensex) performance influenced by macroeconomic fundamentals, the present paper has investigate the nexus between Sensex and macro economic factors GDP growth rate, Exchange rate, inflation rate, Gold Prices, IIP and FII. The stationarity between macro economic factors and Sensex movements measured through employing ADF stationarity test, and Engle-Granger Co-integration to test the long run relation. Key words: Sensex, macroeconomic factors, long run relation, co-integration, Correlation.

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ENVIRONMENTAL FORCES AS CATALYSTS IN    ELECTRONIC-MARKETING, THE 21ST CENTURY TRENDS IN NIGERIA Author(s):                          Kalu    Alexanda O. U. , Nto, Chioma    P. O. and Nwadighoha, Emmanuel E.

ENVIRONMENTAL FORCES AS CATALYSTS IN ELECTRONIC-MARKETING, THE 21ST CENTURY TRENDS IN NIGERIA Author(s): Kalu Alexanda O. U. , Nto, Chioma P. O. and Nwadighoha, Emmanuel E.

Criticism: Despite the robustness of TAM, the model have also been found to possess some limitations in its application to consumer adoption of the electronic marketing applications and several authors have extended TAM (Pikkarainen et al, 2004; Lee, 2009) or supplemented it by combining it with other factors (Cheng et al, 2006). Moreover, TAM's lack of explanatory power in the context of consumer adoption might have accounted for its failure to account for differences in the prior experience of users. Thus researchers need to take into account user experiences, age, education, institutional factors, ICT literacy of the users, level of income and cost of the equipments, etc; when conducting research in innovation adoption using TAM as a model. All these aforementioned factors will be investigated in this study to ascertain the role or roles they play in electronic marketing in Nigeria as a developing economy.

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Remittances - The Importance of Them

Remittances - The Importance of Them

According to Kule et al. (2002), the main reasons that led to the emigration of Albanian youth were the economic reasons (in the period 1990-1997) and beyond, the political- social ones (in the period 1997-1998). According to them, after this year, the situation has calmed down and migration flows have been fewer and more regular. In addition to poverty, lack of employment or political and social turmoil, there have been other factors that have contributed to emigration. Such are the collapse of pyramid schemes, the crisis of Kosovo, etc. (World Bank, 2006; Hernández-Coss and Martinez, 2006). In their work, Shehaj et al. (2011) have found that the determinants of the intention to migrate abroad to the most educated population are of individual, family and macro nature. Emigration has been mainly oriented towards the two neighboring countries of the EU, Italy and Greece (Uruçi and Gëdeshi, 2003).

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United Kingdom Fund Managers and Institutional Investors’ Attitudes Toward Japanese Equities

United Kingdom Fund Managers and Institutional Investors’ Attitudes Toward Japanese Equities

All of our informants noted that the Japanese market had more volatility and less correlation with Western markets, which would in theory make Japanese equities attractive from a pension fund diversification point of view. However, informant 4 suggested that these factors were countered by a less enthusiastic attitude towards Japan which can be summed up in the following statement: “ People know Japan less now than they did ten to twenty years ago ”. This view was echoed by informant 5 who noted that in his twenty year tenure as a Japan specialist, foreigners have tended to have an opinion on Japan, but within the last six to twelve months, “ people just don’t care at all ”. Informant 5 stated that UK investor apathy in Japan were directly related to the post bubble performance of the Japanese equity market, which saw the Nikkei index underperform the rest of the world by 85% in eight years. He pointed to the post bubble Japanese equity market experience as one of two unequal halves. Broadly speaking, during the first half from 1989 to 1997, Japan halved while the rest of the world do ubled: “ Memories of 1989 to 1997 are so painful they still exist. Anyone who had experience of running international money in that period was thinking Japan is a disaster ”. However, during the latter half, which Informant 5 describes as the twelve year period from December 1997 to December 2008, Japan’s market performed broadly in line with the rest of the world. Yet, according to this informant, despite this more respectable performance, including strong years in 1999, 2003 and 2005, investor perceptions have been clouded by the post bubble experience.

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Perceptions of Transfer Climate Factors in the Macro and Micro Organizational Work Environment.

Perceptions of Transfer Climate Factors in the Macro and Micro Organizational Work Environment.

Additionally, the pre-sell training taught the program interviewees how to grow the business by emphasizing the new and exciting benefits to the customers. One of the key learning objectives the program interviewees learned was how to explain the difference between a feature and a benefit. The interviewees were taught that a feature is the graphics, container, and perceived image of purchasing the brand. A benefit was how much profit or marginal contribution the product would generate for the customer. It was believed that by emphasizing the benefits of each new product sold, the program interviewees would increase sales and subsequently grow the business. Hence, continuing to drive demand for the product and the sense of “job security.” When Pre-Sell Manager 7 was describing the transfer climate factors that were important to him, he remarked, “Ah, job security is definitely a positive factor.” Similarly, Pre-Sell Manager 15 responded this way, “I would say job security and benefits. Because lets face it, I am getting older and I feel pretty comfortable that if I do my job, I don’t think anybody will be able to come and say I am not employed.”

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Determinants of Corporate Investment Decision: An Evidence from Pakistan

Determinants of Corporate Investment Decision: An Evidence from Pakistan

Investment expenditures are crucial to enhance growth and productivity, particularly in economies dominated by the presence of small and medium enterprises (SMEs). Due to the importance of investment to the growth path of the economy, several studies analyzed the investment behavior from a macroeconomic perspective, often focused on large and developed economies. Although macroeconomic variables play massive role in formulation of policies at country level, the microeconomic variables also have its own significance. Nowadays researchers are in views to find out over all factors that affect investment decision at firm level. They are seeking answer of questions like: (1) what factors influence the investment decisions of firms? (2) To what extent is investment decisions affected by the opportunities available to the firms? and, (3) do these factors have equal effect on all types of firms? These questions have agitated the minds of the researchers.

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The Impact of Macro-Economic Factors on Non-Performing Loans in Albania

The Impact of Macro-Economic Factors on Non-Performing Loans in Albania

Albania's banking system has made great progress, especially in recent decades. In the last five years the economy has had many important changes, with regard to financial sustainability in Albania. Our country is going through a difficult moment and the Albanian banking system is characterized by high levels of non-performing loans. Our banking system has several problems and the authorities are not giving the proper solution and the implementation of these solutions is taking too much time, thing that aggravates even further the current situation. Our hypothesis in this paper is: despite the totality of all the macroeconomic factors that influence in a country, the main factor that had a negative impact on the high level of nonperforming loans in Albania is the gross domestic product. To prove this hypothesis, we used two methods, the first one is the linear regression and the other one is stress tests. Besides that, we have referred to the most recent literature and see also the experience of other countries. The same methods were also used by other authors both foreign and Albanian such as (2004), Vlieghe (2001) Shijaku & Czech (2010) etc. Meanwhile, we have also analyzed the internal factors which had an impact on the portfolio of non-performing loans in commercial banks in Albania, highlighting the impact of the professional analysts of credit, the implementation of procedures and manuals from banks, corruption, the rapid growth of the non-performing loans during 2007-08 etc.

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Accessibility and Connectivity as the Key Factors of the Macro space in Built Environment

Accessibility and Connectivity as the Key Factors of the Macro space in Built Environment

We can note the opposition the two different approaches in studies of the built environment. The city as ‘a cognitive phenomena’, and the city as ‘a set of patterns that architects use’ to understand, diagnose and provide therapy for the built environment (Alexander and Center for Environmental Structure. 2002). The understanding of urban space cannot ignore Foucault’s pioneering but confusing article ‘Of other space’ (Foucault, 1964). The article describes three spatial systems: -one with a single center - a system he calls ‘emplacement’; - a second is a binary system of flows and dialectics; - the third is a network system of shifting relationships often between mobile actors and residents. The notion of three types of macro-space is essential for building a generalized model of urban space.

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The Effects of Social Support on Pregnant Women's Choice of Delivery Method: Application of an Expanded Theory of Planned Behavior

The Effects of Social Support on Pregnant Women's Choice of Delivery Method: Application of an Expanded Theory of Planned Behavior

in the mode of delivery (6). For example, Fuglenes et al asked pregnant women at 30 weeks of gestation to state their preference for delivery mode, and then followed them up to determine the association between stated preference and actual delivery route. The results of the study indicated that 88% of women with vaginal preference delivered their baby vaginally (7). Women’s preference and intention may be affected by several factors including socio-cognitive determinants. Exploring and recognizing these factors is important to find solutions and develop more effective policy and programs. In this regard, theory of planned behavior (TPB) provides a parsimonious and useful framework to understand the factors influencing individual’s intention and behavior in a variety of settings (8). Based on this theory, mother’s intention is expected to influence the choice of natural vaginal delivery (NVD). The intention, in turn, is influenced by the degree to Abstract

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No more cakes and ale: banks and banking regulation in the post bretton woods macro regime

No more cakes and ale: banks and banking regulation in the post bretton woods macro regime

As a result of banking system instability, a second prong emerges: Banking regulation and policy become a much more active field, especially for central banks. As a consequence of the Herstatt crisis, for example, the Basel Committee is created. Within Germany, a committee of wise men is set up to study the role and regulation of banks. It is highly instructive to analyze the reports of these early attempts to regain control over a complex system (see Bosankic and Klüh 2016 for a more detailed account). Already at this stage, arguments are framed in a way that are consistent with the new macro-regime. For example, exchange rate volatility and international capital mobility are rarely mentioned as a source of banking instability, even though it had played a major role in the Herstatt crises. Also, a main focus is how to make banking policy consistent with the monetary transmission mechanism, which obviously needs to be re-calibrated to the new regime. Finally, transparency and liquidity of markets slowly become key concepts.

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Human trafficking in hotels: an "invisible" threat for a vulnerable industry

Human trafficking in hotels: an "invisible" threat for a vulnerable industry

At the macro-level, political, legal, economic and socio-cultural factors were identified to increase the opportunities for traffickers for both sexual and labour exploitation in Europe. Two political factors were found to heavily influence the growth of THB; the current refugee crisis in Europe and the inability of European states to protect their borders. The refugee crisis in Europe has become a new supply source for traffickers, thus exacerbating the exposure of the hotel sector to THB. Human traffickers take advantage of the thousands of civil war refugees, political asylum-seekers and economic migrants that are flooding Turkey and North Africa. The International Organisation for Migration reports that 71% of migrants attempting to cross the Mediterranean have experienced exploitation and those smuggled via North Africa are between seven and 10 times more likely to be trafficked than those reaching Europe from Turkey (IOM, 2016). NC3 who has worked with THB survivors trafficked via Libya said:

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On the Ideal Duration of Entrepreneurial Resources Commitment

On the Ideal Duration of Entrepreneurial Resources Commitment

Following Locke [29] all entrepreneurial factors are the result of the combination or integration of cognition and motivation. The main cognitive factors are knowledge (industry, technology), skills (selling, bargaining, lead- ership, decision-making, planning etc.) and abilities (in- telligence etc.) [30]. The possession of all the above fac- tors develops vision. Vision may include opportunity fit, venture diagnostic and opportunity recognition. Entre- preneurial cognitions tend to be distinct from those of other business people, are universal and differ by na- tional culture [27].

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Viral Macro Domains Reverse Protein ADP-Ribosylation

Viral Macro Domains Reverse Protein ADP-Ribosylation

Crystal structure models of viral macro domains superimpose well with many macro domains (8, 12). The spatial arrangement of catalytic amino acid residues indicates that both SARS-CoV and VEEV macro domains belong to the MacroD2 type (Fig. 6A). Likewise, examination of the alignment of conserved amino acids within viral macro domains (Fig. 1C) suggests that they all belong to the MacroD2 family. In line with this proposition, the mono- ADP-ribose hydrolysis activity of the macro domain and macro- Hel, like human MacroD2 (11), is not markedly affected by the addition of magnesium, calcium, or manganese as a cofactor (36). A close-up of the VEEV macro domain active site and a pro- posal for a catalytic mechanism for the hydrolase activity, similar to that of the MacroD2 domain (36), are presented in Fig. 6B and C. The VEEV macro domain binds ADP-ribose in a deep cleft; the ADP-ribose is tightly coordinated by N24, G31, G32, G112, and F114, which is in agreement with the PAR-binding results of HEV macro-Hel. A water molecule is located in this ADP-ribose pocket, held in place by the hydrogen bond between the oxygen carried by the C1 ⬙ atom and the oxygen carried by the ␣ -phosphate of ADP- ribose. The latter, rather than an elusive Asp-His dyad (11), pre-

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The Effect of Multi Macro-Economic Factors on Stock Market in Bangladesh

The Effect of Multi Macro-Economic Factors on Stock Market in Bangladesh

The main aim of this paper is to shed light on different factors which effect performance of stock market in Bangladesh. ARDL approach has been taken in this study in order to scrutinize the long run and short relationship among the variables. The examined results of ARDL indicate that oil prices, remittances inflow and foreign direct investment have positive while exchange rate have negative and significant effect on stock market development in Bangladesh in long run whereas, all these variables have significant and negative effect on stock market development in Bangladesh in the short run except remittances inflow.

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