Purpose- This paper investigates earnings management, capital management, the impact of the Covid... more Purpose- This paper investigates earnings management, capital management, the impact of the Covid-19 pandemic and signalling by United States listed banks of loan loss provisions. This study is particularly important because there is a relative dearth of research in banking on these topics and thus remain considerably under researched. Methodology- The dataset comprises a pooled cross-sectional and time series data for a sample of 249 U.S. listed banks for the period 2015 to 2020 consisting of 1,494 observations. A panel data analysis is conducted. Findings- Results overall show no evidence of systematic earnings management, capital management or signaling by the banks. Findings reveal the impact of the Covid-19 pandemic is not significant during this period of economic fragility for listed banks. The elasticity of loan loss provisions with regards to the annual growth in gross domestic product is negative and statistically significant overall. This is evidence that U.S. listed bank...
Supply chain uncertainties pose a massive and ever-present challenge for modern companies. These ... more Supply chain uncertainties pose a massive and ever-present challenge for modern companies. These uncertainties can manifest in two contrasting scenarios: supply surplus, where companies have excess items, and supply shortages, where there is an insufficient quantity of goods. Each situation demands a different approach from businesses to adapt to the varying outcomes and maintain a competitive edge in the market. Product backordering is one of the important things that companies need to deal with in an uncertain supply chain. A backorder occurs when a customer-ordered product or service is not in stock or cannot be supplied immediately, and the customer has to wait. Companies striving for a balance in managing backorders. Machine learning models can help to determine the probability of a product being backordered. In this research, we develop Classification and Regression Tree (CART) model that uses previously known parameters to predict the likelihood of a product being backordered...
Abstract This paper investigates the effects of the permanent and transitory budget deficits on p... more Abstract This paper investigates the effects of the permanent and transitory budget deficits on private investment for South Africa. Specifically, the paper utilizes cointegration and error-correction models (ECM) to explore the long-run relationship between permanent budget deficits, private investment and transitory budget deficits. The results from the study suggest that (i) there is a long run relationship between permanent budget deficits, private investment and transitory budget deficits and (ii) the transitory rather than the permanent component of the budget deficits is an important determinant of private investment for South Africa. Above all, the study finds that transitory budget deficits crowd out private investment for the period under consideration.
This study investigates the determinants of the profitability of U.S. banks. Employing quarterly ... more This study investigates the determinants of the profitability of U.S. banks. Employing quarterly data, this paper further examines the historical and recent trends for all U.S. banks from 1996 to 2019 in the relationship between return and assets (ROA) and other bank internal (or endogenous) profitability contributors such as net interest margin (NIM), loan loss reserves, ratio of non-performing loans to gross loans, and external (or exogenous) macroeconomic variables, such as the 30-year average mortgage rate, Gross Domestic Product (GDP) economic growth rate, unemployment rate, interest rate, inflation rate and openness (i.e., exports + imports/GDP) by using the Generalized Method of Moments (GMM) estimator technique. The results reveal that bank-specific variables, including net interest margin, loan loss reserves and non-performing loans, have a significant impact on bank profitability in the United States. Similarly, the results show that macroeconomic variables, namely the ave...
This paper investigates the random walk behavior of currency returns for 15 African countries, na... more This paper investigates the random walk behavior of currency returns for 15 African countries, namely, Ethiopia, Gambia, Ghana, Kenya, Madagascar, Mali, Mauritius, Morocco, Nigeria, Rwanda, Sierra Leone, South Africa, Tanzania, Uganda, and Zambia. In particular, the paper applies the nonparametric variance-ratio tests proposed by Wright (2000). The two important findings that emerge from this study are: first, contrary to most of the earlier studies on this issue, this study finds evidence against random walk behavior for currency returns of all sample countries; second, the rejection of the null hypothesis of random walk suggests that shocks to the currency return series are temporary. This finding implies that foreign exchange markets of the sample countries are inefficient and present opportunities to aggressive investors who seek high rates of return irrespective of the level of risk involved.
This paper uses the EGARCH model to investigate the volatility spillovers between home foreclosur... more This paper uses the EGARCH model to investigate the volatility spillovers between home foreclosures, adjustable mortgage rates, housing prices and unemployment rate for the US. The results provide evidence of volatility spillover effects from adjustable mortgage rates, home foreclosures and unemployment rate to housing prices. The results further indicate the presence of volatility spillover effects from housing prices to home foreclosures. However, unemployment rate is affected only by volatility spillover from adjustable mortgage rates. These results imply that to mitigate the problem of volatility in housing market, the policy maker should coordinate adjustable mortgage rates, housing prices and home foreclosures. In other words, the authorities cannot effectively use foreclosure strategies to influence the housing market without considering adjustable mortgage rates, housing prices and unemployment rate.
This paper tests for the existence of speculative bubbles in the South African-US exchange rate u... more This paper tests for the existence of speculative bubbles in the South African-US exchange rate using the sequential ADF procedures. In particular, the paper uses the SADF and GSADF right-tailed unit root tests to explore the existence of explosive bubbles in the South African-US exchange rate for the time period running from January1980 through July 2012. The results provide evidence in support of the existence of explosive bubbles in the nominal rand-dollar exchange rate, the real exchange rate of traded and non-traded goods. The explosive behavior exhibited by the South African rand-US dollar exchange rate can be interpreted as evidence of rational bubbles given that this behavior is driven by the fundamentals including relative prices of traded and non-traded goods.
Abstract Once described as an epic center of growth tragedy, African nations have lately achieved... more Abstract Once described as an epic center of growth tragedy, African nations have lately achieved relatively rapid growth rates, which have raised hopes that the continent is finally on the path to economic convergence with other emerging economies. However, there is a need to establish whether stabilization policies for the purpose of enhancing the GDP are effective in African countries. One of the means of examining the effectiveness of these policies is through the investigation of the unit root properties of per capita GDP in the continent. This study aims to add to the existing papers on GDP in African countries by investigating the non-stationarity of per capita GDP in 52 African countries, while using a newly proposed nonlinear unit root test. The results suggest that per capita GDP follows the non-stationarity process in half of the entire sample.
This paper uses cointegration and asymmetric error correction models to examine the relationship ... more This paper uses cointegration and asymmetric error correction models to examine the relationship between current account and interest rate for India, Korea, the Philippines, and Thailand. Specifically, the paper uses a battery of linearity tests including BDS, Hinich, and White procedures to determine whether or not current account and interest rate exhibit asymmetric behavior. The NLADF is applied to determine the time series properties of current account and interest rate. Nonlinear cointegration is conducted through the TAR and M-TAR models. For asymmetric adjustment, the paper implemented the Enders and Granger nonlinear error correction model. The results from the various linearity tests suggest that current account and interest rate for the sample countries exhibit nonlinear behavior. Further, the results from the TAR and M-TAR nonlinear cointegration procedures provide evidence in support of equilibrium longrun relationship between current account and interest rate. The resul...
By nature, people are guided by self-interests. Although all income groups have a stake in econom... more By nature, people are guided by self-interests. Although all income groups have a stake in economic matters, the highest income groups are likely to have a much greater say in affecting the macro economy. Identifying the interests of higher income groups with regard to the economy is, therefore, important. It suggests where the effective energies of these potent groups are likely to be channeled, and allows one to assess the extent to which their objectives are in tune with the agenda of the broader society. This study uses the Phillips-Hansen fully modified OLS procedure to investigate the interrelationship between four key macroeconomic variables and the seven topmost income shares. We find that the extent of trade, inflation rate, unemployment, and real interest rate are highly significant in explaining the shares of the highest income groups in the United States.
Identifying determinants of income distribution is in itself of significant importance as well as... more Identifying determinants of income distribution is in itself of significant importance as well as being a necessary precondition for appropriate policy design. The United States is the strongest military power in the world and one of the world's biggest arms merchants. Given the overwhelming ...
This paper explores the relationship between milita ry spending and household consumption for a p... more This paper explores the relationship between milita ry spending and household consumption for a panel of fifteen African countries. Specifically, the study seeks to ascertain the substitutability or complementarity effects of military spending on household consumption using the panel Granger causality tests. The results from the unit root and cointegration tests indicate that the military spending and household consumption series have one order of integration as well as cointegrated. The Granger causality test results re veal that there is evidence of long run bidirectional causality between military spending a nd household consumption for the entire panel. The results from the Panel Dynamic OLS indic ate that military spending and household consumption positively influence each other in the long run. Taken together, the results suggest that military spending and household consumption ar e complementary. - Questo studio analizza la relazione tra la spesa mi litare e i consumi delle ...
International Journal of Economics and Financial Issues, 2015
This paper examines the causal relationship between human capital (HC) and economic growth (EG) f... more This paper examines the causal relationship between human capital (HC) and economic growth (EG) for a panel 29 African countries. In particular, the study applied theoretically consistent panel unit root procedures and panel co-integration tests that account for the presence of cross-sectional dependency among the members of a panel. To ascertain the direction of causality between HC and EG, the study applies the heterogeneous panel causality test proposed by Dumitrescu and Hurlin. This test has the ability to control for the presence of both heterogeneity and cross-sectional dependence that might be present in the panel. To determine the signs of the relationship between the two variables, the study applied the dynamic ordinary least square (OLS). The results from the heterogeneous panel causality test provide evidence in support of bidirectional causality between HC and EG for the sample countries. The results from the dynamic OLS indicate that HC and EG have significantly positiv...
Purpose- This paper investigates earnings management, capital management, the impact of the Covid... more Purpose- This paper investigates earnings management, capital management, the impact of the Covid-19 pandemic and signalling by United States listed banks of loan loss provisions. This study is particularly important because there is a relative dearth of research in banking on these topics and thus remain considerably under researched. Methodology- The dataset comprises a pooled cross-sectional and time series data for a sample of 249 U.S. listed banks for the period 2015 to 2020 consisting of 1,494 observations. A panel data analysis is conducted. Findings- Results overall show no evidence of systematic earnings management, capital management or signaling by the banks. Findings reveal the impact of the Covid-19 pandemic is not significant during this period of economic fragility for listed banks. The elasticity of loan loss provisions with regards to the annual growth in gross domestic product is negative and statistically significant overall. This is evidence that U.S. listed bank...
Supply chain uncertainties pose a massive and ever-present challenge for modern companies. These ... more Supply chain uncertainties pose a massive and ever-present challenge for modern companies. These uncertainties can manifest in two contrasting scenarios: supply surplus, where companies have excess items, and supply shortages, where there is an insufficient quantity of goods. Each situation demands a different approach from businesses to adapt to the varying outcomes and maintain a competitive edge in the market. Product backordering is one of the important things that companies need to deal with in an uncertain supply chain. A backorder occurs when a customer-ordered product or service is not in stock or cannot be supplied immediately, and the customer has to wait. Companies striving for a balance in managing backorders. Machine learning models can help to determine the probability of a product being backordered. In this research, we develop Classification and Regression Tree (CART) model that uses previously known parameters to predict the likelihood of a product being backordered...
Abstract This paper investigates the effects of the permanent and transitory budget deficits on p... more Abstract This paper investigates the effects of the permanent and transitory budget deficits on private investment for South Africa. Specifically, the paper utilizes cointegration and error-correction models (ECM) to explore the long-run relationship between permanent budget deficits, private investment and transitory budget deficits. The results from the study suggest that (i) there is a long run relationship between permanent budget deficits, private investment and transitory budget deficits and (ii) the transitory rather than the permanent component of the budget deficits is an important determinant of private investment for South Africa. Above all, the study finds that transitory budget deficits crowd out private investment for the period under consideration.
This study investigates the determinants of the profitability of U.S. banks. Employing quarterly ... more This study investigates the determinants of the profitability of U.S. banks. Employing quarterly data, this paper further examines the historical and recent trends for all U.S. banks from 1996 to 2019 in the relationship between return and assets (ROA) and other bank internal (or endogenous) profitability contributors such as net interest margin (NIM), loan loss reserves, ratio of non-performing loans to gross loans, and external (or exogenous) macroeconomic variables, such as the 30-year average mortgage rate, Gross Domestic Product (GDP) economic growth rate, unemployment rate, interest rate, inflation rate and openness (i.e., exports + imports/GDP) by using the Generalized Method of Moments (GMM) estimator technique. The results reveal that bank-specific variables, including net interest margin, loan loss reserves and non-performing loans, have a significant impact on bank profitability in the United States. Similarly, the results show that macroeconomic variables, namely the ave...
This paper investigates the random walk behavior of currency returns for 15 African countries, na... more This paper investigates the random walk behavior of currency returns for 15 African countries, namely, Ethiopia, Gambia, Ghana, Kenya, Madagascar, Mali, Mauritius, Morocco, Nigeria, Rwanda, Sierra Leone, South Africa, Tanzania, Uganda, and Zambia. In particular, the paper applies the nonparametric variance-ratio tests proposed by Wright (2000). The two important findings that emerge from this study are: first, contrary to most of the earlier studies on this issue, this study finds evidence against random walk behavior for currency returns of all sample countries; second, the rejection of the null hypothesis of random walk suggests that shocks to the currency return series are temporary. This finding implies that foreign exchange markets of the sample countries are inefficient and present opportunities to aggressive investors who seek high rates of return irrespective of the level of risk involved.
This paper uses the EGARCH model to investigate the volatility spillovers between home foreclosur... more This paper uses the EGARCH model to investigate the volatility spillovers between home foreclosures, adjustable mortgage rates, housing prices and unemployment rate for the US. The results provide evidence of volatility spillover effects from adjustable mortgage rates, home foreclosures and unemployment rate to housing prices. The results further indicate the presence of volatility spillover effects from housing prices to home foreclosures. However, unemployment rate is affected only by volatility spillover from adjustable mortgage rates. These results imply that to mitigate the problem of volatility in housing market, the policy maker should coordinate adjustable mortgage rates, housing prices and home foreclosures. In other words, the authorities cannot effectively use foreclosure strategies to influence the housing market without considering adjustable mortgage rates, housing prices and unemployment rate.
This paper tests for the existence of speculative bubbles in the South African-US exchange rate u... more This paper tests for the existence of speculative bubbles in the South African-US exchange rate using the sequential ADF procedures. In particular, the paper uses the SADF and GSADF right-tailed unit root tests to explore the existence of explosive bubbles in the South African-US exchange rate for the time period running from January1980 through July 2012. The results provide evidence in support of the existence of explosive bubbles in the nominal rand-dollar exchange rate, the real exchange rate of traded and non-traded goods. The explosive behavior exhibited by the South African rand-US dollar exchange rate can be interpreted as evidence of rational bubbles given that this behavior is driven by the fundamentals including relative prices of traded and non-traded goods.
Abstract Once described as an epic center of growth tragedy, African nations have lately achieved... more Abstract Once described as an epic center of growth tragedy, African nations have lately achieved relatively rapid growth rates, which have raised hopes that the continent is finally on the path to economic convergence with other emerging economies. However, there is a need to establish whether stabilization policies for the purpose of enhancing the GDP are effective in African countries. One of the means of examining the effectiveness of these policies is through the investigation of the unit root properties of per capita GDP in the continent. This study aims to add to the existing papers on GDP in African countries by investigating the non-stationarity of per capita GDP in 52 African countries, while using a newly proposed nonlinear unit root test. The results suggest that per capita GDP follows the non-stationarity process in half of the entire sample.
This paper uses cointegration and asymmetric error correction models to examine the relationship ... more This paper uses cointegration and asymmetric error correction models to examine the relationship between current account and interest rate for India, Korea, the Philippines, and Thailand. Specifically, the paper uses a battery of linearity tests including BDS, Hinich, and White procedures to determine whether or not current account and interest rate exhibit asymmetric behavior. The NLADF is applied to determine the time series properties of current account and interest rate. Nonlinear cointegration is conducted through the TAR and M-TAR models. For asymmetric adjustment, the paper implemented the Enders and Granger nonlinear error correction model. The results from the various linearity tests suggest that current account and interest rate for the sample countries exhibit nonlinear behavior. Further, the results from the TAR and M-TAR nonlinear cointegration procedures provide evidence in support of equilibrium longrun relationship between current account and interest rate. The resul...
By nature, people are guided by self-interests. Although all income groups have a stake in econom... more By nature, people are guided by self-interests. Although all income groups have a stake in economic matters, the highest income groups are likely to have a much greater say in affecting the macro economy. Identifying the interests of higher income groups with regard to the economy is, therefore, important. It suggests where the effective energies of these potent groups are likely to be channeled, and allows one to assess the extent to which their objectives are in tune with the agenda of the broader society. This study uses the Phillips-Hansen fully modified OLS procedure to investigate the interrelationship between four key macroeconomic variables and the seven topmost income shares. We find that the extent of trade, inflation rate, unemployment, and real interest rate are highly significant in explaining the shares of the highest income groups in the United States.
Identifying determinants of income distribution is in itself of significant importance as well as... more Identifying determinants of income distribution is in itself of significant importance as well as being a necessary precondition for appropriate policy design. The United States is the strongest military power in the world and one of the world's biggest arms merchants. Given the overwhelming ...
This paper explores the relationship between milita ry spending and household consumption for a p... more This paper explores the relationship between milita ry spending and household consumption for a panel of fifteen African countries. Specifically, the study seeks to ascertain the substitutability or complementarity effects of military spending on household consumption using the panel Granger causality tests. The results from the unit root and cointegration tests indicate that the military spending and household consumption series have one order of integration as well as cointegrated. The Granger causality test results re veal that there is evidence of long run bidirectional causality between military spending a nd household consumption for the entire panel. The results from the Panel Dynamic OLS indic ate that military spending and household consumption positively influence each other in the long run. Taken together, the results suggest that military spending and household consumption ar e complementary. - Questo studio analizza la relazione tra la spesa mi litare e i consumi delle ...
International Journal of Economics and Financial Issues, 2015
This paper examines the causal relationship between human capital (HC) and economic growth (EG) f... more This paper examines the causal relationship between human capital (HC) and economic growth (EG) for a panel 29 African countries. In particular, the study applied theoretically consistent panel unit root procedures and panel co-integration tests that account for the presence of cross-sectional dependency among the members of a panel. To ascertain the direction of causality between HC and EG, the study applies the heterogeneous panel causality test proposed by Dumitrescu and Hurlin. This test has the ability to control for the presence of both heterogeneity and cross-sectional dependence that might be present in the panel. To determine the signs of the relationship between the two variables, the study applied the dynamic ordinary least square (OLS). The results from the heterogeneous panel causality test provide evidence in support of bidirectional causality between HC and EG for the sample countries. The results from the dynamic OLS indicate that HC and EG have significantly positiv...
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Papers by Emmanuel Anoruo