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on Central and Western Asia |
| By: | Varma Jayanth R; Barua Samir K |
| Abstract: | We estimate the equity risk premium in India using data for the last 25 years. We address the shortcomings of existing indices by constructing our own total return index for the 1980s and early 1990s. We use our estimates of the extent of financial repression during this period to construct a series of the risk free rate in India going back to the early 1980s. We find that the equity risk premium is about 8?% on a geometric mean basis and about 12?% on an arithmetic mean basis. There is no significant difference between the pre reform and post reform period: the premium has declined marginally on a geometric mean basis and has risen slightly on an arithmetic mean basis. The reason for this divergence between the sub period behaviour of the two means is the increase in the annualized standard deviation of stock market returns from less than 20% in the pre reform period to about 25% in the post reform period. The higher standard deviation depresses the geometric mean in the post reform period. |
| Date: | 2006–06–26 |
| URL: | http://d.repec.org/n?u=RePEc:iim:iimawp:2006-06-04&r=cwa |
| By: | Balázs Égert |
| Abstract: | This paper investigates the importance of the Balassa-Samuelson effect for two acceding countries (Bulgaria and Romania), two accession countries (Croatia and Turkey) and two CIS countries (Russia and Ukraine). The paper first studies the basic assumptions of the Balassa-Samuelson effect using yearly data, and then undertakes an econometric analysis of the assumptions on the basis of monthly data. The results suggest that for most of the countries, there is either amplification or attenuation, implying that any increase in the open sector's productivity feeds onto changes in the relative price of non-tradables either imperfectly or in an over-proportionate manner. With these results as a background, the size of the Balassa-Samuelson effect is derived. For this purpose, a number of different sectoral classification schemes are used to group sectors into open and closed sectors, which makes a difference for some of the countries. The Balassa-Samuelson effect is found to play only a limited role for inflation and real exchange rate determination, and it seems to be roughly in line with earlier findings for the eight new EU member states of Central and Eastern Europe |
| JEL: | O11 P17 E31 |
| Date: | 2005–12–07 |
| URL: | http://d.repec.org/n?u=RePEc:liu:liucej:21&r=cwa |
| By: | Nagarajan, Mohan; Liu, Lili; Ianchovichina, Elena |
| Abstract: | In the late 1990s the Indian state of Tamil Nadu experienced an unprecedented fiscal deterioration, which was part of the widespread fiscal deterioration in Indian states. This deterioration was troubling because current expenditure outgrew total revenue, leaving little fiscal space for infrastructure spending. The paper presents a framework for subnational fiscal sustainability analysis and applies it to Tamil Nadu where subsequent fiscal adjustment has been ambitious and politically challenging, but has promised to put state finance on a sustainable path and create fiscal space for infrastructure investment. The paper emphasizes the differences between fiscal sustainability analysis at the national and subnational levels, attempts to take into account uncertainty, and discusses the key components of the state ' s fiscal accounts and how they respond to reforms and shocks. Risks to Tamil Nadu ' s fiscal outlook include interest rate shocks, pressures on the primary balance, and contingent liabilities. Though the state ' s efforts to remove constraints to economic growth, minimize recurrent expenditures and maximize its revenue potential will be critical for fiscal sustainability, national policies feature prominently in subnational fiscal adjustment. Tamil Nadu ' s quest for fiscal sustainability is relevant for other countries. Decentralization has given subnational governments in developing countries significant spending and taxation responsibilities, and the capacity to incur debt. The fiscal stress of the Indian states echoed the fiscal crises of subnational governments in several other major emerging economies. |
| Keywords: | Banks & Banking Reform,Fiscal Adjustment,Public Sector Economics & Finance,Economic Theory & Research,Economic Stabilization |
| Date: | 2006–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:3947&r=cwa |
| By: | William Evans; Wooyoung Kim |
| Abstract: | Using restricted-use data from the 1990 and 2000 Census long-form, we analyze the impact of local labor market conditions on the demand for education using the economic shock produced by the opening of a new casino on an Indian reservation as the identifying event. Federal legislation in 1988 allowed Indian tribes to open casinos in many states and since then, over 400 casinos have opened, 240 of which have Las Vegas-style games. We demonstrate that the opening of a casino increased the employment and wages of low-skilled workers. Young adults responded by dropping out of high school and reducing college enrollment rates, even though many tribes have generous college tuition subsidy programs. |
| Date: | 2006–06 |
| URL: | http://d.repec.org/n?u=RePEc:cen:wpaper:06-14&r=cwa |
| By: | Paul Gopuran Devassy Bino; Sasidharan Subash; Ananthakrishnan Ramanathan |
| Abstract: | This paper assesses the degree of author concentration in seven economics journals, which were published in India during 1990-2002. To measure the degree of author concentration, Lotka's Law was used. Moreover, we also make an exploratory analysis of the geographic, economics subfield and institutional concentration in 704 economics journals. An important finding of this paper is that specialized journals in the sample report the highest degree of author concentration. This result is quite similar to the findings by Cox and Chung (1991). Furthermore, there are several instances showing that the journals lean towards certain norms; this may affect the flow of innovative ideas into economics. We conclude that a knowledge activity, involving the high degree of concentration and a biased publication process, may affect the flow of new ideas into the discipline. |
| JEL: | A14 B50 B52 |
| Date: | 2005–12–07 |
| URL: | http://d.repec.org/n?u=RePEc:liu:liucej:23&r=cwa |
| By: | Paolo Verme |
| Abstract: | The paper uses a range of methods to assess changes in income, poverty and income distribution between 2001 and 2002 in Kazakhstan. It is found that outstanding GDP growth has been translated into very modest growth in mean household income. However, both income poverty and inequality have decreased significantly and growth has been 'pro-poor', which is explained by changes in inequality accounting for almost all the changes in poverty. The elasticity of poverty with respect to both growth and inequality is also found to be high. These findings suggest that GDP changes can be, at times, disjoint from household income performance and that, when this happens, income redistribution can still play a key role for poverty reduction. Yet a much greater reduction in poverty would have occurred if mean income would also have risen. Hence, the distribution of GDP growth among factors of production and the distribution of income among households are the cornerstones of poverty reduction rather than GDP growth alone. |
| JEL: | D31 D63 I32 O1 P36 |
| Date: | 2006–06–12 |
| URL: | http://d.repec.org/n?u=RePEc:liu:liucej:24&r=cwa |
| By: | Tigran Poghosyan; Evzen Kocenda; |
| Abstract: | This paper studies foreign exchange risk premium using the uncovered interest rate parity framework in a single country context. The analysis is performed using weekly data on foreign and domestic currency deposits in Armenian banking system. The paper provides the results of the simple tests of uncovered interest parity condition, which indicate that contrary to established view dominating in empirical literature there is a positive correspondence between exchange rate depreciation and interest rate differentials in Armenian deposit market. Furthermore, the paper presents and discusses a systematic positive risk premium required by the economic agents for foreign exchange transactions, which increases over the investment horizon. The two currency affine term structure framework is applied to identify the factors driving the systematic exchange rate risk premium in Armenia. At the end, possible directions for further research are outlined. |
| Keywords: | “forward discount” puzzle, exchange rate risk, affine term structure models, foreign and domestic deposits, transition and emerging markets, Armenia |
| JEL: | E43 E58 F31 G15 O16 P20 |
| Date: | 2006–02–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2006-811&r=cwa |
| By: | Alexander Pivovarsky |
| Abstract: | This paper investigates the relationship between ownership concentration and enterprise performance in Ukraine. Using data on 376 medium and large enterprises, it finds that ownership concentration is positively associated with enterprise performance in Ukraine. The paper also finds that concentration of ownership by foreign companies and banks is associated with better performance than ownership concentrated by the domestic owners. Ownership by Ukrainian investment funds and holding companies does not have a positive effect on performance. In contrast to predictions by many observers of early transition, privatization methods had a lasting effect on ownership structure in Ukraine. |
| Keywords: | Privatization , Ukraine , Governance , Transition economies , |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:01/42&r=cwa |
| By: | Vitaliy Zheka |
| Abstract: | This study investigates the impact of overall level as well as of separate elements of corporate governance on enterprise performance for public companies in Ukraine. We use unique data on corporate governance choices for above 5 thousand firms (around a half of all public companies in Ukraine) for three years from 2000 to 2002. We construct index/sub-indices of corporate governance describing such aspects of corporate governance as shareholder rights, transparency/information disclosure, board independence, chairman independence and ownership arrangements. The novelty of our approach is that we use social trust factors as instruments for corporate governance choices. We use a set of instrumental variables coming mainly from "trust" literature, in particular political diversity, religion and ethnic diversity, and methods of privatisation, to tackle possible endogeneity. We employ ordinary least squares (OLS), two-stage least squares (2SLS), two-stage generalized method of moments (2SGMM), fixed effects (FE), random effects (RE), fixed effects instrumental variables analysis (FE IV) and random effects instrumental variable analysis (RE IV) to analyse the governance effects in the framework of standard production function approach. We find strong evidence that corporate governance predicts firm performance in the transition context. We do not find significant evidence of reverse causation or other endogenous effects. OLS results predict that one-point-increase in our overall corporate governance index would result in around a half-percent increase in performance; and worst to best change in our overall corporate governance index predicts about 40% increase in company's performance. We document statistically and economically strong effects of such governance elements as shareholder rights, transparency and board independence on performance. We also find a negative effect of the independence of the board chairman on performance. |
| Keywords: | Ukraine, corporate governance, firms |
| JEL: | G34 P2 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:hwe:certdp:0605&r=cwa |
| By: | Barbara E. Baldwin; Charles Enoch; Olivier Frécaut; Arto Kovanen |
| Abstract: | This study looks at the first two years of the banking crisis that erupted in Indonesia in late 1997. It finds that the banking sector was weak at the outset, and that governance problems intensified the crisis and seriously delayed its resolution. Although a strategy was put in place over the initial months, protracted delays in implementation led to an explosion in the costs of resolution. By end-1999, the critical elements to reconstruct the banking system were in place, and the political transition seemed completed; but, in a continuing unsettled environment, the new authorities still faced daunting challenges. This study looks at the first two years of the banking crisis that erupted in Indonesia in late 1997. It finds that the banking sector was weak at the outset, and that governance problems intensified the crisis and seriously delayed its resolution. Although a strategy was put in place over the initial months, protracted delays in implementation led to an explosion in the costs of resolution. By end-1999, the critical elements to reconstruct the banking system were in place, and the political transition seemed completed; but, in a continuing unsettled environment, the new authorities still faced daunting challenges. This study looks at the first two years of the banking crisis that erupted in Indonesia in late 1997. It finds that the banking sector was weak at the outset, and that governance problems intensified the crisis and seriously delayed its resolution. Although a strategy was put in place over the initial months, protracted delays in implementation led to an explosion in the costs of resolution. By end-1999, the critical elements to reconstruct the banking system were in place, and the political transition seemed completed; but, in a continuing unsettled environment, the new authorities still faced daunting challenges. |
| Keywords: | Banking , Indonesia , Financial sector , Financial crisis , Bank supervision , |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:01/52&r=cwa |
| By: | Sumon Bhaumik; Ira Gang; Myeong-Su Yun |
| Abstract: | We use the Living Standards Measurement Study (LSMS) household survey from post-conflict Kosovo to examine economic deprivation among Serbs and Albanians. Economic deprivation is measured by per capita household expenditure and by the incidence of poverty as captured by the headcount ratio. We examine the roles played by the stock of attributes and by the impact of these attributes on deprivation using Oaxaca-type decomposition methods. Empirical results for both decomposition analyses show differences in characteristics as well as returns to measured characteristics favor Serbs, even though Serbs have lower expenditures and higher poverty incidence than Albanians. |
| Keywords: | poverty, ethnicity, decomposition |
| JEL: | I32 O12 J15 |
| Date: | 2005–09–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2005-808&r=cwa |
| By: | Aghassi Mkrtchyan |
| Abstract: | This paper examines the impact of monetary policy and administrative price adjustments on price variability in a low inflation economy characterized by relatively frequent administrative price adjustments. Fluctuations of market determined prices, prices of agricultural goods in particular, are linked to poor synchronization between administrative price changes and monetary policy. If monetary policy does not account for expected changes in administrative prices, demand for free goods shifts, causing fluctuation of prices for agricultural goods, because the supply of these goods is highly inelastic in Armenia. The findings contribute to a better understanding of agricultural price variability during 1998-2002. The impact of macroeconomic policy and structural adjustments on income distribution and rural poverty incidence are also examined. This research has immediate policy implications, since Armenia will continue to undergo major upward price adjustments of regulated prices, which may have a negative impact on income distribution unless aggregate demand management is changed. |
| JEL: | E31 E65 E61 |
| Date: | 2005–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:liu:liucej:13&r=cwa |
| By: | Mansuri, Ghazala |
| Abstract: | Temporary economic migration is undertaken largely in response to resource constraints. This is evident in the volume of remittances sent back by migrants to their families of origin. In agricultural settings, where those left behind are likely to face considerable exposure to uninsured income risk, such resource flows should translate into better risk bearing capacity. In this paper the author takes up this question by asking whether economic migration allows households to avoid costly risk coping strategies. She focuses on early child growth since there is considerable epidemiological evidence that very young children are particularly vulnerable to shocks that lead to growth faltering, with substantial long-term health consequences. The data come from rural Pakistan, where, as in the rest of Asia, son preference is substantial and there are large gender gaps in most developmental outcomes. As such, the interest is in examining also whether migration-induced resource flows allow households to extend better nutrition and health care protection to girls. Recent work on the intra-household allocation of resources and risk has also shown that gender differences in the relative burden of risk may be important and that the allocation of resources to daughters is often one margin along which poor households adjust to uninsurable transitory income shocks. After accounting for selection into migration, the results indicate that migration has a substantially larger positive impact on growth outcomes for young girls. And the growth advantage is sustained among older girls, suggesting potential intergenerational benefits of averting nutritional and other health shocks for girls in early childhood. These results are further validated by restricting the sample to migrant households and comparing the growth outcomes of siblings before and after migration. |
| Keywords: | Health Monitoring & Evaluation,Anthropology,Youth and Governance,Gender and Development,Adolescent Health |
| Date: | 2006–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:3946&r=cwa |
| By: | Mansuri, Ghazala |
| Abstract: | Inequalities in access to education pose a significant barrier to development. It has been argued that this reflects, in part, borrowing constraints that inhibit private investment in human capital by the poor. One promise o f the recent proposals to open international labor markets to allow for the temporary economic migration of low-skilled workers from developing to industrial countries is its potential impact on human capital accumulation by the poor. The large remittance flows from migrants to their communities of origin underscores this aspect of migration. However, migration can also transform expectations of future employment and induce changes in household structure that can exert an independent effect on the private returns to investment in human capital. The author explores the relationship between temporary economic migration and investment in child schooling. A key challenge is to deal appropriately with selection into migration. She finds that the potential positive effects of temporary economic migration on human capital accumulation are large. Moreover, the gains are much greater for girls, yielding a very substantial reduction in gender inequalities in access to education. Significantly, though, the gains appear to arise almost entirely from the greater resource flows to migrant households. The author cannot detect any effect of future migration prospects on schooling decisions. More significantly, she does not find any protective effect of migration-induced female headship on schooling outcomes for girls. Rather, female headship appears to protect boys at the cost of girls. |
| Keywords: | Gender and Development,Primary Education,Youth and Governance,Anthropology,Education For All |
| Date: | 2006–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:3945&r=cwa |
| By: | Sumon Kumar Bhaumik; Ira N. Gang; Myeong-Su Yun |
| Abstract: | Kosovo is a war-torn corner of the former Yugoslavia, where a civil war between ethnic Albanians and ethnic Serbs raged during most of the 1990s. We examine the incidence and depth of poverty and some of its correlates in post-conflict Kosovo using the Living Standards Measurement Survey. |
| Keywords: | poverty, ethnicity, transition |
| JEL: | I32 O12 J15 |
| Date: | 2005–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2005-807&r=cwa |
| By: | Armenuhi Mkrtchyan |
| Abstract: | The structure of the banking industry typically undergoes fundamental changes during the transition to a market economy. This research employs the method suggested by Panzar and Rosse (1987) to evaluate the empirical evidence on the evolution of competitive structure in the Armenian banking industry during its recent transition and on the possible forces-market power or efficiency/contestability-that underlie that evolution. The results point to monopolistic competition.The reduction of bank numbers and the simultaneous increase in concentration is accompanied by a decline in competition intensity, which supports the market-power hypothesis |
| JEL: | L1 L8 |
| Date: | 2005–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:liu:liucej:15&r=cwa |