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on Central and Western Asia |
| By: | Singh, Lakhwinder; Jain, Varinder |
| Abstract: | Emerging growth dynamism of Indian economy in rapidly globalising world is highly recognised and commented by a large body of researchers during the recent period. In fact, the Indian planning has made long concerted effort to develop strategic and competitive capabilities in the agents of production. During the recent periods, these capabilities have started paying. Such trends became more lucid with the strengthening of Indian capital especially abroad as the Indian capital has initiated collaborations and mergers with the global players. This study provides insights into such achievement of the Indian economy. Besides providing a review of theory and practice of emerging multinationals from developing countries, this paper examines India’s outward foreign direct investment in an evolutionary perspective. In its endeavor, the study besides tracing the emerging pattern of India’s outward foreign direct investment, hints at the facilitating role of state policy to encourage the outflow of foreign direct investment. |
| Keywords: | Outward foreign direct investment; Multinational enterprises; Mergers and acquisitions; Indian Public Policy; India |
| JEL: | F23 G38 G34 |
| Date: | 2009–02–10 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:13458&r=cwa |
| By: | Ministry of Youth and Sports Affairs YAS |
| Abstract: | The Ministry of Youth Affairs and Sports, Government of India, has initiated this study to review the National Service Scheme at the National level. The study reviewed four aspects of the scheme: nature and spread of activities, its impact and sustainability; administrative and financial mechanism; training and motivational aspects. The input from this study is to inform further changes to rejuvenate and strengthen the National Service Scheme in India. |
| Keywords: | National service scheme, NSS, impact, youth, sports, sustainability, India |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:ess:wpaper:id:1859&r=cwa |
| By: | M.H. Suryanarayana (Indira Gandhi Institute of Development Research) |
| Abstract: | This paper takes up the issues pertaining to the health sector in Kerala in a larger comparative perspective in the Indian context. It would focus on the incidence of morbidity across socio-economic dimensions and their implications for economic policy. Its major findings are: The level of living of every decile group in Kerala is higher than that of the corresponding group at the all-India level. Extent of inequality in consumption distribution is higher in rural Kerala (North, South and combined) than in rural all-India and higher in urban Kerala (combined only) than in urban all-India. Within Kerala, the southern region is better off in terms of levels of living in both rural and urban sectors. The extent of inequality is also higher in South Kerala than in the North; still incidence of absolute poverty is higher in the North than in the South, reflecting the relatively lower level of standard of living in the former. As regards institutional facilities for health care, proportion of illness treated is higher in Kerala than in India as a whole. Extent of dependence on the public sector for health care is higher in Kerala than in all-India. Opportunity cost of illness is lower in Kerala than in India as a whole. Incidence of morbidity is higher in Kerala than in all-India. Within Kerala as a whole, it is (i) higher among women than men; (ii) higher in the rural than in the urban sector; and (iii) higher in the in the South than in the North. Incidence of morbidity is higher in rural than in urban Kerala and vice versa for all-India. As regards inequality in morbidity, the extent in general is lower in Kerala than in India though levels of morbidity are higher in the former than in the latter. Incidence of morbidity is uniformly higher among the poor than among the non-poor categories in South as well as North Kerala. In general, the poor rely relatively more on the public sector than on the private for treatment of illness as well as for hospitalization. Hence, the pursuit of privatization and public sector reform has to be carried out with due regard to the welfare costs associated with them. |
| Keywords: | Socio-economic dimension, economic policy, inequality, opportunity cost |
| JEL: | I10 |
| Date: | 2008–03 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-004&r=cwa |
| By: | Ashima Goyal |
| Abstract: | The paper examines the basic reasons and feasible remedies for organizational weakness, and the possible contribution of ownership, industry and management structure, leadership, social norms, and institutional incentives to alleviating the weaknesses in the Indian context. The arguments are illustrated with reference to the public rail and air services and help to understand why some public sector transport undertakings performed better than others. The most effective changes are those that create incentives, broadly defined, for individuals to improve productivity. [IGIDR WP-2007-019]. |
| Keywords: | transport, Indian, governance, incentives, airways, railways, India, public railair services, social norms, leadership, management, industry, ownership, |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:ess:wpaper:id:1857&r=cwa |
| By: | Ministry of Railways |
| Abstract: | Speech of Lalu Prasad |
| Keywords: | railway, India, budget, expenditure, revenues, commodities, trains, stations, plan |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:ess:wpaper:id:1861&r=cwa |
| By: | M. H. Suryanarayana (Indira Gandhi Institute of Development Research) |
| Abstract: | This study examines the economic profiles of morbidity by disease in Kerala and all-India by estimating Engel elasticities for diseases and classifying them as between those associated with affluence and deprivation. Morbidity rates, in general, are more for the rich than for the poor. There could be factors other than income, which influence the morbidity rates as revealed by horizontal pseudo-Lorenz curves for distribution of reported total morbidity across households. That morbidity rates are higher for the rich than for the poor households does not hold uniformly valid at the level of individual diseases. This is borne out by pseudo-Lorenz curves for disease specific morbidity. Pseudo-Lorenz curves lay above/below the line of equal Distribution depending upon the nature of diseases. The sub-set of undiagnosed diseases is a poor man's disease in both rural and urban all-India but only in urban Kerala. To avoid Type II errors in targeting medical facilities, it would be useful to identify those diseases, which afflict the rich proportionately more, that is, diseases with Engel elasticities more than one. Such diseases are virtually insignificant in Kerala. They account for 1.23 and 1.75 per cent of reported morbidity cases in rural and urban Kerala respectively. As regards all-India, they have significant presence. Their respective shares in total rural and urban morbidity cases are 7.83 and 6.83 percent. Generally coronary heart diseases, diabetes and hypertension are considered as life style diseases. Among them, only diabetes mellitus has elasticity greater than one for rural and urban all-India; heart disease and hypertension too have elasticities greater than one only for rural all-India. As regards Kerala, none of them are luxury diseases. This could also be interpreted to represent a process whereby the diseases of affluence and deprivation converge in Kerala. In other words, this may represent a shift a in the epidemiology of diseases in Kerala. |
| Keywords: | Affluence, Deprivation, Diseases, Engel elasticities |
| JEL: | I10 |
| Date: | 2008–03 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-007&r=cwa |
| By: | A. Gautam |
| Abstract: | Fluorosis is a crippling disease caused by high fluoride concentrations in drinking water. In India about 20 states have been identified with a problem of excess fluoride in groundwater. Rural populations who are mainly dependent on groundwater for drinking purposes, are the worst affected. About 62 million people in India suffer from dental, skeletal and or non-skeletal fluorosis. Of these, 6 million are children below the age of 14.With the help of the Banawasi Seva Ashram, Peoples’ Science Institute (PSI) began a programme of fluoride testing and fluorosis mitigation in Sonebhadra district in September 2004. This paper presents the findings of the water quality tests and the accompanying health surveys. It also describes in a summary fashion the community-based activities for fluorosis mitigation planning. |
| Keywords: | fluorisis, fluoride concentration, drinking water, fluorosis mitigation, Uttar Pradesh, people's science |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:ess:wpaper:id:1853&r=cwa |
| By: | Rupayan Pal (Indira Gandhi Institute of Development Research) |
| Abstract: | The paper analyses the impact of the reach of communist parties, the degree of political activism, personal attributes of workers, and industrial characteristics on the individual decision to unionise for Indian non-agricultural regular workers using micro data from the 2004-05 Employment and Unemployment Survey, NSSO, linked to state-level factors. A notable result is that the reach of communist parties has considerable effect on unionisation probability. Moreover, it seems that mere existence of communist parties in a state also facilitates unionisation to some extent. State-level political activism and unemployment rate also influence the individual decision to be unionist. The paper concludes also that worker's gender, marital status, ethnic background, employment status, experience, occupation, sector of employment, establishment size, and type of industry remain important in the determination of union membership. |
| Keywords: | Communist Party, Decision, Probability, State, Trade Union |
| JEL: | J51 P48 C25 |
| Date: | 2008–07 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-015&r=cwa |
| By: | Manoj K. Panda (Indira Gandhi Institute of Development Research) |
| Abstract: | The economy of Orissa has been lagging behind the national economy by several decades. Its per capita net state domestic product, a measure of average income, stood at Rs.20200 for 2006-07 which falls behind the national average by about 35 per cent. Moreover, the gross domestic product of the state grew by a considerable lower rate than many other states for a long time despite its high growth potential. Drawing on the experience of several countries as well as that of India, various studies concluded that economic growth was the most critical factor for reduction of incidence of poverty in the state. It now seems that there has been a turning point in the last few years and the economy of Orissa has witnessed an acceleration in terms of the gross state domestic product (GSDP). The evidence presented here clearly shows that the economy is poised for a take-off to a high growth phase, almost similar to that at the national level. On the poverty dimension, however, the recent developments have been gloomy, to say the least. The consumption expenditure surveys carried out by the National Sample Survey Organisation (NSSO), the standard source of data for poverty analysis in India by official and non-official investigators, shows that the period 1993-2004 has witnessed a reversal of the achievements made on the poverty front during 1983-93. The prima facie evidence points towards a case of growth without inclusion and needs further probe. |
| Keywords: | Gross State Domestic Product (GSDP), India, Poverty |
| JEL: | D31 I32 I38 |
| Date: | 2008–11 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-025&r=cwa |
| By: | M.H. Suryanarayana (Indira Gandhi Institute of Development Research); Dimitri Silva (International Poverty Centre) |
| Abstract: | This study provides a profile of deprivation with respect to consumer expenditure, cereal consumption and energy intake across demographic and agro-climatic regions as defined by the National Sample Survey Organisation of India. It examines this evidence at the disaggregated level to verify whether a public distribution system (PDS) targeted with reference to estimates of poverty would end up penalizing the non-poor but food insecure. The empirical profiles have also useful policy relevance with respect to decentralized formulation and implementation of the PDS. |
| Keywords: | Consumer expenditure, food insecure, non-poor, poverty, public distribution system |
| JEL: | I32 |
| Date: | 2008–03 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-005&r=cwa |
| By: | Manoj K. Panda (Indira Gandhi Institute of Development Research); A. Ganesh Kumar (Indira Gandhi Institute of Development Research) |
| Abstract: | This paper attempts to assess the impact of trade liberalization on growth, poverty, and food security in India with the help of a national level computable general equilibrium (CGE) model. It shows that GDP growth and income poverty reduction that might occur following trade liberalization need not necessarily result in an improvement in the food security / nutritional status of the poor. Evidence from simulations of (partial) trade reforms reflecting a possible Doha-like scenario show that the bottom 30 of the population in both rural and urban areas suffer a decline in calorie and protein intake, in contrast to the rest of the population, even as all households increase their intake of fats. Thus, the outcome on food security / status with regard to individual nutrients depends crucially on the movements in the relative prices of different commodities along with the change in income levels. These results show that trade policy analysis should consider indicators of food security in addition to overall growth and poverty traditionally considered in such studies. |
| Keywords: | Doha negotiations, India trade policy, Poverty, Food security, CGE model |
| JEL: | F13 F14 O15 O53 |
| Date: | 2008–06 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-013&r=cwa |
| By: | United Nations Children's Fund UNICEF |
| Abstract: | The State of the World’s Children 2009 focuses on maternal and neonatal health and identifies the interventions and actions that must be scaled up to save lives. |
| Keywords: | Asia, children, mother, India, Srilanka, maternal, neonatal, newborn care, Africa, health, communities, death, Nigeria |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:ess:wpaper:id:1860&r=cwa |
| By: | Hippu Salk Kristle Nathan (Indira Gandhi Institute of Development Research); B. Sudhakara Reddy (Indira Gandhi Institute of Development Research) |
| Abstract: | There was a boom in the development of sustainable development indicators (SDIs) after notion of sustainability became popular through Bruntland Commission's report. Since then numerous efforts have been made worldwide in constructing SDIs at global, national and local scales, but in India not a single city has registered any initiative for indicator development . Motivated by this dearth of studies added to the prevailing sustainability risks in million plus cities in India, a research is being undertaken at the Indira Gandhi Institute of Development and Research (IGIDR), Mumbai, India, to develop a set of sustainable indicators to study the resource dynamics of the city of Mumbai. As a first step in the process, the ground for development of SDIs is prepared through the development of a framework. A multi-view black box (MVBB) framework has been constructed by eliminating the system component from the extended urban metabolism model (EUMM) and introducing three-dimensional views of economic efficiency (EE), social wellbeing (SW), and ecological acceptability (EA). Domain-based classification was adopted to facilitate a scientifically credible set of indicators. The important domain areas are identified and applying MVBB framework, a model has been developed for each domain. |
| Keywords: | Urban metabolism, Resources transformation, Economic efficiency, Society, Ecology, Monitoring and evaluation, City development, Black box, Productization of process |
| JEL: | Q01 Q56 O18 |
| Date: | 2008–03 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-003&r=cwa |
| By: | Ashima Goyal (Indira Gandhi Institute of Development Research) |
| Abstract: | The paper gives a simplified version of a typical dynamic stochastic open economy general equilibrium models used to analyze optimal monetary policy. Then it outlines the chief modifications when dualism in labour and in consumption is introduced to adapt the model to a small open emerging market such as India. The implications of specific labour markets, and the structure of Indian inflation and its measurement are examined. Simulations give the welfare effects of different types of inflation targeting. Flexible CPI inflation targeting (CIT) without lags works best, especially if the economy is more open. But volatile terms of trade make the supply curve even steeper than in a small open economy despite specific labour markets and higher labour supply elasticity. Exchange rate intervention limits the volatility of the terms of trade and improves outcomes, making the supply curve flatter. As long as such intervention is required, domestic inflation targeting (DIT) continues to be more robust and effective. The welfare losses from the lags in CPI, which prevent the implementation of CIT, are low as long as the dualistic structure dominates. As the economy becomes more open, however, the loss from not being able to use CIT rises. The lags in CPI therefore need to be reduced, making its future use possible. |
| Keywords: | small open emerging market, optimal monetary policy, dualistic labour markets, inflation, measurement lags, specific labour markets |
| JEL: | E52 F41 |
| Date: | 2008–05 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-010&r=cwa |
| By: | Rama Joglekar (Indira Gandhi Institute of Development Research) |
| Abstract: | In India, the out-of-pocket health expenditure by households accounts for around 70 percent of the total expenditure on health. Large out-of-pocket payments may reduce consumption expenditure on other goods and services and push households into poverty. Recently, health insurance has been considered as one of the possible instruments in reducing impoverishing effects of large out-of-pocket health expenditure. In India, health insurance has limited coverage and the present paper studies whether it has been effective so far. Literature defines out-of-pocket health expenditure as catastrophic if its share in the household budget is more than some arbitrary threshold level. In the present paper, we argue that for households below poverty line any expenditure on health is catastrophic as they are unable to attain the subsistence level of consumption. Thus, we take zero percent as a threshold level to define catastrophic health expenditure and examine the impact of health insurance on probability of incurring catastrophic health expenditure. |
| Keywords: | Out-of-pocket health expenditure, Catastrophic health expenditure, Health insurance |
| JEL: | I12 I19 |
| Date: | 2008–09 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-016&r=cwa |
| By: | Sandra Polaski et al (Carnegie Endowment for International Peace; Indira Gandhi Institute of Development Research) |
| Abstract: | Trade policy reforms which lead to changes in world prices of agricultural commodities or domestic policies aimed at affecting agricultural prices are often seen as causing a policy dilemma: a fall in agricultural prices benefits poor urban consumers but hurts poor rural producers, while a rise yields the converse. Poor countries have argued that they need to be able to use import protection and/or price support policies to protect themselves against volatility in world agricultural prices in order to dampen these effects. In this paper, we explore this dilemma in a CGE model of India that uses a new social accounting matrix (SAM) developed at the Indira Ghandi Institute of Development Research (IGIDR) in Mumbai. The SAM includes extensive disaggregation of agricultural activities, commodity markets, labor markets, and rural and urban households. This SAM includes 115 commodities, 48 labor types and 352 types of households, (classified by social group, income class, region, and urban/rural). The CGE model based on this SAM can be used to explore the linkages between changes in world prices of agriculture and the incomes of poor rural and urban households, capturing rural-urban linkages in both commodity and factor markets. The results indicate that the inclusion of linkages between rural and urban labor markets is necessary to fully explore, and potentially eliminate, the dilemma. A fall in agricultural prices hurts agricultural producers, lowers wages and/or employment of rural labor, and in some cases spills over into urban labor markets, depressing wages and incomes of poor urban households as well. In these cases both rural and urban poverty increases. The paper explores the strength of these commodity and factor market linkages, and the potential spillover effects of policies affecting agricultural prices. |
| Keywords: | Doha negotiations, India trade policy, World prices, Labour market, CGE model |
| JEL: | F13 F14 F16 O24 O53 |
| Date: | 2008–06 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-012&r=cwa |
| By: | Nuno Leitão; Horácio Faustino; Yushi Yoshida |
| Abstract: | This paper examines the determinants of vertical intra-industry trade (VIIT) in the automobile components industry between Portugal and the European Union 27 (EU-27) and the BRIC countries (Brazil, Russia, India and China) during the period 1995-2006. Using a static and a dynamic panel data analysis, the results indicate that VIIT is a positive function of the difference in per-capita GDP between Portugal and its trading partners. Moreover, there is statistical evidence that geographical distance and proximity shared border influence this type of VIIT. Our results also confirm the hypothesis that trade increases if the transportation costs decrease and that there is a positive correlation between differences in endowments and VIIT. |
| Keywords: | VIIT; intermediate goods; automobile manufacturing industry; panel data; fragmentation; globalization. |
| JEL: | F14 |
| Date: | 2009–01 |
| URL: | http://d.repec.org/n?u=RePEc:ise:isegwp:wp62009&r=cwa |
| By: | K.V. Ramaswamy (Indira Gandhi Institute of Development Research) |
| Abstract: | This paper investigates the question of wage inequality in Indian manufacturing in the years of trade and investment liberalization. The objective is to test the hypothesis of skill biased technological change (SBTC) due to capital-skill complementarity and the impact of labour regulations on wage inequality between skilled and unskilled labour. The skill-wage bill share equation is estimated for a panel of 46 three-digit industries spanning the period 1981-2004 followed by 113 four-digit industries panel covering the period 1993 to 2004.The econometric results suggest the positive contribution of change in output (scale effect), capital-output ratio and contract-worker intensity to wage inequality in Indian manufacturing. |
| Keywords: | wages inequality, skill technological change labour manufacturing |
| JEL: | F16 J31 O12 |
| Date: | 2008–11 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-021&r=cwa |
| By: | Kirdar, Murat G.; Dayıoğlu, Meltem; Koç, İsmet |
| Abstract: | This paper estimates the impact of schooling on the timing of marriage and early fertility using the 2003 Turkish Demographic and Health Survey and duration analysis methodology. The source of exogenous variation in schooling is the extension of compulsory schooling in Turkey in 1997. The findings indicate that at age 17 –three years after the completion of compulsory schooling –, the proportion of women who are married drops from 15.2 to 10 percent and the proportion of women who have given birth falls from 6.2 to 3.5 percent as a result of the new policy. This implies that the impact of increased schooling on marriage and early fertility persists beyond the completion of compulsory schooling for an important duration. In addition, the delay in the timing of first-birth is driven from the delay in the timing of marriage. After a woman is married, schooling does not have an effect on the duration until her first-birth. |
| Keywords: | Age at marriage; Fertility; Education; Compulsory Schooling; Turkey |
| JEL: | J13 J12 |
| Date: | 2009–02 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:13410&r=cwa |
| By: | Binay Kumar Ray (Indira Gandhi Institute of Development Research); B. Sudhakara Reddy (Indira Gandhi Institute of Development Research) |
| Abstract: | We develop and analyze physical energy intensity indicators for Indian manufacturing sector. Energy consumption in five industrial sub-sectors, viz., iron and steel, aluminium, textiles, paper and cement is examined for the period 1990Ä2005. It is feasible to develop specific energy consumption indicators that reflect the physical reality more accurately than monetary energy intensities. These indicators allow us to analyze the effect of change in product mix over time. The use of physical energy intensity indicators improves comparability between countries, offers valuable input for policy-makers regarding intra-sectoral structural changes, and provides detailed explanation for observed changes in energy intensity. Hence, the results of the study point out the need to use physical indicators for policy making. |
| Keywords: | Energy intensity, manufacturing/industry sector, product mix, energy indicators |
| JEL: | P28 Q42 Q43 |
| Date: | 2008–06 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-011&r=cwa |
| By: | Mansur, Kasim; Abd. Rahim, Dayangku Aslinah; Lim, Beatrice; Mahmud, Roslinah |
| Abstract: | Malaysian women have continued to play an increasingly important role in the national development of the country including greater participation in the economy and labor market. These improvements were made possible by the increasing numbers of females having access to education. Education provides better work opportunities and thus increases the level of income of an individual. Therefore education is perceived to be an important factor in human capital formation. In Islam, every Muslim is required to acquire knowledge as much as possible. Knowledge generates wealth. Thus, Islam condemns idleness, inactivity and poverty are condemned. A Muslim should be actively involved in the pursuit of increasing their knowledge and skill to ensure that their life is not of mere subsistence. This paper will look at the perception towards the importance of education among Muslim women. A total of 189 respondents were interviewed from selected kampongs in the district of Papar, Sabah. The data collected was analyzed and reported using descriptive statistics. About 42.4 percent respondents have obtained a diploma and degree level education. From the study, it is found that 78 percent of the total respondents perceived that education is very important. A total of 47.1 percent strongly agreed that education can influence future income. Essentially, a total of 78.8 per cent agreed that higher level of education leads to a higher level of income. |
| Keywords: | Women; Education |
| JEL: | I20 J20 |
| Date: | 2009–02–16 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:13430&r=cwa |
| By: | B. Sudhakara Reddy (Indira Gandhi Institute of Development Research); P. Balachandra (Indian Institute of Science); Hippu Salk Kristle Nathan (Indira Gandhi Institute of Development Research) |
| Abstract: | Provision of modern energy services for cooking (gaseous fuels) and lighting (electricity) is an essential component of any policy aiming to address health, education or welfare issues; yet it gets little attention from policy-makers. Secure, adequate, low-cost energy of quality and convenience is core to the delivery of these services. The present study analyses the energy consumption pattern of Indian domestic sector and conceptualizes availability, accessibility, and affordability indicators of modern energy services to households and describes the practical ways of evaluating them. A comprehensive analysis is done to estimate the cost for providing modern energy services to everyone by 2030. A public-private partnership-driven business model, with entrepreneurship at the core, is developed with innovative institutional, financing and pricing mechanisms for diffusion of energy services. This approach facilitates large-scale dissemination of energy efficient and renewable technologies like small-scale biogas/biofuel plants, and solar water heating systems to provide clean, safe, reliable and sustainable energy to rural households and urban poor. It is expected to integrate the processes of market transformation and entrepreneurship development involving government, NGOs, financial institutions and community groups as stakeholders |
| Keywords: | Energy Service, Electricity, Biogas, Availability, Accessibility, Affordability |
| JEL: | Q4 L94 L95 L98 |
| Date: | 2008–11 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-024&r=cwa |
| By: | Cheng, Ai-ru; Jahan-Parvar, Mohammad R.; Rothman, Philip |
| Abstract: | This paper studies excess market returns in the relatively understudied nancial markets of nine Middle Eastern and North African (MENA) countries within the context of three variants of the Capital Asset Pricing Model: the static international CAPM; the constant-parameter intertemporal CAPM; and a Markov-switching intertemporal CAPM which allows for the degree of integration with international equity markets to be time-varying. On the whole we nd that: (1) Israel and Turkey are most strongly integrated with world nancial markets; (2) in most other MENA markets examined there is primarily local pricing of risk and evidence of a positive risk-return trade-o; and (3) there is substantial time variation in the weights on local and global pricing of risk for all of these markets. Our results suggest that investment in many of these markets over the sample studied would have provided returns uncor- related with global markets, and thus would have served as nancial instruments with which portfolio diversication could have been improved. |
| Keywords: | Middle Eastern and North African (MENA); GARCH; CAPM; Markov switching; segmentation; integration; emerging markets |
| JEL: | G12 G15 C22 |
| Date: | 2009–02–05 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:13437&r=cwa |
| By: | D.M. Nachane (Indira Gandhi Institute of Development Research); Amlendu Kumar Dubey (Indira Gandhi Institute of Development Research) |
| Abstract: | The recent de-emphasizing of the role of "money" in both theoretical macroeconomics as well as in the practical conduct of monetary policy sits uneasily with the idea that inflation is a monetary phenomenon. Empirical evidence has, however, been accumulating, pointing to an important leading indicator role for money and credit aggregates with respect to long term inflationary trends. Such a role could arise from monetary aggregates furnishing a nominal anchor for inflationary expectations, from their influence on the term structure of interest rates and from their affecting transactions costs in markets. Our paper attempts to assess the informational content role of money in the Indian economy by a separation of these effects across time scales and frequency bands, using the techniques of wavelet analysis and band spectral analysis respectively. Our results indicate variability of causal relations across frequency ranges and time scales, as also occasional causal reversals. |
| Keywords: | money, inflation, cointegration, causality, decomposition, band spectra, wavelets |
| JEL: | C32 E51 E52 |
| Date: | 2008–10 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2008-022&r=cwa |