Since long the argument has been that both bank specific and macroeconomic factors affect the nonperforming loans and the existing literature on macroeconomic variables suggests that many macroeconomic variables do strongly influence them. Over the last few years the literature that examines NPLs has expanded in line with the interest afforded to understanding the factors responsible for financ...

This study, examines the roles of macroeconomic uncertainty, political risk, as well as host country institutions, in affecting FDI inflows into African economies. The past few decades have witnessed a surge of FDI inflows to developing regions. However, FDI inflows to Africa still remain small when compared to other developing regions. What characteristics does Africa exhibit that deter FDI in...

The “Three Arrows” policies adopted by the current Abe administration are a combination of macroeconomic (monetary as well as fiscal) and microeconomic policies. Abe came up with the policy-mix in order to resolve two serious economic troubles that his administration faced when it assumed the top executive role in December 2012. First, since Japan’s asset bubble burst in 1990, the economy suffe...

Financial safety nets are intended to reduce the likelihood and severity of financial crises that have macroeconomic externalities. While safety nets are intended to confer benefits on the macroeconomy, their design and implementation may confer disproportionate benefits on identifiable sectors, such as banks and depositors. In this study, we distinguish between safety net benefits and subsidie...

This paper studies how the interplay between technological shocks and financial variables shapes the properties of macroeconomic dynamics. Most of the existing literature has based the analysis of aggregate macroeconomic regularities on the representative agent hypothesis (RAH). However, recent empirical research on longitudinal micro data sets has revealed a picture of business cycles and grow...

1. Macroeconomic conditions, health and mortality Although health is conventionally believed to deteriorate during macroeconomic downturns, the empirical evidence supporting this view is quite weak and comes from studies containing methodological shortcomings that are difficult to remedy. Recent research that better controls for many sources of omitted variables bias instead suggests that morta...

In this paper we re-analyze the nature of the trend (deterministic or stochastic) in the Nelson-Plosser macroeconomic data set from an alternative method relative to the previous studies. We underline the e ects of large, but infrequent shocks due to major economic or nancial events on U.S. macroeconomic time series, such as the Great Depression, World War II and recessions, using outlier metho...

this paper examines the causal relationship between stock prices and macroeconomic aggregates in iran, by applying the techniques of the long–run granger non–causality test proposed by toda and yamamoto (1995). we test the causal relationships between the tepix index and the three macroeconomic variables: money supply, value of trade balance, and industrial production using quarterly data for t...

In this paper we survey the recent research on the fundamental determinants of stock returns. These studies explore how firms’ systematic risk and their investment and production decisions are jointly determined in equilibrium. Models with production provide insights into several types of empirical patterns, including: i) the correlations between firms’ economic characteristics and their risk p...

This article studies forecasting a macroeconomic time series variable using a large number of predictors. The predictors are summarized using a small number of indexes constructed by principal component analysis. An approximate dynamic factor model serves as the statistical framework for the estimation of the indexes and construction of the forecasts. The method is used to construct 6-, 12-, an...