Index
Environmental, Social, and Governance Perspectives on Economic Development in Asia
ISBN: 978-1-80117-595-1, eISBN: 978-1-80117-594-4
ISSN: 1571-0386
Publication date: 8 November 2021
This content is currently only available as a PDF
Citation
(2021), "Index", Barnett, W.A. and Sergi, B.S. (Ed.) Environmental, Social, and Governance Perspectives on Economic Development in Asia (International Symposia in Economic Theory and Econometrics, Vol. 29A), Emerald Publishing Limited, Leeds, pp. 195-200. https://doi.org/10.1108/S1571-03862021000029A027
Publisher
:Emerald Publishing Limited
Copyright © 2022 William A. Barnett and Bruno S. Sergi
INDEX
Note: Page numbers followed by “n” indicate notes.
Active fund managers
, 90
Administrated inflation
, 158
Aggregate Supply-Aggregate Demand model
, 38
ARCH–GARCH model
, 153
Artificial neural networks (ANNs)
, 24
ASEAN-5
, 23
Asymmetric Multifractal Detrended Fluctuation Analysis (A-MF DFA)
, 153
Audit quality (AQ)
, 186
and ERC
, 188
Augmented Dickey–Fuller tests (ADF tests)
, 26, 73, 159
Autocorrelation (AC)
, 159–160
Automated teller machines (ATMs)
, 58
Autoregressive distributed lag (ARDL)
, 23, 32–34
Autoregressive Integrated Moving Average model (ARIMA model)
, 153, 156–157
estimation
, 160–162
forecasting inflation using
, 162
Autoregressive model (AR model)
, 157
Baba–Engle–Kraft–Kroner-GARCH model (BEKK-GARCH model)
, 71, 74–75 (see also Diagonal BEKK–GARCH model)
Bangkok International Banking Facilities
, 102
Bank of Thailand
, 102
Banking development
, 108–109
measurements of
, 103–107
Banking sector
, 102
Bayesian SVAR model
, 3
Bitcoin
, 70, 76–77
lagged returns
, 79
literature on
, 71
price volatility
, 71
Bitcoin-cash
, 70
Blockchain
, 70
Bond
, 133
Bond markets
, 133 (see also Capital market)
analyses and results
, 138–143
literature review
, 133–135
methodology
, 135–137
Box-Jenkins technique
, 157
Brazil, Russia, India and China (BRICs)
, 132, 135
countries
, 132
equity markets
, 133
impulse response results
, 148–149
nations
, 132–133
Brent oil index
, 73
Breusch-Pagan test
, 94
Capital accumulation
, 107
Capital market
, 170 (see also Bond markets)
data and methodology
, 175–176
findings
, 176–182
and investment
, 173
literature review
, 173–175
Capital Market Laws
, 85
Capital Market Summit and Expo (2019)
, 171
Central bank communication
, 4
CFA
certificates
, 97
certification
, 89
holders
, 89
Classical assumption tests
, 93
Classical dichotomy
, 43, 62n9
Classical growth performance
, 107
CoinDesk
, 73
Cointegration
, 133–134
Composite Stock Price Index
, 186
Constant conditional correlation (CCC)
, 74
Conventional equity fund (CEF)
, 85–86
Cost-push inflation
, 155
COVID-19
, 152–153, 158, 163
Credit Planning Approach of Monetary Policy formulation
, 22
Cryptocurrency
, 70
trading volume in
, 70
Cumulative abnormal return (CAR)
, 187
Data preparation
, 26–27
Data stationarity test
, 159–160
Decision tree
, 27
Demand shock
, 6
Demand-pull inflation
, 155
Descriptive statistic
, 110–111
Diagnostic tests
, 143
Diagonal BEKK–GARCH model
, 71, 78
data and methodology
, 73–76
empirical results
, 76–79
literature review
, 71–72
Distortion effect
, 152
Diversification
, 132
Domestic inflation
, 155
Dynamic aggregate demand curve
, 39
Dynamic aggregate supply curve
, 40
Dynamic IS equation
, 39
Dynamic stochastic general equilibrium model (DSGE model)
, 39–41
Earnings persistence (EP)
, 186
and ERC
, 187
Earnings response coefficient (ERC)
, 186
AQ and
, 188
EP and
, 187
IS and
, 187
research methods
, 188–189
research results
, 189–191
SR and
, 187–188
Eckel Index
, 188
Economic
, 170
analysis
, 41
growth
, 102
theory
, 45
Education background
, 85
Efficient market hypothesis (EMH)
, 134, 173
Ensemble method
, 27
Equation of exchange
, 44–45
Equity fund
, 85–86
portfolio
, 84
Error correction model (ECM)
, 23
Estimation techniques
, 136
Eternal question
, 86
for investors
, 85
Ethereum
, 70
European Central Bank (ECB)
, 41
Farmers
, 119
Final Prediction Error (FPE)
, 139
Finance-growth nexus
, 107–108
Financial attitude
, 127
Financial behavior
, 120, 122
Financial depth
, 104–105
Financial efficiency
, 105–106
Financial inclusion
, 103, 106–107, 172, 174
Financial innovation
, 23
Financial institutions
, 102–103
Financial liberalization
, 62n10, 104
Financial literacy
, 118, 172–174
literature review
, 119–120
methods
, 120–121
results
, 121–126
Financial shocks
, 58
Financial socialization
, 172
Financial stability
, 105, 111
Firm Growth (GR)
, 189
Firm size (SIZE)
, 189
Fisher Effect
, 1
Fixed effect model (FEM)
, 94
Fixed nominal interest rate, escape ZLB with
, 9–11
Forecasting
, 22
Forward guidance policy
, 2
GDP ratios
, 132
Generalized autoregressive conditional heteroskedasticity models (GARCH models)
, 71, 153
Generalized least squares (GLS)
, 189
Generalized method of moments (GMMs)
, 103, 110, 112–113
Gold price
, 71
Gross provincial product (GPP)
, 109, 111
Hannan-Quinn’s Criterion (HQIC)
, 139
Hausman test
, 94
Health
, 120
Hicks–Hansen synthesis
, 38
Higher management fee
, 90
Household
credit
, 102
welfare
, 108–109
Identity
, 44
Imported inflation
, 156
Impulse responses
, 142–143
Income smoothing (IS)
, 186
and ERC
, 187
IS–LM synthesis
, 38
research methods
, 188–189
research results
, 189–191
Index of Industrial Production (IIP)
, 25
India’s money demand function
, 23
Indonesia Stock Exchange (IDX)
, 84, 171, 188
Indonesian capital market
, 186
Indonesian equity funds
literature review
, 85–91
research methods
, 91–92
results
, 92–97
Inflation (INF)
, 31, 43, 109, 111, 152, 155
forecasting
, 162
gap
, 155
rate
, 109, 111
targeting
, 41
theory
, 154–156
Inflation volatility
, 152
data and methodology
, 156–158
findings
, 158–166
literature review
, 154–156
Information of earnings
, 186
Institutional responsibility
, 105
Interdependence
, 132
Interest rate
, 57
approach
, 46
policy
, 38
reaction function
, 40
International Financial Reporting Standards (IFRS)
, 186
Investment
, 173 (see also Socially responsible investment (SRI))
portfolio
, 84
Investment Gallery (IG)
, 171–172
Investment managers
, 86
characteristics and fund performance
, 89–91
Investors
, 70, 186
characteristics
, 87–88
Jarque-Bera test results (JB test results)
, 77
Keynes’s liquidity preference theory
, 42
Keynes’s theory
, 154
Khon Kaen University Ethics Committee
, 120
Kwiatkowski, Phillips, Schmidt and Shin Test (KPSS Test)
, 136
Leverage (LEV)
, 189
Liquidity trap
, 2–3, 6
Litecoin
, 70
Local banking development
, 103
Local financial development
, 108
Loss function
, 8, 40–41
Machine learning models
, 24, 32–34
Macroeconometric models, irrelevance of money in
, 48–49
Management fee
, 90, 95
Market
capitalization
, 31
efficiency
, 173
McCallum rule
, 58–59
Mean Absolute Error (MAE)
, 30
Middle-range theory
, 174
Minimum loan rate (MLR)
, 109, 111
Monetary aggregates (M1)
, 25, 43
targeting
, 58
Monetary analysis
, 41
Monetary policy
, 38
approaches to role of money in
, 44–46
loss function
, 8
rule
, 40
in Simple New Keynesian DSGE Model
, 5–6
Taylor rule
, 6–7
Money
, 38
approaches to role of money in monetary policy
, 44–46
market
, 38
motivation of study
, 41–42
NK-DSGE model
, 39–41
reasons for irrelevance with theoretical perspective
, 47–48
reasons for relevance with theoretical perspective
, 49–52
review of empirical literature
, 52
survey of literature
, 46–52
theoretical accounts
, 42–43
Money demand
, 21
data
, 25–27
functions
, 24
literature review
, 22–25
random forest regression
, 27–29
results
, 29–34
Money demand function (MDF)
, 38, 41, 57–58
Moving average (MA)
, 157
Multinomial logistic regression (ML regression)
, 95–96
Multivariate GARCH
, 71
Multivariate VAR approach
, 136
National Statistical Office (NSO)
, 103
Negative screening
, 84
Neo-Fisherianism
, 2–3
implementation and credibility
, 14–15
policy based on
, 4–5, 8–15
robustness of policy
, 12–14
theory of
, 3
Neoclassical synthesis
, 38
Neutrality of money
, 62n9
New Consensus Model
, 58
New Keynesian (NK)
, 39
New Keynesian Dynamic Stochastic General Equilibrium model (NK-DSGE model)
, 39–41
New Keynesian Model
, 3, 12
New Keynesian Phillips Curve (NKPC)
, 2, 5, 40
New Monetarist economics
, 43
Nominal Effective Exchange Rate (NEER)
, 25
Non-neutrality of money
, 43, 62n8
Null hypothesis
, 109–110
Nutrition
, 120
Oil index
, 73
Oil price
, 71–72
Opportunity cost of sin stock screening
, 86–87
Optimal lag selection
, 139–140
Partial autocorrelation (PAC)
, 159–160
Phillips–Perron tests (PP tests)
, 26, 136
Portfolio
, 95
Preliminary test
, 138–139
Price
level
, 152
price-setting curve
, 40
stability
, 152
uncertainty
, 152
Python
, 28
Quality of life
, 118
Quantity theory
, 154
Quantity Theory of Money (QTM)
, 42, 44, 58
Random effect model (REM)
, 94
Random forest
algorithm
, 24
methodology
, 22, 28–29
regression
, 27
Recursive partitioning
, 27
Rigidity of food supply
, 155
Ripple
, 70
Root Mean Square Error (RMSE)
, 30
SBIC
, 139
Short-run MDF
, 48
Signaling theory
, 186–187
Simple New Keynesian DSGE Model
, 5–6
Sin stocks
, 84, 86
avoidance in portfolio construction
, 84
invested by equity funds in Indonesia
, 92
Single Investor Identification (SID)
, 171
Social responsibility
, 84, 87–88
Socially responsible investment (SRI)
, 84
characteristic
, 88–89
Kehati index
, 84
Socioeconomic welfare
, 47
Stellar Litecoin
, 70
Stiffness export revenues
, 154–155
Stock Exchange Corner
, 171
Structuralist theory
, 154–155
Sustainable development
, 120
Swiss National Bank (SNB)
, 51
Systematic risk (SR)
, 186
and ERC
, 187–188
Taylor Principle
, 7
Taylor rule
, 3, 6–7, 10, 40
Test data set
, 28–29
Tether
, 70
Thailand
, 102, 118
empirical results
, 110–113
literature review
, 103–109
research methodology
, 109–110
Traditional model
, 32–34
Training data set
, 28–29
Tree-based machine learning algorithms
, 27
Two-pillar strategy
, 41
Unexpected earnings (UE)
, 188
Unit root tests
, 27, 109–111
Upper echelon theory
, 86
US Generally Accepted Accounting Principles (GAAP)
, 186
Variable importances
, 31–32
Variable nominal interest rate, escape ZLB with
, 11–12
Variance decomposition
, 142–143
Vector autoregressive stochastic process model (VAR stochastic process model)
, 135–137
results
, 140–141
Vector ECM (VECM)
, 32
Velocity of money
, 45
Volatility
, 70–71, 152
Weighted Average Call Money Rate (WACMR)
, 25
Weighted Net Balance (WNB)
, 163
Well-being
, 118–119
West Texas oil price index
, 73
Wholesale Price Index inflation (WPI inflation)
, 25
Women fund managers
, 91
Wooldridge test
, 94
Zero Lower Bound (ZLB)
, 2–3, 5
escape ZLB with fixed nominal interest rate
, 9–11
escape ZLB with variable nominal interest rate
, 11–12
- Prelims
- Chapter 1: The Neo-Fisherianism to Escape Zero Lower Bound
- Chapter 2: Do Machine Learning Models Hold the Key to Better Money Demand Forecasting?
- Chapter 3: The Role of Money in the Monetary Policy: A New Keynesian and New Monetarist Perspective
- Chapter 4: Return and Volatility Linkages between Bitcoin, Gold Price, and Oil Price: Evidence from Diagonal BEKK–GARCH Model
- Chapter 5: Sin Stock Proportion and Investment Manager Education Background in Indonesian Equity Funds
- Chapter 6: Banking Development and Household Welfare in Thailand: Evidence from a Panel Survey
- Chapter 7: Financial Literacy: Does It Improve Well-being? A Case Study of Farmers in Khon Kaen, Thailand
- Chapter 8: Interlinkages and Diversification Opportunities Among Emerging Bond Markets: BRIC and BRICS Comparison
- Chapter 9: Inflation Volatility in Indonesia Using ARIMA Model: Before and During COVID-19
- Chapter 10: Education and Socialization Investment Galleries to Improve Capital Market Inclusion
- Chapter 11: Relationship Between Income Smoothing and Earnings Announcement
- Index