Econometric Methods and Their Applications in Finance, Macro and Related Fields

616 Pages·2013·4.749 MB·English

by  Kaddour Hadri, William Mikhail, Kaddour Hadri, William Mikhail

Econometric Methods and
Their Applications in Finance,
Macro and Related Fields
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Econometric Methods and
Their Applications in Finance,
Macro and Related Fields
editors
Kaddour Hadri
Queens University, UK
William Mikhail
The American University in Cairo, Egypt
World Scientific
8843hc_9789814513463_tp.indd 2 2/7/13 9:59 AM
Published by
World Scientific Publishing Co. Pte. Ltd.
5 Toh Tuck Link, Singapore 596224
USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601
UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE
Library of Congress Cataloging-in-Publication Data
African Econometric Society. Annual Conference (15th : 2010 : Cairo, Egypt)
Econometric methods and their applications in finance, macro and related fields / edited by
Kaddour Hadri (Queens University, UK) and William Mikhail (The American University in Cairo,
Egypt).
pages cm
Papers presented at the 15th Annual Conference of the African Econometric Society,
held July 7–9, 2010 in Cairo, Egypt.
Includes bibliographical references and index.
ISBN-13: 978-9814513463 (hard-cover : alk. paper)
ISBN-10: 9814513466 (hard-cover : alk. paper)
1. Finance--Econometric models--Congresses. 2. Econometrics--Congresses. I. Hadri, K.
(Kaddour) II. Mikhail, William. III. Title.
HG106.A3847 2010
332.015195--dc23
2013048354
British Library Cataloguing-in-Publication Data
A catalogue record for this book is available from the British Library.
Copyright © 2014 by World Scientific Publishing Co. Pte. Ltd.
All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means,
electronic or mechanical, including photocopying, recording or any information storage and retrieval
system now known or to be invented, without written permission from the publisher.
For photocopying of material in this volume, please pay a copying fee through the Copyright Clearance
Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy
is not required from the publisher.
In-house Editor: Alisha Nguyen
Typeset by Stallion Press
Email: [email protected]
Printed in Singapore
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Preface
The chapters included in this volume were taken from among the 141 pre-
sentationsmadeatthe15th AnnualConferenceoftheAfricanEconometric
Society, which was held in Cairo between July 7–9, 2010. Although the
Conference was convened fourteen times before, this was the first time it
took place in Egypt.
The Conference was held on the premises of the American University
in Cairo, which provided full infrastructural facilities not only during the
three days of the Conference but also for many weeks before and after
the Conference. Professor John Moore, President of the Econometric Soci-
ety (2009–2011)and ProfessorPaul Collier,C.B.E., Director of the Center
for African Studies, Oxford University, gave two opening speeches of the
Conference, which was attended by over 300 scholars and researchersfrom
Africa,theMiddleEast,andmanyotherpartsoftheworld.Intheiropening
speeches addressing the Conference, Professor Moore talked about “Con-
tagious Illiquidity” and Professor Collier gave his speech on “Harnessing
Africa’s Natural Resources for Development.”
The Conference ran over 38 sessions, four of which were plenary
sessions. These included sessions in financial econometrics, international
finance,econometrictheory,monetarypolicy,equilibriumtheory,industrial
economics, household economics and migration, environmental economics,
laboreconomics,healtheconomics,agriculturaleconomics,andmanyother
fields.Inthesesessions,thepresentedstudieseitherdealtwitheconometric
theoryandapplications,oratleasthadanin-depthstatisticalanalysiswith
considerable econometric modeling components.
Without the intellectual and moral support and the generous financial
contribution of the Commercial International Bank (Egypt), C.I.B., the
15th AES Conference could not have been convened in Cairo, and the pre-
sented papers could not have been put together to appear in this volume.
We highly appreciate the substantive contribution of the Bank to encour-
age scientific endeavor and disseminate the outcome of leading scientific
research.
v
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vi Preface
We also wish to acknowledge the support and the financial contribu-
tionoftheEconomicResearchForumforArabCountries,Iran,andTurkey
duringthevariousstagesofplanning,organizing,andconveningoftheCon-
ference. Financial support was also received from the International Devel-
opment Research Center (of Canada), the Econometric Society, and the
Journal of Applied Econometrics. We are most grateful to them all.
Special thanks are also due to Professor Karim Abadir of the Imperial
CollegeLondon,andtoProfessorMahmoudEl-GamalofRiceUniversityfor
theirrelentlesseffortsintheearlystagesofthisprojectandalsoduringthe
difficult period that followed. They both graciously considered the project
to be their own responsibility.
Last, but not least, the editors feel indebted to many members of the
Economics Department at the American University in Cairo and to many
of the administrators for their valuable support in the organization and
management of the Conference and the publication of the volume. From
among those many, we should gratefully mention Sonia Victor, Nancy Sid-
hom, Kathleen O’Neill and Flora Attia for their efficient and competent
administrative work and for their relentless efforts that went beyond the
call of duty.
Editors
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Contents
Preface v
Part I: Financial Econometrics and
International Finance 1
Chapter 1: Modeling Interest Rates Using Reducible
Stochastic Differential Equations:
A Copula-based Multivariate Approach 5
Ruijun Bu, Ludovic Giet, Kaddour Hadri
and Michel Lubrano
Chapter 2: Financial Risk Management Using
Asymmetric Heavy-tailed Distributions
and Nonlinear Dependence Structures of Asset
Returns under Discontinuous Dynamics 31
Alaa El-Shazly
Chapter 3: Time-varying Dependence in the Term
Structure of Interest Rates: A Copula-based
Approach 51
Diaa Noureldin
Chapter 4: Nonlinear Filtering and Market Implied Rating
for a Jump-diffusion Structural Model of Credit Risk 81
Alaa El-Shazly
Chapter5: Time-varyingOptimalWeightsforInternational
Asset Allocation in African and South Asian Markets 103
Dalia El-Edel
vii
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viii Contents
Part II: Econometric Theory and Methods 129
Chapter 6: Econometric Methods for Ordered Responses:
Some Recent Developments 133
Franco Peracchi
Chapter 7: Which Quantile is the Most Informative?
Maximum Likelihood, Maximum Entropy
and Quantile Regression 167
Anil K. Bera, Antonio F. Galvao Jr.,
Gabriel V. Montes-Rojas and Sung Y. Park
Chapter 8: The Experimetrics of Fairness 201
Anna Conte and Peter G. Moffatt
Chapter 9: Uniform in Bandwidth Tests of Specification
for Conditional Moment Restrictions Models 223
Pascal Lavergne and Pierre E. Nguimkeu
Chapter 10: Joint LM Test for Homoscedasticity
in a Two-way Error Components Model 243
EugeneKouassi, JoelSango, J. M. Bosson Brou
and Kern O. Kymn
Chapter 11: An Approximation to the Distribution
of the Pooled Estimator When the Time Series
Equation Is One of a Complete System 287
William M. Mikhail and Ghazal A. Ghazal
Part III: Monetary, Labor and Environmental
Applications 317
Chapter 12: Monetary Policy and the Role of the Exchange
Rate in Egypt 323
Tarek A. Moursi and Mai El-Mossallamy
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Contents ix
Chapter 13: International Migration, Remittances
and Household Poverty Status in Egypt 353
Rania Roushdy, Ragui Assaad and Ali Rashed
Chapter 14: Determinants of Job Quality and Wages
of the Working Poor: Evidence from 1998–2006
Egypt Labor Market Panel Survey 393
Mona Said
Chapter 15: A Contract-theoretic Model of Conservation
Agreements 425
Heidi Gjertsen, Theodore Groves,
David A. Miller, Eduard Niesten,
Dale Squires and Joel Watson
Chapter 16: Household Environment and Child Health in Egypt 457
Mahmoud Hailat and Franco Peracchi
Chapter 17: Modeling the Relationship between Natural
Resource Abundance, Economic Growth
and the Environment: A Cross-country Study 489
Hala Abou-Ali and Yasmine M. Abdelfattah
Chapter 18: Global Cement Industry: Competitive
and Institutional Frameworks 511
Tarek H. Selim and Ahmed S. Salem
Chapter19: OntheOccurrenceofPonziSchemesinPresence
of Credit Restrictions Penalizing Default 533
A Seghir
Chapter 20: Is Targeted Advertising always Beneficial? 551
Nada Ben Elhadj-Ben Brahim,
Rim Lahmandi-Ayed and Didier Laussel
Index 587