"A Rational Expectations Approach to Macroeconometrics" pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.

Introduction to "A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models"

The study contributes to the existing literature on intellectual capital (IC) performance and profitability by extending evidence from Pakistan. The study examines the impact of IC performance on the profitability of Pakistani financial institutions. It further examines how corporate governance, bank specific, industry specific, and country specific indicators effect Pakistani banks’ profitability. The result reports both the linear and non-linear impact of IC performance on profitability, which affirms an inverted U–shaped relationship. Among the three value added intellectual coefficient (VAIC) components, capital employed efficiency (CEE), and human capital efficiency (HCE) are found to have a significantly positive and structural capital efficiency (SCE) is found to have a significantly negative impact on bank profitability. The study notes a positive impact on profitability of factors like board independence, directors’ compensation, and higher capitalization. It reports a negative impact on profitability of factors like board size, board meetings, credit risk, industry concentration and economic growth. The results also indicate low profitability of banks during the period of government transition. The study provides insights into the important profitability drives and suggests that the impact of investment in IC on profitability is limited to an extent. The findings of this study are likely to be useful for policy makers, management, and academics.

https://www.mdpi.com/1911-8074/12/2/56/pdf

Intellectual Capital Performance and Profitability of Banks: Evidence from Pakistan

The purpose of this paper is to examine the causal effect of intellectual capital (IC) performance on financial performance at Thai listed banks.,Data are collected from 16 listed banks in Thailand for the period 1997–2016. This paper uses the value-added intellectual coefficient methodology suggested by Pulic (1998, 2004) to measure IC. This study employs a fixed-effects and random-effects model and generalized method of moments (GMM) estimator to investigate the causal effect of IC on financial performance.,The results show that bank profitability is driven mainly by capital employed efficiency to make a profit. However, human capital efficiency marginally reduces bank profitability in the current period but has positive effects on future profitability.,First, this study does not cover data on foreign banks, which reduces the generalizability of the results. Second, financial statements can be manipulated through accounting adjustments. Lastly, subsequent research should control for more bank characteristics, such as bank ownership, the non-performing loan ratio and R&D expenditure.,To achieve higher future profitability, banks should not only manage their physical and financial capital effectively but also improve employee efficiency.,This paper contributes to the literature on IC in the banking sector in emerging countries. Moreover, this paper is the first to employ the GMM method in the banking context to address possible endogeneity problems.

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Should bankers be concerned with Intellectual capital? A study of the Thai banking sector

Purpose
This study aims to investigate the intellectual capital–financial performance relationship using two models, namely the conventional Value-Added Intellectual Coefficient (VAIC) model and the adjusted Value-Added Intellectual Coefficient (A-VAIC) model

Design/methodology/approach
This study is designed as a quantitative research focusing on the relationship between intellectual capital and financial performance of the banking industry in Indonesia As many as 114 data are derived from the publicly listed banks on the Indonesia Stock Exchange for the period of 2012–2017 The multiple regression analysis is employed to test the hypotheses studied

Findings
In general, the result confirms that intellectual capital affects financial performance Although not all hypotheses of the study are supported by either the VAIC model or the A-VAIC model, the results provide a deeper and new insight on how each component of intellectual capital efficiency (human capital, structural capital, capital employed, innovation capital) relates to financial performance (return on asset, return on equity, asset turnover, price to book ratio) The results also justify that further improvements in measuring intellectual capital are still needed in the future

Research limitations/implications
This study limits its generalization since the sample is only in the Indonesian banking industry Notwithstanding the limitation, the results imply that the Indonesian banking managers need to be aware of intellectual capital management because of its strategic role in enhancing financial performance

Practical implications
This study contributes to the intellectual capital literature by providing empirical evidence on the use of both models, namely the conventional VAIC and the A-VAIC in the Indonesian banking industry research setting which is never been studied before

Social implications
This study has the social implication to the enhancement of the quality life of the society The higher the quality of intellectual capital in the banking firms, the better the banks serve the needs of the community

Originality/value
This study contributes to the IC literature by providing empirical research on the use of the VAIC model and the A-VAIC model in the Indonesian banking industry

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Measures that matter: an empirical investigation of intellectual capital and financial performance of banking firms in Indonesia

The answer to the challenging question, “Should one either invest in tangible resources or intangible resources/capabilities?” is still fragmented. In prior studies, more emphasis is given to tangible resources, while intangible resources have comparatively received minor attention, despite their significant role in the success of small and medium enterprises (SMEs). Particularly the role of the intangible skills; intellectual capital, financial literacy (FL), and business experience (BE) in resource acquisition and sustainable competitive performance has missed in prior studies. Grounded on the resource-based view and upper echelon theory, this study examines the role of intellectual capital in sustainable competitive performance with a mediating role of resource acquisition. This research also assesses the moderating role of financial literacy and business experience between intellectual capital and resource acquisition. Data are collected through structured questionnaires from 384 owners/managers of Pakistani SMEs. After analyzing the data through structural equation modeling (SEM), the results indicate that intellectual capital helps managers in acquiring valuable resources, which in turn enhance sustainable competitive performance. Resource acquisition partially mediates the relation between intellectual capital and sustainable competitive performance. Financial literacy is a significant predictor of resource acquisition, but it does not significantly moderate the relation between intellectual capital and sustainable competitive performance. Business experience significantly boosts the acquisition of resources and strengthens the path between intellectual capital and resource acquisition. SMEs should encourage their managers to acquire unique, rare, and immutable external resources in the turbulent markets.

https://www.mdpi.com/2071-1050/11/2/527/pdf

The Role of a Manager’s Intangible Capabilities in Resource Acquisition and Sustainable Competitive Performance

https://cyberleninka.org/article/n/1349262.pdf

Intellectual capital and financial performance: A study of the Turkish Banking Sector

The accrual anomaly: Evidence from Borsa Istanbul

I revisit the empirical relationship between R&D investments and financial structure by trying to replicate seminal paper of Aghion et al. (J Eur Econ Assoc 2:277–288, 2004). In the widely cited study, Aghion et al. (2004) found evidence of a nonlinear (an inverted U-shape) relationship—firms with positive R&D tend to use more debt than firms with zero R&D, but the use of debt falls with R&D intensity—in a sample of U.K. firms from 1990 to 2002. In order to review their significant findings, I use panel data of 177 Turkish manufacturing firms listed in Borsa Istanbul from 2007 to 2016. Using Aghion et al.’s (2004) model specifications, I found no evidence of an inverted U-shape relationship or of any effect of R&D intensity on the leverage ratio. The study thus suggests that the effect of R&D investments on the financial structure may vary with the different samples of countries and cannot be universally generalized.

Replicating the R&D investments and financial structure relationship: evidence from Borsa İstanbul

In this study, it is analyzed the existence of day of the week effect in the stock markets of Brazil, India, Indonesia, Turkey and South Africa which are named as fragile five countries (BIITS). To determine this effect in fragile five countries; daily closing price data of basic indices of the stock markets of these countries’ for the period (2 January 2009–31 December 2015) and Kruskal-Wallis test and Wilcoxon rank sum test which are non-parametric statistical analysis methods, are used. The results obtained in this study supports the literature findings that day of the week effect is reducing in developed and emerging markets in the recent years for fragile five countries for the period after the 2008 global financial crisis. The findings indicate that, except Indonesia, day of the week effect doesn’t exist in other four countries’ stock markets. In Indonesia stock market, the lowest return is on Monday, highest return is on Wednesday.

Day of the Week Effect in the Stock Markets of Fragile Five Countries After 2008 Global Financial Crisis

Bu calismada, Turkiye’de faaliyet gosteren dort katilim bankasinin 2006 - 2014 yillari arasi uc aylik verileri kullanilarak kredi risklerini belirleyen faktorler arastirilmaktadir. Kredi riski uzerinde bankaya ozgu faktorlerden hangisinin anlamli etkilerinin oldugunu gostermek icin panel veri regresyon modeli kullanilmaktadir. Bulgular, katilim bankalarinin geri odenmeme riski tasiyan kredilere karsi ayirdiklari ozel karsiliklarin toplam varliklar icindeki payinin arttikca, kredi risklerinin de artacagini gostermektedir. Diger taraftan, kredilerin toplam varliklar icindeki payinin veya banka buyuklugunun artmasi kredi riskinin azalmasina neden olmaktadir.

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Nasıf Özkan

Papers

Intellectual capital and financial performance: A study of the Turkish Banking Sector

The accrual anomaly: Evidence from Borsa Istanbul

Replicating the R&D investments and financial structure relationship: evidence from Borsa İstanbul

Day of the Week Effect in the Stock Markets of Fragile Five Countries After 2008 Global Financial Crisis

İslami Bankalarda Kredi Riskini Belirleyen Faktörler: Panel Veri Analizi ile Türkiye’de Katılım Bankacılığı Üzerine Ampirik Bir Uygulama