Browsing by Author "Debrah, G."
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Item Application of Markov Chain Techniques for Selecting Efficient Financial Stocks for Investment Portfolio Construction(Journal of Applied Mathematics, 2022) Kallah-Dagadu, G.; Apatu, V.; Mettle, F. O.; Arku, D.; Debrah, G.In this paper, we apply Markov chain techniques to select the best financial stocks listed on the Ghana Stock Exchange based on the mean recurrent times and steady-state distribution for investment and portfolio construction. Weekly stock prices from Ghana Stock Exchange spanning January 2017 to December 2020 was used for the study. A three-state Markov chain was used to estimate the transition matrix, long-run probabilities, and mean recurrent times for stock price movements from one state to another. Generally, the results revealed that the long-run distribution of the stock prices showed that the constant state recorded the highest probabilities as compared to the point loss and point gain states. However, the results showed that the mean recurrent time to the point gain state ranges from three weeks to thirty-five weeks approximately. Finally, Standard Chartered Bank, GCB, Ecobank, and Cal Bank emerged as the top best performing stocks with respect to the mean recurrent times and steady-state distribution, and therefore, these equities should be considered when constructing asset portfolios for higher returns.Item Does the Inverse Farm Size-Productivity Hypothesis Hold Beyond Five Hectares? Evidence from Ghana(Journal of Agricultural and Applied Economics, 2022) Debrah, G.; Adanu, K.We contribute to the inverse farm size-productivity puzzle (IR) literature by examining the relationship using a unique data set from southern Ghana that covers farms between 5 and 70 ha. The study uses an instrumental variable (IV) for land size to mitigate some effects of measurement error in land size. The inverse relationship between farm size and farm productivity is upheld when ordinary least squares estimators (OLS) are applied but becomes insignificant, although still negative in the IV estimation. The results show that measurement error in land size attenuate the IR. While some studies found the IR to flatten and then become positive, this study finds that in Ghana, the IR only flattens.Item Education, skills, and duration of unemployment in Ghana(Cogent Economics & Finance, 2023) Gyan, E.Y.; Debrah, G.; Adanu, K.; Atitsogbui, E.The unmatched growth in available jobs, given the rising youth popula tion, is a major concern for policymakers in sub-Saharan African countries (SSAs), particularly Ghana. The weakness in the link between education and the needed skill by the industry, has been labelled as the cause of rising unemployment and prolonged unemployment duration in Ghana. This paper presents new evidence on the effect of education and skill—language, computer and numeracy skills—on unemployment duration in Ghana using the Skill Towards Employment and Productivity (STEP) skill dataset collected by the World Bank in 2013. The study employs Cox’s Proportional Hazard Model to examine the effect of education, language, computer and numeracy skill on unemployment duration. We found that education reduces the duration of unemployment in general. However, the effect is higher for exiting salaried work compared to self-employed jobs. Proficiency in computer, English or Ewe reduces the duration of unemployment. In particular, we observe that individuals highly skilled in computer use are 34.4% more likely to exit unemployment compared to those without computer skills. Interestingly, the effect of computer skills is through channels other than formal education.Item Education, skills, and duration of unemployment in Ghana(Cogent Economics & Finance, 2023) Yirenkyi, E.G.; Debrah, G.; Adanu, K.; Atitsogbui, E.bstract: The unmatched growth in available jobs, given the rising youth popula tion, is a major concern for policymakers in sub-Saharan African countries (SSAs), particularly Ghana. The weakness in the link between education and the needed skill by the industry, has been labelled as the cause of rising unemployment and prolonged unemployment duration in Ghana. This paper presents new evidence on the effect of education and skill—language, computer and numeracy skills—on unemployment duration in Ghana using the Skill Towards Employment and Productivity (STEP) skill dataset collected by the World Bank in 2013. The study employs Cox’s Proportional Hazard Model to examine the effect of education, language, computer and numeracy skill on unemployment duration. We found that education reduces the duration of unemployment in general. However, the effect is higher for exiting salaried work compared to self-employed jobs. Proficiency in computer, English or Ewe reduces the duration of unemployment. In particular, we observe that individuals highly skilled in computer use are 34.4% more likely to exit unemployment compared to those without computer skills. Interestingly, the effect of computer skills is through channels other than formal education.Item Group lending with covariate risk(Journal of Development Economics, 2022) Ahlin, C.; Debrah, G.Group-based lending with joint liability has been a major tool microfinance institutions (‘‘MFIs’’) have employed to improve lending feasibility. The related theoretical literature typically assumes borrowers face independent risk. This paper examines how covariate risk affects the usefulness of joint liability lending in the hidden-information setting of Stiglitz and Weiss (1981) and Ghatak (2000). In a benchmark setting where all agents face the same degree of covariate risk, greater correlation renders group lending less effective; this is because the effective rate of joint liability is reduced when borrowers are more likely to fail together. We focus on a setting where extensive and intensive margins are distinguished: some agents face independent risk while others face correlated risk. We find that an intermediate prevalence of correlated risk can lead to lower outreach than both a low and a high prevalence. Thus, reaching a market with mixed covariate risk profiles, e.g. farmers and micro-entrepreneurs, can be harder than reaching markets with a single profile of either kind. Assuming limited ability of lenders to use information on borrower correlation, we find that higher outreach is often achievable by separately servicing correlated and non-correlated borrowers. This can help explain the existence of specialized institutions such as agricultural banks versus standard microenterprise-focused MFIs.Item Longevity risk—Its financial impact on pensions(Scientific African, 2022) Nantwi, N.P.A.; Lotsi, A.; Debrah, G.We study the financial impact of longevity risk on defined benefit (DB) pension plan liabilities using the 2010 Ghana population census, and the Lee-Carter model. We compare the usual Lee-Carter model to an extended version. While we observe that Ghana’s mortality has decreased, our results show that longevity risk raises the cost of liability. We propose that defined benefit scheme trustees and fund managers, assess their funds and act on the assets available to them in a Liability-Driven Investment (LDI) Strategy tailored to the dynamics of their scheme - since there is no single best method in LDI strategy. This study may help policymakers or practitioners in their efforts to mitigate the effects of longevity risk.Item Volatility Analysis of Exchange Rate with Correlated Errors: A Sliding Data Matrix Approach(Hindawi, 2022) Mettle, F.O.; Kallah-Dagadu, G.; Aidoo, E.; Debrah, G.; Arku, D.The main objective of this study is to propose a method of analysing the volatility of a seemingly random walk time series with correlated errors without transforming the series as performed traditionally. The proposed method involves the computation of moving volatilities based on sliding and cumulative data matrices. Our method rests on the assumption that the number of subperiods for which the series is available is the same for all periods and on the assumption that the series observations in each subperiod for all the periods under consideration are a random sample from a particular distribution. The method was successfully implemented on a simulated dataset. A paired sample t-test, Wilcoxon signed rank test, repeated measures (ANOVA), and Friedman tests were used to compare the volatilities of the traditional method and the proposed method under both sliding and cumulative data matrices. It was found that the differences among the average volatilities of the traditional method and sliding and cumulative matrix methods were insignificant for the simulated series that follow the random walk theorem. The implementation of the method on exchange rates for Canada, China, South Africa, and Switzerland resulted in adjudging South Africa to have the highest fluctuating exchange rates and hence the most unstable economy.