Suhejla Hoti | The University of Western Australia (original) (raw)

Papers by Suhejla Hoti

Contributions to economic analysis, 2005

RePEc: Research Papers in Economics, Mar 1, 2003

RePEc: Research Papers in Economics, Aug 1, 2004

As environmental issues have become increasingly important in economic research and policy for su... more As environmental issues have become increasingly important in economic research and policy for sustainable development, firms in the private sector have introduced environmental and social issues in conducting their business activities. Such behaviour is tracked by the Dow Jones Sustainable Indexes (DJSI) through financial market indexes that are derived from the Dow Jones Global Indexes. The sustainability activities of firms are assessed using criteria in three areas, namely economic, environmental and social. Risk (or uncertainty) is analysed empirically through the use of conditional volatility models of investment in sustainability-driven firms that are selected through the DJSI. The empirical analysis is based on financial econometric models to determine the underlying conditional volatility, with the estimates showing that there is strong evidence of volatility clustering, short and long run persistence of shocks to the index returns, and asymmetric leverage between positive and negative shocks to returns.

Abstract: Environmental issues and risk have become central in socioeconomic research and policy ... more Abstract: Environmental issues and risk have become central in socioeconomic research and policy planning in order to ensure sustainable development. As environmental risk is difficult to assess and measure, different indexes have been developed to evaluate specific aspects of such risk. Environmental risk typically involves problems generated by the consumption of energy (fuels), water shortages, disasters, global warming, poverty, and population growth. Environmental indexes are typically disaggregated and deal with separate aspects of environmental risk. Some useful overall indexes exist, such as the Environmental Sustainability Index (ESI). This paper reviews the existing data and indexes for environmental risk.

International tourism is an important source of foreign income for Spain and its regions. Spain i... more International tourism is an important source of foreign income for Spain and its regions. Spain is a country that consists of 17 autonomous communities, namely Andalusia, Aragon, Asturias, Balearic Islands, Basque Country, Canary Islands, Cantabria, Castile-La Mancha, Castile-Leon, Catalonia, Ceuta and Melilla, Community of Madrid, Community of Valencia, Extremadura, Galicia, Murcia, and Navarra, with historical sites and unique cultural features that have always made the country attractive to foreign visitors (Figure 1).

Contributions to Economic Analysis, 2005

Citeseer

Such issues are tracked by the Dow Jones Sustainable Indexes (DJSI) through financial market inde... more Such issues are tracked by the Dow Jones Sustainable Indexes (DJSI) through financial market indexes that are derived from the Dow Jones Global Indexes. ... This paper analyses the trends and volatility in DJSI indexes using daily data from 31 December 1998 to 1 March 2004. ...

Small Island Tourism Economies (SITEs) differ significantly in their size, location, political sy... more Small Island Tourism Economies (SITEs) differ significantly in their size, location, political systems, historical experience, economic prospects, ecological fragility, and vulnerability to ethnic conflicts, crime, and the threat of global terrorism. Given these differences, a careful analysis of country risk and its components for the SITEs is of great interest to private tourism operators and foreign direct investors in the tourism and hospitality industry, tourism commissions and governments. This paper provides a comparison of country risk ratings, risk returns and associated volatilities for six SITEs for which monthly data compiled by the International Country Risk Guide are available. Monthly economic, financial, political and composite country risk returns are used to estimate symmetric and asymmetric models of univariate conditional volatility. The empirical results provide a comparative assessment of the conditional means and volatilities associated with country risk returns across the six SITEs.

This chapter shows how the generalized autoregressive conditional heteroscedasticity (GARCH) mode... more This chapter shows how the generalized autoregressive conditional heteroscedasticity (GARCH) model can be used to measure the conditional volatility in monthly international tourist arrivals to three small island tourism economies (SITEs), namely, Barbados, Cyprus and ...

Http Dx Doi Org 10 1080 07474930802473736, Aug 17, 2009

As U.S. Treasury securities carry the full faith and credit of the U.S. government, they are free... more As U.S. Treasury securities carry the full faith and credit of the U.S. government, they are free of default risk. Thus, their yields are risk-free rates of return, which allows the most recently issued U.S. Treasury securities to be used as a benchmark to price other fixedincome instruments. This paper analyzes the time series properties of interest rates on U.S. Treasury benchmarks and related debt instruments by modelling the conditional mean and conditional volatility for weekly yields on 12 Treasury Bills and other debt instruments for the period 8 January 1982 to 20 August 2004. The conditional correlations between all pairs of debt instruments are also calculated. These estimates are of interest as they enable an assessment of the implications of modelling conditional volatility on forecasting performance. The estimated conditional correlation coefficients indicate whether there is specialization, diversification or independence in the debt instrument shocks. Constant conditional correlation estimates of the standardized shocks

The main contributions of this monograph are as follows. First, the importance of conditional vol... more The main contributions of this monograph are as follows. First, the importance of conditional volatility in monthly international tourist arrivals and country risk returns is examined and modelled, and the macroeconomic implications for small island tourism economies ...

Tourism Economics the Business and Finance of Tourism and Recreation, 2005

... question of joining the EU. Moreover, the slow-down in the global economy is holding back exp... more ... question of joining the EU. Moreover, the slow-down in the global economy is holding back exports and tourism. Before 1997, the economic risk ratings varied around the mid-80s, with little associated uncer-tainty. The rating fell by ...

The purpose of this paper is to provide a better understanding of the Spanish tourism sector by a... more The purpose of this paper is to provide a better understanding of the Spanish tourism sector by analyzing international tourism to Spain according to the 5 top tourism source countries. The time series properties of monthly international tourist arrivals from France, Germany, Italy, UK and the USA, from January 1994 to February 2006, are analyzed and modelled using time-varying volatility models. Given the distinct seasonal patterns and unit roots in the 5 tourist arrivals series, the first difference of the annual difference of the logarithms of monthly tourist arrivals is presented in order to render each series stationary. Constant conditional correlations are estimated between all pairs of tourist arrivals shocks for the 5 source countries. The results suggest that the 5 tourism sources are independent and hence segmented markets. Therefore, Spain should treat each source country separately. In this case, neither specialisation on tourist sources that provide the largest numbers and growth in tourist arrivals nor diversification of the tourism source country base is required.

Mathematics and Computers in Simulation, 2010

The country risk literature argues that country risk ratings have a direct impact on the cost of ... more The country risk literature argues that country risk ratings have a direct impact on the cost of borrowings as they reflect the probability of debt default by a country. An improvement in country risk ratings, or country creditworthiness, will lower a country's cost of borrowing and debt servicing obligations, and vice-versa. In this context, it is useful to analyse country risk ratings data, much like financial data, in terms of the time series patterns, as such an analysis provides policy makers and industry stakeholders with a more accurate method of forecasting future changes in the risks and returns associated with country risk ratings.

Environmental issues and risk have become central in socioeconomic research and policy planning i... more Environmental issues and risk have become central in socioeconomic research and policy planning in order to ensure sustainable development. As environmental risk is difficult to assess and measure, different indexes have been developed to evaluate specific aspects of such risk. Environmental risk typically involves problems generated by the consumption of energy (fuels), water shortages, disasters, global warming, poverty, and population growth. Environmental indexes are typically disaggregated and deal with separate aspects of environmental risk. Some useful overall indexes exist, such as the Environmental Sustainability Index (ESI). This paper reviews the existing data and indexes for environmental risk.

... Such issues are tracked by the Dow Jones Sustainable Indexes (DJSI) through financial market ... more ... Such issues are tracked by the Dow Jones Sustainable Indexes (DJSI) through financial market indexes that are derived from the Dow Jones Global Indexes. ... This paper analyses the trends and volatility in DJSI indexes using daily data from 31 December 1998 to 1 March 2004. ...