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Détails du magazine
Format
Magazine
eISSN
2336-9205
Première publication
11 Mar 2014
Période de publication
3 fois par an
Langues
Anglais

Chercher

Volume 8 (2019): Edition 1 (January 2019)

Détails du magazine
Format
Magazine
eISSN
2336-9205
Première publication
11 Mar 2014
Période de publication
3 fois par an
Langues
Anglais

Chercher

10 Articles
Accès libre

Modeling Macroeconomic Policymakers’ Interactions under Zero Lower Bound Environment: The New Keynesian Theoretical Approach

Publié en ligne: 03 Jan 2019
Pages: 5 - 38

Résumé

Abstract

The paper examines how the implicit coordination mechanisms between the policymakers could help in overcoming negative macroeconomic consequences which are provoked by the problem of zero lower bound (ZLB) on the nominal interest rates. For the long period of time, before the global recession started, the ZLB problem was not found to be interesting for researchers. Immediately after the crisis outbreak, more attention was put on that problem within different approaches since conventional monetary policy faced substantial limitation in overcoming business cycles. Many authors have proposed new unconventional measures in both monetary policy and fiscal policy sphere. The theoretical approaches to the ZLB problem include many different aspects. In the paper we chose to use regime switching models adjusted to simulate occasionally binding constraints in order to investigate different scenarios within the New Keynesian framework. We found that coordination between more passive monetary policymaker and more active fiscal policymaker is crucial in the ZLB environment. Central bank has to follow monetary policy rule in which both inflation stabilization and output stabilization have certain positive weight. However, credible policy-making which is supported by the relevant institutions is a necessary precondition for implicit coordination, which substantially decrease the losses occurred as a consequence of ZLB on interest rates.

Mots clés

  • zero lower bound (ZLB)
  • global recession
  • macroeconomic policymakers’ interactions
  • New Keynesian model

JEL Classification

  • C63
  • E17
  • E52
  • E63
Accès libre

Effectivness of the Adoption of the XBRL Standard in the Indian Banking Sector

Publié en ligne: 03 Jan 2019
Pages: 39 - 52

Résumé

Abstract

The XBRL standard was adopted by the Reserve Bank of India (RBI) in the year 2008 as a standard by which the banks that are regulated by the RBI submit regulatory, prudential, supervisory, and other statistical data. This study focuses on estimating the effectiveness of the adoption of the XBRL standard in the Indian banking sector. The effectiveness has been studied on the basis of the responses received on the survey conducted targeting the commercial banks of India. Two important factors, namely, ‘Effectiveness of the XBRL Data Submission’ and ‘Savings of Time and Cost’ have been considered mainly for the study. The study revealed that the overall efficiency of the reporting system in the Indian banking sector has increased to a great extent with the adoption of the XBRL standard. Although the overall effectiveness of XBRL adoption has been found to be satisfactory, there is always room for further enhancement of the system in order to achieve complete effectiveness.

Mots clés

  • XBRL
  • ADF
  • Technology
  • Effectiveness
  • Survey etc

JEL Classification

  • O33
  • Q55
  • G21
Accès libre

Cashless Society – The Future of Money or a Utopia?

Publié en ligne: 03 Jan 2019
Pages: 53 - 66

Résumé

Abstract

In recent years we have witnessed a growing trend in cashless transactions as well as products and services sold exclusively in this way. Also, after the onset of the global financial crisis, private crypto currencies appeared that have raised some concerns. All of these changes beg the question of whether modern societies are moving towards a cashless society. This also raises a number of other dilemmas such as whether cashless societies have negative implications, whether they have what should be the response of economic policymakers, who would be potential winners and losers, and the like.

The paper analyses the arguments both in favour and against cashless society, the future of crypto currencies, as well as potential responses of economic policymakers to the emergence of a cashless society. The paper concludes with the observation that it is not reasonable to expect the transition to a cashless society in the near future but the next step in the evolution of money might be the appearance of central bank digital currencies, at least in some countries.

Mots clés

  • cashless society
  • crypto currencies
  • economic policy
  • central bank digital currencies

JEL Classification

  • E40
  • E50
  • E52
Accès libre

A New Insight into the Measurement of Central Bank Independence

Publié en ligne: 03 Jan 2019
Pages: 67 - 96

Résumé

Abstract

The present paper attempts to expand the existing literature on Central Bank Independence (CBI) by proposing new measures for CBI. It designs two indices: one tackling the de jure CBI and the other assessing the de facto level of CBI. The two measures outweigh traditional measures in various aspects; first, the two indices are more comprehensive in terms of possible institutional arrangements. The de jure index incorporates several aspects related to CBI that were not previously grouped together in a unified index i.e. financial independence, limitations related to indirect credit to government, accountability and transparency. The de facto index comprises the main existing indicators for measuring actual CBI (i.e. turnover ratio, political vulnerability indicator and monetary policy reaction function) in addition to new variables, as the lender of last resort function, independence of central bank board, and financial independence that were not included in almost all previous studies. Second, the two indices allow a higher level of precision as they comprise aspects that can be objectively codified with a minimum level of subjectivity. Third, the two indices cover the same attributes of CBI to facilitate measuring the deviation between de jure and de facto level of independence for any central bank. The current paper provides a comprehensive definition and analysis of both indices to enable their replication in future studies.

Mots clés

  • Central Bank Independence
  • Independence Indices
  • Monetary Policy
  • Political Economy

JEL Classification

  • E52
  • E58
Accès libre

Linkages Between Fiscal Policy and Financial (In)Stability

Publié en ligne: 03 Jan 2019
Pages: 97 - 109

Résumé

Abstract

This paper identifies and describes some of the main channels through which fiscal policy is linked to financial stability. For that purpose, several features of public debt related to financial stability are explored, such as public debt management and its sustainability, government’s funding costs and their impact on costs of funding for private sector, financial institutions’ exposures to the government etc. The part related to the tax policy elaborates on its countercyclical capacity, the role of automatic stabilizers, tax incentives that encourage or discourage certain type of financing, and impact of tax reliefs on systemic risks, particularly those targeted at the real estate. Fiscal policy role during the periods of strong capital inflows is also described from the financial stability point of view, which is followed by the overview of fiscal and quasi-fiscal costs of financial instability. Specific problem of different time horizon of economic policymakers’, which is in the case of fiscal policy usually related to election cycles and thus negatively affects its countercyclical capacity, is also explored. Given the relevance of the identified channels for financial stability, it can be expected that macroprudential capacity of fiscal policy will gain much more attention in the future research and policy work.

Mots clés

  • fiscal policy
  • financial stability macroprudential policy
  • systemic risks

JEL Classification

  • E60
  • E62
  • E58
Accès libre

Nonlinear Reaction functions: Evidence from India

Publié en ligne: 03 Jan 2019
Pages: 111 - 132

Résumé

Abstract

This paper uses time-series data from India and tests for asymmetries in policy preferences of the Reserve Bank of India (the Central Bank of India, hereafter RBI). The results show evidence in favour of preference asymmetries in monetary policy reaction function in India and hence nonlinearities in the Taylor-rule. Evidence of both recession avoidance preference (RAP) as well as inflation avoidance preference (IAP) is established. And it is found that RAP is dominant over IAP, thus confirming nonlinearities in reaction function which in the present case turns out to be concave in inflation and output gap. Further, the results indicate preference asymmetries in both the objectives. The coefficient weights to positive and negative inflation and output gap differ over long time horizons thus confirming asymmetric policy preferences. Specifically the RBI seems to be more averse to a negative output gap (contraction) as compared to an equal positive gap. In addition, the RBI appears to be more averse to a positive inflation gap as compared to an equal negative gap.

Mots clés

  • Reaction function
  • Taylor-rule
  • Preference asymmetry
  • Output gap
  • Inflation gap

JEL Classification

  • E52
  • E58
Accès libre

Bank Efficiency in Malaysia a DEA Approach

Publié en ligne: 03 Jan 2019
Pages: 133 - 162

Résumé

Abstract

The purpose of the present paper is to examine the revenue efficiency of the Malaysian Islamic banking sector. The study also seeks to investigate the potential internal (bank specific) and external (macroeconomic) determinants that influence the revenue efficiency of Malaysian domestic Islamic banks. We employ the whole gamut of domestic and foreign Islamic banks operating in the Malaysian Islamic banking sector during the period of 2006 – 2015. The level of revenue efficiency is computed by using the Data Envelopment Analysis (DEA) method. Furthermore, we employ a panel regression analysis framework based on the Ordinary Least Square (OLS) method to examine the potential determinants of revenue efficiency. The results indicate that the level of revenue efficiency of Malaysian domestic Islamic banks is lower compared to their foreign Islamic bank counterparts. We find that bank market power, liquidity, and management quality significantly influence the improvement in revenue efficiency of the Malaysian domestic Islamic banks during the period under study. This study provides for the first time empirical evidence that covering all three efficiency concepts, namely cost, revenue, and profit efficiency is completely missing from the literature. By calculating these efficiency concepts, we can observe the efficiency levels of the domestic and foreign Islamic banks. In addition, by comparing both cost and profit efficiency, we can identify the influence of the revenue efficiency on the banks’ profitability.

Mots clés

  • Islamic Banks
  • Revenue Efficiency
  • Data Envelopment Analysis
  • Panel Regression Analysis
  • Domestic
  • Foreign

JEL Classification

  • G21
  • G28
Accès libre

Obtaining a Generalized Index of Bank Competitiveness Using a Fuzzy Approach

Publié en ligne: 03 Jan 2019
Pages: 163 - 182

Résumé

Abstract

The article is devoted to developing a definition of the indicator of the bank’s competitiveness which based on the theory of fuzzy sets and neural networks techniques. Uncertainties that have a place when considering and analyzing the components of evaluating the success and effectiveness of the bank have been considered and analyzed. The sequence of construction and structure for generalizing parameter of bank competitiveness are presented and grounded. Stages of obtaining an integrated assessment of bank competitiveness by sequential application of fuzzy logic and neural networks approaches are determined and described. Corresponding fuzzy terms, membership functions and fuzzy inference rules are described. Overall sequence and steps to resolve the problem are processed. The practical implementation of the summary fuzzy inference of the bank’s competitiveness is given. In particular, numerical calculations on the proposed model for Ukrainian commercial bank “Khreshchatyk” was carried out. Comparison of obtained evaluation results for the competitiveness of specified bank with available data and other scientific information sources showed their compliance with factual situation. In this way, the expediency of application fuzzy modeling has been confirmed to determine the generalized indicators of bank competitiveness. Adequacy and accuracy of the proposed model and the results of calculations were proved. The proposed approach is quite general. This or similar model can be successfully used in other tasks of building and generalized evaluation of integrated indicators for the presence of several local, individual parameters for different economic processes and tasks.

Mots clés

  • bank competitiveness
  • fuzzy modeling
  • bank indicators
  • uncertainty in economics
  • bank service estimations
  • neural networks modeling
  • constructing general indicators

JEL Classification

  • C45
  • C69
  • G21
Accès libre

Disaggregating Okun’s Law: A Case-Study for Macedonia

Publié en ligne: 03 Jan 2019
Pages: 183 - 207

Résumé

Abstract

Okun’s law is one of the most widely-known stylized facts in the macroeconomic literature and policy. In this paper we study several aspects of Okun’s law in Macedonia between 2004 and 2016. Aggregate indicators show a link between output and unemployment that is in line with other emerging markets and regional peers. We also find that the relationship has been somewhat weaker in recent years, which might be related to the recent job-intensive growth in the wake of structural reforms after the global financial crisis and particularly the subsequent European debt crisis. When investigating whether various expenditure components of GDP may cause different unemployment reactions, an important issue that has not been sufficiently addressed in the literature, we find that domestic demand has a stronger effect. We also provide several robustness checks to our main findings, and illustrate how they might be used to improve forecasting.

Mots clés

  • Disaggregated Okun’s law
  • unemployment
  • expenditure components of GDP

JEL Classification

  • E2
  • E24
  • C22
Accès libre

Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 Challenges

Publié en ligne: 03 Jan 2019
Pages: 209 - 223

Résumé

Abstract

This paper aims to present one possible retail estimation framework of lifetime probability of default in accordance with IFRS 9. The framework rests on “term structure of probability of default” conditional to given forward-looking macroeconomic dynamics. Due to the one of the biggest limitation of forward-looking modelling – data availability, model averaging technique for quantification of macroeconomic effect on default probability is explained.

Mots clés

  • IFRS 9
  • Term Structure of Probability of Default
  • Point in Time Probability of Default
  • Forward-looking
  • Macroeconomic approach
  • Model averaging

JEL Classification

  • G11
  • G23
  • C41
10 Articles
Accès libre

Modeling Macroeconomic Policymakers’ Interactions under Zero Lower Bound Environment: The New Keynesian Theoretical Approach

Publié en ligne: 03 Jan 2019
Pages: 5 - 38

Résumé

Abstract

The paper examines how the implicit coordination mechanisms between the policymakers could help in overcoming negative macroeconomic consequences which are provoked by the problem of zero lower bound (ZLB) on the nominal interest rates. For the long period of time, before the global recession started, the ZLB problem was not found to be interesting for researchers. Immediately after the crisis outbreak, more attention was put on that problem within different approaches since conventional monetary policy faced substantial limitation in overcoming business cycles. Many authors have proposed new unconventional measures in both monetary policy and fiscal policy sphere. The theoretical approaches to the ZLB problem include many different aspects. In the paper we chose to use regime switching models adjusted to simulate occasionally binding constraints in order to investigate different scenarios within the New Keynesian framework. We found that coordination between more passive monetary policymaker and more active fiscal policymaker is crucial in the ZLB environment. Central bank has to follow monetary policy rule in which both inflation stabilization and output stabilization have certain positive weight. However, credible policy-making which is supported by the relevant institutions is a necessary precondition for implicit coordination, which substantially decrease the losses occurred as a consequence of ZLB on interest rates.

Mots clés

  • zero lower bound (ZLB)
  • global recession
  • macroeconomic policymakers’ interactions
  • New Keynesian model

JEL Classification

  • C63
  • E17
  • E52
  • E63
Accès libre

Effectivness of the Adoption of the XBRL Standard in the Indian Banking Sector

Publié en ligne: 03 Jan 2019
Pages: 39 - 52

Résumé

Abstract

The XBRL standard was adopted by the Reserve Bank of India (RBI) in the year 2008 as a standard by which the banks that are regulated by the RBI submit regulatory, prudential, supervisory, and other statistical data. This study focuses on estimating the effectiveness of the adoption of the XBRL standard in the Indian banking sector. The effectiveness has been studied on the basis of the responses received on the survey conducted targeting the commercial banks of India. Two important factors, namely, ‘Effectiveness of the XBRL Data Submission’ and ‘Savings of Time and Cost’ have been considered mainly for the study. The study revealed that the overall efficiency of the reporting system in the Indian banking sector has increased to a great extent with the adoption of the XBRL standard. Although the overall effectiveness of XBRL adoption has been found to be satisfactory, there is always room for further enhancement of the system in order to achieve complete effectiveness.

Mots clés

  • XBRL
  • ADF
  • Technology
  • Effectiveness
  • Survey etc

JEL Classification

  • O33
  • Q55
  • G21
Accès libre

Cashless Society – The Future of Money or a Utopia?

Publié en ligne: 03 Jan 2019
Pages: 53 - 66

Résumé

Abstract

In recent years we have witnessed a growing trend in cashless transactions as well as products and services sold exclusively in this way. Also, after the onset of the global financial crisis, private crypto currencies appeared that have raised some concerns. All of these changes beg the question of whether modern societies are moving towards a cashless society. This also raises a number of other dilemmas such as whether cashless societies have negative implications, whether they have what should be the response of economic policymakers, who would be potential winners and losers, and the like.

The paper analyses the arguments both in favour and against cashless society, the future of crypto currencies, as well as potential responses of economic policymakers to the emergence of a cashless society. The paper concludes with the observation that it is not reasonable to expect the transition to a cashless society in the near future but the next step in the evolution of money might be the appearance of central bank digital currencies, at least in some countries.

Mots clés

  • cashless society
  • crypto currencies
  • economic policy
  • central bank digital currencies

JEL Classification

  • E40
  • E50
  • E52
Accès libre

A New Insight into the Measurement of Central Bank Independence

Publié en ligne: 03 Jan 2019
Pages: 67 - 96

Résumé

Abstract

The present paper attempts to expand the existing literature on Central Bank Independence (CBI) by proposing new measures for CBI. It designs two indices: one tackling the de jure CBI and the other assessing the de facto level of CBI. The two measures outweigh traditional measures in various aspects; first, the two indices are more comprehensive in terms of possible institutional arrangements. The de jure index incorporates several aspects related to CBI that were not previously grouped together in a unified index i.e. financial independence, limitations related to indirect credit to government, accountability and transparency. The de facto index comprises the main existing indicators for measuring actual CBI (i.e. turnover ratio, political vulnerability indicator and monetary policy reaction function) in addition to new variables, as the lender of last resort function, independence of central bank board, and financial independence that were not included in almost all previous studies. Second, the two indices allow a higher level of precision as they comprise aspects that can be objectively codified with a minimum level of subjectivity. Third, the two indices cover the same attributes of CBI to facilitate measuring the deviation between de jure and de facto level of independence for any central bank. The current paper provides a comprehensive definition and analysis of both indices to enable their replication in future studies.

Mots clés

  • Central Bank Independence
  • Independence Indices
  • Monetary Policy
  • Political Economy

JEL Classification

  • E52
  • E58
Accès libre

Linkages Between Fiscal Policy and Financial (In)Stability

Publié en ligne: 03 Jan 2019
Pages: 97 - 109

Résumé

Abstract

This paper identifies and describes some of the main channels through which fiscal policy is linked to financial stability. For that purpose, several features of public debt related to financial stability are explored, such as public debt management and its sustainability, government’s funding costs and their impact on costs of funding for private sector, financial institutions’ exposures to the government etc. The part related to the tax policy elaborates on its countercyclical capacity, the role of automatic stabilizers, tax incentives that encourage or discourage certain type of financing, and impact of tax reliefs on systemic risks, particularly those targeted at the real estate. Fiscal policy role during the periods of strong capital inflows is also described from the financial stability point of view, which is followed by the overview of fiscal and quasi-fiscal costs of financial instability. Specific problem of different time horizon of economic policymakers’, which is in the case of fiscal policy usually related to election cycles and thus negatively affects its countercyclical capacity, is also explored. Given the relevance of the identified channels for financial stability, it can be expected that macroprudential capacity of fiscal policy will gain much more attention in the future research and policy work.

Mots clés

  • fiscal policy
  • financial stability macroprudential policy
  • systemic risks

JEL Classification

  • E60
  • E62
  • E58
Accès libre

Nonlinear Reaction functions: Evidence from India

Publié en ligne: 03 Jan 2019
Pages: 111 - 132

Résumé

Abstract

This paper uses time-series data from India and tests for asymmetries in policy preferences of the Reserve Bank of India (the Central Bank of India, hereafter RBI). The results show evidence in favour of preference asymmetries in monetary policy reaction function in India and hence nonlinearities in the Taylor-rule. Evidence of both recession avoidance preference (RAP) as well as inflation avoidance preference (IAP) is established. And it is found that RAP is dominant over IAP, thus confirming nonlinearities in reaction function which in the present case turns out to be concave in inflation and output gap. Further, the results indicate preference asymmetries in both the objectives. The coefficient weights to positive and negative inflation and output gap differ over long time horizons thus confirming asymmetric policy preferences. Specifically the RBI seems to be more averse to a negative output gap (contraction) as compared to an equal positive gap. In addition, the RBI appears to be more averse to a positive inflation gap as compared to an equal negative gap.

Mots clés

  • Reaction function
  • Taylor-rule
  • Preference asymmetry
  • Output gap
  • Inflation gap

JEL Classification

  • E52
  • E58
Accès libre

Bank Efficiency in Malaysia a DEA Approach

Publié en ligne: 03 Jan 2019
Pages: 133 - 162

Résumé

Abstract

The purpose of the present paper is to examine the revenue efficiency of the Malaysian Islamic banking sector. The study also seeks to investigate the potential internal (bank specific) and external (macroeconomic) determinants that influence the revenue efficiency of Malaysian domestic Islamic banks. We employ the whole gamut of domestic and foreign Islamic banks operating in the Malaysian Islamic banking sector during the period of 2006 – 2015. The level of revenue efficiency is computed by using the Data Envelopment Analysis (DEA) method. Furthermore, we employ a panel regression analysis framework based on the Ordinary Least Square (OLS) method to examine the potential determinants of revenue efficiency. The results indicate that the level of revenue efficiency of Malaysian domestic Islamic banks is lower compared to their foreign Islamic bank counterparts. We find that bank market power, liquidity, and management quality significantly influence the improvement in revenue efficiency of the Malaysian domestic Islamic banks during the period under study. This study provides for the first time empirical evidence that covering all three efficiency concepts, namely cost, revenue, and profit efficiency is completely missing from the literature. By calculating these efficiency concepts, we can observe the efficiency levels of the domestic and foreign Islamic banks. In addition, by comparing both cost and profit efficiency, we can identify the influence of the revenue efficiency on the banks’ profitability.

Mots clés

  • Islamic Banks
  • Revenue Efficiency
  • Data Envelopment Analysis
  • Panel Regression Analysis
  • Domestic
  • Foreign

JEL Classification

  • G21
  • G28
Accès libre

Obtaining a Generalized Index of Bank Competitiveness Using a Fuzzy Approach

Publié en ligne: 03 Jan 2019
Pages: 163 - 182

Résumé

Abstract

The article is devoted to developing a definition of the indicator of the bank’s competitiveness which based on the theory of fuzzy sets and neural networks techniques. Uncertainties that have a place when considering and analyzing the components of evaluating the success and effectiveness of the bank have been considered and analyzed. The sequence of construction and structure for generalizing parameter of bank competitiveness are presented and grounded. Stages of obtaining an integrated assessment of bank competitiveness by sequential application of fuzzy logic and neural networks approaches are determined and described. Corresponding fuzzy terms, membership functions and fuzzy inference rules are described. Overall sequence and steps to resolve the problem are processed. The practical implementation of the summary fuzzy inference of the bank’s competitiveness is given. In particular, numerical calculations on the proposed model for Ukrainian commercial bank “Khreshchatyk” was carried out. Comparison of obtained evaluation results for the competitiveness of specified bank with available data and other scientific information sources showed their compliance with factual situation. In this way, the expediency of application fuzzy modeling has been confirmed to determine the generalized indicators of bank competitiveness. Adequacy and accuracy of the proposed model and the results of calculations were proved. The proposed approach is quite general. This or similar model can be successfully used in other tasks of building and generalized evaluation of integrated indicators for the presence of several local, individual parameters for different economic processes and tasks.

Mots clés

  • bank competitiveness
  • fuzzy modeling
  • bank indicators
  • uncertainty in economics
  • bank service estimations
  • neural networks modeling
  • constructing general indicators

JEL Classification

  • C45
  • C69
  • G21
Accès libre

Disaggregating Okun’s Law: A Case-Study for Macedonia

Publié en ligne: 03 Jan 2019
Pages: 183 - 207

Résumé

Abstract

Okun’s law is one of the most widely-known stylized facts in the macroeconomic literature and policy. In this paper we study several aspects of Okun’s law in Macedonia between 2004 and 2016. Aggregate indicators show a link between output and unemployment that is in line with other emerging markets and regional peers. We also find that the relationship has been somewhat weaker in recent years, which might be related to the recent job-intensive growth in the wake of structural reforms after the global financial crisis and particularly the subsequent European debt crisis. When investigating whether various expenditure components of GDP may cause different unemployment reactions, an important issue that has not been sufficiently addressed in the literature, we find that domestic demand has a stronger effect. We also provide several robustness checks to our main findings, and illustrate how they might be used to improve forecasting.

Mots clés

  • Disaggregated Okun’s law
  • unemployment
  • expenditure components of GDP

JEL Classification

  • E2
  • E24
  • C22
Accès libre

Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 Challenges

Publié en ligne: 03 Jan 2019
Pages: 209 - 223

Résumé

Abstract

This paper aims to present one possible retail estimation framework of lifetime probability of default in accordance with IFRS 9. The framework rests on “term structure of probability of default” conditional to given forward-looking macroeconomic dynamics. Due to the one of the biggest limitation of forward-looking modelling – data availability, model averaging technique for quantification of macroeconomic effect on default probability is explained.

Mots clés

  • IFRS 9
  • Term Structure of Probability of Default
  • Point in Time Probability of Default
  • Forward-looking
  • Macroeconomic approach
  • Model averaging

JEL Classification

  • G11
  • G23
  • C41

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