Stress-testing US bank holding companies: A dynamic panel quantile regression approach

We propose an econometric framework for estimating capital shortfalls of bank holding companies (BHCs) under pre-specified macroeconomic scenarios. To capture the nonlinear dynamics of bank losses and revenues during periods of financial stress, we use a fixed effects quantile autoregressive (FE-QAR) model with exogenous macroeconomic covariates, an approach that delivers a superior out-of-sample forecasting performance relative to the standard linear framework. According to the out-of-sample forecasts, the realized net charge-offs during the 2007–09 crisis fall within the multi-step-ahead density forecasts implied by the FE-QAR model, but are frequently outside the density forecasts generated using the corresponding linear model. This difference reflects the fact that the linear specification substantially underestimates loan losses, especially for real estate loan portfolios. Employing the macroeconomic stress scenario used in CCAR 2012, we use the density forecasts generated by the FE-QAR model to simulate capital shortfalls for a panel of large BHCs. For almost all institutions in the sample, the FE-QAR model generates capital shortfalls that are considerably higher than those implied by its linear counterpart, which suggests that our approach has the potential to detect emerging vulnerabilities in the financial system.     

A note on the estimation of total weight in chemical balance weighing designs

Summary This paper studies the problem of estimation of the total weight of objects using a chemical balance weighing design under the restriction |L−R| ≤a, whereL andR represent the number of objects placed on the left and right pans, respectively. A lower bound for the variance of the estimated total weight is given and a necessary and sufficient condition for this lower bound to be attained is obtained. Finally, weighing designs for which this lower bound is attainable are constructed.     

A characterization of the gamma process by conditional moments

Summary The gamma process is determined by the form of conditional expectations and conditional variances. Also a new characterization of the gamma law is obtained and then applied to characterize the gamma process among the processes with independent increments.     

When product type experimental design is optimal? Brief survey and new results

In the paper the problem of optimum experimental design for estimating parameters of multivariate regression functions is considered. We address the question: under what conditions one can compose the optimal design from partial designs, obtained by considering partial regressions, which depend on reduced number of variables. After reinterpreting and reviewing briefly existing results we provide some new conditions.     

A Market-Clearing Classroom Experiment

This paper describes a classroom experiment demonstrating the price mechanism and the clearing of markets in an endowment economy. Participants receive random endowments of two goods they may trade in order to maximize a given utility function. A market-clearing price is reached when no mutually beneficial trades are possible. The outcome is truly endogenous, with no reservation prices or willingness to trade imposed on the participants. A problem set allows the participants to study the equilibrium outcome analytically. The experiment can be used in intermediate micro- and macroeconomic courses.     

Einzelbesprechungen

Ohne Zusammenfassung     

Toward the system theory of dependence: Further general theoretical remarks

This paper forms another part of a more extensive study inspired by the authors' aims to contribute to the elaboration of the social systems theory of dependence and to better understand the behavior of the global system of human beings and of its subsystems. The theory of dependence, by elaborating an abstract theoretical model of the dependence space, aims at a better understanding of social change (or resistance to change) on the micro, medium and macro-levels of the social systems. In this paper some features of a crude model have been presented at a high level of abstraction. A minimum set of concepts, such as dependence relation, dependence coupling, dependence boundary, dependence capacity, entropy of behavior, systems need relations and possibilities, etc., have been defined and formalized. Some propositions have been formulated. We hope that, in spite of the high level of abstraction and of an insufficient amount of data supporting our propositions which are based mainly on the general systems taxonomy and on the hypothetical-deductive method, the conclusions will have some heuristic value for further inquiries into the theory of modelling the guidance systems of social processes.