Short-term wholesale funding and systemic risk: A global CoVaR approach

We use the CoVaR approach to identify the main factors behind systemic risk in a set of large international banks. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find weaker evidence that either size or leverage contributes to systemic risk within the class of large international banks. We also show that asymmetries based on the sign of bank returns play an important role in capturing the sensitivity of system-wide risk to individual bank returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee’s proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk.     

Venture-backed Private Equity Valuation and Financial Statement Information

The relationship between (a) private and public equity market valuations and (b) financial statement information is examined for a sample of 502 venture capital backed companies from six different industries over the 1993–2003 period. Financial statement information explains a sizable component of the levels of and changes in valuation in both the Pre-IPO and Post-IPO periods. The findings support prior research for Post-IPO companies that revenues are value enhancing and costs are value diminishing. For the Pre-IPO period, we find that cost of sales; sales, marketing, general and administrative; and research and development are value enhancing—even when revenues are included in the analysis. This is consistent with costs incurred by early-stage, venture-backed companies having a strong “investment aspect” as the companies build a platform/infrastructure to grow revenue and validate their business model(s). We document the growth of early stage companies for revenues and costs in both calendar time (by round of private equity financing) and event time (relative to their eventual IPO).

Career concerns and peer effects in institutional tournaments: Evidence from ECB reserve currency portfolios

Using data on European Central Bank's (ECB's) reserve currency portfolios, we find that money managers react to relative rankings (i.e., own vs. peers’ performance) by adjusting portfolio active risk levels measured ex ante by actual deviations from their benchmark. This occurs in the absence of explicit incentives as no monetary reward is promised for winning this “tournament” among portfolio managers. We collect information on managers’ characteristics, including age, education, tenure, salary, and career path, and investigate the role played by implicit incentives. We provide evidence that both individual career concerns and institutional peer pressure contribute to the documented relationship between ranking and risk taking.     

PFIs involving multiple public partners: a case study from the Italian healthcare sector

The financial crisis experienced by many countries since 2008 has given new importance to private finance initiatives (PFIs) for providing public services. This paper analyses the relationships between multiple public and private sector actors participating in a PFI in the healthcare sector in order to better understand the motives and behaviour of public and private sector partners. High levels of trust and the active participation of a regulatory body were found to be significant factors in terms of creating a partnership that benefits all sides.     

Bayesian selection of technology assumptions for the transformation from supply-use to input–output tables

ABSTRACT

In the construction of input–output models from supply-use tables, technology assumptions disambiguate how an industry uses inputs in the production recipe of multiple outputs. This paper uses Bayes' theorem to select technology assumptions, taking into account empirical observations. The paper presents a formulation to explore hybrids between product and industry technology assumptions in product-by-product tables. We then present Markov chain Monte-Carlo techniques to implement the Bayesian method for selecting technology assumptions. We apply the method in a case study using Eurostat supply-use tables of 2004 and 2005, exhibiting a volume of secondary products of less than 13%, and 59 products and industries per country. The results show that the choice of technology is not important, given that there is no strong evidence in favour of any of them.     

金属增材制造专用材料发展现状

金属增材制造是一项全新的变革性制造技术,未来发展前景广阔。其下游应用领域尚未完全打开,存在一定的市场风险;我国金属增材制造用中低端材料产能过剩,但以钛、铝材为主的高端材料供给不足,仍然依靠进口,其制备技术基本被国外垄断。基于此,建议国内企业加强研发合作,利用行业内先进的技术资源,加速推进高端金属材料研发进程,同时能有效降低投资风险。     

Inter‐firm R&D collaborations and green innovation value: The role of family firms' involvement and the moderating effects of proximity dimensions

The present paper investigates the relationship between the involvement of family firms in R&D collaborations aimed at developing green solutions and the value of resulting innovations. To dig into this relationship, the moderating effects of two proximity dimensions (i.e., geographical distance and technological relatedness) are also assessed. Analyses are based on a sample of 156 joint patents classified into the “Alternative energy production” field, as defined by the International Patent Classification Green Inventory and successfully filed at the United States Patent and Trademark Office in the period 1997–2010 by publicly listed companies. According to our conjectures, results reveal a positive relationship between the involvement of family firms and green innovation value. Moreover, our findings show that this relationship is hindered when partners are geographically distant or technologically proximate. Eventually, we contribute to the literature on green innovation by unveiling under which conditions inter‐firm R&D collaborations lead to more valuable innovations.     

An application of two-stage quantile regression to insurance ratemaking

Two-part models based on generalized linear models are widely used in insurance rate-making for predicting the expected loss. This paper explores an alternative method based on quantile regression which provides more information about the loss distribution and can be also used for insurance underwriting. Quantile regression allows estimating the aggregate claim cost quantiles of a policy given a number of covariates. To do so, a first stage is required, which involves fitting a logistic regression to estimate, for every policy, the probability of submitting at least one claim. The proposed methodology is illustrated using a portfolio of car insurance policies. This application shows that the results of the quantile regression are highly dependent on the claim probability estimates. The paper also examines an application of quantile regression to premium safety loading calculation, the so-called Quantile Premium Principle (QPP). We propose a premium calculation based on quantile regression which inherits the good properties of the quantiles. Using the same insurance portfolio data-set, we find that the QPP captures the riskiness of the policies better than the expected value premium principle.     

Stock Market Reaction to Monetary Policy: An Event Study Analysis of the Brazilian Case

This article examines the relationship between the monetary policy implemented by the Central Bank of Brazil and the stock market. We implement event study analysis and analyze the effect of the anticipated and unanticipated components of monetary policy decisions on the returns of the IBOVESPA index and 53 stocks. We find that monetary policy has a significant effect on the stock market, but is only responsible for a small proportion of market variation. The analysis at the sector level with expected returns identifies that the financial sector is the most affected by this policy, whereas with excess returns only industrial goods are significantly affected. Moreover, individual assets respond in a rather heterogeneous fashion to monetary policy; however, when we look at excess returns, we identify a reduction in the intensity and in the number of companies impacted by monetary policy. Finally, the monetary shock is explained by unanticipated variations in the unemployment rate, in the Industrial Production Index, in the General Market Price Index, and in the Broad Consumer Price Index.     

Yield curves from different bond data sets

Review of Derivatives Research - It is well known that zero coupon rates are not observable variables. Their estimation process may be cumbersome and time consuming. We explore the extent to which...