Corporate Default Prediction Model Averaging: A Normative Linear Pooling Approach

Focusing on credit risk modelling, this paper introduces a novel approach for ensemble modelling based on a normative linear pooling. Models are first classified as dominant and competitive, and the pooling is run using the competitive models only. Numerical experiments based on parametric (logit, Bayesian model averaging) and nonparametric (classification tree, random forest, bagging, boosting) model comparison shows that the proposed ensemble performs better than alternative approaches, in particular when different modelling cultures are mixed together (logit and classification tree). Copyright © 2016 John Wiley & Sons, Ltd.     

A New Framework to Estimate the Near-Term Path of the Fed Funds Rate

We propose a forward-looking method to estimate the path for the federal funds target rate. We utilize six-month out probabilities of inflationary and disinflationary pressures, along with a labor market index, to estimate the fed funds rate. We further suggest that due to the changing nature of economies and impending risks to the economic outlook, a time-varying method (consistent with the nature of risks) would help decision makers to improve effective decision making. Our econometric results suggest disinflation (or disinflationary pressure), not inflationary pressure, best explains fed funds rate movements from the 1990s forward. Based on June 2016 data, there is a 55 percent chance that the inflation rate would stay below 1.5 percent during the next six months. The recent higher disinflationary pressure probability may be one reason the FOMC has repeatedly lowered its path for the fed funds rate. Unfortunately, the low-inflation zombie is real.     

Is Predicting Recessions Enough?

We propose an ordered probit framework to simultaneously predict the probabilities of recession, weaker recovery, and stronger recovery. Our approach helps identify (a) whether the next phase is a recession, (b) when the recovery period starts, and (c) whether the recovery would be a weak or strong one compared to historical standards. We believe our approach would help policy makers decide when would be appropriate to (1) start expansionary policies (higher probabilities of recession), (2) continue expansionary policies (higher probabilities of weaker recovery), or (3) turn to neutral/contractionary policies (higher probabilities of stronger recovery). The ordered probit model shows the probabilities of recession staying above 50 percent during all five recessions in our simulated out-of-sample analysis of 1980:Q1–2016:Q1. The probabilities of weaker recovery are consistent with actual periods of below trend growth. Based on 2016:Q1 data, the model suggests a meaningfully higher chance of continuing below trend growth. One key result is that the probability of weaker growth has been persistently higher than the other two scenarios for the past several years. These higher probabilities of weak growth are consistent with the accommodative monetary policy stance of the past eight years.     

The entrepreneurial motivation in academia: a multidimensional construct

In this paper we propose a model to analyse the motivation of academic entrepreneurs that comprises six dimensions: personal, relating to the entrepreneurial opportunity, to scientific knowledge, to the availability of resources, to the incubator organization, and to the social environment. The model is tested based on information from a survey administered to 152 Spanish academic entrepreneurs. Our results show that entrepreneurial opportunity is not part of the entrepreneurial motivation, but is of the utmost importance to academic entrepreneurs. Also, we find the scientific knowledge is the main driver of entrepreneurial activity in the academia.     

Optimal investment models with vintage capital: Dynamic programming approach

The dynamic programming approach for a family of optimal investment models with vintage capital is here developed. The problem falls into the class of infinite horizon optimal control problems of PDE’s with age structure that have been studied in various papers (12, 11, 33 and 35) either in cases when explicit solutions can be found or using Maximum Principle techniques.     

Opening and linking up: firms,GVCs, and productivity in Latin America

This work explores the relationship between exports, global value chains (GVCs)’ participation and position, and firms’ productivity. To this aim, we combine the most recent World Bank Enterprise Survey in Latin American and Caribbean (LAC) countries with the Organisation for Economic Co-operation and Development and World Trade Organization trade in value-added data. To explore the above relationship, we adopt an extended version of the standard Cobb-Douglas output function including indicators of export performance and GVCs. We control for heterogeneity among firms (by country, region, and industry), sample selection, firms’ characteristics, and reverse causality. Our empirical outcomes confirm the presence of a positive relationship between participation in international activities and firm performance. They also show that both participation in GVCs and position within GVCs matter. These findings have strong policy implications and may help policymakers in choosing the best policy options to enhance the link between GVCs’ integration and firms’ productivity.     

Labour Migration,Food Expenditure,and Household Food Security in Eastern Indonesia

This paper investigates the impact of migration on the food expenditure and household food security status of migrant‐sending households using data from eastern Indonesia. We find that migration significantly increases food expenditure and overall household expenditure. Combining the food frequency and food consumption module of the Indonesia Family Life Survey (East), this paper shows that having at least one migrant in the family increases the composite index of Food Consumption Score, as well as the family's food security. Evaluation of food diversity also shows that migration increases expenditure on six out of ten food groups.     

Decomposing productivity patterns in a conditional convergence framework

In this study we examine regional data on per worker GDP, disaggregated at sectoral level, by focusing our interest on the role of differences in the sectoral composition of activities, and in productivity gaps that are uniform across sectors, in explaining the catching-up process, which is realized through physical and human capital as well as technological knowledge accumulation. Our objective is to investigate how much of the interregional inequality in aggregate productivity per worker is imputable to each component. A methodology for identifying and analyzing sources of inequality from a decomposed perspective is developed in the growth framework by combining a shift-share based technique and a SUR model specification for the conditional-convergence analysis. The proposed approach is employed to analyze aggregate interregional inequality of per worker productivity levels in Italy over the period 1970–2000. With respect to the existing empirical results, our approach provides a more comprehensive and detailed examination of the contribution of each identified component in explaining the regional productivity gaps in Italy. It is argued that region-specific productivity differentials, uniform across sectors, explain a quite large share of differences in productivity per worker. However, sectoral composition plays a non negligible role, although decreasing since the end of 1980s, and very different productivity patterns emerge within geographical areas.

An economic evaluation attached to a single-centre,parallel group,unmasked, randomized controlled trial of a 3-day intensive social cognitive treatment (can do treatment) in patients with relapsing remitting multiple sclerosis and low disability

Abstract

Aims: This trial-based economic evaluation (EE) assesses from a societal perspective the cost-effectiveness of an intensive 3-day cognitive theory-based intervention (CDT), compared to care-as-usual, in patients with relapsing remitting multiple sclerosis (RRMS) and low disability (Expanded Disability Status Scale [EDDS] score < 4.0).

Materials and methods: The trial of the EE was registered in the Dutch Trial Register: Trial NL5158 (NTR5298). The incremental cost-effectiveness ratio (ICER) was expressed in cost on the Control sub-scale of the Multiple Sclerosis Self-Efficacy Scale (MSSES) and the incremental cost-utility ratio (ICUR) in the cost per Quality Adjusted Life Years (QALY) using the EQ-5D-5L. Bootstrap, sensitivity, and sub-group analyses were performed to determine the robustness of the findings.

Results: The two groups of 79 patients were similar in baseline characteristics. The base case ICER is situated in the northeast quadrant (€72 (40.74/€2,948)) due to a higher MSSES Control score and higher societal costs in the CDT group. The ICUR is situated in the northwest (inferior) quadrant due to losses in QALY and higher societal costs for the CDT group (?0.02/€2,948). Overall, bootstrap, sensitivity, and sub-group analyses confirm the base case findings. However, when the SF-6D is used as a study outcome, there is a high probability that the ICUR is situated in the northeast quadrant.

Limitations: The relative short follow-up time (6?months) and the unexpected increase in MSSES Control in the control group.

Conclusions: When using the EQ-5D-5L to calculate a QALY, CDT is not a cost-effective alternative in comparison to care as usual. However, when using self-efficacy or SF-6D as outcomes, there is a probability that CDT is cost-effective. Based on the current results, CDT for patients with RRMS clearly show its potential. However, an extended follow-up for the economic evaluation is warranted before a final decision on implementation can be made.