Loan Loss Provisions,Earnings, Capital Management and Signalling: Evidence from Indian Banks1

Abstract

The debate on bank capital regulation has in recent years devoted specific attention to the role that bank loan loss provisions play as a part of the overall minimum capital regulatory framework. The paper examines this issue in the Indian context, exploring the available evidence about bank loan loss provisioning in the Indian context. Using data on Indian banks for 1997–2005, evidence is found in favour of both earnings and capital management by Indian banks.     

缪尔-温特斯指数平滑法在旅游人数预测中的应用研究

通过分析季节性预测法基本理论以及在EXCEL中对1994-2005 年各个季度城镇居民境内旅游的实际人数作初步处理的基础上,采用缪尔-温特斯指数平滑法预测了1996-2005 年的城镇居民各个季度的境内旅游人数,并分析比较了1996-2005 年的预测人数和实际人数,得出了缪尔-温特斯指数平滑法用于预测短期各个季度城镇居民境内旅游人数的条件,并提出了用这种方法预测2006年各个季度城镇居民境内旅游人数的可行性;同时指出,这种方法只适用于短期预测,如果外推的期数过多,则有过高估计的危险.     

Are Revisions to USDA Crop Production Forecasts Smoothed?

This article uses Nordhaus' framework to determine the efficiency of the revision process for USDA corn and soybean production forecasts over the 1970/1971 through 2004/2005 marketing years. Positive autocorrelation and consistency of directional changes in forecast revisions suggest these forecasts are "smoothed." Evidence is provided that the loss in forecast accuracy due to smoothing is statistically and economically significant in several cases. A conservative bias in farm operators' assessments of yield potential and in the procedure for translating enumerator's information about plant fruit counts into objective yield estimates are identified as plausible sources of smoothing.     

Microsimulation of Business Performance

Microsimulation of business performance based on sample survey data is a relatively underdeveloped field, but its application in government economic policy formulation is potentially great since it can be used to measure the distributional effects of change rather than just average change. Techniques which account for the dynamic response of businesses to macro level price expectations have recently been developed (Kokic et al. , 1993). These allow individual level business performance to be forecast from sample survey data. In this paper we outline a general methodology for combining these forecasting techniques with Monte Carlo simulation in order to produce a microsimulation of business performance that accurately captures the true distributional characteristics of the underling survey data. Applying this methodology to Australian farm survey data, we show that these methods may be used to forecast the distribution of farm business production and performance within arbitrary subdomains of the surveyed population conditional on a given set of expected commodity price outcomes. The microsimulations reflect both the uncertainty due to climatic variation from one year to the next, which in the Australian context depends largely on geographic location, as well as the uncertainty of commodity prices.     

BookReview

We compare the bias in binomial trees against that in certain analytical/numerical valuation techniques with which they disagree. We consider the CRR tree, the COS method and the Leisen–Reimer as well as the Prekopa–Szantai exponentially smoothed method. We conclude that the binomial trees are unbiased and that the exponentially smoothed method is biased.     

Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints

The paper estimates a large‐scale mixed‐frequency dynamic factor model for the euro area, using monthly series along with gross domestic product (GDP) and its main components, obtained from the quarterly national accounts (NA). The latter define broad measures of real economic activity (such as GDP and its decomposition by expenditure type and by branch of activity) that we are willing to include in the factor model, in order to improve its coverage of the economy and thus the representativeness of the factors. The main problem with their inclusion is not one of model consistency, but rather of data availability and timeliness, as the NA series are quarterly and are available with a large publication lag. Our model is a traditional dynamic factor model formulated at the monthly frequency in terms of the stationary representation of the variables, which however becomes nonlinear when the observational constraints are taken into account. These are of two kinds: nonlinear temporal aggregation constraints, due to the fact that the model is formulated in terms of the unobserved monthly logarithmic changes, but we observe only the sum of the monthly levels within a quarter, and nonlinear cross‐sectional constraints, since GDP and its main components are linked by the NA identities, but the series are expressed in chained volumes. The paper provides an exact treatment of the observational constraints and proposes iterative algorithms for estimating the parameters of the factor model and for signal extraction, thereby producing nowcasts of monthly GDP and its main components, as well as measures of their reliability.     

THE DECISIONS OF THE SHADOW MONETARY POLICY COMMITTEE AND MONETARY POLICY COMMITTEE SINCE 2002

We analyse the decisions of the Monetary Policy Committee (MPC) and the recommendations of the Shadow Monetary Policy Committee (SMPC) over the period 2002–2011. We find that the SMPC policy recommendations have to a large extent agreed with the policy actions of the MPC on interest rates. We offer some suggestions as to how the recommendations of the SMPC could be enhanced.     

Hierarchical Bayesian Whittaker Graduation

Abstract

The Whittaker method of graduation has been known and used for a long time and has remained popular due to its possession of a number of ideal properties. They include being nonparametric and having an easy to understand foundation. The latter means that it makes sense and thus the user of the method has a good idea of what it can and cannot do. As well, there is a statistical derivation available that uses Bayesian notions. A problem with the derivation is that it is more intuitive than precise and as such does not provide a useful frame of reference for the graduator. Regardless of the point of view, the graduation cannot be completed until the smoothing parameter is selected and this has always relied on the judgment of the analyst.

In this paper, three tasks will be undertaken. The first is to replace the ad-hoc Bayesian derivation of the method with a formal Bayesian specification. The second is to show that with this specification it is possible to complete the graduation without making an arbitrary selection of the smoothing parameter. The third is to provide a Monte Carlo Bayesian approach for the incorporation of constraints in the graduated values. The ideas will be illustrated with a numerical example.     

Nominal versus indexed debt: A quantitative horse race

The main arguments in favor and against nominal and indexed debts are the incentive to default through inflation versus hedging against unforeseen shocks. We model and calibrate these arguments to assess their quantitative importance. We use a dynamic equilibrium model with tax distortion, government outlays uncertainty, and contingent-debt service. Our framework also recognizes that contingent debt can be associated with incentive problems and lack of commitment. Thus, the benefits of unexpected inflation are tempered by higher interest rates. We obtain that costs from inflation more than offset the benefits from reducing tax distortions. We further discuss sustainability of nominal debt in developing (volatile) countries.     

指数平滑法在路面平整度预测中的应用

通过对路面平整度指数IRI随时间发展规律的分析与研究,提出采用指数平滑法来提高预测精度。经工程实例分析表明,使用该模型可以很好地预测路面平整度的发展,是一种有效而实用的方法。