Understanding the economic determinants of the severity of operational losses: A regularized generalized Pareto regression approach

We investigate a novel database of 10,217 extreme operational losses from the Italian bank UniCredit. Our goal is to shed light on the dependence between the severity distribution of these losses and a set of macroeconomic, financial, and firm‐specific factors. To do so, we use generalized Pareto regression techniques, where both the scale and shape parameters are assumed to be functions of these explanatory variables. We perform the selection of the relevant covariates with a state‐of‐the‐art penalized‐likelihood estimation procedure relying on L₁‐penalty terms. A simulation study indicates that this approach efficiently selects covariates of interest and tackles spurious regression issues encountered when dealing with integrated time series. Lastly, we illustrate the impact of different economic scenarios on the requested capital for operational risk. Our results have important implications in terms of risk management and regulatory policy.     

Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models

This paper provides an approach to estimation and inference for nonlinear conditional mean panel data models, in the presence of cross‐sectional dependence. We modify Pesaran's (Econometrica, 2006, 74(4), 967–1012) common correlated effects correction to filter out the interactive unobserved multifactor structure. The estimation can be carried out using nonlinear least squares, by augmenting the set of explanatory variables with cross‐sectional averages of both linear and nonlinear terms. We propose pooled and mean group estimators, derive their asymptotic distributions, and show the consistency and asymptotic normality of the coefficients of the model. The features of the proposed estimators are investigated through extensive Monte Carlo experiments. We also present two empirical exercises. The first explores the nonlinear relationship between banks' capital ratios and riskiness. The second estimates the nonlinear effect of national savings on national investment in OECD countries depending on countries' openness.     

An extension of the damage model

The damage model was introduced byRao [1963] and is based on the assumption that an original observation is subjected to a destructive process. Rao, examined in detail the case where the distribution of the original observation and the destructive process were Poisson and Binomial respectively with fixed parameters.In this paper we extend the damage model to the case where either the parameter of the Poisson or the parameter of the Binomial is a random variable with a given distribution function (d.f.).     

Human Resource Management Journal: A look to the past,present, and future of the journal and HRM scholarship

This editorial lays out 30 years of history of Human Resource Management Journal (HRMJ), charting the journal's roots, reflecting on HRM scholarship today and guiding authors on potential contributions to the journal in the future. HRMJ has achieved high recognition and ranking internationally since its conception originally as a UK‐based journal. The journal's broad‐based approach to the study of the management of people at work, means it appeals to scholars from a multitude of disciplines, not least of all management, industrial relations, psychology and organisational behaviour. HRMJ is also highly rigorous in its review process, ensuring reliable, interesting and impactful articles that further our knowledge of theory and practice.     

A Simple Model of the Surplus Approach to Value,Distribution, and Growth

The surplus approach to value and distribution represents an older and in this author's opinion much more relevant way to model capitalistic socio‐economic systems than the mainstream neoclassical approach. This essay develops the analytical structure of the surplus approach by tracing its origins to the groundbreaking work of the circular flow concept in the Physiocrats and Quesnay's Tableau Economique, the Classical economists, Marx, and Piero Sraffa. Original archival material from the Sraffa Papers at the Wren Library, Trinity College, University of Cambridge is also presented in support of the thesis advance. Finally, the surplus approach is developed in terms of the distribution and growth nexus.     

Modelling dependence using skew t copulas: Bayesian inference and applications

We construct a copula from the skew t distribution of Sahu et al. ( 2003 ). This copula can capture asymmetric and extreme dependence between variables, and is one of the few copulas that can do so and still be used in high dimensions effectively. However, it is difficult to estimate the copula model by maximum likelihood when the multivariate dimension is high, or when some or all of the marginal distributions are discrete‐valued, or when the parameters in the marginal distributions and copula are estimated jointly. We therefore propose a Bayesian approach that overcomes all these problems. The computations are undertaken using a Markov chain Monte Carlo simulation method which exploits the conditionally Gaussian representation of the skew t distribution. We employ the approach in two contemporary econometric studies. The first is the modelling of regional spot prices in the Australian electricity market. Here, we observe complex non‐Gaussian margins and nonlinear inter‐regional dependence. Accurate characterization of this dependence is important for the study of market integration and risk management purposes. The second is the modelling of ordinal exposure measures for 15 major websites. Dependence between websites is important when measuring the impact of multi‐site advertising campaigns. In both cases the skew t copula substantially outperforms symmetric elliptical copula alternatives, demonstrating that the skew t copula is a powerful modelling tool when coupled with Bayesian inference. Copyright © 2010 John Wiley & Sons, Ltd.     

Urban Distinctions: Class,Culture and Sociability in the City of Porto

This essay employs Pierre Bourdieu's theory of practice and the methodology of Multiple Correspondence Analysis (MCA) to extend the mapping of the dynamic relations between class and culture presented in Bourdieu's Distinction to encompass urban space, drawing on data from a multi‐method research project on the city of Porto, Portugal. We present a detailed analysis of the formation and structure of local social space and show its relevance for the study of the (re)production of urban lifestyles. Differences in the volume and composition of the capital of city residents are identified and shown to underpin the relations between social positions, dispositions and position takings in various realms of cultural consumption. Meaningful configurations of ‘lifestyle modalities’ have clear roots in the city's social space, which in Portugal, as in France, can be interpreted in terms of distinction, pretension and necessity.     

Truncated Product Methods for Panel Unit Root Tests*

This paper proposes two new panel unit root tests based on Zaykin et al. (2002) ’s truncated product method. The first one assumes constant correlation between P‐values and the second one uses sieve bootstrap to allow for general forms of cross‐section dependence in the panel units. Monte Carlo simulation shows that both tests have reasonably good size and are powerful in cases of some very large P‐values. The proposed tests are applied to a panel of real GDP and inflation density forecasts, resulting in evidence that professional forecasters may not update their forecast precision in an optimal Bayesian way.     

Panel Unit‐root Tests for Cross‐sectionally Correlated Panels: A Monte Carlo Comparison*

This paper deals with the finite‐sample performance of a set of unit‐root tests for cross‐correlated panels. Most of the available macroeconomic time series cover short time periods. The lack of information, in terms of time observations, implies that univariate tests are not powerful enough to reject the null of a unit‐root while panel tests, by exploiting the large number of cross‐sectional units, have been shown to be a promising way of increasing the power of unit‐root tests. We investigate the finite sample properties of recently proposed panel unit‐root tests for cross‐sectionally correlated panels. Specifically, the size and power of Choi's [Econometric Theory and Practice: Frontiers of Analysis and Applied Research: Essays in Honor of Peter C. B. Phillips, Cambridge University Press, Cambridge (2001)], Bai and Ng's [Econometrica (2004), Vol. 72, p. 1127], Moon and Perron's [Journal of Econometrics (2004), Vol. 122, p. 81], and Phillips and Sul's [Econometrics Journal (2003), Vol. 6, p. 217] tests are analysed by a Monte Carlo simulation study. In synthesis, Moon and Perron's tests show good size and power for different values of T and N, and model specifications. Focusing on Bai and Ng's procedure, the simulation study highlights that the pooled Dickey–Fuller generalized least squares test provides higher power than the pooled augmented Dickey–Fuller test for the analysis of non‐stationary properties of the idiosyncratic components. Choi's tests are strongly oversized when the common factor influences the cross‐sectional units heterogeneously.     

Simulation Estimation of Two‐tiered Dynamic Panel Tobit Models with an Application to the labour Supply of Married Women: A Comment

We find that the empirical results reported in Chang (Journal of Applied Econometrics 2011; 26 (5): 854–871) are contingent on the specification of the model. The use of Heckman's initial conditions combined with observed and not latent lagged dependent variables leads to a counter‐intuitive estimation of the true state dependence. The use of Wooldridge's initial conditions together with the observed lagged dependent variable and a proper modelling of censoring provides a much more natural estimate of the true state dependence parameters together with a clearer interpretation of the decision to participate in the labour market in the two‐tiered model. Copyright © 2015 John Wiley & Sons, Ltd.     

A note on mean testing for high dimensional multivariate data under non‐normality

A test statistic is considered for testing a hypothesis for the mean vector for multivariate data, when the dimension of the vector, p, may exceed the number of vectors, n, and the underlying distribution need not necessarily be normal. With n,p→∞, and under mild assumptions, but without assuming any relationship between n and p, the statistic is shown to asymptotically follow a chi‐square distribution. A by product of the paper is the approximate distribution of a quadratic form, based on the reformulation of the well‐known Box's approximation, under high‐dimensional set up. Using a classical limit theorem, the approximation is further extended to an asymptotic normal limit under the same high dimensional set up. The simulation results, generated under different parameter settings, are used to show the accuracy of the approximation for moderate n and large p.     

Bias Reduction in Dynamic Panel Data Models by Common Recursive Mean Adjustment*

The within‐group estimator (same as the least squares dummy variable estimator) of the dominant root in dynamic panel regression is known to be biased downwards. This article studies recursive mean adjustment (RMA) as a strategy to reduce this bias for AR(p) processes that may exhibit cross‐sectional dependence. Asymptotic properties for N,T→∞ jointly are developed. When ( log ²T)(N/T)→ζ, where ζ is a non‐zero constant, the estimator exhibits nearly negligible inconsistency. Simulation experiments demonstrate that the RMA estimator performs well in terms of reducing bias, variance and mean square error both when error terms are cross‐sectionally independent and when they are not. RMA dominates comparable estimators when T is small and/or when the underlying process is persistent.     

Creative Mediations of the City: Contemporary Public Art as Compass of Metro Manila's Urban Conditions

In this article, public art is proposed as creative agency mobilized to form urban imaginaries. These alternate visions are largely facilitated by artists and art collectives using urban communities as performative grounds. These projects promote a view of art as an effective channel for ‘recentering’ — the identification of a multitude of centers that endlessly fracture and shift, very much resembling the nature of cities themselves. An alternate vision of the city through cartography informed by contrast, temporality and ephemerality is proposed alongside dominant representations of the city. Works by artists Alma Quinto, Mark Salvatus and Wire Tuazon are representative examples of such strategies. Diverse in tactics and platforms, defined by site‐specific mediations, the projects facilitated by these artists reveal the uneven conditions that beset Metro Manila and its outlying areas. Quinto's altered Urban Plan/Duyan is the result of her engagement with women in an informal settler community in San Andres Bukid, Manila, while Salvatus's web‐based Neo‐Urban Planner is an astute observation of the obsessive yet futile ordering of people and space by the state. Tuazon's Amphibian installation is a commentary on the encroachment of multinational interests in local communities. These interventions are foils to state‐ and private‐led urban development schemes. Their strength lies in their direct engagement with the sphere of public dialogue and self‐determination. These artistic practices and strategies are shaped by community interaction, revealing that meanings residing in urban forms are relentlessly negotiated by the numerous actors that inhabit the city.     

Edith Penrose's (1959) Contributions to the Resource-based View of Strategic Management

ABSTRACT We argue that Rugman and Verbeke (2002 ) underestimate the importance of Penrose's (1959 ) contributions to the modern resource‐based view of the firm. In particular, we take issue with Rugman and Verbeke's (2002 ) arguments concerning Penrose's (1959 ) contributions to our knowledge of: (1) the creation of competitive advantage, (2) sustaining competitive advantage, (3) isolating mechanisms, and (4) competitive advantage and economic rents. In our response, we show that Penrose (1959 ) has both directly and indirectly influenced the modern resource‐based view of strategic management.     

Dale Carnegie's Leadership Principles: Examining the Theoretical and Empirical Support

Dale Carnegie's best‐seller How to Win Friends & Influence People offers advice on leadership, interpersonal relationships, and persuasion. Though profoundly influential, Carnegie's self‐help book—including its nine guiding leadership principles—is based on anecdotes, case studies, and personal examples rather than empirical evidence. Examining the theoretical and empirical support behind Carnegie's leadership principles is essential for leaders to better understand whether to draw upon these principles and, if so, how and when to effectively use them in the workplace.     

Relative Value Relevance of Alternative Accounting Treatments for Unrealized Gains: Implications for the IASB

We investigate the relative value relevance of the alternative accounting methods for unrealized gains on investment properties in New Zealand (NZ). Using both the Likelihood‐ratio test and the F‐test, we find that, while preferred by the NZ standard setter, recognition of unrealized gains in the income statement is not superior to (or significantly different from) recognition of unrealized gains in revaluation reserve in terms of their value relevance. The results are robust to the different research methods we used. Our results have implications for the International Accounting Standards Board in terms of: (i) recognizing changes in fair values of investment properties in the income statement under the revised IAS 40: Investment Property in countries where “realization” refers to net income available for distribution; (ii) its intent to issue a standard on a single statement of comprehensive income; and (iii) its initiative to reduce or eliminate alternative accounting treatments for similar fact situations in its standards.     

The Institution of Hukou‐based Social Exclusion: A Unique Institution Reshaping the Characteristics of Contemporary Urban China

This conceptual article contributes to institutional analysis and the neo‐institutional theory literature by identifying and analysing the linked rules, values, norms and patterned practices that surround and structure the way rural migrant workers are treated in urban areas of China in terms of Scott's integrated model of institutions. It argues that these hukou‐based rules, values, norms and patterned practices that discriminate against rural migrants can be considered to be a unique institution — the institution of hukou‐based social exclusion (IHSE). IHSE has dominated Chinese urban society for 3 decades and significantly shaped the lives of millions of rural migrant workers, the character of contemporary China and the nature of managerial practices among Chinese firms. This is the first article to examine the social exclusion of rural workers from the perspective of neo‐institutionalism, providing the first systematic analysis of the regulative, normative and cognitive dimensions that together socially exclude migrants in urban areas of China. It presents a holistic picture of the newly identified institution that offers new insights into China's urban society and management, and a new starting point for research.     

JUDAISM AND LIBERALISM: ISRAEL’S ECONOMIC PROBLEM WITH ITS HAREDIM

This article argues that, in the arrangements for the public provision of welfare for the poor and a basic education for all in both biblical and post‐biblical times, Judaism is more closely in accord with classical liberalism than it is with those variants of liberalism which favour no more than the minimal night‐watchman state as well as those which favour the extensive welfare states of contemporary Western social democracies. To the extent that Israel's ultra‐orthodox Jews (its Haredim) have been able to secure more by way of state subsidies (through exploiting the leverage their country's national system of proportional representation has given them, which often leaves them holding the balance of power), not only are they endangering Israel's viability as a vibrant, developed liberal democracy, they are also guilty of departing from the religious teachings and tradition of Jewish orthodoxy.     

Knight on Religion and Ethics As Agents of Social Change: An Essay to Commemorate the Centennial of Frank H. Knight's Birth

Abstract . A paradigm is developed in this essay based upon Frank H. Knight's thought in order to provide a foundation for analyzing contemporary moral philosophers’efforts to influence public policy. In honor of Knight's 100th birthday in 1985, the role of religious doctrine and ethics in determining social policy is examined in terms of the exegesis which could have been expected of Frank Knight. Knowledge of Knight's views on religion and ethics provides a provocative means of interpreting and evaluating moralism as a force of social change in today's world.