A note on the optimality ofk-stage tests

Summary This note deals with sequential tests requiring at mostk observations. First a lemma is proved concerning the form of Bayes solutions. Then it is demonstrated by giving a counter-example that the theorem ofWald andWolfowitz has no correspondence fork-stage tests.

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Zusammenfassung Es wird gezeigt, daß man beik-stufigen Tests zwar für die Gestalt vonBayes-Lösungen ein Analogon zu den unbeschränkten Sequenztests hat, daß aber der Satz vonWald undWolfowitz über die gleichmäßige Optimalität bzgl. des Stichprobenumfangs keine Entsprechung besitzt.

     

Federal deposit insurance coverage and bank failures: A cointegration analysis with semi-annual data, 1965–91

This study examines empirically the link between bank failures and statutorially created increases in the extent of federal deposit insurance coverage. The model includes such factors as the percentage of deposits at federally insured banks that was covered by federal deposit insurance (FDICOV), the tangible capital/asset ratio, the commercial bank cost of funds, and the prime rate of interest. Using cointegration techniques involving maximum eigenvalue, trace, and likelihood ratio tests, together with semi-annual data for 1965–91, the study reveals that the bank failure rate is cointegrated with FDICOV, the capital/asset ratio, and the commercial bank cost of funds. Accordingly, it is inferred that—consistent with previous studies—the system of federal deposit insurance very likely induced bank failures during the study period.     

A note on invariance of multiple tests

The property of invariance—well-known for a single test problem—is extended to multiple test problems. It is shown that the invariance of the components of a multiple test is necessary and sufficient for the multiple test to be invariant. Furthermore, the invariance of stepwise procedures is investigated. An example is given addressing some related aspects.     

International evidence on the value of deposit insurance

The goal of this paper is to improve our understanding of the costs and benefits of explicit deposit insurance. To this end, we compare the opportunity-cost value of deposit insurance services for a large sample of banks drawn from countries with or without explicit deposit insurance. After correcting for certain bank- and country-specific factors, we find that the existence of explicit deposit insurance raises the opportunity-cost value of deposit insurance, but that the presence of a sound legal system with proper enforcement of rules reduces the adverse effects of explicit deposit insurance on the opportunity-cost value of deposit insurance services. Our findings suggest that moral hazards and other incentive problems created by existing governmental deposit insurance schemes differ in magnitude between different types of banks and among different countries, and that explicit deposit insurance should not be introduced in countries with weak institutional environments.     

我国存款保险制度的建立和完善

本文从我国金融业的现状出发,首先分析了在我国建立存款保险制度的必要性,然后讨论了我国建立存款保险制度可能面临的一些挑战,并提出了若干对策.     

The prevalence and impact of misstated incomes on mortgage loan applications

Misstatement of income on mortgage loan applications (the “liar-loan” problem) is thought to have been a contributor to the boom and bust of mortgage markets. We provide nationwide measurements that reflect the degree to which incomes on mid-2000 home-purchase mortgage loan applications were overstated relative to the actual incomes of mortgage applicants. Our results suggest a substantial degree of income overstatement in 2005 and 2006, one consistent with the average mortgage application overstating income 15–20%. We find the tendency to misstate income was associated with markets with large home-price increases during the boom. There is little support for the proposition that income overstatement played a substantial role in subsequent mortgage defaults.     

A note on using the integrated form of ARIMA forecasts

Forecasts of ARIMA processes are generally made using the Difference Equation form. This is the approach favoured by Box and Jenkins and most subsequent authors. The purpose of this note is to emphasise that the Integrated Form of the forecast enjoys some important advantages derived from its explicit use of the Eventual Forecast Function (EFF). A brief review of the procedures for obtaining all the necessary components of the Integrated Form is given, and a new and direct method is derived for evaluating the extra coefficients necessary when the EFF does not yield the forecasts for all lead times.     

A note on the equivalence of specification tests in the two-factor multivariate variance components model

This note offers a generalization of Hausman and Taylor's equivalence of specification tests in the single-equation variance (error) components model to the two-factor multivariate variance components case. The relationship between the specification tests and the hypothesis test in the model proposed by Mundlak is also discussed.     

浅议信息技术对统计信息的影响

随着现代信息技术的发展 ,对统计信息的生产、存储方式 ,交流及管理都产生了极大影响 ,同时影响了统计信息的多样化和市场化。     

Organisational impact of information technology on the banking and insurance sector in Nigeria

The importance of information technology (IT) in the modern day business transaction cannot be over-emphasised. The impact assessment of the technology on any business is expedient so as to objectively determine its influence on a specific aspect of the organisation. This study therefore assessed the organisational impact of IT on some banks and insurance firms in Nigeria.Eight leading commercial banks and six highly rated insurance firms which have branches in Lagos, the commercial nerve centre of Nigeria, and two other important state capitals, were selected for this study.Data were obtained from both the customers and workers at the banks and insurance firms. The data were analysed using percentage and five-point Likert scale to objectively determine the local and global impacts of IT on the banks and insurance firms.The local impact criteria considered are: time savings, error rate reduction, enhanced management decision making, and improved service delivery. On the 5-point likert scale, there was positive impact on IT on the local criteria in the mean range of 1–3 at Lagos and Ibadan with Osogbo having a mean in the range of 3–5 which indicates otherwise. Also, the calculated mean of the IT impact on global criteria such as competitive advantage, high revenue generation, market segmentation and forecasting are in the range of 1–3 for all sampled cites.The study also revealed that there was positive impact of IT on both the induced local and global criteria. The induced local impact criteria identified are competitive advantage, market segmentation, high revenue generation, and forecasting while development of business niche, increased market share and network insecurity constituted the induced global impact criteria.     

A note on the evaluation of long-run investment decisions using the sharpe ratio

This paper reexamines the use of the Sharpe ratio to measure the performance of large and small company stocks along with corporate bonds over different holding periods. It builds on previous research which cites the effects of serial correlation and non-normality in the creation of estimation error in the calculation of the Sharpe ratio. It finds that higher order moments such as skewness and kurtosis are a further source of error that must be accounted for when making inferences about asset performance.     

A note on the impact of the internal organization on the accuracy of the information transmitted within the firm

We investigate the incentives of sales managers to transmit information on demand conditions to headquarters under different organizational structures and its subsequent impact on firm performance. When headquarters determine quantities of production, sales managers' interests are aligned with that of the firm, and reliable information is transmitted. On the other hand, when the authority of decision making on quantities of production is delegated to sales managers, they prefer not to transmit reliable information; consequently, headquarters set transfer prices given poor information about demand. Due to such difference in the quality of the information available to headquarters, a centralized organizational structure frequently leads to the best performance.     

The impact of the early withdrawal option on time deposit pricing

Retail certificates of deposit contain an early withdrawal option allowing investors (depositors) to sell them back to banks in exchange for their face value less a prespecified withdrawal penalty. The Withdrawal Option Pricing Hypothesis posits that this put option is priced by banks and investors, suggesting that, ceteris paribus, CD yields will be lower than Treasury yields and that CD-Treasury yield spreads vary over time in ways predicted by option pricing theory. We show that yield spreads between five-year retail CDs of at least $90,000 and comparable maturity Treasuries are generally negative, despite reasons why CDs should provide higher yields than Treasuries. We also show that changes in the spread are negatively related to expected interest-rate levels (represented by the slope of the yield curve), negatively related to levels of interest rates (represented by the short-term riskless rate), and negatively related to expectations of interest-rate volatility (represented by implied volatility from exchange traded options).     

The impact of prudential toolkits on loan growth in Central and Eastern European banking systems

This paper examines the effects of prudential policy on loan growth in 11 Central and Eastern European banking systems, spanning the period from 2000 to 2015. Based on the measures taken by the authorities of our sample countries, we build several prudential indices. Additionally, we control for the effects of several country-specific factors and bank-specific characteristics. Finally, we test the homogeneity of these effects, accounting for cycle, ownership, and bank effects. Generally, the empirical findings reveal a negative correlation between prudential toolkits and credit growth, with a conspicuous impact for tools targeting lending activity. We see that the effects of a change in the lending framework on loan growth are heterogeneous when we account for crisis and cycle patterns. Furthermore, the interaction between ownership and crisis reveals that, in normal times, foreign banks recorded higher loan growth compared to domestic banks. The opposite is true in turbulent times. The analysis of interactions between credit-based measures and bank-specific variables show that the effects of prudential actions depend on the bank size and leverage.     

Pierce and Haugh on characterizations of causality: A re-examination

This paper amends the set of equivalent necessary and sufficient conditions under which y does not cause x, provided by Pierce and Haugh (1977).     

Predicting the failures of prediction markets: A procedure of decision making using classification models

Prediction markets have been an important source of information for decision makers due to their high ex post accuracies. Nevertheless, recent failures of prediction markets remind us of the importance of ex ante assessments of their prediction accuracy. This paper proposes a systematic procedure for decision makers to acquire prediction models which may be used to predict the correctness of winner-take-all markets. We commence with a set of classification models and generate combined models following various rules. We also create artificial records in the training datasets to overcome the imbalanced data issue in classification problems. These models are then empirically trained and tested with a large dataset to see which may best be used to predict the failures of prediction markets. We find that no model can universally outperform others in terms of different performance measures. Despite this, we clearly demonstrate a result of capable models for decision makers based on different decision goals.     

A note on the microeconomics of migration

"The purpose of this note is to demonstrate in a simple model that an individual's migration from a small town to a large city may be rationalized purely by a consumption motive, rather than the motive of obtaining a higher income. More specifically, it is shown that in a large city an individual may derive a higher utility from spending a given amount of income than in a small town." A formal model is first developed that includes the principal forces at work and is then illustrated using a graphic example. The theoretical and empirical issues raised are considered in the concluding section.     

A model of fractional cointegration, and tests for cointegration using the bootstrap

The paper proposes a framework for modelling cointegration in fractionally integrated processes, and considers methods for testing the existence of cointegrating relationships using the parametric bootstrap. In these procedures, ARFIMA models are fitted to the data, and the estimates used to simulate the null hypothesis of non-cointegration in a vector autoregressive modelling framework. The simulations are used to estimate p-values for alternative regression-based test statistics, including the F goodness-of-fit statistic, the Durbin–Watson statistic and estimates of the residual d. The bootstrap distributions are economical to compute, being conditioned on the actual sample values of all but the dependent variable in the regression. The procedures are easily adapted to test stronger null hypotheses, such as statistical independence. The tests are not in general asymptotically pivotal, but implemented by the bootstrap, are shown to be consistent against alternatives with both stationary and nonstationary cointegrating residuals. As an example, the tests are applied to the series for UK consumption and disposable income. The power properties of the tests are studied by simulations of artificial cointegrating relationships based on the sample data. The F test performs better in these experiments than the residual-based tests, although the Durbin–Watson in turn dominates the test based on the residual d.