Empirical models of short-term debt and crises: Do they test the creditor run hypothesis?

A positive correlation between short-term debt and crises has been interpreted as evidence in favor of self-fulfilling creditor runs, which have been blamed for financial crises in developing countries. We show that this correlation can also be explained by a standard model of optimal borrowing without creditor runs. In such a model, imposing capital controls on short-term external debt is not Pareto-improving.     

Economic growth, liquidity, and bank runs

We construct an endogenous growth model in which bank runs occur with positive probability in equilibrium. In this setting, a bank run has a permanent effect on the levels of the capital stock and of output. In addition, the possibility of a run changes the portfolio choices of depositors and of banks, and thereby affects the long-run growth rate. These facts imply that both the occurrence of a run and the mere possibility of runs in a given period have a large impact on all future periods. A bank run in our model is triggered by sunspots, and we consider two different equilibrium selection rules. In the first, a run occurs with a fixed, exogenous probability, while in the second the probability of a run is influenced by banks’ portfolio choices. We show that when the choices of an individual bank affect the probability of a run on that bank, the economy both grows faster and experiences fewer runs.     

Does the BRRD affect the retail banking business model in the Euro area?

This paper discusses how the introduction of the Banking Recovery and Resolution Directive (BRRD) in European Union legislation may change the retail banking business model, which is the most prevalent model in Southern European countries. The main point is the treatment of deposits in the BRRD. Uninsured deposits may be written down or converted into equity in case of resolution of a bank. This contrasts with the treatment of other short-term liabilities, in particular repurchase agreements. Short maturity repos are excluded from the bail-in, regardless of their size. Also, liabilities related to securities lending and derivatives are given privileged treatment. It is argued that this will be an advantage for wholesale and investment banks, which use these types of short-term funding largely to finance asset purchases. Moreover, it will severely hit retail banking business models of various types by undermining the trust of depositors in the bank, causing bank runs whenever rumours circulate about financial distress situations, thus increasing its cost of funding and lowering the value of its shares. Therefore, to avoid runs on repos, runs on banks are resurging.     

Gold and silver manipulation: What can be empirically verified?

The issue of gold and silver price manipulation, in particular price suppression, is examined. We use a mixture of normal approach to decompose the returns into abnormal and control samples. Price suppression is a form of market manipulation of the runs type, where longer negative runs with lower returns than expected would be observed. To explore whether this form of manipulation can be empirically detected the length of runs and the total return observed during a run were computed for modelled abnormal and control clusters in gold and silver. In both metals the proportion of negative runs in the abnormal cluster is greater than the proportion of negative runs in the control cluster. In both cases the average return for negative runs is significantly lower in the abnormal cluster than in the control cluster. When average returns over positive runs are compared the abnormal group has significantly higher expected returns than the control group. Given the short maximum run lengths in the abnormal cluster and the fact that positive runs have significantly higher average returns in the abnormal cluster than in the control cluster, it is likely that that the high volatility associated with the abnormal cluster is the driver of the results presented in this study, as opposed to manipulation.     

Private money and bank runs

Abstract This paper studies bank runs in a model with private money. We show that allowing claims on demand deposits to circulate as a medium of exchange can help prevent bank runs. In our model, there exists a unique banking equilibrium where no one demands early withdrawals of real goods and agents in need of liquidity use private money to finance consumption. With private money, the unique equilibrium not only eliminates bank runs but also improves banking efficiency. The implications of our model are consistent with the evidence from the banking history of the United States.     

Herding and bank runs

Traditional models of bank runs do not allow for herding effects, because in these models withdrawal decisions are assumed to be made simultaneously. I extend the banking model to allow a depositor to choose his withdrawal time. When he withdraws depends on his consumption type (patient or impatient), his private, noisy signal about the quality of the bank's portfolio, and the withdrawal histories of the other depositors. Some of these runs are efficient in that the bank is liquidated before the portfolio worsens. Others are not efficient; these are cases in which the herd is misled.     

跨国零售企业本土化战略的成与败——Carrefour与Tesco在韩国市场经营的比较

全球排名第二的国际零售商Carrefour在2006年宣布退出韩国市场,而英国最大的零售企业Tesco则是目前唯一一家在韩国成功运营的大型外国零售商.本文从品牌文化、运作模式、营销技术以及人力资源与营运管理等四个方面比较了两者在韩国市场上不同的本土化战略,分析了两大企业失败与成功的原因.从而得到了满足普通消费者需求,注重解决文化冲突.以合资、合作的方式占领东道国市场等一系列值得中国零售企业学习的经验与启示.     

TOWARD BEHAVIORAL MODELING OF ALASKA GROUNDFISH FISHERIES: A DISCRETE CHOICE APPROACH TO BERING SEA/ALEUTIAN ISLANDS TRAWL FISHERIES

This article implements a discrete choice model of fishery participation in the multispecies trawl fisheries of the Bering Sea/Aleutian Islands Region off Alaska. Nonparametric estimates of the operation-specific moments of quasirent by fishery and week are used to explain probabilities of choosing different target fisheries. There are pronounced risk aversion, seasonal, and relative performance effects. Notably, the model runs with regularly collected data, so this type of discrete choice modeling can be used routinely in the management and policy evaluation process. Improvements are needed, though, in both the quality and the extent of economic data on fisheries in Alaska and elsewhere in the United States. (JEL Q22, C25, Q28)     

Bank Fragility and International Capital Mobility

The paper presents a model of a small open economy with a fragile banking sector and imperfect international capital mobility. In this model, increased international integration of the market for bank deposits makes bank runs more likely, resulting in a welfare loss for the business sector. Bank depositors may gain or lose depending on the parameters. When depositors gain, whether the gains exceed the losses to the business sector depends on the size of the holdings of foreign assets relative to the deadweight costs of bank runs. Thus, limited international financial integration may not be desirable.     

Kaldorian Disaggregation,Temporary Migration and Domestic Welfare

We build a model with two agents: domestic residents and temporary immigrants. The model incorporates Kaldorian disaggregation, with the two groups consuming different goods produced in the economy. It is established that, under certain conditions, an increase in immigrant labor lowers the welfare of the domestic residents. This runs against conventional wisdom that temporary immigration enhances the welfare of domestic residents.     

A dynamic input-output model for investigating alternative futures: Applications to the South African economy

In this article the structure of a dynamic input-output model is developed. Using available time-series data for the South African economy, the model is adapted to describe trends and structural changes that have occured over the past few decades. The model is used to describe the economic consequences of continuing existing trends as well as of possible changes in trends. Conditions for increasing or decreasing economic growth and the supply of consumer goods are investigated. The effects of changing technology as reflected by changing capital/output ratios and input-output coefficients are explored. Model simulation runs indicate that under certain conditions it may be possible to decrease overall economic growth and reduce consumption of resources by considerable margins without reducing the supply of consumer goods.     

Finding invariant structures in Forrester's world dynamics—An analysis by simulation

The authors investigated Forrester's World Dynamics for properties which are invariant with respect to the model, i.e., properties of the prediction curves which are only dependent on the variables inherent in the model. The suspicion that invariant properties exist is confirmable, for example, by making significant changes in the initial conditions and by observing the resulting prediction curves for their qualitative behavior. In the course of extensive investigations carried out on the ICL-1909 computer of the Technical University of Berlin, several examples were encountered which prove certain invariants in Forrester's model. A one-year iteration interval was selected for the simulations that were carried out. Other step-lengths, it turned out, yielded appreciable alterations in Forrester's results. Further, the authors investigated if and when certain limiting values are approached after the year 2100. This is clearly exhibited in the case of some variables. Even for simulations with changed initial values, limiting values result which are similar to those in runs with the original initial values. Simulations with altered Table Functions show that some model variables are impacted by those changes while others are at least qualitatively in accord with their behavior in the original runs.     

基于三期模型框架的噪音交易和有限套利条件下的基金经理投资行为研究

笔者利用三期模型框架,考虑噪音交易和有限套利两个约束条件,构建噪音交易者、基金投资者和长短期套利基金的投资行为模型,分析长、短期套利基金的投资业绩及其差异。研究发现:无论第2期后市场悲观情绪更加恶化或得到改善,短期套利基金的投资行为对基金投资者都是有害的;长期套利基金由于追求长期收益最大化,对基金投资者是有益的;基金投资者可以根据基金经理在第1期的投资行为及其仓位,识别是短期套利基金还是长期套利基金。     

Contagious bank runs

We present a model of the propagation process of bank runs. A bank failure alone is not sufficient to trigger a panic. In accord with the empirical evidence, runs become contagious only during periods of macroeconomic instability. In addition, we make a clear distinction between illiquidity and insolvency as possible causes of bank failures. We also show that, despite the possibility of runs, the deposit contract is superior to autarky.     

Sustainable greenhouse policies: the role of non-CO2 gases

This paper investigates the economic implications of a comprehensive approach to sustainable greenhouse policies, that strives to stabilise the atmospheric concentration of the five major greenhouse gases at an ecologically determined threshold level. Conditions for an efficient allocation of abatement effort among pollutants and over time, are derived within a theoretical optimisation model. This model is empirically specified and adapted to a dynamic GAMS algorithm. Through the use of simulation runs for a time period of 200 years (1990–2190), the economics of greenhouse gas accumulation are explored. Long-run cost associated with the above stabilisation target, are evaluated for two different policy scenarios: a comprehensive approach that covers all major greenhouse gases simultaneously, and a `piecemeal approach' that is limited to reducing CO₂ or a selected subset of greenhouse gases, respectively. By comparing simulation results, potential losses in efficiency associated with a piecemeal approach are evaluated, and policy implications are discussed.     

Run theorems for low returns and large banks

In this paper, we revisit the issue of bank fragility in the Diamond and Dybvig (J Polit Econ 91:401–419, 1983) model with sequential service and finite traders. We provide a precise condition under which banks are susceptible to a run when the return on investment is low, and we show that sufficiently large banks are always susceptible to a run. One interpretation of the condition is that exposure to runs occurs when desire for consumption smoothing or predictability of preference profiles are relatively high.     

Bank incentives, contract design and bank runs

We study the Diamond-Dybvig [Bank runs, deposit insurance, and liquidity, J. Polit. Econ. 91 (1983) 401-419] model as developed in Green and Lin [Implementing efficient allocations in a model of financial intermediation, J. Econ. Theory 109 (2003) 1-23] and Peck and Shell [Equilibrium bank runs, J. Polit. Econ. 111 (2003) 103-123]. We dispense with the notion of a bank as a coalition of depositors. Instead, our bank is a self-interested agent with a technological advantage in record-keeping. We examine the implications of the resulting agency problem for the design of bank contracts and the possibility of bank-run equilibria. For a special case, we discover that the agency problem may or may not simplify the qualitative structure of bank liabilities. We also find that the uniqueness result in Green and Lin [Implementing efficient allocations in a model of financial intermediation, J. Econ. Theory 109 (2003) 1-23] is robust to our form of agency, but that the non-uniqueness result in Peck and Shell [Equilibrium bank runs, J. Polit. Econ. 111 (2003) 103-123] is not.     

An ordered response model of test cricket performance

The paper analyses the prediction of test cricket outcomes using an ordered response model. The results, based on data over the period 1994 to 1999, suggest that the ordered categorized production outcome of test cricket (win, draw, loss) can be explained by simple measures of the batting and bowling labour inputs. For example, across all countries the model correctly predicts 71% of test cricket outcomes. Further, it is found that losses are correctly predicted most often at 81% of the sample but that the model faces its biggest challenge predicting test match draws-only getting 57% of these cases correct. Also analysed are the circumstances in which the model produces incorrect predictions and it is found that the most common events are unsuccessful last innings runs chases; successful last innings runs chases and rain-affected matches. An analysis of failed model predictions in terms of country factors suggests that (relative to all other countries) Pakistan has a higher tendency to be involved in such matches, whereas Sri Lanka has a higher tendency to be involved in matches that are ‘predictable’. A ‘style’ analysis using this model suggests that five test cricket styles are evident. Style I is that of ‘Bowling and Batting Performance’ and describes Pakistan, the West Indies and (perhaps to a lesser extent) Zimbabwe. Style II is that of ‘Batting Performance’ and describes England, New Zealand and (perhaps to a lesser extent) India. Style III is ‘Bowling Performance’ and describes Australia. Style IV is ‘Bowling Performance/Batting Strike Rate’ and describes South Africa. Finally, Style V is ‘Bowling Performance and Strike Rate’ and describes Sri Lanka. Finally, the model is used to analyse which country can claim to be the world champions of test cricket over the sample period. In an initial analysis based on average performance over this period, South Africa has the best claim. However, in a ‘heavyweight title’ contest between South Africa and Australia, Australia has the superior claim.     

The Tax‐smoothing Hypothesis: Evidence from Sweden, 1952–1999

This paper tests Barro's (1979) tax‐smoothing hypothesis using Swedish central government data for the period 1952–1999. According to the tax‐smoothing hypothesis, the government sets the budget surplus equal to expected changes in government expenditure. When expenditure is expected to increase, the government runs a budget surplus, and when expenditure is expected to fall, the government runs a budget deficit. The empirical evidence suggests that the model provides a useful benchmark and that tax‐smoothing behavior can explain about 60 percent of the variability in the Swedish central government budget surplus.