The Demand for Federal Home Loan. Bank Advances by Thrift Institutions: Some Recent Evidence

This paper develops a model of the demand for Federal Home Loan Bank (FHLB) advances by thrift institutions. It expands on a model developed in Kent [1983] by accounting for net worth in the balance sheet constraint and for borrowing in excess of the "advances limit." The demand equation is estimated using pooled time-series and cross-sectional data for individual thrift institutions over the period 1979–1986. The results indicate that in addition to the traditional use of advances as a source of liquidity, advances are a particularly attractive source of funds for poorly capitalized institutions. Further, thrifts' demand for advances is responsive to the price of advances, mortgage interest rates, the dividend rate on FHLB stock, and rates on substitute sources of funds.     

THE EFFECT OF PROJECT RISK ON CAPITAL RATIONING UNDER UNCERTAINTY

The purpose of this paper is to investigate the effect of project risk on capital rationing with uncertain budgetary constraints. We reflect project risk by the standard deviation of cash flows. The problem is formulated in a stochastic linear programming with simple recourse (SLPSR) framework. In a sample problem, we vary the level of project risk and allow the probability distribution for the right-hand side constraints to be either symmetric or left skewed. We demonstrate that SLPSR yields superior solutions to an equivalent deterministic formulation and that risk aside, the borrowing rate is an important factor in determining the optimal solution vector. Moreover, we show that low project risk can compensate for higher borrowing costs and that the presence or absence of probability distribution asymmetry may not be an important issue.     

基于Node.js中间层Web开发的研究与实现——以微信图书借阅平台为例

针对Web研发领域一直面临前后端耦合问题,在充分分析传统的互联网前后端Web软件开发的基础上,提出了引入Node.js作为中间层来解除前、后端之间耦合关系的新解决方案。设计了新的架构模式指导Web软件开发,从而达到提高开发效率、提升代码灵活性、明确开发人员工作职责等目的。基于此研究,真实开发了一个基于微信的图书借阅平台,并以此作为可行性检验的依据,该图书借阅平台使用微信作为前端执行环境,提供图书借阅、图书归还、图书入库、图书浏览功能。系统采用B/S架构,Node.js中间层和后端程序在服务器中运行,用户关注微信公众号后,可以通过微信聊天窗口接收服务器端讯息,也可以通过公众号菜单导航到前端界面,完成图书借阅分享操作,交互方式高效简洁。     

RECONSIDERING THE SUNK-COST CONCEPT

This paper presents a decision procedure to aid in making capital rationing investment and borrowing decisions. Weingartner's Basic Horizon Model and Oakford and huesen's Maximum Prospective Value criterion are both extended to explicitly include long-term borrowing decisions. Information derived from interviews with financial executives on the subject of business attitudes toward borrowing is used to develop the conceptual logic of the decision procedure, which is presented in terms of a mathematical programming formulation.     

Are Adjustable‐Rate Mortgage Borrowers Borrowing Constrained?

Past research argues that changes in adjustable‐rate mortgage (ARM) payments may lead households to cut back on consumption. These outcomes are more likely if ARM borrowers are borrowing constrained, and we show in this article that ARM borrowers exhibit attitudes toward borrowing and behavior that are consistent with being borrowing constrained. Although the demographic and financial characteristics of ARM and fixed‐rate mortgage (FRM) borrowers are somewhat similar, ARM borrowers differ from FRM borrowers in their uses of credit and attitudes toward it. In addition, we find the consumption growth of households with an ARM is more sensitive to past income than the consumption growth of other households, suggesting the ARM borrowers may be subject to borrowing constraints that hinder their ability to smooth consumption.     

Estimation of Mortgage Defaults Using Disaggregate Loan History Data

This paper addresses, theoretically and empirically, the structure of influences affecting the default option in mortgage contracts. A formal theoretical model recognizes that a number of loan and non-loan related effects beyond equity in the unit could influence the default decision. These include 1) payment levels relative to income, which could displace other investment opportunities or cause a need for borrowing or sale to meet mortgage obligations; 2) current and expected neighborhood and housing market conditions, in particular the expected relative rate of appreciation of the unit and the relative cost of homeownership; 3) economic conditions; 4) wealth; 5) borrower characteristics proxying for variability in income or "crisis" events; as well as 6) transactions costs incurred upon default. Estimates of the model making use of a micro-level sample of individual loan histories over a twelve year period, supplemented by longitudinal census and economic information, find a number of these "other" effects important. Simulations find several of them to dominate the equity effect on default and to help explain why some households with zero or negative equity may not default, while others with positive equity may. The implications of these results for appropriate specification of the pricing model describing the default option and for appropriate underwriting of AMIs are noted.     

Credit Restrictions and the Market for Commercial Real Estate Loans

This paper develops a model of the market for commercial real estate loans based on the variables used by investors and lenders in property decision-making: the income capitalization (cap) rate, the debt-coverage ratio and the loan-to-value ratio. Empirical results for aggregate United States real estate originations and commitments for 1970–93 indicate that loan demand is sensitive to the cap rate and to building permit issuance. The dominant criterion used by lenders is the debt-coverage ratio as opposed to the loan-to-value ratio, a finding which may have implications for underwriting standards and credit policy.     

Integrating Illiquid Assets into the Portfolio Decision Process

We consider the issues associated with modeling the decision to invest in an illiquid asset, such as real estate, over an extended period of time. Markets for illiquid assets tend to display certain characteristics: for example, significant time‐till‐sale and correlation in the rates of return over time. More importantly, as the liquidity of a market cannot be an issue if an investor never needs to liquidate an asset, we focus on how the liquidity of a market interacts with an individual's uncertain need to liquidate. We show that the optimal strategy is state contingent, if possible. We also show that the penalty associated with an illiquid investment depends on the characteristics of other assets being held in the portfolio, on the characteristics of liquidity shocks and on the interaction between time and behavior. We show that borrowing to pay for a liquidity shock cannot overcome all of the costs of owning an illiquid asset. In contrast, borrowing at t = 0 benefits from the complementarity in the assets. In a simpler model, we show that the portfolio perspective makes illiquid assets more valuable to an investor with a longer time horizon.     

投资过热的体制性原因探析

我国当前的固定资产投资率和投资增速已经过高,仅由发展阶段的特殊性已不足以解释我国当前存在的固定资产投资过热问题。从根本上看,是体制问题导致了我国投资过热或投资规模的虚增。必须深化经济体制改革,特别是要加快推进政府职能改革,以消除投资过热赖以产生的体制性根源。     

实施管杆分类管理 确保下井管杆质量

为更好地发挥管杆的使用价值,确保质量,延长检泵周期,中原油田采油一厂积极探索管杆管理的新思路,新办法。在借鉴国内油田先进管理经验的基础上,制定了管杆分年限、分类、分级使用管理的新办法。该管理办法是管杆管理的新模式,是有效解决管杆管理问题的新途径。     

Determinants of Multifamily Mortgage Default

Option–based models of mortgage default posit that the central measure of default risk is the loan–to–value (LTV) ratio. We argue, however, that an unrecognized problem with extending the basic option model to existing multifamily and commercial mortgages is that key variables in the option model are endogenous to the loan origination and property sale process. This endogeneity implies, among other things, that no empirical relationship may be observed between default and LTV. Since lenders may require lower LTVs in order to mitigate risk, mortgages with low and moderate LTVs may be as likely to default as those with high LTVs. Mindful of this risk endogeneity and its empirical implications, we examine the default experience of 495 fixed–rate multifamily mortgage loans securitized by the Resolution Trust Corporation (RTC) and the Federal Deposit Insurance Corporation (FDIC) during the period 1991–1996. The extensive nature of the data supports multivariate analysis of default incidence in a number of respects not possible in previous studies. Consistent with our expectations, we find that LTV evidences no relationship to default incidence, while the strongest predictors of default are property characteristics, including three–digit ZIP code location and initial cash flow as reflected in the debt coverage ratio. The latter results are particularly interesting in that they dominated the influence of postorigination changes in the local economy.     

A NEW PERSPECTIVE ON MULTIPLE INTERNAL RATES OF RETURN

The most commonly cited drawback to using the internal rate of return to evaluate deterministic cash flow streams is the possibility of multiple conflicting internal rates, or no internal rate at all. We claim, however, that contrary to current consensus, multiple or nonexistent internal rates are not contradictory, meaningless or invalid as rates of return. There is, moreover, no need to carefully examine a cash flow stream to rule out the possibility of multiple internal rates, or to throw out or ignore “unreasonable” rates. What we show is that when there are multiple (or even complex-valued) internal rates, each has a meaningful interpretation as a rate of return on its own underlying investment stream.It does not matter which rate is used to accept or reject the cash flow stream, as long as one identifies the underlying investment stream as a net investment or net borrowing. When we say it does not matter which rate is used, we mean that regardless of which rate is chosen, the cash-flow acceptance or rejection decision will be the same, and consistent with net present value.     

Order release planning with clearing functions: A queueing-theoretical analysis of the clearing function concept

We consider the problem of planning future order releases in hierarchical production planning and control systems. An established research direction is the clearing function concept: the planned material flow through a production unit is modelled by inventory balance equations for WIP and final products, and the consequences of the stochastic properties of the material flow are modelled by clearing functions, which is the functional relationship between the level of WIP and the maximum output of a work centre in a period.Using a transient M/M/1 model, our paper shows that the usual definition of a nonlinear clearing function suffers from substantial shortcomings concerning both the definition of the function and empirical estimation of its parameters. We propose an alternative transient clearing function and derive a procedure for its parameterization.     

基于DRAGAN的通信信号波形生成技术

为了解决非合作通信情况下,具有特定帧结构的复杂信号难以重构问题,设计了一种利用深度无悔分析生成对抗网络(deep regret analytic generative adversarial networks,DRAGAN)重构信号的方法.首先利用无悔算法(no-regret algorithms)对判别器损失函数进行...     

UK Fixed Rate Repayment Mortgage and Mortgage Indemnity Valuation

We use a mean-reverting interest rate model and a lognormal house price diffusion model to evaluate British fixed rate repayment mortgage contracts with (embedded) default and prepayment options. The model also provides values for capped mortgage indemnity guarantees and the corresponding (residual) lender's coinsurance. Since the partial differential equation incorporating the general features of these mortgage contracts does not have a closed-form solution, an explicit finite difference method is used for the valuation (and sensitivity) results, with solution improvements to deal with error bounds. Then we provide graphical representations of each mortgage component as a function of house prices and interest rate levels, along with interpretations of the analysis. We calculate precisely the lender's (residual) exposure to house price risk, given the borrower's options, house and interest rate uncertainty, and customary mortgage indemnity insurance for high loan/collateral ratio mortgages.     

Average Internal Rate of Return and Investment Decisions: A New Perspective

The internal rate of return (IRR) is often used by managers and practitioners for investment decisions. Unfortunately, it has serious flaws: (1) multiple real-valued IRRs may arise; (2) complex-valued IRRs may arise; (3) the IRR is, in general, incompatible with the net present value (NPV) in accept/reject decisions; (4) the IRR ranking is, in general, different from the NPV ranking; (5) the IRR criterion is not applicable with variable costs of capital. The efforts of economists and management scientists in providing a reliable project rate of return have generated over the decades an immense bulk of contributions aiming to solve these shortcomings. This article offers a complete solution to this long-standing unresolved issue by changing the usual perspective: the IRR equation is dismissed and the evaluator is allowed to describe the project as an investment or a borrowing at his discretion. This permits showing that any arithmetic mean of the one-period return rates implicit in a project reliably informs about a project's profitability and correctly ranks competing projects. With such a measure, which we call average internal rate of return, complex-valued numbers disappear and all the above-mentioned problems are wiped out. The economic meaning is compelling: it is the project return rate implicitly determined by the market. The traditional IRR notion may be found as a particular case.     

Civil antitrust sanctions and cartel stability

A simple model is used to examine the effects of accumulating civil damage liability on the stability of collusive agreements. We demonstrate that all collusive agreements have a built-in upper bound wherein it is no longer profitable to continue collusive activity. A consequence of this upper bound is that the well known "final period problem" comes into play leading to cartel instability. A modification of the initial model demonstrates how a statute of limitations on antitrust actions can mitigate or eliminate the final period problem. Finally, we discuss how the statute of limitations works in practice.     

Optimal production–inventory strategies for a HMMS-type reverse logistics system

The aim of the paper is to find optimal inventory policies in a reverse logistics system with special structure. It is assumed that demand is a known continuous function in a given planning horizon and return rate of used items is a given function. There is a constant delay between the using and return process. We investigate two stores. The demand is satisfied from the first store, where the manufactured and remanufactured items are stored. The returned products are collected in the second store and then remanufactured or disposed. The costs of this system consist of the quadratic holding costs for these two stores and the quadratic manufacturing, remanufacturing and disposal costs.The model is represented as an optimal control problem with two state variables (inventory status in the first and second store) and with three control variables (rate of manufacturing, remanufacturing and disposal). The objective is to minimize the sum of the quadratic deviation from described inventory levels in stores and from described manufacturing, remanufacturing and disposal rates. In this form, the model can be considered as a generalization of the well-known Holt et al. (Planning Production, Inventories, and Work Forces, Prentice-Hall, Englewood Cliffs, NJ, 1960) model with two warehouses. After solving the problem, we give some numerical examples to represent the optimal path in dependence of the demand rates.     

Optimal stopping and restarting production times for an EOQ model with deteriorating items and time-dependent partial backlogging

Yan and Cheng (J. Operational Res. Soc. 49 (1998), 1288–1295) presented a general production–inventory model with production rate, product demand rate and deterioration rate, all considered as functions of the time. Their model allows for shortages and partial backlogging of the unsatisfied demand at a constant rate. In this paper, we extend the results of Yan and Cheng to cover the case where the backlogging rate is a time-dependent function and we propose an algorithm for the solution of this problem. We also propose some conditions which we believe to be necessary for the validity for some of Yan's and Cheng's statements. The paper closes with numerical examples which cover each one of the cases considered in the paper.     

Lot sizes in a capacity constrained facility—a simulation study of stationary stochastic demand

This paper considers the scheduling of several different items on a single machine, in literature known as the economic lot scheduling problem, ELSP. One of the characteristics of this problem is that the demand rate is deterministic and constant. However, in a practical situation demand usually varies. In this paper we examine if a deterministic model can be used if demand is stationary stochastic. A dynamic programming approach from Bomberger (Manage. Sci. 12(11) (1966) 778) and a heuristic method from Segerstedt (Int. J. Production Econom. 59(1–3) (1999) 469) are used to calculate lot sizes for four items. The production of these items is simulated with different variations in demand rates. Our conclusion is that a deterministic model of this kind can be used in a practical situation where the demand rate is stationary stochastic, but the models must be complemented by a decision rule; which item to produce and when to produce it. In our tests the heuristic method and the dynamic programming approach perform rather similarly with respect to costs and inventory levels, but the dynamic programming approach results in more backorders when there is small variation in demand rates. This study indicates that the model used for determination of lot sizes is of less importance than the decision rule used for identification of the item to produce and when to produce it.