CEO incentives and bank risk

We investigate the relationship between CEO compensation and bank default risk predictors to determine if short-term incentives can explain recent excesses in bank risk. We investigate early warning off-site surveillance parameters and expected default frequency (EDF) as well as crisis-related risky bank activities. We find only modest evidence that CEO compensation structures promote significant firm-specific heterogeneity in bank risk measures or risky activities. Compensation elements commonly thought to be the riskiest components, unvested options and bonuses, are either insignificant or negatively correlated with common risk variables, and only positively significant in predicting the level of trading assets and securitization income.     

Firm heterogeneity and technology transfers to local suppliers: Disentangling the effects of foreign ownership,technology gap and absorptive capacity

In this paper, I present novel microeconomic evidence on the effects of firm heterogeneity on the creation and impact of technology transfers from foreign direct investment (FDI) to local suppliers in a developing country setting. The main findings are threefold. First, FDI firms are significantly more involved in knowledge transfer activities than domestic producer firms. In particular, FDI firms offer more technological support, support with a direct positive impact on production processes of local suppliers. Second, the type of ownership also influences the effect of the technology gap on technology transfers. A large technology gap between a producer firm and its suppliers lowers the provision of support; however, FDI firms offer more technological support to their suppliers of material inputs when the technology gap is large. Independent of the support that the suppliers receive, foreign ownership of client firms and a large technology gap make it more likely that suppliers experience large positive impacts. Third, the level of absorptive capacity of local suppliers is also important for the impact of the technology transfers, confirming the notion that heterogeneity among both producer firms and local suppliers affect the level, nature and impact of local technology transfers.     

Investor base and corporate borrowing: Evidence from international bonds

We examine international bond issues by US firms to study the benefits of investor taste for cross-border security issuances. We proxy for firms' international investor taste with the fraction of prior international bond holding in firms' domestic and international bonds and find that international investor demand increases with such taste. Moreover, the offering yield spreads on international bonds are lower than domestic offering yield spreads for these internationally recognized firms and they have higher probability of issuing internationally. Such international recognition may occur, for instance, if the diversification benefits of adding the security to investor's portfolio outweigh the negative effects of higher renegotiation costs for international compared to domestic investors.     

FDI inflow as an international business operation by MNCs and economic growth: An empirical study on Turkey

The issue of foreign direct investment (FDI) has been affecting the world economy for years and is a considerable subject for both developed and developing countries. FDI is the fixed form of international business operation made across the national borders made mostly by the multi national corporations (MNCs). The positive impact of FDI inflow in a host country is expected to emerge as capital accumulation, technology transfer, know-how acquisition, innovative capacity and economic growth eventually. In this study, it is aimed to address the FDI literature depending on comprehensive international publications and then to analyze the FDI inflow and GDP growth in Turkey with econometric methods.The relation between FDI inflow and GDP growth is analyzed by using the Johansen cointegration test and Granger causality analysis. Afterwards, a regression equation is estimated by using the ordinary least squares method (OLS). Prior to applying the Cointegration test, the stationarity and integration degrees of the series are determined by the augmented Dickey–Fuller test (ADF). Consequently, resting on the results of entire analysis, it is possible to mention that no significant relation is determined between the FDI inflow and GDP growth in Turkey both in the short and long run.     

Behavior of output during currency crises

This paper documents the behavior of output and its association with other macroeconomic variables in 195 episodes of currency crises in developing countries during 1970-2000. We find that about 60% of the crises are contractionary, while the rest are expansionary. Crises are one and a half times more likely to be contractionary in emerging markets than in other developing economies. The number of contractionary crises or their severity does not increase in the 1990s. Economies which experience capital inflows in the years prior to the crisis or an increase in external debt burden during the crisis are more likely to slow down during crises, while those with restrictions on capital flows prior to the crisis or are more open to international trade are less likely to do so. The results are robust to different ways of measuring changes in output during crises.     

Neural Network Simulation and the Prediction of Corporate Outcomes: Some Empirical Findings

Neural Networks (NN's) involve an innovative method of simulating and analysing complex and constantly changing systems of relationships. Originally developed to mimic the neural architecture and functioning of the human brain, NN techniques have recently been applied to many different business fields and have demonstrated a capability to solve complex problems. This paper investigates the use of NN techniques as a tool for the modelling and prediction of corporate bankruptcy and other corporate outcomes. The within and out-of-sample accuracy of trained NNs are compared with those of standard logit and multilogit techniques. The results of the study suggest that, from a pure predictive point of view, NN simulation produces a higher predictive accuracy and is more robust than conventional logit and multilogit models.     

中国银行业创值能力分析--EVA体系对银行经营绩效的考察

中国经济要保持高速、稳定增长,需要进一步提高经济效率,实现质量型增长.其中,关键是资金效率.中国资金运用效率的高低很大程度上取决于占社会资金78%以上的银行业的资金效率.为此,本文应用EVA分析体系来综合系统地分析中国银行业的绩效.分析结果显示,上市银行虽然好于非上市银行,但由于国有商业银行的比重较大,银行业整体创值能力明显较弱.建议以提高国有商业银行资金运用效率为当下改进社会资金运用效率的切入口.     

It happened again: A Minskian analysis of the subprime loan crisis

The advanced countries are now going through the worst crisis since the Depression, but today's dominant current theories and econometric models proved unable to predict the crisis. The paper investigates whether the financial instability hypothesis of Hyman P. Minsky offers a better explanation. Minsky argued that in a period of economic growth and tranquility economic agents are more prone to take risk, and banks are more willing to finance borrowers. Meanwhile, in the course of the boom over-indebtedness and financial innovations make the financial system more fragile, and more exposed to adverse effects. We show that both these effects made themselves felt in the subprime loan crisis. Specifically, the main determinants of the crisis have been the increasing appetite for risk and financial innovations. So, we conclude that, although this crisis differs in some of its features from previous crashes and from Minsky's account, the mechanisms underscored by Minsky were and are nevertheless at work.     

Assessing the effectiveness of the Paulson “teaser freezer” Plan: Evidence from the ABX index

How did investors holding assets backed by subprime residential mortgages react when Treasury Secretary Paulson announced the so-called “teaser freezer” plan to modify mortgages in December 2007? We apply event-study methodology to the ABX index, the only source of daily securities prices in subprime mortgage markets. Our results show that investors initially perceived that the Paulson Plan would improve conditions in subprime housing markets. Specifically, those investors who held the riskiest securities backed by subprime residential housing benefited the most from the Paulson Plan. These findings do not extend to the longer term, suggesting that any positive effects from Paulson Plan were overwhelmed by the continued deterioration in housing markets.     

我国对外贸易政策经济绩效的实证检验

利用我国30年对外开放实践的有关时间序列数据,通过计量回归模型检验,发现传统贸易政策的贸易促进作用并不明显,而利用外资(FDI)却表现出极强的贸易与投资一体化态势。贸易政策作为产业政策的有机组成部分,正是通过推动体制变革和经济结构调整,来促进贸易与宏观经济协同增长。这也进一步佐证了经济结构演进对贸易政策的内生决定作用。     

Renegotiation, collective action clauses and sovereign debt markets

Collective action clauses (CACs) are provisions specifying that a supermajority of bondholders can change the terms of a bond. We study how CACs determine governments' fiscal incentives, sovereign bond prices, and default probabilities in environments with and without contingent debt and IMF presence. We claim that CACs are likely to be an irrelevant dimension of debt contracts in current sovereign debt markets because of the variety of instruments utilized by sovereigns and the implicit IMF guarantee. Nonetheless, under a new international bankruptcy regime like that recently proposed by the IMF, CACs can increase significantly the cost of borrowing for sovereigns, contrary to what is suggested in previous empirical literature.     

A binomial model of Geithner's toxic asset plan

This paper formally models the Public-Private Investment Partnership (PPIP), a plan for U.S. government sponsored purchases of distressed assets. This paper solves both the problem of the asset manager buying toxic assets and the banks selling toxic assets. It solves for the fair market value of toxic assets implied by subsidized toxic asset sales, and it estimates the size of the government's subsidy. Moreover, this paper finds the circumstances under which banks and asset managers will meet at mutually acceptable prices. In general, healthier banks will be more willing sellers of toxic assets than zombies.     

To liberalize or not to liberalize: Political and economic determinants of financial liberalization

Using a sample of 70 emerging market and developing countries, we examine the political and economic factors which affect the government's decision to liberalize the domestic equity markets. We document that the levels of industrialization and financial development, the quality of investor protection, and the level of the government's involvement in the economy are closely associated with the stock market liberalization decision. Furthermore, we find a positive and significant relation between the amount of foreign financial aid received by the governments in emerging market countries and the probability of stock market liberalization.     

克鲁格曼经济思想评述

当代自由经济学派的代表人物——保罗·克鲁格曼,因其在贸易模式上所做的分析工作和对经济活动的区位理论的贡献,被授予2008年度的诺贝尔经济学奖。实际上,克鲁格曼是位严谨而多产的经济学家,独立撰写和编著的书已超过16本,并有数百篇论文和专栏文章面世,其专业著作的内容主要涉及国际贸易及国际金融领域。在国际贸易领域,他建立了新贸易理论,揭示了规模递增条件下的国际贸易规律。在国际金融领域,他对汇率目标区理论和第一代、第三代货币危机理论均有贡献。此外,他也被认为是新经济地理学的开创者之一。     

长期贸易逆差、经济增长与经济周期性波动——1816-1993年英国经济发展史分析

英国近200年的经济发展史表明:禀赋、技术决定了分工方式和贸易结构;长期贸易逆差和长期经济增长负相关,贸易对经济增长的贡献度远远小于其他指标的贡献度;影响英国经济周期性波动的主要因素是科技革命、世界战争和经济危机,科技革命对经济增长的推动快速迅猛并且伴有经济结构质的变化,经济危机和世界战争对物价指数、失业率的影响恰好相反;经济增长过程必然伴随着经济危机和经济周期性波动,这是经济发展的内在基本规律。     

Consumer Response to Package Downsizing: Evidence from the Chicago Ice Cream Market

It is common among producers of consumer packaged goods to reduce the volume of product per package such that the new size replaces the old one. This tactic is commonly referred to as package downsizing. In this article, we investigate the extent to which consumers have different sensitivities to package price and package size in order to shed light on the managerial implications of package downsizing. To do so, we estimate a random utility model of demand to measure consumer response to price and package size using household scanner panel data on bulk ice cream purchases in Chicago. The estimation framework involves modeling household heterogeneity, addressing price endogeneity and accounting for unbalanced choice alternatives. Our main finding is that consumers are less responsive to package size than to price; the demand elasticity with respect to package size is approximately one-fourth the magnitude of the demand elasticity with respect to price. This result implies that marketing managers can use downsizing as a hidden price increase in order to pass through increases in production costs, that is, cost of raw materials, and maintain, or increase, their profits.     

Catalytic finance: When does it work?

In a model of debt crisis caused partly by creditor coordination failure, we show that bailouts that reduce ex post inefficiency will sometimes enhance the incentives for governments to take costly adjustment effort. This model helps us understand a debate about the role of the IMF in catalyzing lending to developing countries.     

中国出口贸易对经济增长贡献率的实证研究:1952-2003年

以国家统计局发布的1952-2003年度统计数据为基础,采用Granger因果关系模型和广义差分回归的方法研究了中国出口贸易与经济增长之间的关系,结果表明:(1)中国出口贸易与GDP之间存在着十分明显的单向因果关系,出口贸易是推动中国经济增长的重要原因;(2)1952-2003年期间,中国出口贸易对经济增长贡献率约为24.1%。     

Testing Baumol: Institutional quality and the productivity of entrepreneurship

Baumol's [Baumol, W.J., 1990. Entrepreneurship: productive, unproductive and destructive. Journal of Political Economy 98 (5), 893–921] theory of productive and unproductive entrepreneurship is a significant recent contribution to the economics of entrepreneurship literature. He hypothesizes that entrepreneurial individuals channel their effort in different directions depending on the quality of prevailing economic, political, and legal institutions. This institutional structure determines the relative reward to investing entrepreneurial energies into productive market activities versus unproductive political and legal activities (e.g., lobbying and lawsuits). Good institutions channel effort into productive entrepreneurship, sustaining higher rates of economic growth. I test and confirm Baumol's theory, and discuss its significance to the literature, economic prosperity, and policy reform.