Measures of multivariate asymptotic dependence and their relation to spectral expansions

Asymptotic dependence can be interpreted as the property that realizations of the single components of a random vector occur simultaneously with a high probability. Information about the asymptotic dependence structure can be captured by dependence measures like the tail dependence parameter or the residual dependence index. We introduce these measures in the bivariate framework and extend them to the multivariate case afterwards. Within the extreme value theory one can model asymptotic dependence structures by Pickands dependence functions and spectral expansions. Both in the bivariate and in the multivariate case we also compute the tail dependence parameter and the residual dependence index on the basis of this statistical model. They take a specific shape then and are related to the Pickands dependence function and the exponent of variation of the underlying density expansion.     

ENDOGENOUS PROCYCLICAL LIQUIDITY,CAPITAL REALLOCATION,AND q

Capital reallocation is procyclical and an economic boom has a cleansing effect by shifting the distribution of firms from low quality to high quality. We explain these facts by modeling search frictions for used capital in the business cycle. The article characterizes the stochastic equilibrium analytically to prove that the liquidity and the price of reallocated capital are procyclical endogenously. We calibrate the model and construct proxies in the data for the unemployment rate of capital and the time on the market. These two variables have a strong positive relationship in both the model and the data.     

The effect of US stress tests on monetary policy spillovers to emerging markets

This paper explores the transmission of US monetary policy through US banks to emerging market economies (EMEs) and the role that stress tests play in this transmission. Data on US banks’ monthly commercial and industrial loan originations shows that: (a) US bank lending to EMEs was sensitive to domestic monetary policy changes during the zero‐lower bound period. (b) Effects of monetary easing were heterogeneous across banks and depended on banks’ stress test results, a proxy for their capital strength. Only banks that comfortably passed the stress tests issued more loans to EME borrowers. (c) Effects of monetary tightening were more similar across banks. (d) Banks shifted their lending to safer borrowers within EMEs in response to monetary easing, leaving the risk of their overall loan books unchanged. These results support the hypothesis that bank capital affects the transmission of easier monetary policy, including across borders. We conjecture that bank lending to EMEs during the zero‐lower bound period would have been even higher had the United States not introduced stress tests for their banks.     

Digitale Integration — Chancen für kleine und mittelständische Unternehmen in Deutschland

Wirtschaftsdienst - Die Nutzung digitaler Technologien zur Entwicklung innovativer Geschäftsmodelle und interner Prozesse bietet kleinen und mittelständischen Unternehmen die...     

Organizational transition management of circular business model innovations

Scholars and practitioners across fields increasingly recognize that business models for the circular economy may be an effective lever for solving ecological persistent problems such as climate change, biodiversity loss, and growing natural resource scarcity. Despite a growing interest in the potential of circular business models, interconnections between the organizational dimensions of firms and their business model innovation processes remain underexplored. Based on problem‐centered expert interviews with business consultants experienced in circular business development, this study creates a conceptual model that offers structured knowledge about why firms steadily reproduce linear BMs and how incumbents manifest themselves as a constant linear‐oriented value creation system. The model also demonstrates organizational conditions and management strategies that frustrate the reproduction of linear BMs and, thus, enable initial moves towards CBM innovation. Building on this, the article provides a set of propositions on how an organizational transition management may be configured and what incumbents require to successfully navigate circular business model innovation. The findings provide a foundation for a contemporary understanding of circular business model transition management, which simultaneously serve as impulses for future research investigations.     

Term structure modelling for multiple curves with stochastic discontinuities

Finance and Stochastics - We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate...     

Assessing Tax Risk: Practitioner Perspectives

This study uses insights from tax practitioners and tax authorities to define and develop an estimate of ex ante tax risk that is independent of common tax outcomes studied in prior literature. Validation tests confirm that our tax risk measure (i) represents the predictable and unpredictable uncertainty inherent in the three sources of tax risk (i.e., economic risk, tax law uncertainty, and inaccurate information processing) and (ii) is a construct different from tax avoidance, tax uncertainty, and general business risk. Using our tax risk measure, we address two research questions of interest to academics and practitioners. First, we examine the association between tax risk and long-run tax avoidance and find a negative association between tax risk and future long-run cash effective tax rates (ETRs). Second, we consider the extent to which unrecognized tax benefits (UTBs) reflect tax risk, tax avoidance, or financial reporting incentives and demonstrate that our tax risk measure explains a substantial portion of UTBs, incremental and relative to measures of information risk, conditional conservatism, unconditional conservatism, and tax avoidance. Our study offers a measure of tax risk that, consistent with the Scholes-Wolfson paradigm, reflects the tax risk inherent in all business activities, not just tax avoidance activities; has unique industry effects; and contributes to our understanding of the factors that affect tax planning decisions and result in variation in firms' ETRs. Our findings will help managers and tax practitioners focus on industry-specific tax risk components, assess risk during tax planning initiatives, exercise caution when engaging in additional risk if ETRs are low, and adapt tax risk strategies to fit specific company needs. We enhance future tax research by improving the definition and measurement of tax risk.     

Fully quantitative predictive maintenance/inspection planning optimization for chemical process plant components

Predictive maintenance/inspection planning and fitness-for-service analyses are being applied more frequently to address the effect of component aging affecting plant reliabibility. Component aging is one of the critical issues in an increasingly competitive environment, especially in plant components built and installed during the 50s and 60s. Maintenance optimization is also a critical issue for components, such as those that operate in the creep regime, and therefore age quickly. Maximizing the value received for each predictive maintenance/inspection dollar is the key. This article introduces the use of decision analysis to unite engineering analysis and economic evaluation for decision making. To illustrate this idea, examples of this approach applied to chemical facility components will be presented. In addition, the concept of priority-ranking multiple component maintenance/inspectio projects having maintenance budget and safety constraints in a way that maximizes Net Present Value, will be presented.     

More Than Rocket Science: A Case for Differentiated Leadership Development

Drawing on the research of Edwin Friedman (2007) in his book, A Failure of Nerve: Leadership in the Age of the Quick Fix, we explain the importance of developing differentiated leadership in groups and organizations of all sizes and types. According to Friedman, the leadership process is plagued by the fallacies of self, expertise, and empathy. These fallacies lead to an over reliance on data, low tolerance of ambiguity, anxiety, and a superficial comfort in togetherness, all of which upset the emotional balance in the leadership process. Using examples from rocket science, biology, and social psychology, we suggest that in order to combat these common dysfunctions, leadership development programs should be aimed at developing leaders who represent a nonanxious, self‐regulating presence. The goal of the current paper is to expand leadership development concepts and ideas to include practices that make groups and organizations more psychologically safe and enriching for all stakeholders.