Length of time spent in Chapter 11 bankruptcy: a censored partial regression model

This paper investigates original issuers of high yield bonds in Chapter 11 bankruptcy to determine which factors affect the length of time spent in Chapter 11. In order to do this analysis a flexible new duration model is proposed, the censored partial regression model. This model allows consideration of the effect of some variables on the duration using a nonparametric functional form. It is found that the choice of prepackaged Chapter 11, the length of time negotiating before filling for Chapter 11, the profitability, the highly leveraged transactions, the participation on different disputes, the role of vulture funds and some institutional changes turn out to be relevant to analyse this duration.     

Intertemporal preference parameters for some European monetary union countries

In the European Monetary Union, the estimation and analysis of preference parameters in its members is of special interest because possible differences could help us to understand why a common monetary policy could have different effects on the different economies involved. In this article, we have focused our attention on the elasticity of intertemporal substitution, one of the key preference parameters in intertemporal macroeconomic models. Several studies have shown a possible underestimation of such elasticity for different countries. It is common practice to estimate the parameter using only nondurable goods and services consumption data, without referring to the flow of services generated by durable consumption. This is only admissible if the intratemporal utility can be separated among the different consumption components. Our first objective is, therefore, to test the assumption of intratemporal separability for a selection of European countries (Germany, Spain and France), and then to analyse the effect of durable consumption on the estimated values of the intertemporal elasticity of substitution of these countries, our ultimate goal. Knowledge of such elasticity will enable us to characterise how saving in these economies reacts to variations in the real interest rate.     

Modelling unobserved heterogeneity in contingent valuation of health risks

Human preferences for alternative levels of health risks can be heterogeneous. In this paper a flexible distribution approach to model health values elicited with the dichotomous choice contingent valuation method is considered. Rigid parametric structures cannot model sample heterogeneity while imposing strong assumptions on the error distribution. A mixture of normal distributions is considered which can approximate arbitrary well any empirical distributions as the number of mixtures increases. The model is applied to data on willingness to pay for reducing the individual risk of an episode of respiratory illness. The mixture distribution model is compared with the rigid probit model using a Bayes factor test. The results show that the mixture modelling approach improves performance while allowing for the consideration of alternative groups of individuals with different preferences for health risks.     

The supply of effort in a fishery

This papers user a price-accounting approach to measure total factor productivity growth in Canadian manufacturing, at the two-digit level, over the period 1965–80. Its purpose is to describe how given productivity improvements have been apportioned among labour, capital, materials and government through an increase in the price of these factors or through an increase in taxes levied on factor inputs and ‘consumers’ through a decrease in the industry selling prices.     

Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model

This study is focussed on estimating the real interest and inflation sensitivity in Spanish market, proposing an extension of the Stone (1974 Stone, BK. 1974. Systematic interest-rate risk in a two-index model of returns. Journal of Financial and Quantitative Analysis, 9: 709–21. [Crossref], [Web of Science ®] , [Google Scholar]) two-factor model and controlling for size and growth of the companies [Fama and French (1993) three-factor model], because of its importance in the stock sensitivity shown by previous literature. I also study the classical explanatory factors of the stock sensitivity: leverage and liquidity level of the firms. The Spanish stock response is similar to the response in other markets, and the ‘size’ is higher than ‘growth’ effect.     

Government Social Spending and GDP: has there been a change in social policy?

Government Social Spending (GSS) is made up of a very heterogeneous range of variables, monetary transfers for retirement or illness, unemployment benefits, family services, active labour market policies and health expenditure. We believe that each of these components is of enormous importance to the economic development of a country. As has often been affirmed, however, GSS is one of the economic aggregates most sensitive to the ups and downs of economic growth. In moments of crisis, sharp cuts are almost immediate, and these may or may not be recovered when times are good. In this article, we examine the sensitivity of GSS to the evolution of Gross Domestic Product (GDP) in order to reveal the relationship between the two.     

Valuing the social cost of corruption using subjective well being data and the technique of vignettes

Corruption can have an effect on people's happiness and satisfaction, and therefore, can generate a social cost. However, the perceptions of corruption and satisfaction can also vary across subjects, due to socioeconomic and cultural characteristics. This article studies the differences in the perceptions of corruption and satisfaction across subjects, utilizing the technique of vignettes for the correction of the bias that follows from the differences in the response scale across individuals. The evidence comes from a sample of citizens in Spain, who are asked about their perceptions of corruption and personal satisfaction. The results show that there exists a response scale bias, both for corruption and satisfaction. These results are utilized to approximate the social cost of corruption.     

Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations

A mathematical statistical model is needed to obtain an option prime and create a hedging strategy. With formulas derived from stochastic differential equations, the primes for US Dollar/Chilean Pesos currency options using a prime calculator are obtained. Furthermore, a backward simulation of the option prime trajectory is used with a numerical method created for backward stochastic differential equations. The use of statistics in finance is highly important in order to develop complex products.