How do changes in monetary policy affect bank lending? An analysis of Austrian bank data

Using a panel of Austrian bank data we show that the lending decisions of the smallest banks are more sensitive to interest rate changes, and that for all banks, sensitivity changes over time. We propose to estimate the groups of banks that display similar lending reactions by means of a group indicator which, after estimation, indicates each bank's classification. Additionally, we estimate a state indicator that indicates the periods during which the lending reaction differs from what we normally observe. Bayesian methods are used for estimation; a sensitivity analysis and a forecast evaluation confirm our model choice. Copyright © 2006 John Wiley & Sons, Ltd.     

Inflation Targeting versus Nominal Income Targeting

In this paper we analyze two different target regimes, flexible inflation targeting and nominal income targeting, under discretion in a simple dynamic macro model. The key results of our paper are: First, for both targeting regimes optimal monetary policy response leads to a shock-dependent feedback rule. Second, a demand shock is completely offset by both monetary strategies. Third, in case of a supply shock there is a significant difference between the two different targeting regimes. Under inflation targeting the policy makers face a trade-off between inflation and output stabilization. This trade-off depends on the weight Φ the policy makers attach to output stabilization relative to inflation stabilization in the loss function. In contrast, under nominal income targeting policy makers face a constant trade-off between inflation and real output growth: an increase in inflation leads to a fall in real output growth by an equal amount. Furthermore, in Appendix A we analyze a (linear) commitment solution for inflation targeting and compare it with the discretionary case. Under commitment, inflation is smaller and the output gap is larger than under discretion. In Appendix B, we investigate inflation targeting in a two-period time-lag version of the model. The qualitative results on the trade-off between inflation and output growth remain the same as in the basic model without time lag. Received May 3, 2000; revised version received December 3, 2001 Published online: February 17, 2003     

The hierarchical terminology technique: a method to address terminology inconsistency

A review of prior research in the computer-supported cooperative work (CSCW) field found that the terminology and definitions used by researchers were inconsistent, with some terms being defined differently but then used interchangeably. Inconsistency in the use of terminology makes it difficult to determine what technology is being used in the research and where a research study fits into the research field. Authors in many fields describe the problem of inconsistent terminology use. A suitable method for identifying inconsistencies and structuring terminology for greater clarity of terminology use in a given research field was not identified. This paper presents a new method, the hierarchical terminology technique (HTT), which is a form of qualitative content analysis process that extends the idea of concept mapping. HTT was developed for this research problem to structure a hierarchy of terms to expose the relationship between the terms. This technique includes terminology identification, analysis and presentation to show the scope of the research field, and to present terminology and definitions to improve consistency. This technique could be used in other fields of study.     

Heterogeneity of plural forms: A revised transaction cost approach

Strategies pushing firms to adopt plural forms and the heterogeneity of solutions they endorse have attracted increasing attention. This paper proposes a theoretical framework that combines asset specificity and uncertainty to explain why there are plural forms and focuses on the key role of uncertainty, within a given range of asset specificity, to predict what and when specific types of plural forms should be observed. Propositions derived from this model are tested on an extensive set of cases from the agribusiness sector. The empirical richness of these cases allows going beyond the existing literature, which has essentially focused on franchising.     

Contract teachers and student achievement in rural China: evidence from class fixed effects

For schooling to play an important role in the development of human capital, the system of education needs to provide quality education, which among other things requires high‐quality teachers. Facing fiscal constraints and growing enrolments, school systems in developing countries often supplement their teaching staff by hiring contract teachers. However, there is limited evidence on how the effectiveness of these teachers compares to that of civil service teachers. We use a dataset from rural primary schools in western China to estimate the causal effect of contract teachers on student achievement and find that gains in student scores on standardised examinations in mathematics and Chinese are less in classes taught by contract teachers than in classes taught by civil service teachers. The results demonstrate that China's education system needs to focus on producing high‐quality teachers to improve the quality of schooling in its rural education system. The findings imply that educators in developing countries should not only seek to hire increasingly more civil service teachers in rural schools, but they should also identify ways of improving the quality of contract teachers. If efforts to improve teaching can succeed, rural students can learn more, earn higher incomes and contribute more to the productivity of the overall economy.     

Creating entrepreneurial employees in traditional service sectors

Increasingly companies seek to enhance employee entrepreneurial behaviour. In this study we explore how coaching first reduces role conflicts associated with acting entrepreneurial and at the same time improving efficiency and reducing failure and secondly increases the entrepreneurial self-efficacy of employees. Building on previous conceptual and empirical studies on intrapreneurship, social psychology and human resource management we formulate several hypotheses concerning the relationship between self-efficacy, coaching and entrepreneurial behaviour of account managers that are tested in the context of a large service organization operating in the financial sector. In doing so we confirm and extend our insights on entrepreneurial behaviour in existing companies.     

Pairs trading with a mean-reverting jump–diffusion model on high-frequency data

This paper develops a pairs trading framework based on a mean-reverting jump–diffusion model and applies it to minute-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform intraday and overnight trading. Essentially, we conduct a three-step calibration procedure to the spreads of all pair combinations in a formation period. Top pairs are selected based on their spreads’ mean-reversion speed and jump behaviour. Afterwards, we trade the top pairs in an out-of-sample trading period with individualized entry and exit thresholds. In the back-testing study, the strategy produces statistically and economically significant returns of 60.61% p.a. and an annualized Sharpe ratio of 5.30, after transaction costs. We benchmark our pairs trading strategy against variants based on traditional distance and time-series approaches and find its performance to be superior relating to risk–return characteristics. The mean-reversion speed is a main driver of successful and fast termination of the pairs trading strategy.     

Tipped Wage Effects on Earnings and Employment in Full‐Service Restaurants

We exploit more than 20 years of changes in state‐level tipped wage policy and estimate earnings and employment effects of the tipped wage using county‐level panel data on full‐service restaurants (FSR). We extend earlier work by Dube, Lester, and Reich ( 2010 ) and compare outcomes between contiguous counties that straddle a state border. We find a 10‐percent increase in the tipped wage increases earnings in FSRs about 0.4 percent. Employment elasticities are sensitive to the inclusion of controls for unobserved spatial heterogeneity. In our preferred models, we find small, insignificant effects of the tipped wage on FSR employment.     

Labor market entry and earnings dynamics: Bayesian inference using mixtures‐of‐experts Markov chain clustering

This paper analyzes patterns in the earnings development of young labor market entrants over their life cycle. We identify four distinctly different types of transition patterns between discrete earnings states in a large administrative dataset. Further, we investigate the effects of labor market conditions at the time of entry on the probability of belonging to each transition type. To estimate our statistical model we use a model‐based clustering approach. The statistical challenge in our application comes from the difficulty in extending distance‐based clustering approaches to the problem of identifying groups of similar time series in a panel of discrete‐valued time series. We use Markov chain clustering, which is an approach for clustering discrete‐valued time series obtained by observing a categorical variable with several states. This method is based on finite mixtures of first‐order time‐homogeneous Markov chain models. In order to analyze group membership we present an extension to this approach by formulating a probabilistic model for the latent group indicators within the Bayesian classification rule using a multinomial logit model. Copyright © 2011 John Wiley & Sons, Ltd.