On dichotomous choice contingent valuation data analysis: Semiparametric methods and Genetic Programming

The aim of this paper is twofold. Firstly, we introduce a novel semiparametric technique called Genetic Programming to estimate and explain the willingness to pay to maintain environmental conditions of a specific natural park in Spain. To the authors’ knowledge, this is the first time in which Genetic Programming is employed in contingent valuation. Secondly, we investigate the existence of bias due to the functional rigidity of the traditional parametric techniques commonly employed in a contingent valuation problem. We applied standard parametric methods (logit and probit) and compared with results obtained using semiparametric methods (a proportional hazard model and a genetic program). The parametric and semiparametric methods give similar results in terms of the variables finally chosen in the model. Therefore, the results confirm the internal validity of our contingent valuation exercise.     

Technology roadmapping (TRM) and strategic alignment for an applied research centre: a case study with methodological contributions

Technology roadmapping provides a strategic tool to help companies develop an outside‐in view and challenge their current competitive perspectives. In this paper, the authors describe the roadmapping process, which is aligned, with the research and development (R&D) strategy of an applied research centre. This process is based in an adapted combination of state‐of‐the‐art methodologies, and as a result, the case study shows interesting findings in terms of R&D strategy, technology strategy and roadmapping processes and methodology.     

Stochastic covariance and dimension reduction in the pricing of basket options

This paper presents a tailor-made method for dimension reduction aimed at approximating the price of basket options in the context of stochastic volatility and stochastic correlation. The methodology is built on a modification to the Principal Component Stochastic Volatility (PCSV) model, a stochastic covariance model that accounts for most stylized facts in prices. The method to reduce dimension is first derived theoretically. Afterwards the results are applied to a multivariate lognormal context as a special case of the PCSV model. Finally empirical results for the application of the method to the general PCSV model are illustrated.     

The Limitations of International Relations Regarding MNCs and the Digital Economy: Evidence from Brazil

ABSTRACT

Multinationals (MNCs) have been considered a relevant research topic for International Relations since the emergence of the field of International Political Economy in the 1970s. Nowadays, MNCs are undergoing deep changes in their business models and global strategies due to the digital economy. This has considerable implications for the international system. For instance, the rise of information and communication technology (ICT) MNCs to the top of market value lists globally. Nonetheless, IR scholars have been slow in grasping the importance of ICT MNCs and the digital economy. In this paper, I justify this statement by evaluating the inclusion of MNCs and ICT MNCs in Brazilian IR scholarship. The method used is a bibliometric mapping of the scientific production of Brazilian IR scholars, supported by a systematic literature review. The results showcase that, in spite of the impact of digitalization on Brazil's economy and politics, IR scholars have conducted few studies on MNCs and practically no studies on ICT MNCs. This case illustrates the emergence of new dynamics in global value chains triggered by digitalization. It also illustrates the challenges for developing countries such as Brazil to engage in global production networks within the highly competitive ICT sector.     

The legal theory of finance and the financial instability hypothesis: Convergences and possible integration

This article presents the legal theory of finance (LTF) and compares it with the financial instability hypothesis (FIH), identifying points of convergence and divergence. The study aims to contribute to the literature by connecting these theories and provides the following main conclusions. First, the LTF incorporates aspects of the FIH, as the theories share several key elements, particularly the presence of fundamental uncertainty, the constraint of liquidity, and the necessity for governments to act as lenders of last resort. Second, the liquidity concept used in the LTF can be better comprehended with the use of Keynesian and post Keynesian literature on the topic. Third, the LTF aims to advance and update certain aspects of Minsky’s theory, particularly with regard to the globalization of markets, power relations, and the interdependencies of the political economy of finance. The study concludes that the theories are more complementary than divergent and future studies should create an analytical framework that integrates the theories’ most insightful aspects.     

Improving emergency plans management with SAGA

Emergency plans are the tangible result of the preparedness activities of the emergency management lifecycle. In many countries, public service organizations have the legal obligation to develop and maintain emergency plans covering all possible hazards relative to their areas of operation. However, little support is provided to planners in the development and use of plans. Often, advances in software technology have not been exploited, and plans remain as text documents whose accessibility is very limited. In this paper, we advocate for the definition and implementation of plan management processes as the first step to better produce and manage emergency plans. The main contribution of our work is to raise the need for IT-enabled planning environments, either at the national or organization-specific levels, which can lead to more uniform plans that are easier to evaluate and share, with support to stakeholders other than responders, among other advantages. To illustrate our proposal, we introduce SAGA, a framework that supports the full lifecycle of emergency plan management. SAGA provides all the actors involved in plan management with a number of tools to support all the stages of the plan lifecycle. We outline the architecture of the system, and show with a case study how planning processes can benefit from a system like SAGA.     

Input cost, capacity utilization and substitution in the short run

This article studies the behavior of input cost shares in an environment where labor is costly to adjust, materials can be adjusted at no cost and capital is fixed. A model relating cost shares with relative prices and adjustment costs is proposed, allowing joint estimation of the elasticity of substitution and the adjustment cost function, which is an unknown function of the capacity utilization. Based on a panel of more than 700 manufacturing firms, we find evidence of strong input share variations according to the degree of capacity utilization. The estimated shapes of adjustment costs curves of labor are in agreement with our theoretical model, and we obtain sensible elasticities of substitution estimates. Based on such estimates, we find evidence of a negative (positive) bias in downturns (recoveries) in conventional productivity growth measures.     

Human Capital Spillovers and Regional Development

This paper introduces technological interdependence into the theoretical framework of Gennaioli et al. (Quarterly Journal of Economics 2013; 128 : 105–164). This extension leads to an expression for regional development with spatial effects that motivates the incorporation of the geographical dimension into their newly constructed database and empirical analysis. Our estimation results corroborate both the necessity of accounting for the presence of spatial dependence to study the determinants of regional income per capita and the importance of educational attainment in explaining regional development differences. Furthermore, we provide evidence that human capital generates positive spatial spillovers. Copyright © 2016 John Wiley & Sons, Ltd.     

Systemic Bank Risk in Brazil: A Comprehensive Simulation of Correlated Market, Credit, Sovereign and Inter-Bank Risks

In this study we present a comprehensive forward‐looking portfolio simulation methodology for assessing the correlated impacts of market risk, private sector and Sovereign credit risk, and inter‐bank default risk. In order to produce better integrated risk assessment for banks and systemic risk assessments for financial systems, we argue that reasonably detailed modeling of bank asset and liability structures, loan portfolio credit quality, and loan concentrations by sector, region and type, as well as a number of financial and economic environment risk drivers, is required. Sovereign and inter‐bank default risks are increasingly important in the current economic environment and their inclusion is an important model extension. This extended model is demonstrated through an application to both individual Brazilian banks (i.e., 28 of the largest banks) and groups of banks (i.e., the Brazilian banking system) as of December 2004. When omitting Sovereign risk, our analysis indicates that none of the banks face significant default risk over a 1‐year horizon. This low default risk stems primarily from the large amount of government securities held by Brazilian banks, but also reflects the banks' adequate capitalizations and extraordinarily high interest rate spreads. We note that none of the banks which we modeled failed during the very stressful 2007‐2008 period, consistent with our results. Our results also show that a commonly used approach of aggregating all banks into one single bank, for purposes of undertaking a systemic banking system risk assessment, results in a misestimate of both the probability and the cost of systemic banking system failures. Once Sovereign risk is considered and losses in the market value of government securities reach 10% (or higher), we find that several banks could fail during the same time period. These results demonstrate the well known risk of concentrated lending to a borrower, or type of borrower, which has a non‐zero probability of default (e.g., the Government of Brazil). Our analysis also indicates that, in the event of a Sovereign default, the Government of Brazil would face constrained debt management alternatives. To the best of our knowledge no one else has put forward a systematic methodology for assessing bank asset, liability, loan portfolio structure and correlated market and credit (private sector, Sovereign, and inter‐bank) default risk for banks and banking systems. We conclude that such forward‐looking risk assessment methodologies for assessing multiple correlated risks, combined with the targeted collection of specific types of data on bank portfolios, have the potential to better quantify overall bank and banking system risk levels, which can assist bank management, bank regulators, Sovereigns, rating agencies, and investors to make better informed and proactive risk management and investment decisions.