Cross-country linkages as determinants of procyclicality of loan loss provisions

Procyclicality in banking may result in financial instability and therefore be destructive to economic growth. The sensitivity of different banking balance sheet and income statement variables to the business cycle is diversified and may be prone to increasing integration of financial markets. In this paper, we address the problem of the influence of financial integration on the transmission of economic shocks from one country to another and consequently on the sensitivity of loan loss provisions (LLPs) to the business cycle. The application of the seemingly unrelated regression equations (SURE) approach to 13 OECD countries in 1995–2009 shows that the procyclicality of LLPs is statistically significant almost in the whole sample of countries. Regardless of the econometric specification, the income-smoothing, capital management and risk management hypotheses are hardly supported by the data. However, in SURE specification, the relationship of bank-specific variables is of higher statistical significance than in the country regression approach. Hence, cross-country interconnectedness is not only economically, but also empirically important when analyzing cross-country diversifications of LLPs.     

MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PATTERN OF MISSING DATA

In this paper we modify the expectation maximization algorithm in order to estimate the parameters of the dynamic factor model on a dataset with an arbitrary pattern of missing data. We also extend the model to the case with a serially correlated idiosyncratic component. The framework allows us to handle efficiently and in an automatic manner sets of indicators characterized by different publication delays, frequencies and sample lengths. This can be relevant, for example, for young economies for which many indicators have been compiled only recently. We evaluate the methodology in a Monte Carlo experiment and we apply it to nowcasting of the euro area gross domestic product. Copyright © 2012 John Wiley & Sons, Ltd.     

School competition and the quality of education: introducing market incentives into public services

Existing research indicates that introducing school choice and competition into the public education system might improve the quality of schooling. Yet, up to date most empirical work on school choice has concentrated on developed countries and it is far from obvious that the experience of these countries can be of any guidance for transition economies. Our work intends to fill this gap. We concentrate on the case of Poland. We argue that in Poland, school choice and competition tends to improve average education quality and efficiency of public education expenditure.     

Representations of Hosts in Travel Writing: The Guardian Travel Section

In this paper, we examine representations of hosts to tourist destinations covered in journalistic travel reports published in the Travel Section of the Saturday edition of the British broadsheet newspaper The Guardian in 1997. Methodologically, the paper is anchored within the constructionist view of discourse, i.e. we assume that in the linguistic representation of people, places, or events, discursive choices not only describe the reality but also construct its ideologically preferred version. We demonstrate that in the travel reports examined here, local people tend to be represented in three principal categories: (1) homogeneous ethnic or social group; (2) observed bearers of the 'national' or 'community' characteristics; or (3) as 'featureless' helpers to the travellers. Arguing that these representations are constitutive of Foucauldian regimes of truth we propose that the reports are a means of constructing a known and tamed reality that is safe for the readers/prospective tourists to travel to.     

Does Market Structure Influence Price Transmission in the Agro‐food Sector? A Meta‐analysis Perspective

There exists a large literature on price transmission in agro‐food sectors. However, a great majority of empirical studies focus on the existence of asymmetry and, by and large, do not investigate the reason for its presence or absence. This is in sharp contrast to the theoretical literature that provides a number of explanations of why we should expect (a)symmetry. In response, this paper investigates the reasons for asymmetric price transmission in the agro‐food chain, using meta‐analysis of existing studies. Our focus is on the organizational and institutional characteristics of the agro‐food supply chain. Our findings suggest that asymmetric price transmission in farm–retail relationships is more likely to occur in sectors/countries with more fragmented farm structure, higher governmental support and more restrictive regulations on price controls in the retail sector. On the other hand, more restrictive regulations on entry barriers in the retail sector and the relative importance of the sector tend to promote symmetric farm–retail price transmission. The latter is also more likely in the presence of a strong processing industry.     

Insurance guaranty fund—what good is it?

In this paper, we analyze under which conditions a self-supporting insurance guaranty fund can be beneficial for the policyholders in an incomplete market. Within the analyzed setting, we find out that in general, if existent, the potential advantages from its introduction cannot be fairly divided among the participating insurers. Thereby, we have to expect systematic wealth transfers between the policyholders of different insurance companies. We introduce a framework for utility-based fund charges as a solution to this problem.     

Comments on Longmore's Article

In his recent paper [3], Dean R. Longmore develops a new concept of the Payback Period project evaluation criterion, the so-called Time-Adjusted Payback Period, which is supposed to be NPV-compatible and is, therefore, expected by the author to address the needs of practitioners. In this paper, it is indicated that the formulation of the proposed criterion is mathematically incomplete, and its complete version is presented. It is also shown, using numerical examples, that the criterion devised in [3] does not reflect the true content of its name and constitutes, instead, an artificial profitability index. Although this index, in its complete version, is indeed NPV-compatible, it does not, however, offer any advantages over the NPV.     

Predictability of stock markets with disequilibrium trading. A commentary paper

The paper focuses on the problem of predictability of stock market returns with disequilibrium trading. It is shown that the predictability of returns may be the consequence of quantity constraints appearing in the markets due to the imposition of administrative restrictions on trade. A relevant test of predictability for the Warsaw Stock Exchange (WSE) based on information referring to disequilibrium states occurrence is proposed. The empirical results of its application to the WSE on a sample containing session-to-session observations from the period January 1995 to December 1999 strongly support the hypothesis of predictability.     

The assessment of significance of benefits gained from the improvement of quality management systems in Polish organizations

The implementation and improvement of quality management systems conducted according to ISO 9001:2008 standards should bring benefits to any organization. On the basis of research conducted in 753 Polish companies, this publication presents results of analysis concerning the assessment of importance of benefits being a consequence of quality management system. The studies concerning the significance of benefits being a consequence of quality management systems in Polish companies allow claiming that financial benefits and markets ones are the most important for the management team whereas the organizational benefits are of less importance. It leads to neglecting ‘soft’ factors of quality management which are significant in TQM concept and drawing to much attention to so called hard factors- especially financial ones.