Economic capital for nonperforming loans

A portfolio of nonperforming loans requires economic capital. We present two models for forecasting the portfolio loss and its probability distribution. In the first model, the loss for each nonperforming loan entails a change in provision over the risk horizon. The risk determinants are the single-name concentration, measured by the Herfindahl–Hirschmann index, as well as a systematic factor and the idiosyncratic risk. Our second model allows for interportfolio diversification with a portfolio of performing loans because banks typically own both performing and nonperforming loans. In this model, the nonperforming loan is identified with its systematic risk. Both models allow for closed-form expressions of economic capital and for the capital charge of the single loan. We calibrate the macroeconomic model parameters statistically with a loss panel; the microeconomic parameters depend on the portfolio. The portfolio risk for nonperforming loans mainly depends on the volatility of the systematic economic factor. The dependence becomes more pronounced when interportfolio diversification is taken into account. The magnitude of interportfolio diversification is also marked. Finally, we calculate regulatory capital charges according to Basel II for past-due loans. The regulatory charges are on average smaller than our economic charges and, additionally, take the volatility of economic activity into account only implicitly.     

Management sub-advising in the mutual fund industry

This is a study of how contractual mechanisms can mitigate agency conflicts in sub-advised mutual funds. Sub-advising contracts allow fund families to expand their product offerings to include new investment styles and thereby gain market share. We show that costly contractual arrangements, such as co-branding, multi-advising, and performance-based compensation, can mitigate agency conflicts in outsourcing and protect investors from potential underperformance. Fund families will find it cost-effective to implement such incentive mechanisms only when investors are sophisticated in assessing manager skill. The findings help to explain why a large percentage of fund families outsource their funds to advisory firms.     

Service Regulations,Input Prices and Export Volumes: Evidence from a Panel of Manufacturing Firms

Using a panel of firm‐level data from Spanish manufacturers, this study shows that better service regulation reduces the price of intermediate inputs paid by downstream firms. The beneficial cost effects of services reforms extend to both large and small‐to‐medium sized corporations (SME’s), but the former tend to enjoy greater gains. This feature also manifests itself in international markets. We find evidence of an input cost channel through which service regulations affect the volume of exports of large manufacturers, while the evidence of such a channel is weaker for SME’s. Our estimates indicate that, from 1991 to 2007, large firms increased their volume of exports by an average of 20 per cent as a result of the direct input cost effect of services reforms, such that the firms that benefited the most typically belonged to industries more dependent on service inputs. Furthermore, convergence to the ‘best practice’ regulatory framework in services would have raised exports at least by an additional nine per cent. We conclude that firm size is relevant for the connection between services reforms, intermediate input prices and export volumes.     

INTERNATIONAL AND INTERTEMPORAL COMPARISONS OF REAL PRODUCT IN OECD COUNTRIES A GROWTH SENSITIVITY ANALYSIS

This paper provides two new data sets for comparisons of real income in OECD countries. The first set provides adjusted real series for GDP and its components from 1960 to 1993 based on OECD 1990 purchasing power parities. The second set uses OECD PPP of different benchmark years, and interpolates these applying national price indices. Comparisons between both alternatives, Penn World Tahle Mark 5 (PWT 5) and its new version (PWT 5.6), in terms of economic growth and convergence, reveal some remarkable differences. Moreover, there are wider differences concerning the relative countries' position in GDP per capita ranking. Estimations of convergence equations based on OECD data yield a better fit than those obtained using PWT data, although there are also some significant differences between PWT 5 and PWT 5.6. Nevertheless, a very positive result is that other parameters of interest in these equations are not affected by the use of these different data sources.     

Functional and productive dependence: new characteristics for the analysis of enterprises from a macroeconomic view

This article introduce two new characteristics of firms, which are important, from a macroeconomic view, to evaluate the roll of entrepreneurial tissue in the territorial economic growth: functional dependence and productive dependence. An empirical analysis has been formulated in order to contrast the importance of these entrepreneurial characteristics, and try to show its relation with territorial economic growth.     

A score-test on measurement errors in rating transition times

We model credit rating histories as continuous-time discrete-state Markov processes. Infrequent monitoring of the debtors’ solvency will result in erroneous observations of the rating transition times, and consequently in biased parameter estimates. We develop a score test against such measurement errors in the transition data that is independent of the error distribution. We derive the asymptotic χ²${\chi }^2$-distribution for the test statistic under the null by stochastic limit theory. The test is applied to an international corporate portfolio, while accounting for economic and debtor-specific covariates. The test indicates that measurement errors in the transition times are a real problem in practice.     

A Production Model With Firm-Specific Temporal Variation in Technical Inefficiency: With Application to Spanish Dairy Farms

This paper introduces a stochastic frontier production model which accommodates firm-specific temporal variation in technical inefficiency. Unlike Cornwell, Schmidt and Sickles (1990), technical inefficiency is not modeled through the intercept of the production frontier, but through an error component model. The proposed model is a generalization of the Battese and Coelli (1992) model, which imposed a common temporal pattern upon all firms. In our application involving Spanish dairy farms, we find that the new model is preferred to the Battese and Coelli (1992) model on the basis of the likelihood ratio test. Results provide a new source of information on the different patterns of technical inefficiency change among the 82 farms in the sample.     

Trade policies, concentration, growth and welfare

The aim of this paper is to analyse, through a theoretical model, the effects that the trade integration of two countries may have on industrial location, growth and welfare.The conclusions reached finally depend both on whether the import or the export costs are affected by the trade policies on which the integration process is based and on whether the rich or the poor country introduces them. In general, when integration leads to an increase of industrial concentration in the rich country, the growth rate increases and welfare improves in both countries. If integration means that industry moves to the poor country, the growth rate decreases; in spite of this, in this case the poor country can also improve its welfare.     

Transnationalisierte Öffentlichkeit und Klimapolitik

For decades, the analysis of public spheres has been a core field in communication science and neighboring disciplines. Its special importance is grounded in the assumption that the public sphere is the primary realm of societal self-understanding, a sphere in which collectively relevant issues, potential solutions and the activity of political and other stakeholders is discussed and put up for scrutiny and legitimization. In much of this research, the media have played a key role, as they were seen as the generally accessible, permanent and comprehensive “master forum” of the public sphere.In recent years, however, scholarship on the public sphere has undergone a “major theoretical shift”, namely, a widening of the analytical perspective from national to transnational concepts of public spheres. Against the backdrop of a general transnationalization of the social sphere, communication scholars have increasingly paid attention to transnational forms of public sphere(s). Many of them, however, have focused on the (potential) emergence of a European public sphere in light of the expansion of the European Union, and only recently has research started to address transnational public spheres beyond Europe.This study ties in with this field of research. An empirical analysis of (potential) transnational public spheres was conducted by focusing on a subject which has been interpreted as a focal point for the emergence of a transnational or even global public sphere: international climate change policy. Due to its high priority and wide reach, international climate policy is said to constitute conditions conducive for a potential transnationalization of public spheres.We understand transnationalization as a pervasion of national public spheres with transnational references that can be distinguished along two analytical dimensions: “Vertical” transnationalization describes the extent to which organizations and actors representing a form of supranational governance are represented and/or (de)legitimized in national public spheres. The “horizontal” transnationalization describes the extent to which organizations or actors from foreign countries are represented within national public spheres.In addition, we differentiate a “strong” and “weak” variant of vertical resp. horizontal transnationalization. For example, a “weak vertical transnationalization” characterizes a case where supranational governance institutions are merely mentioned within a national public sphere; whereas a “strong vertical transnationalization” characterizes a situation where actors from supranational governance institutions have the opportunity to actively express themselves.Our main research questions are 1) to what extent is the media coverage about climate policy in the examined countries pervaded by transnational references? 2) Which patterns of transnationalization can be identified in the media coverage about climate policy in the examined countries?We conducted a manual as well as an automated quantitative content analysis of newspaper coverage about climate change policy in 15 countries. We analyzed 4955 news articles from quality, tabloid and local newspapers for the whole year of 2014. The articles were downloaded from databases like LexisNexis and Factiva, using a complex search string in four languages. The automated content analysis—used to identify the weak variant of transnationalization—followed the “dictionary approach”, with dictionaries based on elaborated word lists (in German and English) that were translated into Portuguese and Spanish and further adapted for this study. The results of the automated content analysis were tested against a manual analysis of 50 randomly selected articles, with very good reliability for each language-specific dictionary (Krippendorff’s Alpha above 0.909). Regarding the manual content analysis—used to identify the strong variant of transnationalization—11 coders were trained and achieved a satisfying to good reliability (Krippendorff’s Alpha above 0.72).Firstly, our analysis shows a visible transnationalization of public debates about climate change policy. In all countries, foreign and supranational actors dominate the domestic news coverage (weak pattern). Conversely, regarding the strong pattern of transnationalization national actors who actively express themselves are dominant.Secondly, our findings show that the transnationalization of the public sphere differs depending on the dimension examined. On the one hand, the horizontal transnationalization appears more often than the vertical one: References to actors from other countries in climate policy-related debates appear more often than references to supranational institutions. On the other hand, transnational references tend to appear rather in a weak than a strong pattern: Foreign or supranational actors are mentioned more often than they express themselves actively. Furthermore, transnational references seem to concentrate on a few actors like the UN, the EU, China and the USA.Thirdly, we found country and media type-related differences regarding the extent, structural patterns and reach of transnationalization. Media type differences seem to correspond with the findings research about European public sphere yielded: News coverage of quality papers is more transnationalized than regional and especially tabloid papers.     

Corporate identity management and employees’ responses

Main goals in this study are to analyse the effects of corporate identity management (CIM) on the employees’ responses, and the moderating effects of two employee personality traits: proactive personality and resistance to change. Two hundred and ninety-three branch managers in the banking sector in Spain participated in the study, and their responses were analysed through structural equation modelling. Results show that organizational identification is a key variable to explain the CIM effects on employees’ responses. Moreover, employees’ proactive personality and resistance to change exert a moderating influence on the way identification leads to extra-role behaviours. Human resource practices should take into account that proactive employees are more prone to externalize their identification by spreading positive WOM. Besides, identification with the organization will lead to loyalty, especially in employees with low resistance to change.