An agent-based early warning indicator for financial market instability

Inspired by the Bank of America Merrill Lynch global breath rule, we propose an investor sentiment index based on the collective movement of stock prices in a given market. We show that the time evolution of the sentiment index can be reasonably described by the herding model proposed by Kirman in his seminal paper “Ants, rationality and recruitment” (Kirman in Q J Econ 108:137–156, 1993). The correspondence between the index and the model allowed us to easily estimate its parameters. Based on the model and the empirical evolution of the sentiment index, we propose an early warning indicator able to identify optimistic and pessimistic phases of the market. As a result, investors and policy-makers can set different strategies anticipating financial market instability. Investors can reduce the risk of their portfolio while policy-makers can set more efficient policies to avoid the effects of financial instability on the real economy. The validity of our results is supported by means of a robustness analysis showing the application of the early warning indicator in eight different worldwide stock markets.

     

Housing, credit, and real activity cycles: Characteristics and comovement

This paper describes the characteristics and comovement of cycles in house prices, residential investment, credit, interest rates, and real activity in advanced economies during the past 25 years. Stylized facts and regularities are uncovered using a dynamic generalized factor model and spectral techniques. House price cycles are found to lead credit and real activity over the long term, while in the short to medium term the relationship varies across countries. Interest rates tend to lag other cycles at all time horizons. Although global factors are important, the US business cycle, housing cycle and interest rate cycle generally lead the respective cycles in other countries over all time horizons, while the US credit cycle leads mainly over the long term.     

痛苦的欧洲和“坚挺”的美元

欧盟领导人峰会终于在欧洲时间10月27日凌晨就三大问题达成最终协议，即银行业再融资1060亿欧元将核心资本比率扩充至9％，欧洲稳定基金扩容至1万亿欧元左右，希腊债务减记50％。此轮峰会所达成的协议基本符合市场预期，在一定程度上缓和了市场对欧债危机的紧张情绪。但从事实来看．这个方案是非常短期、临时性的权宜之计，并没有就制度改革的问题作出决定，没有从根本上解除世人对欧债危机的担忧。     

Cumulative and CUB Models for Rating Data: A Comparative Analysis

Ordinal measurements as ratings, preference and evaluation data are very common in applied disciplines, and their analysis requires a proper modelling approach for interpretation, classification and prediction of response patterns. This work proposes a comparative discussion between two statistical frameworks that serve these goals: the established class of cumulative models and a class of mixtures of discrete random variables, denoted as CUB models, whose peculiar feature is the specification of an uncertainty component to deal with indecision and heterogeneity. After surveying their definition and main features, we compare the performances of the selected paradigms by means of simulation experiments and selected case studies. The paper is tailored to enrich the understanding of the two approaches by running an extensive and comparative analysis of results, relative advantages and limitations, also at graphical level. In conclusion, a summarising review of the key issues of the alternative strategies and some final remarks are given, aimed to support a unifying setting.     

Transaktionskostenansatz und Personalwirtschaftslehre

Ein h?ufig verwendeter Bezugsrahmen personalwirtschaftlicher Forschung ist der Transaktionskostenansatz. Dieser ist im Prinzip gut geeignet, leidet jedoch bisher unter einigen Anwendungsproblemen, die mit der Spezifit?t von Humankapital, dem zentralen Effizienzkriterium und den verschiedenen Transaktionsebenen in der Personalarbeit zu tun haben. Dieser Beitrag widmet sich diesem Problem, indem der Transaktionskostenansatz kritisch auf seine Schwachstellen hin durchleuchtet wird. Darauf aufbauend wird eine modifizierte, leistungsf?higere Version des Transaktionskostenansatzes pr?sentiert. Durch die Modifikation werden die innere Konsistenz des Ansatzes verbessert und Probleme mit dem Effizienzkriterium vermindert. Zudem k?nnen in der ver?nderten Fassung Transaktionsprobleme unter Berücksichtigung von Anreiz- und Risikoallokationsaspekten sowie auch unabh?ngig von inhaltlich definierten spezifischen Qualifikationen sinnvoll analysiert werden, wodurch der Transaktionskostenansatz für Analysen personalwirtschaftlicher Transaktionen eine breitere Anwendung als zuvor finden kann.     

债务危机，美国坐收渔翁之利？

近日，国际评级机构美国标准普尔公司把美国主权信用评级从项级的AAA级下调至AA＋级，引发全球股市动荡。这是美国主权信用评级首次遭“降级”，这也意味着美国国债信用水平低于英国、德国、法国、加拿大等国国债的水平。另外．标普在将美国主权信用评级下调的同时，还决定把前景展望维持在“负面”。     

Narrating the Multiplicity of ‘Derby Grrrl’: Exploring Intersectionality and the Dynamics of Affect in Roller Derby

Driven by an ethos of self-organization and empowerment women involved in the revived version of roller derby have created an embodied and virtual leisure practice that challenges gender norms and invites different identities. However, tensions exist in the way different women negotiate the space of roller derby and the meaning of playing, belonging, and becoming “derby grrrls.” This article presents findings from a qualitative study of roller derby in Australia to make connections between feminist theories of affect and the growing body of work on intersectionality. We explore how identity categories intersect to shape the meaning of roller derby for different women. Narratives recount the complex affective relations (passion, frustration, pride, shame) that women negotiate in forming leisure identities in relation to the social context of their lives. The article aims to contribute to the development of feminist thinking about leisure as a negotiated space of transformation, creativity, and difference.     

The impact of specific information provision on base station siting preferences

When it comes to the new siting of a mobile communication base station in one’s neighbourhood, some people react with rejection because they fear health consequences from the emitted high‐frequency radiation. Most people would prefer to site base stations outside residential areas, but from a public health perspective, this may result in even more radiation for the phoning population. Therefore, authorities are interested in improving the current base station siting processes. The question arises whether specific knowledge enhancement would influence base station siting preferences or whether affective or emotional components (due to the scientific uncertainties involved) would overrule the influence of such attempts. To answer this question, an experimental study with a convenience sample of Swiss citizens (N = 228) was conducted. Participants were confronted with one of three texts: a neutral text (control group), an information booklet about mobile communication and an emotionally charged newspaper article that reported a conflict about the siting of a new base station. After reading the text, participants filled out a questionnaire about their perception of mobile communication and their base station siting preferences. Reading the information booklet increased participants’ knowledge and led to some perceptual changes of base stations and mobile phones. Importantly, participants reading the booklet were able to transfer their knowledge to a base station siting task and found locations that would emit less radiation for the phoning population. Implications and limitations of these results are discussed.     

Guanxi and distribution in China: the case of Ferrero Group

This paper aims to analyze how guanxi-based business relations impact on distribution choices of foreign companies entering China. In particular, it investigates the influence of guanxi on decisions regarding both the organization of distribution channels and the management of distribution channels. It emerges that from an organizational point of view guanxi-based business relations may favor interdependence, low integration in the channel relationships, and foster multichannel choices. From a management point of view, guanxi may reduce the control of local partners over channel, create coexistence between conflict and collaboration in the channels relationships, and favor unmediated communication. The authors examine the emblematic case of Ferrero, a well-known Italian multinational company, specialized in chocolate production, which began to develop its entry strategy in China more than 30 years ago.     

On measuring violations of the progressive principle in income tax systems

Kakwani and Lambert (Eur J Polit Econ 14(2):369–380, 1998) state three axioms which should be respected by an equitable tax system. Using the Atkinson–Plotnick–Kakwani re-ranking indexes of taxes, tax rates, and post-tax incomes, calculated with respect to the ranking of pre-tax income distribution, they then propose a measurement system to evaluate the negative influences that axiom violations exert on the redistributive effect of taxes. In this paper, we reconsider the way Kakwani and Lambert measure violations of their second axiom, which concerns the re-ranking of tax rates. We construct a non-negative index which is strictly faithful to Kakwani and Lambert’s commands; we show that the Authors’ measure does not exactly fit the statements made in their second axiom. Both Kakwani and Lambert’s original measurement system and the modified one are then applied to Italian personal income tax in 2008. According to the modified measurement system, the average tax rate seems to play a smaller role than that suggested by the results gained using Kakwani and Lambert’s original methodology.