A macro stress test model of credit risk for the Brazilian banking sector

This paper proposes a model to conduct macro stress test of credit risk for the banking sector based on scenario analysis. We employ an original bank-level data set that splits bank credit portfolios in 21 granular categories, covering household and corporate loans. The results corroborate the presence of a strong procyclical behavior of credit quality, and show a robust negative relationship between the logistic transformation of non-performing loans (NPLs) and GDP growth, with a lag response of up to three quarters. The results also indicate that the procyclical behavior of loan quality varies across credit types. This is novel in the literature and suggests that banks with larger exposures to highly procyclical credit types and economic sectors would tend to undergo sharper deterioration in the quality of their credit portfolios during an economic downturn. Lack of sufficient portfolio granularity in macro stress testing fails to capture these effects and thus introduces a source of bias that tends to underestimate the tail losses stemming from the riskier banks in a system.     

Generation Y’s Ethical Ideology and Its Potential Workplace Implications

Generation Y is a cohort of the population larger than the baby boom generation. Consisting of approximately 80 million people born between 1981 and 2000, Generation Y is the most recent cohort to enter the workforce. Workplaces are being redefined and organizations are being pressed to adapt as this new wave of workers is infused into business environments. One critical aspect of this phenomenon not receiving sufficient research attention is the impact of Gen Y ethical beliefs and ethical conduct in workplace contexts. It is widely accepted that distinct generational experiences shape ethical ideologies and ethical ideologies in turn affect the way people function in the workplace. Thus, Gen Y’s unique cohort experiences are likely to shape their ethical ideologies and consequent workplace judgments and actions. In this article, we examine Gen Y’s ethical ideology and study its impact on workplace functioning regarding leadership style, teamwork, and judgments about ethical violations. Our analyses indicate that Gen Y’ers tend toward situationalism (high idealism and high relativism), and their socially connected orientation produces more lenient judgments of collaborative vs. unilateral ethical violations. However, Gen Y’ers do exhibit individual variation. Relativist Gen Y’ers are more tolerant of ethical violations, whereas, Gen Y Idealists are less tolerant of ethical violations. High Idealists also show stronger teamwork and leadership characteristics. In addition, Gen Y’ers possessing servant leader traits exhibit incrementally better teamwork, and greater perceived unacceptability of ethical violations. We conclude by discussing implications of these findings for managing ethical climates and conduct.     

A study of biotechnology start-ups undergoing leadership change: Antecedents of change and endogenous performance consequences

One of the most important decisions that a new biotechnology firm faces is whether to replace its founding CEO, who often has been involved with the invention of the firm's core technology, with a more professional manager, who has broader commercialization skills to help the firm to grow into a viable business. In this paper, we argue that leadership change away from the founding CEO is influenced strongly by the interests of key stakeholders and that the endogeneity inherent in the change (or non-change) influences firm performance. As the context surrounding decision-making changes from pre-patent to post-IPO, key stakeholders often may not view what is best for the firm and best for self-interest in the same way. Using data on change in leadership at 135 U.S. biotechnology equipment firms, we find evidence that the context in which decisions are being made influences which of the various competing interests will take precedence. The results further confirm the importance of controlling for endogeneity in decision-making when examining firm performance.     

Conditions and intervention strategies for the deliberate acceleration of socio-technical transitions: lessons from a comparative multi-level analysis of two historical case studies in Dutch and Danish heating

ABSTRACT

Policy-oriented transition frameworks such as Strategic Niche Management, Transition Management, and Technological Innovation Systems offer limited analytical traction on deliberately accelerated socio-technical transitions. Using the Multi-Level Perspective as guiding framework, we therefore inductively explore the political acceleration of socio-technical transitions by investigating two deliberately accelerated heating transitions: the transition from coal and oil to natural gas in the Netherlands (1948–1973), and the transition from oil to district heating in Denmark (1945–1990), to draw lessons about the conditions and intervention strategies that facilitate rapid socio-technical change. We find that both cases were characterised by weakened regimes, stabilised niche-innovations, focusing events, and consensus between policymakers and business actors. User resistance was also low in both cases, partly because of public policies. Different focusing events in each case produced problem-driven versus opportunity-driven transition pathways; the former destabilised existing regimes but generated future-oriented uncertainty, while the latter facilitated rapid closure.     

Using uncensored communication channels to divert spam traffic

We analyze a simple, feasible improvement to the current email system using an uncensored (open) communication channel. Such a channel could be an email folder or account, to which properly tagged commercial solicitations are routed without filtering along the way. We characterize the circumstances under which senders would voluntarily move much of their spam into the open channel, leaving the traditional email channel dominated by person-to-person mail. We then show that under certain conditions all email recipients are better off when an open channel is introduced. Only recipients wanting spam will use the open channel enjoying the less disguised messages and cheaper sale prices, and for all recipients the dissatisfaction associated with both undesirable mail received and desirable mail filtered out decreases.     

On Option-Pricing Models in Real Estate: A Critique

This paper considers the problems peculiar to options on real estate, because of the special set of institutional factors influencing real estate markets. It is intended to serve as a reply to Johnson and Wofford [15] as well as provide an overall critique of option-pricing models in a real estate context. Our major point is that a variety of real estate decisions, such as the abandonment decision, the option to refinance, or the option to exercise a contingent real estate purchase contract, may be modeled using option-pricing techniques. However, both the theoretical and institutional aspects of real estate markets must be taken into account in both developing and applying option models in a real estate context.     

Household Welfare and the Pricing of Cocoa and Coffee in Cote d'Ivoire: Lessons from the Living Standards Surveys

Cocoa and coffee are the most important crops in Côted'Ivoire. Until recently, the difference between world and administeredproducer prices provided an important source of government revenue.As a result of a continued decline of world prices of both crops,however, the Ivoirien government was forced to cut producerprices in half. Because 40 percent of Ivoirien households groweither cocoa or coffee, this cut can be expected to have a considerableimpact on the welfare level of these households. We use the1985 Living Standards Measurement Survey to estimate the welfareeffects of producer price changes for Ivoirien households, permittingan evaluation of the probable consequences of the recent pricecut. Using nonparametric econometric techniques, we find that,although many households will suffer losses of income, the cutswill not have adverse distributional effects: cocoa and coffeefarmers are scattered throughout the income distribution, butmost are concentrated in the middle.     

Foreign Direct Investment,Transactions Linkages,and the Performance of the Domestic Sector

Using data from the UK Census of Production, including foreign ownership data, and information from UK industry input-output tables, this paper examines whether the intensity of transactions linkages between foreign and domestic firms affects productivity growth in domestic manufacturing industries. The implications of the findings for policies promoting linkages between multinational and domestic firms in the UK economy are outlined.     

Assets,activities and income generation in rural Mexico: factoring in social and public capital⋆

In recent years, there has been increasing emphasis in the rural development literature on the multiple income‐generating activities undertaken by rural households and the importance of assets in determining the capacity to undertake these activities. Controlling for the endogeneity of activity choice and applying Lee's generalisation of Amemiya's two‐step estimator to a simultaneous equation model, household returns to assets from multiple activities are explored for the Mexico ejido sector. To incorporate the multiple variables representing social and public capital into the analysis, factor analysis is used. The results indicate that the asset position of the household has a significant effect on household participation in income‐generating activities and returns to those activities. Furthermore, the inclusion of measures of social and public capital into the analysis show that these assets play an important role in income‐generating activities and that the influence is dependent on the type of social and public capital as well as the particular activity.