Characterization of Normal Distribution Related to Two Samples Based on Regression

Characterization of normal distribution related to two samples based on second conditional moments has been obtained. This characterization has been transformed to a characterization based on the UMVU estimators of the density function. These results are generalized to k samples from normal distributions. Finally applications of these characterization results to goodness-of-fit test are discussed.     

What determines outstanding corporate debt mix? Evidence from fractional multinomial logit estimation

This study employs the fractional multinomial logit setting proposed by Papke and Wooldridge (1996) to examine factors driving the choice among nonbank private (144A) debt, bank loans and public debt made by 988 nonfinancial firms during 1993–2007. We document that the majority of firm-level factors have persistent effects on corporate outstanding debt mix across economic conditions. We also highlight the importance of macroeconomic variables on firms’ borrowing decisions as predicted by Diamond (1991). Finally, we document a substitution effect among debt financing sources due to credit rating downgrades, which is inconsistent with Rauh and Sufi (2010).     

Gender differences in formal credit approaches: rural households in Vietnam

In Vietnam, women have poorer access to formal credit than men. This article determines the extent to which borrowing constraints restrict women’s access to formal credit and identifies the socioeconomic characteristics that determine formal credit discrimination. The study used secondary data from the Vietnam Access to Resources Household Survey (VARHS) published in 2013–14, and analysis was undertaken by econometric approaches such as logistic and multiple linear regression models and propensity score matching methods. The results show that among those participants who successfully obtained credit, approximately 85 per cent of women obtained less credit than men; and the amount of credit that women obtained was also less (on average, approximately 1.8 per cent less). Gender, number of years of schooling, marital status, participation in agricultural activities, off‐farm employment, and ownership of agricultural land for a male‐headed household positively influenced discrimination in obtaining credit and the amount of credit obtained. Moreover, the propensity score matching results found that the average increase in the credit obtained by males was 220,000 Vietnamese Dong (VND) and this is mainly due to discrimination in favour of men. The results suggest that policy action is needed to avoid discrimination in credit disbursement on the basis of gender.     

The market price of fiscal uncertainty

Recent fiscal interventions have raised concerns about US public debt, future distortionary tax pressure, and long-run growth potential. We explore the long-run implications of public financing policies aimed at short-run stabilization when: (i) agents are sensitive to model uncertainty, as in Hansen and Sargent (2007), and (ii) growth is endogenous, as in Romer (1990). We find that countercyclical deficit policies promoting short-run stabilization reduce the price of model uncertainty at the cost of significantly increasing the amount of long-run risk. Ultimately these tax policies depress innovation and long-run growth and may produce welfare losses.     

Anticipating independence,no premonition of partition. The lessons of bank branch expansion on the Indian subcontinent, 1939 to 1946

We examine investment in bank branches on the Indian subcontinent in 1939 and 1946. In 1947, the states of India and Pakistan were created from the erstwhile colony of British India. Partition was destabilizing to both economies. We use branch expansion as a proxy for entrepreneur's pre‐partition predictions of the future of these regions. Our results indicate there were no premonitions of economic dislocation. Banks tended to deepen their presence in regions which were already developed. But controlling for the level of 1931 development, branch placement was highest in exactly those regions, Bengal and the Punjab, which were to experience the greatest negative consequences from political division. After 1947, multiple banks failed; most failing banks were registered in the Punjab or Bengal region. In United India, businessmen saw as much promise in regions which were to become Pakistan as in regions which were to become India. After partition, the Pakistan regions were immediately more economically fragile. This event provides a general lesson. Economic integration had intensified over the years of British rule. The abrupt stop to integration harmed especially the smaller, less diversified region. Politicians should be wary of politically dividing regions which have evolved to function as integrated economic units.     

Liquidity commonality in commodities

We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities. Liquidity commonality was present in 1997–2003 when commodity prices were relatively stable and during the recent boom. There is some support for both “supply-side” and “demand-side” explanations for this commonality. We find no evidence of a consistent link between stock and commodity liquidity in general. Energy commodities appear to provide a better hedge against equity market liquidity risk than the other commodity families.     

ETF arbitrage: Intraday evidence

We use two extremely liquid S&P 500 ETFs to analyze the prevailing trading conditions when mispricing allowing arbitrage opportunities is created. While these ETFs are not perfect substitutes, our correlation and error correction results suggest investors view them as close substitutes. Spreads increase just before arbitrage opportunities, consistent with a decrease in liquidity. Order imbalance increases as markets become more one-sided and spread changes become more volatile which suggests an increase in liquidity risk. The price deviations are followed by a tendency to quickly correct back towards parity.     

Corporate governance and risk-taking: Evidence from Japanese firms

This paper examines the influence of corporate governance on the risk taking of Japanese firms. We show that family control and ownership concentration are associated with higher idiosyncratic risk, whereas bank control has the opposite effect. Considering the link between idiosyncratic risk and firm performance, the results provide an economic rationale for the higher (lower) performance of family-controlled firms (bank-controlled firms). The results also explain the higher performance of firms with concentrated ownership by relating their governance structures to the risk-taking strategies that generate greater competitive advantages. Finally, we show that the impact of governance structures on risk taking is stronger after controlling for endogeneity.     

The Plausibility of Agriculture-Led Development

Within the context of a simple dynamic general equilibrium framework, the model proposed in this paper formally characterizes the path in which a successful transformation in agriculture as a result of an improvement in agricultural technology can conceivably help some developing countries raise rural income, which in turn boosts effective demand for domestically produced, labor-intensive manufactured goods. Consequently, the price of nontraded manufactures goes up, leading to higher production in this sector, and subsequently higher wages. In the longer run, higher wage levels would result in larger aggregate savings, which in turn finances the economy's industrialization.