Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling

This study evaluates a set of parametric and non-parametric value-at-risk (VaR) models that quantify the uncertainty in VaR estimates in form of a VaR distribution. We propose a new VaR approach based on Bayesian statistics in a GARCH volatility modeling environment. This Bayesian approach is compared with other parametric VaR methods (quasi-maximum likelihood and bootstrap resampling on the basis of GARCH models) as well as with non-parametric historical simulation approaches (classical and volatility adjusted). All these methods are evaluated based on the frequency of failures and the uncertainty in VaR estimates.Within the parametric methods, the Bayesian approach is better able to produce adequate VaR estimates, and results mostly in a smaller VaR variability. The non-parametric methods imply more uncertain 99%-VaR estimates, but show good performance with respect to 95%-VaRs.     

Foreign direct investment and governance quality in Russia

This paper studies the effect of poor governance quality on foreign direct investment in Russia. Using a survey of businesses across forty administrative districts, we find that higher frequency of using illegal payments and higher pressure from regulatory agencies, enforcement authorities, and criminals, negatively affect foreign direct investment. Our identification strategy builds on the exogenous cross-regional variation in worker strikes during 1895–1914, the period before the October Revolution. We find that moving from the average to the top governance quality across Russian regions more than doubles the FDI stock.     

Gross capital flows: Dynamics and crises

This paper analyzes the behavior of international capital flows by foreign and domestic agents, dubbed gross capital flows, over the business cycle and during financial crises. We show that gross capital flows are very large and volatile, especially relative to net capital flows. When foreigners invest in a country, domestic agents invest abroad, and vice versa. Gross capital flows are also pro-cyclical. During expansions, foreigners invest more domestically and domestic agents invest more abroad. During crises, total gross flows collapse and there is a retrenchment in both inflows by foreigners and outflows by domestic agents. These patterns hold for different types of capital flows and crises. This evidence sheds light on the sources of fluctuations driving capital flows and helps discriminate among existing theories. Our findings seem consistent with crises affecting domestic and foreign agents asymmetrically, as would be the case under the presence of sovereign risk or asymmetric information.     

Unconditionally optimal monetary policy

We develop a simple and intuitive approach for analytically deriving unconditionally optimal (UO) policies, a topic of enduring interest in optimal monetary policy analysis. The approach can be employed in both general linear-quadratic problems and in the underlying non-linear environments. A detailed example is provided using a canonical New Keynesian framework.     

Towards a topic modeling approach to semi-automatically detect self-reported stroke symptoms (FAST symptoms) and their correlation with aphasia types

Quality & Quantity - This paper examines whether stroke survivors express that they suffered stroke symptoms on a question from the self-reported informal part of comprehensive test for...     

The cost-effectiveness of dulaglutide versus liraglutide for the treatment of type 2 diabetes mellitus in Spain in patients with BMI ≥30 kg/m2

Objective: Dulaglutide 1.5?mg once weekly is a novel glucagon-like peptide 1 (GLP-1) receptor agonist, for the treatment of type two diabetes mellitus (T2DM). The objective was to estimate the cost-effectiveness of dulaglutide once weekly vs liraglutide 1.8?mg once daily for the treatment of T2DM in Spain in patients with a BMI ≥30?kg/m².

Methods: The IMS CORE Diabetes Model (CDM) was used to estimate costs and outcomes from the perspective of Spanish National Health System, capturing relevant direct medical costs over a lifetime time horizon. Comparative safety and efficacy data were derived from direct comparison of dulaglutide 1.5?mg vs liraglutide 1.8?mg from the AWARD-6 trial in patients with a body mass index (BMI) ≥30?kg/m². All patients were assumed to remain on treatment for 2 years before switching treatment to basal insulin at a daily dose of 40?IU. One-way sensitivity analyses (OWSA) and probabilistic sensitivity analyses (PSA) were conducted to explore the sensitivity of the model to plausible variations in key parameters and uncertainty of model inputs.

Results: Under base case assumptions, dulaglutide 1.5?mg was less costly and more effective vs liraglutide 1.8?mg (total lifetime costs €108,489 vs €109,653; total QALYS 10.281 vs 10.259). OWSA demonstrated that dulaglutide 1.5?mg remained dominant given plausible variations in key input parameters. Results of the PSA were consistent with base case results.

Limitations: Primary limitations of the analysis are common to other cost-effectiveness analyses of chronic diseases like T2DM and include the extrapolation of short-term clinical data to the lifetime time horizon and uncertainty around optimum treatment durations.

Conclusion: The model found that dulaglutide 1.5?mg was more effective and less costly than liraglutide 1.8?mg for the treatment of T2DM in Spain. Findings were robust to plausible variations in inputs. Based on these results, dulaglutide may result in cost savings to the Spanish National Health System.     

Land Market Interactions between Heterogeneous Agents in a Heterogeneous Landscape—Tracing the Macro-Scale Effects of Individual Trade-Offs between Environmental Amenities and Disamenities

Heterogeneity in both the spatial environment and economic agents is a crucial driver of land market dynamics. We present an agent‐based land market model where land from agriculture use is transferred into urban. The model combines the microeconomic demand, supply, and bidding foundations of spatial economics models with the spatial heterogeneity of spatial econometric models in a single methodological platform. Heterogeneous agents exchange heterogeneous spatial goods via simulated bilateral market interactions. We model a coastal city where both coastal amenities and flooding or erosion disamenities drive land market outcomes, facilitating separate analysis of the effects of each driver on land rents and land development patterns. We also analyze the implications of homogeneous versus heterogeneous but unbiased flood risk perceptions. Since buyers with low risk perceptions drive market outcomes, spatial development under heterogeneous risk perceptions differs qualitatively, with more expansion into risky areas. Our results highlight the shortcomings of policy models based on representative agent assumptions and the importance of including agent‐level data in empirical modeling. L'hétérogénéité de l'environnement spatial et des agents économiques constitue un élément moteur crucial de la dynamique du marché foncier. Nous présentons un modèle multi‐agent du marché foncier dans lequel des terres agricoles ont été transférées pour des fins urbaines. Le modèle combine les fondements microéconomiques de la demande, de l'offre et des enchères de modèles de l'économie spatiale avec l'hétérogénéité spatiale des modèles de l'économétrie spatiale dans une plateforme méthodologique unique. Les agents hétérogènes échangent des biens hétérogènes par le biais du jeu des forces du marché bilatéral simulé. Nous avons modélisé une ville côtière où les agréments côtiers et les désagréments causés par les inondations ou l'érosion influent sur le marché foncier, facilitant l'analyse individuelle des effets de chaque élément moteur sur les loyers fonciers et les modèles d'aménagement de terrain. Nous avons également analysé les répercussions des perceptions homogènes et hétérogènes mais non biaisées à l'égard du risque d'inondation. Étant donné que les acquéreurs qui ont de faibles perceptions du risque motivent les effets du marché, le développement spatial selon des perceptions hétérogènes à l'égard du risque varie qualitativement, avec plus d'expansion dans les zones à risque. Nos résultats ont mis en lumière les lacunes des modèles de politiques fondés sur les hypothèses d'un agent représentatif et l'importance d'inclure des données sur l'hétérogénéité des agents dans la modélisation empirique.     

美国对华遏制和贸易秩序再平衡:对2019年WTO的回顾

2019年WTO受到了中美之间相互博弈的影响,美国要保持对中国的竞争优势并决心全面改革WTO,WTO成员围绕发展中国家特殊与差别待遇和上诉机构问题展开了激烈争论。这些变化透视出在WTO和中国问题上,美国的政策愈加趋于强硬,也更加不顾及损害多边贸易体制。回顾2019年的WTO,本文认为美国对华贸易政策出现了两面性:一方面是通过传统施压迫使中国更加开放,另一方面是通过关闭部分美国市场促使美国与中国实现半脱钩。中美之间的矛盾或者战略竞争在短期内不会结束,WTO的发展将持续处在美国的压力之下,多边贸易体系的信誉和价值将继续处于风险之中,重要原因是美国的决策者们认为现行的WTO规则一直在助力中国崛起,而这同美国遏制中国的目标相冲突。美国的贸易政策正日益变得以遏制中国为导向而不是以其国内经济发展需要为导向。     

The Right to Annual Leave as a Basic Guarantee for Safe and Healthy Conditions at Work. Remarks Based on Lithuanian and Polish Legal Regulations

Employee Responsibilities and Rights Journal - The right to annual leave as originated from the need to protect human dignity is a fundamental right for people performing work and therefore...     

Innovation by design: SPARK and the Overcoming of Stanford University's Translational “Valley of Death” in Bio-Medicine

Stanford University's world leadership as an entrepreneurial university induced a “paradox of success,” inhibiting further development of its organizational infrastructure for entrepreneurship support. Nevertheless, some prospective academic entrepreneurs realized that there were invisible persisting gaps in the university's innovation system. We discuss the role of the entrepreneurial university and provide a case study of SPARK, an organizational innovation, created to address Stanford's translational research gap, that was then spread to other universities. The creation of a support structure to encourage students and faculty to define entrepreneurial projects as part of their education and research revealed a novel organizational change dynamic.