Cash Flow Matching

Abstract

We propose a scenario-based optimization framework for solving the cash flow matching problem where the time horizon of the liabilities is longer than the maturities of available bonds and the interest rates are uncertain. Standard interest rate models can be used for scenario generation within this framework. The optimal portfolio is found by minimizing the cost at a specific level of shortfall risk measured by the conditional tail expectation (CTE), also known as conditional valueat-risk (CVaR) or Tail-VaR. The resulting optimization problem is still a linear program (LP) as in the classical cash flow matching approach. This framework can be employed in situations when the classical cash flow matching technique is not applicable.     

Learning-by-Exporting: Continuous Productivity Improvements or Capacity Utilization Effects? Evidence from Slovenian Firms

Following along the lines of a growing literature on the causal link between exporting and productivity, this paper analyzes the existence of “learning-by-exporting” using firm-level data for Slovenian manufacturing enterprises between 1994 and 2002. We fail to find conclusive evidence of learning-by-exporting. By matching new exporting firms to “sufficiently” similar non-exporters and using the difference-in-differences method on the matched pairs it is revealed that productivity improvements, although present, are far from permanent and tend to dissipate shortly after initial entry. Confronting the data on factor accumulation with TFP measures indicates that the perceived learning effects may in fact only be a consequence of increased capacity utilization brought about by the opening of an additional market. JEL no. D24, F12, F14     

Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock

This paper confirms that a regime-switching model out-performs a linear VAR model in terms of understanding the system dynamics of asset returns. Impulse responses of REIT returns to either the federal funds rate or the interest rate spread are much larger initially but less persistent. Furthermore, the term structure acts as an amplifier of the impulse response for REIT return, a stabilizer for the housing counterpart under some regime, and, perhaps surprisingly, almost no role for the stock return. In contrast, GDP growth has very marginal effect in the impulse response for all assets.     

A consideration of normality in importance–performance analysis

It is widely believed that results of research are only valid when the distribution of data is relatively normal. However, most previous importance–performance analysis (IPA) studies have not considered the assessment of data normality. The aim of this study is to evaluate the importance of the normality assumption in IPA studies. Four data sets obtained from four experimental questionnaire surveys were used to demonstrate the changes in outcomes from non-normally distributed data sets to relatively normally distributed data sets by removing abnormal data. The results indicate that the distributions of attributes in four quadrants in importance–performance mapping for non-normally distributed data sets and relatively normally distributed data sets are similar when using direct IPA measurement method; however, they show differences when performing indirect IPA measurement methods. It is concluded that in order to ensure high-quality research outcomes, researchers should justify data normality in their IPA studies.     

Renewable energy sources as an attractive element of industrial tourism

This paper deals with the overview of the interaction of tourism and renewable energy sources, and evaluates their potential regarding tourism industry as well as in terms of increasing of tourism attractiveness in the selected area. Renewable energy sources can be considered an attractive element within the industrial tourism and, in some cases, can increase the number of visitors to the area, mainly due to its modern design, proportions, eco-image and, in certain regions, due to its uniqueness. In analysis, interactions of renewable energy and tourism were classified into four categories. The analysis showed that the touristic subjects connected to the sensitively selected and located type of renewable energy source could have significant numbers of visitors in tens of thousands. According to results of the analysis, the highest number of visitors reached the visitor centres next to geothermal power plants and wind parks, which can be explained by their unique visual aspects. The paper also analysed the possible impact of the renewable energy infrastructure on tourists, when available studies indicate the minimal impact of installation if the power plants are sensibly placed in the country regarding location or distance from considered subject.     

The impacts of cross-border tourists on local retail property market: an empirical analysis of Hong Kong

Hong Kong as a small city has witnessed a drastic change in the number of short-stay and same-day tourists from Mainland China ever since the relaxation of the tourism policy began in the early 2000’s. This study examines the impacts on the prices of retail space attributed to the substantial increase of cross-border shoppers. Based on a comprehensive retail property transaction records in Hong Kong and a semi-log regression model, our study confirms a positive impact of the number of cross-border shoppers on retail property prices, especially on the value of newer and larger-sized street-level retail shops. Moreover, we find that the effects brought on the retail property market are city-wide and not limited to specific districts which are relatively closer to the border with Shenzhen and with a higher degree of accessibility by these cross-border shoppers. This paper is limited by a number of assumptions including travel distance of the shoppers from Shenzhen. Nevertheless, with an increase in personal travels by the affluent Mainland Chinese citizens who usually spend a lot on shopping outside China, future studies can be made in other North American or European cities for comparison.     

Obtaining indirect internet access: An examination how reasons for internet non-use relate to proxy internet use

Internet non-use is increasingly concentrated in vulnerable groups of people, especially among ageing populations and those with low socio-economic status. As participation in society becomes largely dependent on use of internet-enabled technologies, internet non-users may seek alternative ways of using the internet. Proxy internet use (PIU), where internet non-users ask internet users to perform online activities on their behalf, is a strategy for obtaining (indirect) internet access. This study examines factors for engagement in PIU, focusing specifically on how non-users’ reasons for disengagement relate to their engagement in PIU. The results from multivariate analyses of survey data from a nation-wide representative sample show that 47% of internet non-users in Slovenia who report having someone available for PIU in fact engage in PIU. In analysing four types of reasons for internet non-use—those related to interest, access, costs and skills—the results show that access issues are negatively related to engagement in PIU. Conversely, reasons related to skills issues are positively related to engagement in PIU. Considering that access to online services through PIU offers an important degree of digital inclusion, the results of this study have important policy implications. Policy initiatives tackling digital inequalities should be sensible to access and skills issues resulting in disengagement. For example, policies directed at providing and maintaining internet access at a household level may result in non-users’ increased opportunities for PIU. In contrast, skills policies should be directed at creating opportunities for informal and person-centred learning of digital skills, considering that non-users who are more aware of their deficiency in skills might be more aware of online opportunities.     

What Accounts for the Differences in Rent-Price Ratio and Turnover Rate? A Search-and-Matching Approach

We build an on-the-house search model and show that two frequently used metrics for the housing market, the rent-to-price ratio (or rental yield) and the turnover rate, are jointly determined in equilibrium. We, therefore, estimate a simultaneous equations system on matched sale-rental pairs, as a housing unit cannot be owner-occupied and renter-occupied at the same time. We confirm that a higher turnover rate is associated with a lower rental yield. We also identify a form of “dichotomy” in empirical determinants of rental yields and turnover rates at the estate level: the demographic structure and past returns affect an estate’s turnover rate, while popularity, human capital, mortgage burdens, and long-run rent growth determine its rental yield. The robustness of our results is established through a series of tests. Our popularity index for 130 estates in Hong Kong, estate rankings, and the brand premia of major real estate developers may carry independent interests.     

The fiscal consequences of public health investments in disease-modifying therapies for the treatment of multiple sclerosis in Sweden

Abstract

Background and aims: The economic consequences of multiple sclerosis (MS) are broader than those observed within the health system. The progressive nature suggests that people will not be able to live a normal productive life and will gradually require public benefits to maintain living standards. This study investigates the public economic impact of MS and how investments in disease-modifying therapies (DMTs) influence the lifetime costs to government attributed to changes in lifetime tax revenue and disability benefits based on improved health status linked to delayed disease progression.

Methods: Disease progression rates from previous MS Markov cohort models were applied to interferon beta-1a, peginterferon beta-1a, dimethyl fumarate, and natalizumab using a public economic framework. The established relationship between expanded disability status scale and work-force participation, annual earnings, and disability rates for each DMT were applied. Subsequently, we assessed the effect of DMTs on discounted governmental costs consisting of health service costs, social insurance and disability costs, and changes in lifetime tax revenues.

Results: Fiscal benefits attributed to informal care and community services savings for interferon beta-1a, peginterferon beta-1a, dimethyl fumarate, and natalizumab were SEK340,387, SEK486,837, SEK257,330, and SEK958,852 compared to placebo, respectively. Tax revenue gains linked to changes in lifetime productivity for interferon beta-1a, peginterferon beta-1a, dimethyl fumarate, and natalizumab were estimated to be SEK27,474, SEK39,659, SEK21,661, and SEK75,809, with combined fiscal benefits of cost savings and tax revenue increases of SEK410,039, SEK596,592, SEK326,939, and SEK1,208,023, respectively.

Conclusion: The analysis described here illustrates the broader public economic benefits for government attributed to changes in disease status. The lifetime social insurance transfer costs were highest in non-treated patients, and lower social insurance costs were demonstrated with DMTs. These findings suggest that focusing cost-effectiveness analysis only on health costs will likely underestimate the value of DMTs.     

Das Asset-Märchen der Federal Reserve

Die Federal Reserve ist laut dem Federal Reserve Act unter anderem dazu verpfl ichtet, stabile Preise zu gew?hrleisten. Das Erreichen dieses geldpolitischen Ziels wird offi ziell auf Ebene der Verbraucherpreise angesiedelt. Darüber hinaus bekr?ftigt die FED, dass kein explizites Asset Price Targeting betrieben wird. Dienen jedoch Verm?genspreise implizit als geldpolitisches Ziel?