Extending a Logistic Approach to Risk Modeling through Semiparametric Mixing

The new proposal of the Basel Committee on banking regulation issued in January 2001 allows banks to use internal ratings systems to classify firms. Within this context, the main problem is to find a model that fits the data as well as possible, but one that also provides good prediction and explicative capabilities. In this paper, our aim is to compare two kinds of classification models applied to creditworthiness using weighted classification error as the performance function: the standard logistic model and a mixed logistic model, adopting, respectively, a parametric and a semiparametric approach. The main problem of the former is related to the assumption of an i.i.d. hypothesis, but it is often necessary to consider the possible presence of unobservable heterogeneity that characterizes microeconomic data. To better consider this phenomenon, we defined and applied a random effect logistic model, avoiding parametric assumptions upon the random effect distribution. This leads to a likelihood that is defined as the integral of the kernel density with respect to the mixing density, which has no analytical solution. This problem can be obviated by approximating the integral with a finite sum of kernel densities, each one characterized by a different set of model parameters. This discrete nature helps us in detecting non-overlapping clusters characterized by homogeneous values of insolvency risk, and in classifying firms to one of these clusters by means of estimated posterior probabilities of component membership.     

规范税费关系 推进地方公共财政制度创新

我国“要逐建立适应社会主义市场经济要求的公共财政框架”。公共财政理论认为，政府的主要职能是提供公共商品，满足公共需要。为提供公共商品，政府要以脱收与收费的形式占有和支配使用一部分经济资源。政府以何形式占有经济资源，是由所提供的公共商品的性质决定的，当前，我国的地方政府收费的膨胀和混乱，背离了公共财政的目标，妨碍了地方公共财政制度的建立，建立地方公共财政，要求一个充分体现公平与效率相结合的收入分配制度，而当前收入分配制度的建立，理顺税费关系，规范地方政府的收入行为是其必然要求。     

Rational expectations and corporate dividend policy

The problem of expectations formation has been either ignored or treated with very restrictive assumptions in traditional dividend adjustment models. Since these models are typically used to explain the dividend decisions of individual firms, a more satisfactory treatment of the process of expectations formation is needed. In order to analyze the dynamic dividend adjustment process, this article proposes a model, more general than previous ones, that is consistent with the rational expectations hypothesis. A nonlinear regression method is used to estimate the parameters of the model and to test the validity of the rational expectations hypothesis in dividend decisions making. The partial adjustment model with rational expectations explains dividend adjustments reasonably well. The overall results suggest that firms make use of available earnings information to form optimal future earnings forecasts; specifically, a firm's dividend adjustment process is completed in about two and a half quarters. This article also finds that the fourth-order serial correlation problem disappears after a generalized Tobit model is used for the parameter estimation.     

地方政府财政压力与银行信贷资源配置效率--基于我国城市商业银行的研究证据北大核心

基于2005-2015年我国城市商业银行的样本,本文研究省级地方政府财政压力是否对商业银行信贷资金投向和信贷资源配置效率产生影响。研究发现,地方政府财政压力是影响城市商业银行信贷资源配置的重要因素。具体而言,省级地方政府的财政压力越大,省内城市商业银行投向地方国有经济部门的贷款比率越高。然而,信贷资源更多投向地方国有经济部门的银行有更高的不良贷款率和更差的会计业绩。进一步研究发现,在财政压力大的省份,城市商业银行投向地方国有经济部门的贷款比率越高,则贷款拨备率越低,这表明城市商业银行会通过盈余管理行为来应对监管压力。本文研究结论对商业银行监管以及防范化解金融风险有重要启示。     

Rollout and regulation of Fibre-To-The-Premises networks. Insights from the Spanish case

In 2017, the coverage of Fibre-to-the-Premises (FTTP) infrastructure reached 71% of households in Spain, surpassing most of the other Member States of the European Union (EU) and only outweighed by Portugal, Latvia and Lithuania. This article analyses the factors that have contributed to the deployment of these fibre networks by both the incumbent and the alternative operators that previously relied on the Local Loop Unbundling (LLU) of copper cables. An investment-friendly regulatory framework, which did not mandate access to the optical loops, and a telecommunications market comprised of dissimilar actors in the fixed and mobile segments, have been key to the deployment of FTTP networks in Spain. Additionally, based on historical coverage data, we test retrospectively, the sensitivity of geographic market segmentation to the time of the analysis and criteria for potential NGA competition. As per the analysis, the unregulated area where facility-based competition may be expected range between 23% and 61% of the premises upon the case. We discuss the implications of having mandated a Virtual Unbundled Local Access (VULA) to New Generation Access (NGA) infrastructure in 2013, examining the most likely operators' strategies. We conclude that, in the Spanish market, an earlier regulation would have reinforced inter-platform NGA competition at the expense of more limited coverage. The analysis can provide policy-makers with useful insights about the trade-off between coverage and infrastructure competition.     

On the optimum number of levels in the one-way model with random effects

The optimal number of levels is studied for the one-way random model with normally distributed effects. The optimum criteria used are based on the variances of the traditional analysis of variance estimators of the variance components. Exact solutions are compared to earlier results based on lower bounds of the sampling variances. Comparisons are also made to the large-sample variances of the estimates based on restricted maximum likelihood. Received February 2002     

Bootstrap Tests for Multivariate Event Studies

Statistical tests for multivariate event studies—exact or asymptotic—are derived based on multivariate normality. As it has been previously documented that the performances of these tests are not satisfactory, because stock returns are far from normally distributed (especially for daily returns), this paper proposes the use of bootstrap methods, which are free from any specific distributional assumption, to provide better approximations to the sampling distributions of test statistics in multivariate event studies. The Monte Carlo experiments based on real daily returns data show that the bootstrap tests outperform the traditional tests by having close rejection rates to the nominal significance levels. The traditional tests, in contrast, tend to reject the null hypotheses too often.     

Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects

This paper introduces a parameterization of the normal mixture diffusion (NMD) local volatility model that captures only a short-term smile effect, and then extends the model so that it also captures a long-term smile effect. We focus on the ‘binomial’ NMD parameterization, so-called because it is based on simple and intuitive assumptions that imply the mixing law for the normal mixture log price density is binomial. With more than two possible states for volatility, the general parameterization is related to the multinomial mixing law. In this parsimonious class of complete market models, option pricing and hedging is straightforward since model prices and deltas are simple weighted averages of Black–Scholes prices and deltas. But they only capture a short-term smile effect, where leptokurtosis in the log price density decreases with term, in accordance with the ‘stylised facts’ of econometric analysis on ex-post returns of different frequencies and the central limit theorem. However, the last part of the paper shows that longer term smile effects that arise from uncertainty in the local volatility surface can be modeled by a natural extension of the binomial NMD parameterization. Results are illustrated by calibrating the model to several Euro–US dollar currency option smile surfaces.     

地方政府财政风险:表现形式、成因与防范

财政是政府实现其职能的重要手段和经济基础.目前我国财政状况相当严峻,财政风险已逐渐凸现.与中央政府相比,我国地方政府运行困难更大,而与之相伴的财政风险的危害也更大,并且具有向上级传导风险的特性,从而有可能给国家公共财政体系带来各类风险.本文试图从我国地方财政风险的表现形式入手,探索其形成的深层原因,并提出了防范地方财政风险的制度、政策建议.     

Sampling distribution of the relative risk aversion estimator: Theory and applications

Brown and Gibbons (1985) developed a theory of relative risk aversion estimation in terms of average market rates of return and the variance of market rates of return. However, the exact sampling distributions of the relative risk aversion estimators have not been derived. The main purpose of this paper is to derive the exact sampling distribution of an appropriate relative risk aversion estimator. First, we have derived theoretically the density of Brown and Gibbons' maximum likelihood estimator. It is shown that the centralt is not appropriate for testing the significance of estimated relative risk aversion distribution. Then we derived the minimum variance unbiased estimator by a linear transformation of the Brown and Gibbons' maximum likelihood estimator. The density function is neither a central nor a noncentralt distribution. The density function of this new distribution has been tabulated. There is an empirical example to illustrate the application of this new sampling distribution.