Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies

This study examines the dependence and contagion risk between Bitcoin (BTC), Litecoin (LTC) and Ripple (XRP) using non-parametric mixture copulas (developed by Zimmer, 2012) and recently proposed methods of full-range tail dependence copulas (advanced by Hua, 2017, Su and Hua, 2017), for the period from 04-08-2013 to 17-06-2018. The Chi-plots and Kendall plots results show heavy tail dependence between each pairs of the cryptocurrencies. Evidence from the mixture copula indicates that for the BTC-LTC pair the upper-tail dependence is both stronger and more prevalent, while for the other pairs of cryptocurrencies the lower-tail dependence is very strong and more prevalent. However, the results of the full-range tail dependence copulas reveal a strong and prevalent upper and lower-tail dependence of each pairs of cryptocurrencies. These results provide evidence of significant risk contagion among price returns of major cryptocurrencies, both in bull and bear markets.     

Supply chain risk analysis: a shipbuilding industry case

A lack of empirical studies on Supply Chain Risk Management (SCRM) is observed, especially in the industries of large projects. Therefore, this paper conducts a risk analysis on the Brazilian Shipbuilding Industry by generating an initial risk profile. A panel was conducted with executives from major shipyards, and the primary risks were identified, assessed, and evaluated. Findings corroborate the academic literature, reinforcing that companies recognise the importance of SCRM, but the concept is incipient and far from being successfully implemented in real life. Despite the fact that the shipyards identified important risks, the focus was on internal factors. Because the industry was exposed to risks from the external environment, no risk mitigation actions existed, resulting in the bankruptcy of many shipbuilders. This research is an initial step toward investigating SCRM techniques, offering academics a novel empirical approach that can serve as a systematic risk management tool for supply chain planning.     

Effects of subject pool culture and institutional environment on corruption: Experimental evidence from Albania

This research uses experimental methods to investigate whether subject pool culture and institutional environment have an effect on participants’ corrupt behavior in the laboratory. While we find that subject pool culture does not affect the overall magnitude of corruption of laboratory participants, it does affect the likelihood of corruption and its distribution. Additionally, we find that the effect on corrupt behavior differs with the framing of the experiment’s instructions. Interestingly, in the context of a weak rule of law and high levels of corruption, loaded negative instructions positively affect corrupt behavior of firms and public officials. Previous research in the context of a country exhibiting a strong rule of law and low levels of corruption finds no framing effects. We also find that increasing the probability of detection significantly reduces corruption as measured by the amount of the bribes offered/accepted and the probability of offering/accepting a bribe. Finally, we find that individual risk preferences negatively affect the level of corrupt behavior.     

技术创业型企业孵化资本投入的风险管控——来自多案例对比

待孵化的技术创业型企业同时具有概念性技术向差异化产品转化的高风险与产品异质性被认同后溢价评估的高收益特点，导致其投资者多处于隔岸观火却欲罢不能的的孵化投资矛盾中。对孵化资本实施有效的风险管控，成为吸引外部资本投入的关键。基于此，选择在可创概念选育与技术创业孵化领域探索出高成功率路径的概念证明中心、YCombinator和创新工场为研究案例，分析其在创业项目筛选、孵化资金运营等关键环节的风险管控方式，以期完善我国孵化资本管控理论、助力我国商业孵化器提高资金风险管控能力、促进外部资本投入。     

Farm size and smallholders’ use of intercropping in Northwest China

Intercropping, i.e. the cultivation of crop species mixtures, can potentially reduce pressure on land resources by generating higher yields through exploitation of complementarities between crop species. Although intercropping is practiced on a non-negligible proportion of China’s arable land, little is known about the factors that influence farmers’ decisions to use intercropping. In this study we develop a theoretical framework that distinguishes exogenous factors from endogenous factors in farmers’ activity choices in general and the use of intercropping in particular. We apply this framework in an empirical analysis of socio-economic factors affecting the use of traditional and novel relay intercropping systems, with a special focus on the impact of farm size, using primary data collected among 299 farmers in Gaotai County, northwest China. We find that large farms do no not plant more land with the traditional wheat/maize intercrop as compared to small farms, while land planted with the two novel intercrops is significantly larger on large farms. Availability of machinery has no negative effect on the area under intercropping, and has a significant positive effect on the use of one novel intercrop type. Our results confirm that risk considerations do not play a role in relay intercropping use decisions of Chinese farmers. We conclude that positive yield and natural resource effects of intercropping can still be realized if the ongoing farm scale enlargement policy is combined with a policy promoting novel intercropping types, particularly those types that can make use of already available machinery.     

Cooperative game with nondeterministic returns

We study a non-traditional cooperative game where returns from coalitions are nondeterministic. The long-standing concept of core can be generalized to reflect players’ contentment with their allocations. It is now imperative to formalize the restrictions, such as those pertaining to information, on allocations. The latter are also at times more conducive to fractional representations. With probabilistic structures added, nondeterministic returns become random variables, utility functions attain risk-attitude connotations, and the timing of players’ allocation resolutions gains significance. Under various conditions for utility functions, we show how various core concepts of the general game can be related to its traditionally defined auxiliaries. These developments help pave the way for our illustrations, within two distinct settings, that players’ increased risk aversion would promote the formation of the grand coalition.     

Credit risk pricing and the rationality of lending decision-making within dual banking systems: A parametric approach

The reduction of non-performing loans, and making correct provisions for them, plays a primary role in the management and minimization of banking credit risk. However, these actions depend primarily upon the cost at which banks may dispose of these bad loans. Hence, this study aims to perceive the price of banks’ credit risk via estimating the shadow price of non-performing loans. We assess and compare the perceived price of the credit risk of Islamic and conventional banks operating in 9 countries from the Middle East and Asia, using a quadratic directional distance function. Following this, we evaluate the impact of different settings of directional vectors on shadow prices by conducting a risk-sensitivity analysis. Applying bootstrap regression, the factors affecting NPLs’ prices are further investigated. The paper concludes that the estimation of the shadow prices of bad loans can provide important elements in favor of credit risk management and, therefore, credit risk mitigation.     

Risk,uncertainty, and leverage

Using mostly theoretical models and traditional risk/uncertainty measures (VIX index, panic, precaution, scary bad news, etc.), the current literature tries to clarify the risk/uncertainty-deleveraging pattern. The findings are not sufficient to explain the dynamic empirical relationship between modern risk/uncertainty indicators and leverage. We fill this gap in the literature by using US quarterly data, from 1985:1 to 2018:4, Granger causality tests, and a structural vector autoregression model. We find that commercial bank leverage rises when geopolitical risk and macroeconomic, policy, and equity uncertainty increase. Client-based business relationships of banks and high government borrowing from banks during crises periods are responsible for this relationship. We find that the leverage of broker-dealers and shadow banks declines when Chicago risk and macroeconomic, policy, financial, and equity uncertainty increase. We argue that the vulnerability of broker-dealers and shadow banks to the risk/uncertainty of the entire market system is responsible for this relationship.     

Contagion effects and risk transmission channels in the housing,stock, interest rate and currency markets: An Empirical Study in China and the U.S.

This paper aims to investigate the crisis linkage and transmission channels within the housing, stock, interest rate and the currency markets in the U.S. and China in the past decade since the 2008 Subprime Mortgage Crisis. Two hybrid models, namely the SWARCH-EVT-Copula and the Bivariate SWARCH-EVT models, are proposed and applied in order to take into account (A) the high/low volatility regimes, (B) the interdependence structure inherited from the joint tail behaviours, as well as, (C) the risk spillover dynamics among financial sectors during market turmoils. We empirically show that the housing and stock markets share the strongest linkage and play central roles in the spreading of shocks. With a highly integrated system, the American financial sectors are under greater exposure to risk contagion and systemic risk during crises than the Chinese markets. Nevertheless, the exchange rate risk of Renminbi remains at an intensive level since its “crawl-like arrangement” and leads to increasing co-movements in the stock and interest rate markets since 2014.     

Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network

This paper investigates the systemic risk spillovers and connectedness in the sectoral tail risk network of Chinese stock market, and explores the transmission mechanism of systemic risk spillovers by block models. Based on conditional value at risk (CoVaR) and single index model (SIM) quantile regression technique, we analyse the tail risk connectedness and find that during market crashes, stock market exposes to more systemic risk and more connectedness. Further, the orthogonal pulse function shows that Herfindahl-Hirschman Index (HHI) of edges has a significant positive effect on systemic risk, but the impact shows a certain lagging feature. Besides, the directional connectedness of sectors shows that systemic risk receivers and transmitters vary across time, and we adopt PageRank index to identify systemically important sector released by utilities and financial sectors. Finally, by block model we find that the tail risk network of Chinese sectors can be divided into four different spillover function blocks. The role of blocks and the spatial spillover transmission path between risk blocks are time-varying. Our results provide useful and positive implications for market participants and policy makers dealing with investment diversification and tracing the paths of risk shock transmission.