基于随机前沿分析的贷款定价效率研究

在同等条件下,高效率的贷款定价能够给银行带来更多的收益。本文将影响贷款定价的因素分成两部分：将成本因素设定为随机前沿生产函数的投入指标,将风险和其他因素设定为影响商业银行贷款定价效率的指标。通过建立商业银行贷款定价的随机前沿生产函数,研究商业银行的贷款定价效率。对中国33家商业银行2003--2012年的面板数据进行实证研究发现：大型商业银行因规模优势表现出了较高的效率;股份制银行和城市商业银行的贷款定价效率差异最大;在利率管制下,外资银行的技术优势没有体现出来。     

Marshallian Externalities And The Emergence And Spatial Stability Of Technological Enclaves *

Technological dualism often is found to be associated with the geographical clustering of firms that use the same techniques. To shed further light on these localization phenomena, we analyze the long-run dynamic behavior of a system in which firms' choices among alternative production methods (each of which requires a technique-specific input) are influenced by both firm-specific random shocks and Marshallian ‘industrial neighborhood’ effects. The latter are local factor market externalities that tend to lower the relative marginal costs d those inputs that are used most extensively in the immediate locale. The model developed here focuses on labor market externalities affecting the supply conditions for workers with technology-specific skills, and their effect on the choices made by producers at various sites whose choice of technique is subject to periodic revisions. A special structure familiar in the applied theory of Markov random fields, the stochastic Ising model. provides a reduced-form representation of this dynamic spatial system. The general properties of models of this type and their application in economics are considered. Discrete time numerical simulations of the behavior of an ensemble of firms (located at the nodes of a finite lattice formed on a two-dimensional (orus) shows that positive neighborhood externalities effects do not necessarily result in the uniquitous diffusion of one of the two available technologies. Instead. this system exhibits a spatially localized form of ‘technological dualism," in which at least two technological enclaves emerge and undergo path-dependent evolution. The temporal durations of these spatial patterns in technology adoption are affected by parameters of the Ising model that can be given a straightforward economic interpretation     

Risk-sensitive benchmarked asset management

This paper extends the risk-sensitive asset management theory developed by Bielecki and Pliska and by Kuroda and Nagai to the case where the investor's objective is to outperform an investment benchmark. The main result is a mutual fund theorem. Every investor following the same benchmark will take positions, in proportions dependent on his/her risk sensitivity coefficient, in two funds: the log-optimal portfolio and a second fund which adjusts for the correlation between the traded assets, the benchmark and the underlying valuation factors.     

The Impact of the Volatility of Monetary Policy Shocks

This paper studies the impact of the volatility of monetary policy using a structural vector auroregression (SVAR) model enriched along two dimensions. First, it allows for time‐varying variance of monetary policy shocks via a stochastic volatility specification. Second, it allows a dynamic interaction between the level of the endogenous variables in the VAR and the time‐varying volatility. The analysis establishes that the nominal interest rate, output growth, and inflation fall in reaction to an increase in the volatility of monetary policy. The analysis also develops a dynamic stochastic general equilibrium model enriched with stochastic volatility to monetary policy that generates similar responses and provides a theoretical underpinning of these findings.     

On certain inequalities by Steffensen

Abstract

Extract

In this note we are concerned with the inequalities published by Steffensen in this Journal under the title: ?On a generalization of certain inequalities by Tchebycheff and Jensen?. I will show how these inequalities are represented in one form by the integrals of Stieltjes. These integrals have the advantage of containing both sums and the integrals of Riemann. The proof of this generalized theorem is also more simple, which shows that this theorem appears only in this generalization in its most natural form.     

Determinants of bank cost efficiency in transition economies: evidence for Latin America,Central and Eastern Europe and South-East Asia

In this study, we adopt Wang’s (2002) heteroscedastic stochastic frontier model, which allows us to investigate bank cost efficiency and to measure the marginal effects of some variables on both the level and the variability of inefficiency. In recent years, the financial crisis has significantly affected the banking systems of the transition countries. Hence, the efficiency is of major importance for the stability of the banks. Regarding the determinants of efficiency, we find evidence that banks that follow a more cautious strategy, characterized by lower risk appetite and average expectations on profitability, have higher cost efficiency. We also find that traditional deposit-taking and loan-making still remain the most efficient activity of the banks. Additionally, the results showed that a higher Gross Domestic Product growth rate implies an increase in the inefficiency level, indicating an unsustainable bank management behaviour, which in periods of economic growth adopts policies that can generate inefficiency in order to gain market share and to obtain higher bonuses. Country cost efficiency results show significant differences. The banking systems in transition countries in South Eastern Asia appear to have a higher cost efficiency level. Also, the effects of the financial crisis were less significant in this region.     

Productivity growth of newly industrializing economies in heterogeneous capital goods markets: the case of the Korean machinery and equipment industry

Although many previous studies have investigated the economic growth of East Asian countries from the perspective of productivity growth, they have adopted a limited focus only on the national level or on the aggregated level and have overlooked the heterogeneity at the disaggregated level. Furthermore, only a few studies have examined the sources of the remarkable growth and trade performance of the Korean machinery and equipment industry, despite its importance for sustainable growth of national economy. Therefore, we investigated the Total Factor Productivity Growth (TFPG) of the Korean machinery and equipment industry and its 12 sub-sectors from 1970 to 2012 using the stochastic frontier production approach. As a result, we found that the industry has achieved labour input-driven TFPG largely due to technical progress. This is contrary to the previous result that East Asia has expanded the production frontier by capital accumulation. In contrast, in some sub-sectors, scale effect and allocation efficiency have driven TFPG. We also found distinctive patterns of TFPG across different sub-sectors from the perspectives of the effect of input factors and the pattern of technical progress. These results imply that policy makers should consider industry-specific policy designs that incorporate the specific characteristics of individual sub-sectors.     

R&D efficiency and heterogeneity – a latent class application for the OECD

Expenditures devoted to research and development (R&D) are scarce and thus need to be used as efficiently as possible given the financial constraints countries are facing. This article assesses the relative efficiency of R&D expenditures for 26 OECD member countries and two nonmember countries. As countries differ in their national innovation systems and states of economic development and industrialization, e.g. transition economies in Eastern Europe versus Asian countries versus Anglo-Saxon countries, the measurement of R&D efficiency needs to consider differences in the technology of knowledge production. By means of a latent class model for stochastic frontiers, we relax the assumption of a homogeneous technology frontier and model technological differences in knowledge production among countries. Empirical evidence suggests the existence of different classes stressing the importance of accounting for countries’ disparities within R&D efficiency analysis.     

Efficiency,heterogeneity and cost function analysis: empirical evidence from pathology services in the National Health Service in England

Pathology services are increasingly recognized as key to effective healthcare delivery – underpinning diagnosis, long-term disease management and research. To the extent that pathology services affect a patient’s treatment pathway, significant healthcare costs are influenced directly by the performance of these services. Given pressures on the UK Department of Health to make efficiency savings and that little is known about the efficiency of pathology laboratories, this area offers unlocked potential for efficiency gains. We adopt a time varying inefficiency model, with laboratory-specific time paths for inefficiency, to identify potential savings in pathology services based on a panel of 57 English laboratories over a 5 year period. We apply a range of approaches to account for observable and unobservable heterogeneity between laboratories. We find potential efficiency savings of 13% in pathology services in this sample, which implies the potential for an annual saving of £390m in pathology across the NHS. Our study also provides valuable insights into the impact of a range of factors influencing laboratory costs.     

Value at risk estimation by threshold stochastic volatility model

This article proposes a threshold stochastic volatility model that generates volatility forecasts specifically designed for value at risk (VaR) estimation. The method incorporates extreme downside shocks by modelling left-tail returns separately from other returns. Left-tail returns are generated with a t-distributional process based on the historically observed conditional excess kurtosis. This specification allows VaR estimates to be generated with extreme downside impacts, yet remains empirically widely applicable. This article applies the model to daily returns of seven major stock indices over a 22-year period and compares its forecasts to those of several other forecasting methods. Based on back-testing outcomes and likelihood ratio tests, the new model provides reliable estimates and outperforms others.