The explosive growth of the ABCP market between 2004 and 2007: A “search for yield” story

Abstract

The years immediately preceding the financial crisis of 2007 witnessed an explosive growth in the supplies both of the long-term securities issued by the shadow banking entities, the asset-backed securities (ABSs) and collateralized debt obligations (CDOs), and of the short-term securities issued by these entities, notably asset-backed commercial paper (ABCP). Although there is now some acknowledgment that the search for yield was the major driver of ABS and CDO growth in the United States, the same is not true of the U.S. ABCP market where other factors such as regulatory arbitrage on the part of banks or the safety and liquidity concerns of institutional investors are seen as having been the more important growth driving force. This article argues that the search for yield did play a crucial role in U.S. ABCP growth between 2004 and 2007. To back up this argument, the article points to four variables that were closely correlated with this growth: the federal funds rate; U.S. money market mutual funds asset holdings; the change in the geographical breakdown of the institutions supplying ABCP; and, finally, the change in the program breakdown of the ABCP market.     

Timeliness,transparency, and trust: A framework for managing online customer complaints

This article discusses several practical solutions for dealing with online customer complaints. Online complaints are inevitable; how a firm responds can make the difference. There are techniques that managers can use not only to minimize the detrimental impact of online complaints, but also to produce beneficial outcomes. Herein, we introduce our 3T framework, designed to help managers and support teams respond to online complaints in a thoughtful and measured way. We build on word-of-mouth research and several theories from marketing, service marketing, journalism, and business ethics. With so many reviews posted online every second, firms must employ best practices grounded in empirical research and solid conceptualization to deal with this important component of online customer service.     

Retail price responses to changes in wholesale prices in the US beef industry: differences among quality grades and primal cuts

This study examines the transmission of wholesale prices to retail prices for differentiated beef products. Specifically, we study vertical price movement for products differentiated by quality grades and primal cuts in the US beef industry. Our study considers two quality grades– United States Department of Agriculture (USDA) Choice and USDA Select, and three primal cuts– chuck, round and sirloin. Using threshold-based autoregressive and error correction models, and non-linear impulse response functions, we explore if characteristics of price adjustment differ by quality attributes of the products. Results show that there exists the ‘rocket and feather’ effect in the adjustment of retail prices of most beef grades and cuts in response to changes in wholesale prices, and such asymmetric adjustment effect is more pronounced for higher quality grade (Choice) than lower quality grade (Select). Evidence of similar price adjustment is found from the high-quality cut (sirloin). Our results underscore the differences in price adjustment by product quality in the US beef industry.     

我国经济水平与管道物流水平之间的作用研究——基于向量误差修正模型的应用

基于1990年到2014年国内生产总值、管道货运量、管道里程数的时间序列数据。在通过平稳性检验和协整检验后建立向量误差修正模型,并进行格兰杰因果分析和脉冲响应分析,对我国经济增长和管道物流之间的关系进行实证研究。通过协整检验可以得到,各变量之间确实存在着长期的均衡关系。格兰杰因果检验分析表明：在10%的显著性水平下,国内生产总值与管道货运量之间存在着单向格兰杰因果关系,管道货运量不是经济增长的格兰杰原因,其他变量之间在5%的显著性水平下都通过了格兰杰因果检验。脉冲响应函数得出：给GDP和管道里程数一个正向冲击,长期来看都会促进管道货运量的增长,而给管道货运量一个正向冲击,没有表现出拉动经济增长的效果,可以说明管道物流发展水平还处于初级阶段,有关部门应该调整管道货运政策,更好的发挥管道这一运输方式的作用。     

Empirical forecasting of slow-onset disasters for improved emergency response: An application to Kenya’s arid north

Mitigating the negative welfare consequences of crises such as droughts, floods, and disease outbreaks, is a major challenge in many areas of the world, especially in highly vulnerable areas insufficiently equipped to prevent food and livelihood security crisis in the face of adverse shocks. Given the finite resources allocated for emergency response, and the expected increase in incidences of humanitarian catastrophe due to changing climate patterns, there is a need for rigorous and efficient methods of early warning and emergency needs assessment. In this paper we develop an empirical model, based on a relatively parsimonious set of regularly measured variables from communities in Kenya’s arid north, that generates remarkably accurate forecasts of the likelihood of famine with at least 3 months lead time. Such a forecasting model is a potentially valuable tool for enhancing early warning capacity.     

Economic measures of tourism yield: what markets to target?

An understanding of the yield potential of different source markets and segments can underpin destination marketing by both public and private sector organisations. The standard yield measure relates to expenditure injected into a destination from different market segments. This measure has several limitations, which are discussed in the paper. With the increasing sophistication of economic models such as computable general equilibrium, models, it is now feasible to develop new and more useful measures of tourism yield, which directly measure the gains to different stakeholders. Several economy‐wide impact measures of yield are developed and contrasted for selected Australian inbound tourism markets. The measures produce conflicting signals for public and private sector tourism marketers and planners. The reward from further research in developing and operationalising yield measures is more informed policy‐making by destination managers in respect of destination marketing and new product development, resulting in greater economic gains from inbound tourism. Copyright © 2008 John Wiley & Sons, Ltd.     

Yield Spread and Term to Maturity: Default vs. Liquidity

The aim of this paper is the analysis of the yield spreads between Treasury and non–Treasury Spanish fixed income assets and its relationship with the term to maturity. We find a downward sloping term structure of yield spreads for investment–grade bonds that seems to be contrary to the 'crisis at maturity' theory. However, we claim that this outcome is caused mainly by the effect of liquidity on yield spreads. Once the effect of liquidity and other factors are removed we find that there is a positive relationship between default premiums and term to maturity. That result is now consistent with the existing literature.     

Measuring Potential GSE Funding Advantages

As the size of government sponsored enterprises (GSE) has grown, attention has focused on the relationship between the federal government and the GSEs, with particular attention focused on estimating the impact of this relationship on GSE debt costs. Quantifying the GSEs cost advantage is a controversial exercise with several competing methodologies providing divergent values. Thus, this paper reviews the methods that have been utilized in previous studies and recommends an alternative approach that overcomes many of the criticisms of previous work. By using offering yields on GSE debt, we find that the three housing GSEs enjoyed an average advantage of between 25 and 29 basis points over AA banking sector bonds, between 43 and 47 basis points over A rated bonds, and between 76 and 80 basis points over BBB rated banking issues. We find that our results are robust to both the basic approach taken as well as to model specification.     

破产风险对项目评价的影响

在项目可行性研究中，在资金成本低于项目的内部收益率情况下，项目负债比率越大，项目的内部收益率会越大，按内部收益率评价标准，项目的可行性会越高。实际上，项目评价时并非负债率越高越好。针对上述矛盾，引入破产风险对项目评价的影响，从而在理论上回答了为什么由于财务杠杆的影响而提高的内部收益率不能作为项目评价的唯一指标。     

From dividend yield to discounted cash flow: a history of UK and US equity valuation techniques

This article explores how, as capital markets developed, equity valuation methods changed. The history of equity valuation is described, from its early origins during the South Sea Bubble, through the new issue boom of the nineteenth century and the stock market booms of the 1920s and 1950s. The moves from dividend yield and asset backing, to earnings yield and then P/E ratios are chronicled. The article compares developments in the UK and the US, in particular the relative slowness of the UK market to adopt US-pioneered techniques such as the P/E ratio, the concept of value versus growth stocks, and using intrinsic value to determine whether shares are cheap or dear. The article concludes with a discussion of the relatively slow introduction of the dividend discount model and of discounted cash flow as equity valuation tools on both sides of the Atlantic.