A new bivariate distribution in natural exponential family

We propose a new bivariate distribution following a GLM form i.e., natural exponential family given the constantly correlated covariance matrix. The proposed distribution can represent an independent bivariate gamma distribution as a special case. In order to derive the distribution we utilize an integrating factor method to satisfy the integrability condition of the quasi-score function. The derived distribution becomes a mixture of discrete and absolute continuous distributions. The proposal of our new bivariate distribution will make it possible to develop some bivariate generalized linear models. Further the discrete correlated bivariate distribution will also arise from an independent bivariate Poisson mass function by compounding our proposed distribution (Iwasaki and Tsubaki, 2002).Received March 2003     

Statistical Methodologies for the Market Risk Measurement

This paper classifies statistical methodologies available for the marketrisk measurement. With the help of the weighted likelihood, a broad class ofnon-normal distributions, which are not generally considered so far, areapplied to possibly hetero-scedastic financial variables. The approach is compared with popular procedures such as GARCH and J. P. Morgan's using daily dataof 12 financial variables.     

THE FUTURE OF THE PANAMA CANAL IN A COMPETITIVE WORLD*

With the termination of the Panama Canal Treaty, a new mode of canal operation can be expected. The treaty affects the transfer of the Panama Canal from the United States to the Government of Panama at the end of the year 1999. Whether or not the Panamanian Government will maintain the current price of canal passage is the major concern of this paper. This paper forecasts the future traffic in the canal, and examines possible changes in canal pricing along with possible actions of canal users, under the framework of a gaming situation. The feasibility of building a new canal is also examined.     

Resolvable semi-balanced incomplete split-block designs

A method for constructing some new incomplete split-block designs with desirable properties is given. The new class of the designs is characterized with respect to the general balance property. Moreover, the efficiency factors of the designs proposed are given.Received: July 2003 / Revised: November 2003     

Optimality and efficiency of incomplete split-block designs

In this paper, a balanced incomplete split-block design (BISBD) is shown to be universally optimum for the estimation of the interaction effects with respect to each of the intra-plot stratum estimation and the GLSE. Furthermore, the efficiency factor of an optimal design is investigated.     

Bank competition and monetary policy

There is an apparent theoretical discrepancy between the effects of monetary policy shocks on economies with differently competitive banking sectors. We employ cross-country data to investigate this hypothesis with two different approaches. First, using aggregate data we analyze the correlation between two indices: (i) a cumulative impulse response function providing an index of the effect of monetary policy shocks; and (ii) Panzar and Rosse's H-statistic as an index of the state of bank competition. Second, using disaggregated data we regress bank lending on the interaction of bank competition and monetary policy shocks. The first approach does not provide any evidence of a relationship between monetary policy shocks and bank competition. However, the second approach suggests that competition in the banking industry leads to smaller monetary policy effects on bank lending.     

Price discovery of subordinated credit spreads for Japanese mega-banks: Evidence from bond and credit default swap markets

This paper investigates the determinants and dynamics of subordinated credit spreads for Japanese mega-banks using the bond and credit default swap (CDS) spreads. The main findings are as follows. Subordinated bond and CDS spreads are cointegrated in most cases, and the CDS spread plays a more dominant role in price discovery than the bond spread. In addition, there are significant volatility spillovers from the CDS to bond spread. This information leadership for the CDS spread can largely be explained by stronger reactions of the CDS spread to some financial market variables and bank-specific accounting variables than the bond spread.     

The burden of multiple sclerosis in Japan

Aims: Multiple sclerosis (MS) is a disabling autoimmune disease affecting the central nervous system. Few studies have examined the effect of MS on patient outcomes in Japan. The study aim was to quantify MS burden in Japan by comparing MS respondents to matched controls on patient outcomes.

Materials and methods: Data from seven administrations of the nationally representative Japan National Health and Wellness Survey (2009–2014 and 2016) were used (n?=?181,423). Respondents self-reporting MS diagnosis were compared with respondents not reporting MS. Matched controls were selected using propensity scores. Respondents with MS and matched controls were compared on health-related quality-of-life (HRQoL), work productivity and activity impairment, healthcare resource utilization, and costs. Comparisons were made using Chi-square tests or one-way ANOVAs.

Results: A total of 96 respondents with MS and 480 matched controls were included in the analyses. MS respondents reported worse mental (44.35 vs 47.51, p?p?p?p?p?p?p?Limitations: Japan NHWS data are cross-sectional, and causal relationships cannot be established. Due to the self-reported nature of the data, responses could not be independently verified.

Conclusions: Results suggest MS in Japan is associated with poorer HRQoL and greater work and activity impairment, healthcare resource use, and costs. Improved MS management could benefit both patients and society.     

Why do Japanese regional banks issue subordinated debts?

This paper empirically investigates the determinants of subordinated debt issuance by Japanese regional banks during the period of 2000–2007 using a probit model. The empirical results suggest the following. (i) Throughout the period, Japanese regional banks with a lower capital ratio tended to have a higher incentive to issue subordinated debts due possibly to their counting as Tier 2 capital under the Basel Accord. (ii) During the period of banking instability (2000–2003), subordinated debt investors tended to use financial variables such as the non-performing loan ratio, ROA, and ROE to screen good banks. (iii) During the period after the banking system regained stability (2004–2007), investors tended to pay less attention to the above variables due chiefly to the mitigated default risk of these banks.