Christodoulakis and Mamatzakis (2009, Journal of Applied Econometrics 24, pp. 583–606) estimate the EU Commission loss preferences for selected economic forecasts of 12 EU Member States. They employ the generalized method of moments (GMM) estimation procedure proposed by Elliott et al. (2005, Review of Economic Studies 72, pp. 1107–1125) and find the forecasts to be somewhat optimistic on average. However, this note shows the GMM estimator to possess nonstandard limiting distributions when some of the instruments are highly persistent, which is the case with one of the instruments employed by Christodoulakis and Mamatzakis. Standard distributions are recovered in some interesting particular cases which are relevant in practice. A reexamination of the EU Commission loss preferences using methods robust to persistence and a dataset extended to 2017 reveals that, while the conclusions of the original study are, by and large, still justified, the EU Commission loss preferences have become more symmetric over the whole studied period. 相似文献
Romanian policy makers have to perceive that human intervention on river basins land cover is influencing rainfall-runoff relation and the used methodology cannot accurately estimate watershed surface flow transformations. Global water cycles and energy fluxes understanding is leading to better predictions of land atmosphere interaction and local hydro-climates evolution. The water transfer time determination from rainfall to runoff needs accurate measurements of river basins hydrological parameters. Here, we analyzed and compared the lag time value results of two different methodologies (curve number and rational methodology) used for 54 Romanian small catchment areas study. The focus of this paper is the lag time evaluation and interpretation for an effective implementation of the best methodology approach in the Romanian geographical space. Our research in small river basins was developed using remote sensing technology maps, GIS and environmental datasets in combination with field work on every drainage basin in order to assess the specific morphological features and validate the land cover typology. We found that Soil Conservation Service - Curve Number (SCS-CN) method is widely used according to USA landscape features classification, but not necessarily applicable to Romanian river basins characteristics. Our results show how the official Romanian rational methodology national standard (RNS) can be improved and the limits of SCS-CN method.
Decisions in Economics and Finance - The entry into force of the Solvency II regulatory regime is pushing insurance companies in engaging into market consistence evaluation of their balance sheet,... 相似文献
Using a measure of default likelihood based on an option pricing method, we provide evidence that Fed policy actions affect the financial distress of commercial banks. When the Fed increases (decreases) interest rates, the measure of default likelihood increases (decreases). We show that when the Fed uses a tight money policy, the increase in default likelihood is more pronounced for banks that have less capital, have greater financial leverage, are smaller, have fewer growth opportunities, and have lower asset quality. Additionally, the effects on bank default likelihood are more pronounced when the Fed's policy signals less concern about economic growth, as indicated by its bias toward further tightening, and when there is a market expectation of higher short‐term market rates in the future. 相似文献
Bütgenbach Reservoir is situated in the High Ardennes plateau in eastern Belgium (50°25′N; 6°13′E). It is used principally for flood control and for production of hydroelectric energy. It has been subjected to a previous series of studies because of its eutrophication problems and their impacts on the local economy. Bütgenbach Reservoir was emptied during spring 2004 for dam restoration, being refilled in mid‐September of the same year. Selected physicochemical and biological parameters (temperature, dissolved oxygen, pH, inorganic and organic nutrients, chlorophyll‐a) were measured fortnightly during the lake's productive season (mid‐April to mid‐October 2005) at three sampling sites throughout the water column. The water quality conditions after refilling of the lake were compared to previous studies accomplished at the same sampling sites (prior to emptying the lake). The actual trophic status was mesotrophic to eutrophic, based on the combination of total phosphorous and chlorophyll‐a concentrations, as well as water transparency. Bütgenbach Reservoir generally exhibits good water quality, based on the French water quality system SEQ‐eau. A longitudinal decrease in water quality was observed from upstream to downstream, because mainly of the differences in lake bottom morphology and water residence time, and their impacts on nutrient distribution in the lake. 相似文献
While it is crucial to understand the impact of regulatory changes on market risk, the literature does not show how risk responds to expected regulatory changes that are specifically designed to change risk. Our paper fills this gap by providing a detailed study of one such case. Using both a sample of privatized U.K. companies, and U.K. and U.S. control portfolios, between 1993 and 2000, we show (both for the single-factor market model and the three-factor Fama-French model) that the observed changes in market risk are significant and consistent with theory. 相似文献