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Multi-Period Credit Default Prediction with Time-Varying Covariates 基于时变协变量的多周期信用违约预测
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2011-11-22 DOI: 10.2139/ssrn.1788826
W. Orth
{"title":"Multi-Period Credit Default Prediction with Time-Varying Covariates","authors":"W. Orth","doi":"10.2139/ssrn.1788826","DOIUrl":"https://doi.org/10.2139/ssrn.1788826","url":null,"abstract":"In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time-varying covariates like balance sheet or stock market variables. If the prediction horizon covers multiple periods, this leads to the problem that the future evolution of these covariates is unknown. Consequently, some authors have proposed a framework that augments the prediction problem by covariate forecasting models. In this paper, we present simple alternatives for multi-period prediction that avoid the burden to specify and estimate a model for the covariate processes. In an application to North American public firms, we show that the proposed models deliver high out-of-sample predictive accuracy.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81371547","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Supplementary Material for 'Asset Pricing Restrictions on Predictability: Frictions Matter' “对可预测性的资产定价限制:摩擦很重要”的补充材料
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2011-11-11 DOI: 10.2139/ssrn.1764328
Frans de Roon, M. Szymanowska
{"title":"Supplementary Material for 'Asset Pricing Restrictions on Predictability: Frictions Matter'","authors":"Frans de Roon, M. Szymanowska","doi":"10.2139/ssrn.1764328","DOIUrl":"https://doi.org/10.2139/ssrn.1764328","url":null,"abstract":"This note contains supplementary material for \"Asset Pricing Restrictions on Predictability: Frictions Matter.\"","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"80 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73724360","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Predicting Swings in Exchange Rates with Macro Fundamentals 用宏观基本面预测汇率波动
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2011-10-28 DOI: 10.2139/ssrn.1878369
Shiu‐Sheng Chen
{"title":"Predicting Swings in Exchange Rates with Macro Fundamentals","authors":"Shiu‐Sheng Chen","doi":"10.2139/ssrn.1878369","DOIUrl":"https://doi.org/10.2139/ssrn.1878369","url":null,"abstract":"This paper investigates fundamentals-based exchange rate predictability from a different perspective. We focus on predicting currency swings (major trends in depreciation or appreciation) rather than on quantitative changes of exchange rates. Having used a nonparametric approach to identify swings in exchange rates, we examine the links between fundamentals and swings in exchange rates using both in-sample and out-of-sample forecasting tests. We use data from 12 developed countries, and our empirical evidence suggests that the uncovered interest parity fundamentals and Taylor rule model with interest rate smoothing are strong predictors of exchange rate swings.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88333084","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Estructura Optima de Capital Para Flujos de Caja Finitos (Optimal Capital Structure for Finite Cash Flows) 有限现金流下的最优资本结构
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2011-10-21 DOI: 10.2139/SSRN.1826264
Felipe Mejia-Pelaez, Ignacio Vélez-Pareja, J. Kolari
{"title":"Estructura Optima de Capital Para Flujos de Caja Finitos (Optimal Capital Structure for Finite Cash Flows)","authors":"Felipe Mejia-Pelaez, Ignacio Vélez-Pareja, J. Kolari","doi":"10.2139/SSRN.1826264","DOIUrl":"https://doi.org/10.2139/SSRN.1826264","url":null,"abstract":"This paper has an English version and can be downloaded from: http://ssrn.com/abstract=1799605En este trabajo se muestra como encontrar la estructura optima de capital y el valor con un endeudamiento constante y variable periodo a periodo, cuando la tasa de descuento para el ahorro de impuestos es Ke, el costo de capital apalancado. Se presentan procedimientos numericos y expresiones recursivas compactas no circulares para los casos de periodos finitos y perpetuidades, lo que facilita el calculo y el analisis, incluyendo simulaciones de Monte Carlo. Asimismo, se ilustra el procedimiento en hoja de calculo con Solver como una verificacion.Ver las diapositivas que acompanan y complementan este documento en: El Juego De La Gallina Ciega: Buscando La Estructura Optima De Capital This paper shows how to proceed to find the optimal capital structure and value with period-to-period constant and variable leverage, when the discount rate for Escudo fiscal is Ke, the cost of levered equity. Numerical procedures and recursive closed-form non-circular expressions for the finite-period and perpetuity cases are presented, which facilitate any kind of implementation including Monte Carlo simulations. In addition, we illustrate the optimizing procedure with Solver for checking purposes.See the PowerPoint slides that accompany and complement this paper at: El Juego De La Gallina Ciega: Buscando La Estructura Optima De Capital","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"3 2 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74955516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Corporate Lobbying, Political Connections, and the 2008 Troubled Asset Relief Program 企业游说、政治关系和2008年问题资产救助计划
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2011-09-30 DOI: 10.2139/ssrn.1878653
Benjamin M. Blau, Tyler Brough, D. Thomas
{"title":"Corporate Lobbying, Political Connections, and the 2008 Troubled Asset Relief Program","authors":"Benjamin M. Blau, Tyler Brough, D. Thomas","doi":"10.2139/ssrn.1878653","DOIUrl":"https://doi.org/10.2139/ssrn.1878653","url":null,"abstract":"Political involvement has long been shown to be a profitable investment for firms that seek favorable regulatory conditions or support in times of economic distress. But how important are different types of political involvement for the timing and magnitude of political support? To answer this question, we take a comprehensive look at the lobbying expenditures and political connections of banks that were recipients of government support under the 2008 Troubled Asset Relief Program (TARP). We find that firms that lobbied or had other types of political connections were not only more likely to receive TARP funds, they also received a greater amount of support earlier than firms that were not politically involved through lobbying or direct political connections. For every dollar spent on lobbying during the five years prior to the TARP bailout, firms received between $485.77 and $585.65 in TARP support.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"3 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75038122","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Murdering Mr. Market: An Equity Valuation and Capital Allocation Model for Long-Term Value-Investors 谋杀市场先生:长期价值投资者的股权估值和资本配置模型
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2011-09-29 DOI: 10.2139/ssrn.1935365
M. Rajaratnam, B. Rajaratnam, K. Rajaratnam
{"title":"Murdering Mr. Market: An Equity Valuation and Capital Allocation Model for Long-Term Value-Investors","authors":"M. Rajaratnam, B. Rajaratnam, K. Rajaratnam","doi":"10.2139/ssrn.1935365","DOIUrl":"https://doi.org/10.2139/ssrn.1935365","url":null,"abstract":"We present an equity valuation model that is in the spirit of the long-term value-investors Benjamin Graham and Warren Buffett. Taking a longer term view of business prospects and business risks, we explicitly consider Schumpeter’s forces of creative destruction as the central tenet of our model and capture its effect in a probabilistic manner. Assuming that our investor has log utility, we show that our valuation model answers the question of how much capital to allocate. Unlike CAPM, our model does not enforce the Efficient Market Hypothesis and qualitatively explains some well-known empirical studies on stock returns in existing literature.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"38 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80079789","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Disasters and Development: Natural Disasters, Credit Constraints and Economic Growth 灾害与发展:自然灾害、信贷约束与经济增长
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2011-09-29 DOI: 10.2139/ssrn.1843494
T. McDermott, F. Barry, R. Tol
{"title":"Disasters and Development: Natural Disasters, Credit Constraints and Economic Growth","authors":"T. McDermott, F. Barry, R. Tol","doi":"10.2139/ssrn.1843494","DOIUrl":"https://doi.org/10.2139/ssrn.1843494","url":null,"abstract":"Using a simple two-period model of the economy, we demonstrate the potential effects of natural disasters on economic growth over the medium to long term. In particular, we focus on the effect of such shocks on investment. We examine two polar cases: an economy in which agents have unconstrained access to capital markets, versus a credit-constrained version, where the economy is assumed to operate in financial autarky. Considering these extreme cases allows us to highlight the interaction of disasters and economic underdevelopment, manifested through poorly developed financial markets. The predictions of our theoretical model are tested using a panel of data on natural disaster events at the country-year level, for the period 1979–2007. We find that for countries with low levels of financial sector development, natural disasters have persistent negative effects on economic growth over the medium term. These results are robust to various checks.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"15 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86700427","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 99
Equity Tail Risk Before and after the Financial Crisis 金融危机前后的股票尾部风险
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2011-09-28 DOI: 10.2139/ssrn.1935035
Andreas Steiner
{"title":"Equity Tail Risk Before and after the Financial Crisis","authors":"Andreas Steiner","doi":"10.2139/ssrn.1935035","DOIUrl":"https://doi.org/10.2139/ssrn.1935035","url":null,"abstract":"We try to reconcile the popular opinion that the Financial Crisis has fundamentally altered equity risk characteristics with empirical data. Our analysis based on Extreme Value Theory suggests that equity tail risks have remained remarkably stable. This means that the loss dynamics of S&P 500 experienced since October 2007 could have been anticipated by equity investors as well as equity investment managers performing quantitative risk analysis.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"27 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81035330","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Changes in the Constituents of the S&P 500 Index and the Performance of the Index 标准普尔500指数成分股的变化和指数的表现
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2011-09-24 DOI: 10.2139/ssrn.1933197
Ebenezer Asem, S. Alam
{"title":"Changes in the Constituents of the S&P 500 Index and the Performance of the Index","authors":"Ebenezer Asem, S. Alam","doi":"10.2139/ssrn.1933197","DOIUrl":"https://doi.org/10.2139/ssrn.1933197","url":null,"abstract":"We investigate whether performance enhancement motivates the changes to the constituents of the Standard and Poor’s 500 Index, and whether these changes in fact enhance the Index’s performance. To test these, we compare the performance of the stocks that were deleted from the Index to the performance of those that were added before and after the delete/add events. Our results show that stocks that were added to the Index outperform those that were replaced before the events, suggesting that performance enhancement is a driver of the S&P committee’s delete/add decisions. Also, we find that the stocks that were added to the Index outperform those that were replaced after the events, indicating the delete/add events enhance the Index’s performance.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"42 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85861125","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
House Prices and Home Ownership: A Cohort Analysis 房价与住房所有权:一个队列分析
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2011-09-23 DOI: 10.2139/ssrn.1932634
R. Bottazzi, Thomas F. Crossley, M. Wakefield
{"title":"House Prices and Home Ownership: A Cohort Analysis","authors":"R. Bottazzi, Thomas F. Crossley, M. Wakefield","doi":"10.2139/ssrn.1932634","DOIUrl":"https://doi.org/10.2139/ssrn.1932634","url":null,"abstract":"England has very volatile house prices. We use pseudo-panel data spanning multiple house-price cycles over nearly forty years, to assess the extent to which house prices affect access to home ownership by age thirty, and whether differences in ownership rates persist. We find that ownership rates at age thirty have varied substantially, with this variation significantly related to prices. Measurement error problems - attenuation bias and other biases - complicate an analysis of the persistence of these differences in ownership. We use two methods - including one that develops the ideas of Deaton (1985) - to deal with this and find robust evidence that cohorts with low ownership rates at thirty close about 80% of the ownership gap by age forty.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"48 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89922936","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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