ERN: Panel Data Models (Multiple) (Topic)最新文献

{"title":"The Use of Financial Contracting Arrangements to Constrain Rent-Seeking Behaviour of Managers of Subsidiary Firms: Evidence from UK and US Multinational Subsidiary Firms","authors":"R. Suban, M. Bowe, M. Yamin","doi":"10.2139/ssrn.2144101","DOIUrl":"https://doi.org/10.2139/ssrn.2144101","url":null,"abstract":"We propose and test two hypotheses on how multinational (MNC) parents can use different financial contracting arrangements when financing their subsidiaries in order to constrain the rent-seeking behavior of subsidiary management. Furthermore, we also examine how the MNC parent can effectively enhance the monitoring of their subsidiaries by delegating this function to external financial institutions. One hypothesis analyses the use of short-term debt. The second hypothesis investigates the use of short-term external debt. Moreover, our analysis is enriched by investigating these two hypotheses in two different settings, namely by comparing between UK domestic and UK subsidiary firms and by comparing UK and US subsidiary firms. This enables us to measure the subsidiary effect and the location/distance effect. Using an unbalanced panel data of 11762 and 10096 firm-year observations we find that UK subsidiaries have more short-term debt and more short-term external debt compared to equivalent UK domestic firms and that US subsidiaries have more short-term debt and less short-term external debt compared to equivalent UK subsidiaries. Our results are both statistically and economically significant. We find these results in spite of our domestic firms being larger, being more profitable, having higher growth opportunities, and having higher tangibility, all factors which should translate in higher amounts of debt. Our results are robust, even after controlling for all the variables that have been found to affect leverage in the literature and when we use a matched sample approach to test our hypotheses. Furthermore, we also consider and rule out other possible explanations for our results.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"8 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130666932","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}

{"title":"The Survey of Oil Income on the Oil Exporting Countries Members’","authors":"Sepideh Ahmadian, Kambiz Peykarjou","doi":"10.2139/ssrn.2089834","DOIUrl":"https://doi.org/10.2139/ssrn.2089834","url":null,"abstract":"Petroleum Exporting Countries in the crude oil exports have single-product, in other words income from selling oil or as the most important source of export income, or at least as one of the most important sources of income is considered to be exported.The analysis and policy issues macro-economic delegation, the subject to import demand, a special importance in Pattern Recognition and macro-economy and efficiency of a part of the country's trade policy. For this reason, one of the major issues and a plan for importing goods and studying the factors imports. This paper investigates the empirical determinants of import demand in oil exporting countries. Using a new dataset including a large cross section of oil exporting countries, we show with a panel cointegration analysis that import demand in these countries depends positively on oil income, the real exchange rate. Fiscal surpluses, on the other hand, tend to reduce the demand for imports. So we showed that the equation to import Petroleum Exporting Countries: the price of oil that can be a positive effect ordering that the real imports that are probably through wealth. The Petroleum Exporting Countries to some extent of the price of oil higher profit.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130114967","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}

{"title":"Simple Banking: Profitability and the Yield Curve","authors":"Piergiorgio Alessandri, B. Nelson","doi":"10.2139/ssrn.2093394","DOIUrl":"https://doi.org/10.2139/ssrn.2093394","url":null,"abstract":"How does bank profitability vary with interest rates? We present a model of a monopolistically competitive bank subject to repricing frictions, and test the model’s predictions using a unique panel data set on UK banks. We find evidence that large banks retain a residual exposure to interest rates, even after accounting for hedging activity operating through the trading book. In the long run, both level and slope of the yield curve contribute positively to profitability. In the short run, however, increases in market rates compress interest margins, consistent with the presence of non negligible loan pricing frictions.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126225207","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}

{"title":"Credit Risk Analysis of Credit Card Portfolios Under Economic Stress Conditions","authors":"Piu Banerjee, José J. Canals-Cerdá","doi":"10.2139/ssrn.2118823","DOIUrl":"https://doi.org/10.2139/ssrn.2118823","url":null,"abstract":"We develop an empirical framework for the credit risk analysis of a generic portfolio of revolving credit accounts and apply it to analyze a representative panel data set of credit card accounts from a credit bureau. These data cover the period of the most recent deep recession and provide the opportunity to analyze the performance of such a portfolio under significant economic stress conditions. We consider a traditional framework for the analysis of credit risk where the probability of default (PD), loss given default (LGD), and exposure at default (EAD) are explicitly considered. The unsecure and revolving nature of credit card lending is naturally modeled in this framework. Our results indicate that unemployment, and in particular the level and change in unemployment, plays a significant role in the probability of transition across delinquency states in general and the probability of default in particular. The effect is heterogeneous and proportionally has a more significant impact for high credit score and for high-utilization accounts. Our results also indicate that unemployment and a downturn in economic conditions play a quantitatively small, or even irrelevant, role in the changes in account balance associated with changes in an account’s delinquency status, and in the exposure at default specifically. The impact of a downturn in economic conditions and, in particular, changes in unemployment on the recovery rate and loss given default is found to be large. These findings are of particular relevance for the analysis of credit risk regulatory capital under the IRB","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127739012","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}

{"title":"Causality Relationship between Bond Ratings and Credit Spreads","authors":"O. Kume, C. Weir","doi":"10.2139/ssrn.2344122","DOIUrl":"https://doi.org/10.2139/ssrn.2344122","url":null,"abstract":"The role of credit rating agencies has been questioned in the recent years. Existing empirical studies provide mixed evidence on the informational value of bond ratings for financial investors. In this study we examine the relationship between bond ratings and credit spreads for US corporate bonds using a Granger causality approach in panel data sets. The findings indicate that ratings generally carry some informational value for corporate bond investors. The causal relationship is more evident for negative watch lists and during periods of economic uncertainty, but its direction depends on ratings quality. Overall, we find bond ratings and credit spreads to be related in long-term.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114495086","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}

{"title":"Responses to Financial Stress at Life Transition Points","authors":"C. Ryan","doi":"10.2139/ssrn.2230176","DOIUrl":"https://doi.org/10.2139/ssrn.2230176","url":null,"abstract":"This paper looks at how changes in individuals’ circumstances affect their reported perceptions of their own financial wellbeing or deprivation. The aim is to assess how the experience of key life ‘transition’ points change individuals’ reported financial positions. Examples of such key changes include: forming long-term relationships, starting a family, purchasing a house, leaving full-time education, and entering and leaving the workforce. The research uses the responses of individuals to questions in the first eight waves of the Household, Income and Labour Dynamics in Australia (HILDA) survey to assess the nature of any changes in their year-to-year responses to financial wellbeing assessments and deprivation experiences as their circumstances change. Two indicators of financial wellbeing are used in the research: • The first is based on people’s levels of satisfaction with their financial situation. • The second involves how people characterise their financial situation, from prosperous through to very poor, referred to throughout the paper as their ‘sense of prosperity’. A third indicator used in this paper examines whether people report instances of a set of designated financial stress experiences. The methodology used here involves estimation of fixed effect regressions of indicators of financial wellbeing and the experience of financial stress using HILDA panel data to identify the effects on their financial wellbeing responses as people move in and out of various states or their circumstances change. In general, the effects of changing circumstances are quite consistent across the set of three indicators of financial wellbeing or stress considered here. • In general, age is positively associated with financial wellbeing, even among people aged 65 years or more who are welfare recipients. • Employment and household income are also positively associated with financial wellbeing. • While the income effects on financial wellbeing appear quite modest in size, full-time employment most often has the largest effect on the various indicators of financial wellbeing. • Individuals who develop long-term health conditions report lower levels of financial wellbeing, though the initial effects of these conditions appear to be relatively modest. Various life events also have substantial impacts on financial wellbeing, including retirement (a positive effect), becoming a single parent and separating from a spouse (both negative effects). • Individuals who report major improvements (or worsening) in their financial situation over the previous 12 months also report higher (or lower) levels of financial wellbeing and a lower (or higher) incidence of financial stress events. • Changing jobs, being promoted at work and moving house have positive impacts on a number of indicators of financial wellbeing. • The combination of separating from a spouse and moving house in the same year is associated with lower levels of financial wellbeing. In general, having be","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122081881","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}

{"title":"Tracking the Middle-Income Trap: What is It, Who is in It, and Why?: Part 1","authors":"J. Felipe","doi":"10.2139/ssrn.2069645","DOIUrl":"https://doi.org/10.2139/ssrn.2069645","url":null,"abstract":"This paper provides a working definition of what the middle-income trap is. It classifies 124 countries that have consistent data for 1950-2010. First, the paper defines four income groups of gross domestic product per capita in 1990 purchasing power parity dollars: low-income below $2,000; lower middle-income between $2,000 and $7,250; upper middle-income between $7,250 and $11,750; and high-income above $11,750. In 2010, there were 40 low-income countries in the world; 38 lower middle-income; 14 upper middle-income; and 32 high-income countries. Second, the paper calculates the threshold number of years for a country to be in the middle-income trap: a country that becomes lower middle-income (i.e., that reaches $2,000 per capita income) has to attain an average growth rate of per capita income of at least 4.7% per annum to avoid falling into the lower middle-income trap (i.e., to reach $7,250, the upper middle-income level threshold); and a country that becomes upper middle-income (i.e., that reaches $7,250 per capita income) has to attain an average growth rate of per capita income of at least 3.5% per annum to avoid falling into the upper middle-income trap (i.e., to reach $11,750, the high-income level threshold). Avoiding the middle-income trap is, therefore, a question of how to grow fast enough so as to cross the lower middle-income segment in at most 28 years; and the upper middle-income segment in at most 14 years.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126901457","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}

{"title":"Plural Form and Franchise Chains Efficiency: A DEA Meta-Frontier Approach Applied to French Chains","authors":"Isabelle Piot-Lepetit, Rozenn Perrigot, Gérard Cliquet","doi":"10.2139/ssrn.2004491","DOIUrl":"https://doi.org/10.2139/ssrn.2004491","url":null,"abstract":"This paper deals with the performance of franchise chains related to their percentage of company-owned outlets (PCO). This research uses a Data Envelopment Analysis (DEA) to assess franchise chains’ efficiency, and a meta-frontier approach to analyze chains’ efficiency between and across sectors. The sample includes 43 chains of the service and retail sectors, located in the French market. Data are available over the 2005-2007 period allowing a longitudinal analysis. The main findings show that the meta-frontier is built up on retail chains rather than on service chains, and that there is a relationship between the PCO and the chain efficiency. Finally, there is no significant difference between the observed PCOs and the optimal PCOs which means that franchisors in our sample have already reached a PCO that is close to the PCO that optimizes the chain efficiency.Creation-Date: 2012-02","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125229683","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}

{"title":"Economic Consequences of the Great Recession: Evidence from the Panel Study of Income Dynamics","authors":"B. Bosworth","doi":"10.2139/ssrn.2002960","DOIUrl":"https://doi.org/10.2139/ssrn.2002960","url":null,"abstract":"The paper uses micro-survey data from successive waves of the Panel Study on Income Dynamics to investigate the distribution of wealth and job losses during the 2007-09 recession for difference segments of the population and the effect of the recession on the retirement decisions of older workers. Estimates of wealth losses are constructed for major socioeconomic group and compared with those of the Survey of Consumer Finances. The panel dimension of the data is used to measure change in the labor force status of workers and to estimate the determinants of the decision to transition from participation in the labor force to retirement. the study concludes that retirement decisions are influenced both by variations in labor market conditions and by the value of household wealth but that labor market exerts a larger impact.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123170058","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}

{"title":"Households' Savings in China","authors":"Riccardo Cristadoro, D. Marconi","doi":"10.2139/ssrn.2009905","DOIUrl":"https://doi.org/10.2139/ssrn.2009905","url":null,"abstract":"The domestic saving rate in China is the highest in the world and it surpasses the investment share in GDP, which is also very high by international standards. This excessive saving results in a large current account surplus. Understanding why the Chinese save so much is a central issue in the debate on global imbalances. The goal of our paper is to analyse empirically Chinese household saving behaviour taking into account the disparities within the country, at the provincial level and between rural and urban households. We first show that, notwithstanding the rising contribution of government and firms to national savings the real peculiarity lies with Chinese families. We move from Modigliani and Cao's (2004) attempt to explain rising personal saving in China within the life cycle hypothesis and show how a more careful analysis indicates that life-cycle determinants do not suffice, especially in the most recent period. Once we consider regional differences and distinguish urban and rural households using provincial-level data, it becomes clear that additional explanations are needed and that precautionary motives and liquidity constraints are playing an important role. Our results suggest that in order to reduce the propensity to save of Chinese households it is necessary to improve social services provision and to facilitate the access to credit.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122634991","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}