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Total factor productivity and the role of entrepreneurship
Erken, Hugo; Donselaar, Piet; Thurik, Adriaan R. - 2009 - Current version: May 2009
Total factor productivity of twenty OECD countries for a recent period (1971-2002) is explained using six different models based on the established literature. Traditionally, entrepreneurship is not dealt with in these models. In the present paper it is shown that – when this variable is added...
Persistent link: https://www.econbiz.de/10011378136
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Cyclicality in losses on bank loans
Keijsers, Bart; Diris, Bart; Kole, Erik - 2015
Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...
Persistent link: https://www.econbiz.de/10010515860
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A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan; Lucas, André; Daniels, Robert - 2005
We model 1981-2002 annual US default frequencies for a panel of firms in different rating and age classes. The data is decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic conditions and default climate. We have to cope with...
Persistent link: https://www.econbiz.de/10011343953
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Measuring credit risk in a large banking system : econometric modeling and empirics
Lucas, André; Schwaab, Bernd; Zhang, Xin - 2013
Persistent link: https://www.econbiz.de/10010191403
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Do information contagion and business model similarities explain bank credit risk commonalities?
Wang, Dieter; Lelyveld, Iman van; Schaumburg, Julia - 2018
This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The puzzle, first detected in corporate bonds, consists of two stylized facts: Structural determinants of credit risk not only have low explanatory power but also fail to capture...
Persistent link: https://www.econbiz.de/10011949150
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The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, Maurice J. G.; Windmeijer, Frank - 2009
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced … results are shown to extend to the panel data GMM estimators. …
Persistent link: https://www.econbiz.de/10011379149
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Nearly unbiased estimationin dynamic panel data models
Carree, Martin Anthony - 2002
This paper introduces two easy to calculate estimators with desirable properties for theautoregressive parameter in dynamic panel data models. The estimators are (nearly) unbiased andperform satisfactorily even for small samples in either the time-series or cross-section dimension.
Persistent link: https://www.econbiz.de/10011325971
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Identifying reduced-form relations with panel data
Vollebergh, Herman R. J.; Melenberg, Bertrand; … - 2007 - This version: September 13, 2007
The literature that tests for U-shaped relationships using panel data, such as those between pollution and income or inequality and growth, reports widely divergent (parametric and non-parametric) empirical findings. We explain why lack of identification lies at the root of these differences. To...
Persistent link: https://www.econbiz.de/10011372978
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A meta-analysis of beta-convergence : the legendary two-percent
Abreu, Maria; Groot, Henri L. F. de; Florax, Raymond J. … - 2005
The topic of convergence is at the heart of a wide-ranging debate in the growth literature. Empirical studies of convergence differ widely in their theoretical backgrounds, empirical specifications and in their treatment of cross-sectional heterogeneity. Despite these differences, a rate of...
Persistent link: https://www.econbiz.de/10011342545
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Dutch sectoral energy intensity developments in international perspective, 1987 -2005
Mulder, Peter; Groot, Henri L. F. de - 2012
Persistent link: https://www.econbiz.de/10009722643