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Total Factor Productivity and the Role of Entrepreneurship
Erken, Hugo; Donselaar, Piet; Thurik, Roy - 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/10010325764
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Total Factor Productivity and the Role of Entrepreneurship
Erken, Hugo; Donselaar, Piet; Thurik, Roy - 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/10014208199
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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/10011288399
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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...
Persistent link: https://www.econbiz.de/10010325605
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Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
Lucas, Andre; Schwaab, Bernd; Zhang, Xin - 2013
Two new measures for financial systemic risk are computed based on the time-varying conditional and unconditional probability of simultaneous failures of several financial institutions. These risk measures are derived from a multivariate model that allows for skewed and heavy-tailed changes in...
Persistent link: https://www.econbiz.de/10010326546
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Do information contagion and business model similarities explain bank credit risk commonalities?
Wang, Dieter; van Lelyveld, Iman; 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/10012114752
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Nearly Unbiased Estimationin Dynamic Panel Data Models
Carree, Martin A. - 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/10010324776
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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/10010325667
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The Wear and Tear on Health: What is the Role of Occupation?
Ravesteijn, Bastian; van Kippersluis, Hans; van … - 2013
While it seems evident that occupations affect health, effect estimates are scarce. We use a job characteristics matrix in order to characterize occupations by their physical and psychosocial burden in German panel data spanning 26 years. Employing a dynamic model to control for factors that...
Persistent link: https://www.econbiz.de/10010326414
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Identifying Reduced-Form Relations with Panel Data
Vollebergh, Herman R.J.; Melenberg, Bertrand; … - 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/10010325143