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Linking credit risk premia to the equity premium
Berg, Tobias; Kaserer, Christoph - 2008
estimation method which is based on credit valuations. The main idea is straigtforward: We use structural models to link equity … valuations to credit valuations. Based on a simple Merton model, we derive an estimator for the market Sharpe ratio. This … appr. 40%. Adjusting for taxes and other parts of the credit spread not attributable to credit risk yields an average …
Persistent link: https://www.econbiz.de/10010305726
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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10010500191
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How Banks Construct and Manage Risk : A Sociological Study of Small Firm Lending in Britain and Germany
Quack, Sigrid - 2012
This paper analyses the role of banks in financing SMEs in Britain and Germany. It applies a sociological institutionalist approach to understand how banks construct and manage risk, relating to SME business. The empirical analysis is based on the results of a comparative survey of a sample of...
Persistent link: https://www.econbiz.de/10013102832
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Characteristics of the household sector of the hidden economy in an emerging economy
Sookram, Sandra; Schneider, Friedrich G.; Watson, … - 2006
Using the case study of Trinidad and Tobago we investigate for an emerging economy the socioeconomic, demographic, and attitudinal characteristics that influence the propensity of individuals in the household sector to participate in the hidden economy and their perception of the risk of...
Persistent link: https://www.econbiz.de/10010294558
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Relaxing the IIA Assumption in Locational Choice Models: A Comparison Between Conditional Logit, Mixed Logit, and Multinomial Probit Models
Dahlberg, Matz; Eklöf, Matias - 2003
This paper estimates a locational choice model to assess the demand for local public services, using a data set where individuals chooses between 26 municipalities within a local labor market. We assess the importance of the IIA assumption by comparing the predictions of three difference models;...
Persistent link: https://www.econbiz.de/10010321610
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On Discrete Location Choice Models
Herger, Nils - 2013
Within the context of the firm location choice problem, Guimara?es et al. (2003) have shown that a Poisson count regression and a conditional logit model yield identical coefficient estimates. Yet, the corresponding interpretation differs since these discrete choice models reflect polar cases as...
Persistent link: https://www.econbiz.de/10011430104
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Labor Mobility across the Formal/Informal Divide in Turkey: Evidence from Individual Level Data
Tansel, Aysit; Oznur Kan, Elif - 2012
Informality has long been a salient phenomenon in developing country labor markets, thus has been addressed in several theoretical and empirical research. Turkey, given its economic and demographic dynamics, provides rich evidence for a growing, heterogeneous and multifaceted informal labor...
Persistent link: https://www.econbiz.de/10010500199
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Consistent estimation of the fixed effects ordered logit model
Baetschmann, Gregori; Staub, Kevin E.; Winkelmann, Rainer - 2011
The paper re-examines existing estimators for the panel data fixed effects ordered logit model, proposes a new one, and studies the sampling properties of these estimators in a series of Monte Carlo simulations. There are two main findings. First, we show that some of the estimators used in the...
Persistent link: https://www.econbiz.de/10010316860
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Identification and estimation of thresholds in the fixed effects ordered logit model
Baetschmann, Gregori - 2011
The paper proposes a new estimator for the fixed effects ordered logit model. In contrast to existing methods, the new procedure allows estimating the thresholds. The empirical relevance and simplicity of implementation is illustrated in an application to the effect of unemployment on life...
Persistent link: https://www.econbiz.de/10010316876
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Reconsidering the analysis of longitudinal happiness data: With an application to the effect of unemployment
Baetschmann, Gregori; Staub, Kevin E.; Winkelmann, Rainer - 2011
The paper reconsiders existing estimators for the panel data fixed effects ordered logit model, including one that has not been used in econometric studies before, and studies the small sample properties of these estimators in a series of Monte Carlo simulations. There are two main findings....
Persistent link: https://www.econbiz.de/10010316884