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How Well Does the Vasicek-Basel Airb Model Fit the Data? Evidence from a Long Time Series of Corporate Credit Rating Data

Kupiec, Paul - 2014

I develop methods that produce consistent estimates of the Vasicek-Basel IRB (VAIRB) credit risk model parameters. I apply these methods to Moody's data on corporate defaults over the period 1920–2008 and assess the model fit and construct hypothesis tests using bootstrap methods. The results...

Persistent link: https://www.econbiz.de/10013070465

Secured and Unsecured Interbank Markets : Monetary Policy, Substitution and the Cost of Collateral

Piquard, Thibaut - 2019

"conventional" and "unconventional" monetary policies impact interbank markets, depending on whether marketable collateral is …We study the substitution between secured and unsecured interbank markets. Banks are competitive andsubject to reserve … and incur an opportunity cost to pledge collateral. The model provides insights on interest rates, trading volumes and …

Persistent link: https://www.econbiz.de/10012862047

Sources of productivity spillovers : panel data evidence from China

Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - 2014

This paper assesses sources of productivity spillovers in China's electric and electronic manufacturing industry using a rich panel data-set of 25,360 firms observed over the period 2004-2007. This industry is characterized by its important reliance on technology. In particular, the paper...

Persistent link: https://www.econbiz.de/10010356360

Spatial dynamic panel model and system GMM : a Monte Carlo investigation

Kukenova, Madina; Monteiro, José-Antonio - 2009 - Draft: February 2009

This paper investigates the finite sample properties of estimators for spatial dynamic panel models in the presence of several endogenous variables. So far, none of the available estimators in spatial econometrics allows considering spatial dynamic models with one or more endogenous variables....

Persistent link: https://www.econbiz.de/10011976850

Contagious exporting and foreign ownership : evidence from firms in Shanghai using a Bayesian spatial bivariate probit model

Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - 2018

Whether a firm is able to attract foreign capital and whether it may participate at the export market depends on whether the fixed costs associated with doing so are at least covered by the incremental operating profits. This paper provides evidence that success for some firms in attracting...

Persistent link: https://www.econbiz.de/10011822884

Overpricing in a spatial hedonic frontier model : the case of ski lift tickets in Norway

Lien, Gudbrand; Kumbhakar, Subal - In: International journal of empirical economics 1 (2022) 3, pp. 1-18

A general assumption of the standard hedonic price model is that producers produce outputs/ services efficiently, and deviations from this situation are assumed to involve either overcharging or undercharging. Using the profit maximising behaviour, we derive an alternative hedonic model to show...

Persistent link: https://www.econbiz.de/10014331904

Firm-level productivity spillovers in China's chemical industry : a spatial Hausman-Taylor approach

Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - 2014

This paper assesses the role of intra-sectoral spillovers in total factor productivity across Chinese producers in the chemical industry. We use a rich panel data-set of 12,552 firms observed over the period 2004 - 2006 and model output by the firm as a function of skilled and unskilled labor,...

Persistent link: https://www.econbiz.de/10010461261

Körperschaftsbesteuerung und Unternehmensverschuldung : empirische Evidenz von europäischen Firmendaten

Winner, Hannes - 2010

Die vorliegende Arbeit untersucht anhand von europäischen Firmendaten den Einfluss der Körperschaftsteuer auf die Unternehmensverschuldung. Dabei wird insbesondere auf Firmenheterogentität in Bezug auf Firmengröße und Gesellschaftsform fokussiert. Der verwendete Datensatz enthält...

Persistent link: https://www.econbiz.de/10009731766

Capital structure, corporate taxation and firm age

Pfaffermayr, Michael; Winner, Hannes - 2009

This paper analyzes the relationship between corporate taxation, firm age and debt. We adapt a standard model of capital structure choice under corporate taxation, focusing on the financing and investment decisions a firm is typically faced with. Our model suggests that the debt ratio is...

Persistent link: https://www.econbiz.de/10009732574

Exchange rate exposure and its determinants : evidence on Hungarian firms

Tomanová, Lucie - In: European financial and accounting journal : EFAJ 9 (2014) 2, pp. 47-65

This paper analyses the foreign exchange rate exposure of Hungarian firms and its determinants on the basis of corporate cash flows and stock prices. The analysis focuses on the HUF/EUR exchange rate using monthly data from 2000 - 2014, resp. 2003 - 2012 in case of cash flow analysis. Stock...

Persistent link: https://www.econbiz.de/10011460529