Bayesian hierarchical models serve as a standard methodology for aggregation and synthesis, used widely in statistics and other disciplines. I use this framework to aggregate the data from seven randomised experiments of expanding access to microcredit, assessing both the general impact of the...

Objective: The objective of the article is to present in a didactic and concise way the fundamental concepts of item response theory (IRT) and its possible application in the economic sciences and show the bias problem that occurred when estimating a latent variable such as financial capital in...

A field experiment was performed in a controlled laboratory setting to evaluate whether credit officers reject micro-loan applications based on the ethnicity/gender of potential borrowers. Point estimates of a mixed-effects logistic regression suggest that, compared to non-indigenous men,...

We develop a novel unified econometric methodology for the formal examination of the market power -- cost efficiency nexus. Our approach can meaningfully accommodate a mutually dependent relationship between the firm's cost efficiency and marker power (as measured by the Lerner index) by...

A Bayesian Spatial-Propensity Score Matching estimator is proposed to measure the regional impact of micro finance on poverty reduction and women's empowerment. The impact of micro finance in Bolivia was tested with this estimator, using census and household survey data. The results suggest that...

This paper exploits a recent and granular data set for 1,500 German LSIs to conduct a residential mortgage stress testing exercise. To account for model uncertainty when modeling PD dynamics we use a benchmark-constrained Bayesian model averaging approach that combines standard BMA with a...

The 2008-2009 financial crises revealed that the Basel Accord of 2004 was inadequate to ensure a stable financial sector. In this paper we analyze whether the Basel Accord's assumption of a single risk factor contributed to the instability. The asset correlation parameter describes the degree of...

This paper proposes a novel approach for modeling prepayment rates of individual pools of mortgages. The model incorporates the empirical evidence that prepayment is past dependent via Bayesian methodology. There are many factors that influence the prepayment behavior and for many of them there...

The paper describes a model of a new type for valuation of risky bonds and loans that we call a Bayesian Multi-Period (BMP) model. BMP is neither a structural model nor a reduced form and not a Merton-type model at all. BMP proceeds from the concept of a risky bond (loan) value as the Net...

The paper assesses the validity and accuracy of measuring risks of individual borrowers and credit portfolios by means of the Basel II credit risk model. The assessment method consists in parallel estimation of the same risks by means of exact probabilistic models. We find that the Basel II...