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Agricultural Decisions after Relaxing Credit and Risk Constraints

Dean Karlan, Robert Osei, Isaac Osei-Akoto and Christopher Udry.

in The Quarterly Journal of Economics

May 2014; p ublished online February 2014 .

Journal Article. Subjects: Economic Development; Design of Experiments; Production and Organizations; Agricultural Economics; Intertemporal Choice and Growth; Insurance. 19024 words.

The investment decisions of small-scale farmers in developing countries are conditioned by their financial environment. Binding credit market constraints and incomplete insurance can limit...

Bank Bailouts and Moral Hazard: Evidence from Germany

Lammertjan Dam and Michael Koetter.

in The Review of Financial Studies

August 2012; p ublished online April 2012 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Game Theory and Bargaining Theory; Banking; Financial Regulation; Regulation and Industrial Policy. 16089 words.

We use a structural econometric model to provide empirical evidence that safety nets in the banking industry lead to additional risk taking. To identify the moral hazard effect of bailout...

Bayesian Applications in Marketing

Peter Rossi and Greg Allenby.

in The Oxford Handbook of Bayesian Econometrics

September 2011; p ublished online November 2012 .

Article. Subjects: Economics; Econometric and Statistical Methods and Methodology: General; Financial Institutions and Services. 23660 words.

This article describes various discrete choice models of consumers who may be heterogeneous both in terms of their preferences and in their sensitivities to marketing variables such as...

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Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates

Abel Rodríguez, Enrique ter Horst and Samuel Malone.

in Journal of Financial Econometrics

September 2015; p ublished online June 2014 .

Journal Article. Subjects: Investment Banking; Econometrics and Mathematical Economics. 7109 words.

We develop a novel structural credit risk model that extends the original Merton model by allowing for stochastic interest rates and stochastic volatility. The model is estimated using...

A Chat about Insurance: Experimental Results from Rural Bangladesh

Daniel Clarke, Francesca de Nicola, Ruth Vargas Hill, Neha Kumar and Parendi Mehta.

in Applied Economic Perspectives and Policy

September 2015; p ublished online December 2014 .

Journal Article. Subjects: Design of Experiments; Agricultural Economics; Economic Development; Insurance. 10252 words.

Farmers throughout the developing world face multiple sources of uninsured risk to agricultural production and household assets. In this paper, we present results from an experimental...

Common Errors: How to (and Not to) Control for Unobserved Heterogeneity

Todd A. Gormley and David A. Matsa.

in The Review of Financial Studies

February 2014; p ublished online August 2013 .

Journal Article. Subjects: Economics; Financial Institutions and Services; Corporate Governance; Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 20204 words.

Controlling for unobserved heterogeneity (or “common errors”), such as industry-specific shocks, is a fundamental challenge in empirical research.This paper discusses the limitations of two...

Converting Tail-VaR to VaR: An Econometric Study

Christian Gourieroux, Wei Liu and Gourieroux Liu.

in Journal of Financial Econometrics

March 2012; p ublished online March 2012 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Insurance; International Finance. 6942 words.

This paper studies the link between two popular measures of risk, that are the Value-at-Risk (VaR) and the Tail-VaR (TVaR). We study how the TVaR and VaR are related through their risk...

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The cost of capital in a model of financial intermediation with coordination frictions

Oana Peia and Radu Vranceanu.

in Oxford Economic Papers

January 2018; p ublished online August 2017 .

Journal Article. Subjects: Game Theory and Bargaining Theory; Information, Knowledge, and Uncertainy; Financial Institutions and Services; Economics. 9016 words.

Abstract

This paper studies the impact of coordination frictions in financial markets on the cost of capital of real sector projects. In the model, a financial...

Does Competition Affect Truth Telling? An Experiment with Rating Agencies

Jean Paul Rabanal and Olga A Rud.

in Review of Finance

July 2018; p ublished online March 2017 .

Journal Article. Subjects: Design of Experiments; Market Structure and Pricing; Information, Knowledge, and Uncertainy; Investment Banking; Market Structure, Firm Strategy, and Market Performance. 10068 words.

Abstract

We use an experimental approach to study the effect of market structure on the incidence of misreporting by credit rating agencies. In the game,...

Does Microfinance Reduce Rural Poverty? Evidence Based on Household Panel Data from Northern Ethiopia

Guush Berhane and Cornelis Gardebroek.

in American Journal of Agricultural Economics

January 2011; p ublished online January 2011 .

Journal Article. Subjects: Welfare and Poverty; Single Equation Models; Single Variables; Banking; Economic Development. 7425 words.

Evidence on the long-term impacts of microfinance credit is scarce. We use a unique four-round panel dataset on farm households in northern Ethiopia that had access to microfinance,...

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Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Linda Allen, Turan G. Bali and Yi Tang.

in The Review of Financial Studies

October 2012; p ublished online September 2012 .

Journal Article. Subjects: Economics; Banking; Econometric and Statistical Methods and Methodology: General; Single Equation Models; Single Variables. 16037 words.

We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future...

The Economics of Solicited and Unsolicited Credit Ratings

Paolo Fulghieri, Günter Strobl and Han Xia.

in The Review of Financial Studies

February 2014; p ublished online October 2013 .

Journal Article. Subjects: Game Theory and Bargaining Theory; Information, Knowledge, and Uncertainy; Investment Banking. 20006 words.

This paper develops a dynamic rational expectations model of the credit rating process, incorporating three critical elements of this industry: (1) the rating agencies' ability to misreport...

ECONOMIES OF SCALE AND MERGER EFFICIENCIES IN THE CHILEAN PENSION FUNDS MARKET

Claudio Agostini, Eduardo Saavedra and Manuel Willington.

in Journal of Competition Law & Economics

March 2014; p ublished online September 2013 .

Journal Article. Subjects: Antitrust Issues and Policies; Multiple or Simultaneous Equation Models; Multiple Variables; Financial Institutions and Services; Market Structure, Firm Strategy, and Market Performance; Market Structure and Pricing. 8041 words.

Over the last twenty years there has been a significant concentration process in the pension fund manager industry in Chile (the number of firms has dropped from 21 in 1994 to only 6 in...

Estimating Expected and Unexpected Losses for Agricultural Mortgage Portfolios

Jonathan B. Dressler and Loren W. Tauer.

in American Journal of Agricultural Economics

October 2016; p ublished online July 2016 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Econometric Modelling; Banking; Corporate Governance; Agricultural Economics. 8368 words.

The financial crisis that began in 2008 placed renewed emphasis and responsibility on financial institutions to assess financial risks and provide evidence of adequate capital to...

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Estimating the Dynamics of Mutual Fund Alphas and Betas

Harry Mamaysky, Matthew Spiegel and Hong Zhang.

in The Review of Financial Studies

January 2008; p ublished online January 2008 .

Journal Article. Subjects: Economics; Financial Institutions and Services; Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General; Econometric Modelling. 14132 words.

This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It then uses the estimates to analyze whether managers with market-timing ability can be identified null...

Extreme weather and demand for index insurance in rural India

Benedikte Bjerge and Neda Trifkovic.

in European Review of Agricultural Economics

July 2018; p ublished online March 2018 .

Journal Article. Subjects: Environmental Economics; Design of Experiments; Insurance; Economic Development; Agricultural Economics. 12252 words.

Abstract

Index insurance appeared recently in developing countries with the expectation to improve agricultural output and living standards in general. We...

Financial Development and Economic Growth: Global and African Evidence

Victor Murinde.

in Journal of African Economies

January 2012; p ublished online January 2012 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Banking. 14530 words.

This paper aims to survey existing research on financial development and economic growth, highlighting the theoretical models and evidence from recent empirical work. Emphasis is placed on...

Financial Innovations and Their Implications for Monetary Policy in Kenya

Lydia Ndirangu and Esman Morekwa Nyamongo.

in Journal of African Economies

January 2015; p ublished online December 2014 .

Journal Article. Subjects: Banking; Single Equation Models; Single Variables; Monetary Policy, Central Banking, and the Supply of Money and Credit; Money and Interest Rates. 9393 words.

This study investigates the effect of financial innovation on monetary policy in Kenya during the period 1998–2013; that is, whether the waves of financial innovation that have occurred...

Financial Network Systemic Risk Contributions

Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle.

in Review of Finance

March 2015; p ublished online March 2014 .

Journal Article. Subjects: Economics; Financial Regulation; Corporate Governance; Corporate Regulation; Single Equation Models; Single Variables; Econometric Modelling; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling. 15742 words.

We propose the realized systemic risk beta as a measure of financial companies’ contribution to systemic risk, given network interdependence between firms’ tail risk exposures. Conditional...

Game and Information Theory in Modern Managerial Economics

Esther Gal-Or.

in The Oxford Handbook of Managerial Economics

July 2013; p ublished online October 2013 .

Article. Subjects: Economics; Financial Institutions and Services; Econometrics and Mathematical Economics. 12491 words.

This chapter describes how methodologies developed in the field of game and information theory can assist in understanding the interaction of competitors in markets, and the study of...

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