1,720,992 research outputs found
Bank Market Structure, Systemic Risk, and Interbank Market Breakdowns
Full text linkThis paper explores theoretically the implications of bank market structure and banking system risks concentration for the functioning of interbank markets. It employs a simple model where banks are exposed to both credit and liquidity risk, there is no asymmetric information, no market power, no friction in secondary markets and deposit contracts are fully contingent. We show that (a) the concentration of risks induced by changes in bank market structure makes interbank market breakdowns more likely; (b) welfare monotonically decreases in risk concentration; and (c) risk concentration and a high probability of interbank market breakdowns can be driven by risk control diseconomies of scale and scope and increases in financial firms’ size. As banking systems become more concentrated, improvement of risk control technologies in financial institutions and in regulatory bodies appear as important as other policies considered in the literature to minimize the probability of interbank market breakdowns.bank market structure; systemic risk; interbank markets
Immigration, uncertainty and macroeconomic dynamics
No full textThis paper examines the macroeconomic effects of rising migration uncertainty in four advanced economies (i.e. US, UK, Germany and France). Migration uncertainty is first captured by the Migration Policy Uncertainty (MPUI) and the Migration Fear (MFI) news-based indexes developed by Baker et al. (Immigration fears and policy uncertainty, 2015), and then by a novel Google Trend Migration Uncertainty Index (GTMU) based on the frequency of Internet searches for the term ‘immigration’. VAR investigations suggest that the macroeconomic implications of rising migration uncertainty differ across countries. Moreover, news-based and Google search-based migration fear shocks generate different macroeconomic effects. For instance, in the US (France), MPUI, MFI and GTMU shocks all improve (undermine) production and labour market conditions in the medium run. For Germany and the UK, mixed evidence is found, suggesting that increasing media attention on migration phenomena and rising population's interest in migration-related issues influence people's mood differently. The observed heterogeneity in the macroeconomic effects of rising migration uncertainty can be explained by cross-country gaps in (a) the level of labour market rigidity, (b) the degree of people's happiness and life satisfaction and (c) the percentage of graduates
The Bank Tailored Integrated Rating
Full text linkWe develop a banks specific integrated rating, tailored incorporating the
various heterogeneity dimensions characterizing financial institutions
(see Mantovani et al. 2013 and 2014 regarding the heterogeneity risk
analysis in corporate firms), named bank tailored integrated rating
(BTIR). The approach is inherently coherent with the challenging frontier
of forecasting tail risk in financial markets (De Nicolò and Lucchetta, J
Appl Econ 32(1):159–170, 2017) since it considers the downside risk in
the theoretical framework. The innovation consists in using the integrated
rating (IR) with the pre-selection of the variables through a statistical
procedure that takes into account the characteristics of risk and greater
heterogeneity of the banks. A Vector Autoregressive Model (VAR) is
only a first simple application proposal
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
INTERNATIONAL AGGREGATE RISK: EFFECTS ON FINANCIAL STABILITY
Full text linkThe increasing interconnectedness of financial and economic systems has led to the emergence of global risks that can impact financial stability. In this paper, we explore how aggregate risk on a global scale can affect the stability of financial systems. We present a simple model that considers an exogenous parameter indicating the concentration of international credit risk in both domestic and foreign banking systems. When this parameter is high, the model is vulnerable to aggregate risk. Our research shows that if multiple countries are impacted by the same shock, diversification of risk becomes impossible.
In the event of a global economic downturn, international lenders may become scarce, or the real interest rate may substantially increase, perhaps leading to an economic crisis
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