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Essays in Pseudo-Bayesian Learning and Behavioral Macroeconomic Theory
No full textThe Kalman filter equations make clear that a realistic agent tracking a distant economic variable period by period (i.e. retaining beliefs but not past data) can neither fully consider nor intuitively update the exceedingly large number of conditional second moments required to continually revise her forecast with statistical accuracy. This dissertation leverages basic results in the behavioral literature to put forth a parameterized specification for behavioral belief evolution that yields sharp testable predictions while remaining consistent with current behavioral working knowledge. I ultimately find that predictable inertia in the mental updating of covariances between variables in a stochastic process can have significant effects on first order beliefs, or the forecasts made by economic agents. In particular, the tendency to pay less and less attention to the interaction between variables the farther apart they exist in a process causes agents to inflate their sensitivity to incoming data, resulting in excess volatility in the agent's forecast of future variables. In addition, variables irrelevant to a rational prediction can, under these behavioral conditions, obtain a non-zero response magnitude, which, while dissipating with distance from a rationally relevant realization, can significantly affect the agent's forecast if highly correlated with the target variable
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe 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
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Accuracy, Timeliness, and Managers’ Discretion of Fair Value Pricing: Evidence From the Banking Industry
No full textThis paper investigates how recent institutional developments impact the potential channels, and thus available discretion, by which managers can manipulate reported fair values. First, I use extensive field research to document the mechanisms used by banks to procure and report fair values—particularly incorporating the impact of the 2011 FINRA’s Trade Reporting and Compliance Engine (TRACE), and concurrent increase in independent third-party vendors. Key insights include that (i) banks predominantly apply third-party vendors’ feeds to generate financial statements (with nearly 100% of vendors’ feeds passing automatically to reported financial statements, with only rare adjustments); and (ii) external auditors predominantly relying on different vendors’ prices to verify and challenge banks’ inputs. Second, I employ three proprietary datasets of daily financial-instrument level pricing—capturing both TRACE and third-party vendors—to document the following insights. I find that vendors’ evaluated prices dominate historical costs in all performance metrics, confirming they provide a more accurate, objective, and reliable proxy for fair value than historical cost. I also find that vendors’ fair values are value-relevant and account for 90% of the trade-to-trade price variance, creating an upper bound on managerial discretion (of only 15% of the original level). Finally, I find that bank managers respond to these newly imposed constraints by alternatively engaging in more spoofing-transaction based fair value manipulations: suggesting this is a likely (even primary) channel by which manipulation can be attained. Overall, the evidence suggests that fair values, particularly after the above institutional developments, appear less subjective, less costly to implement, and more convenient for auditors to verify and challenge, than the literature has previously reported.ACCOUNTING & MANAGEMEN
Variations on the Author
Get PDF“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
Get PDFWe 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
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Money Creation and the Shadow Banking System
Get PDFMany explanations for the rapid growth of the shadow banking system in the mid-2000s focus on money demand. This paper asks whether the short-term liabilities of the shadow banking system behave like money. We first present a simple model where households demand money services, which are supplied by three types of claims: deposits, Treasury bills, and asset-backed commercial paper (ABCP). The model provides predictions for the price and quantity dynamics of these claims, as well as the behavior of the banking system (in terms of issuance) and the monetary authority (in terms of open market operations). Consistent with the model, the empirical evidence suggests that the shadow banking system does respond to money demand. An extrapolation of our estimates would suggest that heightened money demand could explain up to approximately half the growth of ABCP in the mid-2000s.Author's Origina
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe 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
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Essays on International Finance and Macroeconomics
No full textThis dissertation is composed of three essays on international macroeconomics and finance. The essays center on the interrelationship between asset prices, risk premia, and financial purchases. The first documents a stark change in correlation between exchange rates and equity market returns at the start of the Great Recession, and proposes the zero lower bound as a cause of the break. The second examines the markups paid by the Federal Reserve for the intermediation of large-scale Treasury Bond purchases during the four iterations of Quantitative Easing over the last decade. The third demonstrates that U.S. purchases of foreign bonds began to strongly comove with the US dollar from 2007
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