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The Economic Impact of Merger Control : What is Special about Banking?
Carletti, Elena; Hartmann, Philipp; Ongena, Steven - 2021
institutional setup for supervisory bank merger reviews. Thus strengthening competition policy in banking may generate positive … industrial countries, we identify events that strengthen competition policy, analyze their impact on banks and non …. Covering nineteen countries for the period 1987 to 2004, we find that banks are special in that a more competition …
Persistent link: https://www.econbiz.de/10013316912
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Price Drift Before U.S. Macroeconomic News : Private Information About Public Announcements?
Kurov, Alexander - 2016
We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the "correct" direction about 30 minutes...
Persistent link: https://www.econbiz.de/10012992424
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Competition and stability: what's special about banking?
Carletti, Elena; Hartmann, Philipp - 2002
This paper examines the relationship between competition policies and policies to preserve stability in the banking …, showing the predominance of merger review considerations for loan and deposit markets as well as the relevance of cartel … considerations for payment systems. A core part of the paper is an analysis of the relative roles of competition and supervisory …
Persistent link: https://www.econbiz.de/10011604192
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Selecting models with judgment
Manganelli, Simone - 2018
A statistical decision rule incorporating judgment does not perform worse than a judgmental decision with a given probability. Under model misspecification, this probability is unknown. The best model is the least misspecified, as it is the one whose probability of underperforming the judgmental...
Persistent link: https://www.econbiz.de/10012142032
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Monetary policy with judgment
Gelain, Paolo; Manganelli, Simone - 2020
Two approaches are considered to incorporate judgment in DSGE models. First, Bayesian estimation indirectly imposes judgment via priors on model parameters, which are then mapped into a judgmental interest rate decision. Standard priors are shown to be associated with highly unrealistic...
Persistent link: https://www.econbiz.de/10012422066
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Statistical decision functions with judgment
Manganelli, Simone - 2021
A decision maker tests whether the gradient of the loss function evaluated at a judgmental decision is zero. If the test does not reject, the action is the judgmental decision. If the test rejects, the action sets the gradient equal to the boundary of the rejection region. This statistical...
Persistent link: https://www.econbiz.de/10012422174
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Dealing with endogeneity in threshold models using copulas: An illustration to the foreign trade multiplier
Christopulos, Dimitris K.; Tzavalis, Elias; McAdam, Peter - 2018
We suggest a new method dealing with the problem of endogeneity of the threshold variable in single regression threshold models and seemingly unrelated systems of them based on copula theory. This theory enables us to relax the assumption that the threshold variable is normally distributed and...
Persistent link: https://www.econbiz.de/10011853324
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Asset allocation with judgment
Manganelli, Simone - 2016
This paper shows how to incorporate judgment in a decision problem under uncertainty, within a classical framework. The method relies on the specification of a judgmental decision with associated confidence level and application of hypothesis testing. The null hypothesis tests whether marginal...
Persistent link: https://www.econbiz.de/10011605992
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Double conditioning: The hidden connection between Bayesian and classical statistics
Manganelli, Simone - 2023
Bayesian decisions are observationally identical to decisions with judgment. Decisions with judgment test whether a judgmental decision is optimal and, in case of rejection, move to the closest boundary of the confidence interval, for a given confidence level. The resulting decisions condition...
Persistent link: https://www.econbiz.de/10014374474
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Statistical Decision Functions with Judgment
Manganelli, Simone - 2021
A decision maker tests whether the gradient of the loss function evaluated at a judgmental decision is zero. If the test does not reject, the action is the judgmental decision. If the test rejects, the action sets the gradient equal to the boundary of the rejection region. This statistical...
Persistent link: https://www.econbiz.de/10013243823