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Non-linearities in mark-up on costs
Wlazlowski, Szymon; Binner, Jane; Giulietti, Monica; … - 2006
Abstract This study employs an error-correction SETAR model to analyse the non-linearities in the behaviour of the mark-up on costs charged by the filling stations in the New York metropolitan area. While usual price transmission gained significant attention in the literature, the mark-up...
Persistent link: https://www.econbiz.de/10015216519
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Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana
Maldonado, Diego; Pazmiño, Mariela - 2008
In the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk+, Credit Portfolio View in such a way that they could be calibrated and implemented in financial institutions where the quality and quantity of credit information is scanty,...
Persistent link: https://www.econbiz.de/10015218094
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A method for evaluating the rank condition for CCE estimators
De Vos, Ignace; Everaert, Gerdie; Sarafidis, Vasilis - 2021
This paper proposes a binary classifier to evaluate the rank condition (RC) that is required for consistency of the Common Correlated Effects (CCE) estimator. The RC postulates that the number of unobserved factors, m, is not larger than the rank of the unobserved matrix of average factor...
Persistent link: https://www.econbiz.de/10015267493
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К вопросу оценки адекватности имитационных моделей банковских бизнес-процессов
Rumyantsev, Mikhail I. - 2010
This paper presents an overview of some general concepts and techniques of an adequacy estimation of simulation models of the banking business processes. A proposal on specific requirements for computer simulation models to banking activity re-engineering and optimization is formulated.
Persistent link: https://www.econbiz.de/10015237965
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Multimarket Contact in Italian Retail Banking: Competition and Welfare
Molnar, Jozsef; Violi, Roberto; Zhou, Xiaolan - 2010
This paper studies banks' competitive behavior on the deposit side of the Italian retail banking industry. We use a structural model to estimate demand for deposit services and test several supply models. We find that both the competitive, differentiated product Bertrand and the perfectly...
Persistent link: https://www.econbiz.de/10015237974
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Macro Stress-Testing Credit Risk in Romanian Banking System
Ruja, Catalin - 2014
This report presents an application of a macro stress testing procedure on credit risk in the Romanian banking system. Macro stress testing, i.e. assessing the vulnerability of financial systems to exceptional but plausible macroeconomic scenarios, maintains a central role in macro-prudential...
Persistent link: https://www.econbiz.de/10015243963
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Three essays on competition and innovation
Nepelski, Daniel - 2010
dynamics, the current dissertation analyses the interactions between innovation and competition. The scope of this work can be … outcome. The second one analyses the feedback effects of innovative activity on competition and the organisation of economic … activity. Regarding the impact of competition on innovation, an empirical analysis reveals that ICT- driven innovations …
Persistent link: https://www.econbiz.de/10009467260
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Does Market Structure Matter?: New Evidence From Russia
Brown, Annette N.; Brown, J. David - 1998
In this paper we re-examine empirically the Structure-Conduct-Performance relationship between concentration and profitability using new data on Russia that allow us to overcome the endogeneity problem of market structure and expand on the traditional analysis in several ways. The analysis...
Persistent link: https://www.econbiz.de/10009476828
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Does market structure matter on banks’ profitability and stability? Emerging versus advanced economies
Mirzaei, A; Liu, G; Moore, T - 2011
We investigate the effects of market power, banking and bank-environment activities on profitability and stability (risk and returns) for a total of 1929 banks in 40 emerging and advanced economies over the sample period of 1999-2008. The model developed in this paper incorporates the...
Persistent link: https://www.econbiz.de/10009480841
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Does market structure matter on banks’ profitability and stability? Emerging versus advanced economies
Mirzaei, A; Liu, G; Moore, T - 2011
We investigate the effects of market power, banking and bank-environment activities on profitability and stability (risk and returns) for a total of 1929 banks in 40 emerging and advanced economies over the sample period of 1999-2008. The model developed in this paper incorporates the...
Persistent link: https://www.econbiz.de/10009480842