Estimating the productivity of US agriculture: The Fisher total factor productivity index for time series data with unknown prices

In this paper, we propose a straightforward way to estimate the Fisher ideal total factor productivity (TFP) index (FI) in cases where price information is unavailable, using ‘shadow prices’ derived from data envelopment analysis (DEA). A Monte Carlo experiment shows that the shadow price Fisher ideal TFP index (SPFI) can effectively estimate the ‘true’ FI with relatively small (and stable) errors. The empirical application to the US agriculture sector (1948–2017) further suggests that the SPFI is a (superior) alternative to the traditional Malmquist DEA, especially in dealing with unbalanced panel or time series data when price data are unknown.fals

An MCDA composite index of bank stability using CAMELS ratios and shannon entropy

This study uses the multi-criteria decision-analysis (MCDA) approach to construct a composite performance index (CPI) directly from the CAMELS financial ratios. The CPI has several promising characteristics, such as (i) being an absolute measure of performance that allows for adding or removing data without affecting the existing scores; (ii) employing CAMELS ratios directly in its calculation without the need for normalization or imputation of positive values; (iii) employing the dynamic weighting system of data envelopment analysis (DEA); (iv) providing more robust insights on the Vietnamese banking system under the Shannon entropy approach; and (v) can be an alternative measure of bank stability, compared to the CAMELS ratings and z-scores. Based on a rich dataset of 45 Vietnamese banks spanning from 2002 to 2020, our findings suggest that the proposed CPI could offer an overall view consistent with other approaches for measuring banking sector performance and stability and identifying specific strengths and weaknesses of banks.fals

Healthcare expenditure and bank deposits

This paper investigates the effects of healthcare expenditure on bank deposits in a cross- country analysis. We use government healthcare expenditure, and government and compulsory contributions to the healthcare system as a proxy for healthcare development. The results show a positive relationship between healthcare expenditure and bank deposits. This result is stronger in high income countries and those with a high level of healthcare infrastructure. The results are robust with various specifications tests, including in the COVID-19 pandemic period.fals

Can interest rates really control house prices? Effectiveness and implications for macroprudential policy

This paper investigates how changes in the central bank policy and retail mortgage rates affected real housing prices in New Zealand during the period 1999-2009. We find that real interest rates are significantly and positively related to real housing prices, indicating that increases in the policy rate may not be effective in depressing real housing prices. By testing interest rates, we also find some evidence of housing price bubbles. Our findings suggest that the central bank could have limited housing price bubbles if it had started to intervene in the housing market prior to 2003. Our results set international exemplars for using policy rates or macroprudential tools to cool the housing market, where the extent of policy rate adjustments is limited by internal or external economic factors. © 2014 Elsevier B.V

Uncertainty and new apartment price setting: A real options approach

© 2015 Elsevier B.V. This paper investigates real estate development firms' pricing behaviours in Beijing, China during the period 2006-2008. New apartment prices are set by real estate development firms at the presale stage with widely observed price rigidity. Home buyers are often price takers without much power of negotiation in the price setting process. We find that real estate development firms apply real options theory for new apartment price setting at the presale stage, having regard also to apartments' physical attributes, firms' financial position and other economic conditions. Our results shed lights on the nature of residential real estate development market, in particular how changes in the market uncertainty will affect firms' price setting behaviours