Panel Estimation of the Impact of Uncertainty on Investment in the Industrial Countries

There is growing interest in economic uncertainty and its long run impact on investment. In previous work the authors established clear evidence of the negative impact of exchange rate uncertainty on investment in the G7, measured using a GARCH approach, and Pooled Mean Group Panel Estimation. In this paper we assess the impact on investment of temporary and permanent components of exchange rate uncertainty derived using a components GARCH model. For a poolable subsample of EU countries, results suggest that it is the transitory and not the permanent component which adversely affects investment.investment, uncertainty, exchange rates, non stationary panel estimation

A cross-country comparison of market structures in European banking

In order to assess the effect of EMU on market conditions for banks based in countries which adopt the Single Currency, we use the H indicator suggested by Panzar and Rosse (1987). Our contribution is to assess results separately for large and small banks, and for interest income and total income as a dependent variable. From a panel of banks over the period 1992-1996, we provide evidence that European banking markets for large banks in the mid-1990s were still characterised by monopolistic competition, as compared to the United States. Regarding small banks, the level of competition appears to be even lower, especially in France and Germany. EMU would therefore imply a notable rise in competition for small banks in France and Germany, as well as an increase in competition for large banks, especially in Italy. JEL Classification: G21, L12banking, competition, contestability, EMU, panel data analysis

Evolving Roles for Pension Regulations: Toward Better Risk Control?

The role of regulators in pensions has been transformed in recent years, with underlying forces including the ongoing shift from defined benefit to defined contribution pensions, the shift to risk based supervision for defined benefit and defined contribution plans, the role of accounting standards and transparency (contributing to market discipline) and the turbulence in financial markets. We provide an overview of the evolution of regulation using evidence from selected countries under each topic. We contend that a number of the developments in regulation have played a part in the shift of pension portfolios towards lower risk, that may yet cause difficulties for future pension income. These shifts also leave open a number of outstanding questions, notably whether education of consumers is sufficient, the role of longevity risk and whether regulation can be made more counter cyclical

Scalable Parallelization of a Markov Coalescent Genealogy Sampler

Coalescent genealogy samplers are effective tools for the study of population genetics. They are used to estimate the historical parameters of a population based upon the sampling of present-day genetic information. A popular approach employs Markov chain Monte Carlo (MCMC) methods. While effective, these methods are very computationally intensive, often taking weeks to run. Although attempts have been made to leverage parallelism in an effort to reduce runtimes, they have not resulted in scalable solutions. Due to the inherently sequential nature of MCMC methods, their performance has suffered diminishing returns when applied to large-scale computing clusters. In the interests of reduced runtimes and higher quality solutions, a more sophisticated form of parallelism is required. This paper describes a novel way to apply a recently discovered generalization of MCMC for this purpose. The new approach exploits the multiple-proposal mechanism of the generalized method to enable the desired scalable parallelism while maintaining the accuracy of the original technique.

How idiosyncratic are banking crises in OECD countries?

Low levels of bank capital and liquidity in combination with ongoing crises in other countries are shown to increase the probability of banking crises in OECD countries. Hence global coordination of regulatory reform is vital for reducing crisis risks.Funding was received from the ESRC for this work

Financial data needs for macroprudential surveillance - What are the key indicators of risks to domestic financial stability?

'Macroprudential surveillance' - monitoring conjunctural and structural trends in financial markets so as to give warning of the approach of financial instability - is immensely important, given that financial crises can have huge costs. In this context, this paper presents three complementary lectures, which set out in generic terms the financial data needed for monitoring risks of financial instability. The paper starts with a view of the nature of financial instability, and the types of turbulence, that might pose particular systemic dangers, and the implications they have for data needs. These together give building-blocks for the listing in the third lecture of the types of financial and macroeconomic data that are needed for macroprudential analysis, and a suggested approach to their interpretation. A practical example is given, by looking at how theory and data respectively gave clues to the approach of the Asian crisis of 1997-8, and in this context, notes the data actually available for Thailand at the onset of the crisis in 1997. Overall, it is suggested that the theory of financial instability and the experience of financial crises in the past provide sufficient material to enable meaningful use to be made of financial and macroeconomic data in macroprudential surveillance. Such data may include econometric forecasts, as well as current information. In using such data, judgement is crucial in assessing risks to financial stability - macroprudential surveillance can never be mechanistic. Nevertheless, the paper maintains that detailed knowledge of the sequence of events in past crises, both directly and as encapsulated in theory, is a sine qua non to interpreting the data. In addition, there is a need for development of broad information on what constitutes normal conditions in an economy, as well as the patterns that have often preceded financial crises in the past both domestically and internationally. Given the shortcomings in the data available for many countries, especially in the emerging markets, considerable efforts to improve coverage and timeliness are warranted. Besides macroeconomic data, emerging-market countries may need to lay particular emphasis on better banking data, given the structure of their financial markets, which is typically bank-dominated. Private sector agents also have a role to play in monitoring the risks they face as a consequence of the behaviour of the overall financial system. They are, therefore, encouraged to undertake their own analyses of risks at a macro level.Financial data,macroprudential, surveillance, key indicators,risks,domestic, financial stability

Knowledge, Consciousness, and Language: Some Possible Sources of Discourse Phenomena

Paper by Philip W. Davis and James E. Copelan

Does funding of pensions stimulate economic growth?

Copyright © 2008 Cambridge University Press.Debate over superiority of pension funding over pay-as-you-go links notably to the question whether funding improves economic performance sufficiently to generate additional resources to meet the needs of an ageing population. To address this issue, we design a modified Cobb–Douglas production function with pension assets as a shift factor, and investigate the direct link between pension assets and economic growth employing a dataset covering up to 38 countries, using a variety of appropriate econometric methods. We find positive results for both OECD countries and Emerging Market Economies (EMEs), with consistent evidence for a larger effect for EMEs than OECD countries