The Link Between Incomplete Information on the Interbank Network and Counterparty Risk

2019 ◽  
Vol 52 (2) ◽  
pp. 213-227
Author(s):  
Daniel Förster ◽  
Martin Walther
Keyword(s):  
Incomplete Information ◽  
Jel Classification ◽  
Market Liquidity ◽  
Negative Externality ◽  
Direct Impact ◽  
Counterparty Risk ◽  
Global Sale ◽  
Rule Out

Abstract This paper describes a model in which a network of interbank loans leads to a severe amplification of the previously unanticipated insolvency of one bank. Banks that cannot rule out an indirect hit react by selling assets and hoarding liquidity. While this potentially lowers illiquidity risks, it depresses market liquidity and prices. This leads to a negative externality by which sales to acquire liquidity simultaneously lead to lower global sale proceeds and thus to a greater number of insolvencies inducing deadweight losses. Thus, the distribution of information on the network has a direct impact on welfare by itself. Der Zusammenhang zwischen unvollständigen Informationen über das Banknetzwerk und Adressenausfallrisiken Zusammenfassung In dieser Arbeit wird ein Modell betrachtet, in dem das Netzwerk aus Interbankenkrediten die Folgen der unerwarteten Insolvenz einer einzelnen Bank drastisch verstärkt. Banken, die indirekte Verluste nicht ausschließen können, reagieren mit dem Verkauf von Vermögenswerten und dem Horten von Liquidität. Dies führt zwar potenziell zu ­einer Senkung der Illiquiditätsrisiken, drückt aber die Marktliquidität und Preise. Es kommt zu einem negativen externen Effekt, da die Verkäufe zur Liquiditätsbeschaffung gleichzeitig zu geringeren Verkaufserlösen und damit zu einer größeren Anzahl von Insolvenzen, die Wohlfahrtsverluste mit sich bringen, führen. Demnach hat die Informa­tionsverteilung im Bankennetzwerk einen direkten Einfluss auf die Wohlfahrt. JEL Classification: G01, G11, G21, G33

scholarly journals Spillovers and R&D Incentive under Incomplete Information

2018 ◽  
Vol 6 (1-2) ◽  
pp. 50-65 ◽  
Author(s):  
Rittwik Chatterjee ◽  
Srobonti Chattopadhyay ◽  
Tarun Kabiraj
Keyword(s):  
Distribution Function ◽  
Incomplete Information ◽  
Private Information ◽  
Complete Information ◽  
Jel Classification ◽  
General Distribution ◽  
Two Stage ◽  
Stage Game ◽  
Alternative Scenarios

Spillovers of R&D outcome affect the R&D decision of a firm. The present paper discusses the R&D incentives of a firm when the extent of R&D spillover is private information to each firm. We construct a two-stage game involving two firms when the firms first decide simultaneously whether to invest in R&D or not, then they compete in quantity. Assuming general distribution function of firm types we compare R&D incentives of firms under alternative scenarios based on different informational structures. The paper shows that while R&D spillovers reduce R&D incentives under complete information unambiguously, however, it can be larger under incomplete information. JEL Classification: D43, D82, L13, O31

scholarly journals Market Liquidity and Its Dimensions: Linking the Liquidity Dimensions to Sentiment Analysis through Microblogging Data

2021 ◽  
Vol 14 (9) ◽  
pp. 394
Author(s):  
Francisco Guijarro ◽  
Ismael Moya-Clemente ◽  
Jawad Saleemi
Keyword(s):  
Financial Markets ◽  
Sentiment Analysis ◽  
Trading Volume ◽  
Price Dispersion ◽  
Daily Basis ◽  
Market Liquidity ◽  
Financial Information ◽  
Counterparty Risk ◽  
Trading Costs ◽  
Investor Sentiments

Market liquidity has an immediate impact on the execution of transactions in financial markets. Informed counterparty risk is often priced into market liquidity. This study investigates whether microblogging data, as a non-financial information tool, is priced along with market liquidity dimensions. The analysis is based on the Australian Securities Exchange (ASX), and from the results, we conclude that microblogging content in pessimistic periods has a higher impact on liquidity and its dimensions. On a daily basis, pessimistic investor sentiments lead to higher trading costs, illiquidity, a larger price dispersion and a lower trading volume.

The Role of Preference Reversals in the Collapse of Fixed Exchange Rate Systems

2009 ◽  
Vol 21 (3) ◽  
pp. 255-272
Author(s):  
Maurizio Mistri
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Incomplete Information ◽  
European Monetary System ◽  
Social Institutions ◽  
Structural Instability ◽  
Jel Classification ◽  
Cognitive Factors ◽  
Fixed Exchange Rate

This paper draws on the structural instability of fixed exchange rate systems, also referring to Bretton Woods and the European Monetary System. In particular, the collapse of such systems is seen as a consequence of, amongst other things, formational and cognitive factors with an emphasis on the processes of preference reversal. Taking a dynamic view of such processes, the intertemporal nature of decisions made on the issue of exchange rate systems can induce electors and governments to reconsider, in time, the importance of certain major objectives they set themselves. A core issue of the analysis is the still unsolved problem of the relationship between inflation and unemployment. Recent financial crises have demonstrated that even governments “ideologically” oriented to a monetarist approach can adopt, in particular situations, Keynesian policies. This occurs for reasons of a social and political order, outside of economic logic. Therefore, in the analysis developed in this paper, attention is focused on informational and cognitive factors. The paper is essentially arranged in three parts. In the first part, we examine the role of the forms of exchange rates, seen as social institutions in act by countries that have a two-objective utility function. Subsequently we examine the question of instability of the system of fixed exchange rates with an approach that is focused on incomplete information. Finally, beyond the role of incomplete information, in the third part we examine the role of distortive factors of a cognitive order that are capable of overthrowing exchange rate preferences.. JEL Classification.: D7, E11, E5, E6.

Threshold Effect of Bank-specific Determinants of Non-performing Assets: An Application in Indian Banking

2019 ◽  
Vol 18 (1_suppl) ◽  
pp. S1-S34 ◽  
Author(s):  
Samaresh Bardhan ◽  
Rajesh Sharma ◽  
Vivekananda Mukherjee
Keyword(s):  
Banking System ◽  
Threshold Effect ◽  
Jel Classification ◽  
Critical Threshold ◽  
Credit Growth ◽  
Linear Effect ◽  
Negative Effect ◽  
Specific Factors ◽  
Rule Out

The article investigates role of bank-specific factors on non-performing assets (NPAs) in Indian banking system in a panel threshold framework (Hansen, 1999, Journal of Econometrics, 93(2), 345–368), using an unbalanced panel of 82 scheduled commercial banks over the period of 1995–1996 to 2010–2011. We consider capital to risk-weighted assets ratio (CRAR) and credit growth as alternative threshold variables (and regime dependent) along with relevant bank-specific variables treated as regime independent. Findings reveal that CRAR exerts negative and significant impact on NPAs once it reaches a critical threshold. Possible implication is that banks extend less risky loans in a high CRAR regime than in low CRAR regime that helps reduce NPAs. With credit growth as threshold as well as regime dependent, we observe statistically significant non-linear effect of credit growth on NPAs. Beyond threshold, credit growth exerts significant negative effect on NPAs that may imply that banks extend good quality loans. However, we cannot rule out the possibility of evidence of ‘ever-greening hypothesis’ of bad debts in Indian banking, that is, banks just roll over previous bad debts into fresh performing loans. JEL Classification: G21, G28, C13, C33

scholarly journals «Time preference and investment expenditure»: comment on Hülsmann

2021 ◽  
pp. 291-304
Author(s):  
Xavier Méra
Keyword(s):  
Interest Rate ◽  
Time Preference ◽  
Jel Classification ◽  
Time Preferences ◽  
Supply Side ◽  
Direct Impact ◽  
Investment Expenditure ◽  
Palabras Clave ◽  
Growth Types ◽  
Demand Schedule

Hülsmann (2008) argues that the neglect of time preference changes on the demand side of the time market renders Rothbard’s (1993) analysis incomplete in that it unduly portrays a rise in the volume of investment as a necessary counterpart to a fall in the pure interest rate. Focusing on the determinants of the demand for present goods, this paper shows that though Hülsmann’s strictures are essentially valid, Rothbard has actually explained why the direct impact of time preference changes should display themselves mostly on the supply side. However, the implications have been neglected both by Hülsmann and Rothbard. We explore these implications, demonstrating that the present demand schedule and the volume of investment should be considered as mostly independent from present time preferences and determined instead by past production decisions. We show how this approach allows for a more «dynamic» understanding of the time market and growth processes. Key words: Time Preference, Investment Expenditure, Time Market, Structure of Production, Interest Rate, Growth Types, Austrian Macroeconomics. JEL Classification: B53, E22, E23, E43, O11, O16, O40. Resumen: Hülsmann (2008) argumenta que pasar por alto los cambios en la preferencia temporal del lado de la demanda en el mercado de tiempo hace incompleto el análisis de Rothbard (1993) al representar indebidamente un incremento en el volumen de inversión como contrapartida necesaria a una caída en la tasa de interés pura. Centrándose en los determinantes de la demanda para bienes presentes, este paper muestra que, siendo las críticas de Hülsmann esencialmente válidas, Rothbard realmente explicó por qué el impacto directo de los cambios en la preferencia temporal debería reflejarse fundamentalmente en el lado de la oferta. Sin embargo, las implicaciones derivadas de ello fueron ignoradas por Hülsmann y Rothbard. Las exploraremos, demostrando que la curva de demanda presente y el volumen de inversión deberían considerarse esencialmente independientes de las preferencias temporales presentes, estando determinadas realmente por decisiones pro-ductivas pasadas. Esta aproximación permite una comprensión más «diná-mica» del mercado de tiempo y los procesos de crecimiento. Palabras clave: Preferencia temporal, gasto de inversión, mercado del tiempo, estructura de la producción, tipo de interés, tipos de crecimiento, macroeconomía austriaca. Clasificación JEL: B53, E22, E23, E43, O11, O16, O40.

A rapid method for the direct identification of paramyxovirus in canine CSF by ultracentrifugation and negative staining as a rule out for distemper

1990 ◽  
Vol 48 (3) ◽  
pp. 594-595
Author(s):  
W.L. Steffens ◽  
M.B. Ard ◽  
C.E. Greene ◽  
A. Jaggy
Keyword(s):  
Subacute Sclerosing Panencephalitis ◽  
Clinical Signs ◽  
Viral Disease ◽  
Etiologic Agent ◽  
Mucosal Inflammation ◽  
Worldwide Distribution ◽  
Negative Stain ◽  
Viral Particles ◽  
Systemic Manifestations ◽  
Rule Out

Canine distemper is a multisystemic contagious viral disease having a worldwide distribution, a high mortality rate, and significant central neurologic system (CNS) complications. In its systemic manifestations, it is often presumptively diagnosed on the basis of clinical signs and history. Few definitive antemortem diagnostic tests exist, and most are limited to the detection of viral antigen by immunofluorescence techniques on tissues or cytologic specimens or high immunoglobulin levels in CSF (cerebrospinal fluid). Diagnosis of CNS distemper is often unreliable due to the relatively low cell count in CSF (<50 cells/μl) and the binding of blocking immunoglobulins in CSF to cell surfaces. A more reliable and definitive test might be possible utilizing direct morphologic detection of the etiologic agent. Distemper is the canine equivalent of human measles, in that both involve a closely related member of the Paramyxoviridae, both produce mucosal inflammation, and may produce CNS complications. In humans, diagnosis of measles-induced subacute sclerosing panencephalitis is through negative stain identification of whole or incomplete viral particles in patient CSF.

Impairment Questions and Answers

1999 ◽  
Vol 4 (4) ◽  
pp. 4-4
Keyword(s):  
Symptom Validity ◽  
Validity Testing ◽  
Symptom Validity Testing ◽  
Negative Results ◽  
Tunnel Vision ◽  
Questions And Answers ◽  
Blurry Vision ◽  
Fatigue Evaluation ◽  
Choice Testing ◽  
Rule Out

Abstract Symptom validity testing, also known as forced-choice testing, is a way to assess the validity of sensory and memory deficits, including tactile anesthesias, paresthesias, blindness, color blindness, tunnel vision, blurry vision, and deafness—the common feature of which is a claimed inability to perceive or remember a sensory signal. Symptom validity testing comprises two elements: A specific ability is assessed by presenting a large number of items in a multiple-choice format, and then the examinee's performance is compared with the statistical likelihood of success based on chance alone. Scoring below a norm can be explained in many different ways (eg, fatigue, evaluation anxiety, limited intelligence, and so on), but scoring below the probabilities of chance alone most likely indicates deliberate deception. The positive predictive value of the symptom validity technique likely is quite high because there is no alternative explanation to deliberate distortion when performance is below the probability of chance. The sensitivity of this technique is not likely to be good because, as with a thermometer, positive findings indicate that a problem is present, but negative results do not rule out a problem. Although a compelling conclusion is that the examinee who scores below probabilities is deliberately motivated to perform poorly, malingering must be concluded from the total clinical context.

Case Exercise: Toxic Exposure-Related Illness: Causation, Diagnosis, and Permanent Impairment

2007 ◽  
Vol 12 (2) ◽  
pp. 4-8
Author(s):  
Frederick Fung
Keyword(s):  
Concentration Level ◽  
Treatment Plan ◽  
Toxic Exposure ◽  
Dose Response Relationship ◽  
Specialty Board ◽  
History Of ◽  
Subjective Complaints ◽  
Based Medicine ◽  
Illness Causation ◽  
Rule Out

Abstract A diagnosis of toxic-related injury/illness requires a consideration of the illness related to the toxic exposure, including diagnosis, causation, and permanent impairment; these are best performed by a physician who is certified by a specialty board certified by the American Board of Preventive Medicine. The patient must have a history of symptoms consistent with the exposure and disease at issue. In order to diagnose the presence of a specific disease, the examiner must find subjective complaints that are consistent with the objective findings, and both the subjective complaints and objective findings must be consistent with the disease that is postulated. Exposure to a specific potentially causative agent at a defined concentration level must be documented and must be sufficient to induce a particular pathology in order to establish a diagnosis. Differential diagnoses must be entertained in order to rule out other potential causes, including psychological etiology. Furthermore, the identified exposure at the defined concentration level must be capable of causing the diagnosis being postulated before the examiner can conclude that there has been a cause-and-effect relationship between the exposure and the disease (dose-response relationship). The evaluator's opinion should make biological and epidemiological sense. The treatment plan and prognosis should be consistent with evidence-based medicine, and the rating of impairment must be based on objective findings in involved systems.

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