ISSN Working Paper Series


 Barbara Smith
 3 years ago
 Views:
Transcription
1 ISSN Working Paer Serie eman for Bank Service an arke Power in Braziian Banking árcio I. Nakane, eonaro S. Aencar an Fabio Kanczuk June, 2006
2 ISSN CGC / Working Paer Serie Braíia n. 07 un 2006 P. 46
3 Working Paer Serie Eie by Reearch earmen (ee) Emai: Eior: Benamin irana abak Emai: Eioria Aien: Jane Sofia oia Emai: Hea of Reearch earmen: Caro Hamion Vaconceo Araúo Emai: he Banco Cenra o Brai Working Paer are a evauae in oube bin referee roce. Reroucion i ermie ony if ource i ae a foow: Working Paer n. 07. Auhorize by Afono San'Anna Beviaqua, euy Governor of Economic Poicy. Genera Conro of Pubicaion Banco Cenra o Brai Secre/Sure/ime SBS Quara 3 Boco B EifícioSee Caixa Poa Braíia F Brazi Phone: (556) an Fax: (556) Emai: he view exree in hi work are hoe of he auhor an o no neceariy refec hoe of he Banco Cenra or i member. Ahough hee Working Paer ofen rereen reiminary work, ciaion of ource i require when ue or rerouce. A oiniõe exrea nee rabaho ão excuivamene o() auor(e) e não refeem, neceariamene, a vião o Banco Cenra o Brai. Aina que ee arigo rereene rabaho reiminar, ciação a fone é requeria memo quano rerouzio arciamene. Conumer Comain an Pubic Enquirie Cener Are: Secre/Sure/iae EifícioSee 2º uboo SBS Quara 3 Zona Cenra Braíia F Brazi Fax: (556) Inerne: h://www.bcb.gov.br/?engih
4 eman for Bank Service an arke Power in Braziian Banking * árcio I. Nakane ** eonaro S. Aencar *** Fabio Kanczuk **** Abrac he Working Paer hou no be reore a rereening he view of he Banco Cenra o Brai. he view exree in he aer are hoe of he auhor() an o no neceariy refec hoe of he Banco Cenra. We ue bankeve aa o moe he eman for bank ervice in Brazi foowing he icree choice ieraure. A muinomia ogi ecificaion i ue o uy he eman for ime eoi, for an aggregae of eman an abook aving eoi, an for oan. arke for each of hee rouc i efine a he municiaiy eve. In he uy ie, we fin he aboue riceco margin conien wih Berran comeiion an wih care. Our reu ugge ha even Berran comeiion overeimae he egree of marke ower in he Braziian banking inury. Keywor: eman for bank ervice, bank comeiion, Braziian banking JE Caificaion: G2, 3 * hi aer wa eveoe for he roec Suie in quaniaive meho aie o aniru an economic reguaion onore by SEJ uner he echnica coorinaion of IPEA (conrac 0/2004 SE/ANPEC). he auhor hank, wihou imicaing, Euaro Fiúza, Joé Guavo Fere, João anoe Pinho e eo, Abero Savo, Pauo Furquim e Azeveo, Akimar oura, Juiano Aunção, Waer Novae, Bernaro Bum, Aeanro Oiveira, Ocar Herrera, Joé Ávaro Rorigue Neo, aria Euara annuripiano a we a eminar arician a Cenra Bank of Brazi, FGVSP, PUCRJ, SE/Iea/Anec, Necar/IA, Cema an SBE for uefu commen an uggeion. he Cenra Bank of Brazi efin uni mae avaiabe mo of he aa ue in he aer. Remaining error are our own reonibiiy. ** Reearch earmen, Cenra Bank of Brazi, an Economic earmen, Univeriy of São Pauo. E mai: *** Reearch earmen, Cenra Bank of Brazi. Emai: **** Economic earmen, Univeriy of São Pauo. Emai: 3
5 . Inroucion he egree of comeiion in he banking inury in Brazi i a ubec of ome conrovery. High bank inere margin coue wih rofi inicaor for he main bank in he counry reinforce he ouar view ha bank oerae uner imerfec marke. he emirica ieraure ha rigorouy ee for he reence of marke ower inee foun ome evience o reec he view ha he Braziian banking ecor oerae uner erfec comeiion. On he oher han, he hyohei ha Braziian bank oerae uner care i ao reece. Nakane (2003) urvey he avaiabe ieraure. However, he reaion beween he ricing of bank rouc an he evenua exercie of marke ower eem o be i argey unknown in he counry. he main aim of hi aer i o fi hi ga an imrove uon he avaiabe ieraure. Anoher fie where he emirica knowege i amo nonexien i he magniue of he eman eaiciie for he bank rouc in Brazi. hi aer eveo a icree choice moe of eman for bank rouc, an rovie reiminary eimae of eman eaiciie for ome rouc. he reevan marke for bank rouc in he geograhica imenion i aume o be oca. Each municiaiy efine a reevan marke. By conra, he reevan marke in he reviou uie wa aume o be he whoe counry. Such uie may herefore be biae owar fining more comeiion han he acua eve. By aoing a more rerice geograhica imenion, we inen o ecreae uch bia. On he uy ie, wo moe of bank behavior are eveoe in he aer. he fir foow a BerranNah comeiion behavior an he econ a care behavior. Imie riceco margin are erive for each moe. Eimae of hee can be obaine by uing avaiabe aa an he eimae eman arameer. 4
6 In he reen arice, we e marke ower by comaring he oberve riceco margin wih he one reice by he Berran an care moe. he reu how ha he Berran moe i a goo ecriion of he ervice fee charge by Braziian bank on eoi, bu overeimae he marke ower on he eing of oan an ime eoi inere rae. he arice i organize a foow. Secion 2 ecribe he eman moe. Secion 3 reen he uy moe. In ecion 4, we ecribe he aa an he inrumen. eman eimaion reu are reene in ecion 5 an he imuaion reu in ecion 6. Finay, ecion 7 concue. 2. he eman moe he moe ecribe here foow ick (2002), which moifie he icree choice framework o fi he eman for banking ervice. ick rerice her anayi o he eoi ervice. In aiion o eoi, we ao ue he moe o ecify he eman for oan. he eman moe ha he foowing forma rucure: Aume he exience of a conumer i ha chooe he eoi ervice of a bank in a marke (,...,). e 0,,...,J, inicae he bank comeing in marke, where 0 rereen he ouie oion, i.e. he oion for he houeho no o chooe any of he bank. he coniiona inirec uiiy of conumer i from chooing bank i: u i ε () v v α α + x β + ξ + i where rereen he inere rae ai on ime eoi, v i he ervice fee on banking ervice, x i a Kimeniona row vecor of obervabe rouc characeriic, ξ rereen unoberve rouc characeriic, an ε i i mean zero ochaic erm wih an i.i.. exreme vaue ye I iribuion. he K+2 imeniona v vecor θ ( α, α, β ) rereen he eoi ervice eman arameer. See Nakane (2002), Beaich (2003), an Peerini an Jorge Neo (2003). 5
7 Suoe ha each conumer chooe one uni of ervice from he bank ha maximize her uiiy. hi imiciy efine he e of unobervabe variabe ha reu in he choice of ervice from bank. Formay, e hi e be: {( ν, ).q. u u 0,,...,J} v A ( x.,.,., ξ. ; θ ) i εi i i (2) where v v v x. ( x,..., xj )',. (,..., J )',. (,...,J )', ξ. ( ξ,..., ξ J )', an ν i rereen he unobervabe characeriic of conumer i. hu, auming ie occur wih zero robabiiy, he marke hare of rouc i given by he robabiiy ha ν, ε ) beong o he A region, for a houeho. Formay, ( i i hi marke hare i given by: ( x,.., v., ξ. ; θ ) P* ( ν, ε ) P* ( ν )P* ( ε ) (3) A A where P*(.) rereen ouaion iribuion funcion. Noice ha hi moe oe no incue any ineracion beween he unobervabe characeriic of iniviua i, ν i, an he obervabe characeriic of rouc. hi mean ha he moe beong o he ca of anar icree choice moe known a muinomia ogi moe. hi aow u o fin a coe form ouion for (3), given by: v v ex( α α + x β + ξ ) v v + ex( α α + xk β + ξ k k k ) J k (4) In ie of i anayic imiciy, he imiaion of he ogi ecificaion are we known [ee, among oher, Berry (994), Berry, evinohn an Pake (995) an Nevo (2000)]. In aricuar, he rice eaiciie generae by he ogi moe een ony on marke hare, generaing quie rericive ubiuion aern. icree choice moe 6
8 wih ranom coefficien inrouce ineracion erm beween he iniviua characeriic an obervabe characeriic of he rouc, generaing more reaonabe ubiuion aern [ee Berry (994), Berry, evinohn an Pake (995, 2004) an Nevo (200)]. he co of hi oion i i comuaiona comexiy, becaue, in hi a cae, exreion (3) canno be anayicay ove. v v e δ α α + x β + ξ be he mean uiiy of rouc, which i he ame for a conumer, an e δ δ,..., δ ). If S rereen he marke hare of bank ( J acuay oberve, hen, he foowing e of equaion mu ho a he rue vaue of δ : S ( δ),,..., J (5) where he erm on he righ han ie of (5) i given by exreion (4), an i rereen he marke hare reice by he moe. Subiuing exreion (4) in (5), an normaizing he mean uiiy of he ouie goo o zero, we obain he eoi ervice eman equaion: n( S ) n( S ) ξ (6) 0 v v α α + x β + Noice ha he unobervabe characeriic of rouc wi be caure by he regreion error in (6). Given he correaion beween uch comonen an rice, he economeric eimaion mu foow inrumena variabe echnique. he ecificaion of he oan eman i enirey imiar. I i uoe, in he oan cae, ha he inere rae coece on oan ubiue he rice ha aear in (6). 3. he uy ie: wo moe of bank behavior e be a bank ha oerae a ifferen marke. A each of hee marke, hi bank ea wih he foowing rouc: eman eoi (), aving eoi (S), ime eoi (), oan (), bon (B), an banking ervice (SV). 7
9 Each bank foow rice comeiion a a Berran. 2 he raegic variabe for each bank are he foowing hree rice: oan inere rae ( ( ), an ervice fee ( v ), ime eoi inere rae ). Suoe ha here i no rice icriminaion among he variou marke, o ha he rice i he ame a each marke:,,...,. v v, e In aiion o hee rice, here are wo oher rice ha are exogenou o he bank: he bon inere rae (r) an he aving inere rae (r ). We ao aume ha he inere rae on eman eoi i equa o zero. Bank baance hee conrain i given by: B + + ρ + + S (7) where ρ rereen reerve requiremen on eman eoi. Aume ha here are no reerve requiremen on ime eoi an on aving or, aernaivey, ha, if hey exi, hey are ai a he rae r, which neuraize heir effec on bank. Aume ao ha bank o no have equiy a a funing ource, which i no a rericive aumion for he Braziian cae. We efine an eimae eman moe for oan, ime eoi an he aggregae of eman an aving eoi ( + S ). he foowing ieniie are vai for hee rouc: V V V (8) 2 We aume he exience of a ure raegy inerior equiibrium an ricy oiive inere rae a he equiibrium. 8
10 where i he oan voume of bank a marke, i he ime eoi voume of bank a marke, i he aggregae voume of eman eoi an aving of bank a marke, V i he mean vaue of he banking ecor ening oeraion, V i he mean vaue of he banking ecor ime eoi, V i he mean vaue of he banking ecor eman an aving eoi, i he ize of marke, i he marke hare of bank in marke in erm of oan, i he marke hare of bank in marke in erm of ime eoi, an aggregae of eman an aving eoi. i he marke hare of bank in marke in erm of he he eman moe eveoe in he aer ue a ogi ecificaion ha ha he foowing rucure: n( n( n( ) n( ) n( ) n( 0 0 ) α 0 ) α 2 ) α 4 v + oher var iabe α 3 α 5 v + oher var iabe + oher var iabe (9) where i he marke hare of he ouie goo in marke in erm of oan, i 0 0 he marke hare of he ouie goo in marke in erm of ime eoi, 0 i he marke hare of he ouie goo in marke in erm of he aggregae of eman an aving eoi, an α an α 5 are he (oiive) rice coefficien. he ouion of he bank oimizaion robem, uner Berran comeiion, require he knowege of he foowing aria erivaive: 9
11 v v α ( α 2 α α 4 α 3 5 ( ( ( ( ) ) ) ) ) (0) he ouion of he bank oimizaion robem, uner a care rucure, wi ao nee he cro aria erivaive. So, for wo iinc bank an k, we obain from (9): k k v k v k k α α k α α α 2 k 3 k 4 k 5 k () he rofi of bank can be exree a: v Π rb + + SV r S C(,, ) (2) where C (.) rereen he oeraiona co of he bank. Subiuing he baance hee conrain (7) in (2), an auming ha he fow of ervice SV i rooriona o he voume of eoi (wih he roorionaiy coefficien normaize o one, wihou o of generaiy), he foowing exreion for bank rofi i obaine: 0
12 v Π r ) + ( r ) + ( r + θ ) C(,, ) (3) ( where: θ r + r ρ S We oberve ha he aria erivaive of he foowing fir orer coniion. θ wih reec o rice wi be omie in 3. Berran comeiion Bank chooe he rice, an v o a o maximize i rofi funcion (3). In he fir marke rucure (Berran comeiion), hi bank aume ha he rice of i riva wi be ke conan. he fir orer coniion wih reec o i given by: + ( r c ) V 0 (4) where c C i he margina co o rovie one uni of oan. Subiuing (0) in (4) an rearranging he erm, we obain: r c α V ( ) (5) Noice ha he righ ie of (5) i obervabe. hi mean ha exreion (5) can be ue o erive he aboue riceco margin of bank reae o i oan aciviie ha i comaibe wih he moe eveoe here. oreover, if here i informaion abou c,
13 he ef ie of (5) i ao obervabe an, a a conequence, hi exreion can be ue o examine he egree of comaibiiy of he aa wih he moe. Afer ubiuing exreion (0), fir orer coniion i given by: v ( r c ) α 2V ( ) ( r + θ c ) α 5V ( ) (6) where c C i he margina co o rovie one uni of ime eoi an c C i he margina co o rovie one uni of eman or aving eoi. Simiary, he fir orer coniion wih reec o v i given by: v ( r c ) α 3V ( ) + ( r + θ c ) α 4V ( ) (7) We can ove (6) an (7), o a o fin he aboue riceco margin for boh rice: r c ( α α 2 4 α + α α )V α 5 ( ) (8) r α 2 α 3 θ c (9) ( α α + α α )V ( ) v Simiary, he righ ie of (8) an (9) are obervabe. A a conequence, we can ue hee exreion o obain he aboue riceco margin reice by he moe for 2
14 ime eoi an bank ervice or, if we know he margina co c an he auibiiy of he rooe moe wih reec o he avaiabe aa. c, o check From (5) an (8) i i oibe o obain he inere rae rea ha i comaibe wih he moe. hi rea i efine by he ifference beween he oan inere rae an he ime eoi inere rae: c + c + α V ( ) ( α 2α 4 + α 3α 5 + α 4 )V + α 5 ( ) (20) 3.2 he care ouion he e of marke ower rooe here comare he Berran aocaion o he care one. o ove he oimizaion robem uner he care marke rucure, aume ha he monooi chooe he rice o a o maximize he um of he rofi of each bank, where he rofi of each of hee bank i given by an exreion uch a (3). he fir orer coniion wih reec o he oan inere rae of bank,, i given by: J k + ( r c ) V + ( k r ck ) V 0 (2) k Noice ha he fir wo erm on he ef ie of (2) are ienica o he erm for he Berran oigooi. he hir erm ake ino accoun he imac of he change of bank rice on he oan eman of oher bank. here are J fir orer coniion ha are equivaen o (2). hee coniion mu be ove imuaneouy o a o fin he aboue riceco margin reice by he care moe. Subiuing he aria erivaive (0)() ino (2), i i oibe o anayicay fin hee margin. o o o, efine he foowing marice: 3
15 4 ( ) J J c  r c  r c r, J, an J J 2 J J J J 2 ) ( ) ( ) ( he aboue riceco margin of oan ha are conien wih he care moe are given by: ( ) V c r α (22) We can foow a imiar roceure for he oher wo ervice. A he care ouion, he fir orer coniion wih reec o ime eoi for a J bank can be exree a: ( ) ( ) ( ) ( ) c r V c r V v Θ α α (23) where: ( ) J J c  r c   r c r, ( ) J J v J v v c  r c  r c r θ θ Θ, J, J J 2 J J J J 2 2 ) ( ) ( ) (, an
16 5 J J 2 J J J J 2 3 ) ( ) ( ) ( Simiary, he fir orer coniion wih reec o he rice of ervice for a J bank can be wrien a: ( ) ( ) ( ) ( ) c r V c r V v Θ α α (24) where: J Soving (23) an (24) imuaneouy, he aboue riceco margin for ime eoi an ervice can be foun o be: ( ) [ ] )V ( c r α α α α α α (25) ( ) [ ] )V ( c r v α α α α α α Θ (26) Finay, from (22) an (25) we have he bank rea ha i conien wih he care ouion:
17 4. aa ( ) c + c + + [ α + α ] α V ( α 2α 4 + α 3α 5 )V (27) he moe i eimae for a ane of bank oeraing in Brazi in ecember 2002 an in ecember A commercia bank an a univera bank wih oan orfoio are incue in he ame, for a oa of 34 bank. 4. arke efiniion he marke efiniion wi ake ino accoun boh he rouc an geograhic imenion. From he rouc imenion erecive, earae eimaion for hree cae of rouc wi be reene: he um of eman an aving eoi, ime eoi, an oan. For each rouc, he geograhic imenion wi be eineae a a municiaiy. he efiniion of municiaiy foow he one ue by IBGE (he officia Braziian iniue for geograhica aiic). he ame incue he 3,252 municiaiie where a ea one bank wa oeraing on he bae ae. For he ifferen rouc we have 3,242 marke for he eman eoi an aving, 2,78 for ime eoi, an 3,242 for oan. 4.2 arke hare o eimae equaion (6), we nee he marke hare of each bank an of he ouie goo. hi aer foow he roceure rooe by ick (2002), auming ha he conumer icree choice refer o one uni of average eoi accoun. hi average accoun i cacuae a he oa voume of each kin of eoi ivie by he number of banking accoun acro a bank in a given year. he iviion of he voume of a bank ecific eoi by he average eoi accoun give he number of accoun ha i rouce by a bank in a ecific marke. he marke hare for hi bank wi be he number of accoun i rouce ivie by he ize of he oenia marke. he ize of he oenia marke i efine in erm of he oca ouaion of he marke, which foow Berry, evinohn an Pake (995) an Nevo (200). he marke hare 6
18 of he ouie goo i given by he ifference beween one an he um of he hare of each bank oeraing in hi marke. he ame roceure wa aoe o efine he average banking oan an he marke hare of he ouie goo for he oan cae. aa on eoi an oan voume come from he ESBAN yem of Cenra Bank of Brazi. hi yem ha informaion on he main baance hee accoun for each branch in each municiaiy. o obain he eoi voume he by each bank in each municiaiy, we aggregae he aa on branche. he aa on eoi an oan voume correon o he aggregae of houeho an enerrie voume. he number of accoun for he ifferen kin of eoi i aken from he Funo Garanior e Créio (FGC) reor, rouce by he Cenra Bank of Brazi. he vaue of he average eoi accoun for he um of eman an aving eoi were eimae o be R$, (ecember 2002) an R$,89.24 (ecember 2003). he equivaen vaue for he ime eoi are R$ 37,255.7 (ecember 2002) an R$ 54,047.7 (ecember 2003). he mean vaue of he oan come from SCR, a yem of crei informaion from he Cenra Bank of Brazi. Ony oan oeraion beween R$ 5 houan an R$ 0 miion were coniere. here i no informaion beow he ower boun, an he choice of he uer boun wa an arbirary eciion. he eimae mean vaue of oan in ecember 2003 wa R$ 2, We efae hi vaue by he conumer rice inex IPCA o cacuae he mean vaue of R$ 9,853.3 for he oan in ecember he aa on he municiaiy ouaion were aken from IBGE. We ue he erie cae Pouação Reiene oa for he year of
19 4.3 Price We aume ha ha,, an v v,,...,, becaue he rice, v, an (for he whoe counry). are no oberve a he eve of each marke, bu ony a he bank eve he oan rice come from he rimary informaion ue o rouce he Pre Reeae: Inere an Banking Srea, from he Cenra Bank of Brazi. he ime eoi rice come from he rae reore o he Cenra Bank of Brazi by he financia iniuion. hee rice are aiy aa on he average ree inere rae charge/ai on/o houeho an on/o enerrie, which were hen weigh average by he aiy infow voume, comoune an normaize o a monh of 2 raing ay. he ervice fee were erive from he COSIF yem of he Cenra Bank of Brazi. hi i an accouning reor of he Braziian financia iniuion wih monhy baance hee an income aemen. he accoun for ecember 2002 an ecember 2003 were ue in he uy. Service fee were cacuae a he raio of income from ervice o he voume of eoi. Such rice refec ix monh of revenue. We herefore ivie hi rice by ix o obain a monhy equivaen meaure. o obain θ ha aear in (3), we ao nee o meaure he rice of aving eoi. hi rice i obaine a he raio of he co of aving eoi o he voume of aving eoi. A for ervice fee, hi rice wa ivie by ix. Finay, he rice of bon i equa o he Seic baic inere rae. 4.4 Obervabe characeriic he oberve characeriic of a bank incue hree ye of variabe, namey: a) variabe ha are obervabe a each marke, ha i for each bank for each municiaiy; b) variabe ha are ony obervabe a he counry eve; an, c) ineracion erm beween obervabe bank characeriic an oca variabe (municia income er caia). 8
20 he obervabe characeriic of a bank in a marke incue: a) number of bank branche in he municiaiy; b) number of Auomaic eer achine (A) in he municiaiy; c) branch eniy in he municiaiy efine a he raio of he number of bank branche in he municiaiy o he area of he municiaiy; ) A eniy in he municiaiy efine a he raio of he number of A in he municiaiy o he area of he municiaiy. he obervabe bank characeriic of a bank ha how no variaion acro he ifferen marke incue: a) number of bank branche in he counry; b) number of A in he counry; c) number of ae where he bank oerae; ) bank age; e) number of bank emoyee; ) average number of bank emoyee er branch; e) averiemen co. aa on he number of branche, number of A, number of emoyee, bank age, an averiemen co come from he Cenra Bank of Brazi. unicia income i municia GP a conan vaue of 2000 avaiabe from SIRAIBGE. he ame ource give he area for each municiaiy. In aiion o he bank characeriic, oher conro variabe for he municiaiie were ao incue in he regreion. hee aiiona conro variabe incue he GP, GP er caia, area, an he ouaion eniy for each municiaiy. 4.5 Inrumen he fir e of inrumen ue in he aer incue bank co hifer. he foowing variabe are incue in hi grou: a) eronne co; b) oeraiona co; c) crei rik, meaure a he raio of (ne) roviioning for nonerforming oan o he voume of oan; ) iquiiy, meaure a he raio of iqui o oeraiona ae; e) raio of ne worh o oeraiona ae; f) raio of oan o oeraiona ae (hi inrumen wa ony ue in he eman equaion for eoi). he informaion for he conrucion of a he abovemenione inrumen come from he COSIF yem of he Cenra Bank of Brazi. 9
21 In aiion o co hifer, we ao emoye a e of inrumen uggee by Berry, evinohn an Pake (995), which incue he bank characeriic of he riva in each marke (henceforh cae BP inrumen). he i of BP inrumen ue in he aer incue he um of he foowing variabe for he riva in each mark: a) number of branche in he municiaiy; b) number of branche in he counry; c) number of A in he municiaiy; ) number of A in he counry; e) eniy of branche in he municiaiy; f) eniy of A in he municiaiy; g) age; h) averiemen co. 5. eman eimaion reu We now reen he eimae for he eman for bank rouc. he reu are earaey reene for each of he hree bank rouc coniere in he aer, namey: ime eoi, eman u aving eoi, an oan. Four ifferen moe were eimae for each rouc by combining ifferen e of inrumen (co hifer or co hifer u BP) an he incuion (or no) of ineracion erm beween bank characeriic an er caia income. A eimae regreion incue a ime ummy (equa o one for 2002) o conro for macroeconomic facor. Heeroceaic robu anar error are reore. he overienificaion e i robu o he reence of heeroceaiciy, foowing he roceure uggee by Woorige (2002,. 23) 3. abe how he rice coefficien for he eman for ime eoi. Beow he vaue for each eimae coefficien we reor he eimae anar error for he coefficien (ef) an he aociae aiic (righ). 3 he e vaue i reore beween arenhee. 20
22 abe : Reu for ime eoi eman VARIABE OE OE 2 OE 3 OE 4 ime eoi rice Service fee (2.70) (24.07) (2.80) (24.2) (7.) (9.0) 0.32 (7.22) (9.09) Income er caia ineracion? No Ye No Ye Inrumen Co Co Co + BP Co + BP Overienificaion e (0.0) (0.0) (0.0) (0.0) Fir age aue R2 (ime eoi rice) Fir age aue R2 (ervice fee) Fir age F e (ime eoi rice) Fir age F e (ervice fee) Obervaion One can oberve ha, a exece, he rice for eman eoi ha a oiive imac over i own eman whie he ervice fee ha a negaive effec on he eman for ime eoi. A he moe hare hi feaure an he coefficien are away highy ignifican. oreover, he eimae coefficien o no greay iffer among he ifferen ecificaion, being reaonaby robu. abe 2 bring he reu for he eman for he aggregae of eman an aving eoi. 2
23 abe 2: Reu for he eman of he Sum of eman an Saving eoi VARIABE OE OE 2 OE 3 OE 4 ime eoi rice Service fee (7.9) (7.4) 0.97 (6.22) 0.97 (5.70) (5.78) 0.09 (7.99) 0.05 (5.8) 0.09 (8.03) Income er caia ineracion? No Ye No Ye Inrumen Co Co Co + BP Co + BP Overienificaion e (0.0) (0.0) (0.0) (0.0) Fir age aue R2 (ime eoi rice) Fir age aue R2 (ervice fee) Fir age F e (ime eoi rice) Fir age F e (ervice fee) Obervaion he eimae rice coefficien are, a exece, negaive in every ecificaion. hey are ao highy ignifican. here i a igh ifference among he moe, hough. he rice coefficien for ime eoi are higher (in aboue vaue) when ony co hifer are ue a inrumen (moe an 2). For he coefficien on ervice fee, he greae aboue vaue were foun for he moe when ineracion wih income er caia are incue (moe 2 an 4). abe 3 reor he reu for he eman for oan. For hi rouc, we make he aumion ha ony he rice of oan affec i eman. 22
24 abe 3: Reu for oan eman oan rice VARIABE OE OE 2 OE 3 OE (5.28) 0.08 (2.64) 0.09 (2.77) 0.08 (8.55) Income er caia ineracion? No Ye No Ye Inrumen Co Co Co + BP Co + BP Overienificaion e (0.0) (0.0) (0.0) (0.0) Fir age aue R2 (oan rice) Fir age F e (oan rice) Obervaion he rice coefficien are negaive an highy ignifican in a he moe. Neverhee, here are ome ma variaion among he moe he (aboue) vaue for he coefficien are higher for he moe incuing ony co hifer a inrumen (moe again 3, an moe 2 again 4) a we a for he moe incuing ineracion wih income er caia (moe 2 again, an moe 4 again 3). A he eimae moe reec he nu hyohei of he overienificaion e. I i no cear, however, wheher hi reecion i ue o oor inrumen or ue o he high number of obervaion in each regreion. he aiic for he overineficaion e i rooriona o he number of obervaion. he aiica ignificance for he F e in he fir age regreion ugge ha here i ome exanaory ower for he inrumen. One can obain he rice eaiciie for each bank in he ame from he eimae rice coefficien 4. abe 4 an 5 how he reu for 2002 an 2003, reecivey. he reu are reore for boh he meian bank a we a for he weighe mean (weighe by he marke hare of each bank). 4 I i ao oibe o comue he cro rice eaiciie for each air of bank in he ame. Such eaiciie are no reore in he aer, hough. 23
25 abe 4: Price Eaiciy (2002) ime eoi Price Service Fee oan Price PROUC eian ean eian ean eian ean IE EPOSIS oe oe oe oe EAN AN SAVING EP. oe oe oe oe OANS oe oe oe oe abe 5: Price Eaiciy (2003) ime eoi Price Service Fee oan Price PROUC eian ean eian ean eian ean IE EPOSIS oe oe oe oe EAN AN SAVING EP. oe oe oe oe OANS oe oe oe oe
26 he reu how ha he own rice eaiciie are very high for ime eoi, being in he range from 2.0 o 23.6 in 2002 an from 5.5 o 6.0 in he own rice eaiciie for he oan eman a we a he eaiciy for he eman of eman an aving eoi wih reec o he rice of ime eoi are more moe in ize. Finay, he eman for boh ye of eoi were foun o be ineaic wih reec o ervice fee 5. Such eimae vaue for he rice eaiciie can be coniere a reaonabe? he ack of oher imiar uie for Brazi make i har o anwer hi queion. ick (2002) reor ome rice eaiciie for he eman for overa eoi for he U.S. marke ao uing he muinomia ogi funciona form. She foun meian rice eaiciie of for ervice fee an of for eoi rae. ick oe no eimae earae eman for ifferen ye of eoi. One can hen conecure ha he eaiciie he foun hou be in he inermeiary range of he eaiciie we foun for each ye of eoi. hi i reciey wha haen an we, herefore, concue ha he eaiciie reore in abe 4 an 5 are no in confic wih he avaiabe ieraure. In aricuar, ick (2002) ao foun ineaic eman wih reec o ervice fee. abe 6 reene he ign for he eimae coefficien for he oher exanaory variabe incue in he eman regreion 6. he meaning of each variabe i ecribe in he aenix. he incuion of ifferen e of inrumen o no change he ing of any coefficien. We herefore groue he reu of moe an 3, a we a he reu of moe 2 an 4. When he ignificance eve change beween he groue moe, he abe reor he one wih he owe ignificance. 5 Ineaic eman o no imy ha he econ orer coniion for he rofi maximizaion robem are vioae. he fir orer coniion (6) an (7) make cear ha boh he eman for ime eoi a we a he eman for he um of eman an aving eoi mu be aken ino accoun for he eerminaion of ervice fee. We comue he econ orer coniion from exreion (4), (6) an (7) an oberve ha hey ho for every obervaion in he ame (no reore in he aer). 6 he eimae vaue for he coefficien are no reore here, bu hey are avaiabe uon reque. 25
27 abe 6: Reu for he Oher Exanaory Variabe IE EPOSIS EAN EP.+SAVINGS OANS VARIABE o. an 3 o.2 an 4 o. an 3 o.2 an 4 o. an 3 o.2 an 4 branchmun +*** +*** +*** + +***  branchbr +*** +*** +*** +*** +*** +*** ammun *** *** +** ambr +*** +* *** *** *** *** ae *** ***  +*** *** *** enbranch +*** +*** +*** +*** +*** +*** enam *** *** *** averiing +*** +*** +*  *** ** age +***  +*** +*** +*** +*** embranch +*** +***  *** gmun *** *** *** *** *  gcaia +*** *** +*** +*** +***  gcaiaq *** *** *** *** *** *** area *** *** *** *** *** *** eniy *** *** *** *** *** *** branchmungca * +** +** branchbrgbca  +*** *** ammungca *  *** ambrgca  *** +*** aegca +*** *** +** enbrangca  *** *** enamgca  +** + avergca ** +  agegca +***  +** embrangca +** +*** Noe: (*) ignifican a 0%, (**) ignifican a 5%, (***) ignifican a %. he Aenix reen he meaning of each of hee variabe. he reu reore in abe 6 inicae ha he number of bank branche in he municiaiy an in he counry a we a he branch eniy have oiive imac on he bank eman. hu, uch aribue are vaue by he agen. Anoher reu i ha bank age ha a oiive effec on i eman, which may inicae ome reuaion effec. Wih regar o he oher bank characeriic, he effec are iinc for he ifferen bank rouc. Some of he coefficien are no robu o ifferen moe ecificaion wherea ome oher have ign ha are ooie of he exece. 26
28 Wih reec o he municiaiy characeriic, he reu inicae ha he eman for bank rouc are higher for municiaiie wih greaer GP, GP er caia, area, an ouaiona eniy. he eimae rice coefficien reore in abe o 3 wi be ue in he imuaion erforme in he nex ecion. 6. e of marke ower In hi ecion we wi ake he exreion erive in ecion 4 ogeher wih he rice coefficien eimae in ecion 5 o erform a e of marke ower for Braziian banking. For each of he eimae moe, we comue he aboue riceco margin conien wih Berran an wih he care moe for each bank in he ame. Such margin are cacuae form he exreion on he righ ie of (5), (8) an (9) for Berran, an of (22), (25) an (26) for couion. abe 7 an 8 reor he reu for boh he meian bank an for he weighe (by he voume of he reecive rouc) mean. he abe ao how he oberve riceco margin, a given by he ef ie of he reecive exreion menione in he reviou aragrah. One hou noice ha he oberve vaue are no affece by he eman coefficien an herefore hee vaue are invarian o he iinc eman moe. However, he oberve margin require he avaiabiiy of he reecive margina co. abe 7 an 8 reor he oberve margin for wo eimae for hee margina co. he fir e of reu aume ha uch margina co are zero. A econ e of reu i ao reore wih eimae of margina co being obaine from FIPECAFI (2004). FIPECAFI (2004) ue reource aocaion informaion from a ame of nine Braziian commercia bank o ecomoe oeraiona co ino hree ifferen aciviie: bank crei, orfoio managemen, an bank ervice. eoi raiing aciviie are no earaey coniere an we herefore have o make ome aumion o infer he co 27
WaveletBased Beta Estimation: Applications to Indian Stock Market
WaveeBaed Bea Eimaion: Appicaion o Indian Soc Mare Maabia Deo** Aaif Shah* **Profeor and Head Deparmen of Commerce Schoo of Managemen Pondicherry univeriy605014 India *Reearch Schoar Deparmen of Commerce
More informationMNB WORKING PAPERS. A Structural Empirical Analysis of Retail Banking Competition: the Case of Hungary 2007/1 JÓZSEF MOLNÁR MÁRTON NAGY CSILLA HORVÁTH
MNB WORKING PAPERS 2007/1 JÓZSEF MOLNÁR MÁRTON NAGY CSILLA HORVÁTH A Srucura Empirica Anaysis of Reai Banking Compeiion: he Case of Hungary A Srucura Empirica Anaysis of Reai Banking Compeiion: he Case
More informationWHAT ARE OPTION CONTRACTS?
WHAT ARE OTION CONTRACTS? By rof. Ashok anekar An oion conrac is a derivaive which gives he righ o he holder of he conrac o do 'Somehing' bu wihou he obligaion o do ha 'Somehing'. The 'Somehing' can be
More informationMARKET MAKERS S UPPLY AND PRICING OF FINANCIAL MARKET LIQUIDITY
MARKET MAKERS S UPPLY AND PRICING OF FINANCIAL MARKET LIQUIDITY Pu Shen and Ro M. Sarr NOVEMBER 000 RWP 0003 Reearch Diiion Federa Reere Bank of Kana Ciy Pu Shen i an economi a he Federa Reere Bank of
More informationON A FAIR VALUE MODEL FOR PARTICIPATING LIFE INSURANCE POLICIES
Invemen Managemen and Financial Innovaion, Volume 3, Iue 2, 2006 05 ON A FAIR VALUE MODEL FOR PARTICIPATING LIFE INSURANCE POLICIES Fabio Baione, Paolo De Angeli, Andrea Forunai Abrac The aim of hi aer
More informationMorningstar Investor Return
Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion
More informationHow Much Can Taxes Help Selfish Routing?
How Much Can Taxe Help Selfih Rouing? Tim Roughgarden (Cornell) Join wih Richard Cole (NYU) and Yevgeniy Dodi (NYU) Selfih Rouing a direced graph G = (V,E) a ource and a deinaion one uni of raffic from
More informationStrategic Supply Chain Optimization for the Pharmaceutical Industries
Ind. Eng. Chem. Res. 2001, 40, 275286 275 Sraegic Suy Chain Oimizaion for he Pharmaceuica Indusries Lazaros G. Paageorgiou,*,, Guiermo E. Rosein,, and Niay Shah Dearmen of Chemica Engineering, Universiy
More informationCALCULATION OF OMX TALLINN
CALCULATION OF OMX TALLINN CALCULATION OF OMX TALLINN 1. OMX Tallinn index...3 2. Terms in use...3 3. Comuaion rules of OMX Tallinn...3 3.1. Oening, realime and closing value of he Index...3 3.2. Index
More informationBetter Bounds for Online Load Balancing on Unrelated Machines
Beer Bound for Online Load Balancing on Unrelaed Machine Ioanni Caragianni Abrac We udy he roblem of cheduling ermanen ob on unrelaed machine when he obecive i o minimize he L norm of he machine load.
More informationSmall Menu Costs and Large Business Cycles: An Extension of Mankiw Model *
Small enu Coss an Large Business Ccles: An Exension of ankiw oel * Hirana K Nah Deparmen of Economics an Inl. Business Sam Houson Sae Universi an ober Srecher Deparmen of General Business an Finance Sam
More informationHow has globalisation affected inflation dynamics in the United Kingdom?
292 Quarerly Bullein 2008 Q3 How ha globaliaion affeced inflaion dynamic in he Unied Kingdom? By Jennifer Greenlade and Sephen Millard of he Bank Srucural Economic Analyi Diviion and Chri Peacock of he
More informationAnalysis of the development trend of China s business administration based on time series
SHS Web of Conference 4, 000 7 (06) DOI: 0.05/ hconf/0640007 C Owned by he auhor, ublihed by EDP Science, 06 Analyi of he develomen rend of China buine adminiraion baed on ime erie Rui Jiang Buine School,
More informationMath 201 Lecture 12: CauchyEuler Equations
Mah 20 Lecure 2: CauchyEuler Equaions Feb., 202 Many examples here are aken from he exbook. The firs number in () refers o he problem number in he UA Cusom ediion, he second number in () refers o he problem
More informationNew Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods. David Blake* Tristan Caulfield** Christos Ioannidis*** and
New Evidence on Muual Fund Performance: A Comparion of Alernaive Boorap Mehod David Blake* Trian Caulfield** Chrio Ioannidi*** and Ian Tonk**** June 2014 Abrac Thi paper compare he wo boorap mehod of Koowki
More informationYTM is positively related to default risk. YTM is positively related to liquidity risk. YTM is negatively related to special tax treatment.
. Two quesions for oday. A. Why do bonds wih he same ime o mauriy have differen YTM s? B. Why do bonds wih differen imes o mauriy have differen YTM s? 2. To answer he firs quesion les look a he risk srucure
More informationMarkit Excess Return Credit Indices Guide for price based indices
Marki Excess Reurn Credi Indices Guide for price based indices Sepember 2011 Marki Excess Reurn Credi Indices Guide for price based indices Conens Inroducion...3 Index Calculaion Mehodology...4 Semiannual
More informationIntroducing a New Formulation for the Warehouse Inventory Management Systems: with Two Stochastic Demand Patterns
Inernaional Journal of Inurial Engineering & Proucion Reearch December, Volume 3, Number 4 pp. 7784 ISSN: 84889 hp://ijiepr.iu.ac.ir/ Inroucing a New Formulaion for he Warehoue Invenory Managemen Syem:
More informationPricing Interest Rate and currency Swaps. Upfront fee. Valuation (MTM)
Pricing Ineres Rae an currency Swas. Uron ee. Valuaion (MM) A lain vanilla swa ricing is he rocess o seing he ixe rae, so ha he iniial value o he swa is zero or boh couneraries. hereaer i is osiive or
More informationConceptually calculating what a 110 OTM call option should be worth if the present price of the stock is 100...
Normal (Gaussian) Disribuion Probabiliy De ensiy 0.5 0. 0.5 0. 0.05 0. 0.9 0.8 0.7 0.6? 0.5 0.4 0.3 0. 0. 0 3.6 5. 6.8 8.4 0.6 3. 4.8 6.4 8 The BlackScholes Shl Ml Moel... pricing opions an calculaing
More informationHedging with Forwards and Futures
Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buyside of a forward/fuures
More informationVolatility spillovers between crude oil futures returns and oil company stock returns
8 h Word IMACS / MODSIM Congress, Cairns, Ausraia 37 Juy 2009 hp://mssanz.org.au/modsim09 Voaiiy spiovers beween crude oi fuures reurns and oi company sock reurns Tansucha, R.,2, M. McAeer 3, 4 and C.
More informationSubsistence Consumption and Rising Saving Rate
Subience Conumpion and Riing Saving Rae Kenneh S. Lin a, HiuYun Lee b * a Deparmen of Economic, Naional Taiwan Univeriy, Taipei, 00, Taiwan. b Deparmen of Economic, Naional Chung Cheng Univeriy, ChiaYi,
More informationMAT 080Algebra II. Literal Equation
MAT 080Algeba II Lieal Equaions Objecives a Solve (linea) lieal equaions which o no equie facoing b Solve (linea) lieal equaions which equie facoing a Solving lieal equaions which o no equie facoing A
More informationThe Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas
The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he
More informationStock Trading with Recurrent Reinforcement Learning (RRL) CS229 Application Project Gabriel Molina, SUID 5055783
Sock raing wih Recurren Reinforcemen Learning (RRL) CS9 Applicaion Projec Gabriel Molina, SUID 555783 I. INRODUCION One relaively new approach o financial raing is o use machine learning algorihms o preic
More information6.003 Homework #4 Solutions
6.3 Homewk #4 Soluion Problem. Laplace Tranfm Deermine he Laplace ranfm (including he region of convergence) of each of he following ignal: a. x () = e 2(3) u( 3) X = e 3 2 ROC: Re() > 2 X () = x ()e d
More informationEquity Valuation Using Multiples. Jing Liu. Anderson Graduate School of Management. University of California at Los Angeles (310) 2065861
Equiy Valuaion Uing Muliple Jing Liu Anderon Graduae School of Managemen Univeriy of California a Lo Angele (310) 2065861 jing.liu@anderon.ucla.edu Doron Niim Columbia Univeriy Graduae School of Buine
More informationMODELING THE CURRENCY FORWARD RISK PREMIUM: THEORY AND EVIDENCE
MODELING THE CURRENCY FORWARD RISK PREMIUM: THEORY AND EVIDENCE Ramapraad Bhar *, Car Chiarea and Toan M. Pham ** * Schoo of Finance and Economic Univeriy of Technoogy, Sydney PO Box 123, Broadway, NSW
More informationCircle Geometry (Part 3)
Eam aer 3 ircle Geomery (ar 3) emen andard:.4.(c) yclic uadrilaeral La week we covered u otheorem 3, he idea of a convere and we alied our heory o ome roblem called IE. Okay, o now ono he ne chunk of heory
More informationSAMPLE LESSON PLAN with Commentary from ReadingQuest.org
Lesson Plan: Energy Resources ubject: Earth cience Grade: 9 Purpose: students will learn about the energy resources, explore the differences between renewable and nonrenewable resources, evaluate the environmental
More informationDuration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.
Graduae School of Business Adminisraion Universiy of Virginia UVAF38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised
More informationFortified financial forecasting models: nonlinear searching approaches
0 Inernaional Conference on Economic and inance Reearch IPEDR vol.4 (0 (0 IACSIT Pre, Singapore orified financial forecaing model: nonlinear earching approache Mohammad R. Hamidizadeh, Ph.D. Profeor,
More informationQoSbased Virtual Private Network Design for an MPLS network
QoSbae Virtua Private Networ Deign for an MPLS networ Anotai Sriitja an Davi Tier Det. of Information Science an Teecommunication Univerity of Pittburgh 5 N. Beefie Avenue, Pittburgh, PA 560 emai: anotai@i.itt.eu,
More informationRepresenting Periodic Functions by Fourier Series. (a n cos nt + b n sin nt) n=1
Represening Periodic Funcions by Fourier Series 3. Inroducion In his Secion we show how a periodic funcion can be expressed as a series of sines and cosines. We begin by obaining some sandard inegrals
More informationWhy Do Real and Nominal. InventorySales Ratios Have Different Trends?
Why Do Real and Nominal InvenorySales Raios Have Differen Trends? By Valerie A. Ramey Professor of Economics Deparmen of Economics Universiy of California, San Diego and Research Associae Naional Bureau
More informationUsefulness of the Forward Curve in Forecasting Oil Prices
Usefulness of he Forward Curve in Forecasing Oil Prices Akira Yanagisawa Leader Energy Demand, Supply and Forecas Analysis Group The Energy Daa and Modelling Cener Summary When people analyse oil prices,
More information2014 Oklahoma Transportation Research Day Poster Preparation Instructions
2014 Okahoma Transoraion Research Day Poser Prearaion Insrucions 2014 OKLHOM TRNSPORTTION RESERCH DY The even wi be he a he OSUOKC Conference Cener, 900 N. Poran ve, Okahoma Ciy, OK. 73107, Tuesay, Ocober
More informationWhat is a swap? A swap is a contract between two counterparties who agree to exchange a stream of payments over an agreed period of several years.
Currency swaps Wha is a swap? A swap is a conrac beween wo counerparies who agree o exchange a sream of paymens over an agreed period of several years. Types of swap equiy swaps (or equiyindexlinked
More informationChapter 7. Response of FirstOrder RL and RC Circuits
Chaper 7. esponse of FirsOrder L and C Circuis 7.1. The Naural esponse of an L Circui 7.2. The Naural esponse of an C Circui 7.3. The ep esponse of L and C Circuis 7.4. A General oluion for ep and Naural
More informationState Machines: Brief Introduction to Sequencers Prof. Andrew J. Mason, Michigan State University
Inroducion ae Machines: Brief Inroducion o equencers Prof. Andrew J. Mason, Michigan ae Universiy A sae machine models behavior defined by a finie number of saes (unique configuraions), ransiions beween
More informationChapter 8: Regression with Lagged Explanatory Variables
Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One
More informationLecture 15 Isolated DCDC converters
ELEC440/940 Lecure 15 olae CC converer Ofen, he oupu C volage fro a CC converer u be iolae fro he inpu AC upply. C power upplie for appliance an equipen are goo exaple. i avanageou o have he iolaion
More informationWhy Did the Demand for Cash Decrease Recently in Korea?
Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in
More informationINFORMATION, INVESTMENT, AND THE STOCK MARKET: A STUDY OF INVESTMENT REVISION DATA OF JAPANESE MANUFACTURING INDUSTRIES
Discussion Paper No. 681 INFORMATION, INVESTMENT, AND THE STOCK MARKET: A STUDY OF INVESTMENT REVISION DATA OF JAPANESE MANUFACTURING INDUSTRIES Kazuo Ogawa and Kazuyuki Suzuki January 2007 The Insiue
More informationEconomics Honors Exam 2008 Solutions Question 5
Economics Honors Exam 2008 Soluions Quesion 5 (a) (2 poins) Oupu can be decomposed as Y = C + I + G. And we can solve for i by subsiuing in equaions given in he quesion, Y = C + I + G = c 0 + c Y D + I
More informationOPTIMIZING PRODUCTION POLICIES FOR FLEXIBLE MANUFACTURING SYSTEM WITH NONLINEAR HOLDING COST
OPIMIZING PRODUCION POLICIE FOR FLEXIBLE MANUFACURING YEM WIH NONLINEAR HOLDING CO ABRAC Leena Praher, Reearch cholar, Banahali Vidayaeeh (Raj.) Dr. hivraj Pundir, Reader, D. N. College, Meeru (UP) hi
More informationThe Portfolio Balance Channel of Monetary Policy: Evidence from the U.S. Financial Accounts
The Porfolio Balance Channel of Moneary Policy: Evience from he U.S. Financial Accouns Davi Beckworh Deparmen of Economics Wesern Kenucky Universiy Bowling Green, KY 4211 avi.beckworh@wku.eu Joshua R.
More informationChapter 13. Network Flow III Applications. 13.1 Edge disjoint paths. 13.1.1 Edgedisjoint paths in a directed graphs
Chaper 13 Nework Flow III Applicaion CS 573: Algorihm, Fall 014 Ocober 9, 014 13.1 Edge dijoin pah 13.1.1 Edgedijoin pah in a direced graph 13.1.1.1 Edge dijoin pah queiong: graph (dir/undir)., : verice.
More informationPointer Analysis. Outline: What is pointer analysis Intraprocedural pointer analysis Interprocedural pointer analysis. Andersen and Steensgaard
Poiner anaysis Poiner Anaysis Ouine: Wha is oiner anaysis Inrarocedura oiner anaysis Inerrocedura oiner anaysis Andersen and Seensgaard Poiner and Aias Anaysis Aiases: wo exressions ha denoe he same memory
More informationChapter 6: Business Valuation (Income Approach)
Chaper 6: Business Valuaion (Income Approach) Cash flow deerminaion is one of he mos criical elemens o a business valuaion. Everyhing may be secondary. If cash flow is high, hen he value is high; if he
More informationGraphing the Von Bertalanffy Growth Equation
file: d:\b1732013\von_beralanffy.wpd dae: Sepember 23, 2013 Inroducion Graphing he Von Beralanffy Growh Equaion Previously, we calculaed regressions of TL on SL for fish size daa and ploed he daa and
More informationA Comparative Study of Linear and Nonlinear Models for Aggregate Retail Sales Forecasting
A Comparaive Sudy of Linear and Nonlinear Model for Aggregae Reail Sale Forecaing G. Peer Zhang Deparmen of Managemen Georgia Sae Univeriy Alana GA 30066 (404) 6514065 Abrac: The purpoe of hi paper i
More informationChapter 2 Kinematics in One Dimension
Chaper Kinemaics in One Dimension Chaper DESCRIBING MOTION:KINEMATICS IN ONE DIMENSION PREVIEW Kinemaics is he sudy of how hings moe how far (disance and displacemen), how fas (speed and elociy), and how
More informationCommon Virtual Path and Its Expedience for VBR Video Traffic
RADIOENGINEERING, VOL. 7, NO., APRIL 28 73 Coon Virual Pah and I Exedience for VBR Video Traffic Erik CHROMÝ, Ivan BAROŇÁK De. of Telecounicaion, Faculy of Elecrical Engineering and Inforaion Technology
More informationVector Autoregressions (VARs): Operational Perspectives
Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101115. Macroeconomericians
More informationPresent Value Methodology
Presen Value Mehodology Econ 422 Invesmen, Capial & Finance Universiy of Washingon Eric Zivo Las updaed: April 11, 2010 Presen Value Concep Wealh in Fisher Model: W = Y 0 + Y 1 /(1+r) The consumer/producer
More informationEconomics 140A Hypothesis Testing in Regression Models
Economics 140A Hypohesis Tesing in Regression Models While i is algebraically simple o work wih a populaion model wih a single varying regressor, mos populaion models have muliple varying regressors 1
More information4. International Parity Conditions
4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency
More information2.6 Limits at Infinity, Horizontal Asymptotes Math 1271, TA: Amy DeCelles. 1. Overview. 2. Examples. Outline: 1. Definition of limits at infinity
.6 Limis a Infiniy, Horizonal Asympoes Mah 7, TA: Amy DeCelles. Overview Ouline:. Definiion of is a infiniy. Definiion of horizonal asympoe 3. Theorem abou raional powers of. Infinie is a infiniy This
More informationTopic: Applications of Network Flow Date: 9/14/2007
CS787: Advanced Algorihm Scribe: Daniel Wong and Priyananda Shenoy Lecurer: Shuchi Chawla Topic: Applicaion of Nework Flow Dae: 9/4/2007 5. Inroducion and Recap In he la lecure, we analyzed he problem
More informationThe Twin Agency Problems in Corporate Finance  On the basis of Stulz s theory 
The Twin Agency Problem in Corporae Finance  On he bai of Sulz heory  Von der Fakulä für Machinenbau, Elekroechnik und Wirchafingenieurween der Brandenburgichen Technichen Univeriä Cobu zur Erlangung
More informationTiming Design in Digital Systems
ECE 520 Cass Noes Timing Design in Digia Sysems Dr. Pau D. Franzon Ouine 1. Timing design in Synchronous (cocked) Logic Min/Max iming wih fipfops Lachbased design 3. Timing Issues in CMOS circuis 4.
More informationIdentifying Aggregate Demand and Supply Shocks in Bangladesh
Ienifying Aggregae Deman an Supply Shock in Banglaeh Omar H.M.N. Bahar Deparmen of Economic Univeriy of Melbourne Auralia Email: o.bahar@pgra.unimelb.eu.au Conac: +614 2578 5841 Abrac: Thi paper explore
More informationChapter 1.6 Financial Management
Chaper 1.6 Financial Managemen Par I: Objecive ype quesions and answers 1. Simple pay back period is equal o: a) Raio of Firs cos/ne yearly savings b) Raio of Annual gross cash flow/capial cos n c) = (1
More informationLecture III: Finish Discounted Value Formulation
Lecure III: Finish Discouned Value Formulaion I. Inernal Rae of Reurn A. Formally defined: Inernal Rae of Reurn is ha ineres rae which reduces he ne presen value of an invesmen o zero.. Finding he inernal
More informationA closer look at Black Scholes option thetas
J Econ Finan (2008) 32:59 74 DOI 0.007/s29700790008 A closer look a Black Scholes oion heas Douglas R. Emery & Weiyu Guo & Tie Su Published online: Ocober 2007 # Sringer Science & Business Media, LLC
More informationInductance and Transient Circuits
Chaper H Inducance and Transien Circuis Blinn College  Physics 2426  Terry Honan As a consequence of Faraday's law a changing curren hrough one coil induces an EMF in anoher coil; his is known as muual
More informationSignal Rectification
9/3/25 Signal Recificaion.doc / Signal Recificaion n imporan applicaion of juncion diodes is signal recificaion. here are wo ypes of signal recifiers, halfwae and fullwae. Le s firs consider he ideal
More informationNo 2003 08 July. Imitation Amongst ExchangeRate Forecasters: Evidence from Survey Data. Michel Beine Agnès BénassyQuéré Hélène Colas
No 2003 08 Juy Imiaion Amongs ExchangeRae Forecasers: Evidence from Survey Daa Miche Beine Agnès BénassyQuéré Héène Coas Working Papers no 200308 Imiaion Amongs ExchangeRae Forecasers: Evidence from
More informationA Brief Introduction to the Consumption Based Asset Pricing Model (CCAPM)
A Brief Inroducion o he Consumpion Based Asse Pricing Model (CCAPM We have seen ha CAPM idenifies he risk of any securiy as he covariance beween he securiy's rae of reurn and he rae of reurn on he marke
More informationMeasuring macroeconomic volatility Applications to export revenue data, 19702005
FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a
More informationMathematics in Pharmacokinetics What and Why (A second attempt to make it clearer)
Mahemaics in Pharmacokineics Wha and Why (A second aemp o make i clearer) We have used equaions for concenraion () as a funcion of ime (). We will coninue o use hese equaions since he plasma concenraions
More informationEquities: Positions and Portfolio Returns
Foundaions of Finance: Equiies: osiions and orfolio Reurns rof. Alex Shapiro Lecure oes 4b Equiies: osiions and orfolio Reurns I. Readings and Suggesed racice roblems II. Sock Transacions Involving Credi
More informationCHARGE AND DISCHARGE OF A CAPACITOR
REFERENCES RC Circuis: Elecrical Insrumens: Mos Inroducory Physics exs (e.g. A. Halliday and Resnick, Physics ; M. Sernheim and J. Kane, General Physics.) This Laboraory Manual: Commonly Used Insrumens:
More informationAIRLINE SEAT MANAGEMENT WITH ROUNDTRIP REQUESTS
Yugosav Journa of Operaions Research 4 (004), Number, 5570 AIRINE SEAT MANAGEMENT WITH ROUNDTRIP REQUESTS PengSheng YOU Graduae Insiue of Transporaion & ogisics Naiona ChiaYi Universiy, Taiwan psyuu@mai.ncyu.edu.w
More informationA Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation
A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion
More information1 A B C D E F G H I J K L M N O P Q R S { U V W X Y Z 1 A B C D E F G H I J K L M N O P Q R S { U V W X Y Z
o ffix uden abel ere uden ame chool ame isric ame/ ender emale ale onh ay ear ae of irh an eb ar pr ay un ul ug ep c ov ec as ame irs ame lace he uden abel ere ae uden denifier chool se nly rined in he
More informationThe Grantor Retained Annuity Trust (GRAT)
WEALTH ADVISORY Esae Planning Sraegies for closelyheld, family businesses The Granor Reained Annuiy Trus (GRAT) An efficien wealh ransfer sraegy, paricularly in a low ineres rae environmen Family business
More informationThe First Mathematically Correct Life Annuity Valuation Formula *
James E. Ciecka. 008. he Firs Mahemaicay Correc Life Annuiy. Journa of Lega Economics 5(): pp. 5963. he Firs Mahemaicay Correc Life Annuiy Vauaion Formua * he sory of he firs acuariay correc specificaion
More information4.8 Exponential Growth and Decay; Newton s Law; Logistic Growth and Decay
324 CHAPTER 4 Exponenial and Logarihmic Funcions 4.8 Exponenial Growh and Decay; Newon s Law; Logisic Growh and Decay OBJECTIVES 1 Find Equaions of Populaions Tha Obey he Law of Uninhibied Growh 2 Find
More informationCapital Gains Taxes and Stock Return Volatility
Capial Gains Taxes an Sock Reurn Volailiy Zhonglan Dai Universiy of Texas a Dallas Douglas A. Shackelfor Universiy of Norh Carolina an NBER Harol H. Zhang Universiy of Texas a Dallas Firs version: Augus,
More informationDiagnostic Examination
Diagnosic Examinaion TOPIC XV: ENGINEERING ECONOMICS TIME LIMIT: 45 MINUTES 1. Approximaely how many years will i ake o double an invesmen a a 6% effecive annual rae? (A) 10 yr (B) 12 yr (C) 15 yr (D)
More informationI. Basic Concepts (Ch. 14)
(Ch. 14) A. Real vs. Financial Asses (Ch 1.2) Real asses (buildings, machinery, ec.) appear on he asse side of he balance shee. Financial asses (bonds, socks) appear on boh sides of he balance shee. Creaing
More informationJEL Classification: C22, G21 Keywords: Bank Runs, Early Warning Indicators, MarkovSwitching
SUD ON EARL WARNING INDICAORS OF BANK RUNS IN INDONESIA: MARKOVSWICHING APPROACH Ikandar Simorangkir * Abrac A run on a bank occur when a large number of deoior fearing ha heir bank will be unable o rea
More informationBALANCE OF PAYMENTS. First quarter 2008. Balance of payments
BALANCE OF PAYMENTS DATE: 20080530 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se
More informationReturn Calculation of U.S. Treasury Constant Maturity Indices
Reurn Calculaion of US Treasur Consan Mauri Indices Morningsar Mehodolog Paper Sepeber 30 008 008 Morningsar Inc All righs reserved The inforaion in his docuen is he proper of Morningsar Inc Reproducion
More informationModel Quality Report in Business Statistics
Moel Quali Repor in Buine Saiic Ma Bergal, Ole Blac, Ruell Boaer, Ra Camber, Pam Davie, Davi Draper, Eva Elver, Suan Full, Davi Holme, Pär Lunqvi, Sien Lunröm, Lennar Norberg, Jon Perr, Mar Pon, Mie Preoo,
More informationLEASING VERSUSBUYING
LEASNG VERSUSBUYNG Conribued by James D. Blum and LeRoy D. Brooks Assisan Professors of Business Adminisraion Deparmen of Business Adminisraion Universiy of Delaware Newark, Delaware The auhors discuss
More informationPart 1: White Noise and Moving Average Models
Chaper 3: Forecasing From Time Series Models Par 1: Whie Noise and Moving Average Models Saionariy In his chaper, we sudy models for saionary ime series. A ime series is saionary if is underlying saisical
More informationImagine a Source (S) of sound waves that emits waves having frequency f and therefore
heoreical Noes: he oppler Eec wih ound Imagine a ource () o sound waes ha emis waes haing requency and hereore period as measured in he res rame o he ource (). his means ha any eecor () ha is no moing
More informationThe International Investment Position of Jamaica: An Estimation Approach
WP/04 The Inernaional Invemen Poiion of Jamaica: An Eimaion Approach Dane Docor* Economic Informaion & Publicaion Deparmen Bank of Jamaica Ocober 2004 Abrac Thi paper eek o inroduce he inernaional invemen
More informationcooking trajectory boiling water B (t) microwave 0 2 4 6 8 101214161820 time t (mins)
Alligaor egg wih calculus We have a large alligaor egg jus ou of he fridge (1 ) which we need o hea o 9. Now here are wo accepable mehods for heaing alligaor eggs, one is o immerse hem in boiling waer
More informationEE8407 Power Converter Systems. Topic 9. PWM Current Source Inverters (CSI) PWM CSI fed MV drive Courtesy of Rockwell Automation
Power Coverer Syem opic 9 PWM Curre Source verer CS PWM CS fe MV rive Courey of Rocwell Auomaio exboo: Bi Wu, HighPower Coverer a AC Drive, WileyEEE Pre, opic 9 PWM Curre Source verer CS Lecure opic
More informationTHE PRESSURE DERIVATIVE
Tom Aage Jelmer NTNU Dearmen of Peroleum Engineering and Alied Geohysics THE PRESSURE DERIVATIVE The ressure derivaive has imoran diagnosic roeries. I is also imoran for making ye curve analysis more reliable.
More informationAnswer, Key Homework 2 David McIntyre 45123 Mar 25, 2004 1
Answer, Key Homework 2 Daid McInyre 4123 Mar 2, 2004 1 This prinou should hae 1 quesions. Muliplechoice quesions may coninue on he ne column or page find all choices before making your selecion. The
More informationModule 4. Singlephase AC circuits. Version 2 EE IIT, Kharagpur
Module 4 Singlephase A circuis ersion EE T, Kharagpur esson 5 Soluion of urren in A Series and Parallel ircuis ersion EE T, Kharagpur n he las lesson, wo poins were described:. How o solve for he impedance,
More informationEstimating TimeVarying Equity Risk Premium The Japanese Stock Market 19802012
Norhfield Asia Research Seminar Hong Kong, November 19, 2013 Esimaing TimeVarying Equiy Risk Premium The Japanese Sock Marke 19802012 Ibboson Associaes Japan Presiden Kasunari Yamaguchi, PhD/CFA/CMA
More informationII.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal
Quarerly Repor on he Euro Area 3/202 II.. Deb reducion and fiscal mulipliers The deerioraion of public finances in he firs years of he crisis has led mos Member Saes o adop sizeable consolidaion packages.
More informationAn empirical analysis about forecasting Tmall airconditioning sales using time series model Yan Xia
An empirical analysis abou forecasing Tmall aircondiioning sales using ime series model Yan Xia Deparmen of Mahemaics, Ocean Universiy of China, China Absrac Time series model is a hospo in he research
More information