country of origin effects on product evaluations this article reviews the literature regarding the effect of country of origin on buyer evaluations of products the issue is important for countries especially resource poor developing countries that need to increase manufactured exports and for firms that source products in countries different from where sold marketing inferences are drawn and implications for future research are developed

assessing the impact of country of origin on product evaluations a new methodological perspective a new methodological approach for examining the impact of country of origin on product evaluations is proposed it takes the form of a multiattribute attitudinal model analyzed by means of a system

evaluating interval forecasts a complete theory for evaluating interval forecasts has not been worked out to date most of the literature implicitly assumes homoskedastic errors even when this is clearly violated and proceed by merely testing for correct unconditional coverage consequently i set out to build a consistent framework for conditional interval forecast evaluation which is crucial when higher order moment dynamics are present the new methodology is demonstrated in an application to the exchange rate forecasting procedures advocated in risk management

real time density forecasts from bayesian vector autoregressions with stochastic volatility central banks and other forecasters are increasingly interested in various aspects of density forecasts however recent sharp changes in macroeconomic volatility including the great moderation and the more recent sharp rise in volatility associated with increased variation in energy prices and the deep global recession pose significant challenges to density forecasting accordingly this paper examines with real time data density forecasts of u s gdp growth unemployment inflation and the federal funds rate from bayesian vector autoregression bvar models with stochastic volatility the results indicate that adding stochastic volatility to bvars materially improves the real time accuracy of density forecasts this article has supplementary material online

backtesting expected shortfall accounting for tail risk the basel committee on banking supervision bis has recently sanctioned expected shortfall es as the market risk measure to be used for banking regulatory purposes replacing the well known value at risk var this change is motivated by the appealing theoretical properties of es as a measure of risk and the poor properties of var in particular var fails to control for tail risk in this transition the major challenge faced by financial institutions is the unavailability of simple tools for evaluation of es forecasts i e backtesting es the main purpose of this paper is to propose such tools specifically we propose backtests for es based on cumulative violations which are the natural analogue of the commonly used backtests for var we establish the asymptotic properties of the tests and investigate their finite sample performance through some monte carlo simulations an empirical application to three major stock indexes shows that var is generally unresponsive to extreme events such as those experienced during the recent financial crisis whereas es provides a more accurate description of the risk involved this paper was accepted by neng wang finance

backtesting marginal expected shortfall and related systemic risk measures this paper proposes an original approach for backtesting systemic risk measures this backtesting approach makes it possible to assess the systemic risk measure forecasts used to identify the finan

an axiomatic approach to systemic risk systemic risk refers to the risk of collapse of an entire complex system as a result of the actions taken by the individual component entities or agents that comprise the system systemic risk is an issue of great concern in modern financial markets as well as more broadly in the management of complex business and engineering systems we propose an axiomatic framework for the measurement and management of systemic risk based on the simultaneous analysis of outcomes across agents in the system and over scenarios of nature our framework defines a broad class of systemic risk measures that accomodate a rich set of regulatory preferences this general class of systemic risk measures captures many specific measures of systemic risk that have recently been proposed as special cases and highlights their implicit assumptions moreover the systemic risk measures that satisfy our conditions yield decentralized decompositions i e the systemic risk can be decomposed into risk due to individual agents furtherm

is universal child care leveling the playing field abstract we assess the case for universal child care programs in the context of a norwegian reform which led to a large scale expansion of subsidized child care we use non linear difference in differences methods to estimate the quantile treatment effects of the reform we find that the effects of the child care expansion were positive in the lower and middle parts of the earnings distribution of exposed children as adults and negative in the uppermost part we complement this analysis with local linear regressions of the child care effects by family income we find that most of the gains in earnings associated with the universal child care program relate to children of low income parents whereas upper class children actually experience a loss in earnings in line with the differential effects by family income we estimate that the universal child care program substantially increased intergenerational income mobility to interpret the estimated heterogeneity in child care effects we examine the mediating role of educational attainment and cognitive test scores and show that our estimates are consistent with a simple model where parents make a tradeoff between current family consumption and investment in children taken together our findings could have important implications for the policy debate over universal child care programs suggesting that the benefits of providing subsidized child care to middle and upper class children are unlikely to exceed the costs our study also points to the importance of universal child care programs in explaining differences in earnings inequality and income mobility across countries and over time

srisk a conditional capital shortfall measure of systemic risk we introduce srisk to measure the systemic risk contribution of a financial firm srisk measures the capital shortfall of a firm conditional on a severe market decline and is a function of its size leverage and risk we use the measure to study top financial institutions in the recent financial crisis srisk delivers useful rankings of systemic institutions at various stages of the crisis and identifies fannie mae freddie mac morgan stanley bear stearns and lehman brothers as top contributors as early as 2005 q1 moreover aggregate srisk provides early warning signals of distress in indicators of real activity received june 7 2011 accepted april 18 2016 by editor geert bekaert

approaches to inequality of opportunity principles measures and evidence we put together the dierent conceptual issues involved in measuring inequality of opportunity discuss how these concepts have been translated into computable measures and point out the problems and choices researchers face when implementing these measures our analysis identies and suggests several new possibilities to measure inequality of opportunity the relevance of the conceptual issues and modelling choices are illustrated with ndings from the empirical literature on income inequality of opportunity

ranking income distributions a large variety of policy questions involve choices between social states and a consequent ordering of the feasible alternatives when these social states are related to the levels of welfare experienced by individuals or households two central issues stand out in determining the relative desirability of different social outcomes one of these is the essentially positive exercise of achieving comparability between households with different characteristics such as composition or preferences operating in different environments for example facing different price structures the other concerns the normative judgments implicit in the evaluation of alternative allocations of resourcesthe emphasis placed on inequality between households and the extent to which greater inequality can be compensated by higher average living standards this paper focuses on the second of these issues and in doing so we abstract from the problem of household comparability by considering a population of n households identical in all respects except for their incomes the question of ordering social states then becomes one of ranking income distributions over a group of anonymous households or individuals borrowing the usual assumptions imposed on consumer preferences we may suppose that a social ordering of income distributions can be represented by a welfare function 2

east west trade the view from the united states many factors contribute to the trade surplus enjoyed by the united states in its foreign trade with the communist countries of europe and asia most studies of east west trade have focused on the problems of entering communist markets and or the potential market in these countries this paper focuses on one of the factors that may be a long term inhibiter or stimulant to increased u s imports of goods from communist countries that is consumer perceptions of products from eastern europe and the people s republic of china our results indicate that there is a market in the united states for goods from communist countries and that there are identifiable segments of the population that are willing to purchase from these countries and would support increased trade relations

continuous cascade models for asset returns abstract in this paper we make a short overview of continuous cascade models recently introduced to model asset return fluctuations we show that these models account in a very parcimonious manner for most of stylized facts of financial time series we review in more details the simplest continuous cascade namely the log normal multifractal random walk mrw it can simply be considered as a stochastic volatility model where the log volatility memory has a peculiar logarithmic shape this model possesses some appealing stability properties with respect to time aggregation we describe how one can estimate it using a gmm method and we present some applications to volatility and var value at risk forecasting

testing macroprudential stress tests the risk of regulatory risk weights we compare the capital shortfall measured by regulatory stress tests to that o fa benchmark methodology the v lab stress test that employs only publicly available market data we find that when capital shortfalls are measured relative to risk weighted assets the ranking of financial institutions is not well correlated to the ranking of the v lab stress test whereas rank correlations increase when required capitalization is a function of total assets we show that the risk measures used in risk weighted assets are cross sectionally uncorrelated with market measures of risk as they do not account for the risk that risk will change furthermore the banks that appeared to be best capitalized relative to risk weighted assets were no better than the rest when the european economy deteriorated into the sovereign debt crisis in 2011

which are the sifis a component expected shortfall approach to systemic risk abstract this paper proposes a component approach to systemic risk which allows to decompose the risk of the aggregate financial system measured by expected shortfall while accounting for the firm characteristics developed by analogy with the component value at risk concept our new systemic risk measure called component es presents several advantages it is a hybrid measure which combines the too interconnected to fail and the too big to fail logics ces relies only on publicly available daily data and encompasses the popular marginal es measure ces can be used to assess the contribution of a firm to systemic risk at a precise date but also to forecast its contribution over a certain period the empirical application verifies the ability of ces to identify the most systemically risky firms during the 2007 2009 financial crisis we show that our measure identifies the institutions labeled as sifis by the financial stability board

country of origin effects in developed and emerging markets exploring the contrasting roles of materialism and value consciousness despite growing evidence about differences in the attitudes and behaviors of consumers in emerging and developed markets there is little research on the differences in country of origin coo effects on their evaluation behavioral intentions bis and actual purchase of imported products this paper introduces a new conceptual framework incorporating consumer ethnocentrism cet materialism mat and value consciousness vc to hypothesize several differences in the influence of coo effects on consumers from developed and emerging markets a web based study with 1752 consumers in four countries representing two developed markets the uk and the usa and two emerging markets china and india shows significant differences in the moderating influence of cet mat and vc on the effects of coo on the evaluations and bis for a fictitious passenger car brand and on the actual choice of car brands owned by them the findings highlight the importance of looking beyond cet at other relevant psychographic variables to understand the differences in motivations underlying consumer perceptions and behavior towards imported products

equality of opportunity theory and measurement during the last third of the twentieth century political philosophers actively debated about the content of distributive justice the ruling ethical view of utilitarianism was challenged by various versions of equality of opportunities economists formulated several ways of modeling these ideas focusing upon how individuals are placed with respect to opportunities for achieving various outcomes and what compensation is due to individuals with truncated opportunities after presenting a review of the main philosophical ideas section 2 we turn to economic models sections 3 and 4 we propose a reformulation of the definition of economic development replacing the utilitarian measure of gdp per capita with a measure of the degree to which opportunities for income acquisition in a nation have been equalized finally we discuss issues that the econometrician faces in measuring inequality of opportunity briefly review the empirical literature section 6 and conclude section 7

capturing deep tail risk via sequential learning of quantile dynamics abstract this paper develops a conditional quantile model that can learn long term and short term memories of sequential data it builds on sequential neural networks and yet outputs interpretable dynamics we apply the model to asset return time series across eleven asset classes using historical data from the 1960s to 2018 our results reveal that it extracts not only the serial dependence structure in conditional volatility but also the memories buried deep in the tails of historical prices we further evaluate its value at risk forecasts against a wide range of prevailing models our model outperforms the garch family as well as models using filtered historical simulation conditional extreme value theory and dynamic quantile regression these studies indicate that conditional quantiles of asset return have persistent sources of risk that are not coming from those responsible for volatility clustering these findings could have important implications for risk management in general and tail risk forecasts in particular

capital shortfall a new approach to ranking and regulating systemic risks the financial crisis of 2007 2009 has given way to the sovereign debt crisis of 2010 2012 yet many of the banking issues remain the same we discuss a method to estimate the capital that a financial firm would need to raise if we have another financial crisis this measure of capital shortfall is based on publicly available information but is conceptually similar to the stress tests conducted by us and european regulators we argue that this measure summarizes the major characteristics of systemic risk and provides a reliable interpretation of the past and current financial crises

consumer ethnocentrism reconceptualization and cross cultural validation consumer ethnocentrism ce is a popular construct in international marketing research and is generally measured using the cetscale a reliable scale with proven predictive validity but with limited evidence about its construct validity dimensionality and cross cultural measurement invariance this note addresses these gaps by reconceptualizing ce as an attitude construct consisting of three dimensions 1 affective reaction 2 cognitive bias and 3 behavioral preference a revised ce scale ces is developed and tested using two empirical studies with adult consumers from four different countries china india uk and usa showing that ces is a reliable valid and cross culturally invariant scale and it explains greater variance than the cetscale and other similar scales in customer evaluations and behavioral intentions for a wide range of products and services

systemic risk measurement multivariate garch estimation of covar abstract we modify adrian and brunnermeier s 2011 covar the var of the financial system conditional on an institution being in financial distress we change the definition of financial distress from an institution being exactly at its var to being at most at its var this change allows us to consider more severe distress events to backtest covar and to improve its consistency monotonicity with respect to the dependence parameter we define the systemic risk contribution of an institution as the change from its covar in its benchmark state defined as a one standard deviation event to its covar under financial distress we estimate the systemic risk contributions of four financial industry groups consisting of a large number of institutions for the sample period june 2000 to february 2008 and the 12 months prior to the beginning of the crisis we also investigate the link between institutions contributions to systemic risk and their characteristics

back to the future backtesting systemic risk measures during historical bank runs and the great depression abstract we evaluate the performance of two popular systemic risk measures covar and srisk during eight financial panics in the era before fdic insurance bank stock price and balance sheet data were not readily available for this period we rectify this shortcoming by constructing a novel dataset for the new york banking system before 1933 our evaluation exercise focuses on two challenges ranking systemically important financial institutions sifis and financial crisis prediction we find that covar and srisk meet the sifi ranking challenge that is they help identify systemic institutions in periods of distress beyond what is explained by standard risk measures up to six months before panics in contrast aggregate covar and srisk are only somewhat effective at predicting financial crises

measuring unfair in equality abstract this paper shows one way of generalizing the standard framework of inequality measurement to allow for a distinction between fair and unfair inequalities we introduce the unfairness lorenz curve and the unfairness gini which are generalizations of the standard versions of the lorenz curve and the gini with this more general framework in place we study the implications of responsibility sensitive theories of justice for the evaluation of the income distribution in norway from 1986 to 2005 we find that both the pre tax and the post tax income distributions have become less fair in norway even though the standard gini for the pre tax income distribution has decreased in the same period two trends explain this development the increase in income share of the top percentile and the change in the situation of females in the labor market the concentration of income at the top of the distribution contributes both to increased unfairness and increased inequality whereas the increase in females working hours and level of education primarily contributes to a reduction in inequality thus the latter effect dominates for the standard gini and the former effect for the unfairness gini furthermore we find that the increase in post tax unfairness is even larger than the increase in pre tax unfairness which shows that the tax system in norway contributes less to eliminating unfairness in 2005 than in 1986

measuring network systemic risk contributions a leave one out approach abstract the aim of this paper is to propose a new network measure of systemic risk contributions that combines the pair wise granger causality approach with the leave one out concept this measure is based on a conditional granger causality test and consists of measuring how far the proportion of statistically significant connections in the system breaks down when a given financial institution is excluded we analyse the performance of our measure of systemic risk by considering a sample of the largest banks worldwide over the 2003 2018 period we obtain three important results first we show that our measure is able to identify a large number of banks classified as global systemically important banks g sibs by the financial stability board fsb second we find that our measure is a robust and statistically significant early warning indicator of downside returns during the last financial crisis finally we investigate the potential determinants of our measure of systemic risk and find similar results to the existing literature in particular our empirical results suggest that the size and the business model of banks are significant drivers of systemic risk

how useful is the marginal expected shortfall for the measurement of systemic exposure a practical assessment abstract we explore the practical relevance from a supervisor s perspective of a popular market based indicator of the exposure of a financial institution to systemic risk the marginal expected shortfall mes the mes of an institution can be defined as its expected equity loss when the market itself is in its left tail we estimate the dynamic mes recently proposed by brownlees and engle 2012 for a panel of 68 large us banks over the last decade and a half running panel regressions of the mes on bank characteristics we first find that the mes can be roughly rationalized in terms of standard balance sheet indicators of bank financial soundness and systemic importance we then ask whether the cross section of the mes can help to identify ex ante i e before a crisis unfolds which institutions are more likely to suffer the most severe losses ex post i e once it has unfolded unfortunately using the 2007 2009 crisis as a natural experiment we find that some standard balance sheet ratios are better able than the mes to predict large equity losses conditionally to a true crisis

threshold arch models and asymmetries in volatility this paper attempts to enlarge the class of threshold heteroscedastic models tarch introduced by zakoian 1991a we show that it is possible to relax the positivity constraints on the parameters of the conditional variance unconstrained models provide a greater generality of the paths allowing for nonlinearities in the volatility cyclical behaviour is permitted as well as different relative impacts of positive and negative shocks on volatility depending on their size we give empirical evidence using french stock returns

multinational production effect on brand value direct foreign investment in manufacturing abroad has a number of consequences for the firm one aspect particularly salient when the company s image is tied to its home country is the impact of the dfi upon customer perceptions of the brand the present study shows how changes in perceptions can be assessed prior to the investment decision and how the brand value consequences of a particular location can be estimated the proposed method is illustrated using data from a japanese company s entry into the u s

robust inequality of opportunity comparisons theory and application to early childhood policy evaluation this paper develops a criterion to assess equalization of opportunity that is consistent with theoretical views of equality of opportunity we characterize inequality of opportunity as a situation

international product positioning one of the cornerstones of a firm s marketing strategy in any market is the development of an appropriate product positioning plan this paper argues that may of the same considerations that go into the positioning strategy in the home country are directly relevant for international markets there is an added elements of complexity in that the country of origin of the imported product will often be a salient factor in the buyer evaluation process the effect of country stereotype will be to shift the position of the product in the perceptual space and alter the overall evaluation of its merits the competitive strength of the product will thus be affected by country biases the paper shows how these factors can be dealt with in the management of the international product positioning task

how relevant is volatility forecasting for financial risk management it depends if volatility fluctuates in a forecastable way volatility forecasts are useful for risk management hence the interest in volatility forecastability in the risk management literature volatility forecastability however varies with horizon and different horizons are relevant in different applications moreover existing assessments of volatility forecastability are plagued by the fact that they are joint assessments of volatility forecastability and an assumed model and the results can vary not only with the horizon but also with the assumed model to address this problem we develop a model free procedure for assessing volatility forecastability across horizons perhaps surprisingly we find that volatility forecastability decays quickly with horizon volatility forecastability although clearly of relevance for risk management at the short horizons relevant for say trading desk management may be much less important at longer horizons

equality of opportunity and luck definitions and testable conditions with an application to income in france abstract we offer a model of equality of opportunity that encompasses different conceptions expressed in the public and philosophical debates in addition to circumstances whose effect on outcome should be compensated and effort which represents a legitimate source of inequality we introduce a third factor luck that captures the random factors whose impact on outcome should be even handed for equality of opportunity to be satisfied then we analyze how the various definitions of equality of opportunity can be empirically identified given data limitations and provide testable conditions definitions and conditions resort to standard stochastic dominance tools lastly we develop an empirical analysis of equality of opportunity for income acquisition in france over the period 1979 2000 which reveals that the degree of inequality of opportunity tends to decrease and that the degree of risk of income distributions conditional on social origin appears very similar across all groups of social origins

risk models at risk the experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the quantification of extreme downward risks a key reason for this is that risk measures are subject to a model risk due e g to specification and estimation uncertainty while regulators have proposed that financial institutions assess the model risk there is no accepted approach for computing such a risk we propose a remedy for this by a general framework for the computation of risk measures robust to model risk by empirically adjusting the imperfect risk forecasts by outcomes from backtesting frameworks considering the desirable quality of var models such as the frequency independence and magnitude of violations we also provide a fair comparison between the main risk models using the same metric that corresponds to model risk required corrections

negative country of origin effects the case of the new russia with the political and economic changes in eastern europe there is an increasing need to market successfully products from these countries in the industrialized world this paper explores the extent to which the risk attitudes political convictions and country of origin associations of individuals affect the buying decision of a product from a controversial source country on a theoretical level it is investigated where in the decision making process political convictions and country of origin effects emerge most forcefully hypotheses are tested empirically against survey data on farmers evaluations of tractors from several countries including the russian made belarus the data analysis involves the specification of a recursive system encompassing the steps the buyer goes through from product evaluation to purchase the effects of political convictions risk attitudes and the country of origin connection are evaluated at each stage in the process implications are derived for potential strategies on the part of russian manufacturers

multinomial var backtests a simple implicit approach to backtesting expected shortfall under the fundamental review of the trading book frtb capital charges for the trading book are based on the coherent expected shortfall es risk measure which show greater sensitivity to tail risk in this paper it is argued that backtesting of expected shortfall or the trading book model from which it is calculated can be based on a simultaneous multinomial test of value at risk var exceptions at different levels an idea supported by an approximation of es in terms of multiple quantiles of a distribution proposed in emmer et al 2015 by comparing pearson nass and likelihood ratio tests lrts for different numbers of var levels n it is shown in a series of simulation experiments that multinomial tests with n 4 are much more powerful at detecting misspecifications of trading book loss models than standard bi nomial exception tests corresponding to the case n 1 each test has its merits pearson offers simplicity nass is robust in its size properties to the choice of n the lrt is very powerful though slightly over sized in small samples and more computationally burdensome a traffic light system for trading book models based on the multinomial test is proposed and the recommended procedure is applied to a real data example spanning the 2008 financial crisis

ex ante versus ex post equality of opportunity we study the difference between the ex post and ex ante perspectives in equality of opportunity we show that the well documented conflicts between compensation and reward are but an aspect of a broader conflict between ex ante and ex post perspectives the literature that takes the goal of providing equal opportunities as the guiding principle generally considers that this is implemented only when ex post all individuals with the same effort obtain equal success it is easy to believe that ex ante compensation is another natural embodiment of the same idea we show that this is not true