what drives bank securitisation the spanish experience abstract this paper analyses the reasons why spanish banks securitised in the period 2000 2007 on such a large scale that spain has become the european country with the second largest issuance volume after the uk the results obtained by applying a logistic regression model to a sample of 408 observations indicate that liquidity and the search for improved performance are the decisive factors in securitisation we find no evidence to support hypotheses regarding credit risk transfer and regulatory capital arbitrage our study also presents a more detailed analysis that differentiates between asset and liability securitisation programmes

global food balances and food security abstract the major structural imbalance in the current global food scene surpluses in developed countries and deficits in developing countries offers opportunity for substantial progress in assuring food security in both the long and the short run to avail of this opportunity requires an understanding of the close connection between food supplies and purchasing power to purchase food massive investment in rural infrastructure is a major component of long term food security since infrastructure is efficiently produced by labor intensive processes food as a wage good is an important input and the global economy would appear to be under using it from an efficiency point of view in the short run food for work offers opportunity for immediate increase in food security as do food subsidy programs it is essential that a large complex of institutions be developed if the current global scene is to result in increased food security it will take time to develop those structures even though food is available now

extending the basel ii approach to estimate capital requirements for equity investments abstract under the basel ii banking regulatory capital regime the capital requirements for credit exposures are calculated using the asymptotic single risk factor asrf approach the capital requirement is taken to be the contribution of an exposure to the unexpected loss on the bank s diversified portfolio here we extend this approach to calculate capital requirements for equity investments we show that in the case when asset values have a normal distribution an analytical formula for the unexpected loss contribution may be developed we show that the capital requirements for equity investments are quite different to those of credit exposures since equity investments can suffer substantial loss of value even when the underlying company has not defaulted unexpected loss is commonly used as a measure of capital requirements but it ignores the ability of earnings to absorb loss we propose a definition of capital requirement that recognises the expected earnings on assets and show how to combine the asrf model and the capital asset pricing model to compute this quantity for credit and equity exposures

a long run perspective on saving historical estimates of long run gross savings rates are provided for 11 countries which represent about 48 per cent of world product in real terms and close to half of world savings even though savings rates declined over the past decade in nine of the 11 countries present rates are usually well above their prewar levels factors which influence savings rates are also examined

private equity and regulatory capital regulatory capital requirements for european banks have been put forward in the basel ii capital framework and subsequently in the capital requirements directive crd of the eu we provide a detailed discussion of the capital requirements for private equity investments under different approaches for the internal model approach we present a structural model that we calibrate to a proprietary dataset we modify the standard merton structural model to make it applicable in practice and to capture stylized facts of private equity investments we also implement the early default feature with a fast simulation algorithm our results support capital requirements lower than in basel ii but not as low as in crd thereby giving adverse incentives to banks for using advanced risk models a sensitivity analysis shows that this finding is robust to parameter uncertainty and stress scenarios

gender awareness in modeling structural adjustment abstract the macroeconomic models underpinning the design of structural adjustment programs are gender blind this paper discusses strategies for introducing gender analysis into these models and evaluates the strengths and weaknesses of the models from a gender perspective it concludes that besides being blind to gender the models are also blind to the waste of resources and impoverishment that stems from deficient aggregate demand undemocratic decision making and directly unproductive expenditures that buttress male power this waste is however likely to be diminished by moves to more egalitarian systems of gender relations entailing changes in the structure of entitlements and the social matrix in which macroeconomic processes are embedded

banks and loan sales marketing nonmarketable assets theories of financial intermediation predict that bank loans should not be marketable because of moral hazard problems banks will not conduct credit risk analysis or monitor borrowers if they are not at risk for failing to perform these services throughout most of history bank loans have not in fact been marketable yet by the end of the 1980 s the amount of commercial and industrial loan sales outstanding had grown to over 250 billion from trivial amounts at the beginning of the decade to explain the opening of this loan sales market we present a model of incentive compatible loan sales that allows for implicit contractual features between loan sellers and loan buyers we then test for the presence of these features using a sample of over 800 recent loan sales

taxes and growth in a financially underdeveloped country evidence from the chilean investment boom this paper argues that taxation of retained profits is particularly distortionary in an economy with good growth prospects and poorly developed financial markets because it primarily reduces the investment of financially constrained firms investment that has marginal product greater than the after tax market real interest rate contrarily taxes on distributed profits or capital gains primarily reduce the investment of financially unconstrained firms chile experienced a banking crisis over the period from 1982 to 1986 and in 1984 reduced its tax rate on retained profits from 50 percent to 10 percent we show that consistent with our theory there was a large increase in aggregate investment after the reform which was entirely funded by an increase in retained profits further we show that investment grew by more in industries that depend more on external financing according to the rajan and zingales 1998 measure finally we present some weak evidence from comparisons of investment rates across firms for several different measures of their likelihood of being financially constrained

emerging problems with the basel capital accord regulatory capital arbitrage and related issues in recent years securitization and other financial innovations have provided unprecedented opportunities for banks to reduce substantially their regulatory capital requirements with little or no corresponding reduction in their overall economic risks a process termed regulatory capital arbitrage these methods are used routinely to lower the eaective risk based capital requirements against certain portfolios to levels well below the basel capital accord s nominal 8 total risk based capital standard this paper discusses the principal techniques used to undertake capital arbitrage and the diaculties faced by bank supervisors in attempting to deal with these activities under the current capital framework 2000 elsevier science b v all rights reserved

the impact of off balance sheet activities on banks returns an application of the arch m to canadian data abstract this paper revisits the impact of off balance sheet obs activities on banks risk return trade off recent studies e g stiroh and rumble 2006 show that increasing obs activities does not necessarily yield straightforward diversification benefits for banks however introducing a risk premium in the standard banks returns models and resorting to an arch m procedure canadian data suggest that banks risk return trade off displays a structural break around 1997 in the second subperiod of our sample 1997 2007 we find that the noninterest income generated by obs activities no longer impacts banks returns negatively while during the first period 1988 1996 the volatility variable is not significant in any returns equations a risk premium eventually emerges pricing the risk associated to obs activities

dowry and intrahousehold bargaining evidence from china this paper analyzes the relationship between a woman s intrahousehold bargaining position and her welfare within marriage using household data from rural china simultaneity problems are overcome by using dowry to proxy for bargaining position omitted variable bias is addressed by using grain shocks in the year preceding marriage as an instrument for dowry instrumented dowry positively impacts numerous measures of a wife s welfare including household purchases the time allocation of household members and the woman s satisfaction with life offering strong evidence in support of collective models of the household

reforming pensions lessons from economic theory and some policy directions pension systems have wide ranging and important effects they influ ence the living standards of older people and hence the welfare of both older people and their children they can also affect national economic performance through potential effects on the labor supply and saving the design of pensions therefore matters in discussing the topic this paper draws on two of our earlier works 1 it starts by setting out some central lessons from economic theory the second section derives some policy implications of particular relevance to latin america the policy chapters in our two earlier books focus particularly on two countries in which we have worked china which is important because of its size and chile which is important because its 1981 reforms were widely adopted in latin america and elsewhere and which has become an exemplar in the pension debate box 1 defines some of the relevant terms the final section concludes

domestic currency appreciation and foreign capital inflows what comes first chile 1977 1982 abstract the purpose of this paper is to find granger causality relations between the real exchange rate the inflow of foreign capital interest rate arbitrage and the terms of trade in a representative indebted developing country chile this is done for a time period in which chile went from an unprecedented expansion 1977 1981 to a severe recession 1982 the paper confronts two competing hypotheses that purport to explain such behavior hypothesis one claims that causality went from the real exchange rate affected by nominal exchange rate policy to capital inflows in what could be termed a current account deficit induced demand for foreign funds hypothesis two posits a causality that ran the other way from capital inflows to the real exchange rate in which case the exogenous inflows of foreign money implied a current account deficit special attention is paid to the role played by two other related factors interest rate arbitrage and terms of trade variations by applying innovation accounting techniques based on estimated vector autoregressions support is found for the second of these hypotheses thus the real issue in chile and in many other currently indebted latin american countries should be the timing and extent of the capital account liberalization process carried out during the period

welfare impacts of technological change on women in southern mali abstract it has often been hypothesized that new agricultural technologies could have an adverse impact on women because additional labor required of them reduces the time spent and therefore income earned from private field activities this study shows that the expansion of cotton cultivation on the household communal fields in southern mali associated with the introduction of new technologies results in increased payments to women for their increased labor on the cotton fields unfortunately these payments are small compared to the loss of revenue from private plot production thus the net effect of the expansion of household cotton cultivation is a reduction in incomes of women who cultivate private plots short run policy implications of this study are that improving women s income requires concern with their private plot earnings for example profitability of the private field crops could be increased with higher input use in the long run as land becomes even more constrained emphasis needs to be placed on institutional changes to increase women s bargaining power so that they obtain larger shares of the new income streams resulting from technological change on the communal field institutional changes already occurring in the region with the apparent objective of increasing women s and non household head men s bargaining power include organized work teams and the movement toward smaller nuclear families

implicit recourse and credit card securitizations what do fraud losses reveal abstract in this paper we develop and test a model of implicit recourse in asset backed securitizations fraud losses on securitized assets are generally incurred by the bank and do not affect the performance of securitization trusts while credit losses do affect the trust s performance and are potentially borne by the owner of the securitized assets thus the classification of losses as either fraud or credit losses provides a potential avenue of implicit recourse to manipulate the performance of securitization trusts using annual data from 2001 to 2006 we find that the performance of the credit card securitization portfolio is negatively related to fraud losses reported by the bank we examine these results in light of the proposed basel ii capital rules and argue that a bank s incentive to provide implicit recourse will increase under the anticipated regime

effects of technological change in agriculture on food consumption and nutrition rice in a west african setting abstract this paper traces the effects of technological change in agriculture to production and income effects and to consumption and nutritional effects the study environment is west africa the gambia the technological change considered is various new modes of rice production versus traditional rice production main findings of this empirical analysis are the following 1 it cannot be assumed that by focusing investment on a woman s crop one helps women farmers the more a new technology increased labor productivity in rice the more there was a takeover of the rice production technology by male producers and the more the crop became a communal crop for household food security household income increased substantially 2 much of the increased income is spent on increased calorie consumption it makes no difference for the degree of change in calorie consumption levels if change in real income is in the form of cash or subsistence food 3 technological change effects mediated through income are traced to increased food consumption calories at the household level where it is found to significantly improve children s nutritional status especially in the rainy season

loan sales and the cost of bank capital this paper considers a model where banks may improve the returns on loans by monitoring borrowers bank regulation together with competitive deposit and equity financing can give banks an incentive to sell loans but the extent of their loan selling is limited by a moral hazard problem a solution is given for the optimal design of the bank loan buyer contract that alleviates this moral hazard problem an explanation is also given as to why some banks might buy loans and why loan sales volume has recently increased banks practice of making loans and then selling them to other institutions and individuals has grown in popularity an important example in the development of loan selling has been the increase in banks mortgage loans that are insured and pooled under the authority of the government national mortgage association gnma and then sold to secondary market investors recently however there has been a dramatic rise in the volume of other types of loans being sold especially by money center banks portions of commercial loans originated by these larger banks are being sold to smaller banks foreign banks and other financial and nonfinancial institutions in addition banks car loans and credit card receivables have also been pooled and sold to institutions and individuals selling loans that were once considered nonmarketable assets a process that has been termed asset securitization may be signalling the start of a fundamental change in the commercial banking business the leading banks in loan selling operations now view themselves more as originators and distributors of loans rather than as institutions holding loans as assets the potentially large impact of loan sales on the future of commercial banking naturally evokes the question of what incentives exist for banks to sell loans in this paper we show that loan sales allow some banks to finance loans less expensively than by traditional deposit or equity issue because bank funds received via loan sales can avoid costs associated with required reserves and

gender of children bargaining power and intrahousehold resource allocation in china abstract based on the prevalent son preference in china this paper proposes a new measure of relative bargaining power within the household using data from china health and nutrition survey we show that a woman with a first born son has a 3 9 percentage points greater role in household decision making than a woman with a first born daughter having a first born son improves the mother s nutrition intakes and reduces her likelihood of being underweight while thinking of these impacts as being channeled through intrahousehold bargaining power we cannot fully rule out other possible direct effects of a first born son on the outcomes

understanding domestic savings an empirical approach abstractthere are two unusual and important features in the evolution of the savings rate in chile first the economy increased the average savings rate by 11 percentage points in the period 1985

the relationship between agricultural technology and energy demand in pakistan abstract the purpose of this study was two fold i to investigate the casual relationship between energy consumption and agricultural technology factors and ii electricity consumption and technological factors in the agricultural sector of pakistan the study further evaluates four alternative but equally plausible hypotheses each with different policy implications these are i agricultural technology factors cause energy demand the conventional view ii energy demand causes technological factors iii there is a bi directional causality between the two variables and iv both variables are causality independent by applying techniques of cointegration and granger causality tests on energy demand i e total primary energy consumption and electricity consumption and agricultural technology factors such as tractors fertilizers cereals production agriculture irrigated land high technology exports livestock agriculture value added industry value added and subsides over a period of 1975 2010 the results infer that tractor and energy demand has bi directional relationship while irrigated agricultural land share of agriculture and industry value added and subsides have supported the conventional view i e agricultural technology cause energy consumption in pakistan on the other hand neither fertilizer consumption and high technology exports nor energy demand affect each others government should form a policy of incentive based supports which might be a good policy for increasing the use of energy level in agriculture

development planning in the gambia the gap between planners and farmers perceptions expectations and objectives abstract this paper challenges the prevalent view that irrigation development largely depends on engineering agricultural and managerial inputs and argues with reference to gambian irrigation projects that new technologies may be adapted by farmers in ways that are incompatible with planners objectives the conclusion is that planners need to give greater attention to the organization and control of production and consumption within the household this would require a change in attitudes among many planners the recruitment of more social scientists into planning teams and greater co operation between planners farmers of all socio economic categories and extension agents

savings in chile what went right abstract in the last 10 years chile s overall economic performance has been remarkable in many respects including a significant and sustained increase in domestic savings to figures around 26 of gdp this paper empirically assesses the reasons behind such notable behavior of savings by applying co integration models to check for long run relationships and error correction models to verify short run adjustments the emphasis is on annual private savings data span from 1960 to 1995 which as it turns out depend more than proportionally on an adjusted measure of gdp and less than proportionally on foreign savings and public savings private savings are also positively affected by economic growth and a dummy reflecting the effect of pension funds most of the adjustment between short run and long run is completed in less than 3 years where the variable representing income bears the bulk of such adjustment in comparing two episodes of good economic performance in the last 20 years 1976 1981 and 1986 till present it is found that three basic differences arise concerning private savings sustainability of growth different access to foreign savings during the recovery from recession and different scenarios with respect to the development of long run capital markets in particular a relevant role played the move to a fully funded social security system in the early 1980s

consumption patterns and their effects on land required for food abstract vast amounts of land are required for the production of food but the area suitable for growing crops is limited in this paper attention is paid to the relationship between food consumption patterns and agricultural land requirements land requirements per food item that were determined in a previous study are combined with data on the per capita food consumption of various food packages varying from subsistence to affluent leading to information on land requirements for food large differences could be shown in per capita food consumption and related land requirements while food consumption expenditure and the physical consumption of specific foods change rapidly over time a difference of a factor of two was found between the requirements for existing european food patterns while the land requirement for a hypothetical diet based on wheat was six times less than that for an existing affluent diet with meat it is argued that in the near future changes in consumption patterns rather than population growth will form the most important variable for total land requirements for food trends towards the consumption of foods associated with affluent lifestyles will bring with them a need for more land lifestyle changes changes in consumer behavior on a household level can be considered as powerful options to reduce the use of natural resources such as agricultural land

why basel ii may need a leverage ratio restriction abstract we analyze regulatory capital requirements where the amount of required capital depends on the level of risk reported by the banks it is shown that if the supervisors have a limited ability to identify or to sanction dishonest banks an additional risk independent leverage ratio restriction may be necessary to induce truthful risk reporting the leverage ratio helps to offset the banks potential capital savings of understating their risks by i reducing banks put option value of limited liability ex ante and by ii increasing the banks net worth which in turn enhances the supervisors ability to sanction banks ex post

shifts from maize to sorghum production nutrition effects in four mexican communities abstract this paper examines how commercialization of agriculture especially the production of sorghum as a cash crop has affected household economic strategies and child nutritional status in four agrarian reform communities in mexico growing sorghum as a cash crop over maize as a semi subsistence crop has not placed the families of these small farmers in nutritional jeopardy nor has it provided them with a significantly better situation access to basic productive resources especially good quality land wage labour opportunities ecological conditions and agrarian and agricultural policy are more important than crop choice in determining the welfare of rural populations

revisiting the causal nexus between savings and economic growth in india an empirical analysis abstract this paper attempts to analyze the long run association between savings and growth and investigates the causality issue in indian context for the period 1950 51 to 2011 12 firstly the study identifies the structural break in the year 1980 by employing bi perron test with unknown time further it examines the association and the direction of causality between savings and real economic activity the empirical evidence of the study suggests that savings boost the real activity both in the pre and post break period in the long run while economic growth causes saving in the short run in the pre break period thus the present study brings evidence in favour of the neoclassical exogenous and the post neoclassical endogenous growth models and suggest that both the incentive based measures and the productivity based measures would be useful to generate higher savings and reinforce the acceleration of income and growth

women s income and boy girl anthropometric status in the cote d ivoire abstract this paper examines the effects of the intrahousehold distribution of income on children s anthropometric status in the c te d ivoire we find that increases in the proportion of cash income accruing to women increases boys height for age relative to girls and that this effect is statistically significant we suggest that this result may reflect efficiency and equity concerns which in this case reinforce each other

estimating long run economic equilibria with stochastic trends an asymptotic theory is provided to analyze a menu of currently existing estimators of cointegrated systems we study in detail the single equation ecm seecm approach of hendry our theoretical results lead to prescriptions for empirical work such as specifying seecm s nonlinearly and including lagged equilibrium relationships rather than lagged differences of the dependent variable as covariates simulations support these prescriptions and point to problems of overfitting not encountered in the semiparametric approach of phillips and hansen 1990

the dynamics of real asset prices the real exchange rate trade reforms and foreign capital inflows abstract this paper explores the dynamics of real asset prices in chile in the last 15 years in a framework where a central role is played by the real exchange rate tariffs and foreign capital inflows working with time series models the real prices of land capital stocks and housing the empirical results show that at a time when structural reforms took place 1976 1982 including a trade liberalization tariffs contributed significantly to explain the real price of land while macroeconomic conditions were dominated by foreign capital inflows after 1982 the real exchange rate plays a key role in many respects

the effects of pension funds on markets performance a review the worldwide reforming process of pension systems triggered by the demographic transition and globalization has led several countries to implement multi pillar pension systems and enhance pension funds for this reason the studies on the effects that pension funds exert on markets performance have been flourishing in the last decades in this paper we provide an updated review of the empirical advances in this field of study with particular focus on the effects that pension funds produce on labour markets financial markets and economic growth