This study provides current empirical evidence on the impact of net U.S. government borrowing (budget deficits) on the nominal interest rate yield on ten-year Treasury notes. The model includes an ex ante real short-term real interest rate yield, an ex ante real long-term interest rate yield, the monetary base as a percent of GDP, expected future inflation, the percentage growth rate of real GDP, net financial capital inflows, and other variables. This study uses annual data and then uses quarterly data for the periods 1971-2008 and 1971-2012. Autoregressive two-stage least squares estimates imply that the federal budget deficit, expressed as a percent of GDP, exercises a positive and statistically significant impact on the nominal interest rate yield on ten-year Treasury notes. Robustnesstests are provided in an Appendix.
Figure 1 also shows that there is a clear change in the volatility of the monetary policy surprises after March 2009, when Bank rate reached 0.5 percent (i.e., the effective zero lower bound in the case of the UK). This raises the issue of whether short-term future contracts are appropriate to capture monetary policy surprises during the zero lower bound period. For this reason, for the purposes of robustnesstests, we also compute monetary policy surprises using the fourth continuous contract of the 3-month Sterling future (i.e., the 9-month to 12-month ahead expectation of the 3-month Libor) and the 3-month forward exchange rate between the British Pound and the US Dollar, a measure that turns out to be highly correlated with more standard measures of monetary news based on the UK yield curve. The UK monetary events in our sample do not overlap with US ones, so this measure can be potentially useful to capture not only conventional monetary policy surprises but also ‘unconventional’ monetary policy surprises (such as forward guidance and quantitative easing announcements) that became the norm after the Bank rate reached its effective zero lower bound in March 2009.
Is there a J-curve for Azerbaijan? In answering this question, we are estimating a bilateral trade model for Azerbaijan vis-à-vis its major trading partner – Europe. The Johansen approach to cointegration and error correction modeling is employed. We analyze the total bilateral trade turnover and specifically the trade in the non-oil sector. Our results prove that a real depreciation of the Azerbaijani Manat will cause a temporary decline in the balance of trade in the short-run, but an improvement in the long-run. The outcome holds both for the total and for the non-oil trade models. Robustnesstests with export and imports prices show that the volume effect is the underlying driver for the trade balance improvement in the case of total trade but not for the non-oil sector, in which the price effect seems to be dictating the short-run dynamics. Overall, results of this study suggest a fulfillment of the Marshall-Lerner condition criteria both for the total and for the non-oil sectors, indicate the existence of the J-curve patterns in both scenarios, and the presence of a dominating volume effect in the case of total trade.
committees voluntarily. In Iran, the internal control instruction was approved in May 2012 and communicated in February 2013. Based on this instruction, companies listed on the Tehran Stock Exchange (TSE) are required to constitute audit committees (TSE, 2013). Therefore, considering the fact that audit committees are in their early stage of development in Iran and that the effectiveness of audit committee has a significant effect on minimizing agency conflicts, safeguarding shareholders’ interests and maximizing the total value of firms (Zahra & Pearce, 1989; Dey, 2008), we investigated the effect of effective audit committee on financial statement restatements in Iranian firms through gender diversity characteristics (Ittonen et al., 2010; Thiruvadi & Huang, 2011; Harjoto et al., 2015; Aldamen et al., 2018). Prior research in Iran shows that the high percentage of Iranian companies restates their financial statements in order to correct accounting mistakes (e.g., Kordestani et al., 2011; Nickbakht & Rafiee, 2013). This can bring the reliability of the accounting information of such companies into doubt. Using the data on 683 firm-year observations in the TSE during the period 2013-2017, we found that the presence of at least one female director on audit committee reduces the likelihood of the incidence of financial restatements. Robustnesstests also confirmed this result. Moreover, we found that independent and financial expert female directors on audit committee are more strongly associated with the reduction in financial restatements. Finally, our additional analysis suggests that, in firms with gender diversity on the audit committee and also the presence of independent and financial expert female directors, the likelihood of hiring auditors of a higher quality increases. Overall, our findings reveal that mandating the constitution of audit committees and subsequently the presence of female directors on these committees could reduce restatements and enhance the reliability of financial statements in Iran.
Through 2SLS regression methodology and series robustnesstests, our main research discoveries include that the tournament incentive compensation system as demonstrated in the form of compensation gap between executives at different levels will stimulate state-owned listed firms executives endeavor level and risk taking behavior, and in the circumstances of dynamic environment, the tournament incentive will trigger executives over risk taking tendency for the more complicated environment and their over confidence. This study finds that both tournament incentive compensation system and external environment will impel executives risk taking behavior, which will shed light on a new perspective for future behavior related researches to pay plenty of attention to the role of environment. Although risk taking will improve firms competition superiority, which is the basis for future business success and long-term development, over risk taking will damage state-owned listed firms prospects and value. In view of the economic significance position of state-owned listed firms in national economy, the over risk taking problem needs to be deeply pondered and further explored. The theoretical viewpoints and empirical evidences of this study will provide enlightenment and references for the reform and regulation of China state-owned listed firms compensation system.
We use PCA to derive two indexes for F.D and T.O. This is done by reducing the data set dimension while retaining as much initial information as possible. Based on Kaiser 1 criterion(Kaiser, 1960), we’re able to retain only the first Principal Components(PC) that reflect 90.65% and 98.87% of total variation in F.D and T.O proxies, respectively. This indexes (aka PCs) will serve for robustnesstests upon empirical analysis.
which is carefully selected after numerous empirical tests. We used a small 3*3 filter kernel in each layer, similar to the filter settings in VGG net . By using small kernel filters in multiple layers, complex features of each frame can be learned. Each convolution is followed by ReLU activation function and maxpooling to decrease the size of feature map and thus generate higher-level semantic features. Features from CNNs are then extracted from the final convolutional layer (i.e., 5th layer) and fed to the LSTM.
In order to evaluate the robustness of our results, we ran three sets of tests. Initially, we split the sample to pre and post financial crisis in 2008 and examined the efficiency determinants and performance of Turkish banks in these two time periods to study. Next, we categorized Turkish banks on the basis of their sizes. Lastly, we applied an alternative measure of banks’ risk which is Z-score. TableB.3-8, which are represented in the Appendix B, illustrate all the results of the robustness check. TableB.3-8 approve the findings stated in TableB.1 and TableB.2 regarding efficiency determinants. These findings confirm that more efficient banks represent higher capital ratios and state that negative sign for NNIM is a signal of wasting the non-interest incomes. Furthermore, these findings of our robustness check confirm that the older banks are the most efficient ones. Also, a positive and direct impact of hiring more educated employees on both technical and allocative efficiency is confirmed by our robustness checks. Moreover, we did not find any significant relation between employees’ gender and the level of efficiency in our robustness check. Running second set robustness test, we found large banks represent the least level of technical efficiency. Investigating more about them, we found that all of the state-owned banks and most of the private banks belong to the large size bank category. Lastly, when we applied risks measure, we found a negative relation between efficiency and the Z-score in Turkish banks.
This paper investigates the robustness of the Environmental Kuznets Curve (EKC), an inverted-U shaped relationship between environmental quality indicators 1 and the level of economic activity or income. Several earlier studies (See, Grossman and Krueger 1995, Selden and Song 1994, de Bruyn et al. 1998, Holtz-Eakin and Selden 1995, Cole et al. 1997, Dinda et al. 2000, Shafik 1994, etc.) have attempted to test the EKC hypothesis empirically with the help of panel data. Most of these studies have used static model for estimation purpose. Little attention has been given in the model specification, especially dynamic model specification in the EKC literature.
In response, new tests of association have been pro- posed that simultaneously leverage the strengths of both burden and variance component tests [3–5]. These methods generally propose computing a burden test p- value and a variance components test p-value on the same SNV set, then using some method to combine the individual p values from the gene-based tests of associ- ation into one summary p value for the gene, but are fre- quently limited by not being applicable to family-based data. One exception is the seqMeta package in R .
Another example of uncertainty is the use of non-par- ametric tests recommended for ‘low quality’ data such as samples of unknown distribution (Snedecor and Cochran 1980, Sokal and Rohlf 1995, Zar 1999). Non-paramet- ric tests are generally considered weaker than parametric tests, but it is believed that because non-parametric tests are based on data ranks and not on the assumptions on data distribution, they are robust to distribution type. Hence, non-parametric tests can be employed when the use of parametric test is doubtful due to indeterminable distribution type. However, several studies have criticized non-parametric tests for their poor robustness (Johnson 1995, Smith 1995, Vickers 2005), and experts actually ad- vocate for the use of computer-intensive methods such as randomization tests (Manly 1997, Slade 1999, Fortin and Jacquez 2000, Peres-Neto and Olden 2001, Roff 2006).
evaluates writing competence on the basis of lexi- cal and grammatical features, as well as errors, and achieves a correlation of around 0.75 on the publicly available First Certificate in English (FCE) examina- tion scripts, that have been manually annotated with a score in the range 1 to 40 (with 40 being the high- est). In this setting, robustness to trait prevalence was evaluated by plotting the magnitude of the met- rics as a function of the prevalence rate, calculated as the proportion of passing scores in the data, as judged by both the ATS system and the examiner, as we varied the passing threshold from 1 to 40.
Lin and McLeod (2008) confirm that in the case of an infinite variance process, the χ 2 distribution is not a good approximation for the Q test in standard sample sizes available in practice. Another difficulty of this approach is that we have to find the estimate of the tail exponent κ in (1). However, as shown by McCulloch (1997) and Kearns and Pagan (1997), an accurate estimate of the tail index is rather difficult to obtain in finite samples. It is also worth pointing out that the importance of the higher- order sample autocorrelations in (1) increases in the case of infinite variance processes, see Runde (1997, p. 208) for a discussion. This theoretical finding is confirmed in Lin and McLeod (2008) based on Monte carlo experiments. Note also that it is not quite clear, at least to our best knowledge, whether or not an automatic lag selection procedure, proposed by Escanciano and Lobato (2009) and used to determined the lag order of the Q tests, works also for infinite variance processes as well. As shown by Davis and Mikosch (2000), the situation is even more peculiar for non-linear time series models with an infinite variance. Authors show that the rate of convergence of the sample autocorrelations of some non-linear models (e.g. a BL and ARCH model) is actually slower than √ T , and indeed the slower the heavier the tails. This is in the complete opposite to linear ARMA models with an infinite variance. Unfortunately, the results are not valid for all non-linear time series models in general. The authors also demonstrate that the rate of convergence of the sample autocorrelation functions of some non-linear models (e.g. a stochastic volatility model) is similar to that derived for a linear ARMA process with an infinite variance. Rather surprisingly, the issue of the robustness of the power properties of non-linearity tests against moment condition failure has not attracted much attention in the literature. 1 For this reason, the second
nents. The idiosyncratic component is the part of a variable that is driven by national developments, whereas the common component represents international trends in the evolution of the variables. These might, however, have a different relevance for individual countries. Taking this decompo- sition as a starting point, cointegration between the common components means that the common components of energy consumption, real GDP and energy prices move together in the long run and do not deviate permanently from one another. Hence, cointegration between the common compo- nents suggests that the relationship between these variables depends to a great extent on international developments. Instead, cointegration between idiosyncratic components refers to developments rel- evant exclusively on the national level (Dreger and Reimers, 2009). Depending on the results of the cointegration tests, this distinction has important implications for policy makers. If the common components cointegrate, national energy policies may not have a large impact on economic growth. Indeed, this paper delivers empirical evidence that energy consumption, real GDP and energy prices are cointegrated in their common factors, but not in their idiosyncratic components.
ratory and in-pile tests. A characteristic of the metal fuel that inhibited the early development of high burnup pins is the extensive fuel swelling early in life. Later on, a more complete understanding of the nature of this swelling led to higher burnup performance when enough volume was included to allow the fuel to reach the state where significant inter- connected porosity developed allowing fission gas release to the plenum. This eliminated FCMI, and the fission gas pres- sure in pin plenum determined the cladding loading. A unique aspect of the metal fuel pins, by contrast, is the formation of a low melting point eutectic intermetallic between the uranium and iron at the fuel-cladding interface. If transient tempera- tures are sufficiently high for an extended period, the poten- tial exists for a thinning of the cladding and subsequent breach. To develop significant cladding thinning, an abun- dance of molten fuel is required to drive the reaction. When zirconium is used as a component in the metal fuel alloy, this eutectic penetration is delayed and reduced. The zirconium raises the eutectic temperature and provides a protective re- gion that reduces the migration of uranium to the cladding surface.
More recently, Hansen (2000) raised a general issue concerning tests for param- eter constancy (including the CUSUM and CUSUM-of-squares tests), i.e. whether they can distinguish between instability in the regression parameters and insta- bility in the process driving the regressors. This question is related to the concept of superexogeneity, according to which a necessary condition for a regressor to be superexogenous with respect to a parameter of interest is that the parameters of the conditional moment be stable even if the parameters of the marginal model change. Such a property is known as structural invariance (see Engle et al., 1983). According to Hansen (2000), the tests suffer from size distortions when a change in the parameters of the marginal process occurs.
The relation between competition and bank failures has also been widely investigated in studies on the impact of bank competition on financial stability (Beck, Demirgüc-Kunt and Levine, 2006; Jimenez, Lopez and Saurina, 2008; Berger, Klapper and Turk-Ariss, 2009; Boyd, De Nicolo and Jalal, 2006). However, looking at the empirical literature, one is struck by two shortfalls: no clear finding on the impact of bank competition on financial stability and, more interestingly, no paper that provides a microeconomic investigation of the role of bank competition on bank failures. All the papers analyze financial stability using either macroeconomic variables such as occurrences of banking crises or microeconomic variables other than bank failures (e.g. risk-taking measures). Therefore, these papers do not provide empirical tests of the findings of the theoretical literature on the impact of competition on bank failures.
Yet, when we focus only on loving acts, the claim that robustness is necessary is not entirely convincing. For an act to be a loving act, robustness is not required. Loving acts must follow from the proper motives, but need not overcome possible countervailing motives in alternative scenarios. Even if circumstances in another world are such that A’s motivation to perform a loving act is outweighed by a bad haircut in that world, it is surely possible that the act that is performed in the actual world, where the motives are not out- weighed, is a loving act when the motives that prompt it are appropriate. Robustness is necessary for the disposition of being in love. If A’s provision of care to B is motivated by the right reasons, but is very fragile to intervention, then, though her actual act may be a loving act, we will be unlikely to conclude that A is in love with B. 14
Qualitative robustness, influence function, and breakdown point are three main concepts to judge an estimator from the viewpoint of robust estimation. It is important as well as interesting to study relation among them. This article attempts to present the concept of qualitative robustness as forwarded by first proponents and its later development. It illustrates intricacies of qualitative robustness and its relation with consistency, and also tries to remove commonly believed misunderstandings about relation between influence function and qualitative robustness citing some examples from literature and providing a new counter-example. At the end it places a useful finite and a simulated version of qualitative robustness index (QRI). In order to assess the performance of the proposed measures, we have compared fifteen estimators of correlation coefficient using simulated as well as real data sets.