Ambiguity, Volatility, and Credit Risk

2019 ◽  
Vol 33 (4) ◽  
pp. 1618-1672 ◽  
Author(s):  
Patrick Augustin ◽  
Yehuda Izhakian
Keyword(s):  
Credit Risk ◽  
Negative Impact ◽  
Risk Exposure ◽  
Standard Deviation Increase ◽  
Oxford University ◽  
Credit Default ◽  
Significant Negative Impact ◽  
The Impact ◽  
Independent Preferences ◽  
Published Paper

Abstract We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A model of heterogeneous investors with independent preferences for ambiguity and risk shows that, because CDS contracts are assets in zero net supply, the net credit risk exposure of the marginal investor determines the sign of the impact of ambiguity on CDS spreads. We find that ambiguity has an economically significant negative impact on CDS spreads, on average, suggesting that the marginal investor is a net buyer of credit protection. A 1-standard-deviation increase in ambiguity is estimated to decrease CDS spreads by approximately 6%. (JEL C65, D81, D83, G13, G22) Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

scholarly journals IMPACT OF CREDIT RISK ON PROFITABILITY OF COMMERCIAL BANKS IN NEPAL

2018 ◽  
Vol 3 (6) ◽  
pp. 161
Author(s):  
Shiva Raj Poudel
Keyword(s):  
Credit Risk ◽  
Commercial Banks ◽  
Negative Impact ◽  
Positive Impact ◽  
Panel Data Analysis ◽  
Fixed Effect Model ◽  
Capital Adequacy ◽  
Return On Equity ◽  
Significant Negative Impact ◽  
The Impact

The main purpose of the study was to examine the impact of credit risk on profitability of the commercial banks in Nepal. Data were collected from the sample of 15 commercial banks operated in Nepali economy for the period of 2002/03 to 2014/15. One way Fixed Effect Model (FEM) of panel data analysis is used as a major tool of analysis. The profitability of the commercial banks is measured in terms of return on equity and is regressed on bank specific variables and macro-economic variables. The results confirmed that credit risk has the significant negative impact on profitability of commercial banks in Nepal. In addition, solvency ratio, interest spread rate, and inflation have the insignificant negative impact on profitability. In contrast, capital adequacy ratio, total assets, and GDP growth have the significant positive impact on profitability of commercial banks in Nepal. Finally, inter-bank interest rate has insignificant positive impact on profitability.

scholarly journals The Influence of Urban Sprawl on Air Pollution and the Mediating Effect of Vehicle Ownership

Processes ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 1261
Author(s):  
Aiping Tao ◽  
Qun Liang ◽  
Peng Kuai ◽  
Tao Ding
Keyword(s):  
Air Pollution ◽  
Urban Sprawl ◽  
Negative Impact ◽  
Empirical Support ◽  
Mediating Effect ◽  
Vehicle Ownership ◽  
Mediating Role ◽  
Effect Model ◽  
Significant Negative Impact ◽  
The Impact

Based on the panel data of 224 prefecture-level and above cities in China from 2003 to 2016, this paper empirically studies the impact of urban sprawl on air pollution and introduces a mediating effect model to test the mediating role of vehicle ownership concerning the impact of urban sprawl on air pollution. The research in this paper arrives at three conclusions. First, urban sprawl has a significant positive effect on air pollution, and this conclusion is still valid after solving the endogeneity problem and conducting a robustness test. Second, the results of mediating effect test show that urban sprawl indirectly affects air pollution through the partial mediating effect of vehicle ownership. By removing the mediating effect, urban sprawl has a significant negative impact on air pollution, indicating that the mediating effect of vehicle ownership is higher concerning the impact of urban sprawl on air pollution. Third, further panel quantile regression results show that the higher the level of air pollution, the weaker the mediating effect of vehicle ownership and the stronger the direct effect of urban sprawl on air pollution. These conclusions can provide some empirical support for solving the air pollution problems caused by urban sprawl in China.

The Impact of the Business Environment on the Formalization of Informal Firms. The Case of Kosovo

Südosteuropa ◽  
2020 ◽  
Vol 68 (4) ◽  
pp. 505-529
Author(s):  
Kujtim Zylfijaj ◽  
Dimitar Nikoloski ◽  
Nadine Tournois
Keyword(s):  
Negative Impact ◽  
Positive Impact ◽  
Business Environment ◽  
Positive Influence ◽  
Policy Implications ◽  
Tax Reforms ◽  
Firm Level ◽  
Characteristics Analysis ◽  
Significant Negative Impact ◽  
The Impact

AbstractThe research presented here investigates the impact of the business environment on the formalization of informal firms, using firm-level data for 243 informal firms in Kosovo. The findings indicate that business-environment variables such as limited access to financing, the cost of financing, the unavailability of subsidies, tax rates, and corruption have a significant negative impact on the formalization of informal firms. In addition, firm-level characteristics analysis suggests that the age of the firm also exercises a significant negative impact, whereas sales volume exerts a significant positive impact on the formalization of informal firms. These findings have important policy implications and suggest that the abolition of barriers preventing access to financing, as well as tax reforms and a consistent struggle against corruption may have a positive influence on the formalization of informal firms. On the other hand, firm owners should consider formalization to be a means to help them have greater opportunities for survival and growth.

Three strikes and you are out?

2017 ◽  
Vol 10 (4) ◽  
pp. 417-429 ◽  
Author(s):  
Michael Carriger
Keyword(s):  
Negative Impact ◽  
Univariate Analysis ◽  
Market Valuation ◽  
Financial Health ◽  
Content Type ◽  
Financial Measures ◽  
Significant Negative Impact ◽  
Three Strikes ◽  
Underlying Disorder ◽  
The Impact

Purpose Much has been written in both the management and finance literatures about the impact of downsizing on the financial health and market valuation of companies. However, surprisingly little attention has been paid to the frequency of downsizing and the impact of frequent downsizings. The purpose of this paper is to look at trends in downsizing, asking the question are companies that downsize once more likely to downsize again. The paper also looks at the impact of frequent downsizing, asking the question are frequent downsizers differentially impacted compared to less frequent downsizers. Design/methodology/approach Companies that appeared on the Fortune 500 in 2014 and were also on the list in 2008 were assessed for the impact of repeat downsizings on financial measures (profitability, efficiency, debt, and revenue) and market valuation. A trend analysis was conducted to assess the trend in downsizing and repeated downsizing from 2008 through 2014. A series of univariate analysis of variances were conducted to assess the impact of repeated downsizings on the financial and market valuation indicators. Findings Findings indicate that companies that downsize between 2008 and 2009 were more likely to downsize again in future years. And this repeat downsizing happened at a higher rate than would be expected by the percentage of companies that initially downsized. Findings also indicate that multiple downsizings had a significantly negative impact on the company’s financial performance as measured by two profitability ratios (return on assets and return on investment) and a borderline significant negative impact on the company’s market valuation as measured by stock equity, regardless of industry or initial financial health of the company. Originality/value Two competing theories were considered and the evidence found here support both. However, the “band-aid solution” theory, that downsizing may function as a band-aid addressing the symptoms that lead to the downsizing but not the underlying disorder or cause may be a more parsimonious explanation for the results here. It is hoped that these findings will inform both scholars and practitioners, giving both a clearer picture of the impact of multiple downsizings on corporate performance.

IMPACT OF FACEBOOK ADDICTION DISORDER (FAD) ON STUDY HABITS AND ACADEMIC ACHIEVEMENT OF ADOLESCENTS

2021 ◽  
pp. 195-207
Author(s):  
Shivani Vashishtha ◽  
Sona Ahuja ◽  
Mani Sharma
Keyword(s):  
Academic Achievement ◽  
Social Networking Sites ◽  
Negative Impact ◽  
Age Groups ◽  
Negative Influence ◽  
Study Habits ◽  
Study Habit ◽  
Significant Negative Impact ◽  
Facebook Addiction ◽  
The Impact

With the present era being technology driven, social media has become an indispensable part of many people irrespective of their age. Among different age groups, the maximum users are adolescents and among different social networking sites (SNS), Facebook shares the major part of usage by them. Many adolescents are tending towards excessive usage of Facebook leading to its addiction. Does this addiction have negative influence on adolescents or it actually helps them to keep up with their counterparts and be socially connected to them for their betterment? This question is unanswered specifically when it concerns the impact that it has on the study habits and academic achievement of adolescents. The hypotheses were tested in order to explore the impact of six dimensions (mood modification, deficient self-regulations, salience, loss of control, withdrawal, and relapse) of Facebook Addiction Disorder (FAD) using Bergens' Facebook Addiction Scale (BFAS), developed by Andreassen (2012). The results are based on the survey conducted on 200 adolescents studying in different schools of India. The findings indicate that there is a significant negative impact of Facebook Addiction Disorder (FAD) on study habits and academic achievement of adolescents. The major implication derived is that the higher the addiction to Facebook the study habit become poor and academic achievement decreases resulting in lower grades.

Financial and social efficiency analysis of Islamic microfinance institutions

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Marwa Fersi ◽  
Mouna Bougelbène
Keyword(s):  
Capital Structure ◽  
Credit Risk ◽  
Risk Taking ◽  
Negative Impact ◽  
Microfinance Institutions ◽  
Social Efficiency ◽  
Content Type ◽  
Islamic Microfinance ◽  
The Impact ◽  
The Relationship

PurposeThe purpose of this paper was to investigate the impact of credit risk-taking on financial and social efficiency and examine the relationship between credit risk, capital structure and efficiency in the context of Islamic microfinance institutions (MFIs) compared to their conventional counterparts.Design/methodology/approachThe stochastic frontier approach was used to estimate the financial and social efficiency scores, in a first step. In a second step, the impact of risk-taking on efficiency was evaluated. The authors also took into account the moderating role of capital structure in this effect using the fixed and random effects generalized least squares (GLS) with a first-order autoregressive disturbance. The used dataset covers 326 conventional MFIs and 57 Islamic MFIs in six different regions of the world over the period of 2005–2015.FindingsThe overall average efficiency scores are less than 50%, where CMFIs could have produced their outputs using 48% of their actual inputs. IMFIs record the lowest financial (cost) efficiency that is equal to 28% on average. The estimation results also reveal a negative impact of nonperforming loan on financial and social efficiency. Finally, the moderating effect of leverage funding on the relationship between credit risk-taking and financial efficiency was confirmed in CMFIs. However, leverage seems to moderate the effect of risk-taking behavior on social efficiency for IMFIs.Originality/valueThis paper makes an initial attempt to evaluate the effect of risk-taking decision and its implication on efficiency and MFIs' sustainability. Besides, it takes into consideration the role played by the mode of governance through the ownership structure. In addition, this research study sheds light on the importance of the financial support for the development and sustainability of these institutions, which in return, contributes to a sustainable economic development.

scholarly journals Taxing impact of terrorism on global economic openness of developed and developing countries

2018 ◽  
Vol 68 (3) ◽  
pp. 311-335
Author(s):  
Abubakr Saeed ◽  
Yuhua Ding ◽  
Shawkat Hammoudeh ◽  
Ishtiaq Ahmad
Keyword(s):  
Developing Countries ◽  
Negative Impact ◽  
Developed Countries ◽  
Terrorist Attacks ◽  
Economic Openness ◽  
Significant Negative Impact ◽  
Military Expenditures ◽  
The Developed Countries ◽  
The Impact ◽  
The Relationship

This study examines the relationship between terrorism and economic openness that takes into account both the number and intensity of terrorist incidents and the impact of government military expenditures on trade-GDP and foreign direct investment-GDP ratios for both developed and developing countries. It uses the dynamic GMM method to account for endogeneity in the variables. Deaths caused by terrorism have a significant negative impact on FDI flows, and the number of terrorist attacks is also found to be significant in hampering the countries’ ability to trade with other nations. The study also demonstrates that the developing countries exhibit almost similar results to our main analysis. The developed countries exhibit a negative impact of terrorism, but the regression results are not significant.

scholarly journals Nature of Academic Programs, Epistemological Beliefs and Their Impact on Pakistani University Students’ Academic Performance

2021 ◽  
Vol 4 (4) ◽  
pp. 781-803
Author(s):  
Rafaquat Ali ◽  
Bushra Shoukat ◽  
Rabia Bahoo
Keyword(s):  
Academic Performance ◽  
University Students ◽  
Epistemological Beliefs ◽  
Negative Impact ◽  
English Literature ◽  
Academic Programs ◽  
Physical Sciences ◽  
Field Of Study ◽  
Significant Negative Impact ◽  
The Impact

The students’ academic behaviours and academic performance differ with their epistemological beliefs. Different social-cultural and educational contexts inculcate differences in students’ epistemological beliefs. However, the impact of the nature of the academic programs on students’ epistemological beliefs is most obvious. The students of different disciplines can have different epistemological beliefs. These different epistemological beliefs differ in their impact on students’ academic performance and academic behaviour. Hence, the current study evaluated the interrelationships of various educational programs and epistemological beliefs and their importance in students’ academic performance. The volunteer university students provided data about their academic programs, epistemological beliefs, and academic performance. Researchers used the Generalized Structured Component Analysis approach to calculate the suitability of specified measurement and structural models. The impact of subjects of the soft field of study such as Behavioural Sciences, English Literature was negative on naive epistemological beliefs in knowledge structure and omniscient authority compared to subjects of the hard field of studies such as Mathematical, Physical Sciences, and Biological Sciences. The Business Sciences from the soft applied field of study had the least noticeable negative impact on naive epistemological beliefs compared to other subjects of pure soft and pure hard field of studies. Only, the belief in quick learning had a significant negative impact on students’ academic performance.

scholarly journals Corruption and corporate governance: a cross-national study

2008 ◽  
Vol 5 (3) ◽  
pp. 299-315
Author(s):  
David Ng ◽  
Kun Qian ◽  
Adam Dix
Keyword(s):  
Corporate Governance ◽  
Standard Deviation ◽  
Negative Impact ◽  
National Study ◽  
Firm Level ◽  
Standard Deviation Increase ◽  
Country Level ◽  
Governance Analysis ◽  
Significant Negative Impact ◽  
Cross National Study

This paper examines the importance of country-level corruption in explaining the variation of firm-level corporate governance. Analysis of firm-level corporate governance data and country level corruption data on over 400 companies in 26 countries confirms the hypothesis that corruption has a statistically significant negative impact on the quality of a firm’s corporate governance. One standard deviation increase in country-level corruption is associated with a 0.5 to 0.7 standard deviation decrease in firm-level corporate governance scores

scholarly journals The impact of risk factors on the financial performance of the commercial banking sector in Barbados

2018 ◽  
Vol 7 (1) ◽  
pp. 76-93 ◽  
Author(s):  
Anthony Wood ◽  
Shanise McConney
Keyword(s):  
Risk Factors ◽  
Credit Risk ◽  
Financial Performance ◽  
Banking Sector ◽  
Negative Impact ◽  
Interest Rate Risk ◽  
Commercial Banking ◽  
Country Risk ◽  
Risk Variable ◽  
The Impact

The objective of this paper is to determine the impact of risk factors on the financial performance of the commercial banking sector in Barbados using quarterly data for the period 2000 to 2015. The empirical results indicate that Capital Risk, Credit Risk, Liquidity Risk, Interest Rate Risk and Operational Risk have statistically significant impacts on financial performance. The only risk variable which does not derive this result is Country Risk. In addition, of those variables which proxy external factors, only GDP Growth has a statistically insignificant influence on financial performance. Credit risk exerted a negative impact on the banks’ financial performance, thus the banks must ensure they adopt appropriate measures to minimise the impact of this risk. Higher levels of capital impacted positively on the banking sector’s profitability. This paper is the first effort employing such an extensive dataset based on Barbados’ commercial banking sector and shows the main factors that influence commercial banks’ financial performance in this developing economy.

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