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ECB monetary policy and commodity prices
Aliyev, S.; Kočenda, Evžen
2022 - English
We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001–2019. We employ a SVAR model and separately assess periods before and after the global financial crisis. Our key results indicate that contractionary monetary policy shocks have positive effects on commodity prices during both conventional and unconventional monetary policy periods, indicating the effectiveness of unconventional monetary policy tools. The largest impact is documented on fuel and food commodities. Our results also suggest that the effect of ECB monetary policy on commodity prices transmits through the exchange rate channel, which influences European market demand.
Keywords:
European Central Bank; commodity prices; short-term interest rates; M2 stock; monetary aggregate; unconventional monetary policy; Structural Vector Autoregressive model; exchange rates
Fulltext is available at external website.
ECB monetary policy and commodity prices
We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001–2019. We employ a SVAR model and separately assess periods before and after the global financial ...
Financial Impact of Trust and Institutional Quality around the World
Kapounek, S.; Kočenda, Evžen; Kouba, L.
2022 - English
We investigate the financial impact of social trust, institutional quality, and regulations. As a testing ground we employ a unique, large, and hand-crafted dataset of more than 850 000 lending-based crowdfunding projects from 155 platforms across 55 countries during 2005–2018. We show that the impact of social trust is positive but economically less pronounced than that of institutional trust proxied by legal and property rights protection and regulation. Moreover, the financial impact of social trust is greater at the national level, while impact of institutional quality dominates at the international level. Nevertheless, the financial impact of trust and institutional quality around the world is positive, which is an encouraging implication under increasing anonymity and internationalization of financial environment.
Keywords:
social capital; social trust; institutional trust; uncertainty; crowdfunding; financial markets
Fulltext is available at external website.
Financial Impact of Trust and Institutional Quality around the World
We investigate the financial impact of social trust, institutional quality, and regulations. As a testing ground we employ a unique, large, and hand-crafted dataset of more than 850 000 lending-based ...
Large Perimeter Objects Surrounded by a 1.5D Terrain
Keikha, Vahideh
2022 - English
Given is a 1.5D terrain T , i.e., an x-monotone polygonal chain in R2. Our objective is to approximate the largest area or perimeter convex polygon with at most k vertices inside T . For a constant k > 0, we design an FPTAS that efficiently approximates such polygons within a factor (1 − ǫ). For the special case of the´largest-perimeter contained triangle in T , we design an O(n log n) time exact algorithm that matches the same result for the area measure.
Available in digital repository of the ASCR
Large Perimeter Objects Surrounded by a 1.5D Terrain
Given is a 1.5D terrain T , i.e., an x-monotone polygonal chain in R2. Our objective is to approximate the largest area or perimeter convex polygon with at most k vertices inside T . For a constant k ...
Bank Survival Around the World: A Meta-Analytic Review
Kočenda, Evžen; Iwasaki, I.
2021 - English
Bank survival is essential to economic growth and development because banks mediate the financing of the economy. A bank’s overall condition is often assessed by a supervisory rating system called CAMELS, an acronym for the components Capital adequacy, Asset quality, Management quality, Earnings, Liquidity, and Sensitivity to market risk. Estimates of the impact of CAMELS components on bank survival vary widely. We perform a meta-synthesis and meta-regression analysis (MRA) using 2120 estimates collected from 50 studies. In the MRA, we account for uncertainty in moderator selection by employing Bayesian model averaging. The results of the synthesis indicate an economically negligible impact of CAMELS variables on bank survival; in addition, the effect of bank-specific, (macro)economic, and market factors is virtually absent. The results of the heterogeneity analysis and publication bias analysis are consistent in terms that they do not find an economically significant impact of the CAMELS variables. Moreover, best practice estimates show a small economic impact of CAMELS components and no impact of other factors. The study concludes that caution should be exercised when using CAMELS rating to predict bank survival or failure.
Keywords:
bank survival; bank failure; CAMELS; meta-analysis; publication selection bias
Fulltext is available at external website.
Bank Survival Around the World: A Meta-Analytic Review
Bank survival is essential to economic growth and development because banks mediate the financing of the economy. A bank’s overall condition is often assessed by a supervisory rating system called ...
Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis
Greenwood-Nimmo, M.; Kočenda, Evžen; Nguyen, V. H.
2021 - English
The spillover index developed by Diebold and Yilmaz (Economic Journal, 2009, vol. 119, pp. 158-171) is widely used to measure connectedness in economic and financial networks. Abrupt increases in the spillover index are typically thought to result from systemic events, but evidence of the statistical significance of this relationship is largely absent from the literature. We develop a new bootstrap-based technique to evaluate the probability that the value of the spillover index changes over an arbitrary time period following an exogenously defined event. We apply our framework to the original dataset studied by Diebold and Yilmaz and obtain qualified support for the notion that the spillover index increases in a timely and statistically significant manner in the wake of systemic shocks.
Keywords:
Spillover index; systemic events; bootstrap-after-bootstrap procedure
Fulltext is available at external website.
Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis
The spillover index developed by Diebold and Yilmaz (Economic Journal, 2009, vol. 119, pp. 158-171) is widely used to measure connectedness in economic and financial networks. Abrupt increases in the ...
Distributed Sequential Zero-Inflated Poisson Regression
Žemlička, R.; Dedecius, Kamil
2021 - English
The zero-inflated Poisson regression model is a generalized linear model (GLM) for non-negative count variables with an excessive number of zeros. This letter proposes its low-cost distributed sequential inference from streaming data in networks with information diffusion. The model is viewed as a probabilistic mixture of a Poisson and a zero-located Dirac component, whose probabilities are estimated using a quasi-Bayesian procedure. The regression coefficients are inferred by means of a weighted Bayesian update. The network nodes share their posterior distributions using the diffusion protocol.\n
Keywords:
Poisson regression; zero inflation; GLM
Fulltext is available at external website.
Distributed Sequential Zero-Inflated Poisson Regression
The zero-inflated Poisson regression model is a generalized linear model (GLM) for non-negative count variables with an excessive number of zeros. This letter proposes its low-cost distributed ...
Media Treatment of Monetary Policy Surprises and Their Impact on Firms’ and Consumers’ Expectations
Pinter, J.; Kočenda, Evžen
2021 - English
We empirically investigate whether monetary policy announcements affect firms’ and consumers’ expectations by taking into account media treatments of monetary policy announcements. To identify exogenous changes in monetary policy stances, we use the standard financial monetary policy surprise measures in the euro area. We then analyze how a general newspaper and a financial newspaper (Le Monde and The Financial Times) report on announcements. We find that 87 % of monetary policy surprises are either not associated with the general newspaper reporting a change in the monetary policy stance to their readers or have a sign that is inconsistent with the media report of the announcement. When we use the raw monetary policy surprises variable as an independent variable in the link between monetary policy announcements and firms’/consumers’ expectations, we mostly do not find, in line with several previous studies, any statistically significant association. When we take only monetary policy surprises that are consistent with the general newspaper report, in almost all cases we find that monetary policy surprises on the immediate monetary policy stance do affect expectations. Surprises related to future policy inclination and information shocks usually do not appear to matter. The results appear to be in line with rational inattention theories and highlight the need for caution in the use of monetary policy surprise measures for macroeconomic investigations.
Keywords:
firm expectations; consumer expectations; monetary policy surprises; European Central Bank; information effect
Fulltext is available at external website.
Media Treatment of Monetary Policy Surprises and Their Impact on Firms’ and Consumers’ Expectations
We empirically investigate whether monetary policy announcements affect firms’ and consumers’ expectations by taking into account media treatments of monetary policy announcements. To identify ...
Transferring Improved Local Kernel Design in Multi-Source Bayesian Transfer Learning, with an application in Air Pollution Monitoring in India
Nugent, Sh.; Quinn, Anthony
2021 - English
Existing frameworks for multi-task learning [1],[2] often rely on completely modelled relationships between tasks, which may not be available. Recent work [3], [4] has been undertaken on approaches to fully probabilistic methods for transfer learning between two Gaussian Process (GP) tasks. There, the target algorithm accepts source knowledge in the form of a probabilistic prior from a source algorithm, without requiring the target to model their interaction with the source. These strategies have offered robust improvements on current state of the art algorithms, such as the Intrinsic Coregionalization Model. The Bayesian Transfer Learning algorithm proposed in [4], was found to provide robust, positive\ntransfer. This algorithm was then extended to accommodate knowledge transfer from multiple source modellers [5]. Improved predictive performance was observed from increases in the number of sources. This report reviews the multi-source transfer findings in [5] and applies it to a real world problem of pollution modelling in India, using public-domain data.
Keywords:
fully probabilistic methods; Bayesian Transfer Learning algorithm; Gaussian Process; Intrinsic Coregionalization Model; pollution modelling
Fulltext is available at external website.
Transferring Improved Local Kernel Design in Multi-Source Bayesian Transfer Learning, with an application in Air Pollution Monitoring in India
Existing frameworks for multi-task learning [1],[2] often rely on completely modelled relationships between tasks, which may not be available. Recent work [3], [4] has been undertaken on approaches to ...
Nearly All Reals Can Be Sorted with Linear Time Complexity
Jiřina, Marcel
2021 - English
We propose a variant of the counting sort modified for sorting reals in a linear time. It is assumed that the sorting key and pointers to the items being sorted are moved and individual items remain at the same place in the memory (in place sorting). In this case, the space complexity of the new variant of the algorithm is the same as the complexity of the quicksort. We also quantify the practical limits for possible sorting reals in a linear time. This possibility is assured under additional assumptions on the distribution of the sorting key, mainly the independence and identity of the distribution. Here we give a more general criteria easily applicable in practice. We also show that the algorithm is applicable for data that do not fulfill criteria for linear time complexity but even that the computation is faster than the system quicksort. A new, faster version of the algorithm is attached.
Keywords:
sorting; algorithm; real sorting key; time complexity; linear complexity
Available in digital repository of the ASCR
Nearly All Reals Can Be Sorted with Linear Time Complexity
We propose a variant of the counting sort modified for sorting reals in a linear time. It is assumed that the sorting key and pointers to the items being sorted are moved and individual items remain ...
Unsupervised Verification of Fake News by Public Opinion
Grim, Jiří
2021 - English
In this paper we discuss a simple way to evaluate the messages in social networks automatically, without any special content analysis or external intervention. We presume, that a large number of social network participants is capable of a relatively reliable evaluation of materials presented in the network. Considering a simple binary evaluation scheme (like/dislike), we propose a transparent algorithm with the aim to increase the voting power of reliable network members by means of weights. The algorithm supports the votes which correlate with the more reliable weighted majority and, in turn, the modified weights improve the quality of the weighted majority voting. In this sense the weighting is controlled only by a general coincidence of voting members while the specific content of messages is unimportant. The iterative optimization procedure is unsupervised and does not require any external intervention with only one exception, as discussed in Sec. 5.2 .\n\nIn simulation experiments the algorithm nearly exactly identifies the reliable members by means of weights. Using the reinforced weights we can compute for a new message the weighted sum of votes as a quantitative measure of its positive or negative nature. In this way any fake news can be recognized as negative and indicated as controversial. The accuracy of the resulting weighted decision making was essentially higher than a simple majority voting and has been considerably robust with respect to possible external manipulations.\n\nThe main motivation of the proposed algorithm is its application in a large social network. The content of evaluated messages is unimportant, only the related decision making of participants is registered and compared with the weighted vote with the aim to identify the most reliable voters. A large number of participants and communicated messages should enable to design a reliable and robust weighted voting scheme. Ideally the resulting weighted vote should provide a generally acceptable emotional feedback for network participants and could be used to indicate positive or controversial news in a suitably chosen quantitative way. The optimization algorithm has to be simple, transparent and intuitive to make the weighted vote well acceptable as a general evaluation tool.\n
Keywords:
weighted voting; unsupervised optimization
Fulltext is available at external website.
Unsupervised Verification of Fake News by Public Opinion
In this paper we discuss a simple way to evaluate the messages in social networks automatically, without any special content analysis or external intervention. We presume, that a large number of ...
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