British Library Electronic Table of Contents (United Kingdom)

A reduced-form model including nonlinearities is estimated from pooled data from nine European countries during 1982-2004 to show the effects of macroeconomic shocks and financial fragility on bank loan losses. The main ingredients of the model are unanticipated-output and interest-rate shocks estimated from published macroeconomic and naive forecasts. The model fits the data well, capturing the extremely high levels of loan losses witnessed in different financial crises.

British Library Electronic Table of Contents (United Kingdom)

Using disaggregated data from the Brazilian stock market, we calculate default probabilities for 30 different economic sectors. Empirical results suggest that domestic macroeconomic factors can explain these default probabilities. In addition, we construct the Minimum Spanning Tree (MST) and the ultrametric hierarchical tree with the MST based on default probabilities to disclose common trends, which reveals that some sectors form clusters. The results of this paper imply that macroeconomic variables have distinct effects on default probabilities, which is important to take into account in credit risk modeling and the generation of stress test scenarios.

British Library Electronic Table of Contents (United Kingdom)

As is well documented, subprime mortgage markets carried significant default risk. This paper investigates the relationship between default risk premium, stock market conditions and macroeconomic variables during the financial crisis. Using iTraxx Japan Credit Default Swap (CDS) index spreads covering the period from March 2006 to November 2009, we employ a time-varying dynamic factor model with Markov regime switching to generate regime probabilities for default risk. We analyze the sensitivity of default risk premium changes to stock market conditions and macroeconomic variables by using two-state Markov switching models: a crisis regime sparked by rising loan defaults in the sub-prime mortgage market, and a non-crisis regime. We found strong evidence that the relationship between defaul...

British Library Electronic Table of Contents (United Kingdom)

SummaryProcesses of upgrading and the promotion of industrial "clusters," which encompass multiple policies, institutions, and actors, necessarily vary from place to place. Based on the evidence from Morocco and Tunisia, this article contends that different patterns of business-government relations facilitate different elements of industrial upgrading and cluster promotion. State-dominated political economies may be more amenable to implementing macroeconomic and infrastructure-related measures, which are critical in the initial stages of upgrading. Political economies with more organized business communities may be better equipped to pursue the kinds of inter-firm linkages traditionally associated with later phases of upgrading, when the focus is on boosting innovation.

Energy Technology Data Exchange (ETDEWEB)

This paper examines the global impacts of a policy that internalizes the external costs (related to air pollution damage, excluding climate costs) of electricity generation using a combined energy systems and macroeconomic model. Starting point are estimates of the monetary damage costs for SO{sub 2}, NO {sub X} , and PM per kWh electricity generated, taking into account the fuel type, sulfur content, removal technology, generation efficiency, and population density. Internalizing these externalities implies that clean and advanced technologies increase their share in global electricity production. Particularly, advanced coal power plants, natural gas combined cycles, natural gas fuel cells, wind and biomass technologies gain significant market shares at the expense of traditional coal- and gas-fired plants. Global carbon dioxide emissions are lowered by 3% to 5%. Sulfur dioxide emissions drop significantly below the already low level. The policy increases the ...

Energy Technology Data Exchange (ETDEWEB)

Estimates of annual rates of change of fuel switching are constructed using logistic curve models fitted to often sparse historical data on fuel use in the USA. The estimated annual rate of loss of market share of an old fuel is then shown to be correlated with five-year averages of declines in the rate of growth of affected vehicle numbers. Other statistical tests show a positive correlation between five-year average changes in the rate of growth of the vehicle numbers and of macroeconomic activity when the affected vehicles are directly responsible for a large share of that activity. The vehicle types shown to have this effect are locomotives from 1885-1915 and automobiles thereafter. The third set of tests supports an interpretation that the indirect effects of fuel switches are significant and consistent with GNP throughout the 1880-1980 period. It is shown that a pronounced drop in GNP growth occurs at the time when the important fuel switches are most rapidly ...

International Nuclear Information System (INIS)

The assessment of greenhouse gas impacts in the US shows that against a baseline gasoline vehicle, the impact of including the full fuel cycle generally reduces the relative advantages of alternative transportation fuels. While a switch to diesel is estimated to save 30% as compared to gasoline, the savings from natural gas/LPG are (around 20%), for ethanol from corn (8%) and for battery electricity vehicles using power from coal (6%) are much smaller. This is largely due to the use of LCA rather than end-use comparisons. However, the results also show that there would be large savings from the use of ethanol from fuel cells using methanol (39%) or natural gas (50%), while ethanol from wood in a conventional engine appears to have the greatest savings (63%). In external costs of motor vehicle use, analysis results were presented for both air pollution and energy security impacts (including SPR, military expenditures, macro-economic costs and pecuniary costs) as ...