What is the value of value-at-risk after all?: A conditional approach using quantile regressions

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Evaluating Value-at-Risk models via Quantile regressions

This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables to do this sacrifices too much information. However, most of the specification tests (also called backtests) avaliable in the literature, such as Christoffersen (1998) and Engle and Maganelli (2004) are based on such variables. In this paper we propose a new backtest that does not realy solely on binary variable. It is show that the new backtest provides a sufficiant condition to assess the performance of a quantile model whereas the existing ones do not. The proposed methodology allows us to identify periods of an increased risk exposure based on a quantile regression model (Koenker & Xiao, 2002). Our theorical findings are corroborated through a monte Carlo simulation and an empirical exercise with daily S&P500 time series.

Earning inequalities in Brazil: quantile regressions and the decomposition approach

Includes bibliography

Quantile forecasts of inflation under model uncertainty

Bayesian model averaging (BMA) methods are regularly used to deal with model uncertainty in regression models. This paper shows how to introduce Bayesian model averaging methods in quantile regressions, and allow for different predictors to affect different quantiles of the dependent variable. I show that quantile regression BMA methods can help reduce uncertainty regarding outcomes of future inflation by providing superior predictive densities compared to mean regression models with and without BMA.

Quantile Inferences for Inflation and Its Variability: Does a Threshold Inflation Rate Exist?

Using quantile regressions and cross-sectional data from 152 countries, we examine the relationship between inflation and its variability. We consider two measures of inflation - the mean and median - and three different measures of inflation variability - the standard deviation, coefficient of variation, and median deviation. Using the mean and standard deviation or the median and the median deviation, the results support both the hypothesis that higher inflation creates more inflation variability and that inflation variability raises inflation across quantiles. Moreover, higher quantiles in both cases lead to larger marginal effects of inflation (inflation variability) on inflation variability (inflation). Using the mean and the coefficient of variation, however, the findings largely support no correlation between inflation and its variability. Finally, we also consider whether thresholds for inflation rate or inflation variability exist before finding such positive correlations. We find evidence of thresholds for inflation rates below 3 percent, but mixed results for thresholds for inflation variability.

Health care needs and resources distribution: How to allocate financial resources in primary care trust?

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

Bond fund runs: The financial crisis case

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Measuring intergenerational earnings mobility in Spain: a selection-bias-free approach

This paper analyses intergenerational earnings mobility in Spain correcting for different selection biases. We address the co-residence selection problem by combining information from two samples and using the two-sample two-stage least square estimator. We find a small decrease in elasticity when we move to younger cohorts. Furthermore, we find a higher correlation in the case of daughters than in the case of sons; however, when we consider the employment selection in the case of daughters, by adopting a Heckman-type correction method, the diference between sons and daughters disappears. By decomposing the sources of earnings elasticity across generations, we find that the correlation between child's and father's occupation is the most important component. Finally, quantile regressions estimates show that the influence of the father's earnings is greater when we move to the lower tail of the offspring's earnings distribution, especially in the case of daughters' earnings.

Are small firms more sensitive to financial variables?

This paper analyses the impact of different sources of finance on the growth of firms. sing panel data from Spanish manufacturing firms for the period 2000-2006, we investigate the effects of internal and external finances on firm growth. In particular, we examine wo dimensions of these financial sources: a) the performance of the firms' capital structure n accordance with firm size; b) the combined effect of equity, external debt and cash low n firm growth. We find that low-growth firms are sensitive to cash low and short-term ank debt, while high-growth firms are more sensitive to long-term debt. Furthermore, ur results show that low-growth firms are more sensitive to short-term financial variables, hile fast growth firms are more sensitive to long-term financial variables. EL codes: L25, R12. eywords: Finance, Firm growth, Quantile regressions, Small firms

Quantiles of the Realized Stock-Bond Correlation

Abstract: We scrutinize the realized stock-bond correlation based upon high frequency returns. We use quantile regressions to pin down the systematic variation of the extreme tails over their economic determinants. The correlation dependence behaves differently when the correlation is large negative and large positive. The important explanatory variables at the extreme low quantile are the short rate, the yield spread, and the volatility index. At the extreme high quantile the bond market liquidity is also important. The empirical fi…ndings are only partially robust to using less precise measures of the stock-bond correlation. The results are not caused by the recent …financial crisis. Keywords: Extreme returns; Financial crisis; Realized stock-bond correlation; Quantile regressions; VIX. JEL Classifi…cations: C22; G01; G11; G12

The Impacts of social networks on immigrants' employment prospect: the spanish case 1997-2007

This paper studies the extent to which social networks influence the employment stability and wages of immigrants in Spain. By doing so, I consider an aspect that has not been previously addressed in the empirical literature, namely the connection between immigrants' social networks and labor market outcomes in Spain. For this purpose, I use micro-data from the National Immigrant Survey carried out in 2007. The analysis is conducted in two stages. First, the impact of social networks on the probability of keeping the first job obtained in Spain is studied through a multinomial logit regression. Second, quantile regressions are used to estimate a wage equation. The empirical results suggest that once the endogeneity problem has been accounted for, immigrants' social networks influence their labor market outcomes. On arrival, immigrants experience a mismatch in the labor market. In addition, different effects of social networks on wages by gender and wage distribution are found. While contacts on arrival and informal job access mechanisms positively influence women's wages, a wage penalty is observed for men.

Innovation and firm growth: Does firm age play a role?

This paper explores the relationship between firm growth, innovation and firm age. We hypothesize that young firms undertake riskier innovation activities and are more oriented towards employment growth than towards harvesting returns in the form of sales growth. Using an extensive sample of Community Innovation Survey for the period 2004-2010, we apply quantile regressions and a Heckman sample selection technique to study the impact of R&D activities on firm growth according to firm age. Our results show that R&D intensity is positively associated with firm growth. However, for young firms R&D shows an increasing influence across the quantiles, while for old firms R&D shows a stable or perhaps decreasing effect over the quantiles. Firm age shows a significant negative impact among young firms, while for the sample of old firms the impact of firm age becomes non-significant. Our Heckman estimations show the evolution of the impact of the R&D on firm growth confirming a significant impact on sales and productivity growth, while the impact is negligible for employment growth. Keywords: firm age, firm growth, innovation, quantile regression. JEL CODES: L25, L20

Is the impact of public investment neutral across the regional income distribution?: evidence from Mexico

This paper investigates the contribution of public investment to the reduction of regional inqualities, with a specific application to Mexico. We use quantile regressions to examine the impact of public investment on regional disparities according to the position of each region in the conditional distribution of regional income. Results confirm the hypothesis that regional inequalities can indeed be atrributed to the regional distribution of public investment, where the observed pattern shows that public investment mainly helped to reduce regional inequalities between the richest regions

Is the impact of public investment neutral across the regional income distribution?: evidence from Mexico

This paper investigates the contribution of public investment to the reduction of regional inqualities, with a specific application to Mexico. We use quantile regressions to examine the impact of public investment on regional disparities according to the position of each region in the conditional distribution of regional income. Results confirm the hypothesis that regional inequalities can indeed be atrributed to the regional distribution of public investment, where the observed pattern shows that public investment mainly helped to reduce regional inequalities between the richest regions

Factores asociados a anemia y déficit de hierro en niños colombianos menores de 5 años

Introducción: La anemia y la deficiencia de hierro son problemas de salud pública a nivel mundial que afectan principalmente a niños menores de 5 años, con repercusiones en su desarrollo. Este estudio pretende determinar prevalencia y factores asociados (micronutrientes, características del niño y características sociodemográficas) a anemia y ferropenia en niños colombianos entre 1 y 5 años. Metodología: Estudio observacional de corte transversal con 4130 niños, utilizando datos de la encuesta nacional de situación nutricional (ENSIN-2010). Variables dependientes: anemia, ferropenia, niveles de hemoglobina y ferritina. Se realizaron correlaciones bivariadas y regresiones cuantílicas para determinar factores asociados a niveles de hemoglobina y ferritina. Se realizaron chi cuadrados y regresiones logísticas binomiales para determinar factores asociados anemia y ferropenia. Resultados: Prevalencia de anemia: 13,8% (IC 95%: 12.8- 14.8) y de ferropenia: 10.9% (IC95% 10.7-11.1).Los factores asociados a anemia fueron vivienda en área rural, altitud de vivienda, etnia afro descendiente, quintil del índice de riqueza, peso y presencia de ferropenia. El16.3 % de los pacientes anémicos padecían ferropenia. Los factores relacionados con ferropenia fueron: edad, etnia indígena, región Pacífica y no afiliación a seguridad social. Conclusiones: La presencia de anemia en nuestra población es una condición multifactorial que amerita el estudio de otras etiologías además de la ferropenia. Los factores de riesgo encontrados son condiciones que pueden relacionarse con mayor pobreza e inseguridad alimentaria, por lo cual además de la ejecución de programas de suplencia nutricional se recomienda implementar políticas públicas encaminadas a mejorar las condiciones socioeconómicas de grupos de riesgo