Fordham University

Displaying 1-28 of 28 results

  • White Papers // Nov 2012

    Statistical Adapting RED in Dynamic Networks

    Active Queue Management (AQM) aims to provide high link utilization and low queuing delay in communication networks. However, it is challenging to adapt AQM parameters in response to dynamic network scenarios with varying roundtrip time, link capacity and traffic load. In order to maintain a stable queue with desired performance...

    Provided By Fordham University

  • White Papers // Nov 2010

    Government Intervention and the CDS Market: A Look At The Market's Response To Policy Announcements During The 2007-2009 Financial Crisis

    This paper adds to the literature on the financial markets' reaction to government interventions during the 2007-2009 financial crisis by analyzing the response of US firms' credit default swap spreads to key government actions. The authors find that the government measures taken to stabilize both the financial sector and the...

    Provided By Fordham University

  • White Papers // Jun 2010

    Disability Cash Transfers In The Context Of Poverty And Unemployment: The Case Of South Africa

    Cash transfers have recently become more common in developing countries and are the subject of a growing body of research on their reach and impacts (Ellis, Devereux and White, 2009). In low income countries, disability cash transfer programs tend to be small with low take up rates (e.g. in India...

    Provided By Fordham University

  • White Papers // Jun 2010

    Interstate Risk Sharing In Germany: 1970-2006

    This paper studies the channels of interstate risk sharing in Germany for the time period 1970 to 2006 following the methodology of Asdrubali et al. (1996). Their framework allows one to estimate the degree of smoothing of a shock to a state's gross domestic product by factor markets, the government...

    Provided By Fordham University

  • White Papers // Apr 2010

    Free Trade Agreements And External Tariffs

    There has been a proliferation of preferential trade agreements within the last two decades. This paper analyzes the effects of Free Trade Agreements (FTAs) on external tariffs under a political economy setup. The author extends the Grossman and Helpman (1995) model by determining tariff rates endogenously instead of assuming they...

    Provided By Fordham University

  • White Papers // Feb 2010

    Time Variation In Liquidity: The Role Of Market-Maker Inventories And Revenues

    This paper shows that market-maker balance sheet and income statement variables explain time variation in liquidity, suggesting liquidity-supplier financing constraints matter. Using 11 years of NYSE specialist inventory positions and trading revenues, the author find that aggregate market-level and specialist firm-level spreads widen when specialists have large positions or lose...

    Provided By Fordham University

  • White Papers // Jan 2010

    Forecasting Inflation with Thick Models and Neural Networks

    This paper applies linear and neural network-based "thick" models for forecasting inflation based on Phillips - curve formulations. Thick models represent "trimmed mean" forecasts from several neural network models. They outperform the best performing linear models for "real time" and "bootstrap" forecasts for service indices for the euro area, and...

    Provided By Fordham University

  • White Papers // Dec 2009

    Euro Appreciation and Chinese Fear of Floating: Pressures from the NDF Market

    This paper examines financial market data to assess the likelihood of renminbi appreciation and its implications for Chinese financial markets, given the continuing strength of the Euro against the U.S. dollar. Using VAR and Bayesian VAR estimation, it is found that the 3-month non-deliverable forward premia are key series linking...

    Provided By Fordham University

  • White Papers // Nov 2009

    Long-Term Impact Of Investments In Early Schooling - Empirical Evidence From Rural Ethiopia

    This paper identifies the cumulative impact of early schooling investments on later schooling outcomes in a developing country context using enrollment status and relative grade attainment as short-run and long-run measures of schooling. Using a child-level longitudinal data set from rural Ethiopia, the author estimates a dynamic conditional schooling demand...

    Provided By Fordham University

  • White Papers // Nov 2009

    Just War Theory, Humanitarian Intervention, and the need for a Democratic Federation

    The primary purpose of government is to secure public goods that cannot be achieved by free markets. The Coordination Principle tells to consolidate sovereign power in a single institution to overcome collective action problems that otherwise prevent the relevant public goods. There are several public goods that require such coordination...

    Provided By Fordham University

  • White Papers // Nov 2009

    Storage And The Volatility Of Agricultural Prices: A Model Of Endogenous Fluctuations

    Recent developments in world food markets stress the importance of identifying the sources of food price volatility. This paper develops a nonlinear Cobweb model with endogenous volatility. It supplements the famous Deaton and Laroque model based on exogenous fluctuations and storage. As with Deaton and Laroque, it leads to price...

    Provided By Fordham University

  • White Papers // Aug 2009

    It?s What You Do and Who You Do It With: A Longitudinal Study of the Sense of Calling

    In this 3-1/2-year, 3- wave longitudinal survey of 352 musicians, the author build on this previous research to examine the relationship between a broader set of factors and the sense of calling over time. Results indicate that participants' ongoing behaviours and social factors in the calling domain, music, are linked...

    Provided By Fordham University

  • White Papers // Aug 2009

    Regulatory Uncertainty And Financial Contagion: Evidence From The Hybrid Capital Securities Market

    This paper examines the negative market impact that resulted from the insurance regulators' reclassification of 140 hybrid capital securities in spring and summer 2006. It illustrates how financial contagion can spring from a regulatory policy change that lacks transparency. The authors quantify the impact of the uncertainty surrounding the true...

    Provided By Fordham University

  • White Papers // Jul 2009

    Targeted Vaccine Subsidies For Healthcare Workers

    This paper studies the public goods problem associated with vaccinations. The externality created by an infection is composed of two parts, the probability of infection and the marginal infections generated if infected. The author argues that the key component in a successful vaccination strategy is the second of these items...

    Provided By Fordham University

  • White Papers // Jun 2009

    Financial Institutions In Crisis: Modeling The Endogeneity Between Credit Risk And Capital Requirements

    This manuscript presents a credit-risk-based model for the establishment of minimum bank capital requirements. The structural model determines the minimum level of equity required to yield a maximum acceptable cumulative probability of default given a bank's existing liability structure. It is based on a modified version of the Geske (1977)...

    Provided By Fordham University

  • White Papers // May 2009

    Fiscal Federalism In Germany: Stabilization And Redistribution Before And After Unification

    The author provides empirical estimates of the risk-sharing and redistributive properties of the German federal fiscal system based on data from 1970 until 2006, with special attention to the effects of German unification. It's found that tax revenue sharing between the states and the federal government and the fiscal equalization...

    Provided By Fordham University

  • White Papers // May 2009

    U.S. Commercial Bank Lending Through 2008: Q4 - New Evidence From Gross Credit Flows

    What was hiding behind the aggregate commercial bank loans through the end of 2008? The author uses balance sheet data for every insured U.S. commercial bank from 1999:Q1 to 2008:Q4 to construct credit expansion and credit contraction series and provide new evidence on changes in lending. Until 2008:Q3 net credit...

    Provided By Fordham University

  • White Papers // May 2009

    Data Mining in the Real World: Experiences, Challenges, and Recommendations

    Data mining is used regularly in a variety of industries and is continuing to gain in both popularity and acceptance. However, applying data mining methods to complex real-world tasks is far from straightforward and many pitfalls face data mining practitioners. However, most research in the field tends to focus on...

    Provided By Fordham University

  • White Papers // May 2009

    The Cyclical Properties Of Disaggregated Capital Flows

    The author describes the second-moment properties of the components of international capital flows and their relationship to business cycle variables for 22 industrial and emerging countries. Inward flows are procyclical. Outward and net flows are countercyclical for most industrial and emerging countries, except for the G7. Results for individual flows...

    Provided By Fordham University

  • White Papers // May 2009

    Productivity Matters For Trade Policy: Theory And Evidence

    In the growth literature that investigates the effect of trade liberalization on productivity, nearly all studies assume that trade policy is determined independently of productivity, hence it is exogenous. The author shows, both theoretically and empirically, that this assumption is not valid in general. It's found that in Colombia more...

    Provided By Fordham University

  • White Papers // Feb 2009

    Improved Baseline Sales

    This paper develops a more accurate and robust baseline sales (sales in the absence of price promotion) using Dynamic Linear Models and a Multiple Structural Change Model (DLM/MSCM). The author first discusses the value of utilizing aggregated (chain-level) vs. disaggregated (store-level) point-of-sale (POS) data to estimate baseline sales and measure...

    Provided By Fordham University

  • White Papers // Jan 2009

    Will The Global Financial Crisis Lead To Lower Aid? A First Look At United States ODA

    Analyzing US economic and foreign aid data from 1967 to 2007, this paper investigates whether adverse economic and financial conditions are negatively linked to Official Development Assistance (ODA). It finds empirical evidence that US ODA has tended to decline as its economic conditions worsen. A 1 unit increase in the...

    Provided By Fordham University

  • White Papers // Dec 2008

    Time Variation In Liquidity: The Role Of Market Maker Inventories And Revenues

    Paper shows that market-maker balance sheet and income statement variables explain time variation in liquidity, suggesting liquidity-supplier financing constraints matter. Using 11 years of NYSE specialist inventory positions and trading revenues. The effects are non-linear and most prominent when inventories are big or trading results have been particularly poor. These...

    Provided By Fordham University

  • White Papers // Dec 2008

    Can Debt Relief Buy Growth?

    This paper investigates whether the numerous debt relief initiatives during the 1990s have had a significant effect on economic growth rates in developing countries. The major initiatives during that time period were negotiated as bilateral agreements under the guidance of the Paris Club of Creditors. These agreements were followed up...

    Provided By Fordham University

  • White Papers // Nov 2008

    Encyclopedia Of Data Warehousing And Mining

    When a space shuttle takes off, tiny sensors measure thousands of data points every fraction of a second, pertaining to a variety of attributes like temperature, acceleration, pressure and velocity. A data gathering server at a networking company receives terabytes of data a day from various network elements like routers,...

    Provided By Fordham University

  • White Papers // Sep 2008

    Dollarization As An Investment Signal In Developing Countries

    In dollarized financial systems, there exists a currency mismatch risk that could lead to financial crises. Central Banks in such economies have to adjust their foreign currency policies accordingly. This paper estimates the probability of Central Bankers' intervention in the foreign currency markets in dollarized economies as explained by the...

    Provided By Fordham University

  • White Papers // Sep 2008

    Heteroskedasticity And Autocorrelation Efficient (HAE) Estimation And Pivots For Jointly Evolving Series

    A new two-way map between time domain and numerical magnitudes or values domain (v-dom) provides a new solution to heteroscedasticity. Since sorted logs of squared fitted residuals are monotonic in the v-dom, one obtain a parsimonious fit there. Two theorems prove consistency, asymptotic normality, efficiency and specificationrobustness, supplemented by a...

    Provided By Fordham University

  • White Papers // Nov 2005

    The Importance Of Place Of Residence In Predicting Late-Stage Diagnosis Of Breast Or Cervical Cancer

    The authors tested whether inner-city women were at significantly increased risk of late-stage cancer diagnosis because they resided in extremely poor and socially isolated neighborhoods or in neighborhoods meeting the federal definition of a Medically Underserved Area (MUA). Cancer registry data on women in three American cities were matched to...

    Provided By Fordham University

  • White Papers // Nov 2012

    Statistical Adapting RED in Dynamic Networks

    Active Queue Management (AQM) aims to provide high link utilization and low queuing delay in communication networks. However, it is challenging to adapt AQM parameters in response to dynamic network scenarios with varying roundtrip time, link capacity and traffic load. In order to maintain a stable queue with desired performance...

    Provided By Fordham University

  • White Papers // May 2009

    Data Mining in the Real World: Experiences, Challenges, and Recommendations

    Data mining is used regularly in a variety of industries and is continuing to gain in both popularity and acceptance. However, applying data mining methods to complex real-world tasks is far from straightforward and many pitfalls face data mining practitioners. However, most research in the field tends to focus on...

    Provided By Fordham University

  • White Papers // Nov 2008

    Encyclopedia Of Data Warehousing And Mining

    When a space shuttle takes off, tiny sensors measure thousands of data points every fraction of a second, pertaining to a variety of attributes like temperature, acceleration, pressure and velocity. A data gathering server at a networking company receives terabytes of data a day from various network elements like routers,...

    Provided By Fordham University

  • White Papers // Feb 2010

    Time Variation In Liquidity: The Role Of Market-Maker Inventories And Revenues

    This paper shows that market-maker balance sheet and income statement variables explain time variation in liquidity, suggesting liquidity-supplier financing constraints matter. Using 11 years of NYSE specialist inventory positions and trading revenues, the author find that aggregate market-level and specialist firm-level spreads widen when specialists have large positions or lose...

    Provided By Fordham University

  • White Papers // Dec 2008

    Time Variation In Liquidity: The Role Of Market Maker Inventories And Revenues

    Paper shows that market-maker balance sheet and income statement variables explain time variation in liquidity, suggesting liquidity-supplier financing constraints matter. Using 11 years of NYSE specialist inventory positions and trading revenues. The effects are non-linear and most prominent when inventories are big or trading results have been particularly poor. These...

    Provided By Fordham University

  • White Papers // Nov 2005

    The Importance Of Place Of Residence In Predicting Late-Stage Diagnosis Of Breast Or Cervical Cancer

    The authors tested whether inner-city women were at significantly increased risk of late-stage cancer diagnosis because they resided in extremely poor and socially isolated neighborhoods or in neighborhoods meeting the federal definition of a Medically Underserved Area (MUA). Cancer registry data on women in three American cities were matched to...

    Provided By Fordham University

  • White Papers // Jan 2010

    Forecasting Inflation with Thick Models and Neural Networks

    This paper applies linear and neural network-based "thick" models for forecasting inflation based on Phillips - curve formulations. Thick models represent "trimmed mean" forecasts from several neural network models. They outperform the best performing linear models for "real time" and "bootstrap" forecasts for service indices for the euro area, and...

    Provided By Fordham University

  • White Papers // Dec 2009

    Euro Appreciation and Chinese Fear of Floating: Pressures from the NDF Market

    This paper examines financial market data to assess the likelihood of renminbi appreciation and its implications for Chinese financial markets, given the continuing strength of the Euro against the U.S. dollar. Using VAR and Bayesian VAR estimation, it is found that the 3-month non-deliverable forward premia are key series linking...

    Provided By Fordham University

  • White Papers // Aug 2009

    It?s What You Do and Who You Do It With: A Longitudinal Study of the Sense of Calling

    In this 3-1/2-year, 3- wave longitudinal survey of 352 musicians, the author build on this previous research to examine the relationship between a broader set of factors and the sense of calling over time. Results indicate that participants' ongoing behaviours and social factors in the calling domain, music, are linked...

    Provided By Fordham University

  • White Papers // Nov 2009

    Just War Theory, Humanitarian Intervention, and the need for a Democratic Federation

    The primary purpose of government is to secure public goods that cannot be achieved by free markets. The Coordination Principle tells to consolidate sovereign power in a single institution to overcome collective action problems that otherwise prevent the relevant public goods. There are several public goods that require such coordination...

    Provided By Fordham University

  • White Papers // Apr 2010

    Free Trade Agreements And External Tariffs

    There has been a proliferation of preferential trade agreements within the last two decades. This paper analyzes the effects of Free Trade Agreements (FTAs) on external tariffs under a political economy setup. The author extends the Grossman and Helpman (1995) model by determining tariff rates endogenously instead of assuming they...

    Provided By Fordham University

  • White Papers // Jun 2010

    Interstate Risk Sharing In Germany: 1970-2006

    This paper studies the channels of interstate risk sharing in Germany for the time period 1970 to 2006 following the methodology of Asdrubali et al. (1996). Their framework allows one to estimate the degree of smoothing of a shock to a state's gross domestic product by factor markets, the government...

    Provided By Fordham University

  • White Papers // May 2009

    Productivity Matters For Trade Policy: Theory And Evidence

    In the growth literature that investigates the effect of trade liberalization on productivity, nearly all studies assume that trade policy is determined independently of productivity, hence it is exogenous. The author shows, both theoretically and empirically, that this assumption is not valid in general. It's found that in Colombia more...

    Provided By Fordham University

  • White Papers // Sep 2008

    Heteroskedasticity And Autocorrelation Efficient (HAE) Estimation And Pivots For Jointly Evolving Series

    A new two-way map between time domain and numerical magnitudes or values domain (v-dom) provides a new solution to heteroscedasticity. Since sorted logs of squared fitted residuals are monotonic in the v-dom, one obtain a parsimonious fit there. Two theorems prove consistency, asymptotic normality, efficiency and specificationrobustness, supplemented by a...

    Provided By Fordham University

  • White Papers // Sep 2008

    Dollarization As An Investment Signal In Developing Countries

    In dollarized financial systems, there exists a currency mismatch risk that could lead to financial crises. Central Banks in such economies have to adjust their foreign currency policies accordingly. This paper estimates the probability of Central Bankers' intervention in the foreign currency markets in dollarized economies as explained by the...

    Provided By Fordham University

  • White Papers // Dec 2008

    Can Debt Relief Buy Growth?

    This paper investigates whether the numerous debt relief initiatives during the 1990s have had a significant effect on economic growth rates in developing countries. The major initiatives during that time period were negotiated as bilateral agreements under the guidance of the Paris Club of Creditors. These agreements were followed up...

    Provided By Fordham University

  • White Papers // Jun 2009

    Financial Institutions In Crisis: Modeling The Endogeneity Between Credit Risk And Capital Requirements

    This manuscript presents a credit-risk-based model for the establishment of minimum bank capital requirements. The structural model determines the minimum level of equity required to yield a maximum acceptable cumulative probability of default given a bank's existing liability structure. It is based on a modified version of the Geske (1977)...

    Provided By Fordham University

  • White Papers // Aug 2009

    Regulatory Uncertainty And Financial Contagion: Evidence From The Hybrid Capital Securities Market

    This paper examines the negative market impact that resulted from the insurance regulators' reclassification of 140 hybrid capital securities in spring and summer 2006. It illustrates how financial contagion can spring from a regulatory policy change that lacks transparency. The authors quantify the impact of the uncertainty surrounding the true...

    Provided By Fordham University

  • White Papers // Nov 2010

    Government Intervention and the CDS Market: A Look At The Market's Response To Policy Announcements During The 2007-2009 Financial Crisis

    This paper adds to the literature on the financial markets' reaction to government interventions during the 2007-2009 financial crisis by analyzing the response of US firms' credit default swap spreads to key government actions. The authors find that the government measures taken to stabilize both the financial sector and the...

    Provided By Fordham University

  • White Papers // Jan 2009

    Will The Global Financial Crisis Lead To Lower Aid? A First Look At United States ODA

    Analyzing US economic and foreign aid data from 1967 to 2007, this paper investigates whether adverse economic and financial conditions are negatively linked to Official Development Assistance (ODA). It finds empirical evidence that US ODA has tended to decline as its economic conditions worsen. A 1 unit increase in the...

    Provided By Fordham University

  • White Papers // Feb 2009

    Improved Baseline Sales

    This paper develops a more accurate and robust baseline sales (sales in the absence of price promotion) using Dynamic Linear Models and a Multiple Structural Change Model (DLM/MSCM). The author first discusses the value of utilizing aggregated (chain-level) vs. disaggregated (store-level) point-of-sale (POS) data to estimate baseline sales and measure...

    Provided By Fordham University

  • White Papers // May 2009

    U.S. Commercial Bank Lending Through 2008: Q4 - New Evidence From Gross Credit Flows

    What was hiding behind the aggregate commercial bank loans through the end of 2008? The author uses balance sheet data for every insured U.S. commercial bank from 1999:Q1 to 2008:Q4 to construct credit expansion and credit contraction series and provide new evidence on changes in lending. Until 2008:Q3 net credit...

    Provided By Fordham University

  • White Papers // May 2009

    The Cyclical Properties Of Disaggregated Capital Flows

    The author describes the second-moment properties of the components of international capital flows and their relationship to business cycle variables for 22 industrial and emerging countries. Inward flows are procyclical. Outward and net flows are countercyclical for most industrial and emerging countries, except for the G7. Results for individual flows...

    Provided By Fordham University

  • White Papers // May 2009

    Fiscal Federalism In Germany: Stabilization And Redistribution Before And After Unification

    The author provides empirical estimates of the risk-sharing and redistributive properties of the German federal fiscal system based on data from 1970 until 2006, with special attention to the effects of German unification. It's found that tax revenue sharing between the states and the federal government and the fiscal equalization...

    Provided By Fordham University

  • White Papers // Jul 2009

    Targeted Vaccine Subsidies For Healthcare Workers

    This paper studies the public goods problem associated with vaccinations. The externality created by an infection is composed of two parts, the probability of infection and the marginal infections generated if infected. The author argues that the key component in a successful vaccination strategy is the second of these items...

    Provided By Fordham University

  • White Papers // Jun 2010

    Disability Cash Transfers In The Context Of Poverty And Unemployment: The Case Of South Africa

    Cash transfers have recently become more common in developing countries and are the subject of a growing body of research on their reach and impacts (Ellis, Devereux and White, 2009). In low income countries, disability cash transfer programs tend to be small with low take up rates (e.g. in India...

    Provided By Fordham University

  • White Papers // Nov 2009

    Long-Term Impact Of Investments In Early Schooling - Empirical Evidence From Rural Ethiopia

    This paper identifies the cumulative impact of early schooling investments on later schooling outcomes in a developing country context using enrollment status and relative grade attainment as short-run and long-run measures of schooling. Using a child-level longitudinal data set from rural Ethiopia, the author estimates a dynamic conditional schooling demand...

    Provided By Fordham University

  • White Papers // Nov 2009

    Storage And The Volatility Of Agricultural Prices: A Model Of Endogenous Fluctuations

    Recent developments in world food markets stress the importance of identifying the sources of food price volatility. This paper develops a nonlinear Cobweb model with endogenous volatility. It supplements the famous Deaton and Laroque model based on exogenous fluctuations and storage. As with Deaton and Laroque, it leads to price...

    Provided By Fordham University