nep-bec New Economics Papers
on Business Economics
Issue of 2010‒10‒02
24 papers chosen by
Christian Calmes
Universite du Quebec en Outaouais

  1. Firms' rents, workers' bargaining power and the union wage premium in France By Thomas Breda
  2. Shocks and Frictions under Right-to-Manage Wage Bargaining: A Transatlantic Perspective By Agostino Consolo
  3. Entry, Growth, and the Business Environment: A Comparative Analysis of Enterprise Data from the U.S. and Transition Economies By J. David Brown; John S. Earle
  4. Optimal Compensation Contracts for Optimistic Managers By Annamaria Menichini; Giovanni Immordino; Maria Grazia Romano
  5. Innovation and Institutional Ownership By Philippe Aghion; John Van Reenen; Luigi Zingales
  6. Ownership Structure and Risk-taking Behavior: Evidence from Banks in Korea and Japan By Chun, Sun Eae; Nagano, Mamoru; Lee, Min Hwan
  7. Competition and growth: reinterpreting their relationship By ONORI, Daria
  8. Theories of Heterogeneous Firms and Trade By Stephen Redding
  9. Trade with China and skill upgrading: Evidence from Belgian firm level data By Giordano Mion; Hylke Vandenbussche; Linke Zhu
  10. Career progression and formal versus on-the-job training By Jerome Adda; Christian Dustmann; Costas Meghir; Jean-Marc Robin
  11. A Dynamic Duopoly Investment Game under Uncertain Market Growth By Boyer, Marcel; Lasserre, Pierre; Moreaux, Michel
  12. The Ownership of the Firm under A Property Rights Approach By Leshui He
  13. Professional Employer Organizations: What Are They, Who Uses Them and Why Should We Care? By Britton Lombardi; Yukako Ono
  14. Timing Vertical Relationships By Ruble, Richard; Versaevel, Bruno; de Villemeur, Étienne
  15. Organizational Modes within Firms and Productivity Growth By Kohei Daido; Ken Tabata
  16. Past Experience and Future Success: New Evidence on Owner Characteristics and Firm Performance By Ron Jarmin; C.J. Krizan
  17. Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices By Bonomo, Marco; Garcia, René; Meddahi, Nour; Tédongap, Roméo
  18. Does market concentration of downstream buyers squeeze upstream suppliers’ market power? By Carlos F. Alves; Cristina Barbot
  19. Nonparametric models of financial leverage decisions By Joao A. Bastos; Joaquim J. S. Ramalho
  20. Financial Innovation and Financial Fragility By Nicola Gennaioli; Andrei Shleifer; Robert Vishny
  21. Active labor market policy by a profit maximizing firm By Gerards Ruud; Muysken Joan; Welters Ricardo
  22. Worried about Adverse Product Effects? Information Disclosure and Consumer Awareness By Li, Sanxi; Peitz, Martin; Zhao, Xiaojian
  23. Entry Deterrence in the Presence of Learning-by-Doing By Ana Espinola-Arredondo; Felix Munoz-Garcia
  24. Commodities inventory effect By CARPANTIER, Jean - François

  1. By: Thomas Breda
    Abstract: In this paper, I study the wage premium associated with firm-level union recognition in France and show that this premium is due to a rent-extraction phenomenon. Using a large matched employer-employee dataset from a 2002 survey in France, I first estimate a series of wage determination models that control for individual and firm-level characteristics. I find that union recognition is associated with a 2-3% wage premium. To show that this premium results from a non-competitive phenomenon, I construct a bargaining model and estimate it empirically using a smaller but very detailed matched employer-employee dataset for 2004. The model predicts in particular that the wage premium obtained by unions should increase both with their bargaining power and with the amount of quasi-rents available in the firms they organize. These predictions are validated empirically when I use the firms market share as a proxy for their quasi-rents and the percentage of unionized as a proxy for the unions bargaining power. All the results remain valid when I control for the firm-level workers average productivity.
    Date: 2010
  2. By: Agostino Consolo (University of Basel)
    Abstract: This paper introduces staggered right-to-manage wage bargaining into a New <br />Keynesian business cycle model. Our key result is that the model is able to gener- <br />ate persistent responses in output, inflation, and total labor input to both neutral <br />technology and monetary policy shocks. Furthermore, we compare the model’s dy- <br />namic behavior when calibrated to the US and to an European economy. We find <br />that the degree of price rigidity explains most of the differences in response to a <br />monetary policy shock. When the economy is hit by a neutral technology shock, <br />both price and wage rigidities turn out to be important. <br /><br />
    Keywords: Business Cycles, Labor Market Search, Wage Bargaining, Inflation
    JEL: E24 E31 E32 J64
    Date: 2010
  3. By: J. David Brown; John S. Earle
    Abstract: What role does new firm entry play in economic growth? Are entrants and young firms more or less productive than incumbents, and how are their relative productivity dynamics affected by financial constraints and the business environment? This paper uses comprehensive manufacturing firm data from seven economies (United States, Georgia, Hungary, Lithuania, Romania, Russia, and Ukraine) to measure new firm entry and the productivity dynamics of entrants relative to incumbents in the same industries. We contrast hypotheses based on “leapfrogging,” in which entrants embody superior productivity, with an “experimentation” approach, in which entrants face uncertainty and incumbents can innovate. The results imply that leapfrogging is typical of early and incomplete transition, but experimentation better characterizes both the US and mature transition economies. Improvements in financial markets and the business environment tend to raise both the entry rate and productivity growth, but they are associated with negative relative productivity of entrants and smaller contributions of reallocation to growth among both entrants and incumbents.
    Date: 2010–09
  4. By: Annamaria Menichini (CSEF, Università di Salerno); Giovanni Immordino (Università di Salerno and CSEF); Maria Grazia Romano (University of Salerno and CSEF)
    Abstract: Managers with anticipatory emotions have higher current utility if they are optimistic about the future. We study an employment contract between an (endogenously) optimistic manager and realistic investors. The manager faces a trade-off between ensuring that the chosen levels of effort reflect accurate news and savoring emotionally beneficial good news. We show that optimism may exacerbate incentive problems. Specifically, investors and manager agree over the optimal news recall when the manager's weight on anticipatory utility is low. For intermediate values, there is a conflict of interest and investors bear an extra-cost to have the manager recalling bad news. For high weights on anticipatory utility, investors become indifferent between inducing signal recollection or not, and a pooling equilibrium obtains, reminiscent of adverse selection models. We then extend the analysis to the case in which the parameter capturing anticipatory utility is the manager's private information. Last, we derive interesting testable predictions on the relationship between personality traits, managerial compensation and hiring policies.
    Keywords: Over-optimism, managerial compensation, anticipatory utility
    JEL: D82
    Date: 2010–09–15
  5. By: Philippe Aghion (Harvard University and CEPR); John Van Reenen (London School of Economics (LSE), Centre for Economic Performance, NBER and CEPR); Luigi Zingales (University of Chicago, NBER and CEPR)
    Abstract: We find that institutional ownership in publicly traded companies is associated with more innovation (measured by cite-weighted patents). To explore the mechanism through which this link arises, we build a model that nests the lazy-manager hypothesis with career-concerns, where institutional owners increase managerial incentives to innovate by reducing the career risk of risky projects. The data supports the career concerns model. First, whereas the lazy manager hypothesis predicts a substitution effect between institutional ownership and product market competition (and managerial entrenchment generally), the career-concern model allows for complementarity. Empirically, we reject substitution effects. Second, CEOs are less likely to be fired in the face of profit downturns when institutional ownership is higher. Finally, using instrumental variables, policy changes and disaggregating by type of owner we find that the effect of institutions on innovation does not appear to be due to endogenous selection.
    Keywords: Career Concerns, Innovation, Institutional Ownership, Productivity and R&D
    JEL: G20 G32 O31 O32 O33
    Date: 2010–07
  6. By: Chun, Sun Eae; Nagano, Mamoru; Lee, Min Hwan
    Abstract: This study analyzes the effects of managerial ownership on the risk-taking behavior of Korean and Japanese banks during the relatively regulated period of the late 1990s to the early 2000s. It finds that managerial ownership alone does not affect either the risk or the profit levels of Korean banks. In contrast, an increase in managerial ownership adds to the total risk of Japanese banks. However, increased risk-taking behavior does not produce higher levels of profit for Japanese banks. The coefficients of the interaction term between franchise value and managerial ownership are negative and statistically significant for both the Korean and the Japanese banking industries. This means that an increase in managerial ownership at banks with high franchise values discourages risk-taking behavior. The result confirms the disciplinary role of franchise value on the risk-taking behavior of banks. It also falls in line with previous literature supporting the moral hazard hypothesis based on research into the economies of the U.S. and other countries.
    Keywords: Bank ownership structure; managerial ownership; moral hazard; franchise value; risk-taking behavior
    JEL: G32 G21 G20
    Date: 2010–09
  7. By: ONORI, Daria (Université catholique de Louvain, CORE, B-1348 Louvain-la-Neuve, Belgium; University of Rome "La Sapienza", Faculty of Economics, I-00161 Rome, Italy)
    Abstract: In this paper we modify a standard quality ladder model by assuming that R&D is driven by outsider firms and the winners of the race sell licenses over their patents, instead of entering directly the inter- mediate good sector. As a reward they get the aggregate profit of the industry. Moreover, in the intermediate good sector firms compete à la Cournot and it is assumed that there are spillovers represented by strategic complementarities on costs. Our goal is to prove that there exists an interval of values of the spillover parameter such that the relationship between competition and growth is an inverted-U-shape.
    Keywords: quality ladder, Cournot oligopoly, strategic complementarities, competition and growth
    JEL: L13 L16 O31 O52
    Date: 2010–07–01
  8. By: Stephen Redding
    Abstract: This paper reviews the recent theoretical literature on heterogeneous firms and trade, whichemphasizes firm selection into international markets and reallocations of resources acrossfirms. We discuss the empirical challenges that motivated this research and its relationship totraditional trade theories. We examine the implications of firm heterogeneity for comparativeadvantage, market size, aggregate trade, the welfare gains from trade, and the relationshipbetween trade and income distribution. While a number of studies examine the endogenousresponse of firm productivity to trade liberalization, modelling internal firm organization andthe origins of firm heterogeneity remain interesting areas of ongoing research.
    Keywords: Heterogeneous firms, international trade, within-industry reallocation, selectioninto exporting
    JEL: F12 F16 L22
    Date: 2010–08
  9. By: Giordano Mion (National Bank of Belgium, Research Department; London School of Economics, Department of Geography and Environment); Hylke Vandenbussche (Université Catholique de Louvain; LICOS); Linke Zhu (Catholic University of Leuven; LICOS)
    Abstract: We use Belgian firm-level data over the period 1996-2007 to analyze the impact of imports from China and other low-wage countries on firm growth, exit, and skill upgrading in manufacturing. For this purpose we use both industry-level and firm-level imports by country of origin and distinguish between firm-level outsourcing of final versus intermediate goods. Results indicate that, both industry-level import competition and firm-level outsourcing to China reduce firm employment growth and induce skill upgrading. In contrast, industry-level imports have no effect on Belgian firm survival, while firm-level outsourcing of finished goods to China even increased firm's probability of survival. In terms of skill upgrading, the effect of Chinese imports is large. Industry import competition from China accounts for 42% (20%) of the within firm increase in the share of skilled workers (non-production workers) in Belgian manufacturing over the period of our analysis, but these effects, as well as the employment reducing effect, remain mainly in low-tech industries. Firm-level outsourcing to China further accounts for a small but significant increase in the share of nonproduction workers. This change in employment structure is in line with predictions of offshoring models and Schott's (2008) 'moving up the quality ladder' story. All these results are robust to IV estimation
    Keywords: import competition, outsourcing, China, skill upgrading
    JEL: F11 F14 F16
    Date: 2010–09
  10. By: Jerome Adda (Institute for Fiscal Studies and European University Institute); Christian Dustmann (Institute for Fiscal Studies and University College London); Costas Meghir (Institute for Fiscal Studies and University College London); Jean-Marc Robin (Institute for Fiscal Studies and EUREQua, University of Paris 1)
    Abstract: <p><p>We evaluate the German apprenticeship system, which combines on-the-job training with classroom teaching, by modelling individual careers from the choice to join such a scheme and followed by their employment, job to job transitions and wages over the lifecycle. Our data is drawn from administrative records that report accurately job transitions and pay. We find that apprenticeships increase wages, and change wage profiles with more growth upfront, while wages in the non-apprenticeship sector grow at a lower rate but for longer. Non-apprentices face a much higher variance to the shocks of their match specific effects and a substantially larger variance in initial level of the offered wages. We find no evidence that qualified apprentices are harder to reallocate following job loss. The average life-cycle return to an apprenticeship career is about 14% and the return is mainly driven by the differences in the wage profile.</p></p>
    Keywords: Apprenticeship Training, Job Mobility, Labour Supply, Wages, Wage Determination, Matching, Wage Growth, Dynamic Discrete Choice, In-work Benefits, EITC, Education
    Date: 2010–09
  11. By: Boyer, Marcel (Université de Montréal); Lasserre, Pierre (Université du Québec à Montréal); Moreaux, Michel (Toulouse School of Economics (IDEI and LERNA))
    Abstract: We model investments in capacity in a homogeneous product duopoly facing uncertain demand growth. Capacity building is achieved through adding production units that are durable and lumpy and whose cost is irreversible. There is no exogenous order of moves, no first-mover or second-mover advantage, no commitment, and no finite horizon; while building their capacity over time, firms compete `a la Cournot in the product market. We investigate Markov Perfect Equilibrium (MPE) paths of the investment game, which may include preemption episodes and tacit collusion episodes. However, when firms have not yet invested in capacity, the sole pattern that is MPEcompatible is a preemption episode with firms investing at different times, but both have equal value. The first such investment may occur earlier, and therefore be riskier, than socially optimal. When both firms hold capacity, tacit collusion episodes may be MPE-compatible with firms investing simultaneously at a postponed time (generating an investment wave in the industry). We show that the emergence of such episodes is favored by higher demand volatility, faster market growth, and lower discount rate (cost of capital).
    JEL: C73 D43 D92 L13
    Date: 2010–07–06
  12. By: Leshui He (University of Connecticut)
    Abstract: The boundaries of the firm and the ownership of the firm have been two of the main themes of the economics of organization over the past several decades. In this paper, I develop a general multi-party framework that integrates the ownership of the firm into the property-rights approach to the firm. I consider the ownership of the firm as the ownership of the rights to terminate cooperation with any party while maintaining a contractual or employment relation with all the other related parties of the firm. The model in this paper allows for the separation of the ownership of the firm from the ownership of the alienable assets that partly constitute it. Such a general multi-party setup may provide new tools for the study of the problem of the firm’s boundaries as well as inspiration for further applications of the theory of property rights.
    Keywords: Owner of the Firm; Boundary of the Firm; Property Rights Theory; Theory of the Firm.
    JEL: D2 L2 Y4
    Date: 2010–09
  13. By: Britton Lombardi; Yukako Ono
    Abstract: More and more U.S. workers are counted as employees of firms that they do not actually work for. Among such workers are those who staffed by temporary help service (THS) agencies and leased employees who are on the payroll of professional employment organizations (PEOs) but work for PEOs’ client firms. While several papers study firms’ use of THS services, few examine firms’ use of PEO services. In this article, we summarize PEOs’ business practices and examine how the intensity of their use varies across industries, geographic areas, and establishment characteristics using both public and confidential data.
    Date: 2010–09
  14. By: Ruble, Richard (EMLYON & CNRS, GATE); Versaevel, Bruno (EMLYON & CNRS, GATE); de Villemeur, Étienne (Toulouse School of Economics (IDEI & GREMAQ))
    Abstract: We show that the standard analysis of vertical relationships transposes directly to investment timing. Thus, when a firm undertaking a project requires an outside supplier (e.g. an equipment manufacturer) to provide it with a discrete input, and if the supplier has market power, investment occurs too late from an industry standpoint. The distortion in firm decisions is characterized by a Lerner index, which is related to the parameters of a stochastic downstream demand. When feasible, vertical restraints restore efficiency. For instance, the upstream firm can induce entry at the correct investment threshold by selling a call option on the input. Otherwise, competition may substitute for vertical restraints. In particular, if two firms are engaged in a preemption race downstream, the upstream firm sells the input to the first investor at a discount that is chosen in such a way that the race to preempt exactly osets the vertical externality, and this leader invests at the optimal market threshold.
    JEL: C73 D43 D92 L13
    Date: 2010–06–23
  15. By: Kohei Daido (School of Economics, Kwansei Gakuin University); Ken Tabata (School of Economics, Kwansei Gakuin University)
    Abstract: This paper develops a simple growth model with moral hazard contracting to examine the interactions between the organizational mode of firms and economic productivity growth. The organizational mode of firms differs in terms of the degree to which decisions of R&D investment are delegated to a manager. We show that the market size restricts the extent of delegation with respect to R&D, which in turn determines the productivity growth rate of the economy. We then show that there exist multiple equilibria: gpartial decentralization equilibriumh with a low growth rate and gfull decentralization equilibriumh with a high growth rate. Finally, we study the effects of social capital and competition on equilibrium organizational modes and show that, under some parametric conditions, these factors induce more decentralized organization and higher productivity growth while lowering the risk of the economy converging to a poverty trap.
    Keywords: Centralization and Decentralization, Moral Hazard, Social Capital, Multiple Equilibria, Economic Growth, Competitive Policy
    JEL: D86 L16 L22 O32 O40
    Date: 2010–09
  16. By: Ron Jarmin; C.J. Krizan
    Abstract: Because the ability of entrepreneurs to start their own businesses is key to the success of the U.S. economy and to the economic mobility of many disadvantaged demographic groups, understanding why entrepreneurship activity varies across groups and geography is an increasingly important issue. As a step in this direction we employ a novel set of metrics of business success to the growing literature and find great variation across groups and metrics. For example, we find that black-owned firms grow slower than white or Asian-owned firms. However, once we condition on firm survival, the differences disappear. Interestingly, we also find differences across groups in their start-up histories. For example, Asian-owned firms are less likely than white-owned firms to have started-out as nonemployers but firms owned by all other minority groups, as well as women-owned firms, are more likely to start-out without employees.
    Date: 2010–09
  17. By: Bonomo, Marco; Garcia, René; Meddahi, Nour; Tédongap, Roméo
    Abstract: We propose an asset pricing model where preferences display generalized disappointment aversion (Routledge and Zin, 2009) and the endowment process involves long-run volatility risk. These preferences, which are embedded in the Epstein and Zin (1989) recursive utility framework, overweight disappointing results as compared to expected utility, and display relatively larger risk aversion for small gambles. With a Markov switching model for the endowment process, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of price-dividend ratios and asset returns and return predictability patterns in line with the data. Compared to Bansal and Yaron (2004), we generate: i) more predictability of excess returns by price-dividend ratios; ii) less predictability of consumption growth rates by price-dividend ratios. Differently from the Bansal and Yaron model, our results do not depend on a value of the elasticity of intertemporal substitution greater than one.
    JEL: G1 G12 G11 C1 C5
    Date: 2010–06
  18. By: Carlos F. Alves (CEF.UP, Faculdade de Economia, Universidade do Porto); Cristina Barbot (CEF.UP, Faculdade de Economia, Universidade do Porto)
    Abstract: Using a theoretical model, we examine both the relationship between a downstream dominant firm’s market share and an upstream monopoly’s Lerner index and the relationship between upstream and downstream price elasticities of demand, in a regulated industry context. We undertake an empirical study that confirms our theoretical predictions, namely that the market share of a leader downstream firm is significant in explaining the upstream producers’ Lerner indexes. Also in accordance with the results of the theoretical model, the Lerner index is negatively influenced by the competition that suppliers face and by the level of economies of density, amongst other variables.
    Keywords: vertical relations, buyers’ market power
    Date: 2010–09
  19. By: Joao A. Bastos (CEMAPRE, School of Economics and Management (ISEG), Technical University of Lisbon); Joaquim J. S. Ramalho (Department of Economics and CEFAGE, University of Evora)
    Abstract: This paper investigates the properties of nonparametric decision trees in the analysis of financial leverage decisions. In this approach, the relationship between leverage ratios and covariates is not predetermined but is derived according to information provided by the data. Furthermore, the bounded and fractional nature of leverage ratios is respected. The results show that parametric and decision tree models are usually in agreement on which variables are important to explain both the decision to issue debt and the decision on the relative amount of debt to be issued. Moreover, decision trees have predictive accuracies comparable to those of parametric models.
    Keywords: Capital structure, Financial leverage, Fractional regression, Decision trees, Two-part models
    JEL: C14 C35 G32
    Date: 2010–09
  20. By: Nicola Gennaioli (UPF and CREI); Andrei Shleifer (Harvard University); Robert Vishny (University of Chicago)
    Abstract: We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash flows. Financial intermediaries cater to these preferences and beliefs by engineering securities perceived to be safe but exposed to neglected risks. Because the risks are neglected, security issuance is excessive. As investors eventually recognize these risks, they fly back to safety of traditional securities and markets become fragile, even without leverage, precisely because the volume of new claims is excessive. Financial innovation can make both investors and intermediaries worse off. The model mimics several facts from recent historical experiences, and points to new avenues for financial reform.
    Keywords: Financial Innovation, Financial Fragility, Securities, Risks
    JEL: G G11 G15 G2
    Date: 2010–09
  21. By: Gerards Ruud; Muysken Joan; Welters Ricardo (METEOR)
    Abstract: This paper investigates the effectiveness of an employment program exclusively run by and in a private sector firm, in order to find out whether a private program without cream-skimming can be beneficial to (a) the individual private firm and (b) society at large by outperforming public employment programs. To answer these questions, we use a unique dataset on a private employment program covering 27 years of operations and a thousand participating unemployed. Using conservative estimates, we show that a private employment program is more effective at re-integrating the unemployed than public efforts, whilst providing tangible benefits to the involved firm.
    Keywords: labour economics ;
    Date: 2010
  22. By: Li, Sanxi; Peitz, Martin; Zhao, Xiaojian
    Abstract: Whether consumers are aware of potentially adverse product effects, is key for private and social incentives to disclose information. To obtain a better understanding of this issue we propose a simple monopoly model that highlights the conceptual difference between consumer unawareness and consumer uncertainty. We show that total surplus may be larger in an environment in which consumers are unaware of the potentially adverse effect. We also show that disclosing information whether a particular ingredient is harmful or not increases consumer surplus, but mandatory disclosure of the level of this ingredient may make consumers worse off.
    Keywords: Information disclosure, informative advertising, consumer awareness
    JEL: D8 L5 M3
    Date: 2010–05–12
  23. By: Ana Espinola-Arredondo; Felix Munoz-Garcia (School of Economic Sciences, Washington State University)
    Abstract: TThis paper investigates a signaling entry deterrence model under learning-by-doing. We show that a monopolist’s practice of entry deterrence imposes smaller welfare losses (or larger welfare gains) when learning effects are present than when they are absent, making the intervention of antitrust authorities less urgent. If, however, the welfare loss associated to entry deterrence is still significant, and thus intervention is needed, our paper demonstrates that the incumbent’s practice of entry deterrence is easier to detect by a regulator who does not have access to accurate information about the incumbent’s profit function. Learning-by-doing hence facilitates the regulator’s ability to detect entry deterrence, thus suggesting its role as an “ally” of antitrust authorities.
    Keywords: Learning-by-doing, Entry deterrence, Incomplete information, Spillovers
    JEL: L12 D82 D83
    Date: 2010–06
  24. By: CARPANTIER, Jean - François (Université catholique de Louvain, CORE, B-1348 Louvain-la-Neuve, Belgium)
    Abstract: Asymmetric GARCH models were developped for equity stocks to take into account the larger response of the conditional variance to negative price shocks. We show that these asymmetric GARCH models are also relevant for modelling commodity prices. Contrary to the equity case, positive shocks are the main contributors to the conditional variance of commodity prices. The theory of storage, by relating the state of the inventories of a commodity to its conditional variance, is a serious candidate to explain the phenomenon, as positive price shocks for commodities usually serve as proxies for the deterioration of the inventories. We find that this inverse leverage effect, or “inventory effect”, is relatively robust, for different subsamples, for diverse types of commodities and for different ways of specifying the asymmetry, though weaker than the leverage effect for equity stocks. Appropriately specifying the asymmetric conditional variance of commodities could improve risk management, hedging strategies or Value-at-Risk estimates. Incidentally, the inventory effect sheds some new light on the debate about the origin of the leverage effect.
    Keywords: GARCH, asymmetries, leverage effect, inventory, commodities, Value-at-Risk
    JEL: C22 G13 Q14
    Date: 2010–07–01

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