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Differentiated determinants of risk in portfolio at risk of
Determinantes diferenciados de riesgo en la cartera en riesgo
*,
Abstract
Available online at www.sciencedirect.com
www.cya.unam.mx/index.php/cya
Accounting & Management
www.contaduriayadministracionunam.mx/
*
176 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
Keywords Panel data Credit risk
Resumen
Palabras clave Datos en panel Ries
Introduction
that it
177S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
oss and fss
178 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
179S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
4
A panel data approach
ted as
glp
ife
, the change on
rc
wor
ygpn and ygpr
md
4
180 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
of par
Descriptive analysis and unit roots panel data test
portfolio, ygpn and ygpr
181S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
it
tion of the lagged changes on the variables,
The second set of panel errors,
variables
i, and, L=i. This
and the trend,
The standardized errors
and
as and
the errors it ,
i e
gonalization:
182 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
, and the trend , are optional, that is:
H t
glp rc
Statistic
Prob
ife
H
panel
idea of a t
183S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
the standardized lagged changes in panel errors
Statistic *
Prob
Statistic **
Prob
Statistic ***
Prob* ** *** intercept and trend
184 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
the common intercept
and the slope vector
, and its vector of
, and
is important to remember that and are diagonal matrices of order and ,
and
is independent of and
is a
m
185S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
correlated terms, and this means that
Pooled Prob FE Prob RE Prob
glp
ife
rc
md
Cons
that the md
186 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
Test Statistic
Quantile regression in panel data
187S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
ob Y and parameters
Prob Prob prob Pooled Prob
rc
cons
md
glp wor, are
glp, the change on risk covera
rc
188 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
wor ygpn, and
ygpr
ygpn, is
ment in taking instead of
189S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
Prob Prob Prob Pooled Prob
glp
2007
2008
2009
2010
2011
2012
Prob Prob Prob Pooled Prob
2007
2008
2009
2010
2011
2012
Prob Prob Prob Pooled Prob
2007
2008
2009
2010
2011
2012
190 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
Conclusions
ygpn ygpr
ife
ife ygpr
191S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
glp rc wor
Appendix
Appendix A
Variable Description
md
Appendix B
S x, y
192 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
Appendix C
emiSol
4 COCDEP
Appendix D
References
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World Economic Review,
Review of Economics and Statistics, 94
bargaining levels cointegrated? Applied Economics,
variation. Econometrica,
Econometrics
Journal
193S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
rates
nomics
Contemporary
Econometrica,
World
Development, 39
World Development, 39
Analysis of panel data
Journal of Development Studies, 48
.
International Statistical Review/Revue Internationale de Statistique, 55
,
. Econometrica,
Journal of Econometrics,
Journal of
Development Effectiveness, 5
World Development,
39
World Development, 38
Journal of Economic Literature,
/,
194 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194
Inter
national Business Review,
Journal of Banking and Finance,
World Development
, 33