Suchergebnisse

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To date, the most distinguished regression-based backtest, proposed by Engle and Manganelli (2004), relies on a linear model. However, in view of the di- chotomic character of the series of violations, a non-linear model seems more appropriate. In this paper we thus propose a new tool for backtesting (denoted DB) based on a dy- namic binary regression model. Our discrete-choice model, e.g. Probit, Logit, links the sequence of violations to a set of explanatory variables including the lagged VaR and the lagged violations in particular. It allows us to separately test the unconditional coverage, the independence and the conditional coverage hypotheses and it is easy to implement. Monte-Carlo experiments show that the DB test exhibits good small sample properties in realistic sample settings (5% coverage rate with estimation risk). An application on a portfolio composed of three assets included in the CAC40 market index is nally proposed.

This paper examines the link between health indicators, environmental variables and economic development, and the consequences of this relationship on economic convergence for a large sample of rich and poor countries. While in economic literature income and environment are seen to have an inverted-U shaped relationship (Environment Kuznets Curve hypothesis), it is also well established that an improvement in environmental quality is positively related to health. Our study focuses on the implications of this relationship for economic convergence. In the early stage of economic development, the gain from income growth could be cancelled or mitigated by environmental degradation through populations' health (and other channels) and create a vicious circle in economic activity unlike in developed countries. This in turn could slow down economic convergence. To empirically assess these issues, we proceeded to an econometric analysis through three equations: a growth equation, a health equation and an environment equation. We found that environmental degradation affects negatively economic activity and reduces the ability of poor countries to reach developed ones economically. We also found that health is a channel through which environment impacts economic growth. This shows that environmental quality could be considered as a constraint for economic convergence.

International audience The paper investigates if the most popular alternative to the purchasing parity power approach (PPP) to estimate equilibrium exchange rates, the fundamental equilibrium exchange rate (FEER) influences exchange rate dynamics in the long run. For a large panel of industrialized and emerging countries and on the period 1982-2007, we detect the presence of unit roots in the series of real effective exchange rates and in the series of FEERs. We find and estimate a cointegration relationship between real effective exchange rates and FEERs. The results show that the FEER has a positive and significant influence on exchange rate dynamics in the long run.

This paper examines the link between health indicators, environmental variables and economic development, and the consequences of this relationship on economic convergence for a large sample of rich and poor countries. While in economic literature income and environment are seen to have an inverted-U shaped relationship (Environment Kuznets Curve hypothesis), it is also well established that an improvement in environmental quality is positively related to health. Our study focuses on the implications of this relationship for economic convergence. In the early stage of economic development, the gain from income growth could be cancelled or mitigated by environmental degradation through populations' health (and other channels) and create a vicious circle in economic activity unlike in developed countries. This in turn could slow down economic convergence. To empirically assess these issues, we proceeded to an econometric analysis through three equations: a growth equation, a health equation and an environment equation. We found that environmental degradation affects negatively economic activity and reduces the ability of poor countries to reach developed ones economically. We also found that health is a channel through which environment impacts economic growth. This shows that environmental quality could be considered as a constraint for economic convergence.

Im ersten Teil der Studie über das Bildungswesen der Russischen Föderation geht die Autorin auf die historischen und gesellschaftlichen Hintergründe, die Reform- und Innovationsbewegungen seit dem Umbruch und auf soziopolitische, sozioökonomische und soziokulturelle Rahmenbedingungen ein. Anschließend werden aktuelle Leitvorstellungen, gesetzlichen Grundlagen, Aspekte der Bildungsverwaltung, Steuerung und Bildungsfinanzierung sowie die Bereiche Privatisierung und Qualitätssicherung thematisiert. Im dritten Teil werden nach einem strukturellen Überblick die verschiedenen Ebenen des Bildungswesens (Elementarbereich, Primar- und Sekundarbereich der allgemein bildenden Schule, Sonder- und Förderschulen, Berufliche Bildung, Hochschulbildung) analysiert. Aktuelle Entwicklungen (u.a. in den Bereichen Steuerung und Finanzierung, Systemstruktur und Übergänge, Bildungsinhalte und -standards, Leistungsbewertung und Abschlüsse) werden im letzten Abschnitt aufgegriffen; der abschließende Ausblick zeigt Entwicklungsperspektiven auf. (DIPF/Kie.)

A wave of leftist governments has swept Latin America in recent years, attracting a great deal of scholarly attention. Yet a number of new conservative parties have attained considerable electoral success, as well. This paper argues that a conservative party can succeed electorally and consolidate organizationally when it is supported by two strong groups in society: the business community and the neoliberal technocrats. To assess the argument, I explore the successful trajectory of the rightist Alianza Republicana Nacionalista (ARENA) in El Salvador. I then evaluate the generalizability of the argument by comparing ARENA's trajectory with another conservative party in the region, Unión Demócrata Independiente (UDI) in Chile. In addition to proposing a new theory for conservative party success in Latin America, the paper calls for the revival of socioeconomic explanations in political science. (GIGA)