Dissertations / Theses on the topic 'Small Econometric models'
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Eadie, Edward Norman. "Small resource stock share price behaviour and prediction." Title page, contents and abstract only, 2002. http://web4.library.adelaide.edu.au/theses/09CM/09cme11.pdf.
Full textBose, Gopal Krishna 1955. "Model selection : an optimal approach to constructing a penalty function in small samples." Monash University, Dept. of Econometrics and Business Statistics, 2002. http://arrow.monash.edu.au/hdl/1959.1/8728.
Full textPower, Bernadette. "Factors which foster the survival of long-lived small firms." Thesis, University of St Andrews, 2004. http://hdl.handle.net/10023/14113.
Full textJi, Inyeob Economics Australian School of Business UNSW. "Essays on testing some predictions of RBC models and the stationarity of real interest rates." Publisher:University of New South Wales. Economics, 2008. http://handle.unsw.edu.au/1959.4/41441.
Full textCelanzi, Carla. "The perception of corruption of small and medium size enterprises in China and Italy." Thesis, View the Table of Contents & Abstract, 2007. http://sunzi.lib.hku.hk/hkuto/record/B36996506.
Full textKomicha, Hussien Hamda. "Farm household economic behaviour in imperfect financial markets : empirical evidence and policy implications on saving, credit and production efficiency in Southeastern Ethiopia /." Uppsala : Dept. of Economics, Swedish University of Agricultural Sciences, 2007. http://epsilon.slu.se/200778.pdf.
Full textMcLaughlin, Daniel Patrick. "A small econometric model of the Irish economy." Thesis, Queen Mary, University of London, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.390284.
Full textRomain, Astrid. "Essays in the empirical analysis of venture capital and entrepreneurship." Doctoral thesis, Universite Libre de Bruxelles, 2007. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210729.
Full textThis thesis aims at analysing some aspects of Venture Capital (VC) and high-tech entrepreneurship. The focus is both at the macroeconomic level, comparing venture capital from an international point of view and Technology-Based Small Firms (TBSF) at company and founder’s level in Belgium. The approach is mainly empirical.
This work is divided into two parts. The first part focuses on venture capital. First of all, we test the impact of VC on productivity. We then identify the determinants of VC and we test their impact on the relative level of VC for a panel of countries.
The second part concerns the technology-based small firms in Belgium. The objective is twofold. It first aims at creating a database on Belgian TBSF to better understand the importance of entrepreneurship. In order to do this, a national survey was developed and the statistical results were analysed. Secondly, it provides an analysis of the role of universities in the employment performance of TBSF.
A broad summary of each chapter is presented below.
PART 1: VENTURE CAPITAL
The Economic Impact of Venture Capital
The objective of this chapter is to perform an evaluation of the macroeconomic impact of venture capital. The main assumption is that VC can be considered as being similar in several respects to business R&D performed by large firms. We test whether VC contributes to economic growth through two main channels. The first one is innovation, characterized by the introduction of new products, processes or services on the market. The second one is the development of an absorptive capacity. These hypotheses are tested quantitatively with a production function model for a panel data set of 16 OECD countries from 1990 to 2001. The results show that the accumulation of VC is a significant factor contributing directly to Multi-Factor Productivity (MFP) growth. The social rate of return to VC is significantly higher than the social rate of return to business or public R&D. VC has also an indirect impact on MFP in the sense that it improves the output elasticity of R&D. An increased VC intensity makes it easier to absorb the knowledge generated by universities and firms, and therefore improves aggregate economic performance.
Technological Opportunity, Entrepreneurial Environment and Venture Capital Development
The objective of this chapter is to identify the main determinants of venture capital. We develop a theoretical model where three main types of factors affect the demand and supply of VC: macroeconomic conditions, technological opportunity, and the entrepreneurial environment. The model is evaluated with a panel dataset of 16 OECD countries over the period 1990-2000. The estimates show that VC intensity is pro-cyclical - it reacts positively and significantly to GDP growth. Interest rates affect the VC intensity mainly because the entrepreneurs create a demand for this type of funding. Indicators of technological opportunity such as the stock of knowledge and the number of triadic patents affect positively and significantly the relative level of VC. Labour market rigidities reduce the impact of the GDP growth rate and of the stock of knowledge, whereas a minimum level of entrepreneurship is required in order to have a positive effect of the available stock of knowledge on VC intensity.
PART 2: TECHNOLOGY-BASED SMALL FIRMS
Survey in Belgium
The first purpose of this chapter is to present the existing literature on the performance of companies. In order to get a quantitative insight into the entrepreneurial growth process, an original survey of TBSF in Belgium was launched in 2002. The second purpose is to describe the methodology of our national TBSF survey. This survey has two main merits. The first one lies in the quality of the information. Indeed, most of national and international surveys have been developed at firm-level. There exist only a few surveys at founder-level. In the TBSF database, information both at firm and at entrepreneur-level will be found.
The second merit is about the subject covered. TBSF survey tackles the financing of firms (availability of public funds, role of venture capitalists, availability of business angels,…), the framework conditions (e.g. the quality and availability of infrastructures and communication channels, the level of academic and public research, the patenting process,…) and, finally, the socio-cultural factors associated with the entrepreneurs and their environment (e.g. level of education, their parents’education, gender,…).
Statistical Evidence
The main characteristics of companies in our sample are that employment and profits net of taxation do not follow the same trend. Indeed, employment may decrease while results after taxes may stay constant. Only a few companies enjoy a growth in both employment and results after taxes between 1998 and 2003.
On the financing front, our findings suggest that internal finance in the form of personal funds, as well as the funds of family and friends are the primary source of capital to start-up a high-tech company in Belgium. Entrepreneurs rely on their own personal savings in 84 percent of the cases. Commercial bank loans are the secondary source of finance. This part of external financing (debt-finance) exceeds the combined angel funds and venture capital funds (equity-finance).
On the entrepreneur front, the preliminary results show that 80 percent of entrepreneurs in this study have a university degree while 42 percent hold postgraduate degrees (i.e. master’s, and doctorate). In term of research activities, 88 percent of the entrepreneurs holding a Ph.D. or a post-doctorate collaborate with Belgian higher education institutes. Moreover, more than 90 percent of these entrepreneurs are working in a university spin-off.
The Contribution of Universities to Employment Growth
The objective of this chapter is to test whether universities play a role amongst the determinants of employment growth in Belgian TBSF. The empirical model is based on our original survey of 87 Belgian TBSF. The results suggest that both academic spin-offs and TBSF created on the basis of an idea originating from business R&D activities are associated with an above than average growth in employees. As most ‘high-tech’ entrepreneurs are at least graduated from universities, there is no significant impact of the level of education. Nevertheless, these results must be taken with caution, as they are highly sensitive to the presence of outliers. Young high-tech firms are by definition highly volatile, and might be therefore difficult to understand.
CONCLUSION
In this last chapter, recommendations for policy-makers are drawn from the results of the thesis. The possible interventions of governments are classified according to whether they influence the demand or the supply of entrepreneurship and/or VC. We present some possible actions such as direct intervention in the VC funds, interventions of public sector through labour market rigidities, pension system, patent and research policy, level of entrepreneurial activities, bankruptcy legislation, entrepreneurial education, development of university spin-offs, and creation of a national database of TBSF.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
He, Wei. "Model selection for cointegrated relationships in small samples." Thesis, Nelson Mandela Metropolitan University, 2008. http://hdl.handle.net/10948/971.
Full textChiarini, Bruno. "Analysis, simulation and control of a small econometric model of the Italian economy." Thesis, University of Southampton, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.261416.
Full textAlmeida, Vanda Regina Guimarães de. "Bayesian estimation of a DSGE model for the Portuguese economy." Master's thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/2775.
Full textIn this paper, a New-Keynesian DSGE model for a small open economy integrated in a monetary union is developed and estimated for the Portuguese economy, using a Bayesian approach. Estimates for some key structural parameters are obtained and a set of exercises exploring the model's statistical and economic properties are performed. A survey on the main events and literature associated with DSGE models that motivated this study is also provided, as well as a comprehensive discussion of the Bayesian estimation and model vali¬dation techniques applied. The model features five types of agents namely households, firms, aggregators, the rest of the world and the government, and includes a number of shocks and frictions, which enable a closer matching of the short-run properties of the data and a more realistic short-term adjustment to shocks. It is assumed from the outset that mone¬tary policy is defined by the union's central bank and that the domestic economy's size is negligible, relative to the union's one, and therefore its specific economic fluctuations have no influence on the union's macroeconomic aggregates and monetary policy. An endogenous risk-premium is considered, allowing for deviations of the domestic economy's interest rate from the union's one. Furthermore it is assumed that all trade and financial flows are per¬formed with countries belonging to the union, which implies that the nominal exchange rate is irrevocably set to unity.
Jarocinski, Marek. "Essays on bayesian and classical econometrics with small samples." Doctoral thesis, Universitat Pompeu Fabra, 2006. http://hdl.handle.net/10803/7339.
Full textThis thesis deals with the problems of econometric estimation with small samples, in the contexts of monetary VARs and growth empirics. First, it shows how to improve structural VAR analysis on short datasets. The first chapter adapts the exchangeable prior specification to the VAR context, and obtains new findings about monetary transmission in New Member States. The second chapter proposes a prior on initial growth rates of modeled variables, which tackles the Classical small-sample bias in time series, and reconciles Bayesian and Classical points of view on time series estimation. The third chapter studies the effect of measurement error in income data on growth empirics, and shows that econometric procedures which are robust to model uncertainty are very sensitive to measurement error of the plausible size and properties.
Silva, Fernando Augusto Boeira Sabino da. "Additive nonparametric regression estimation via back tting and marginal integration under common bandwidth selection criterion : small sample performance." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2006. http://hdl.handle.net/10183/109669.
Full textGrahl, Paulo Gustavo de Sampaio. "Essays on Spatial Econometrics." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/11268.
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Esta dissertação concentra-se nos processos estocásticos espaciais definidos em um reticulado, os chamados modelos do tipo Cliff & Ord. Minha contribuição nesta tese consiste em utilizar aproximações de Edgeworth e saddlepoint para investigar as propriedades em amostras finitas do teste para detectar a presença de dependência espacial em modelos SAR (autoregressivo espacial), e propor uma nova classe de modelos econométricos espaciais na qual os parâmetros que afetam a estrutura da média são distintos dos parâmetros presentes na estrutura da variância do processo. Isto permite uma interpretação mais clara dos parâmetros do modelo, além de generalizar uma proposta de taxonomia feita por Anselin (2003). Eu proponho um estimador para os parâmetros do modelo e derivo a distribuição assintótica do estimador. O modelo sugerido na dissertação fornece uma interpretação interessante ao modelo SARAR, bastante comum na literatura. A investigação das propriedades em amostras finitas dos testes expande com relação a literatura permitindo que a matriz de vizinhança do processo espacial seja uma função não-linear do parâmetro de dependência espacial. A utilização de aproximações ao invés de simulações (mais comum na literatura), permite uma maneira fácil de comparar as propriedades dos testes com diferentes matrizes de vizinhança e corrigir o tamanho ao comparar a potência dos testes. Eu obtenho teste invariante ótimo que é também localmente uniformemente mais potente (LUMPI). Construo o envelope de potência para o teste LUMPI e mostro que ele é virtualmente UMP, pois a potência do teste está muito próxima ao envelope (considerando as estruturas espaciais definidas na dissertação). Eu sugiro um procedimento prático para construir um teste que tem boa potência em uma gama de situações onde talvez o teste LUMPI não tenha boas propriedades. Eu concluo que a potência do teste aumenta com o tamanho da amostra e com o parâmetro de dependência espacial (o que está de acordo com a literatura). Entretanto, disputo a visão consensual que a potência do teste diminui a medida que a matriz de vizinhança fica mais densa. Isto reflete um erro de medida comum na literatura, pois a distância estatística entre a hipótese nula e a alternativa varia muito com a estrutura da matriz. Fazendo a correção, concluo que a potência do teste aumenta com a distância da alternativa à nula, como esperado.
This dissertation focus on spatial stochastic process on a lattice (Cliff & Ord--type of models). My contribution consists of using Edgeworth and saddlepoint series to investigate small sample size and power properties of tests for detecting spatial dependence in spatial autoregressive (SAR) stochastic processes, and proposing a new class of spatial econometric models where the spatial dependence parameters that enter the mean structure are different from the ones in the covariance structure. This allows a clearer interpretation of models' parameters and generalizes the set of local and global models suggested by Anselin (2003) as an alternative to the traditional Cliff & Ord models. I propose an estimation procedure for the model's parameters and derive the asymptotic distribution of the parameters' estimators. The suggested model provides some insights on the structure of the commonly used mixed regressive, spatial autoregressive model with spatial autoregressive disturbances (SARAR). The study of the small sample properties of tests to detect spatial dependence expands on the existing literature by allowing the neighborhood structure to be a nonlinear function of the spatial dependence parameter. The use of series approximations instead of the often used Monte Carlo simulation allows a simple way to compare test properties across different neighborhood structures and to correct for size when comparing power. I obtain the power envelope for testing the presence of spatial dependence in the SAR process using the optimal invariant test statistic, which is also locally uniformly most powerful invariant (LUMPI). I have found that the LUMPI test is virtually UMP since its power is very close to the power envelope. I suggest a practical procedure to build a test that, while not UMP, retain good power properties in a wider range for the spatial parameter when compared to the LUMPI test. I find that power increases with sample size and with the spatial dependence parameter -- which agrees with the literature. However, I call into question the consensus view that power decreases as the spatial weight matrix becomes more densely connected. This finding in the literature reflects an error of measure because the hypothesis being compared are at very different statistical distance from the null. After adjusting for this, the power is larger for alternative hypothesis further away from the null -- as one would expect.
Ogunleye, Lawrence Olawale. "A techno-economic appraisal of renewable energy in remote, off grid locations in Nigeria : Obudu ranch as a case study / L. Olawalemi Ogunleye." Thesis, North-West University, 2008. http://hdl.handle.net/10394/2559.
Full textThesis (M.Ing. (Development and Management Engineering))--North-West University, Potchefstroom Campus, 2009.
"The gain from trade of a small open monetary economy with endogenous labor supply." 2003. http://library.cuhk.edu.hk/record=b5891583.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 2003.
Includes bibliographical references (leaves 56-57).
Abstracts in English and Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 2 --- "Literature reviews, contributions of this thesis and the comparison"
Chapter 2.1 --- Literature reviews
Chapter 2.11 --- Endogenous labor supply models --- p.3
Chapter 2.12 --- The CIA models --- p.12
Chapter 2.2 --- Contributions of this thesis and the comparison --- p.17
Chapter 3 --- The Model --- p.20
Chapter 4 --- "Trade restrictions, welfare and employment"
Chapter 4.1 --- Tariff and welfare --- p.26
Chapter 4.2 --- Tariff and employment --- p.30
Chapter 4.3 --- Comparing welfare and employment effects --- p.31
Chapter 4.4 --- "Quotas, welfare, employment and price level" --- p.32
Chapter 5 --- Optimal tariffs --- p.33
Chapter 6 --- Indirect taxation and welfare --- p.40
Chapter 7 --- Conclusion --- p.43
Appendix
Appendix A: Determine the sign of Δ --- p.45
Appendix B: Derivation of equation (4.2) --- p.45
Appendix C: Derivation of equation (4.3) --- p.47
"Appendix D: Quotas, welfare,employment and price level" --- p.48
Appendix E: The derivation of optimal tariff --- p.50
Appendix F: Optimal consumption tax and wage subsidy --- p.53
Chucherd, Thitima. "Essays on monetary and fiscal policy interactions in small open economies." Phd thesis, 2013. http://hdl.handle.net/1885/155957.
Full text"Endogenous time preference in small open economy models." 2004. http://library.cuhk.edu.hk/record=b5891992.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 57-59).
Abstracts in English and Chinese.
Abstract --- p.i
Acknowledgement --- p.iv
Table of Contents --- p.v
List of Figures --- p.vi
Chapter 1. --- Introduction --- p.1
Chapter 2. --- An Illustration with a Small Open Economy Model
Chapter 2.1 --- Review of Obstfeld (1990) --- p.4
Chapter 2.2 --- A Model with Socially-Determined Time Preference --- p.6
Chapter 3. --- Small Open Economy Models with Socially-Determined Time Preference --- p.15
Chapter 3.1 --- The Laursen-Metzler Effect --- p.16
Chapter 3.2 --- Exchange-Rate Dynamics --- p.21
Chapter 3.3 --- Capital Mobility and Devaluation --- p.28
Chapter 4. --- Dynamics of a Small Open Economy Model with Non-Flat Bond Curves --- p.35
Chapter 4.1 --- Downward-Sloping Bond Curve --- p.38
Chapter 4.2 --- Upward-Sloping Bond Curve --- p.38
Chapter 5. --- Investment and Saving in a Small Open Economy Model with Capital Accumulation
Chapter 5.1 --- The Model --- p.41
Chapter 5.2 --- Productivity Shocks --- p.46
Chapter 6. --- Saddle-Path Stability of a Closed Economy Growth Model --- p.49
Chapter 7. --- Conclusion --- p.54
References --- p.57
Appendix --- p.60
"Indeterminacy in small open economy models with endogenous time preference." 2003. http://library.cuhk.edu.hk/record=b5891604.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 2003.
Includes bibliographical references (leaves 34-37).
Abstracts in English and Chinese.
Chapter I. --- Introduction --- p.1
Chapter II. --- Indeterminacy in a Small Open Economy Model with Endogenous Time Preference --- p.4
Chapter 2.1 --- Economic Environment --- p.5
Chapter 2.1.1 --- Technology --- p.5
Chapter 2. 1. 2 --- Dynamic Model --- p.8
Chapter 2.2 --- The indeterminacy result --- p.12
Chapter 2.3 --- Conclusion --- p.12
Chapter III. --- Indeterminacy in a Small Open Economy Model with Endogenous Labor Supply --- p.14
Chapter 3. 1 --- Economic Environment --- p.17
Chapter 3.2 --- Preference --- p.21
Chapter 3.3 --- Dynamics of Equilibrium --- p.24
Chapter 3.4 --- Indeterminacy and Scale Economies --- p.28
Chapter 3. 4. 1 --- Case1 --- p.30
Chapter 3.4.2 --- Case2 --- p.31
Chapter 3.5 --- Conclusion --- p.32
Chapter IV. --- References --- p.34
Chapter V. --- Appendix --- p.38
Chapter 5. 1 --- Technology --- p.38
Chapter 5.2 --- Preference --- p.41
Chapter 5. 3 --- Dynamics of Equilibrium --- p.43
Chapter 5. 3. 1 --- Case1 --- p.49
Chapter 5. 3. 2 --- Case2 --- p.50
"Welfare effects of trade and environmental policy for a small-polluted economy." 2004. http://library.cuhk.edu.hk/record=b5892257.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 72-80).
Abstracts in English and Chinese.
Chapter Chapter 1 --- Overview --- p.1
Chapter Chapter 2 --- Literature Review --- p.5
Chapter 2.1 --- Income growth and pollution --- p.5
Chapter 2.2 --- Environmental regulations and comparative advantage --- p.6
Chapter 2.3 --- Welfare implications : Optimal policy in a second-best world --- p.9
Chapter 2.4 --- Unemployment and the Environment --- p.11
Chapter 2.5 --- Labor Union and International Trade --- p.12
Chapter Chapter 3 --- Tariffs and the Environment --- p.14
Chapter 3.1 --- The model --- p.14
Chapter 3.2 --- Resource Allocation -The effects of import tariffs --- p.19
Chapter 3.3 --- National welfare --- p.23
Chapter 3.4 --- Trade Liberalization --- p.26
Chapter Chapter 4 --- Tariffs,Unemployment and the Environment --- p.28
Chapter 4.1 --- The model --- p.30
Chapter 4.2 --- Resource Allocation - The effects of import tariffs --- p.33
Chapter 4.3 --- National Welfare --- p.37
Chapter 4.4 --- Trade Liberalization --- p.40
Chapter Chapter 5 --- "Tariffs, Labor Unions and the Environment" --- p.42
Chapter 5.1 --- The model --- p.43
Chapter 5.2 --- Resource Allocation - The effects of import tariffs --- p.48
Chapter 5.3 --- National Welfare --- p.52
Chapter 5.4 --- Trade Liberalization --- p.54
Chapter Chapter 6 --- Concluding Remarks --- p.57
Appendix I --- p.60
Appendix II --- p.64
Appendix III --- p.67
References --- p.72
Sunde, Tafirenyika. "A small macro-econometric model for Namibia emphasising the dynamic modelling of the wage-price, productivity and unemployment relationship." Thesis, 2015. http://hdl.handle.net/10500/21721.
Full textEconomics
D. Litt. et Phil. (Economics)
Dambaza, Marx. "Credit risk measurement model for small and medium enterprises : the case of Zimbabwe." Thesis, 2020. http://hdl.handle.net/10500/26765.
Full textThe advent of Basel II Capital Accord has revolutionised credit risk measurement (CRM) to the extent that the once “perceived riskier bank assets” are now accommodated for lending. The Small and Medium Enterprise (SME) sector has been traditionally perceived as a riskier and unprofitable asset for lending activity by Commercial Banks, in particular. But empirical studies on the implementation of the Basel II internal-ratings-based (IRB) framework have demonstrated that SME credit risk is measurable. Banks are still finding it difficult to forecast SME loan default and to provide credit to the sector that meet Basel’s capital requirements. The thesis proposes to construct an empirical credit risk measurement (CRM) model, specifically for SMEs, to ameliorate the adverse effects of SME credit inaccessibility due to high information asymmetry between financial institutions (FI) and SMEs in Zimbabwe. A well-performing and accurate CRM helps FIs to control their risk exposure through selective granting of credit based on a thorough statistical analysis of historical customer data. This thesis develops a CRM model, built on a statistically random sample, known-good-bad (KGB) sample, which is a better representation of the through-the-door (TTD) population of SME loan applicants. The KGB sample incorporates both accepted and rejected applications, through reject inference (RI). A model-based bound and collapse (BC) reject inference methodology was empirically used to correct selectivity bias inherent in CRM domain. The results have shown great improvement in the classification power and aggregate supply of credit supply to the SME portfolio of the case-studied bank, as evidenced by substantial decrease of bad rates across models developed; from the preliminary model to final model designed for the case-studied bank. The final model was validated using both bad rate, confusion matrix metrics and Area under Receiver Operating Characteristic (AUROC) curve to assess the classification power of the model within-sample and out-of-sample. The AUROC for the final model (weak model) was found to be 0.9782 whilst bad rate was found to be 14.69%. There was 28.76% improvement in the bad rate in the final model in comparison with the current CRM model being used by the case-studied bank.
Isivumelwano seBasel II Capital Accord sesishintshe indlela yokulinganisa ubungozi bokunikezana ngesikweletu credit risk measurement (CRM) kwaze kwafika ezingeni lapho izimpahla ezazithathwa njengamagugu anobungozi “riskier bank assets” sezimukelwa njengesibambiso sokuboleka imali. Umkhakha wezamaBhizinisi Amancane naSafufusayo, phecelezi, Small and Medium Enterprise (SME) kudala uqondakala njengomkhakha onobungozi obukhulu futhi njengomkhakha ongangenisi inzuzo, ikakhulu njengesibambiso sokubolekwa imali ngamabhange ahwebayo. Kodwa izifundo zocwaningo ezimayelana nokusetshenziswa nokusetshenziswa kwesakhiwo iBasel II internal-ratings-based (IRB) sezikhombisile ukuthi ubungozi bokunikeza isikweletu kumabhizinisi amancane nasafufusayo (SME) sebuyalinganiseka. Yize kunjalo, amabhange asathola ukuthi kusenzima ukubona ngaphambili inkinga yokungabhadeleki kahle kwezikweletu kanye nokunikeza isikweletu imikhakha enemigomo edingekayo yezimali kaBasel. Lolu cwaningo beluphakamisa ukwakha uhlelo imodeli ephathekayo yokulinganisa izinga lobungozi bokubolekisa ngemali (CRM) kwihlelo lokuxhasa ngezimali ama-SME, okuyihlelo elilawulwa yiziko lezimali ezweni laseZimbabwe. Imodeli ye-CRM esebenza kahle futhi eshaya khona inceda amaziko ezimali ukugwema ubungozi bokunikezana ngezikweletu ngokusebenzisa uhlelo lokunikeza isikweletu ababoleki abakhethekile, lokhu kususelwa ohlelweni oluhlaziya amanani edatha engumlando wekhasimende. Imodeli ye-CRM ephakanyisiwe yaqala yakhiwa ngohlelo lwamanani, phecelezi istatistically random sample, okuluphawu olungcono olumele uhlelo lwe through-the-door (TTD) population lokukhetha abafakizicelo zokubolekwa imali bama SME, kanti lokhu kuxuba zona zombili izicelo eziphumelele kanye nezingaphumelelanga. Indlela yokukhetha abafakizicelo, phecelezi model-based bound-and-collapse (BC) reject-inference methodology isetshenzisiwe ukulungisa indlela yokukhetha ngokukhetha ngendlela yokucwasa kwisizinda seCRM. Imiphumela iye yakhombisa intuthuko enkulu mayelana namandla okwehlukanisa kanye nokunikezwa kwezikweletu kuma SME okungamamabhange enziwe ucwaningo lotho., njengoba lokhu kufakazelwa ukuncipha okukhulu kwe-bad rate kuwo wonke amamodeli athuthukisiwe. Imodeli yokuqala kanye neyokugcina zazidizayinelwe ibhange. Imodeli yokugcina yaqinisekiswa ngokusebenzisa zombili indlela isikweletu esingagculisi kanye negrafu ye-Area under Receiver Operating Characteristic (AUROC) ukulinganisa ukwehlukaniswa kwamandla emodeli engaphakathi kwesampuli nangaphandle kwesampuli. Uhlelo lwe-AUROC lwemodeli yokugcina (weak model) lwatholakala ukuthi luyi 0.9782, kanti ibad rate yatholakala ukuthi yenza i-14.69%. Kwaba khona ukuthuthuka nge-28.76% kwi-bad rate kwimodeli yokugcina uma iqhathaniswa nemodeli yamanje iCRM model ukuba isetshenziswe yibhange elithile.
Basel II Capital Accord e fetotse tekanyo ya kotsi ya mokitlane (credit risk measurement (CRM)) hoo “thepa e kotsi ya dibanka” ka moo e neng e bonwa ka teng, e seng e fuwa sebaka dikadimong. Lekala la Dikgwebo tse Nyane le tse Mahareng (SME) le bonwa ka tlwaelo jwalo ka lekala le kotsi e hodimo le senang ditswala bakeng sa ditshebetso tsa dikadimo haholo ke dibanka tsa kgwebo. Empa dipatlisiso tse thehilweng hodima se bonweng kapa se etsahetseng tsa tshebetso ya moralo wa Basel II internal-ratings-based (IRB) di supile hore kotsi ya mokitlane ya SME e kgona ho lekanngwa. Leha ho le jwalo, dibanka di ntse di thatafallwa ke ho bonelapele palo ya ditlholeho tsa ho lefa tsa diSME le ho fana ka mokitla lekaleng leo le kgotsofatsang ditlhoko tsa Basel tsa ditjhelete. Phuputso ena e ne sisinya ho etsa tekanyo ya se bonwang ho mmotlolo wa kotsi ya mokitlane (CRM) tshebetsong ya phano ya tjhelete ya diSME e etswang ke setsi sa ditjhelete (FI) ho la Zimbabwe. Mmotlolo o sebetsang hantle hape o fanang ka dipalo tse nepahetseng o dusa diFI hore di laole pepeso ya tsona ho kotsi ka phano e kgethang ya mokitlane, e thehilweng hodima manollo ya dipalopalo ya dintlha tsa histori ya bareki. Mmotlolo o sisingwang wa CRM o hlahisitswe ho tswa ho sampole e sa hlophiswang, e leng pontsho e betere ya setjhaba se ikenelang le monyako (TTD) ya batho bao e kang bakadimi ba tjhelete ho diSME, hobane e kenyelletsa bakopi ba amohetsweng le ba hannweng. Mokgwatshebetso wa bound-and-collapse (BC) reject-inference o kentswe tshebetsong ho nepahatsa tshekamelo ya kgetho e leng teng ho lekala la CRM. Diphetho tsena di bontshitse ntlafalo e kgolo ho matla a tlhophiso le palohare ya phano ya mokitlane ho diSME tsa banka eo ho ithutilweng ka yona, jwalo ka ha ho pakilwe ke ho phokotseho ya direite tse mpe ho pharalla le dimmotlolo tse hlahisitsweng. Mmotlolo wa ho qala le wa ho qetela e ile ya ralwa bakeng sa banka. Mmotlolo wa ho qetela o ile wa netefatswa ka tshebediso ya bobedi reite e mpe le mothinya wa Area under Receiver Operating Characteristic (AUROC) ho lekanya matla a kenyo mekgahlelong a mmotlolo kahare ho sampole le kantle ho yona. AUROC bakeng sa mmotlo wa ho qetela (mmotlolo o fokotseng) e fumanwe e le 0.9782, ha reite e mpe e fumanwe e le 14.69%. Ho bile le ntlafalo ya 28.76% ho reite e mpe bakeng sa mmotlolo wa ho qetela ha ho bapiswa le mmotlolo wa CRM ha o sebediswa bankeng yona eo.
Graduate School of Business Leadership
D.B.L.
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