10 9 A cross-sectional approach to business cycle analysis Floris van Ruth The views expressed in this paper are those of the author(s) and do not necessarily reflect the policies of Statistics Netherlands Discussion paper (10001) Statistics Netherlands The Hague/Heerlen, 2010 Explanation of symbols . * ** x – – 0 (0,0) blank 2008–2009 2008/2009 2008/’09 2006/’07–2008/’09 = data not available = provisional figure = revised provisional figure = publication prohibited (confidential figure) = nil or less than half of unit concerned = (between two figures) inclusive = less than half of unit concerned = not applicable = 2008 to 2009 inclusive = average of 2008 up to and including 2009 = crop year, financial year, school year etc. beginning in 2008 and ending in 2009 = crop year, financial year, etc. 2006/’07 to 2008/’09 inclusive Due to rounding, some totals may not correspond with the sum of the separate figures. Publisher Statistics Netherlands Henri Faasdreef 312 2492 JP The Hague Prepress Statistics Netherlands - Grafimedia Cover TelDesign, Rotterdam Information Telephone +31 88 570 70 70 Telefax +31 70 337 59 94 Via contact form: www.cbs.nl/information Where to order E-mail: [email protected] Telefax +31 45 570 62 68 Internet www.cbs.nl ISSN: 1572-0314 © Statistics Netherlands, The Hague/Heerlen, 2010. Reproduction is permitted. ‘Statistics Netherlands’ must be quoted as source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¶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³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´ $OVR LQIRUPDWLYH LV WKH 1%(5 GHILQLWLRQ RI D UHFHVVLRQ >&KULVWLDQR DQG )LW]JHUDOG @ ³«DUHFHVVLRQLVDSHUVLVWHQWSHULRGRIGHFOLQHLQWRWDORXWSXWLQFRPHHPSOR\PHQW DQG WUDGH XVXDOO\ ODVWLQJ IURP VL[ PRQWKV WR D \HDU DQG PDUNHG E\ ZLGHVSUHDG FRQWUDFWLRQVLQPDQ\VHFWRUVRIWKHHFRQRP\´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¶VDQG¶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lJHU *XD\DQG6W$PDQW6FKHQN+RSSp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ε W W W W 2ULQGLIIHUHQFHV ∆\ = ∆7 + ∆& + ∆ε W W W W %DVHGRQWKHVHIRUPXODVLWLVSRVVLEOHWRGHULYHZKHQUHFHVVLRQVDQGWXUQLQJSRLQWV LQ WKH GLIIHUHQW EXVLQHVV F\FOH FRQFHSWV ZLOO RFFXU DQG KRZ WKHVH UHODWH WR HDFK RWKHUVHHWDEOH 7DEOH&RQGLWLRQVIRURFFXUUHQFHRIUHFHVVLRQSKDVHVDQGEXVLQHVVF\FOHWXUQLQJSRLQWV IRUWKHGLIIHUHQWEXVLQHVVF\FOHFRQFHSWV DSSURDFK 5HFHVVLRQ *URZWKGHYLDWLRQF\FOH & FODVVLFDO *URZWKUDWHF\FOH \ & 7 \ & 7" 7XUQLQJSRLQW \ & 7 & 7 & \ & 7PLQLPDORU PD[LPDO Æ & PLQLPDO RUPD[LPDO :KDW EHFRPHV FOHDU LV WKDW UHFHVVLRQV DQG WXUQLQJ SRLQWV RFFXU XQGHU GLIIHUHQW FLUFXPVWDQFHVLQWKHGLIIHUHQWEXVLQHVVF\FOHFRQFHSWVDOWKRXJKWKHUHLVDVWUXFWXUDO UHODWLRQVKLS EHWZHHQ WKHP &ODVVLFDO DQG JURZWK UDWH UHFHVVLRQV ZLOO EH UDUHU WKDQ JURZWKGHYLDWLRQF\FOHUHFHVVLRQVDVWKHILUVWUHTXLUHDYHU\QHJDWLYHGHYHORSPHQW RI WKH F\FOH WR RYHUFRPH WUHQG JURZWK ZKLOVW WKH ODWWHU RQO\ UHTXLUH WKH F\FOH WR EHFRPH QHJDWLYH %XW DOO FODVVLFDO UHFHVVLRQV ZLOO EH JURZWK F\FOH UHFHVVLRQV DV ZHOO$VIDUDVWXUQLQJSRLQWVDUHFRQFHUQHGWKHVHZLOORFFXUDWGLIIHUHQWPRPHQWV EXWZLWKDSUHGHWHUPLQHGRUGHU*URZWKUDWHWXUQLQJSRLQWVZLOOOHDGERWKFODVVLFDO F\FOH DQG JURZWKGHYLDWLRQ F\FOH WXUQLQJ SRLQWV 2Q WKH RWKHU KDQG SHDNV LQ WKH GHYLDWLRQ F\FOH ZLOO OHDG SHDNV LQ WKH FODVVLFDO F\FOH EXW WURXJKV LQ WKH FODVVLFDO F\FOHZLOOOHDGWKHWURXJKVLQWKHGHYLDWLRQF\FOH PHWKRGRORJ\ 7KHILUVWSDUWRIWKLVVHFWLRQGHVFULEHVKRZWKHLQGLYLGXDOFRPSRQHQWLQGLFDWRUVZHUH VHOHFWHG WKH VXEVHTXHQW SDUWV ZKLFK WHFKQLTXHV ZHUH XVHG WR H[WUDFW WKH F\FOLFDO FRPSRQHQWVIURPWKHLQGLYLGXDOWLPHVHULHV ,QGLFDWRUVHOHFWLRQ 0RVWLQVWLWXWLRQVDQGUHVHDUFKHUVXVHDPRUHRUOHVVVWDQGDUGSURFHVVZKHQVHOHFWLQJ LQGLFDWRUV IRU FRQVWUXFWLQJ D EXVLQHVV F\FOH LQGLFDWRU 7KLV SURFHVV FDQ EH FKDUDFWHULVHG E\ WKH VHW RI FULWHULD IRU LQGLFDWRU VHOHFWLRQ DV IRUPXODWHG E\ 0DUFHOOOLQRDQG&DUULHURDQG0DUFHOOLQR &RQVLVWHQF\LQODJJLQJOHDGLQJFRLQFLGHQWFKDUDFWHU (FRQRPLFVLJQLILFDQFH &RQIRUPLW\WRWKHJHQHUDOEXVLQHVVF\FOH 6WDWLVWLFDOUHOLDELOLW\RIGDWDFROOHFWLRQ 3URPSWDYDLODELOLW\ZLWKRXWPDMRUUHYLVLRQV 6PRRWKGHYHORSPHQW 2I FRXUVH WKLV VHW RI UHTXLUHPHQWV UHIOHFWV DQ LGHDO VLWXDWLRQ WR ZKLFK QRW DOO UHOHYDQWLQGLFDWRUVZLOOEHDEOHWRFRQIRUP,QGLFDWRUFRQVWUXFWLRQLVSDUWO\WKHDUWRI EDODQFLQJ WKH UHTXLUHPHQWV 8VLQJ WKH FURVV VHFWLRQDO DSSURDFK SURSRVHG KHUH DFWXDOO\PHDQVWKDWVHYHUDORIWKHVHUHTXLUHPHQWFDQEHUHOD[HG $EVROXWH FRQVLVWHQF\ LQ OHDGLQJODJJLQJ FKDUDFWHU LV QR ORQJHU LPSRUWDQW 7KH ZKROH LQGLFDWRU VHW LV FRQVWUXFWHG WR EH RQ DYHUDJH FRLQFLGHQW DQG WKXV WKH DJJUHJDWH ZLOO EH UHODWLYH LQVHQVLWLYH WR WHPSRUDU\ IOXFWXDWLRQV LQ WKH OHDGLQJODJJLQJ FKDUDFWHU RI LQGLYLGXDO LQGLFDWRUV 3URPSW DYDLODELOLW\ DOVR EHFRPHV OHVV LPSRUWDQW DV WKH VHW FDQ EH EDODQFHGWREHFRLQFLGHQWE\WDNLQJSXEOLFDWLRQODJVLQWRDFFRXQWLQWKH LQGLFDWRU VHOHFWLRQ SURFHVV DV D PRGXODWLRQ RI WKH OHDGLQJODJJLQJ FKDUDFWHU $ VXIILFLHQWO\ EURDG LQGLFDWRU VHW ZLOO PHDQ WKDW ODWHU UHYLVLRQVLQVRPHLQGLFDWRUVFDQEHDEVRUEHG 6PRRWK GHYHORSPHQW LV GHVLUDEOH EXW FDQ EH DFKLHYHG E\ XVLQJ DSSURSULDWHILOWHULQJWHFKQLTXHV 7KH VLQJOH PRVW LPSRUWDQW FULWHULXP LV FRQIRUPLW\ WR WKH JHQHUDO EXVLQHVV F\FOH XVXDOO\ PDGH RSHUDWLRQDO E\ DQDO\VLQJ FRUUHODWLRQ DQG FRQIRUPLW\ LQ WXUQLQJ SRLQW GDWLQJZLWKVRPHVXLWDEOHUHIHUHQFHVHULHVXVXDOO\*'3RUE\WHVWLQJFRQIRUPLW\WR DUHIHUHQFHEXVLQHVVF\FOHFKURQRORJ\7KHFURVVVHFWLRQDODSSURDFKDVLPSOHPHQWHG KHUHZLWKDOLPLWHGGDWDVHWLQWURGXFHVWZRQHZUHTXLUHPHQWV>VHHDOVR9DQ5XWKHW DO@ 7KHWRWDOQXPEHURIFRPSRQHQWLQGLFDWRUVVKRXOGQHLWKHUEHWRRVPDOO WR HQVXUH UHSUHVHQWDWLYHQHVV DQG DYHUDJLQJ RXW RI LGLRV\QFUDWLF PRYHPHQWVRUWRRELJEHFDXVHFDOFXODWLRQVPD\EHFRPHLQIHDVLEOHDQG WKHLQGLFDWRUVHWEHFRPHVGLIILFXOWWRDQDO\VH$VDJXLGHWKHVHWVKRXOG FRQWDLQEHWZHHQDQGLQGLFDWRUV 7KHLQGLFDWRUVHWVKRXOGEHUHSUHVHQWDWLYHRIDOODVSHFWVRIWKHHFRQRP\ WR HQVXUH UHSUHVHQWDWLYHQHVV DQG WR SUHYHQW D GHYHORSPHQW SHFXOLDU WR RQH DVSHFW RI WKH HFRQRP\ GRPLQDWLQJ WKH RXWFRPH 7KLV DOVR HQVXUHV WKDW WKH DJJUHJDWH LV RQO\ WKH GHYHORSPHQW FRPPRQ WR DOO LPSRUWDQW HFRQRPLFLQGLFDWRUVDVHYHU\WKLQJHOVHDYHUDJHVRXW +RGULFN3UHVFRWWILOWHU 7KH+RGULFN3UHVFRWWILOWHUZDVILUVWGHVFULEHGLQ+RGULFNDQG3UHVFRWWDQGLV ZLGHO\XVHGIRUWUHQGF\FOHGHFRPSRVLWLRQV,WLVQRWDILOWHULQWKHWUDGLWLRQDOVHQVH DVQRXSSHURUORZHUOLPLWVDUHGHILQHGIRUWKHIUHTXHQFLHVWREHH[WUDFWHG7KHILOWHU FRQWDLQVRQO\RQHSDUDPHWHUZKLFKFRQWUROVWKHVPRRWKQHVVRIWKHILOWHUHGVHULHV +RGULFNDQG3UHVFRWWXVHWKHIROORZLQJPRGHO \ = µ + F W W W $FFRUGLQJWRWKLVPRGHOWKHVHULHVFRQWDLQVRQO\DWUHQGDQGDF\FOH7KHUDWLRRIWKH YDULDQFHV RI F DQG µ LV DVVXPHG WR EH HTXDO WR WKH FKRVHQ SDUDPHWHU λ )RU D ODUJHU λ DVPRRWKHUWUHQGZLOOEHREWDLQHG$VPHDVXUHRIWKHVPRRWKQHVVRIWKH WUHQG+RGULFNDQG3UHVFRWWWDNHWKHVXPRIVTXDUHVRIWKHVHFRQGRUGHUGLIIHUHQFHV )XUWKHUPRUHWKH\SRVHWKDWWKHF\FOHLVWKHGHYLDWLRQIURPWKHWUHQGDQGLWVORQJ WHUPDYHUDJHVKRXOGEH]HUR7KLVUHVXOWVLQWKHIROORZLQJPLQLPLVDWLRQSUREOHP W W 7 7 PLQ ^µ ` FW + λ [ µ W − µ W − − µ W − − µ W − ] W = W = W ∑ ∑ $FFRUGLQJ WR WKH OLWHUDWXUH WKH RSWLPDO YDOXHV DUH λ = DQG λ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− + ε W W W :KHUH WKH DUH DJDLQ LGG 8QGHU WKHVH DVVXPSWLRQV WKH &KULVWLDQR)LW]JHUDOG ILOWHU PLQLPLVHV WKH H[SHFWHG VTXDUHG GHYLDWLRQV IURP WKH LGHDO ZHLJKWV 7KHLU VROXWLRQIRUWKHHQGYDOXHSUREOHPHQFRXQWHUHGE\WKH%D[WHU.LQJILOWHULVWRXVHDQ DV\PPHWULFDOZHLJKWLQJVFKHPHZKHUHWKHILQDOREVHUYDWLRQUHFHLYHVWKHZHLJKWVRI DOOWKHPLVVLQJIXWXUHREVHUYDWLRQV W 7 − Z = % % %7 − − % − ∑ %N N = 7 − W= Z = − % % % %7 − − % − ∑ %N N = W − 7 −W − ≤ W ≤ 7 − Z = − % − ∑ %N %W − % % % %7 −W − − % − ∑ %N N = N = 7 − W = 7 − Z = − % − ∑ %N %7 − % % − % N = 7 − W =7 Z = − % − ∑ %N %7 − % % N = )RU W = )RU )RU )RU )RU ZKHUH % = HQ %N = − S S %D[WHU.LQJILOWHU O VLQ πN πN − VLQ SO SX DQG S DQG S DV LQ WKH πN O X X /RZSDVV DQG KLJKSDVV ILOWHUV FDQ EH FRQVWUXFWHG E\ WDNLQJ SX = ∞ RU S = UHVSHFWLYHO\ 7KH FRPSXWDWLRQV LQ WKLV VWXG\ ZHUH SHUIRUPHG XVLQJ WKH HYLHZV SDFNDJHZKHUHWKHORZDQGKLJKSDVVZHUHVHWRQUHVSHFWLYHO\DQG\HDUV O 6WRFNDQG:DWVRQPHWKRGRORJ\ 7KHDSSURDFKRI6WRFNDQG:DWVRQDVVHWRXWLQWKHLUSDSHUZDVWKHVRXUFHRI PXFKLQQRYDWLRQLQEXVLQHVVF\FOHPHDVXUHPHQW&HQWUDOWRWKHLUDSSURDFKLVWDNLQJ DVDVWDUWLQJSRLQWWKHGHILQLWLRQRIWKHEXVLQHVVF\FOHDVWKHPRYHPHQWFRPPRQWR WKHPDMRULW\RIPDFURHFRQRPLFLQGLFDWRUVDQGWKHQPDNLQJWKLVFRQFHSWRSHUDWLRQDO E\XVLQJDSSURSULDWHHFRQRPHWULFPHWKRGV,QHIIHFWWKH\WXUQWKLVDUJXPHQWDURXQG E\VWDWLQJWKDWLIRQHILQGVWKHVWURQJHVWVWDWLRQDU\FRPPRQFRPSRQHQWRIDJURXSRI UHOHYDQW HFRQRPLF LQGLFDWRUV WKLV ZLOO DOPRVW E\ GHILQLWLRQ EH WKH EXVLQHVV F\FOH %HFDXVH WKHLU DLP LV WR H[WUDFW WKH EXVLQHVV F\FOH LWVHOI WKH\ XVH WKH FRLQFLGHQW LQGLFDWRUV WKHQ RI WKH GHSDUWPHQW RI FRPPHUFH DV WKH UHOHYDQW YDULDEOHV 7KH FHQWUDO IHDWXUH RI WKHLU DSSURDFK LV WR XVH G\QDPLF IDFWRU DQDO\VLV WR H[WUDFW IURP WKHVHHFRQRPLFLQGLFDWRUVWKHXQREVHUYHG³VWDWHRIWKHHFRQRP\´7KLVLVGRQHE\ IRUPXODWLQJWKHIROORZLQJPRGHO ; = β + γ ∗ & +ν Φ(/ )⋅ & = δ + η W W '(/ )⋅ν = ε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β + =α + 5ξ 7UDQVLWLRQHTXDWLRQ W W W α = 7α − + ζ W W W ,ZLOOQRWGHVFULEHKHUHWKHVWDWHVSDFHPRGHOXVHGLQGHWDLOLWVXIILFHVWRIRFXVRQ WKHFHQWUDOYDULDEOHWKHVWDWHYHFWRU ZKLFKLQWKH6WRFNDQG:DWVRQPRGHOWDNHV WKHIRUP W & W & W − & W − αW = & W − S :KHUH & QRZ LV WKH GLIIHUHQFH RI WKH XQREVHUYHG FRLQFLGHQW LQGH[ RI HFRQRPLF DFWLYLW\7KHSODJJHGYDOXHVRI& SUHVHQWLQWKHVWDWHYHFWRUDUHQRWMXVWHQWHUHGWR REWDLQDEHWWHUILWWLQJPRGHOEXWDUHQHFHVVDU\IRUPRGHOOLQJDF\FOLFDOFRPSRQHQW 6WRFNDQG:DWVRQVHWS ZKLOVWLQWKLVVWXG\XVLQJTXDUWHUO\ODJV\LHOGHGWKHEHVW FRPPRQFRPSRQHQWV W W 8QREVHUYHG&RPSRQHQWVPRGHOV 7KHVRFDOOHG8QREVHUYHG&RPSRQHQWV8&PRGHOVZHUHGHYHORSHGLQWKHV DQG V HJ :DWVRQ +DUYH\ +DUYH\ DQG -lJHU DQG +DUYH\ DQG .RRSPDQ $ WLPH VHULHV LV DVVXPHG WR FRQVLVW RI D QXPEHU RI XQREVHUYHGFRPSRQHQWVZKLFKDUHH[SOLFLWO\PRGHOOHG7KLVDOORZVWKHLUSUHVHQFH WREHIRUPDOO\WHVWHG7KHPRVWJHQHUDOPRGHOFRQWDLQVWUHQGF\FOLFDOVHDVRQDODQG LUUHJXODU FRPSRQHQWV ,W LV DOVR SRVVLEOH WR LQWURGXFH H[WHUQDO LQQRYDWLRQV LQWR WKH PRGHO 7KXVWKHPRVWJHQHUDOIRUPRIWKHPRGHOLV \ = µ + F + V + ε W W W W W (DFKWHUP FDQ EH VSHFLILHG LQ GLIIHUHQW ZD\V +HUHWKHWUHQGLV PRGHOOHGDV DVR FDOOHG³ORFDOOLQHDUWUHQG´PRGHO8&//7 µ = µ − + ν − + ξ ν = ν − + η W W W W W W W ZKHUH ξ DQG η DUHLQGHSHQGHQWQRUPDOO\GLVWULEXWHGHUURUWHUPV W W ,IWKHXQNQRZQYDULDQFHVRI ξ DQG η DUHUHSUHVHQWHGE\ σ ξ DQG σ η WZREDVLF W W YDULDWLRQVRQWKHORFDOOLQHDUWUHQGPRGHOGHFDQEHREWDLQHG VPRRWKWUHQG8&67 σ ξ = ORFDOOLQHDUWUHQGZLWKIL[HGVORSH8&//7) σ η = 7KHWRWDOF\FOHLVPRGHOOHGLQWULJRQRPHWULFIRUPDVWKHVXP . F\FOHV FW = ZKHUH . F N W ∑ N = F N W FRVλ N VLQλ N F N W − κ W = ρ N + − VLQλ N FRVλ N F N W − κ W F N W κ DQG κ DUHLQGHSHQGHQWQRUPDOO\GLVWULEXWHGYDULDEOHV λ N LVWKHZDYHOHQJWK WREHGHWHUPLQHGRIWKH N WKF\FOHDQG ρ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³$YHUDJH´EXVLQHVVF\FOHFKURQRORJ\IRUWKH86$DVGHILQHGE\GDWHVRISHDNV DQGWURXJKV 7URXJK 3HDN 7URXJK 3HDN 7URXJK 3HDN 7URXJK 3HDN 7URXJK +DYLQJWKXVREWDLQHGDSLFWXUHRIWKH86EXVLQHVVF\FOHLWLVSRVVLEOHWRSURFHHGWR WKHILUVWVWHSRIFRQVWUXFWLQJDEXVLQHVVF\FOHLQGLFDWRUVHOHFWLQJWKHUHIHUHQFHVHULHV $VPHQWLRQHGEHIRUHWKHPRVWXVHGUHIHUHQFHLV*'3$VWKLVLVRQO\DYDLODEOHZLWK D TXDUWHUO\ IUHTXHQF\ LQGXVWULDO SURGXFWLRQ ZLOO EH XVHG IRU WKH DQDO\VHV RQ D PRQWKO\ EDVLV )RU ERWK VHULHV GHYLDWLRQ F\FOHV ZHUH FRPSXWHG XVLQJ ERWK WKH &KULVWLDQR)LW]JHUDOGILOWHU &) DQG WKH +RGULFN3UHVFRWW +3 YDULDQW 7KH PDMRU WXUQLQJSRLQWVRIWKHF\FOHVREWDLQHGIRUERWKVHULHVDUHFRPSDUHGLQWDEOH 7DEOH%XVLQHVVF\FOHFKURQRORJLHVGDWHVRISHDNVDQGWURXJKVIRUWKH86$EDVHGRQ *'3 DQG LQGXVWULDO SURGXFWLRQ GHYLDWLRQ F\FOHV FRPSDUHG ZLWK DYHUDJH UHIHUHQFH FKURQRORJ\&\FOHVFRPSXWHGXVLQJ&KULVWLDQR)LW]JHUDOGILOWHUDQG+3PHWKRG UHIHUHQFH *'3 +3 *'3 &) ,3 +3 ,3 &) PHWKRG ILOWHU PHWKRG ILOWHU 7URXJK ,,, 7URXJK ,, 3HDN 3HDN ,9 , 7URXJK 7URXJK ,9 3HDN ,,, , ,, 7URXJK 3HDN ,, ,9 ,9 ,,, , , , ,9 , , %ROG JRRGFRUUHVSRQGHQFHEHWZHHQ *'3,3 GDWH DQG UHIHUHQFH LWDOLFL]HG JRRG FRUUHVSRQGHQFHEHWZHHQ GLIIHUHQW *'3,3WXUQLQJSRLQWVOHVVZLWKUHIHUHQFHWXUQLQJSRLQWV 7KHUHLVUHDVRQDEO\JRRGFRUUHVSRQGHQFHEHWZHHQWKHWXUQLQJSRLQWGDWHVIRXQGE\ WKH GLIIHUHQW ILOWHUV DQG EHWZHHQ WKH *'3 DQG ,3F\FOH WXUQLQJ SRLQWV :LWK WKH H[FHSWLRQ RI DQG WKHUH LV JRRG FRUUHVSRQGHQFH ZLWK WKH H[WHUQDO UHIHUHQFHWXUQLQJSRLQWVDVZHOO7KHGLIIHUHQFHLQDQGLVSUREDEO\GXHWR WKHGLIIHUHQFHEHWZHHQFODVVLFDODQGGHYLDWLRQF\FOHV 7KHVHOHFWLRQSURFHVVRIWKHEXVLQHVVF\FOHLQGLFDWRUVIRUWKH8QLWHG6WDWHVGLIIHUHG IURP WKDW XVHG IRU WKH 1HWKHUODQGV ,Q VWHDG RI ULJRURXVO\ WHVWLQJ DOO HFRQRPLF LQGLFDWRUV GHHPHG VXLWDEOH RQO\ WKRVH XVHG IRU EXVLQHVV F\FOH DQDO\VLV E\ WKH FRQIHUHQFHERDUG2(&'(&5,DQG1%(5ZHUHFRQVLGHUHG7KHVKHHUQXPEHURI HFRQRPLFLQGLFDWRUVDYDLODEOHIRUWKH86$PDGHWKLVDVHQVLEOHDSSURDFK)RUHDFK FDQGLGDWHLQGLFDWRUF\FOHVZHUHFRPSXWHGXVLQJERWKWKH+3PHWKRGDQG&)ILOWHU 7KHVHLQGLYLGXDO F\FOHV ZHUHFRPSDUHGWRWKH UHIHUHQFH F\FOHV,3 DQG *'3DQG FODVVLILHG DV OHDGLQJFRLQFLGHQWODJJLQJ )URP WKRVH LQGLFDWRUV ZKLFK PRVW FOHDUO\ UHIOHFWHGEXVLQHVVF\FOHGHYHORSPHQWVVHYHUDOVHWVZHUHIRUPHGDQGWKHLUDJJUHJDWH SHUIRUPDQFHWHVWHG,WWXUQHGRXWWKDWWKHH[DFWFRPSRVLWLRQRIWKHLQGLFDWRUVHWGLG QRWPDWWHUYHU\PXFKIRUWKHUHVXOWLQJDJJUHJDWHF\FOH7KLVLVVWURQJVXSSRUWIRUWKH WKHVLVWKDWWKHEXVLQHVVF\FOHFDQEHGHILQHGDQGIRXQGDVWKHFRPPRQFRPSRQHQWRI WKH GHYHORSPHQW RI FRUH PDFURHFRQRPLF LQGLFDWRUV $FFRUGLQJ WR WKLV YLHZ WKH FRPPRQ FRPSRQHQW VKRXOG EH UHODWLYHO\ LQVHQVLWLYH WR WKH H[DFW FRPSRVLWLRQ RI D EURDG HQRXJK VHW RI LQGLFDWRUV 7KH ILQDO LQGLFDWRU VHOHFWLRQ LV VKRZQ LQ WKH WDEOH EHORZ 7DEOH&URVVVHFWLRQDOLQGLFDWRUVHWIRUWKH86ZLWKOHDGDQGODJVUHODWLYHWRUHIHUHQFH VHULHV ,3 F\FOH FRPSXWHG ERWK ZLWK +RGULFN3UHVFRWW YDULDQW DQG &KULVWLDQR)LW]JHUDOG ILOWHU ,QGLFDWRU &RUUHODWLRQ /HDG ZLWK,3F\FOH ODJ FODVVLILFDWLRQ &RUUHODWLRQ /HDG ZLWK,3F\FOH ODJ PRQWKV &)F\FOHV FODVVLILFDWLRQ PRQWKV +3F\FOHV 7RWDOUHWDLOWUDGH OHDGLQJ OHDGLQJ :HHNO\+RXUV OHDGLQJ OHDGLQJ FRLQFLGHQW OHDGLQJ ([SRUWV ODJJLQJ ODJJLQJ 3HUVRQDOLQFRPH ODJJLQJ ODJJLQJ 1<6(&RPSRVLWH FRLQFLGHQW OHDGLQJ 33,)LQLVKHG ODJJLQJ OHDGLQJ OHDGLQJ OHDGLQJ ODJJLQJ ODJJLQJ ODJJLQJ ODJJLQJ 0DQXI QHZRUGHUV GXUDEOHV JRRGV &DSDFLW\ XWLOLVDWLRQ LQGXVWU\ &LYLOLDQ HPSOR\PHQW %DQNFUHGLW ORDQV $VLQWHQGHGWKLVVHWLVDPL[RIOHDGLQJFRLQFLGHQWDQGODJJLQJLQGLFDWRUVDQGRI GLIIHUHQWW\SHVRIHFRQRPLFLQGLFDWRUV8QIRUWXQDWHO\LQDIHZFDVHVWKHOHDGLQJRU ODJJLQJFKDUDFWHURIWKHLQGLFDWRUGHSHQGVRQWKHPHWKRGXVHGWRH[WUDFWWKHF\FOHD SKHQRPHQRQ ZHOO NQRZQ IURP OLWHUDWXUH >&DQRYD @ +RZHYHU RQ DYHUDJHWKHGLIIHUHQFHLQOHDGODJLVRQO\FRXSOHRIPRQWKV%XWIRUDQLQGLFDWRUZLWK RQO\DVPDOOOHDGRUODJWKLVGLIIHUHQFHFDQUHVXOWLQDFKDQJHLQFODVVLILFDWLRQ7KLV LVDSKHQRPHQRQZKLFKZLOOUHFXULQRWKHUUHVXOWV7KRXJKWKHGLIIHUHQWPHWKRGVIRU H[WUDFWLQJDQGDQDO\VLQJWKHF\FOHWHQGWRVKRZJRRGRYHUDOODJUHHPHQWLPSRUWDQW GLIIHUHQFHVFDQRFFXUFRQFHUQLQJVSHFLILFGHWDLOVVXFKDVFHUWDLQFRUUHODWLRQSDWWHUQV RUWKHGDWLQJRIWXUQLQJSRLQWV 7KH VHOHFWHG VHW FRQWDLQV ILQDQFLDO LQGLFDWRUV EXVLQHVV VXUYH\ LQGLFDWRUV ODERXU PDUNHWLQGLFDWRUVDQGLQGLFDWRUVRIWKHUHDOHFRQRP\$VPHQWLRQHGEHIRUHWKLVKDV WZR LPSRUWDQW FRQVHTXHQFHV QR VLQJOH DVSHFW RI WKH HFRQRP\ RU GHYHORSPHQWV OLPLWHG WR RQH VSHFLILF VHFWRU FDQ GRPLQDWH WKH GHYHORSPHQW RI WKH VHW DQG LQ GLVDJJUHJDWH IRUP WKH LQGLFDWRU VHW \LHOGV ULFK DQG GLYHUVH LQIRUPDWLRQ RQ GHYHORSPHQWVLQWKHHFRQRP\1RZZHDUULYHDWWKHFHQWUDOWKHPHRIWKLVVWXG\WKH GHULYDWLRQRIWKHVWDQFHRIWKHEXVLQHVVF\FOHIURPWKLVLQGLFDWRUVHW7KLVVHUYHVWZR FRPSOHPHQWDU\JRDOVILUVWO\WRSURYHWKDWWKLVFURVVVHFWLRQDODSSURDFKXVLQJDPL[ RIYHU\GLIIHUHQWOHDGLQJFRLQFLGHQWDQGODJJLQJLQGLFDWRUVFDQEHXVHGWRWUDFNWKH FXUUHQWVWDQFHRIWKHEXVLQHVVF\FOH%XWWKHDLPLVDOVRWRVXSSO\IXUWKHUSURRIIRU LQWHUSUHWLQJWKHEXVLQHVVF\FOHDVWKHFRPPRQF\FOLFDOFRPSRQHQWLQWKHHFRQRP\ 7KH FRPPRQ F\FOH RI WKH PDFURHFRQRPLF LQGLFDWRUV ZKLFK LQ RXU LQWHUSUHWDWLRQ UHSUHVHQWVWKHVWDQFHRIWKHEXVLQHVVF\FOHZLOOEHH[WUDFWHGXVLQJVHYHUDOGLIIHUHQW GLUHFWDQGLQGLUHFWPHWKRGVDVGHVFULEHGLQWKHPHWKRGRORJ\VHFWLRQ,QGLUHFWPHDQV WKDWILUVWWKHF\FOHVRIWKHLQGLYLGXDOLQGLFDWRUVZLOOEHFRPSXWHGDQGVXEVHTXHQWO\ WKH VWDQFH RI WKH RYHUDOO F\FOH ZLOO EH GHGXFHG IURP WKLV FROOHFWLRQ RI LQGLYLGXDO F\FOHV,QWKHFDVHRIGLUHFWPHWKRGVWKHFRPPRQFRPSRQHQWLVH[WUDFWHGLQDVLQJOH VWHSIURPWKHZKROHVHWRILQGLFDWRUV7KHRXWFRPHVRIWKHVHYHU\GLIIHUHQWPHWKRGV RIDUULYLQJDWWKHFRPPRQDJJUHJDWHF\FOHZLOOEHFRPSDUHGDQGWKHK\SRWKHVLVLV WKDWWKH\ZLOOEHYHU\VLPLODU 5HVXOWV86$FRPPRQF\FOHFRPSXWDWLRQXVLQJLQGLUHFWPHWKRGV )LUVW WKH UHVXOWV RI FRPSXWLQJ WKH FRPPRQ F\FOH XVLQJ LQGLUHFW PHWKRGV ZLOO EH UHSRUWHG7KHEDVLVRIWKHVHPHWKRGVLVWKHH[WUDFWLRQRIWKHLQGLYLGXDOF\FOHVIRUWKH VHSDUDWHLQGLFDWRUV7KHF\FOHVZHUHH[WUDFWHGXVLQJWKH&KULVWLDQR)LW]JHUDOG&) ILOWHU DQG D YDULDQW RQ WKH +RGULFN3UHVFRWW +3 PHWKRG DV GHVFULEHG LQ WKH PHWKRGRORJ\ VHFWLRQ $IWHU WKH LQGLYLGXDO F\FOHV ZHUH H[WUDFWHG WKUHH GLIIHUHQW PHWKRGV ZHUH XVHG WR ILQG WKH RYHUDOO VWDQFH RI WKH EXVLQHVV F\FOH 7KHVH DUH DOO EDVHG RQ WKH LGHD WKDW DOO WKH LQGLFDWRUV QH[W WR LGLRV\QFUDWLF FRPSRQHQWV DOVR FRQWDLQWKHEXVLQHVVF\FOH7KLVPHDQVWKDWWKHVWURQJHVWFRPPRQFRPSRQHQWRIWKH LQGLYLGXDO F\FOHV LV WKH EXVLQHVV F\FOH ZKLOH WKH LQGLYLGXDO LGLRV\QFUDWLF FRPSRQHQWVZLOODYHUDJHRXW 7KHUHLVRIFRXUVHWKHSUREOHPWKDWLQGLFDWRUVZLOOOHDGRUODJWKHJHQHUDOEXVLQHVV F\FOH%XWRQHFDQXVHWKHVDPHSULQFLSOHDVXVHGIRUGHDOLQJZLWKWKHLGLRV\QFUDWLF QDWXUH RI WKH LQGLYLGXDO F\FOHV E\ FRPELQLQJ D DSSUR[LPDWHO\ EDODQFHG VHW RI OHDGLQJFRLQFLGHQWDQGODJJLQJLQGLFDWRUV7KHH[SHFWDWLRQLVWKHQWKDWRQDYHUDJH VXFK D VHW ZLOO EH FRLQFLGHQW ZLWK WKH EXVLQHVV F\FOH 7KH VWDQGDUG DSSURDFK WR FRQVWUXFWLQJ D FRLQFLGHQW LQGLFDWRU RI WKH EXVLQHVV F\FOH LV WR OLPLW WKH VHW WR LQGLFDWRUVZKLFKDUHGHHPHGWREHFRLQFLGHQWZLWKWKLVF\FOH:HZLOOVKRZWKDWWKLV LV QRW QHFHVVDU\ EXW WKDW D PRUH RU OHVV EDODQFHG EURDG VHW RI PDFURHFRQRPLF LQGLFDWRUVZLOODOVR\LHOGDFRLQFLGHQWLQGLFDWRURIWKHEXVLQHVVF\FOH$EURDGVHWRI LQGLFDWRUV\LHOGVPRUHLQIRUPDWLRQDQGUHGXFHVWKHULVNRIPLVOHDGLQJUHVXOWV7RWHVW WKLV FRQFHSW DGGLWLRQDO DJJUHJDWH EXVLQHVV F\FOH LQGLFDWRUV ZHUH FRQVWUXFWHG IRU ZKLFKWKHFRPSRQHQWLQGLFDWRUVZHUHVKLIWHGLQWLPHDFFRUGLQJWRWKHLUPHDVXUHGODJ RU OHDG RI WKH EXVLQHVV F\FOH DV DSSUR[LPDWHG E\ WKH F\FOH RI WKH PDQXIDFWXULQJ LQGXVWU\7KLVH[HUFLVHZDVSHUIRUPHGERWKIRUWKH&)ILOWHUF\FOHVDQGWKH+3ILOWHU F\FOHV DQG IRU WKH GLUHFW 6WRFN DQG :DWVRQ 6: DQG 8QREVHUYHG &RPSRQHQWV 8& FRPPRQ F\FOHV ,I WKH DVVXPSWLRQ DERYH LV FRUUHFW WKHUH VKRXOG EH OLWWOH GLIIHUHQFH EHWZHHQ WKH UHVXOWLQJ EXVLQHVV F\FOHV RI WKH QRQVKLIWHG DQG VKLIWHG LQGLFDWRU VHWV 1RWH WKDW LW LV RI FRXUVH LPSRVVLEOH WR FRQVWUXFW D WLPHVKLIWHG DJJUHJDWHLQGLFDWRULQUHDOWLPHDVWKHUHOHYDQWUHDOLVDWLRQVRIODJJLQJLQGLFDWRUVZLOO QRW\HWEHDYDLODEOH $ REYLRXVEDVLFDSSURDFKIRU ILOWHULQJ RXWWKHEXVLQHVV F\FOHLV WR VLPSO\ WDNH WKH DYHUDJHRIWKHLQGLYLGXDOF\FOHV7KHLGLRV\QFUDWLFFRPSRQHQWVRIWKHVHULHVVKRXOG DYHUDJHRXWOHDYLQJRQO\WKHFRPPRQFRPSRQHQWWKHEXVLQHVVF\FOH$VRPHZKDW PRUH DGYDQFHG DSSURDFK LV WR XVH D IRUP RI IDFWRU DQDO\VLV :H XVHG SULQFLSDO FRPSRQHQWV DQDO\VLV ZKLFK H[WUDFWV IURP WKH VHULHV RUWKRJRQDO FRPPRQ FRPSRQHQWV E\ PD[LPL]LQJ WKH IUDFWLRQ RI WKH VHULHV¶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y%HORZWUHQGDQGGHFUHDVLQJ y$ERYHWUHQGDQGLQFUHDVLQJ y%HORZWUHQGDQGLQFUHDVLQJ y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± ± UHFHVVLRQ ± ±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³1HZ(852FRLQWUDFNLQJHFRQRPLFJURZWKLQUHDOWLPH´&(35GLVFXVVLRQ SDSHU %DQHUML $ DQG +LULV / ³$ PXOWLGLPHQVLRQDO IUDPHZRUN IRU PHDVXULQJ EXVLQHVV F\FOHV´(FRQRPLFF\FOHUHVHDUFKLQVWLWXWHZZZEXVLQHVVF\FOHFRP %DQUML $ DQG +LULV / ³$ IUDPHZRUN IRU PHDVXULQJ LQWHUQDWLRQDO EXVLQHVV F\FOHV´,QWHUQDWLRQDOMRXUQDORIIRUHFDVWLQJYROS %RQHQNDPS - ³+HU]LHQLQJ YDQ GH &3%FRQMXQFWXXULQGLFDWRU´ LQ 'XWFK &3%0HPRUDQGXP&HQWUDDO3ODQEXUHDX'HQ+DDJ %RQHQNDPS-.UDQGHQGRQN+DQG9HUEUXJJHQ-³$OHDGLQJLQGLFDWRUIRU WKH'XWFKHFRQRP\´&3%GLVFXVVLRQSDSHU %XUQV$)DQG0LWFKHOO:&³0HDVXULQJ%XVLQHVV&\FOHV´1%(51HZ <RUN &DQRYD ) ³'HWUHQGLQJ DQG EXVLQHVV F\FOH IDFWV´ -RXUQDO RI 0RQHWDU\ (FRQRPLFVYROS± &DQRYD ) ³'RHVGHWUHQGLQJ PDWWHU IRUWKHGHWHUPLQDWLRQ RI WKH UHIHUHQFH F\FOHDQGWKHVHOHFWLRQRIWXUQLQJSRLQWV"´7KH(FRQRPLF-RXUQDOYROS ± &DUULHUR$DQG0DUFHOOLQR0³0RQLWRULQJWKHHFRQRP\RIWKH(XURDUHD $FRPSDULVRQRIFRPSRVLWHFRLQFLGHQWLQGH[HV´,*,(5ZRUNLQJSDSHUQR &DUYDOKR 90 DQG +DUYH\ $& ³&RQYHUJHQFH DQG F\FOHV LQ WKH (XUR ]RQH´&(35GLVFXVVLRQSDSHU &KULVWLDQR/-DQG)LW]JHUDOG7-³7KH%XVLQHVV&\FOH,W¶VVWLOODSX]]OH´ )HGHUDO5HVHUYH%DQNRI&KLFDJR(FRQRPLF3HUVSHFWLYHVWKTXDUWHUS &KULVWLDQR /- )LW]JHUDOG 7- 7KH EDQG SDVV ILOWHU´ 1%(5 :RUNLQJ SDSHU1DWLRQDO%XUHDXRI(FRQRPLF5HVHDUFK&DPEULGJH86$ &RRSHU 5 ³%XVLQHVV F\FOHV 7KHRU\ HYLGHQFH DQG LPSOLFDWLRQV´ 1%(5 ZRUNLQJSDSHU )XKUHU-&DQG6FKXK6³%H\RQG6KRFNVZKDWFDXVHVEXVLQHVVF\FOHV"$Q RYHUYLHZ´1HZ(QJODQG(FRQRPLF5HYLHZ1RYHPEHU'HFHPEHUS )RUQL0+DOOLQ0/LSSL0DQG5HDLFKOLQ/³7KHJHQHUDOL]HGG\QDPLF IDFWRUPRGHOLGHQWLILFDWLRQDQGHVWLPDWLRQ´&(35GLVFXVVLRQSDSHU *XD\ $ 6W$PDQW 3 ³'R WKH +RGULFN3UHVFRWW DQG %D[WHU.LQJ ILOWHUV SURYLGH D JRRG DSSUR[LPDWLRQ RI EXVLQHVV F\FOH"´ :RUNLQJ 3DSHU QR &HQWHU IRU 5HVHDUFK RQ (FRQRPHWULF )OXFWXDWLRQV DQG (PSOR\PHQW 8QLYHUVLWpGX4XpEHFj0RQWUpDO&DQDGD +DPLOWRQ-'³:KDWVUHDODERXWWKHEXVLQHVVF\FOH´1%(5ZRUNLQJSDSHU +DUGLQJ ' DQG 3DJDQ $ ³.QRZLQJ WKH F\FOH´ 0HOERXUQH LQVWLWXWH ZRUNLQJSDSHUQR +DUGLQJ ' DQG 3DJDQ $ ³([WUDFWLQJ $QDO\VLQJ DQG 8VLQJ &\FOLFDO ,QIRUPDWLRQ´0LPHR8QLYHUVLW\RI0HOERXUQH +DUGLQJ ' DQG 3DJDQ $ ³'LVVHFWLQJ WKH F\FOH $ PHWKRGRORJLFDO LQYHVWLJDWLRQ´-RXUQDORI0RQHWDU\(FRQRPLFVS +DUYH\$&³)RUHFDVWLQJ6WUXFWXUDO7LPH6HULHV0RGHOVDQGWKH.DOPDQ )LOWHU´&DPEULGJH8QLYHUVLW\3UHVV&DPEULGJH +DUYH\$&-lJHU$³'HWUHQGLQJVW\OL]HGIDFWVDQGWKHEXVLQHVVF\FOH´ -RXUQDORI$SSOLHG(FRQRPHWULFVYROS± +DUYH\$&DQG.RRSPDQ6-³6LJQDOH[WUDFWLRQDQGWKHIRUPXODWLRQRI XQREVHUYHGFRPSRQHQWVPRGHOV´(FRQRPHWULFV-RXUQDOYROS± +DUYH\$&DQG7ULPEXU70³*HQHUDOPRGHOEDVHGILOWHUVIRUH[WUDFWLQJ F\FOHV DQG WUHQGV LQ HFRQRPLF WLPH VHULHV´ 7KH 5HYLHZ RI (FRQRPLFV DQG 6WDWLVWLFVYROS± +RGULFN5-DQG3UHVFRWW(&³3RVWZDU86EXVLQHVVF\FOHVDQHPSLULFDO LQYHVWLJDWLRQ´-RXUQDORI0RQH\&UHGLWDQG%DQNLQJ± ,QNODDU5-DFREV-DQG5RPS:³%XVLQHVVF\FOHLQGH[HV'RHVDKHDSRI GDWDKHOS"´&&62ZRUNLQJSDSHUV .OHLQ 3 HQ 0RRUH * ³7KH OHDGLQJ LQGLFDWRU DSSURDFK WR HFRQRPLF IRUHFDVWLQJ²UHWURVSHFWDQGSURVSHFW1%(5:RUNLQJSDSHU .UDQHQGRQN + %RQHQNDPS - 9HUEUXJJHQ - ³'H &3% FRQMXQFWXXULQGLFDWRU JHDFWXDOLVHHUG HQ JHUHYLVHHUG´ &3% GRFXPHQW QR &HQWUDDO3ODQEXUHDX'HQ+DDJ .UDQHQGRQN+%RQHQNDPS-DQG9HUEUXJJHQ-³$OHDGLQJLQGLFDWRUIRU WKH'XWFKHFRQRP\´&3%GLVFXVVLRQSDSHUQR /XJLQEXKO 5 DQG .RRSPDQ 6 ³&RQYHUJHQFH LQ (XURSHDQ *'3 VHULHV´ -RXUQDORIDSSOLHGHFRQRPHWULFVYROS 0DUFHOOLQR0³/HDGLQJLQGLFDWRUV:KDWKDYHZHOHDUQHG"´LQ+DQGERRNRI (FRQRPLF )RUHFDVWLQJ (OORW * *UDQJHU & 7LPPHUPDQQ $ HGV (OVHYLHU1RUWK+ROODQG 0F*XFNLQ 5+ 2]\OLGLULP $ DQG =DUQRZLW] 9 ³$ PRUH WLPHO\ DQG XVHIXO LQGH[ RI OHDGLQJ LQGLFDWRUV´ -RXUQDO RI %XVLQHVV DQG HFRQRPLF VWDWLVWLFVYROS 3UHVFRWW &3 ³7KHRU\ DKHDG RI EXVLQHVV F\FOH PHDVXUHPHQW´ )HGHUDO 5HVHUYH%DQNRI0LQQHDSROLVTXDUWHUO\UHYLHZUGTXDUWHUS 'HQ 5HLMHU $+- ³,QWHUQDWLRQDO EXVLQHVV F\FOH LQGLFDWRUV PHDVXUHPHQW DQGIRUHFDVWLQJ´'1%UHVHDUFKPHPRUDQGXP:2 'HQ 5LMHU $+- ³7KH 'XWFK EXVLQHVV F\FOH ZKLFK LQGLFDWRUV VKRXOG ZH PRQLWRU"´'1%ZRUNLQJSDSHUQR 9DQ 5XWK ) 6FKRXWHQ % DQG :HNNHU 5 ³7KH 6WDWLVWLFV 1HWKHUODQGV EXVLQHVVF\FOHWUDFHU0HWKRGRORJLFDODVSHFWVFRQFHSWF\FOHFRPSXWDWLRQDQG LQGLFDWRUVHOHFWLRQ´6WDWLVWLFV1HWKHUODQGVGLVFXVVLRQSDSHUYLDZZZFEVQO 6FKHQN+RSSp .5 ³(FRQRPLF JURZWK DQG EXVLQHVV F\FOHV $ FULWLFDO FRPPHQW RQ GHWUHQGLQJ WLPH VHULHV´ :RUNLQJ 3DSHU QR ,QVWLWXWH IRU (PSLULFDO5HVHDUFKLQ(FRQRPLFV8QLYHUVLW\RI=XULFK6ZLW]HUODQG 6WRFN -+ DQG :DWVRQ 0: ³$ SUREDELOLW\ PRGHO RI WKH FRLQFLGHQW HFRQRPLFLQGLFDWRUV´1%(5ZRUNLQJSDSHU 6WRFN-+DQG:DWVRQ0:³0DFURHFRQRPLFIRUHFDVWLQJXVLQJGLIIXVLRQ LQGH[HV´-RXUQDORIEXVLQHVVDQGHFRQRPLFVWDWLVWLFVYROS :DWVRQ 0: ³8QLYDULDWH GHWUHQGLQJ PHWKRGV ZLWK VWRFKDVWLF WUHQGV´ -RXUQDORI0RQHWDU\(FRQRPLFVYROS± 9DOOHH$]HYHGR-.RRSPDQ6DQG5XD$³WUDFNLQJWKHEXVLQHVVF\FOH RI WKH (XUR DUHD D PXOWLYDULDWH PRGHOEDVHG EDQGSDVV ILOWHU´ -RXUQDO RI EXVLQHVVDQGHFRQRPLFVWDWLVWLFVYRO =DUQRZLW] 9 ³7KH UHJXODULW\ RI %XVLQHVV F\FOHV´ 1%(5 ZRUNLQJ SDSHU =DUQRZLW] 9 DQG 2]\LOGLULP $ ³7LPH VHULHV GHFRPSRVLWLRQ DQG PHDVXUHPHQWRIEXVLQHVVF\FOHVWUHQGVDQGJURZWKF\FOHV´1%(5:RUNLQJ SDSHU1DWLRQDO%XUHDXRI(FRQRPLF5HVHDUFK&DPEULGJH86$ $SSHQGL[,'DWD 7DEOH$,'HVFULSWLRQGDWDXVHGIRUWKH1HWKHUODQGV ,QGLFDWRU &RQVXPHUFRQILGHQFH &6GXUDEOHV 3URGXFHUFRQILGHQFH %6QHZRUGHUV &RQVXPSWLRQ ([SRUWV %DQNUXSWFLHV &RPSRVLWH LQGLFDWRU &RQVXPHU 'XUDEOHV VXUYH\ FRQILGHQFH &%6 SXUFKDVHV RI &%6 &RPSRVLWH SURGXFHUV¶ FRQILGHQFH &%6 LQGLFDWRU IURP PDQXIDFWXULQJ LQGXVWU\ VXUYH\ %XVLQHVV VXUYH\ PDQXIDFWXULQJ &%6 LQGXVWU\RUGHUVUHFHLYHG 7RWDO KRXVHKROG FRQVXPSWLRQ YROXPHWUDGLQJGD\FRUUHFWHG ± &%6 7RWDOH[SRUWRIJRRGV±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±ILQLVKHGJRRGV VD 5DWHRIFDSDFLW\XWLOLVDWLRQLQLQGXVWU\ VD FLYLOLDQHPSOR\PHQW±DOOSHUVRQVVD 2(&' &DSDFLW\XWLOLVDWLRQ LQGXVWU\ &LYLOLDQHPSOR\PHQW %DQNFUHGLWORDQV &RPPHUFLDOEDQNV¶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− 6 = ∧ 6 = + Q − 6 = ∧ 6 = ({ (∑ (6 U , = Q − UM UM }) ( { + ( − 6 )( − 6 ))) M W \ W 6 W U W U U W M W M W }) W ,IWKHF\FOHVRI\UWDQG\MWDUHSHUIHFWO\V\QFKURQLVHG,UM ZKLOVWLI,UM WKHF\FOHV DUH SHUIHFWO\ RSSRVHG $Q\ YDOXH EHWZHHQ DQG ]HUR LQGLFDWHV D OHVVHU GHJUHH RI FRKHUHQFHZKLOVWLIWKHF\FOHVDUHFRPSOHWHO\LQGHSHQGHQWWKHQ [ ]= ( [6 ]( [6 ]+ ( − ( [6 ])( −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
© Copyright 2025 Paperzz