Book of Abstracts - Eea-esem.com

:('1(6'$< 7+ $8*867 

5(9,(: 2) (&2120,& 678',(6 /(&785( 

&DWHJRU\ (6(0 7KHRUHWLFDO DQG $SSOLHG (FRQRPLFV 

&KDLUSHUVRQ 7 %HVOH\ 

.HYLQ 0XUSK\ 

8QLYHUVLW\ RI &KLFDJR 

5RRP $XOD 0DJQD 

$XJ 

7+( 9$/8( 2) ,03529(0(176 ,1 +($/7+ $1' /21*(9,7< 

.H\ZRUGV 7KHUH DUH QR NH\ZRUGV DYDLODEOH IRU WKLV SDSHU 

-(/ &ODVVLILFDWLRQ 7KHUH DUH QR -(/ &ODVVLILFDWLRQV DYDLODEOH IRU WKLV SDSHU 

1R $EVWUDFW

-(/ &ODVVLILFDWLRQ ) ) DQG 3 

7KLV SDSHU XVHV G\QDPLF SDQHO GDWD PHWKRGV WR H[DPLQH WKH GHWHUPLQDQWV RI )RUHLJQ 

'LUHFW ,QYHVWPHQW )', LQWR &HQWUDO DQG (DVWHUQ (XURSHDQ &RXQWULHV &((&V 2XU 

HPSLULFDO PRGHO VKRZV WKDW WKH WUDGLWLRQDO GHWHUPLQDQWV VXFK DV PDUNHW SRWHQWLDO ORZ 

UHODWLYH XQLW ODERXU FRVWV D VNLOOHG ZRUNIRUFH DQG UHODWLYH HQGRZPHQWV KDYH VLJQLILFDQW 

DQG SODXVLEOH HIIHFWV ,Q DGGLWLRQ WUDQVLWLRQ VSHFLILF IDFWRUV VXFK DV WKH OHYHO DQG PHWKRG 

RI SULYDWLVDWLRQ DQG WKH FRXQWU\ ULVN SOD\ D LPSRUWDQW UROH LQ GHWHUPLQLQJ WKH IORZV RI )', 

LQWR WKH &((&V DQG KHOS H[SODLQ WKH GLIIHUHQW DWWUDFWLYHQHVV IRU )', RI WKH LQGLYLGXDO 

FRXQWULHV 

$QGUHD =DJKLQL 

(&% %DQN RI ,WDO\ 

75$'( $'9$17$*(6 $1' 63(&,$/,=$7,21 &219(5*(1&( ,1 

$&&(66,21 &28175,(6 

.H\ZRUGV 'LVWULEXWLRQ G\QDPLFV ,QWHUQDWLRQDO VSHFLDOL]DWLRQ PRGHO DQG 5HYHDOHG 

FRPSDUDWLYH DGYDQWDJHV 

-(/ &ODVVLILFDWLRQ ( ) DQG ) 

7KH SDSHU DQDO\VHV WKH HYROXWLRQ RI $FFHVVLRQ FRXQWULHV FRPSDUDWLYH DGYDQWDJHV RYHU 

WLPH LQ LWHPV RI WKH GLJLW 6,7& FODVVLILFDWLRQ 7KH VWXG\ VKRZV WKDW $&V DUH 

VSHFLDOLVHG LQ PDQ\ PDQXIDFWXUHG JRRGV DQG WKH\ GR QRW UHO\ RQO\ RQ QDWXUDO UHVRXUFHV 

7KH\ DOVR GLVSOD\ DQ LQFUHDVLQJ WUHQG LQ WKH RYHUDOO VSHFLDOLVDWLRQ ZLWK PRELOLW\ RYHU WLPH 

EHLQJ SDUWLFXODUO\ VWURQJ LQ WKH PLGGOH RI WKH GLVWULEXWLRQ 6LJQLILFDQW LPSURYHPHQWV ZHUH 

DOVR UHFRUGHG LQ WKH VSHFLDOLVDWLRQ WRZDUG WKH PRVW WUDGHG LWHPV ZLWK IRXU FRXQWULHV 

(VWRQLD +XQJDU\ 0DOWD DQG 6ORYHQLD VKRZLQJ D SRVLWLYH FRPSDUDWLYH DGYDQWDJH LQ WKH 

JURXS RI WKH ZRUOG PRVW GHPDQGHG SURGXFWV 

2OJD 3RPHUDQW] 

1DWLRQDO ,QVWLWXWH RI (FRQRPLF DQG 6RFLDO 5HVHDUFK 

&R $XWKRUV 5 %DUUHOO DQG ' +ROODQG 

02'(//,1* 7+( 52/( 2) )', ,1 75$'( ,1 7+( (8 $&&(66,21 

&28175,(6 

.H\ZRUGV (8 $FFHVVLRQ )', 3DQHO 'DWD DQG WUDGH 

-(/ &ODVVLILFDWLRQ ) DQG 3 

7KLV SDSHU H[SORUHV WKH OLQN EHWZHHQ )', DQG WUDGH LQ D SDQHO RI IRXU FRXQWULHV H[SHFWHG 

WR DFFHGH WR WKH (XURSHDQ 8QLRQ LQ 3RODQG +XQJDU\ WKH &]HFK 5HSXEOLF DQG 

6ORYHQLD :H DXJPHQW VWDQGDUG GHPDQG VLGH H[SRUW DQG LPSRUW HTXDWLRQV ZLWK D PHDVXUH 

RI )', SHQHWUDWLRQ :H ILUVW HVWLPDWH WKH HTXDWLRQV IRU HDFK FRXQWU\ VHSDUDWHO\ DQG 

FRQVWUXFW D SDQHO PHDQ JURXS HVWLPDWRU :H QH[W SRRO GDWD DFURVV FRXQWULHV DQG WHVW IRU 

FRPPRQ VORSH SDUDPHWHUV :H ILQG WKDW )', SHQHWUDWLRQ KDV D EURDGO\ QHXWUDO LPSDFW RQ 

WKH WUDGH EDODQFH +RZHYHU WKH WUDGH LQWHQVLW\ RI IRUHLJQ ILUPV GLIIHUV VLJQLILFDQWO\ DFURVV 

FRXQWULHV

5LNDUG )RUVOLG 

6WRFNKROP 8QLYHUVLW\ 

&R $XWKRUV . (NKROP DQG - 0DUNXVHQ 

(;3257 3/$7)250 )25(,*1 ',5(&7 ,19(670(17 

.H\ZRUGV 0XOWLQDWLRQDO )LUPV DQG 3ODWIRUP )', 

-(/ &ODVVLILFDWLRQ ) ) DQG ) 

:H XVH D WKUHH UHJLRQ PRGHO LQ ZKLFK WKHUH DUH WZR LGHQWLFDO ODUJH KLJK FRVW HFRQRPLHV 

DQG D VPDOO ORZ FRVW HFRQRP\ 3XUH H[SRUW SODWIRUP SURGXFWLRQ DULVHV LQ D V\PPHWULF 

FDVH ZKHQ D ILUP LQ HDFK RI WKH KLJK FRVW HFRQRPLHV KDV D SODQW DW KRPH DQG D SODQW LQ 

WKH ORZ FRVW FRXQWU\ WKH 6RXWK WR VHUYH WKH RWKHU KLJK FRVW FRXQWU\ $QRWKHU LQWHUHVWLQJ 

DQG HPSLULFDOO\ LPSRUWDQW FDVH DULVHV ZKHQ WKHUH LV WUDGH OLEHUDOL]DWLRQ EHWZHHQ RQH RI WKH 

KLJK FRVW FRXQWULHV DQG WKH VPDOO ORZ FRVW FRXQWU\ 7KH RXWVLGH KLJK FRVW FRXQWU\ PD\ 

ZLVK WR EXLOG D EUDQFK SODQW LQVLGH WKH IUHH WUDGH DUHD GXH WR PDUNHW VL]H EXW FKRRVHV WKH 

ORZ FRVW FRXQWU\ RQ WKH EDVLV RI FRVW 

(03,5,&$/ /$%285 (&2120,&6 0,5$ 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

2UJDQL]HU 3 0LUD 

$XJ 

5RRP 3 

0LFKDHO 0DLHU 

8QLYHUVLW\ RI .RQVWDQ] DQG &HQWUH IRU (XURSHDQ (FRQRPLF 5HVHDUFK =(: 0DQQKHLP 

&R $XWKRUV ) 3IHLIIHU DQG : 3RKOPHLHU 

6.,// 2%62/(6&(1&( $1' ,1',9,'8$/ +(7(52*(1(,7< 

.H\ZRUGV FRQGLWLRQDO PHDQ LQGHSHQGHQFH FRUUHODWHG UDQGRP FRHIIFLHQW PRGHO 

RYHUHGXFDWLRQ SRWHQWLDO RXWFRPH DSSURDFK DQG UHWXUQV WR VFKRROLQJ 

-(/ &ODVVLILFDWLRQ & - DQG - 

,Q WKLV SDSHU WKH HIIFLHQF\ RI KXPDQ FDSLWDO LQYHVWPHQWV LV HYDOXDWHG LQ 

WKH OLJKW RI LQDGHTXDWH HGXFDWLRQDO FDUHHUV DQG VNLOO REVROHVFHQFH $VVXPLQJ 

KHWHURJHQHRXV UHWXUQV WR VFKRROLQJ DQG RYHUHGXFDWLRQ ZH XVH WKH SRWHQWLDO 

RXWFRPH DSSURDFK WR PHDVXUH WKH FDXVDO HIIHFW RI KXPDQ FDSLWDO LQYHVWPHQWV 

RQ HDUQLQJV DV D FRQWLQXRXV WUHDWPHQW HIIHFW 

(PSLULFDO HYLGHQFH LV EDVHG RQ D VDPSOH RI :HVW *HUPDQ IXOO WLPH HPSOR\HG 

PDOHV IURP WKH ´%,%% ,$% 6WUXNWXUHUKHEXQJ ´ 

$QQD 1LOVVRQ 

6WRFNKROP 8QLYHUVLW\ DQG ,QVWLWXWH IRU /DERXU 0DUNHW 3ROLF\ (YDOXDWLRQ ,)$8 

&R $XWKRUV - $JHOO 

&5,0( $1' 81(03/2

.H\ZRUGV FULPH ODERU PDUNHW SURJUDPV SDQHO GDWD DQG XQHPSOR\PHQW 

-(/ &ODVVLILFDWLRQ - DQG . 

:H H[SORLW WKH KXJH YDULDWLRQ DFURVV 6ZHGLVK PXQLFLSDOLWLHV LQ WKH GHFOLQH LQ ORFDO 

XQHPSOR\PHQW EHWZHHQ DQG WR LGHQWLI\ WKH LPSDFW RI XQHPSOR\PHQW RQ FULPH 

2XU UHVXOWV LQGLFDWH WKDW WKHUH LV D VWDWLVWLFDOO\ VLJQLILFDQW FRUUHODWLRQ EHWZHHQ WKH RYHUDOO 

XQHPSOR\PHQW UDWH DQG PDLQ FDWHJRULHV RI SURSHUW\ FULPH 2XU UHVXOWV VXJJHVW WKDW WKH 

VKDUS UHGXFWLRQ LQ XQHPSOR\PHQW GXULQJ WKH ODWH V PD\ KDYH UHGXFHG EXUJODU\ DQG 

DXWR WKHIW ZLWK DQG SHUFHQW UHVSHFWLYHO\ 7KH UHODWLRQVKLS EHWZHHQ XQHPSOR\PHQW 

DQG YLROHQW FULPH LV FRQVLGHUDEO\ ZHDNHU EXW ZH ILQG DQ DVVRFLDWLRQ EHWZHHQ WKH 

XQHPSOR\PHQW UDWH RI \RXQJ PDOHV DQG UREEHU\ :LWK WKH SRVVLEOH H[FHSWLRQ IRU VWUHHW 

UHODWHG YLROHQFH ZH ILQG QR HYLGHQFH WKDW ODERU PDUNHW SURJUDPV WDUJHWHG WR \RXQJ PHQ 

UHGXFH FULPH 

0DUWHQ 3DOPH 

'HSDUWPHQW RI (FRQRPLFV 6WRFNKROP 8QLYHUVLW\ 

&R $XWKRUV * %URVWU|P 

(&2120,& ,1&(17,9(6 $1' *(1'(5 ',))(5(1&(6 ,1 :25. 

$%6(1&( %(+$9,25 

.H\ZRUGV GLVFUHWH WLPH FR[ UHJUHVVLRQ VLFNQHVV LQVXUDQFH DQG VWUDWLILHG &R[ UHJUHVVLRQ 

-(/ &ODVVLILFDWLRQ & DQG - 

:H HVWLPDWH D ODERU VXSSO\ PRGHO RQ D UDQGRP VDPSOH RI 6ZHGLVK PDOH DQG IHPDOH EOXH 

FROODU ZRUNHUV WR VWXG\ WKH HIIHFW RI HFRQRPLF LQFHQWLYHV RQ ZRUN DEVHQFH EHKDYLRU :H 

REVHUYH ZRUN DEVHQFH IRU HDFK GD\ GXULQJ DQG IRU HDFK ZRUNHU LQ WKH VDPSOH 

:H XVH QRQ SDUDPHWULF .DSODQ 0HLHU WHFKQLTXHV VHPL SDUDPHWULF VWUDWLILHG PRGHOV 

ZKHUH LQGLYLGXDO HIIHFWV DUH UHPRYHG DQG IXOO\ SDUDPHWULF &R[ UHJUHVVLRQ PRGHOV ZKHUH 

REVHUYHG FKDUDFWHULVWLFV DUH XVHG WR FRQWURO IRU KHWHURJHQHLW\ $Q H[RJHQRXV FKDQJH LQ 

WKH FRVW RI EHLQJ DEVHQW GXH WR D UHIRUP RI WKH VLFNQHVV LQVXUDQFH ZKLFK WRRN SODFH 

GXULQJ WKH WLPH SHULRG FRYHUHG E\ WKH GDWD LV XVHG DV LGHQWLI\LQJ LQIRUPDWLRQ 7KH 

HPSLULFDO DQDO\VLV LV IRFXVHG RQ H[SODLQLQJ JHQGHU GLIIHUHQFHV LQ ZRUN DEVHQFH EHKDYLRU 

(;&+$1*( 5$7(6 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

2UJDQL]HU . $EDGLU 

5LFKDUG .OHLMQ 

(FRQRPHWULF ,QVWLWXWH (UDVPXV 8QLYHUVLW\ 5RWWHUGDP 

&R $XWKRUV + 9DQ 'LMN 

$XJ 

5RRP 3 

5$7,21$/,=,1* 7+( 81,7 5227 ,1 5($/ (;&+$1*( 5$7(6 

%$

-(/ &ODVVLILFDWLRQ & DQG ) 

333 LV RIWHQ UHMHFWHG LQ HPSLULFDO ZRUN 6KRUW UXQ GHYLDWLRQV IURP 333 KDYH EHHQ 

H[SODLQHG SDUWLDOO\ E\ GHYLDWLRQV IURP UHDO LQWHUHVW SDULW\ +RZHYHU WKH GHYLDWLRQV IURP 

333 H[KLELW HYHQ WKHQ XQUHDVRQDEOH SHUVLVWHQFH ,Q WKLV SDSHU ZH DUJXH WKDW HYHQ 

WHPSRUDU\ UHDO LQWHUHVW UDWH GLIIHUHQWLDOV PD\ KDYH D SHUPDQHQW HIIHFW RQ UHDO H[FKDQJH 

UDWHV 7KH SDULW\ FRQGLWLRQV DUH VSHFLILHG LQ WHUPV RI XQREVHUYDEOH H[ DQWH UDWHV ZKLOH H[ 

SRVW UDWHV DUH RQO\ REVHUYDEOH DIWHU WKH KROGLQJ SHULRG 2XU H[FKDQJH UDWH PRGHO WKHUHIRUH 

LQFOXGHV LWV RZQ IRUHFDVWV $ .DOPDQ )LOWHU LV XVHG WR LQIHU WKH XQREVHUYHG WDUJHW OHYHOV 

%D\HVLDQ PHWKRGRORJ\ DOORZV XV WR TXDQWLW\ WKH HIIHFW RI SDUDPHWHU XQFHUWDLQW\ LQ 

PHDVXULQJ WKH SHUVLVWHQFH 7KH HPSLULFDO UHVXOWV LQGLFDWH WKDW RXU VWUXFWXUDO VSHFLILFDWLRQ 

JUHDWO\ LPSURYHV PRGHO ILW DQG IRUHFDVWLQJ SHUIRUPDQFH RYHU FRQYHQWLRQDO FRPELQHG SDULW\ 

PRGHOV DQG DGGLWLRQDOO\ UHGXFHV SHUVLVWHQFH RI GHYLDWLRQV IURP 333 

'DQLHO 9HQWRVD 6DQWDXODULD 

*5(4$0 

*(1(5$/,=(' 48$'5$7,& 029,1* $9(5$*( &21',7,21$/ 

+(7(526.('$67,&,7< :,7+ (67,0$7(6 2) 7+( 92/$7,/,7< 2) 

7+( ' 0$5. 86 '2//$5 (;&+$1*( 5$7( 

.H\ZRUGV &RQGLWLRQDOO\ KHWHURVNHGDVWLF PRGHOV *(40$&+ +RPRVNHGDVWLFLW\ WHVWV 

40$&+ DQG 7UXQFDWHG 9ROWHUUD GHYHORSPHQWV 

-(/ &ODVVLILFDWLRQ & & DQG & 

$Q LPSUHVVLYH DUUD\ RI YDULDQFH VSHFLILFDWLRQV EHORQJLQJ WR WKH $5&+ FODVV KDV HPHUJHG 

7KLV GRPDLQ KDV DFKLHYHG VXFFHVVIXO GHYHORSPHQWV

WLPH SDWK 

$QQH /DXUH %DOGL 

)2580 8QLYHUVLW\ RI 3DULV 1DQWHUUH 

),;(' (;&+$1*( 5$7( 5(*,0(6 $1' 1$7,21$/ 35,&( /(9(/6 

(9,'(1&( )520 /$7,1 $0(5,&$1 &28175,(6 

.H\ZRUGV DV\PHWULF LQIRUPDWLRQ PRQHWDU\ SROLF\ DQG SULFH OHYHO 

-(/ &ODVVLILFDWLRQ ' ( DQG ( 

7KLV SDSHU H[DPLQHV WKH HIIHFWV RI IL[HG H[FKDQJH UDWH UHJLPH RQ WKH EHKDYLRU RI WKH UHDO 

H[FKDQJH UDWH WDNHQ DV WKH UHODWLYH SULFH RI QRQWUDGDEOH 1 7 JRRGV LQ WHUPV RI WUDGDEOHV 

7 :H GHYHORS D VLPSOH PRGHO RI D VPDOO RSHQ HFRQRP\ SURGXFLQJ 7 DQG 1 7 JRRGV 

ZLWK D PRQRSROLVWLF FRPSHWLWLRQ j OD 'L[LW 6WLJOLW] DQG D VWLFN\ LQIRUPDWLRQ FRQWH[W 

0DQNLZ DQG 5HLVV LQ WKH 1 7 VHFWRU DQG SUHVHQW HPSLULFDO HYLGHQFH IRU WKUHH /DWLQ 

$PHULFDQ FRXQWULHV 7KH HYLGHQFH VXSSRUWV WKH SUHGLFWLRQV RI WKH PRGHO QDPHO\ WKDW 

SHJJLQJ WKH QRPLQDO H[FKDQJH UDWH DIWHU D SHULRG RI FRQWLQXRXV QRPLQDO GHSUHFLDWLRQV 

PDNHV WKH UHODWLYH SULFH UDWLR RYHUVKRRW IURP LWV ORQJ WHUP YDOXH 

),1$1&,$/ 0$5.(76 3267(5 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

0DWHL 'HPHWUHVFX 

7HFKQLVFKH 8QLYHUVLWlW 'DUPVWDGW 

$XJ 

81&(57$,17< $1' /,48,',7< ,1 25'(5 '5,9(1 0$5.(76 

.H\ZRUGV /LTXLGLW\ 3ULFH LPSDFW 7LPH RI GD\ HIIHFWV DQG 8QFHUWDLQW\ 

-(/ &ODVVLILFDWLRQ * 

7KH PRUH OLTXLG D ILQDQFLDO PDUNHW LV WKH FORVHU LW LV WR D 

SHUIHFW PDUNHW 2QH RI WKH PHDVXUHV RI OLTXLGLW\ WKH SULFH LPSDFW 

RI ODUJH RUGHUV KDV EHHQ REVHUYHG WR IROORZ FHUWDLQ SDWWHUQV 

WKURXJKRXW WKH GD\ :H SURSRVH D PRGHO WKDW H[SODLQV LWV 

GHFUHDVLQJ VKDSH GXULQJ WKH GD\ IRU RUGHU GULYHQ PDUNHWV E\ 

FRQVLGHULQJ WKH OLNHOLKRRG RI WKH DUULYDO RI SULFH UHOHYDQW 

LQIRUPDWLRQ DQG LWV HIIHFWV RQ WKH ULVN DGMXVWPHQW RI WKH WUDGHUV 

0DWKLDV 'UHKPDQQ 

%DQN RI (QJODQG 

&R $XWKRUV - 2HFKVVOHU DQG $ 5RLGHU 

5RRP 3

+(5',1* $1' &2175$5,$1 %(+$9,25 ,1 ),1$1&,$/ 0$5.(76 

$1 ,17(51(7 (;3(5,0(17 

.H\ZRUGV FRQWUDULDQ LQYHVWRUV KHUGLQJ LQIRUPDWLRQDO FDVFDGHV LQWHUQHW H[SHULPHQW DQG 

PDUNHW HIILFLHQF\ 

-(/ &ODVVLILFDWLRQ & ' * DQG * 

:H UHSRUW UHVXOWV RI DQ LQWHUQHW H[SHULPHQW GHVLJQHG WR WHVW WKH WKHRU\ RI LQIRUPDWLRQDO 

FDVFDGHV LQ ILQDQFLDO PDUNHWV 0RUH WKDQ VXEMHFWV LQFOXGLQJ D VXEVDPSOH RI 

FRQVXOWDQWV IURP DQ LQWHUQDWLRQDO FRQVXOWLQJ ILUP SDUWLFLSDWHG LQ WKH H[SHULPHQW $V 

SUHGLFWHG E\ WKHRU\ ZH ILQG WKDW WKH SUHVHQFH RI D IOH[LEOH PDUNHW SULFH SUHYHQWV KHUGLQJ 

+RZHYHU WKH SUHVHQFH RI FRQWUDULDQ EHKDYLRU ZKLFK FDQ SDUWO\ EH UDWLRQDOL]HG YLD HUURU 

PRGHOV GLVWRUWV SULFHV DQG HYHQ DIWHU GHFLVLRQV FRQYHUJHQFH WR WKH IXQGDPHQWDO YDOXH 

LV UDUH :H DOVR VWXG\ WKH HIIHFWV RI WUDQVDFWLRQ FRVWV DQG WKH H[SHFWDWLRQV RI VXEMHFWV ZLWK 

UHVSHFW WR IXWXUH SULFHV )LQDOO\ ZH ORRN DW WKH EHKDYLRU RI YDULRXV VXEVDPSOHV RI RXU 

KHWHURJHQHRXV VXEMHFW SRRO 

0DUFLD /HRQ 

%DQFR &HQWUDO GR %UDVLO 

&R $XWKRUV $ $UDXMR 

63(&8/$7,9( $77$&.6 21 '(%76 $1' 237,080 &855(1&< 

$5($ $ :(/)$5( $1$/

-(/ &ODVVLILFDWLRQ * DQG * 

7KLV SDSHU XVHV D XQLTXH VDPSOH RI 6SDQLVK HTXLW\ R HULQJV IURP WR 

WR WHVW ZKR EHQHILWV IURP ,32 XQGHUSULFLQJ DQG ZK\ ,QVWLWXWLRQV UHFHLYH QHDUO\ 

RI WKH SURILWV LQ XQGHUSULFHG LVVXHV ZKLOH WKH\ KDYH WR EHDU RQO\ RI WKH ORVVHV 

LQ RYHUSULFHG R HULQJV 6XSHULRU LQIRUPDWLRQ UHJDUGLQJ ILUVW GD\ XQGHUSULFLQJ 

FDQQRW 

FRPSOHWHO\ H[SODLQ WKH LQVWLWXWLRQDO DEQRUPDO SURILWV 8QGHUZULWHUV DUH EHWWHU LQIRUPHG 

DERXW WKH WKH FRPSDQLHV WKH\ WDNH SXEOLF DQG XVH WKDW LQIRUPDWLRQ WR IDYRU WKHLU ORQJ 

WHUP FOLHQWV 7KH SUHIHUHQWLDO WUHDWPHQW RI LQVWLWXWLRQDO LQYHVWRUV KRZHYHU GRHV QRW 

FRPH DW WKH H[SHQVH RI UHWDLO LQYHVWRUV 5HWDLO LQYHVWRUV HDUQ SRVLWLYH SURILWV IURP 

SDUWLFLSDWLQJ LQ WKH QHZ LVVXHV PDUNHW 7KH GULYLQJ IDFWRU EHKLQG WKH UHODWLYH UHWDLO 

ODUJH DOORFDWLRQ LQ RYHUSULFHG LVVXHV ZKHQ FRPSDUHG WR XQGHUSULFHG R HULQJV LV 

QRW WKH 

XQGHUZULWHU DOORFDWLRQ ELDV LQ IDYRU RI LQVWLWXWLRQDO LQYHVWRUV 5HWDLO LQYHVWRUV VXEVFULEH 

PRUH KHDYLO\ WR XQGHUSULFHG LVVXHV FRQVLVWHQW ZLWK LQGLYLGXDOV EHLQJ SDUWLDOO\ LQIRUPHG 

6$9,1* $1' 3257)2/,2 &+2,&(6 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

2UJDQL]HU $ 0LFKDHOLGHV 

&KDUOHV *UDQW 

(8, 

&R $XWKRUV $ 0LFKDHOLGHV 

5(',675,%87,9( 32/,&,(6 7+528*+ 7$;$7,21 7+(25< $1' 

(9,'(1&( 

$XJ 

5RRP 3 

.H\ZRUGV 8QGLYHUVLILDEOH (DUQLQJV 5LVN 7D[ 'LVWRUWLRQV (TXLW\ (IILFLHQF\ 7UDQVIHUV 

-(/ &ODVVLILFDWLRQ ( DQG + 

,QFUHDVLQJ PDUJLQDO WD[ UDWHV DQG PDNLQJ SD\PHQWV WR WKH SRRU UHGXFH LQHTXDOLW\ DQG 

LQWURGXFH VDYLQJV GLV LQFHQWLYHV 8VLQJ D KHWHURJHQHRXV DJHQW PRGHO ZLWK LQFRPSOHWH 

PDUNHWV ZH VKRZ WKDW KLJKHU WD[HV DQG WUDQVIHUV GHFUHDVH FRQVXPSWLRQ LQHTXDOLW\ EXW 

DOVR PHDQ VDYLQJV DQG PHDQ FRQVXPSWLRQ 7KLV GHPRQVWUDWHV WKH WUDGH RII EHWZHHQ 

HTXLW\ DQG HIILFLHQF\ 7KHVH WKHRUHWLFDO SUHGLFWLRQV DUH WHVWHG E\ H[SORLWLQJ GLIIHUHQFHV LQ 

WD[ UDWHV DFURVV 86 VWDWHV 8VLQJ WZR VXUYH\V WKH &RQVXPHU ([SHQGLWXUH 6XUYH\ DQG WKH 

&XUUHQW 3RSXODWLRQ 6XUYH\ ZH VKRZ WKDW WKH HPSLULFDO HYLGHQFH VXSSRUWV WKH WKHRU\ DQG 

WKDW WKHUH LV D FRPSDUDWLYHO\ VPDOO IDOO LQ HIILFLHQF\ IRU D JLYHQ JDLQ LQ HTXLW\ 

6KRUWODQG $QMD 

8QLYHUVLW\ RI /HLFHVWHU 

&R $XWKRUV ' )LHOGLQJ 

+2: '2(6 32/,7,&$/ 9,2/(1&( $))(&7 &855(1&< 

68%67,787,21" (9,'(1&( )520 (*

.H\ZRUGV $VVHW 'HPDQG &XUUHQF\ 6XEVWLWXWLRQ (J\SW 3ROLWLFDO 9LROHQFH DQG 5DGLFDO 

,VODPLVP 

-(/ &ODVVLILFDWLRQ ( ) DQG 2 

,Q WKLV SDSHU ZH HVWLPDWH D WLPH VHULHV PRGHO RI WKH ILQDQFLDO DVVHW SRUWIROLR VKDUHV LQ 

(J\SW GLVWLQJXLVKLQJ EHWZHHQ DVVHWV RI YDU\LQJ GHJUHHV RI OLTXLGLW\ DQG EHWZHHQ GRPHVWLF 

FXUUHQF\ DQG IRUHLJQ FXUUHQF\ GHSRVLWV :KLOH ILQDQFLDO OLEHUDOL]DWLRQ DQG ILQDQFLDO VWDELOLW\ 

DUH IRXQG WR KDYH HQFRXUDJHG GRPHVWLF UHVLGHQWV WR LQFUHDVH WKH VKDUH RI WKHLU SRUWIROLR 

FRPSRVHG RI GRPHVWLF FXUUHQF\ DVVHWV WKHVH HIIHFWV KDYH EHHQ RIIVHW E\ DQ LQFUHDVH LQ 

WKH QXPEHU RI YLROHQW SROLWLFDO LQFLGHQWV DULVLQJ IURP FRQIOLFW EHWZHHQ UDGLFDO ,VODPLF 

JURXSV DQG WKH (J\SWLDQ VWDWH *UHDWHU YLROHQFH KDV OHG WR ORZHU GRPHVWLF DVVHW GHPDQG 

DQG VXEVWLWXWLRQ LQWR IRUHLJQ FXUUHQF\ GHSRVLWV 

)UDQFHVFR 0HQRQFLQ 

8QLYHUVLWp FDWKROLTXH GH /RXYDLQ 

237,0$/ 5($/ ,19(670(17 :,7+ 672&+$67,& ,1&20( $ 48$6, 

(;3/,&,7 62/87,21 )25 +$5$ ,19(67256 

.H\ZRUGV $VVHW $OORFDWLRQ )H\QPDQ .DF 7KHRUHP ,QIODWLRQ 5LVN 6WRFKDVWLF ,QYHVWPHQW 

2SSRUWXQLWLHV DQG 6WRFKDVWLF :DJH ,QFRPH 

-(/ &ODVVLILFDWLRQ & DQG * 

,Q WKLV SDSHU ZH WDNH LQWR DFFRXQW D YHU\ JHQHUDO VHWWLQJ ZLWK L D VHW RI VWRFKDVWLF 

LQYHVWPHQW RSSRUWXQLWLHV LL D VHW RI ULVN\ DVVHWV LLL D ULVNOHVV DVVHW SD\LQJ D VWRFKDVWLF 

LQWHUHVW UDWH LY D VWRFKDVWLF LQIODWLRQ ULVN Y VWRFKDVWLF ODERU LQFRPH DQG YL D +$5$ 

LQYHVWRU :H FRPSXWH DQ H[DFW VROXWLRQ IRU WKH SUREOHP RI PD[LPL]LQJ WKH H[SHFWHG YDOXH 

RI WKH ILQDO UHDO LQYHVWRU V ZHDOWK DQG ZH VKRZ WKDW WKH LQYHVWRU EHKDYHV DV LI KH FRXOG UHO\ 

RQ KLV ZHDOWK DXJPHQWHG E\ WKH H[SHFWHG YDOXH RI DOO KLV IXWXUH UHDO ODERU LQFRPHV 

GLPLQLVKHG E\ WKHLU UHDO ULVN YDOXH 

$OH[ 0LFKDHOLGHV 

/RQGRQ 6FKRRO RI (FRQRPLFV 

&R $XWKRUV ) *RPHV 

237,0$/ /,)( &

*HRUJH .RUQLRWLV 

8QLYHUVLW\ RI 1RWUH 'DPH 

7(67,1* (;7(51$/ +$%,76 ,1 8 6 67$7( &2168037,21 



,Q WKH FXUUHQW SDSHU , ILQG HYLGHQFH VXSSRUWLQJ H[WHUQDO KDELW IRUPDWLRQ 

DW WKH 8 6 VWDWH OHYHO 7KH DQDO\VLV XVHV D SDQHO RI DQQXDO 8 6 VWDWH 

GDWD 6WDWH GDWD HQDEOHV XV WR GHILQH PHDVXUHV RI H[WHUQDO KDELWV ZKLFK DUH QRW 

REVHUYDWLRQDOO\ HTXLYDOHQW WR LQWHUQDO KDELWV 7KH HPSLULFDO DQDO\VLV 

FRPSULVHV DQ DSSUR[LPDWH (XOHU HTXDWLRQ GHULYHG IURP VWDWH 

UHSUHVHQWDWLYH DJHQW PRGHOV ZLWK WZR IRUPV RI H[WHUQDO KDELWV &DWFKLQJ 

XS H[WHUQDO KDELWV DUH PRGHOOHG E\ DYHUDJH 8 6 VWDWH SDVW FRQVXPSWLRQ 

FKRLFHV DQG NHHSLQJ XS H[WHUQDO KDELWV DUH PRGHOOHG E\ DYHUDJH 8 6 

VWDWH FXUUHQW FRQVXPSWLRQ FKRLFHV )RU HDFK VWDWH WKH DYHUDJHV ZKLFK 

PRGHO KDELWV GR QRW LQFOXGH WKH FRQVXPSWLRQ FKRLFHV RI LWV QHLJKERULQJ 

VWDWHV WR DYRLG HIIHFWV IURP FURVV ERUGHULQJ VKRSSLQJ , SRRO WKH VWDWH 

(XOHU HTXDWLRQV DQG , HVWLPDWH WKH UHJUHVVLRQV ZLWK D G\QDPLF SDQHO 

OHDVW VTXDUH HVWLPDWRU ZLWK IL[HG HIIHFWV 7KH HVWLPDWRU H[SOLFLWO\ 

DFFRPPRGDWHV WKH ELDV LQGXFHG E\ ERWK IRUPV RI H[WHUQDO KDELWV 

8VLQJ DQQXDO GDWD H[WHUQDO KDELWV DUH IRXQG WR EH VWDWLVWLFDOO\ VLJQLILFDQW 

)XUWKHUPRUH WKH GDWD UHMHFW WKH UDWLR IXQFWLRQDO IRUP IRU WKH XWLOLW\ IXQFWLRQ 

VXSSRUWLQJ WKH GLIIHUHQFH IXQFWLRQDO IRUP 7KXV &DPSEHOO DQG &RFKUDQH 

PDGH WKH ULJKW FKRLFHV E\ XVLQJ D GLIIHUHQFH PRGHO IRU WKHLU XWLOLW\ IXQFWLRQ 

DQG E\ LQFOXGLQJ NHHSLQJ XS DQG FDWFKLQJ XS KDELWV LQ WKHLU PRGHO 

)LQDOO\ , VKRZ WKDW WKH VLJQLILFDQFH RI H[WHUQDO KDELWV GRHV QRW VWHP 

HLWKHU IURP SRVVLEOH FRQYHUJHQFH RI 8 6 VWDWH LQFRPH RU IURP WKH RPLVVLRQ 

RI D FRPPRQ IDFWRU SUHVHQW LQ WKH FRQVXPSWLRQ FKRLFHV RI DOO VWDWHV 

32/,7,&$/ (&2120< 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

7KRPDV 5HQVWURP 

8QLYHUVLW\ RI 'XUKDP 

32/,7,&$/ ,167,787,216 $1' 5(',675,%87,21 

$XJ 

.H\ZRUGV EDUJDLQLQJ &RPSDUDWLYH SROLWLFV HQGRJHQRXV WD[DWLRQ RYHUODSSLQJ 

JHQHUDWLRQV UHGLVWULEXWLYH WD[DWLRQ DQG YRWLQJ 

-(/ &ODVVLILFDWLRQ ' ( ( + DQG + 

5RRP 3 

7KH SDSHU GHYHORSV D PRGHO RI D SDUOLDPHQW WR DQDO\VH SROLWLFDO HTXLOLEULXP WD[ DQG 

VSHQGLQJ GHFLVLRQV ,QGLYLGXDOV GLIIHU LQ DJH DQG LQ SUHIHUHQFHV RYHU D SXEOLF JRRG ,Q 

HDFK SHULRG ODERXU DQG FDSLWDO WD[DWLRQ LV XVHG WR ILQDQFH WKH SXEOLF JRRG ,QGLYLGXDOV DUH 

IUHH WR IRUP SDUWLHV 7KH QXPEHU RI VHDWV REWDLQHG E\ D SDUW\ LV SURSRUWLRQDO WR WKH QXPEHU 

RI YRWHV LW JHWV *LYHQ WKH HOHFWLRQ UHVXOW SDUWLHV IRUP FRDOLWLRQV WR EDUJDLQ RYHU SROLF\

SURSRVDOV 7KH LPSOHPHQWHG SURSRVDO LV WKH RQH JHWWLQJ PRUH WKDQ KDOI RI WKH YRWHV LQ 

SDUOLDPHQW 

9HUHQD /LHVVHP 

8QLYHUVLW\ RI +HLGHOEHUJ 

,1&(17,9( &2175$&76 )25 32/,7,&,$16 $1' 7+( ,1)250$7,21 

()),&,(1&< 2) $ '(02&5$&< 

.H\ZRUGV HOHFWLRQV LQFHQWLYH FRQWUDFWV DQG LQIRUPDWLRQ HIILFLHQF\ 

-(/ &ODVVLILFDWLRQ ' DQG ' 

:H FRQVLGHU D FDPSDLJQLQJ PRGHO LQ ZKLFK FDQGLGDWHV FDQ PDNH ODZ DQQRXQFHPHQWV IRU 

UHIRUPV LQ WKH QH[W WHUP +RZHYHU JHWWLQJ LQIRUPDWLRQ DERXW WKH ODZ LQFXUV WKHP VRPH 

FRVW :H VKRZ WKH FRQGLWLRQV XQGHU ZKLFK D FDQGLGDWH VHDUFKHV IRU LQIRUPDWLRQ XQGHU WKH 

HOHFWLRQ PHFKDQLVP DQG WKXV JLYH UHDVRQV ZKHQ FDPSDLJQ DQQRXQFHPHQWV DUH FUHGLEOH 

)XUWKHUPRUH ZH LQWURGXFH DQ LQFHQWLYH FRQWUDFW ZKLFK PDNHV UHHOHFWLRQ GHSHQGHQW RQ 

ZKHWKHU WKH FDPSDLJQ DQQRXQFHPHQW KDV EHHQ IXOILOOHG RU QRW :H VKRZ WKDW WKH LQFHQWLYH 

FRQWUDFW LQFUHDVHV WKH ZLOOLQJQHVV WR VHDUFK IRU LQIRUPDWLRQ DQG WKXV WKH FUHGLELOLW\ RI 

FDPSDLJQ DQQRXQFHPHQWV +RZHYHU WKH LQFHQWLYH FRQWUDFW PD\ OHDG WR WKH QRW 

XQGHUWDNLQJ RI EHQHILFLDO UHIRUPV :KLFK RI WKHVH WZR HIIHFWV GRPLQDWHV GHSHQGV RQ WKH 

SDUDPHWHU FRQVWHOODWLRQ 

+DQQD cJUHQ 

'HSDUWPHQW RI (FRQRPLFV 8SSVDOD 8QLYHUVLW\ 

&R $XWKRUV 0 'DKOEHUJ DQG ( 0|UN 

927(56 $1' 32/,7,&,$16 35()(5(1&(6 )25 :(/)$5( 

6(59,&(6 '2 7+(< 0$7&+" 

.H\ZRUGV /RFDO 3XEOLF ([SHQGLWXUH 3ROLWLFDO 5HSUHVHQWDWLRQ 3ROLWLFLDQ 3UHIHUHQFHV 

6XUYH\ 'DWD DQG 9RWHU 3UHIHUHQFHV 

-(/ &ODVVLILFDWLRQ & + DQG + 

7KLV SDSHU LQYHVWLJDWHV WR ZKDW H[WHQW YRWHUV DQG SROLWLFLDQV KDYH WKH VDPH SUHIHUHQFHV 

IRU ORFDO SXEOLF VHUYLFHV :H PDNH XVH RI WZR GLIIHUHQW W\SHV RI VXUYH\ TXHVWLRQDLUHV RQH 

GLUHFWHG WRZDUGV YRWHUV DQG RQH GLUHFWHG WRZDUGV SROLWLFLDQV 7KH VXUYH\V ZHUH FRQGXFWHG 

DW WKUHH GLIIHUHQW SRLQWV LQ WLPH DQG :H ILQG WKDW YRWHUV DQG 

SROLWLFLDQV KDYH VLJQLILFDQWO\ GLIIHUHQW SUHIHUHQFHV IRU ORFDO SXEOLF VHUYLFHV DQG WKDW WKH 

JDS KDV LQFUHDVHG RYHU WLPH ,Q RUGHU WR GHFLGH ZKHWKHU WKLV JDS LV LQ DFFRUGDQFH ZLWK WKH 

ZLOO RI WKH YRWHUV ZH VWXG\ WKH UHODWLRQVKLS EHWZHHQ WKH JDS LQ SUHIHUHQFHV DQG YRWHUV 

GLVVDWLVIDFWLRQ ZLWK ORFDO SROLWLFLDQV ,W WXUQV RXW WKDW WKH GLIIHUHQFHV LQ SUHIHUHQFHV 

FRUUHODWH ZLWK WKH YRWHUV H[SUHVVHG GLVWUXVW LQ ORFDO SROLWLFLDQV WKH PRUH WKH SROLWLFLDQV 

SUHIHUHQFHV GLYHUJH IURP WKRVH RI WKH YRWHUV WKH ORZHU LV WKH YRWHUV WUXVW LQ SROLWLFLDQV 

'DQLHO 6WXUP 

8QLYHUVLW\ RI 0XQLFK

&R $XWKRUV 0 6PDUW 

7(50 /,0,76 $1' 32/,7,&$/ $&&2817$%,/,7< 

.H\ZRUGV $FFRXQWDELOLW\ 3ROLWLFDO (FRQRPF\ DQG 7HUP /LPLWV 

-(/ &ODVVLILFDWLRQ ' DQG + 

7KLV SDSHU DQDO\VHV WKH LPSDFW RI WHUP OLPLWV LQ D SROLWLFDO DJHQF\ PRGHO :H ILQG WKDW WHUP 

OLPLWV UHGXFH WKH YDOXH RI KROGLQJ RIILFH 7KLV UHGXFWLRQ LQ WKH UH HOHFWLRQ LQFHQWLYH FDQ 

LQGXFH SROLWLFLDQV WR LPSOHPHQW SROLFLHV WKDW DUH FORVHU WR WKHLU RZQ SULYDWH SUHIHUHQFHV 

6XFK WUXWKIXO EHKDYLRXU E\ LQFXPEHQWV ZLOO LQ WXUQ UHVXOW LQ D EHWWHU VFUHHQLQJ RI 

LQFXPEHQWV ZKRVH SUHIHUHQFHV GR QRW FRUUHVSRQG WR YRWHUV SUHIHUHQFHV :H VKRZ WKDW 

WKHVH HIIHFWV FDQ PDNH D WZR WHUP WHUP OLPLW ZKLFK LV WKH HPSLULFDOO\ PRVW IUHTXHQW 

UHVWULFWLRQ RQ WHQXUH H[ DQWH ZHOIDUH LPSURYLQJ IURP WKH SHUVSHFWLYH RI YRWHUV 

$&$'(0,& 38%/,6+,1* 7+( (1' 2) 

(;3/2,7$7,21" 

&DWHJRU\ (($ 

&KDLUSHUVRQ 7 (OOLQJVHQ 

7HG %HUJVWURP 

8QLYHUVLW\ RI &DOLIRUQLD 6DQWD %DUEDUD 

$DURQ (GOLQ 

8QLYHUVLW\ RI &DOLIRUQLD %HUNHOH\ 

0DUN 0F&DEH 

*HRUJLD ,QVWLWXWH RI 7HFKQRORJ\ 

+DQQV 3HWHU 1HKO 

(XURSHDQ &RPPLVVLRQ 

$XJ 

$&$'(0,& 38%/,6+,1* 7+( (1' 2) (;3/2,7$7,21" 



1R DEVWUDFW DYDLODEOH 

*$0( 7+(25< , 


&KDLUSHUVRQ 0 0HLHU 

(OLRW 0DHQQHU 

8QLYHUVLW\ RI (VVH[ 

$XJ 

$'$37$7,21 $1' &203/(;,7< ,1 5(3($7(' *$0(6 

5RRP 7%$ 

5RRP (

.H\ZRUGV ERXQGHG UDWLRQDOLW\ OHDUQLQJ DQG UHSHDWHG JDPHV 

-(/ &ODVVLILFDWLRQ & 

$ OHDUQLQJ PRGHO LV FRQVWUXFWHG IRU WZR SOD\HU UHSHDWHG JDPHV ,Q DQ LQIHUHQFH 

VWHS SOD\HUV FRQVWUXFW PLQLPDOO\ FRPSOH[ PRGHOV RI VWUDWHJLHV EDVHG RQ REVHUYHG SOD\ 

DQG LQ DQ DGDSWDWLRQ VWHS SOD\HUV FKRRVH PLQLPDOO\ FRPSOH[ EHVW UHVSRQVHV WR DQ 

LQIHUHQFH :KHQ ERWK SOD\HUV KDYH RSWLPLVWLF LQIHUHQFHV VWDJH JDPH 1DVK HTXLOLEULD 

DUH SOD\HG LQ DOO VWHDG\ VWDWHV LQ WKH VHW RI ILQLWH VWDWH DXWRPDWD ZKLOH XQGHU FDXWLRXV 

LQIHUHQFHV WKH VHW RI VWHDG\ VWDWHV LV WKH VXEVHW RI VHOI FRQILUPLQJ HTXLOLEULD ZLWK 1DVK 

RXWFRPH SDWKV &RQYHUJHQFH WR WKHVH VWHDG\ VWDWHV LV GHPRQVWUDWHG LQ WKH 3ULVRQHUV 

'LOHPPD ZKHQ WKH LQLWLDO FRQGLWLRQV KDYH DW PRVW WZR VWDWHV 

-RXUQDO RI (FRQRPLF /LWHUDWXUH &ODVVLILFDWLRQ 1XPEHUV & ' 

.H\ :RUGV UHSHDWHG JDPHV OHDUQLQJ ERXQGHG UDWLRQDOLW\ 

-RKDQQHV +RUQHU 

.60 0('6 1RUWKZHVWHUQ 8QLYHUVLW\ 

&R $XWKRUV - (O\ DQG : 2OV]HZVNL 

%(/,() )5(( (48,/,%5,$ 

.H\ZRUGV IRON WKHRUHP SULYDWH PRQLWRULQJ DQG UHSHDWHG JDPH 

-(/ &ODVVLILFDWLRQ & & DQG ' 

:H GHILQH DQG FKDUDFWHUL]H EHOLHI IUHH HTXLOLEULD $ VHTXHQWLDO HTXLOLEULXP LV EHOLHI IUHH LI 

DIWHU HYHU\ SULYDWH KLVWRU\ HDFK SOD\HU V FRQWLQXDWLRQ VWUDWHJ\ LV RSWLPDO LQGHSHQGHQWO\ RI 

KLV EHOLHI DERXW KLV RSSRQHQW V SULYDWH KLVWRULHV ([DPSOHV LQFOXGH WKH VWUDWHJLHV XVHG LQ 

(O\ 9DOLPDNL DQG 3LFFLRQH WR HVWDEOLVK UREXVW IRON WKHRUHPV IRU WKH 

SULVRQHU V GLOHPPD :H VKRZ WKDW WKH VHW RI EHOLHI IUHH HTXLOLEULXP SD\RIIV IRU D WZR SOD\HU 

JDPH FDQ EH GHWHUPLQHG E\ D OLQHDU SURJUDPPH ,Q SDUWLFXODU WKH UREXVW IRON WKHRUHP IDLOV 

IRU PRVW JDPHV :H JHQHUDOL]H RXU FRQVWUXFWLRQ WR Q SOD\HU JDPHV DQG HVWDEOLVK WKH 

UREXVW IRON WKHRUHP IRU WKH Q SOD\HU SULVRQHU V GLOHPPD 

0DUWLQ 0HLHU 

&25( 8&/ 

),1,7(/< $'',7,9( %(/,()6 $1' 81,9(56$/ 7

35()(5(1&(6 $1' '(&,6,21 0$.,1* ,, 


&KDLUSHUVRQ 0 %¡J 

%RPPLHU $QWRLQH 

8QLYHUVLW\ RI 7RXORXVH *5(0$4 

9$/8,1* /,)( 81'(5 7+( 6+$'2: 2) '($7+ 

.H\ZRUGV ,QWHUWHPSRUDO FKRLFH OLIH F\FOH PRGHOV DQG 9DOXH RI OLIH 

-(/ &ODVVLILFDWLRQ ' DQG - 

$XJ 

5RRP ( 

7KLV SDSHU GHYHORSV DQ D[LRPDWLF FRQVWUXFWLRQ RI SUHIHUHQFHV WKDW DOORZV WR FRPSDUH 

ORWWHULHV LQYROYLQJ OLYHV RI GLIIHUHQW OHQJWKV 2XU D[LRPV OHDG WR H[SORUH XWLOLW\ IXQFWLRQV WKDW 

DUH QRW QHFHVVDULO\ DGGLWLYH :H VKRZ WKDW UHOD[LQJ WKH DGGLWLYLW\ DVVXPSWLRQ OHDGV WR D 

IXQGDPHQWDO VKLIW LQ KRZ WKH ULVN RI GHDWK PD\ EH H[SHFWHG WR DIIHFW LQWHUWHPSRUDO FKRLFHV 

7KH UDWH RI WLPH GLVFRXQWLQJ LV VKRZQ WR EH UHODWHG WR PRUWDOLW\ DQG WR WKH ZD\ OLIH LV 

YDOXHG 7KLV H[SODLQV ZK\ LPSDWLHQFH PD\ VLJQLILFDQWO\ YDU\ DORQJ WKH OLIH F\FOH DV ZHOO 

DV ZK\ LW PD\ FKDQJH ZLWK WLPH GXULQJ SHULRGV RI PRUWDOLW\ GHFOLQH 

$QGUHDV :DJHQHU 

8QLYHUVLW\ RI 9LHQQD 

&R $XWKRUV 7 (LFKQHU 

9$5,$1&( 98/1(5$%,/,7< %$&.*5281' 5,6.6 $1' 0($1 

9$5,$1&( 35()(5(1&(6 

.H\ZRUGV EDFNJURXQG ULVN 0HDQ YDULDQFH SUHIHUHQFHV DQG YDULDQFH YXOQHUDELOLW\ 


$Q DJHQW ZLWK WZR SDUDPHWHU PHDQ YDULDQFH SUHIHUHQFHV LV FDOOHG YDULDQFH YXOQHUDEOH LI 

DQ LQFUHDVH LQ WKH YDULDQFH RI DQ H[RJHQRXV LQGHSHQGHQW EDFNJURXQG ULVN LQGXFHV WKH 

DJHQW WR FKRRVH D ORZHU OHYHO RI ULVN\ DFWLYLWLHV 9DULDQFH YXOQHUDELOLW\ UHVHPEOHV WKH 

QRWLRQ RI ULVN YXOQHUDELOLW\ LQ WKH H[SHFWHG XWLOLW\ (8 IUDPHZRUN )LUVW ZH FKDUDFWHUL]H 

YDULDQFH YXOQHUDELOLW\ LQ WHUPV RI WZR SDUDPHWHU XWLOLW\ IXQFWLRQV 6HFRQG ZH LGHQWLI\ WKH 

PXOWLYDULDWH QRUPDO DV WKH RQO\ GLVWULEXWLRQ VXFK WKDW (8 DQG WZR SDUDPHWHU DSSURDFK DUH 

FRPSDWLEOH ZKHQ LQGHSHQGHQW EDFNJURXQG ULVNV SUHYDLO 7KLUG SUHVXSSRVLQJ QRUPDOLW\ ZH 

VKRZ WKDW DQDORJRXVO\ WR ULVN YXOQHUDELOLW\ WHPSHUDQFH LV D QHFHVVDU\ DQG 

VWDQGDUGQHVV 

DQG FRQYH[ ULVN DYHUVLRQ DUH VXIILFLHQW FRQGLWLRQV IRU YDULDQFH YXOQHUDELOLW\ 

0DUWLQ %¡J 

'HSW RI (FRQRPLFV 8&/ /RQGRQ 

:+20 6+28/' , 2%6(59(" 2%6(59$7,21 $1' ,0,7$7,21 ,1

6,03/( %$1',7 352%/(06 

.H\ZRUGV EDQGLW SUREOHPV OHDUQLQJ DQG QHWZRUN IRUPDWLRQ 

-(/ &ODVVLILFDWLRQ ' 

, VWXG\ KRZ D GHFLVLRQ PDNHU '0 FDQ OHDUQ E\ REVHUYLQJ RWKHU '0V 7KH XQGHUO\LQJ 

GHFLVLRQ SUREOHP LV D VLPSOH EDQGLW SUREOHP '0V VKDUH D FRPPRQ SULRU EXW PD\ GLIIHU LQ 

WKHLU SUHIHUHQFHV RYHU RXWFRPHV 7KH '0 REVHUYHV DQRWKHU '0 ZKR VROYHV KHU GHFLVLRQ 

SUREOHP SULRU WR WKH REVHUYLQJ '0 :H DVN ZKRP WKH '0 VKRXOG RSWLPDOO\ REVHUYH , 

FKDUDFWHULVH SUHIHUHQFHV DQG VWUDWHJLHV RI '0V VXFK WKDW WKH SD\RII PD[LPLVLQJ DFWLRQ LV 

LQIHUUHG ZLWK SUREDELOLW\ RQH , FDOO VXFK '0V LGHDO , DOVR FKDUDFWHULVH RSWLPDO REVHUYDWLRQ 

ZKHQ WKHUH DUH QR LGHDO '0V ,GHDO '0V KDYH WKH VDPH RUGLQDO SUHIHUHQFHV DV WKH 

REVHUYLQJ '0 VXJJHVWLQJ WKDW D '0 DVVRFLDWHV ZLWK SHRSOH ³OLNH´ KHUVHOI :KHQ QR LGHDO 

'0V DUH DYDLODEOH WKLV QHHG QR ORQJHU KROG D '0 PD\ ZDQW WR DVVRFLDWH ZLWK SHRSOH ZKR 

KDYH GLIIHUHQW RUGLQDO SUHIHUHQFHV WKDQ KHUVHOI 

7$;$7,21 , 


&KDLUSHUVRQ ' 0DOGRQDGR 

6RUHQ %ORPTXLVW 

'HSW RI (FRQRPLFV 8SSVDOD 8QLYHUVLW\ 

&R $XWKRUV / 0LFKHOHWWR 

$*( 5(/$7(' 237,0$/ ,1&20( 7$;$7,21 

.H\ZRUGV $JH VSHFLILF WD[HV 2SWLPDO WD[DWLRQ DQG 7DJJLQJ 

-(/ &ODVVLILFDWLRQ + + DQG + 

$XJ 

5RRP ( 

,Q WKLV SDSHU ZH XVH DQ LQWHUWHPSRUDO H[WHQVLRQ RI WKH 6WLJOLW] WZR W\SHV RSWLPDO 

LQFRPH WD[DWLRQ PRGHO WR LQYHVWLJDWH ZKHWKHU LW LV SRVVLEOH WR DFKLHYH UHGLVWULEXWLRQ DW 

VPDOOHU HIILFLHQF\ FRVWV E\ FRQGLWLRQLQJ WKH WD[ RQ LQGLYLGXDOV DJH ,Q WKH VLPSOHVW YHUVLRQ 

RI WKH PRGHO ZH QHJOHFW WKH SRVVLELOLW\ RI VDYLQJV :H VKRZ WKDW VZLWFKLQJ WR DQ DJH 

UHODWHG WD[ V\VWHP DOORZV D 3DUHWR LPSURYLQJ WD[ UHIRUP ,Q D VHFRQG YHUVLRQ RI WKH PRGHO 

ZKHUH VDYLQJV DUH DOORZHG ZH DOVR DQDO\]H WKH RSWLPDO YDOXHV RI WKH LQWHUHVW LQFRPH WD[ 

UDWH IRU WKH DJH GHSHQGHQW DQG WKH DJH LQGHSHQGHQW WD[ V\VWHPV 

/HVOLH - 5HLQKRUQ 

8QLYHUVLW\ RI 'XUKDP 

'

ZLWK KXPDQ FDSLWDO DQG ILQG WKDW RSWLPDO 

WD[HV RQ ERWK FDSLWDO LQFRPH DQG ODERU LQFRPH 

FRQYHUJH WR ]HUR LQ VWHDG\ VWDWH )RU RQH RI 

WKH PRGHOV XQGHU FRQVLGHUDWLRQ , VKRZ WKDW 

WKH UHSUHVHQWDWLYH KRXVHKROG V SUREOHP GRHV 

QRW KDYH DQ LQWHULRU VROXWLRQ 7KLV UDLVHV 

FRQFHUQV VLQFH WKHVH FRUQHUV DUH LQFRQVLVWHQW 

ZLWK DJJUHJDWH GDWD ,QWHULRULW\ LV UHVWRUHG 

LI SUHIHUHQFHV DUH PRGLILHG VR WKDW KXPDQ 

FDSLWDO DXJPHQWV WKH PDUJLQDO XWLOLW\ RI 

OHLVXUH :LWK WKLV FKDQJH WKH RSWLPDO 

WD[ SUREOHP LV DQDO\]HG DQG UHDVVXULQJO\ 

WKH -RQHV 0DQXHOOL DQG 5RVVL UHVXOWV DUH 

FRQILUPHG QHLWKHU FDSLWDO LQFRPH QRU ODERU 

LQFRPH VKRXOG EH WD[HG LQ VWHDG\ VWDWH 

/HRSROG YRQ 7KDGGHQ 

5HVHDUFK &HQWUH 'HXWVFKH %XQGHVEDQN 

&R $XWKRUV ( .RVNHOD 

237,0$/ )$&725 7$;$7,21 81'(5 :$*( %$5*$,1,1* $ 

'

-(/ &ODVVLILFDWLRQ ' DQG . 

:H VWXG\ WKH UHODWLRQVKLS EHWZHHQ DPELJXLW\ ZKLFK FRPHV LQWR WKH SLFWXUH VLQFH FRQWUDFWV 

KDYH WR EH ZULWWHQ LQ QDWXUDO ODQJXDJH DQG FRQWUDFWXDO LQFRPSOHWHQHVV 7KH FRQWUDFWLQJ 

SURFHVV LV PRGHOOHG DV D VLJQDOOLQJ JDPH EHWZHHQ WKH SDUWLHV DQG WKH MXGJH ZLWK WKH 

FRQWUDFW DV WKH VLJQDO 7KH MXGJH LV DVVXPHG WR EH ERXQG E\ WKH FRQWHQW RI WKH FRQWUDFW LQ 

DV IDU DV LW FDQ EH DVFHUWDLQHG XQDPELJXRXVO\ 7ZR NLQG RI H[DPSOHV DUH SUHVHQWHG 7KH 

ILUVW VHW RI H[DPSOHV VKRZV KRZ DPELJXLW\ FDQ OHDG WR LQFRPSOHWHQHVV +HUH 

LQFRPSOHWHQHVV LV D ZD\ RI KHGJLQJ DJDLQVW DGYHUVH MXGJHPHQWV RQ WKH SDUW RI DQ 

LPSHUIHFWO\ LQIRUPHG MXGJH 7KH UHPDLQLQJ H[DPSOH LOOXVWUDWHV D VRUW RI FRQYHUVH LQWXLWLRQ 

,W VKRZV KRZ LQFRPSOHWHQHVV PLJKW OHDG WKH FRQWUDFWLQJ SDUWLHV WR ZULWH DPELJXRXV 

FRQWUDFWV LQ RUGHU WR DIIRUG D UHODWLYHO\ ZHOO LQIRUPHG MXGJH IUHHGRP WR HQIRUFH WKH 

SDUWLHV ZLOO 

1(7:25.6 , 


&KDLUSHUVRQ ' 9DQ GH JDHU 

$UQROG 3RODQVNL 

8QLYHUVLGDG $OLFDQWH 

%,/$7(5$/ %$5*$,1,1* ,1 1(7:25.6 

.H\ZRUGV DOWHUQDWLQJ RIIHUV SURWRFRO DQG JUDSK GHFRPSRVLWLRQ 


$XJ 

5RRP ( 

(DFK FRQQHFWHG SDLU RI QRGHV LQ D QHWZRUN FDQ MRLQWO\ SURGXFH RQH XQLW RI VXUSOXV $W DOO 

GDWHV OLQNHG QRGHV DUH PDWFKHG E\ D UDQGRP PDWFKLQJ SURFHGXUH DQG XSRQ PHHWLQJ 

EDUJDLQ ELODWHUDOO\ RYHU WKH GLYLVLRQ RI WKH XQLW RI VXUSOXV DFFRUGLQJ WR WKH DOWHUQDWLQJ RIIHUV 

SURWRFRO 7KLV EDUJDLQLQJ JDPH KDV D VXEJDPH SHUIHFW HTXLOLEULXP 63( IRU DQ\ QHWZRUN 

VWUXFWXUH DQG PDWFKLQJ SURFHGXUH ,Q SDUWLFXODU LI D PD[LPXP QXPEHU RI SDLUV LV PDWFKHG 

LQ WKH ILUVW SHULRG WKHUH LV DQ XQLTXH 63( RXWFRPH LQ ZKLFK DOO SDLUV DJUHH XSRQ WKH ILUVW 

PHHWLQJ $FFRUGLQJ WR WKH SD\RIIV REWDLQHG LQ WKLV RXWFRPH WKH VHW RI DJHQWV LQ D ELSDUWLWH 

QHWZRUN FDQ EH SDUWLWLRQHG LQWR WKUHH GLVMRLQW VXEVHWV WKDW FRLQFLGH ZLWK WKH 'XOPDJH 

0HQGHOVRKQ GHFRPSRVLWLRQ RI WKLV QHWZRUN 

6K\K )DQJ 8HQJ 

,QVWLWXWH RI (FRQRPLFV $FDGHPLD 6LQLFD 7DLSHL 7DLZDQ 

%< ),/7+< 62,/ %87 127 &217$0,1$7(' 

.H\ZRUGV FRDOLWLRQ LQGHSHQGHQW LQWHUHVW JURXSV OLQNV DQG YHUGLFW 


'HPRFUDWLF VRFLHWLHV LQVWLWXWH LQGHSHQGHQWV WR VHOHFW WKH EHVW DOWHUQDWLYH IRU WKH VRFLHW\ LQ 

WKH PLGVW RI LQWHUHVW FRQIOLFW 1RQHWKHOHVV WR VXUYLYH RU PD[LPL]H SD\RII WKH LQGSHQGHQWV 

PD\ GLVWRUW WKHLU YHUGLFW (QGRJHQL]LQJ QHWZRUN DQG FRDOLWLRQ IRUPDWLRQ WKLV SDSHU 

LQYHVWLJDWHV WKH FRQGLWLRQV XQGHU ZKLFK DQ LQGHSHQGHQW FKRRVHV WR UHSRUW WUXWKIXOO\ ,W ILUVW 

FKDUDFWHUL]HV WKH HTXLOLEULXP LQ D SHULRG 

$VVXPLQJ WKH WUDQVFHQGLQJ YDOXH RI WKH LQGHSHQGHQW GHFUHDVHV ZLWK KLV SDVW OLHV WKLV 

SDSHU VWXGLHV KRZ WKH HTXLOLEULXP FKDQJHV ZLWK LWV GHFD\ 

,W WKHQ DQDO\]HV ZK\ WKH WUDQVFHQGLQJ YDOXH RI WKH LQGHSHQGHQW FDQ EH SUHYHQWHG IURP 

FRPSOHWH UXLQ 

'LUN 9DQ GH JDHU 

*KHQW 8QLYHUVLW\ 6+(533$ 

&R $XWKRUV - 'H :HHUGW 

',6(17$1*/,1* 1(7:25.6 '(),1,1* $1' $1$/

-(/ &ODVVLILFDWLRQ ' DQG 2 

$ FRKHVLYH VXEJURXS LV GHILQHG DV D VXEVHW RI WKH QHWZRUN WKDW GLVSOD\V VRPH PLQLPDO 

OHYHO RI VRFLDO FRKHVLRQ :H D[LRPDWL]H WZR FODVVLFDO GHVFULSWLYH PHDVXUHV RI VRFLDO 

FRKHVLRQ :H LGHQWLI\ WKH FRKHVLYH VXEJURXSV LQ WKH LQIRUPDO LQVXUDQFH QHWZRUN RI 

1\DNDWRNH 7DQ]DQLD DQG GHYHORS D ERRWVWUDS SURFHGXUH WR DQDO\]H KRZ WKHVH 

VXEJURXSV GLIIHU IURP UDQGRPO\ IRUPHG VXEJURXSV 7KLV VKHGV OLJKW RQ WKH IDFWRUV WKDW 

VWLPXODWH LQWHQVH FOXVWHUV RI SDUWLFLSDWLRQ LQ WKH LQVXUDQFH QHWZRUN VXFK DV NLQVKLS 

JHRJUDSKLF GLVWDQFH FODQ PHPEHUVKLS DQG UHOLJLRXV DIILOLDWLRQ 

$66(7 0$5.(76 


&KDLUSHUVRQ $ *XHUGMLNRYD 

%ULDQ 3HWHUVRQ 

,QGLDQD 8QLYHUVLW\ 

$XJ 

5RRP ) 

$**5(*$7( 81&(57$,17< ,1',9,'8$/ 81&(57$,17< $1' 7+( 

+286,1* 0$5.(7 

.H\ZRUGV %XVLQHVV &\FOHV +RXVLQJ DQG /LTXLGLW\ 

-(/ &ODVVLILFDWLRQ ( ( DQG 5 

,Q WKH SRVW :RUOG :DU ,, SHULRG IRU WKH 8QLWHG 6WDWHV WKHUH DSSHDUV WR EH D GHPDQG VKRFN 

IRU KRXVLQJ WKDW OHDGV WKH EXVLQHVV F\FOH 7KLV SDSHU TXDQWLILHV WKH HIIHFWV RI D WUDQVDFWLRQ 

FRVW LQ WKH KRXVLQJ PDUNHW DORQJ ZLWK XQLQVXUDEOH VKRFNV WR LQGLYLGXDO HDUQLQJV WKDW KDYH 

D FRXQWHUF\FOLFDO YDULDQFH RQ WKH GHPDQG IRU KRXVLQJ RYHU WKH EXVLQHVV F\FOH 7KH 

FDOLEUDWHG WR WKH SRVW :RUOG :DU ,, 8QLWHG 6WDWHV VKRZV WKDW DW FRQVWDQW LQWHUHVW UDWHV WKH 

GRZQ SD\PHQW RI WKH PHGLDQ KRPHEX\HU LV KLJKHU LQ UHFHVVLRQV WKDQ H[SDQVLRQV 

ZKHUHDV ZKHQ WKH WUDQVDFWLRQ FRVW LV DEVHQW GRZQ SD\PHQWV DUH OHVV WKDQ KLJKHU LQ 

UHFHVVLRQV 7KHVH UHVXOWV VXJJHVW WKDW LPSHUIHFWLRQV LQ DVVHW PDUNHWV DORQJ ZLWK WKH 

SUHVHQFH RI XQLQVXUDEOH LQGLYLGXDO HDUQLQJV FDQ KDYH D VLJQLILFDQW LPSDFW RQ WKH EXVLQHVV 

F\FOH 

+R 0RX :X 

1DWLRQDO 7DLZDQ 8QLYHUVLW\ 

&R $XWKRUV : *XR 

$66(7 35,&( 92/$7,/,7< $1' 75$',1* 92/80( :,7+ 5$7,21$/ 

%(/,()6 

.H\ZRUGV 3ULFH YRODWLOLW\ 5DWLRQDO EHOLHIV 6SHFXODWLRQ DQG 7UDGLQJ YROXPH 

-(/ &ODVVLILFDWLRQ ' DQG * 

7KLV SDSHU GHYHORSV D PRGHO RI VSHFXODWLYH WUDGLQJ LQ D ODUJH HFRQRP\ ZLWK D FRQWLQXXP 

RI LQYHVWRUV ,Q RXU PRGHO WKH LQYHVWRUV DUH DVVXPHG WR KDYH GLYHUVH EHOLHIV ZKLFK DUH 

UDWLRQDO LQ WKH VHQVH RI EHLQJ FRPSDWLEOH ZLWK REVHUYHG GDWD :H GHPRQVWUDWH WKH 

H[LVWHQFH RI SULFH DPSOLILFDWLRQ HIIHFWV DQG VKRZ WKDW WKH HTXLOLEULXP SULFHV FDQ EH KLJKHU

RU ORZHU WKDQ WKH UDWLRQDO H[SHFWDWLRQ HTXLOLEULXP SULFH ,W LV DOVR VKRZQ WKDW WUDGLQJ 

YROXPH LV SRVLWLYHO\ UHODWHG WR WKH GLUHFWLRQV RI SULFH FKDQJHV 0RUHRYHU ZH VWXG\ KRZ 

DVVHW SULFH YRODWLOLW\ DQG WUDGLQJ YROXPH DUH LQIOXHQFHG E\ EHOLHI VWUXFWXUH DQG VKRUW VHOOLQJ 

FRQVWUDLQV 

$QL *XHUGMLNRYD 

$OIUHG :HEHU ,QVWLWXWH 8QLYHUVLW\ RI +HLGHOEHUJ 

$66(7 35,&,1* ,1 $1 29(5/$33,1* *(1(5$7,216 02'(/ :,7+ 

&$6( %$6(' '(&,6,21 0$.(56 

.H\ZRUGV DVVHW SULFLQJ &DVH EDVHG GHFLVLRQ WKHRU\ DQG ILQDQFLDO PDUNHWV 


, FRQVLGHU DQ HFRQRP\ SRSXODWHG E\ FDVH EDVHG GHFLVLRQ PDNHUV &RQVXPSWLRQ FDQ EH 

WUDQVIHUUHG EHWZHHQ WKH SHULRGV E\ WKH PHDQV RI D ULVNOHVV VWRUDJH WHFKQRORJ\ RU D ULVN\ 

DVVHW ZLWK LLG GLYLGHQG SD\PHQWV , DQDO\]H WKH G\QDPLFV RI WKH SULFH RI WKH ULVN\ DVVHW IRU 

WKH FDVHV RI VKRUW DQG LQILQLWH PHPRU\ 7KH DVVHW SULFH JHQHUDOO\ GLIIHUV IURP WKH 

IXQGDPHQWDO YDOXH LQ PHDQ DQG H[KLELWV H[FHVV YRODWLOLW\ FDXVHG E\ WKH LQYHVWRUV ZLWK KLJK 

DVSLUDWLRQ OHYHOV :LWK LQILQLWH PHPRU\ WKH LQYHVWRUV ZLWK KLJK DVSLUDWLRQ OHYHOV HYHQWXDOO\ 

OHDUQ WR GHFLGH RSWLPDOO\ ZKHUHDV WKRVH ZLWK ORZ DVSLUDWLRQ OHYHOV FKRRVH VXERSWLPDO 

DOWHUQDWLYHV 

&223(5$7,9( *$0( 7+(25< 


&KDLUSHUVRQ & +XDQJ 

*HUDUG YDQ GHU /DDQ 

)UHH 8QLYHUVLW\ RI $PVWHUGDP 

&R $XWKRUV 5 9DQ GHQ %ULQN DQG Y YDVLOHY 

',675,%87,21 2) +$56$1

%86,1(66 *52836 ,1 (0(5*,1* 0$5.(76 68%67,787(6 )25 

0,66,1* ,167,787,216 

.H\ZRUGV %XVLQHVV JURXSV LQWHUQDO FDSLWDO PDUNHW DQG 5XVVLD 

-(/ &ODVVLILFDWLRQ * . DQG / 

%XVLQHVV JURXSV LQ HPHUJLQJ PDUNHWV SHUIRUP EHWWHU WKDQ XQDIILOLDWHG ILUPV EHFDXVH WKH\ 

DFW DV VXEVWLWXWHV IRU PLVVLQJ LQVWLWXWLRQV :H DUJXH WKDW WKH RUJDQL]DWLRQDO PRGH DQG WKH 

ILQDQFLDO VWUXFWXUH RI D EXVLQHVV JURXS IDFLOLWDWH UHODWLRQDO FRQWUDFWLQJ ,Q D WZR SHULRG 

PRGHO LQVWLWXWLRQV IRU FRQWUDFW HQIRUFHPHQW DUH PLVVLQJ LQ WKH ILUVW SHULRG 7KH ILUPV ZLWKLQ 

WKH EXVLQHVV JURXS DUH FRQQHFWHG WR HDFK RWKHU E\ D YHUWLFDO SURGXFWLRQ VWUXFWXUH DQG DQ 

LQWHUQDO FDSLWDO PDUNHW 2XU PRGHO GHULYHV WKH VHTXHQFLQJ RI LQYHVWPHQWV DQG WKH FUHGLW 

FRQWUDFW RIIHUHG E\ WKH KHDGTXDUWHUV WKDW VROYH WKH H[ SRVW PRUDO KD]DUG SUREOHP 

&DUROH +DULWFKDEDOHW 

JUHPDT 8QLYHUVLW\ RI 7RXORXVH 

&R $XWKRUV & &$6$0$77$ 

/($51,1* $1' 6

VSHQGLQJ RXWSXW VXEVLGLHV DQG VSHFLILF WD[HV DQG VXEVLGLHV WR UHYHQXH DQG VWDUW XS FRVWV 

RI HQWUHSUHQHXUV DQG YHQWXUH FDSLWDOV :H DOVR FRQVLGHU SLHFHPHDO UHIRUP LQYROYLQJ 

FDSLWDO JDLQV WD[HV LQQRYDWLRQ VXEVLGLHV DQG SXEOLF 5 ' VSHQGLQJ 

$66(7 35,&,1* 

&DWHJRU\ (6(0 (FRQRPHWULFV DQG (PSLULFDO (FRQRPLFV 

&KDLUSHUVRQ 5 *DUFLD 

0DULH &ODXGH %HDXOLHX 

)LQDQFH GHSDUWPHQW 8QLYHUVLWH /DYDO 

/\QGD .KDODI 

(FRQRPLFV 'HSDUWPHQW 8QLYHUVLWH /DYDO 

&R $XWKRUV - 'XIRXU 

$XJ 

5RRP ) 

5(6,'8$/ %$6(' ),1,7( 6$03/( 0,663(&,),&$7,21 7(676 ,1 

08/7,9$5,$7( 5(*5(66,216 :,7+ $33/,&$7,216 72 $66(7 

35,&,1* 02'(/6 

.H\ZRUGV &DSLWDO $VVHW 3ULFLQJ 0RGHO ([DFW WHVW *RRGQHVV RI ILW WHVW 0RQWH &DUOR WHVW 

0XOWLYDULDWH *$5&+ DQG 9DULDQFH UDWLR WHVW 

-(/ &ODVVLILFDWLRQ & & & DQG * 

:H SURSRVH D JHQHUDO H[DFW PHWKRG IRU VSHFLILFDWLRQ WHVWLQJ LQ 0XOWLYDULDWH 5HJUHVVLRQV 

:H FRQVLGHU GLVWULEXWLRQDO JRRGQHVV RI ILW >*)@ WHVWV WHVWV IRU VHULDO FRUUHODWLRQ DQG 

*$5&+ 2XU *) WHVWV DUH EDVHG RQ FRPSDULQJ HPSLULFDO VNHZQHVV DQG NXUWRVLV FULWHULD WR 

D VLPXODWLRQ EDVHG HVWLPDWH RI WKHLU H[SHFWHG YDOXH XQGHU WKH K\SRWKHVL]HG GLVWULEXWLRQ 

ZLWK IRFXV RQ WKH PXOWLYDULDWH QRUPDO WKH 6WXGHQW W DQG VWDEOH GLVWULEXWLRQV 2XU VHULDO 

FRUUHODWLRQ DQG *$5&+ WHVWV SURYLGH H[DFW SRVVLEO\ QRQ *DXVVLDQ YHUVLRQV RI WKRVH 

SURSRVHG LQ >6KDQNHQ -RXUQDO RI (FRQRPHWULFV @ :H H[SORLW WKH 0RQWH &DUOR WHVW 

WHFKQLTXH 7KH WHVWV SURSRVHG DUH DSSOLHG WR DQ DVVHW SULFLQJ PRGHO ZLWK REVHUYDEOH ULVN 

IUHH UDWHV 

(ULFVVRQ -RKDQ 

'HSDUWPHQW RI (FRQRPLF 6WDWLVWLFV 6WRFNKROP 6FKRRO RI (FRQRPLFV 

&R $XWKRUV . 6XQH 

6(/(&7,21 2) )$&7256 ,1 $ 08/7,)$&725 35,&,1* 02'(/ $ 

%$

PDFURHFRQRPLF YDULDEOHV DUH LQFOXGHG LQ WKH VHW RI LPSRUWDQW IDFWRUV 

8VLQJ GLIIHUHQW SRUWIROLRV DV WKH LQYHVWPHQW XQLYHUVH ZH ILQG VWURQJ HYLGHQFH WKDW D 

JHQHUDO PXOWLIDFWRU SULFLQJ PRGHO VKRXOG LQFOXGH PDUNHW H[FHVV UHWXUQ VL]H SUHPLXP 

YDOXH SUHPLXP DQG WKH PRPHQWXP IDFWRU 7KHUH LV VRPH HYLGHQFH WKDW \HDUO\ JURZWK UDWH 

LQ LQGXVWULDO SURGXFWLRQ DOVR LV DQ LPSRUWDQW IDFWRU 

5HQp *DUFLD 

8QLYHUVLWp GH 0RQWUpDO 

&R $XWKRUV ( 5HQDXOW DQG $ 6HPHQRY 

$ &2168037,21 &$30 :,7+ $ 5()(5(1&( /(9(/ 

.H\ZRUGV HODVWLFLW\ RI LQWHUWHPSRUDO VXEVWLWXWLRQ KDELW IRUPDWLRQ QRQ H[SHFWHG XWLOLW\ 

UHIHUHQFH OHYHO DQG UHODWLYH ULVN DYHUVLRQ 


:H VWXG\ DQ LQWHUWHPSRUDO DVVHW SULFLQJ PRGHO LQ ZKLFK D UHSUHVHQWDWLYH FRQVXPHU 

PD[LPL]HV H[SHFWHG XWLOLW\ GHULYHG IURP ERWK WKH UDWLR RI KLV FRQVXPSWLRQ WR VRPH 

UHIHUHQFH OHYHO DQG WKLV OHYHO LWVHOI :KHQ WKH UHIHUHQFH OHYHO JURZWK UDWH LV FRUUHODWHG ZLWK 

WKH PDUNHW SRUWIROLR UHWXUQ WKH PRGHO PL[HV D FRQVXPSWLRQ &$30 ZLWK KDELW IRUPDWLRQ 

WRJHWKHU ZLWK WKH &$30 7KH HPSLULFDO WHVWV RI WKH PRGHO ZLWK DJJUHJDWH FRQVXPSWLRQ SHU 

FDSLWD UHVXOW LQ HVWLPDWLQJ HFRQRPLFDOO\ SODXVLEOH YDOXHV RI WKH SUHIHUHQFH SDUDPHWHUV LQ 

FRQWUDVW ZLWK WKH SDUWLFXODU FDVHV RI WKH KDELW IRUPDWLRQ DSSURDFK DQG WKH (SVWHLQ =LQ QRQ 

H[SHFWHG XWLOLW\ IXQFWLRQ $OO WHVWV ZLWK YDULRXV VSHFLILFDWLRQV RI WKH SUHIHUHQFHV FRQILUP 

WKDW WKH UHIHUHQFH OHYHO HQWHUV VLJQLILFDQWO\ LQ WKH SULFLQJ NHUQHO 

%86,1(66 &

SUREDELOLW\ RI UHFHVVLRQ ,Q FRPSDULVRQ WR WKH ROG %DQN RI ,VUDHO LQGH[ VHYHUDO 

LPSURYHPHQWV DUH LQWURGXFHG LQ WKH LQGH[ FRPSRQHQWV WKH VHULHV RI JRRGV H[SRUWV LV 

LQFOXGHG WKH ODJ LQ WKH FRQQHFWLRQ EHWZHHQ HPSOR\PHQW DQG HFRQRPLF DFWLYLW\ LV DOVR 

GHDOW ZLWK 7KH QHZ FRPSRVLWH LQGH[ SUHVHQWV D VKDUSHU SLFWXUH RI WKH EXVLQHVV F\FOH WKDQ 

GLG WKH ROG RQH 0RUHRYHU LW LV OHVV YRODWLOH DQG OHVV OLDEOH WR UHWURDFWLYH UHYLVLRQV 

6\OYLD .DXIPDQQ 

2HVWHUUHLFKLVFKH 1DWLRQDOEDQN 

7+( %86,1(66 &

(&2120,&6 2) ('8&$7,21 , 


&KDLUSHUVRQ 0 )HUUH\UD 

0LFKDHO )HUWLJ 

5:, (VVHQ 

$XJ 

5RRP ) 

('8&$7,21$/ 352'8&7,21 (1'2*(1286 3((5 *5283 

)250$7,21 $1' &/$66 &20326,7,21 ± (9,'(1&( )520 7+( 

3,6$ 678'< 

.H\ZRUGV /HDUQLQJ (QYLURQPHQW 3HHU *URXS (IIHFWV DQG 6FKRRO 4XDOLW\ 

-(/ &ODVVLILFDWLRQ , 

7KH PDMRULW\ RI HPSLULFDO SDSHUV LQ WKH OLWHUDWXUH RQ VFKRRO TXDOLW\ ILQGV QR RU 

RQO\ VPDOO HIIHFWV RI FODVV VL]H DQG RWKHU VFKRRO TXDOLW\ PHDVXUHV RQ VWXGHQWV RXWFRPHV 

7KLV SDSHU DQDO\VHV WKH HIIHFW RI DFKLHYHPHQW KHWHURJHQHLW\ DQG WKHUHIRUH WKH HIIHFW RI 

WKH FRPSRVLWLRQ UDWKHU WKDQ WKH SXUH VL]H RI WKH FODVV RQ VWXGHQW DFKLHYHPHQW ,Q WKLV 

HQGHDYRU LQGLYLGXDO OHYHO GDWD IURP DQ LQWHUQDWLRQDOO\ FRQGXFWHG VWDQGDUGL]HG WHVW WKH 

3,6$ VWXG\ LV XWLOL]HG )RU WKH FDVH RI 86 VFKRROV WKH LQIOXHQFH RI D VWXGHQWV SHHU 

JURXS LV HVWLPDWHG LQ D SXUH HQGRJHQRXV HIIHFWV PRGHO DQG D PRGHO DOVR DOORZLQJ IRU 

FRQWH[WXDO HIIHFWV 7KH SRWHQWLDO HQGRJHQHLW\ RI SHHU JURXS IRUPDWLRQ LV DGGUHVVHG LQ DQ 

LQVWUXPHQWDO YDULDEOH DSSURDFK ,W WXUQV RXW WKDW KHWHURJHQRXV SHHU JURXSV KDYH D VWURQJ 

GHWULPHQWDO LPSDFW RQ LQGLYLGXDO DFKLHYHPHQW 

'HQLV &RJQHDX 

',$/ ,5' 

&R $XWKRUV ( 0DXULQ 

3$5(17$/ ,1&20( $1' 6&+22/ $77(1'$1&( ,1 $ /2: ,1&20( 

&28175< $ 6(0, 3$5$0(75,& $1$/

08/7, ',675,&7 (&2120,(6 

.H\ZRUGV *(1(5$/ (48,/,%5,80 (67,0$7,21 *(1(5$/ 0(7+2' 2) 020(176 

(67,0$7,21 +286,1* 0$5.(7 85%$1 32/,&,(6 DQG 928&+(56 

-(/ &ODVVLILFDWLRQ + + DQG , 

7KLV SDSHU HVWLPDWHV D JHQHUDO HTXLOLEULXP PRGHO RI VFKRRO TXDOLW\ DQG KRXVHKROG 

UHVLGHQWLDO DQG VFKRRO FKRLFH IRU HFRQRPLHV ZLWK PXOWLSOH SXEOLF VFKRRO GLVWULFWV DQG 

SULYDWH VFKRROV ,Q WKH PRGHO KRXVHKROGV KDYH KHWHURJHQHRXV UHOLJLRXV SUHIHUHQFHV DQG 

SULYDWH VFKRROV DUH HLWKHU &DWKROLF RU QRQ &DWKROLF 7KH PRGHO LV HVWLPDWHG ZLWK GDWD 

IURP ODUJH PHWURSROLWDQ DUHDV LQ WKH 8QLWHG 6WDWHV DQG WKH HVWLPDWHV DUH XVHG WR VLPXODWH 

WZR ODUJH VFDOH SULYDWH VFKRRO YRXFKHU SURJUDPV LQ WKH &KLFDJR PHWURSROLWDQ DUHD 

XQLYHUVDO QRQ WDUJHWHG YRXFKHUV DQG YRXFKHUV UHVWULFWHG WR QRQ &DWKROLF VFKRROV ,Q WKH 

VLPXODWLRQV ERWK SURJUDPV LQFUHDVH SULYDWH VFKRRO HQUROOPHQW DQG DIIHFW KRXVHKROG 

UHVLGHQWLDO FKRLFH 8QLYHUVDO YRXFKHUV LQFUHDVH HQUROOPHQW DW ERWK &DWKROLF DQG QRQ 

&DWKROLF SULYDWH VFKRROV \HW XQGHU YRXFKHUV UHVWULFWHG WR QRQ &DWKROLF VFKRROV WKH RYHUDOO 

SULYDWH VFKRRO HQUROOPHQW H[SDQGV OHVV DQG &DWKROLF VFKRRO HQUROOPHQW GHFOLQHV ZLWK WKH 

YRXFKHU OHYHO ,Q DGGLWLRQ IHZHU KRXVHKROGV EHQHILW IURP QRQ &DWKROLF YRXFKHUV 

*52:7+ (03,5,&$/ , 


&KDLUSHUVRQ 6 .RRSPDQ 

:HL .DQJ :RQJ 

'HSDUWPHQW RI (FRQRPLFV 186 

$XJ 

(&2120,& *52:7+ $ &+$11(/ $&&2817,1* (;(5&,6( 

5RRP ) 

.H\ZRUGV &+$11(/ $&&2817,1* &+$11(/ '(&20326,7,21 &+$11(/6 2) 

*52:7+ &21',7,21$/ &219(5*(1&( DQG 7)3 &$7&+ 83 

-(/ &ODVVLILFDWLRQ 2 DQG 2 

7KLV SDSHU IRUPDOL]HV FKDQQHO DFFRXQWLQJ D PHWKRG WKDW V\VWHPDWLFDOO\ GHFRPSRVHV WKH 

FKDQQHOV WKURXJK ZKLFK WKH GHWHUPLQDQWV RI HFRQRPLF JURZWK RSHUDWH DQG DSSOLHV LW WR 

WKH GDWD 8QGHU FKDQQHO DFFRXQWLQJ WKH GHWHUPLQDQWV FRXOG DIIHFW DJJUHJDWH SURGXFWLYLW\ 

JURZWK WKURXJK SK\VLFDO FDSLWDO DFFXPXODWLRQ WKURXJK KXPDQ FDSLWDO DFTXLVLWLRQ DQG 

WKURXJK JURZWK LQ WRWDO IDFWRU SURGXFWLYLW\ 7)3 0HWKRGRORJLFDOO\ FKDQQHO DFFRXQWLQJ 

FRPELQHV JURZWK DFFRXQWLQJ ZLWK UHJUHVVLRQ DQDO\VLV :LWK WKLV PHWKRG LW EHFRPHV FOHDU 

WKDW 7)3 JURZWK QRW IDFWRU DFFXPXODWLRQ LV ZKDW DFFRXQWV IRU FRQGLWLRQDO FRQYHUJHQFH 

7KLV ILQGLQJ LV H[WUHPHO\ UREXVW 7KHUH LV QR HYLGHQFH WKDW ULFK DQG SRRU FRXQWULHV 

FRQYHUJH WKURXJK GLIIHUHQW FKDQQHOV 

+DUDOG %DGLQJHU 

,QVWLWXWH IRU (XURSHDQ $IIDLUV :LUWVFKDIWVXQLYHUVLWlW :LHQ 

*DEULHOH 7RQGO 

8QLYHUVLW\ RI (FRQRPLFV %$ 9LHQQD 

&R $XWKRUV : 0XHOOHU

5(*,21$/ &219(5*(1&( ,1 7+( (8523($1 81,21 

$ 63$7,$/ '

5($/ (;&+$1*( 5$7( 3(56,67(1&( $1' 6

-(/ &ODVVLILFDWLRQ ( DQG ) 

,Q WKLV SDSHU ZH VKRZ KRZ WR XVH KLJK IUHTXHQF\ ILQDQFLDO GDWD WR KHOS HVWLPDWH DQG 

LGHQWLI\ D WZR FRXQWU\ 9$5 PRGHO :H XVH KLJK IUHTXHQF\ IHGHUDO IXQGV IXWXUHV GDWD LQ D 

QDUURZ ZLQGRZ DURXQG )20& DQQRXQFHPHQWV WR LGHQWLI\ WKH PRQHWDU\ SROLF\ VKRFN LQ WKH 

8 6 :H WKHQ UHJUHVV FKDQJHV LQ H[FKDQJH UDWHV DQG VSRW DQG IXWXUH LQWHUHVW UDWHV LQ WKLV 

QDUURZ ZLQGRZ RQ WKH VXUSULVH FRPSRQHQW RI WKH FKDQJH LQ WKH IHGHUDO IXQGV UDWH WR GHULYH 

WKH LPSDFW RI 8 6 PRQHWDU\ SROLF\ VKRFNV RQ WKHVH YDULDEOHV :H REWDLQ VLJQLILFDQW 

FRQWHPSRUDQHRXV UHVSRQVHV WR H[FKDQJH UDWHV DQG IRUHLJQ LQWHUHVW UDWHV WR WKH 8 6 

PRQHWDU\ SROLF\ VKRFN DQG UHMHFW WKH VWDQGDUG UHFXUVLYH LGHQWLILFDWLRQ IRU *HUPDQ\ 

352'8&7,9,7< (03,5,&$/ , 


&KDLUSHUVRQ ( /RSH] %D]R 

%HDWD 6PDU]\QVND 

7KH :RUOG %DQN 

$XJ 

5RRP ) 

'2(6 )25(,*1 ',5(&7 ,19(670(17 ,1&5($6( 7+( 

352'8&7,9,7< 2) '20(67,& ),506" ,1 6($5&+ 2) 63,//29(56 

7+528*+ %$&.:$5' /,1.$*(6 

.H\ZRUGV IRUHLJQ GLUHFW LQYHVWPHQW VSLOORYHUV DQG WHFKQRORJ\ WUDQVIHU 

-(/ &ODVVLILFDWLRQ ) 

0DQ\ FRXQWULHV RIIHU )', LQFHQWLYHV KRSLQJ WR EHQHILW IURP NQRZOHGJH H[WHUQDOLWLHV 

JHQHUDWHG E\ IRUHLJQ DIILOLDWHV 'HVSLWH EHLQJ KXJHO\ LPSRUWDQW WR SXEOLF SROLF\ WKHUH LV 

OLWWOH FRQFOXVLYH HYLGHQFH RQ WKH H[LVWHQFH RI VXFK VSLOORYHUV 7KLV VWXG\ H[DPLQHV ILUP 

OHYHO GDWD IURP /LWKXDQLD DQG ILQGV HPSLULFDO HYLGHQFH FRQVLVWHQW ZLWK SRVLWLYH SURGXFWLYLW\ 

VSLOORYHUV IURP )', WDNLQJ SODFH WKURXJK FRQWDFWV EHWZHHQ IRUHLJQ DIILOLDWHV DQG WKHLU ORFDO 

VXSSOLHUV LQ XSVWUHDP VHFWRUV EXW QR LQGLFDWLRQ RI VSLOORYHUV RFFXUULQJ ZLWKLQ WKH VDPH 

LQGXVWU\ /RFDO ILUPV DUH IRXQG WR EHQHILW IURP IRUHLJQ SUHVHQFH ERWK LQ WKHLU RZQ UHJLRQ 

DQG RWKHU SDUWV RI WKH FRXQWU\ DOEHLW WKH HYLGHQFH RI WKH ODWWHU LV ZHDNHU $ ODUJHU HIIHFW LV 

DVVRFLDWHG ZLWK GRPHVWLF PDUNHW UDWKHU WKDQ H[SRUW RULHQWHG IRUHLJQ FRPSDQLHV 7KHUH LV 

QR GLIIHUHQFH KRZHYHU EHWZHHQ WKH HIIHFWV RI IXOO\ RZQHG IRUHLJQ ILUPV DQG WKRVH ZLWK 

SDUWLDO IRUHLJQ RZQHUVKLS 

6FRWW $WNLQVRQ 

8QLYHUVLW\ RI *HRUJLD 

&R $XWKRUV - 'RUIPDQ 

%$

$ JURZLQJ OLWHUDWXUH PHDVXUHV SURGXFWLYLW\ JURZWK ZKHQ D EDG LV SURGXFHG DV D E\SURGXFW 

7R LPRVH PLQLPDO D SULRUL UHVWULFWLRQV ZH HVWLPDWH SURGXFWLYLW\ JURZWK DQG WKH VKDGRZ 

SULFH RI WKH EDG XVLQJ DQ LQSXW GLVWDQFH IXQFWLRQ DQG SULFH HTXDWLRQV 

ZKHUH WKH EDG LV D WHFKQRORJ\ VKLIWHU 6LQFH RXU V\VWHP LV VXEMHFW WR HQGRJHQHLW\ DQG D 

IXOO LQIRUPDWLRQ OLNHOLKRRG LV HDVLO\ PLVVSHFLILHG D QHZ %D\HVLDQ OLPLWHG LQIRUPDWLRQ 

OLNHOLKRRG ZLWK PRGH DW WKH VWDQGDUG *00 HVWLPDWRU LV GHYHORSHG ZKLFK HDVLO\ KDQGOHV 

HQGRJHQHLW\ 8VLQJ *LEEV VDPSOLQJ ZLWK D SDQHO RI 8 6 HOHFWULF XWLOLWLHV ZH LPSRVH 

PRQRWRQLFLW\ UHVWULFWLRQV DQG HVWLPDWH D VKDGRZ SULFH RI 62 HPLVVLRQV WKDW LV 

FORVHU WR WKH SULFH RI WUDGDEOH 62 SHUPLWV WKDQ LV WKH QRQ %D\HVLDQ HVWLPDWH ,QFOXGLQJ 

WKH EDG VXEVWDQWLDOO\ LQFUHDVHV SURGXFWLYLW\ FKDQJH 

(QULTXH /RSH] %D]R 

$45 8QLYHUVLW\ RI %DUFHORQD 

&R $XWKRUV % )LQJOHWRQ 

(;3/$,1,1* 7+( ',675,%87,21 2) 0$18)$&785,1* 

352'8&7,9,7< ,1 7+( (8 5(*,216 

.H\ZRUGV GLVWULEXWLRQ G\QDPLFV H[WHUQDOLWLHV JURZWK DQG LQFUHDVLQJ UHWXUQV 


5HJLRQDO LQHTXDOLWLHV LQ SURGXFW SHU FDSLWD DQG ODERXU SURGXFWLYLW\ LQ WKH (8 DUH ODUJH DQG 

SHUVLVWHQW %XLOGLQJ RQ D PRGHO LQ ZKLFK DJJUHJDWH LQFUHDVLQJ UHWXUQV LV WKH UHVXOW RI WKH 

LQFUHDVH LQ WKH QXPEHU RI YDULHWLHV RI FRPSRVLWH VHUYLFHV XQGHU FRPSHWLWLYH 

PDQXIDFWXUHV ZH GHULYH D VLPSOH DQG HPSLULFDOO\ WUDFWDEOH UHGXFHG IRUP OLQNLQJ 

PDQXIDFWXULQJ SURGXFWLYLW\ JURZWK WR WKH JURZWK RI PDQXIDFWXULQJ RXWSXW 7KLV VSHFLILFDWLRQ 

LV XVHG WR VLPXODWH WKH HTXLOLEULXP GLVWULEXWLRQ RI ODERXU SURGXFWLYLW\ LQ WKH (8 UHJLRQV WKDW 

LV FRPSDUHG ZLWK YLUWXDO GLVWULEXWLRQV REWDLQHG E\ HTXDOL]LQJ IRU LQVWDQFH WKH DPRXQW RI 

UHWXUQV WR VFDOH DQG WKH VWRFN RI KXPDQ FDSLWDO DFURVV UHJLRQV 7KLV ZD\ WKH LPSDFW RI 

VRPH JURZWK GHWHUPLQDQWV RQ WKH ZKROH (8 UHJLRQDO HTXLOLEULXP GLVWULEXWLRQ FDQ EH 

DVVHVVHG 

6(0, $1' 121 3$5$0(75,& 0(7+2'6 , 


&KDLUSHUVRQ 7 0DJQDF 

,YDQD .RPXQMHU 

&DOWHFK 

()),&,(17 &21',7,21$/ 48$17,/( 02'(/ (67,0$7,21 $1' 

63(&,),&$7,21 7(67,1* 

.H\ZRUGV DV\PSWRWLF HIILFLHQF\ +DXVPDQ WHVW PLVVSHFLILFDWLRQ 40/( DQG WLFN 

H[SRQHQWLDO IDPLO\ 

-(/ &ODVVLILFDWLRQ & & & & DQG & 

,Q WKLV SDSHU ZH DGGUHVV WKH LVVXHV RI HIILFLHQW FRQGLWLRQDO TXDQWLOH HVWLPDWLRQ DQG 

$XJ 

5RRP '

VSHFLILFDWLRQ WHVWLQJ ,Q RUGHU WR NHHS RXU DQDO\VLV VLPSOH ZH UHVWULFW RXUVHOYHV WR D FODVV 

RI FRQGLWLRQDO TXDQWLOH TXDVL PD[LPXP OLNHOLKRRG HVWLPDWRUV 40/( $QDORJRXVO\ WR WKH 

FRQGLWLRQDO H[SHFWDWLRQ FDVH RQO\ D 40/( JHQHUDWHG E\ D PHPEHU RI WKH WLFN H[SRQHQWLDO 

IDPLO\ LV FRQVLVWHQW DQG DV\PSWRWLFDOO\ QRUPDO %DVHG RQ WKLV UHVXOW ZH ILUVW VKRZ WKDW 

QRQH RI WKH WLFN H[SRQHQWLDO 40/(V LQFOXGLQJ WKH ZHOO NQRZQ .RHQNHU DQG %DVVHWW 

TXDQWLOH UHJUHVVLRQ HVWLPDWRU DWWDLQV WKH PLQLPXP DV\PSWRWLF YDULDQFH ERXQG +RZHYHU 

D VLPSOH FKDQJH LQ WKHLU REMHFWLYH IXQFWLRQ OHDGV LQ JHQHUDO WR D VPDOOHU DV\PSWRWLF 

YDULDQFH 6HFRQG ZH SURSRVH D +DXVPDQ WHVW IRU FRUUHFW FRQGLWLRQDO TXDQWLOH PRGHO 

VSHFLILFDWLRQ 3RZHU RI VXFK WHVW LV DFKLHYHG E\ FKRRVLQJ 40/(V ZLWK GLIIHUHQW SUREDELOLW\ 

OLPLWV XQGHU PLV VSHFLILHG DOWHUQDWLYHV $ 0RQWH &DUOR H[SHULPHQW ZLWK $5&+ W\SH 

SURFHVVHV LOOXVWUDWHV RXU ILQGLQJV 

%DV 'RQNHUV 

(UDVPXV 8QLYHUVLW\ 5RWWHUGDP 

&R $XWKRUV 0 6FKDIJDQV 

$ '(5,9$7,9( %$6(' (67,0$725 )25 6(0,3$5$0(75,& ,1'(; 

02'(/6 

.H\ZRUGV DYHUDJH GHULYDWLYHV LQGH[ PRGHOV RXWHU SURGXFW RI GHULYDWLYHV UDQN WHVWLQJ 

DQG 6HPLSDUDPHWULF HVWLPDWLRQ 

-(/ &ODVVLILFDWLRQ & DQG & 

7KLV SDSHU SURSRVHV D VHPLSDUDPHWULF HVWLPDWRU IRU VLQJOH DQG PXOWLSOH LQGH[ PRGHOV ,W 

SURYLGHV DQ H[WHQVLRQ RI WKH DYHUDJH GHULYDWLYH HVWLPDWRU WR WKH PXOWLSOH LQGH[ PRGHO 

VHWWLQJ 7KH HVWLPDWRU XVHV WKH DYHUDJH RI WKH RXWHU SURGXFW RI GHULYDWLYHV DQG LV VKRZQ WR 

EH URRW 1 FRQVLVWHQW DQG DV\PSWRWLFDOO\ QRUPDO &RPSDUHG WR RWKHU HVWLPDWRUV IRU PXOWLSOH 

LQGH[ PRGHOV WKH SURSRVHG HVWLPDWRU KDV WKH DGYDQWDJH RI HDVH RI FRPSXWDWLRQ :KLOH 

PDQ\ HFRQRPHWULF PRGHOV FDQ EH UHJDUGHG DV PXOWLSOH LQGH[ PRGHOV ZLWK NQRZQ QXPEHU 

RI LQGLFHV RXU HVWLPDWRU LQ DGGLWLRQ SURYLGHV IRU D QDWXUDO IUDPHZRUN ZLWKLQ ZKLFK WR WHVW 

IRU WKH QXPEHU RI LQGLFHV UHTXLUHG 

7KLHUU\ 0DJQDF 

,15$ /($ DQG &5(67 ,16(( 

&R $XWKRUV ( 0DXULQ 

,'(17,),&$7,21 $1' ,1)250$7,21 ,1 0212721( %,1$5< 

02'(/6 

.H\ZRUGV %LQDU\ PRGHOV (IILFLHQF\ ERXQGV DQG 6HPLSDUDPHWULF PHWKRGV 


/HW \ D ELQDU\ RXWFRPH Y D FRQWLQXRXV H[SODQDWRU\ YDULDEOH DQG [ VRPH RWKHU 

H[SODQDWRU\ YDULDEOHV :H VWXG\ LQIHUHQFH RQ WKH SDUDPHWHU E RI WKH VHPLSDUDPHWULF 

ELQDU\ UHJUHVVLRQ PRGHO \ [E Y H! :H VKRZ WKDW WKH VHW XS LQWURGXFHG E\ /HZEHO 

WKDW LV DQ XQFRUUHODWHG HUURU UHVWULFWLRQ ( [ H FRPELQHG ZLWK D SDUWLDO 

LQGHSHQGDQFH DVVXPSWLRQ ) H Y [ ) H [ DQG D ODUJH VXSSRUW DVVXPSWLRQ 6XSS [E H 

F 6XSS Y SURYLGHV H[DFW LGHQWLILFDWLRQ RI E DQG ) H [ 7KH WZR UHVWULFWLRQV WKDW WKH 

SRSXODWLRQ GLVWULEXWLRQ RI WKH UDQGRP YDULDEOH Z \ Y [ VKRXOG VDWLVI\ DUH 0RQRWRQH 

DQG /DUJH 6XSSRUW FRQGLWLRQV ( \ Y [ LV PRQRWRQH LQ Y DQG ( \ Y [ YDULHV IURP

WR ZKHQ Y YDULHV RYHU LWV VXSSRUW 0RUHRYHU ZH VKRZ WKDW /HZEHO V PRPHQW HVWLPDWRU 

DWWDLQV WKH VHPL SDUDPHWULF HIILFLHQF\ ERXQG LQ WKH VHW RI ODWHQW PRGHOV WKDW KH FRQVLGHUV 

3HGUR / 9DOOV 3HUHLUD 

,EPHF %XVLQHVV 6FKRRO 

&R $XWKRUV 6 +ZDQJ DQG 6 6DWFKHOO 

672&+$67,& 92/$7,/,7< 02'(/6 :,7+ 0$5.29 5(*,0( 

6:,7&+,1* 67$7( (48$7,216 

.H\ZRUGV 0DUNRY 6ZLWFKLQJ 3HUVLVWHQFH DQG 6WRFKDVWLF 9RODWLOLW\ 


:H LQWURGXFH 69 PRGHOV ZLWK 0DUNRY UHJLPH FKDQJLQJ VWDWH HTXDWLRQ 69056 WR 

LQYHVWLJDWH WKH LPSRUWDQW SURSHUWLHV RI YRODWLOLW\ KLJK SHUVLVWHQFH DQG VPRRWKQHVV :LWK 

WKH TXDVL 0/ DSSURDFK SURSRVHG LQ RXU VWXG\ ZH VKRZHG WKDW YRODWLOLW\ LV IDU OHVV 

SHUVLVWHQW DQG VPRRWK WKDQ WKH *$5&+ RU 69 PRGHOV VXJJHVW 

,1'8675,$/ 25*$1,6$7,21 , 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ $GDP 0 OOHU 

$MD\ $JUDZDO 

4XHHQ 

&R $XWKRUV / *DUODSSL 

$XJ 

5RRP $ 

38%/,& 6(&725 6&,(1&( $1' 7+( 675$7(*< 2) 7+( &200216 

.H\ZRUGV 3DWHQWV 5DLVLQJ ULYDOV FRVWV 5HSODFHPHQW (IIHFW DQG 8QLYHUVLW\ NQRZOHGJH 

WUDQVIHU 

-(/ &ODVVLILFDWLRQ / DQG 2 

7KLV SDSHU RIIHUV DQ H[SODQDWLRQ IRU WKH SX]]OLQJ EHKDYLRU RI LQFXPEHQWV ZKR VSRQVRU 

XQLYHUVLW\ UHVHDUFK ODEV DQG UHTXLUH DOO LQYHQWLRQV JHQHUDWHG E\ WKHVH ODEV EH OLFHQVHG 

RSHQO\ RQ D SXUHO\ QRQ H[FOXVLYH EDVLV 8QGHU FHUWDLQ FRQGLWLRQV WKLV UHVXOWV LQ DQ 

LQWHOOHFWXDO SURSHUW\ µFRPPRQV ZLWK WKH FRQVHTXHQFH WKDW QR ILUP KDV WKH LQFHQWLYH WR 

LQQRYDWH GHVSLWH WKH SRWHQWLDO SURILWDELOLW\ RI WKH QHZ WHFKQRORJ\ 7KH VWUDWHJ\ RI VSRLOLQJ 

LQFHQWLYHV WR GHYHORS SXEOLF VHFWRU LQYHQWLRQV E\ HOLPLQDWLQJ H[FOXVLYH LQWHOOHFWXDO SURSHUW\ 

ULJKWV WKH VWUDWHJ\ RI WKH FRPPRQV LV PRWLYDWHG E\ D IHDU RI FDQQLEDOL]DWLRQ DQG 

VXSSRUWHG E\ D FUHGLEOH WKUHDW :H VKRZ WKDW WKH GHJUHH RI FDQQLEDOL]DWLRQ WR ZKLFK WKH 

QHZ WHFKQRORJ\ H[SRVHV WKH ROG PDUNHW LV UHVSRQVLEOH IRU WKLV PDUNHW IDLOXUH DQG 

FKDUDFWHUL]H WKH VXEJDPH SHUIHFW HTXLOLEULXP LQ ZKLFK WKH VWUDWHJ\ RI WKH FRPPRQV LV 

SOD\HG 

6HEDVWLDQ .HVVLQJ 

)UHH 8QLYHUVLW\ %HUOLQ

(03/2

IDUWKHU DZD\ IURP HDFK RWKHUV LI UHODWLYH ULVN DYHUVLRQ LQ WKH $UURZ 3UDWW VHQVH H[FHHGV 

RQH 

38%/,& (&2120,&6 

&DWHJRU\ (($ 

&KDLUSHUVRQ ' 'DOHQ 

9LQFHQW 'XSRQW 

8QLYHUVLW\ RI /LOOH 

&R $XWKRUV 3 0DUWLQ 

$XJ 

5RRP & 

5(*,21$/ 32/,&,(6 $1' ,1(48$/,7,(6 $5( 68%6,',(6 *22' 

)25

0DUFR &DVDUL 

81,9(56,7$7 $872120$ '( %$5&(/21$ 

&R $XWKRUV 6 :LONLH 

6(48(1&,1* /,)(/,1( 5(3$,56 $)7(5 $1 ($57+48$.( $1 

(&2120,& $3352$&+ 

.H\ZRUGV PHFKDQLVP GHVLJQ QDWXUDO GLVDVWHUV QHWZRUN H[WHUQDOLWLHV DQG SXEOLF XWLOLW\ 

FRPSDQLHV 

-(/ &ODVVLILFDWLRQ ' ' DQG / 

7KH H[SHULHQFHV RI UHEXLOGLQJ JDV URDG DQG SRZHU QHWZRUNV OLIHOLQHV DIWHU UHFHQW 

HDUWKTXDNHV LQ 86$ DQG -DSDQ KDYH VKRZQ WKDW ODUJH ZHOIDUH JDLQV FDQ EH DFKLHYHG E\ 

UHVKDSLQJ FXUUHQW HPHUJHQF\ SODQV DV LQFHQWLYH FRPSDWLEOH FRQWUDFWV ZLWK OLIHOLQH VHUYLFH 

SURYLGHUV :H RXWOLQH D EDODQFHG EXGJHW PHFKDQLVP WKDW DQ XQLQIRUPHG SODQQHU FRXOG 

DGRSW WR LPSOHPHQW D UHSDLU VHTXHQFH LQ XQGRPLQDWHG 1DVK HTXLOLEULXP VWUDWHJLHV LQ RUGHU 

WR DFKLHYH FRRUGLQDWLRQ DQG WR VHW VRFLDOO\ RSWLPDO SULRULWLHV )XUWKHUPRUH ZH GLVFXVV WKH 

XVH RI D VLPSOHU LWHUDWLYH YHUVLRQ RI WKH PHFKDQLVP ZLWK DQG ZLWKRXW WKH SUHVHQFH RI 

QHWZRUN H[WHUQDOLWLHV 

'DJ 0RUWHQ 'DOHQ 

1RUZHJLDQ 6FKRRO RI 0DQDJHPHQW 

&R $XWKRUV ( 0RHQ 

7+( 3523(5 6&23( 2) *29(510(176 :+(1 &2676 $5( 

&2175$&7,%/( 

.H\ZRUGV ,QFRPSOHWH FRQWUDFWV 3ULYDWL]DWLRQ DQG 4XDOLW\ 

-(/ &ODVVLILFDWLRQ ' DQG / 

,Q WKLV SDSHU ZH GLVFXVV WKH UHODWLYH PHULWV RI SXEOLF DQG SULYDWH RZQHUVKLS 2XU VWDUWLQJ 

SRLQW LV WKH DQDO\VLV RI +DUW 6FKOHLIHU DQG 9LVKQH\ +69 :H GHSDUW IURP +69 V PRGHO LQ 

WZR DVSHFWV )LUVW ZH DOORZ IRU FRVW VKDULQJ FRQWUDFWV EHWZHHQ WKH JRYHUQPHQW DQG WKH 

ILUP 6HFRQG ZH DVVXPH WKDW WKH PDQDJHU RI D SULYDWH ILUP PD\ LQFXU DGGLWLRQDO FRVWV LQ 

RUGHU WR SURGXFH SULYDWH EHQHILWV 7KH FRVW VKDULQJ FRQWUDFW DOORZV WKH JRYHUQPHQW WR 

JRYHUQ WKH LQFHQWLYHV IRU FRVW UHGXFWLRQV LQ D SULYDWLVHG ILUP DQG WKH JRYHUQPHQW FDQ 

WKHUHE\ UHGXFH WKH SULYDWH ILUP V LQFHQWLYHV WR GXPS TXDOLW\ LQ RUGHU WR VDYH RQ FRVWV 

+RZHYHU WKLV FRPHV DW D FRVW DV D ORZ SRZHUHG LQFHQWLYH FRQWUDFW LQFUHDVHV WKH 

PDQDJHU V LQFHQWLYHV WR FRQVXPH SHUNV :H VKRZ WKDW LI TXDOLW\ GXPSLQJ LV LPSRUWDQW 

SXEOLF RZQHUVKLS LV VWLOO SUHIHUDEOH WR SULYDWH RZQHUVKLS 

021(7$5< 32/,&< , 

&DWHJRU\ (($ 

&KDLUSHUVRQ * 3ULPLFHUL 

$XJ 

5RRP '

,EUDKLP &KRZGKXU\ 

8QLYHUVLW\ RI &RORJQH 

&R $XWKRUV $ 6FKDEHUW 

021(< *52:7+ 58/(6 /,48,',7< ())(&76 $1' 287387 

3(56,67(1&( 

.H\ZRUGV )XQGDPHQWDO 6ROXWLRQ /LTXLGLW\ (IIHFW 0RQH\ 6XSSO\ 3HUVLVWHQFH DQG 3ROLF\ 

5XOH (VWLPDWLRQV 

-(/ &ODVVLILFDWLRQ ( DQG ( 

,Q WKHRUHWLFDO FRQWULEXWLRQV PRQHWDU\ SROLF\ LV FRPPRQO\ 

VXPPDUL]HG E\ HLWKHU D VLPSOH LQWHUHVW UDWH UXOH RU E\ D FRQVWDQW 

PRQH\ JURZWK UDWH UXOH ,Q WKLV SDSHU ZH SURYLGH HYLGHQFH WKDW 86 

)HGHUDO 5HVHUYH SROLF\ GXULQJ WKH 9ROFNHU *UHHQVSDQ HUD FDQ EH 

FKDUDFWHUL]HG E\ D VLPSOH FRQWLQJHQW PRQH\ VXSSO\ UXOH DFFRUGLQJ 

WR ZKLFK WKH JURZWK UDWH RI QRQERUURZHG UHVHUYHV GHSHQGV RQ 

H[SHFWHG FKDQJHV LQ LQIODWLRQ ,Q SDUWLFXODU WKH LQIODWLRQ HODVWLFLW\ LV 

IRXQG WR EH VLJQLILFDQWO\ QHJDWLYH LQGLFDWLQJ WKH ZLOOLQJQHVV RI 

PRQHWDU\ SROLF\ WR VWDELOL]H LQIODWLRQ $VVXPLQJ D FRQWLQJHQW 

PRQH\ VXSSO\ UXOH ZH DQDO\WLFDOO\ VKRZ WKDW D QHJDWLYH LQIODWLRQ 

HODVWLFLW\ UDLVHV WKH OLNHOLKRRG IRU WKH SUHVHQFH RI D OLTXLGLW\ HIIHFW 

LQ D FRQYHQWLRQDO VWLFN\ SULFH PRGHO ,W LV IXUWKHU VKRZQ WKDW WKH 

SHUVLVWHQFH RI RXWSXW UHVSRQVH WR PRQHWDU\ LQMHFWLRQV LQFUHDVHV IRU 

D QHJDWLYH LQIODWLRQ HODVWLFLW\ 

6SLURV %RXJKHDV 

8QLYHUVLW\ RI 1RWWLQJKDP 

&R $XWKRUV 6 0DWHXW DQG 3 0L]HQ 

75$'( &5(',7 %$1. /(1',1* $1' 021(7$5< 32/,&< 

75$160,66,21 

.H\ZRUGV %DQN /HQGLQJ &UHGLW &KDQQHO DQG 7UDGH &UHGLW 


7KLV SDSHU LQYHVWLJDWHV WKH UROH RI WUDGH FUHGLW LQ WKH WUDQVPLVVLRQ RI PRQHWDU\ SROLF\ 0RVW 

PRGHOV RI WKH WUDQVPLVVLRQ PHFKDQLVP DOORZ WKH ILUP WR DFFHVV RQO\ ILQDQFLDO PDUNHWV RU 

EDQN OHQGLQJ ,Q RXU PRGHO ZH LQWURGXFH WUDGH FUHGLW DV DQ DGGLWLRQDO VRXUFH RI IXQGLQJ 

:H SUHGLFW WKDW ZKHQ PRQHWDU\ SROLF\ WLJKWHQV WKHUH ZLOO EH D UHGXFWLRQ LQ PDUNHW DQG 

EDQN OHQGLQJ DQG DQ LQFUHDVH LQ WUDGH FUHGLW 7KLV LV FRQILUPHG ZLWK DQ HPSLULFDO 

LQYHVWLJDWLRQ RI PDQXIDFWXULQJ ILUPV 

*LRUJLR 3ULPLFHUL 

3ULQFHWRQ 8QLYHUVLW\ 

7,0( 9$5

.H\ZRUGV *LEEV VDPSOLQJ LGHQWLILFDWLRQ PRQHWDU\ SROLF\ VKRFNV PXOWLYDULDWH VWRFKDVWLF 

YRODWLOLW\ V\VWHPDWLF PRQHWDU\ SROLF\ DQG WLPH YDU\LQJ FRHIILFLHQWV 

-(/ &ODVVLILFDWLRQ & & ( ( DQG ( 

7KH 86 HFRQRP\ LV PRGHOHG DV D WLPH YDU\LQJ VWUXFWXUDO YHFWRU DXWRUHJUHVVLRQ ZKHUH WKH 

VRXUFHV RI WLPH YDULDWLRQ DUH ERWK WKH FRHIILFLHQWV DQG WKH YDULDQFH FRYDULDQFH PDWUL[ RI 

WKH LQQRYDWLRQV 7KH SDSHU GHYHORSV D QHZ PRGHOLQJ VWUDWHJ\ IRU WKH ODZ RI PRWLRQ RI WKH 

YDULDQFH FRYDULDQFH PDWUL[ DQG SURSRVHV DQ HIILFLHQW 0DUNRY FKDLQ 0RQWH &DUOR DOJRULWKP 

IRU WKH PRGHO OLNHOLKRRG SRVWHULRU QXPHULFDO HYDOXDWLRQ 7KH PDLQ HPSLULFDO FRQFOXVLRQV 

DUH ERWK V\VWHPDWLF DQG QRQ V\VWHPDWLF PRQHWDU\ SROLF\ KDYH FKDQJHG GXULQJ WKH ODVW 

IRUW\ \HDUV ,Q SDUWLFXODU ORQJ UXQ V\VWHPDWLF UHVSRQVHV RI WKH LQWHUHVW UDWH WR LQIODWLRQ DQG 

XQHPSOR\PHQW H[KLELW D WUHQG WRZDUG D PRUH DJJUHVVLYH EHKDYLRU GHVSLWH UHPDUNDEOH 

RVFLOODWLRQV WKLV KDV KDG D QHJOLJLEOH HIIHFW RQ WKH UHVW RI WKH HFRQRP\ 7KH UROH SOD\HG 

E\ H[RJHQRXV QRQ SROLF\ VKRFNV VHHPV PXFK PRUH LPSRUWDQW WKDQ PRQHWDU\ SROLF\ LQ 

H[SODLQLQJ WKH KLJK LQIODWLRQ DQG XQHPSOR\PHQW HSLVRGHV LQ UHFHQW 86 HFRQRPLF KLVWRU\ 

),50 %(+$9,285 

&DWHJRU\ (($ 

&KDLUSHUVRQ 6 3UDQWO 

7LPR .XRVPDQHQ 

:DJHQLQJHQ 8QLYHUVLW\ 

'8$/,7< 7+(25< 2) 121&219(; 7(&+12/2*,(6 

$XJ 

5RRP ' 

.H\ZRUGV 'XDOLW\ WKHRU\ 1RQFRQYH[ WHFKQRORJLHV 1RQSDUDPHWULF SURGXFWLRQ DQDO\VLV 

DQG 3URGXFWLRQ WKHRU\ 


'XDOLW\ 7KHRU\ RI SURGXFWLRQ LPSRVHV D QXPEHU RI VLPSOLI\LQJ DVVXPSWLRQV UHJDUGLQJ WKH 

SURGXFWLRQ WHFKQRORJ\ LQFOXGLQJ YDULRXV PDLQWDLQHG FRQYH[LW\ DVVXPSWLRQV (PSKDVL]LQJ 

WKH WHFKQRORJLFDO LQIRUPDWLRQ FRQWHQW RI DOWHUQDWLYH PRGHOV WKLV SDSHU FKDOOHQJHV VRPH 

ZLGHO\ KHOG YLHZV RQ WKH UROH RI FRQYH[LW\ 7KH UROH RI FRQYH[LW\ LQ 'XDOLW\ 7KHRU\ LV 

DV\PPHWULF :KLOH FRQYH[LW\ LV RI LPSRUWDQFH LQ UHFRYHULQJ WHFKQRORJ\ LQIRUPDWLRQ IURP 

HFRQRPLF PRGHOV FRVW IXQFWLRQV DUH FRQFDYH DQG SURILW IXQFWLRQV DUH FRQYH[ LUUHVSHFWLYH 

RI FRQYH[LW\ RI WKH XQGHUO\LQJ WHFKQRORJ\ )RU UHFRYHULQJ WHFKQRORJ\ LQIRUPDWLRQ IURP 

HFRQRPLF PRGHOV DQG GDWD ZH GLVFXVV WZR DOWHUQDWLYH DSSURDFKHV UHFRYHULQJ LQH[DFW 

RXWHU ERXQG DSSUR[LPDWLRQV DQG HQULFKLQJ VWDQGDUG HFRQRPLF PRGHOV E\ DGGLWLRQDO 

TXDQWLW\ ILQDQFLDO FRQVWUDLQWV 7KH PDLQ FRQFOXVLRQ LV WKDW QRQ FRQYH[LWLHV VKRXOG QRW VWRS 

RQH IURP DSSO\LQJ WKH GXDOLW\ WKHRU\ 

7KRPDV =ZLFN 

&HQWUH IRU (XURSHDQ (FRQRPLF 5HVHDUFK =(: 

7+( ,03$&7 2) 75$,1,1* ,17(16,7< 21 (67$%/,6+0(17 

352'8&7,9,7< 

.H\ZRUGV )LUP 3URGXFWLYLW\ 3DQHO (VWLPDWLRQ DQG 7UDLQLQJ 

-(/ &ODVVLILFDWLRQ & ' DQG -

7KLV SDSHU PHDVXUHV WKH LPSDFW RI WUDLQLQJ LQWHQVLW\ RQ HVWDEOLVKPHQW SURGXFWLYLW\ LQ D 

SURGXFWLRQ IXQFWLRQ XVLQJ WKH UHSUHVHQWDWLYH *HUPDQ ,$% HVWDEOLVKPHQW SDQHO VHW 7KH 

VKDUH RI WUDLQHG HPSOR\HHV LQ KDV D VLJQLILFDQW SURGXFWLYLW\ LPSDFW RQ SURGXFWLYLW\ LQ 

EXW QRW LQ DQG RQ DYHUDJH SURGXFWLYLW\ LQ WKH SHULRG 7KH SDSHU 

VLPXOWDQHRXVO\ FRUUHFWV IRU XQREVHUYHG WLPH LQYDULDQW KHWHURJHQHLW\ RI HVWDEOLVKPHQWV E\ 

XVLQJ D IL[HG HIIHFWV SDQHO UHJUHVVLRQ DQG IRU VHOHFWLYLW\ RI WUDLQLQJ E\ LQVWUXPHQWLQJ WKH 

WUDLQLQJ LQWHQVLW\ YDULDEOH 7KLV LQQRYDWLYH HVWLPDWLRQ DSSURDFK GHPRQVWUDWHV WKDW WKH 

HVWLPDWLRQ UHVXOWV DUH VHQVLWLYH WR ERWK VRXUFHV RI HVWLPDWLRQ ELDV 8QREVHUYHG 

KHWHURJHQHLW\ DQG VHOHFWLYLW\ ERWK OHDG WR DQ XQGHUHVWLPDWLRQ ZKLOH RPLWWHG YDULDEOH ELDV 

OHDGV WR DQ RYHUHVWLPDWLRQ RI WKH SURGXFWLYLW\ HIIHFW 

(NNHKDUG (UQVW 

(XURSHDQ &HQWUDO %DQN 

&R $XWKRUV % $PDEOH 

),1$1&,$/ $1' /$%25 0$5.(7 ,17(5$&7,216 63(&,),& 

,19(670(176 $1' 0$5.(7 /,48,',7< 

.H\ZRUGV LQVWLWXWLRQDO FRPSOHPHQWDULW\ PDUNHW LQWHUDFWLRQ 0DUNHW OLTXLGLW\ DQG PDWFKLQJ 

RQ ILDQFLDO DQG ODERU PDUNHWV 

-(/ &ODVVLILFDWLRQ * - DQG 2 

$ GRXEOH VLGHG PDWFKLQJ SURFHVV LV FRQVLGHUHG ZKHUH ILUPV KDYH WR VHDUFK IRU ERWK 

ILQDQFLDO LQYHVWRUV DQG ZRUNHUV 7KH YDOXH RI WKH PDWFK LV HQGRJHQRXV DV DOO WKUHH DFWRUV 

FDQ SURFHHG RQ LQYHVWPHQWV VSHFLILF WR WKH PDWFK )LQDQFLDO LQYHVWRUV ZLOO VFUHHQ SRVVLEOH 

GHEWRUV WR WKH TXDOLW\ RI WKHLU LQYHVWPHQW SURMHFW ILUPV ZLOO VHOHFW WKHLU WHFKQRORJ\ DQG 

ZRUNHUV ZLOO GHFLGH XSRQ WKHLU HIIRUW OHYHO ,Q HTXLOLEULXP ZKHQ ZDJHV DQG GHEW OHYHOV DUH 

QHJRWLDWHG WKLV PD\ OHDG WR PXOWLSOH HTXLOLEULD ZKRVH FKDUDFWHULVWLFV DUH LQIOXHQFHG E\ 

YDULRXV SROLF\ YDULDEOHV 

0RUHRYHU IRU KLJKO\ VFOHURWLF PDUNHWV WKHVH HTXLOLEULD PD\ GLVDSSHDU DOWRJHWKHU 

6XVDQQH 3UDQWO 

,QVWLWXWH IRU )LVFDO 6WXGLHV DQG 8QLYHUVLW\ &ROOHJH /RQGRQ 

38%/,& 67$57 83 ),1$1&,1* '2(6 9$5,$7,21 2) &$3,7$/ 

&267 68%6,',(6 0$77(5" 

.H\ZRUGV )LUP 6XUYLYDO 0XOWLSOH 7UHDWPHQWV 1RQ SDUDPHWULF 3URSHQVLW\ 6FRUH 

0DWFKLQJ 3URJUDP (YDOXDWLRQ DQG 6XEVLGL]HG /RDQV 

-(/ &ODVVLILFDWLRQ & & + DQG / 

6HYHUDO IHGHUDO SURJUDPV LQ *HUPDQ\ RIIHU VXEVLGL]HG 

ORDQV WR VWDUW XS ILUPV 6LQFH WKH SURJUDPV FDQ EH 

FRPELQHG VXEVLGLHV RQ FDSLWDO FRVWV SHU (XUR KDQGHG 

RXW DQG WKH VKDUHV RI H[WHUQDO FDSLWDO EHLQJ VXEVLGL]HG 

YDU\ FRQVLGHUDEO\ EHWZHHQ ILUPV ,Q WKLV SDSHU , DQDO\]H 

DVVLJQPHQW WR GLIIHUHQW PRGHV RQ VWDUW XS DVVLVWDQFH DQG 

FRPSDUH PRGH VSHFLILF HIIHFWV RQ ILUP VXUYLYDO E\ DSSO\LQJ 

QRQ SDUDPHWULF SURSHQVLW\ VFRUH PDWFKLQJ DQG H[SORLWLQJ D

QDWXUDO H[SHULPHQW LQ :HVW *HUPDQ\ ,Q WKH VKRUW UXQ 

VWURQJ FDSLWDO FRVW VXEVLGLHV DUH IRXQG WR LQFUHDVH ILUP 

VXUYLYDO FKDQFHV RI VWURQJO\ VXEVLGL]HG ILUPV LQ :HVW 

*HUPDQ\ PRUH WKDQ ZHDN FDSLWDO FRVW VXEVLGLHV ,Q WKH 

PHGLXP DQG ORQJ UXQ KRZHYHU , GR QRW ILQG VLPLODU 

UHVXOWV )RU (DVW *HUPDQ ILUPV VLJQLILFDQW GLIIHUHQFHV 

FDQQRW HYHQ EH REVHUYHG LQ WKH VKRUW UXQ 

%$1.,1* , 

&DWHJRU\ (($ 

&KDLUSHUVRQ / &DVRODUR 

6KLQ 'RQJ -HXQJ 

0LFKLJDQ 6WDWH 8QLYHUVLW\ 

&R $XWKRUV 7 -HLWVFKNR 

$XJ 

%$1.6 5,6. 025$/ +$=$5' $1' &$3,7$/,=$7,21 

.H\ZRUGV $JHQF\ 3UREOHP %DQN &DSLWDOL]DWLRQ 0RUDO +D]DUG DQG 2SWLRQ 9DOXH 

-(/ &ODVVLILFDWLRQ ' ' * DQG * 

5RRP % 

7KH FRQYHQWLRQDO ZLVGRP VD\V WKDW UHODWLYHO\ ZHOO FDSLWDOL]HG EDQNV DUH OHVV LQFOLQHG WR 

LQFUHDVH DVVHW ULVN EHFDXVH WKH RSWLRQ YDOXH RI GHSRVLW LQVXUDQFH GHFUHDVHV ZLWK 

FDSLWDOL]DWLRQ 7KLV SDSHU LQWHQGV WR VKHG QHZ OLJKW RQ WKLV LVVXH E\ 

H[SDQGLQJ H[LVWLQJ PRGHOV LQ WZR GLPHQVLRQV )LUVW E\ 

LQFRUSRUDWLQJ LQWR D VLQJOH PRGHO WKH WKUHH GLIIHUHQW LQFHQWLYHV 

RI WKUHH DJHQWV DQG VHFRQG E\ LQWURGXFLQJ IRXU GLVWLQFW DVVXPSWLRQV RQ WKH 

ULVN UHWXUQ SURILOHV %\ FRPELQLQJ WKHVH WZR 

IDFWRUV WKH PRGHO GHPRQVWUDWHV WKDW EDQNV£ ULVN FDQ 

HLWKHU GHFUHDVH RU LQFUHDVH ZLWK FDSLWDOL]DWLRQ GHSHQGLQJ RQ 

UHODWLYH IRUFHV RI WKH GLIIHULQJ LQFHQWLYHV RI WKH WKUHH DJHQWV DQG 

RQ YDULRXV SDUDPHWULF DVVXPSWLRQV 

DERXW ULVN UHWXUQ SURILOHV 

.HLLFKLUR .RED\DVKL 

5HVHDUFK ,QVWLWXWH RI (FRQRP\ 7UDGH DQG ,QGXVWU\ 

'(%7 '()/$7,21 $1' %$1. 5(&$3,7$/,=$7,21 

.H\ZRUGV EDQN LQVROYHQF\ GHEW GHIODWLRQ )LQDQFLDO FULVHV DQG UHFDSLWDOL]DWLRQ 

-(/ &ODVVLILFDWLRQ ( ( DQG * 

,Q VRPH UHFHQW ILQDQFLDO FULVHV PRVW RI WKH GRPHVWLF EDQNV RU WKH EDQNLQJ VHFWRU DV D 

ZKROH KDV EHFRPH LQVROYHQW :H DQDO\]H EDQN LQVROYHQF\ E\ H[DPLQLQJ D PRGLILHG 

YHUVLRQ RI WKH 'LDPRQG 5DMDQ PRGHO LQ ZKLFK ZH LQWURGXFH ILDW FXUUHQF\ 7KH VRXUFHV RI 

LQHIILFLHQF\ DUH PRUDO KD]DUG LQ EDQNLQJ DQG WKH SUHPDWXUH OLTXLGDWLRQ RI EDQN DVVHWV ,I 

WKH JRYHUQPHQW GRHV QRW LQWHUYHQH LQ D YHU\ VHYHUH FDVH RI EDQN LQVROYHQF\ D ILUH VDOH RI 

DOO EDQN DVVHWV RFFXUV WKH HFRQRP\ EHFRPHV GLVLQWHUPHGLDWHG DQG SULFH OHYHOV PD\ IDOO

GHEW GHIODWLRQ 

:H DQDO\]H WKH FRQVHTXHQFHV RI GLIIHUHQW SROLF\ UHVSRQVHV WR EDQN LQVROYHQF\ D 

GHSRVLW JXDUDQWHH XQOLPLWHG OLTXLGLW\ VXSSRUW DQG EDQN UHFDSLWDOL]DWLRQ WKURXJK 

HLWKHU FDVK FUHDWLRQ PRQHWDU\ SROLF\ RU ERQG LVVXDQFH ILVFDO SROLF\ :H VKRZ WKDW EDQN 

UHFDSLWDOL]DWLRQ E\ ILVFDO PHDVXUHV LV RSWLPDO LQ RXU PRGHO 

(UOHQG 1LHU 


&R $XWKRUV 8 %DXPDQQ 

0$5.(7 ',6&,3/,1( ',6&/2685( $1' 025$/ +$=$5' ,1 

%$1.,1* 

.H\ZRUGV %DQN 0RUDO +D]DUG 'LVFORVXUH DQG 0DUNHW 'LVFLSOLQH 

-(/ &ODVVLILFDWLRQ ' * DQG * 

7KLV SDSHU LQYHVWLJDWHV WKH HIIHFWLYHQHVV RI PDUNHW GLVFLSOLQH LQ OLPLWLQJ H[FHVVLYH ULVN 

WDNLQJ E\ EDQNV :H KDYH FRQVWUXFWHG D ODUJH FURVV FRXQWU\ SDQHO GDWD VHW FRQVLVWLQJ RI 

REVHUYDWLRQV RQ LQGLYLGXDO EDQNV IURP GLIIHUHQW FRXQWULHV RYHU WKH \HDUV WR 

7KHRU\ LPSOLHV WKDW WKH VWUHQJWK RI PDUNHW GLVFLSOLQH RXJKW WR EH UHODWHG WR WKH H[WHQW 

RI WKH JRYHUQPHQW VDIHW\ QHW WKH REVHUYDELOLW\ RI EDQN ULVN FKRLFHV DQG WR WKH SURSRUWLRQ 

RI XQLQVXUHG OLDELOLWLHV LQ WKH EDQNV EDODQFH VKHHW :H WHVW IRU K\SRWKHVHV UHODWLQJ WR DOO RI 

WKHVH IDFWRUV DW WKH EDQN OHYHO 3DQHO GDWD HVWLPDWLRQ WHFKQLTXHV DUH DSSOLHG WR ERWK 

FDSLWDO UHJUHVVLRQV ZKLFK DLP WR H[SODLQ EDQNV FKRLFH RI FDSLWDO EXIIHUV DQG ULVN 

UHJUHVVLRQV ZKLFK DLP WR H[SODLQ EDQN ULVN 2XU UHVXOWV VXJJHVW WKDW PRUDO KD]DUG H[LVWV 

DQG WKDW PDUNHW GLVFLSOLQH SOD\V D UROH LQ PLWLJDWLQJ EDQNV ULVN RI LQVROYHQF\ 

/XFD &DVRODUR 

%DQFD G ,WDOLD 6HUYL]LR 6WXGL 

&R $XWKRUV ' )RFDUHOOL DQG $ 3R]]ROR 

7+( 35,&,1* ())(&7 2) &(57,),&$7,21 21 %$1. /2$16 

(9,'(1&( )520 7+( 6

(03,5,&$/ 0$&52(&2120,&6 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 :DJQHU 

6WLOLDQRV )RXQWDV 

$VVRFLDWH 3URIHVVRU RI (FRQRPLFV 

&R $XWKRUV 0 .DUDQDVRV 

$XJ 

,1)/$7,21 287387 *52:7+ $1' 120,1$/ $1' 5($/ 

81&(57$,17< (03,5,&$/ (9,'(1&( )25 7+( * 

5RRP % 

.H\ZRUGV *$5&+ PRGHOV *UDQJHU FDXVDOLW\ ,QIODWLRQ 2XWSXW JURZWK DQG 8QFHUWDLQW\ 

-(/ &ODVVLILFDWLRQ & & & DQG ( 

:H XVH XQLYDULDWH *$5&+ PRGHOV RI LQIODWLRQ DQG RXWSXW JURZWK DQG PRQWKO\ GDWD RQ 

LQIODWLRQ DQG RXWSXW JURZWK LQ WKH * IRU WKH SHULRG WR H[DPLQH DOO SRVVLEOH 

FDXVDO UHODWLRQVKLSV EHWZHHQ LQIODWLRQ RXWSXW JURZWK UHDO DQG QRPLQDO XQFHUWDLQW\ DQG 

KHQFH WHVW IRU D QXPEHU RI HFRQRPLF WKHRULHV :H GHULYH D QXPEHU RI LPSRUWDQW UHVXOWV 

)LUVW ZH ILQG VWURQJ HYLGHQFH WKDW LQIODWLRQ LV D QHJDWLYH GHWHUPLQDQW RI RXWSXW JURZWK 7KLV 

HIIHFW ZRUNV ERWK GLUHFWO\ DQG LQGLUHFWO\ L H YLD WKH LQIODWLRQ XQFHUWDLQW\ FKDQQHO 6HFRQG 

ZH ILQG WKDW LQIODWLRQ XQFHUWDLQW\ UDLVHV LQIODWLRQ )LQDOO\ ZH ILQG WKDW RXWSXW JURZWK 

XQFHUWDLQW\ LV D SRVLWLYH GHWHUPLQDQW RI WKH RXWSXW JURZWK UDWH 

(PDQXHOD &DUGLD 

8QLYHUVLWH 'H 0RQWUHDO 

&R $XWKRUV 6 $PEOHU DQG & =LPPHUPDQQ 

,17(51$7,21$/ %86,1(66 &

0DUWLQ :DJQHU 

8QLYHUVLW\ RI %HUQ DQG 3ULQFHWRQ 8QLYHUVLW\ 

$ &203$5,621 2) -2+$16(1 6 %,(5(16 $1' 7+( 68%63$&( 

$/*25,7+0 0(7+2' )25 &2,17(*5$7,21 $1$/

$QMD 6FKRHWWQHU 

+XPEROGW 8QLYHUVLW\ DW %HUOLQ 

352&85(0(17 0(&+$1,606 :+(1 6,*1$/6 $%287 48$/,7< 

$5( 2%6(59$%/( 

.H\ZRUGV ILUVW SULFH DXFWLRQ SUHFLVLRQ SURFXUHPHQW TXDOLW\ DQG WRXUQDPHQW 

-(/ &ODVVLILFDWLRQ ' ' + / DQG / 

, FRPSDUH D ILUVW SULFH DXFWLRQ DQG D WRXUQDPHQW LQ D SURFXUHPHQW 

VHWWLQJ ZKHUH D QRQ FRQWUDFWLEOH VLJQDO DERXW WKH TXDOLW\ WKDW D 

FRQWHVWDQW LV DEOH WR VXSSO\ LV REVHUYHG E\ WKH SURFXUHU DQG DOO FRPSHWLQJ ILUPV 6LJQDOV 

DUH 

DIIHFWHG E\ ILUPV LQYHVWPHQWV LQ 5 ' ZKLFK DUH DOVR 

QRQ FRQWUDFWLEOH )RU HDFK PHFKDQLVP RSWLPDO SURFXUHPHQW FRVW 

IXQFWLRQV DUH GHULYHG $ QHFHVVDU\ DQG VXIILFLHQW FRQGLWLRQ LV 

JLYHQ XQGHU ZKLFK WKH WRXUQDPHQW VFKHPH RXWSHUIRUPV WKH DXFWLRQ 

PHFKDQLVP )RU WKH DXFWLRQ PHFKDQLVP WR EH IHDVLEOH D KLJKHU 

IDFWRU RI FKDQFH WKDQ IRU WKH WRXUQDPHQW FDQ EH UHTXLUHG ,Q WKLV 

FDVH WKH SURFXUHU SUHIHUV D WRXUQDPHQW ZKHQ PDUJLQDO FRVWV RI 

DFFXUDF\ LQ DVVHVVPHQW RI TXDOLW\ DUH ORZ 

$GDP 6]HLGO 

+DUYDUG 8QLYHUVLW\ 

&R $XWKRUV ' )XGHQEHUJ DQG 0 0RELXV 

/$5*( $8&7,216 

.H\ZRUGV 'RXEOH DXFWLRQ (TXLOLEULXP DQG ([LVWHQFH 

-(/ &ODVVLILFDWLRQ & & ' DQG ' 

:H VKRZ WKH H[LVWHQFH RI D SXUH VWUDWHJ\ V\PPHWULF LQFUHDVLQJ 

HTXLOLEULXP LQ GRXEOH DXFWLRQ PDUNHWV ZLWK LQWHUGHSHQGHQW SULYDWH 

YDOXDWLRQV DQG D ODUJH QXPEHU RI SDUWLFLSDQWV 7KH HTXLOLEULXP ZH 

ILQG LV DUELWUDULO\ FORVH WR IXOO\ UHYHDOLQJ DV WKH PDUNHW VL]H 

JURZV 2XU UHVXOWV SURYLGH PLFURIRXQGDWLRQV IRU SULFH WDNLQJ 

EHKDYLRU PDUNHW FOHDULQJ SULFHV DQG PDUNHW HIILFLHQF\ LQ ODUJH 

PDUNHWV 

0DWWKHZ %HQQHWW 

*UHPDT 8QLYHUVLWH GH 7RXORXVH 

,6 7+( 237,0$/ $8&7,21 $ %($87< &217(67" $ 02'(/ 2) 

$8&7,216 $6

VWRUDJH FDSDFLW\ WHOHYLVLRQ ULJKWV HWF WKHLU LPSDFW RQ WKH UHODWLRQVKLS EHWZHHQ UHJXODWLRQ 

DQG FRPSHWLWLRQ LV DQ LPSRUWDQW FRQVLGHUDWLRQ 7KLV SDSHU DQDO\VHV WKH LQWURGXFWLRQ RI DQ 

DXFWLRQ VWDJH LQWR UHJXODWRU\ PRGHO VLPLODU WR %HVDQNR DQG 6SXOEHU 7KUHH 

VXUSULVLQJ UHVXOWV IROORZ ILUVWO\ WKH XVH RI WKH DXFWLRQ GRHV QRW DOORZ KLJKHU TXDQWLWLHV 

6HFRQGO\ WKH RSWLPDO DXFWLRQ LV LGHQWLFDO WR D EHDXW\ FRQWHVW DV HTXLOLEULXP ELGV DUH 

LQGHSHQGHQW RI ILUPV W\SHV 7KLUGO\ D K\EULG PHFKDQLVP LQ ZKLFK WKH UHJXODWRU FKRRVHV 

ERWK WKH OLFHQVH DPRXQWV DQG WKH ZLQQHU GHSHQGHQW RQ W\SH VWULFWO\ LQFUHDVHV ZHOIDUH 

RYHU WKH RSWLPDO DXFWLRQ /DVWO\ ZH VKRZ WKDW WKHVH UHVXOWV DUH UREXVW HYHQ ZKHQ 

JRYHUQPHQWV GHULYH VLJQLILFDQW OHYHOV RI ZHOIDUH YLD WKH ELG UHYHQXHV 

&5(',7 0$5.(76 

&DWHJRU\ (($ 

&KDLUSHUVRQ 6 0DJUL 

RQ ZKHWKHU XQFHUWDLQW\ LV UHVSHFWLYHO\ DERXW VFUHHQLQJ RXW RU VFUHHQLQJ LQ TXDOLW\ 7KH 

UHVXOWV KDYH LPSOLFDWLRQV IRU DGRSWLRQ SDWWHUQV RI QHZ LQIRUPDWLRQ WHFKQRORJ\ ZKLFK FDQ 

LPSURYH ERUURZHU VFUHHQLQJ DQG ULVN PDQDJHPHQW 

6LOYLD 0DJUL 

%DQN RI ,WDO\ 

,7$/,$1 +286(+2/'6 '(%7 '(7(50,1$176 2) '(0$1' $1' 

6833/< 

.H\ZRUGV HQIRUFHPHQW FRVWV IRU ORDQ FRQWUDFWV DQG KRXVHKROG GHEW 

-(/ &ODVVLILFDWLRQ ' ' DQG ( 

7KLV SDSHU DQDO\VHV WKH GHWHUPLQDQWV RI ,WDOLDQ KRXVHKROGV SDUWLFLSDWLRQ LQ WKH GHEW 

PDUNHW DQG WULHV WR GLVHQWDQJOH GHPDQG DQG VXSSO\ HIIHFW $JH DFWV DV D GHPDQG IDFWRU 

ZKLOH LQFRPH ZRUNV LQ WKH VDPH GLUHFWLRQ RQ ERWK VLGHV RI WKH PDUNHW 8QFHUWDLQW\ RI 

LQFRPH UHGXFHV WKH GHPDQG IRU ORDQV ZLWK WKH H[FHSWLRQ RI VHOI HPSOR\HG ZKR DUH 

QHYHUWKHOHVV VXEMHFW WR ULJLG EDQNV HYDOXDWLRQ 5HVLGHQFH LV D FUXFLDO SDUDPHWHU IRU FUHGLW 

UDWLRQLQJ 7KH ILQDO SDUW FRQVLGHUV WKH VL]H RI GHVLUHG GHEW ZKLFK LV SRVLWLYHO\ OLQNHG WR QHW 

ZHDOWK DQG IXWXUH LQFRPH SURILOH DQG LQYHUVHO\ FRUUHODWHG WR HQIRUFHPHQW FRVWV RI ORDQ 

FRQWUDFW 

(19,5210(17$/ (&2120,&6 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ =LHJOHU 

7KRPDV (LFKQHU 

8QLYHUVLW\ RI 6LHJHQ 

&R $XWKRUV 5 3HWKLJ 

$XJ 

5RRP ' 

(&26

0DGV *UHDNHU 

6WDWLVWLFV 1RUZD\ 

1(: +23( )25 7+( 3257(5 +

)UHGHULF 9HUPHXOHQ 

&HQWHU IRU (FRQRPLF 6WXGLHV 8QLYHUVLW\ RI /HXYHQ 

$ &2//(&7,9( 02'(/ )25 )(0$/( /$%285 6833/< :,7+ 

1213$57,&,3$7,21 $1' 7$;$7,21 

.H\ZRUGV FROOHFWLYH KRXVHKROG PRGHOV LQWUDKRXVHKROG DOORFDWLRQ ODERXU VXSSO\ DQG WD[ 

UHIRUP 

-(/ &ODVVLILFDWLRQ ' ' DQG - 

,Q WKLV SDSHU D FROOHFWLYH GLVFUHWH FKRLFH PRGHO LV SUHVHQWHG IRU IHPDOH ODERXU VXSSO\ 

%RWK SUHIHUHQFHV RI IHPDOHV DQG WKH LQWUDKRXVHKROG GHFLVLRQ SURFHVV DUH HFRQRPHWULFDOO\ 

LGHQWLILDEOH 7KH PRGHO LQFRUSRUDWHV QRQSDUWLFLSDWLRQ DQG QRQOLQHDU WD[DWLRQ ,W LV DSSOLHG WR 

%HOJLDQ PLFURGDWD DQG LV XVHG WR HYDOXDWH WKH 7D[ 5HIRUP $FW :H ILQG PRGHUDWH 

QHJDWLYH EHKDYLRXUDO UHVSRQVHV WR WKH UHIRUP 7KH WD[ UHIRUP IXUWKHU LPSOLHV D 3DUHWR 

LPSURYHPHQW IRU PRVW RI WKH KRXVHKROGV LQ WKH VDPSOH 

7KHSWKLGD 6RSUDVHXWK 

8QLYHUVLW\ RI (YU\ (3(( DQG &(35(0$3 

&R $XWKRUV - +DLUDXOW DQG ) /DQJRW 

+2: &$1 :( ,1&5($6( 7+( (/'(5/< 6 3$57,&,3$7,21 5$7(" 

7+( ())(&7,9(1(66 2) ,1&(17,9( 6&+(0(6 ,1 $ 02'(/ 2) 

5(7,5(0(17 %(+$9,25 $1' :($/7+ 

.H\ZRUGV '\QDPLF 3URJUDPPLQJ 2YHUODSSLQJ *HQHUDWLRQ 0RGHO 5HWLUHPHQW %HKDYLRU 

DQG :HDOWK 

-(/ &ODVVLILFDWLRQ & + DQG - 

7KH DJLQJ LQ LQGXVWUDOL]HG FRXQWULHV MHRSDUGL]HV WKH ILQDQFLDO HTXLOLEULXP RI SHQVLRQ 

VFKHPHV 7KLV SDSHU DQDO\]HV WKH DELOLW\ RI LQFHQWLYH SURJUDPV WR HQWLFH WKH HOGHUO\ WR 

ZRUN ORQJHU WKHUHE\ SRVWSRQLQJ WKHLU UHWLUHPHQW ,Q DGGLWLRQ WKH RULJLQDOLW\ RI WKLV ZRUN OLHV 

LQ WKH VWXG\ RI WKH LQWHUDFWLRQ EHWZHHQ UHWLUHPHQW GHFLVLRQ DQG ZHDOWK DFFXPXODWLRQ LQ D 

TXDQWLWDWLYH 0DUNRYLDQ RYHUODSSLQJ JHQHUDWLRQ PRGHO ZLWK DOWUXLVWLF LQGLYLGXDOV DQG OLTXLGLW\ 

FRQVWUDLQWV :H VKRZ WKDW LQFHQWLYH VFKHPHV PDNH LQGLYLGXDO GHOD\ WKHLU UHWLUHPHQW 

WKHUHE\ UHGXFLQJ WKH H[SHFWHG GHILFLW E\ ,QFHQWLYHV \LHOG D KLJKHU ZHOIDUH WKDQ D 

PDQGDWRU\ OHQJKWHQLQJ RI WKH UHTXLUHG GXUDWLRQ RI FRQWULEXWLRQ WR WKH SD\ DV \RX JR 

V\VWHP 

0LFKDHO *HUILQ 

'HSDUWPHQW RI (FRQRPLFV 8QLYHUVLW\ RI %HUQ 

&R $XWKRUV 5 /HX 

7+( ,03$&7 2) ,1 :25. %(1(),76 21 329(57< $1' 

+286(+2/' /$%285 6833/< $ 6,08/$7,21 678'< )25 

6:,7=(5/$1' 

.H\ZRUGV +RXVHKROG /DERXU 6XSSO\ 0LFURVLPXODWLRQ 3RYHUW\ DQG 7D[ &UHGLWV

-(/ &ODVVLILFDWLRQ & , DQG - 

,QFRPH VXSSRUW IRU ZRUNLQJ ORZ LQFRPH IDPLOLHV WKH ³ZRUNLQJ SRRU´ LV RQ WRS RI WKH 

SROLWLFDO DJHQGD LQ 6ZLW]HUODQG 7KH FXUUHQW VRFLDO DVVLVWDQFH V\VWHP LV FRQVLGHUHG DV 

LQDGHTXDWH WR VXSSRUW ZRUNLQJ SRRU KRXVHKROGV /DERXU XQLRQV SURSRVH WKH LQWURGXFWLRQ 

RI D JHQHUDO PLQLPXP ZDJH ZKHUHDV WKH 6ZLVV JRYHUQPHQW SURPRWHV LQ ZRUN EHQHILWV 

%DVHG RQ D VWUXFWXUDO ODERXU VXSSO\ PRGHO WKLV SDSHU SURYLGHV D PLFURVLPXODWLRQ RI WKH 

HIIHFWV RI LQWURGXFLQJ GLIIHUHQW VFKHPHV RI LQ ZRUN EHQHILWV ,W WXUQV RXW WKDW DGGLQJ D 

PLQLPXP KRXUV UHTXLUHPHQW WR WKH FXUUHQW VRFLDO DVVLVWDQFH V\VWHP LV WKH PRVW FRVW 

HIILFLHQW UHIRUP 0LQLPXP ZDJHV DUH LQHIIHFWLYH LQ ILJKWLQJ SRYHUW\ 

,17(51$7,21$/ 75$'( 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 $PLWL 

-HDQ ,PEV 

/RQGRQ %XVLQHVV 6FKRRO 

75$'( ),1$1&( 63(&,$/,=$7,21 $1' 6

GHPRQVWUDWLQJ WKDW D ORZ PXOWLODWHUDO WDULII OHYHO IDFLOLWDWHV WKH 37$V IRUPDWLRQ ZKLFK 

SURYLGH D UDWLRQDOH IRU WKH VHFRQG ZDYH RI UHJLRQDOLVP +RZHYHU WKH\ IDOO VKRUW RI 

H[SODLQLQJ WKH ILUVW ZDYH RI UHJLRQDOLVP 7KLV SDSHU SURYLGHV D WKHRUHWLFDO IUDPHZRUN 

H[SODLQLQJ WKH PHFKDQLVP EHKLQG WKH WZR ZDYHV RI UHJLRQDOLVP 

0DU\ $PLWL 

8QLYHUVLW\ RI 0HOERXUQH 

+2: 7+( 6(48(1&( 2) 75$'( /,%(5$/,6$7,21 $))(&76 

,1'8675,$/ /2&$7,21 

.H\ZRUGV DJJORPHUDWLRQ GRZQVWUHDP ILUPV WDULIIV WUDGH OLEHUDOLVDWLRQ XSVWUHDP ILUPV 

DQG YHUWLFDO OLQNV 


7KLV SDSHU LOOXVWUDWHV KRZ WKH VHTXHQFH RI WUDGH OLEHUDOL]DWLRQ FDQ DIIHFW LQGXVWULDO ORFDWLRQ 

:H FRPSDUH KRZ WKH RXWFRPHV GLIIHU GHSHQGLQJ RQ ZKHWKHU FRXQWULHV FKRRVH WR OLEHUDOL]H 

WKHLU LQWHUPHGLDWH LQSXWV RU WKHLU ILQDO JRRGV ILUVW 7UDGH OLEHUDOL]DWLRQ WDNHV SODFH EHWZHHQ 

WZR VLPLODUO\ VL]HG FRXQWULHV WKDW GLIIHU LQ UHODWLYH IDFWRU HQGRZPHQWV DQG WKH 

PDQXIDFWXULQJ VHFWRU FRPSULVHV WZR YHUWLFDOO\ OLQNHG LQGXVWULHV WKDW GLIIHU LQ UHODWLYH IDFWRU 

LQWHQVLWLHV DQG DUH PRQRSROLVWLFDOO\ FRPSHWLWLYH 7KH UHVXOWV VKRZ WKDW WKH ODERU DEXQGDQW 

FRXQWU\ FDQ DWWUDFW D ODUJHU VKDUH RI WKH PDQXIDFWXULQJ LQGXVWU\ LI LW OLEHUDOL]HV WKH FDSLWDO 

LQWHQVLYH SURGXFWLRQ VWDJH EHIRUH WKH ODERU LQWHQVLYH VWDJH :H GHPRQVWUDWH WKDW UHGXFLQJ 

WDULIIV RQ RQO\ RQH SDUW RI WKH SURGXFWLRQ FKDLQ FKDQJHV WKH UHODWLYH DWWUDFWLYHQHVV RI 

ORFDWLRQV ZKLFK FRXOG KDYH ODVWLQJ HIIHFWV HYHQ DIWHU WKH RWKHU SURGXFWLRQ VWDJHV KDYH 

EHHQ OLEHUDOL]HG 

/$%285 &2175$&76 

&DWHJRU\ (($ 

&KDLUSHUVRQ 1 +DYHW 

7KRPDV 'RKPHQ 

,=$ 

$ 7+(25< 2) &$5((56 ,1 +,(5$5&+,&$/ ,17(51$/ /$%25 

0$5.(76 

.H\ZRUGV &DUHHU 0RELOLW\ -RE $VVLJQPHQW /HDUQLQJ DQG 6RUWLQJ 

-(/ &ODVVLILFDWLRQ - DQG 0 

7KH SDSHU GHYHORSV D PRGHO WKDW H[SODLQV D EURDG SDWWHUQ RI 

HYLGHQFH RQ FDUHHUV LQ PXOWLOHYHO RUJDQL]DWLRQV ,W VKRZV KRZ MRE 

PRELOLW\ LQVLGH ILUPV GHSHQGV RQ FKDQJHV LQ WKH VL]H RI WKH 

RUJDQL]DWLRQ 3URPRWLRQ UDWHV ULVH IDOO GXULQJ D FRUSRUDWH 

H[SDQVLRQ FRQWUDFWLRQ (FRQRPLF FRQGLWLRQV WKHUHIRUH DIIHFW 

LQGLYLGXDO FDUHHU PRELOLW\ DQG HDUQLQJV SURILOHV 7KH PRGHO 

DQDO\]HV KRZ WKH LQWHUDFWLRQ EHWZHHQ KXPDQ FDSLWDO DFFXPXODWLRQ 

DQG OHDUQLQJ LPSDFWV RQ WKH DVVLJQPHQW RI ZRUNHUV WR MREV DW 

GLIIHUHQW OHYHOV RI DXWKRULW\ LQ WKH FRUSRUDWH KLHUDUFK\ 7KH 

PRGHO PDNHV SUHGLFWLRQV DERXW WKH WLPLQJ RI WKH SURYLVLRQ RI 

$XJ 

5RRP (

IRUPDO WUDLQLQJ 

0DULH /DXUH 0LFKDXG 

(85(4XD 8QLYHUVLW\ 3DULV 

&R $XWKRUV 0 5RJHU 

$1 $66(660(17 2) 7+( ,03$&7 2) 6+257 7(50 &2175$&76 

21 ,1',9,'8$/ /$%25 0$5.(7 +,6725,(6 

.H\ZRUGV 'XUDWLRQ 0RGHOV DQG )L[HG 7HUP &RQWUDFWV 


7KH SDSHU GHDOV ZLWK WKH GXDO FKDUDFWHU RI WKH )UHQFK ODERU PDUNHW DQG WKH GXUDWLRQ 

SDWWHUQ RI VKRUW WHUP FRQWUDFWV GXULQJ WKH V LQ )UDQFH 8VLQJ D ORQJLWXGLQDO PLFUR 

GDWDVHW UHFRUGLQJ LQGLYLGXDO ODERU PDUNHW KLVWRULHV ZH LQYHVWLJDWH ZKHWKHU VKRUW WHUP 

FRQWUDFWV DUH VWHSSLQJ VWRQHV WR VWDEOH HPSOR\PHQW RU D ZD\ WR LQFUHDVH ODERU PDUNHW 

IOH[LELOLW\ 5HVXOWV VKRZ WKDW ZRUNHUV RQ VKRUW WHUP MREV PRYH SULPDULO\ WR SHUPDQHQW 

HPSOR\PHQW +RZHYHU LW VHHPV WKDW VKRUW WHUP HPSOR\PHQW KDV EHFRPH D WUDS IRU D 

JURZLQJ QXPEHU RI ZRUNHUV GXULQJ WKH V ,QGLYLGXDO FKDUDFWHULVWLFV PDWWHU LQ ODERU 

PDUNHW KLVWRULHV QDPHO\ DJH JHQGHU DQG GHJUHH RI WKH ZRUNHU 

1DWKDOLH +DYHW 

&,53(( /DYDO 8QLYHUVLW\ 

&R $XWKRUV & 6RIHU 

0$/( $1' )(0$/( &$5((56 $ '

5DIDHO 'RPHQHFK 

8QLYHUVLW\ RI 9DOHQFLD 

&R $XWKRUV - $QGUHV 

$8720$7,& 67$%,/,=(56 ),6&$/ 58/(6 $1' 0$&52(&2120,& 

67$%,/,7< 

.H\ZRUGV 'LVWRUWLRQDU\ 7D[HV )LVFDO UXOHV DQG 0DFURHFRQRPLF VWDELOLW\ 

-(/ &ODVVLILFDWLRQ ( ( DQG ( 

7KLV SDSHU DQDO\VHV WKH HIIHFW RI WKH ILVFDO VWUXFWXUH XSRQ WKH WUDGH RII EHWZHHQ LQIODWLRQ 

DQG RXWSXW VWDELOL]DWLRQ LQ SUHVHQFH RI WHFKQRORJLFDO VKRFNV LQ D '*( PRGHO ZLWK QRPLQDO 

LQHUWLD 7KH PDLQ ILQGLQJ LV WKDW WD[HV OLQNHG WR HFRQRPLF DFWLYLW\ ZRUVHQ WKH RXWSXW 

LQIODWLRQ YDULDELOLW\ WUDGH RII DV FRPSDUHG ZLWK DQ HFRQRP\ ZLWK OXPS VXP WD[HV H[FHSW 

ZKHQ QRPLQDO DQG UHDO ULJLGLWLHV DUH YHU\ ODUJH $VLGH IURP WKH ZHOO NQRZQ VXSSO\ VLGH 

FKDQQHOV WKDW H[SODLQ WKLV UHVXOW ZH ILQG WKDW ILVFDO UXOHV LQGXFH F\FOLFDO PRYHPHQWV LQ 

DJJUHJDWH GHPDQG WKDW DOVR FRQWULEXWH WR LQFUHDVH WKH YRODWLOLW\ RI RXWSXW LQ SUHVHQFH RI 

GLVWRUWLRQDU\ WD[HV 

/HRQ]LR 5L]]R 

8QLYHUVLW\ RI )HUUDUD /6( 67,&(5' 

29(5/$33,1* 2) ),6&$/ 32/,&,(6 &28/' ,7 %( '(6,5$%/(" 

.H\ZRUGV KRUL]RQWDO H[WHUQDOLW\ WD[ FRPSHWLWLRQ WD[ UDWH DQG YHUWLFDO H[WHUQDOLW\ 

-(/ &ODVVLILFDWLRQ + 

:H GHYHORS D PRGHO ZLWK WZR FRXQWULHV SURGXFLQJ WZR JRRGV RQH PRELOH DQG WKH RWKHU 

QRW 7KH PRELOH JRRG LV WD[HG DFFRUGLQJ WR WKH RULJLQ SULQFLSOH E\ WKH ORFDO JRYHUQHPHQW LW 

LV DOVR IHGHUDOO\ WD[HG 3HRSOH GHFLGH WR EX\ WKH JRRG ZKHUH WKH SULFH LV PRUH FRQYHQLHQW 

IRU WKHP 7KH WZR FRXQWULHV HQJDJH LQ WD[ FRPSHWLWLRQ $Q LQFUHDVH LQ IHGHUDO WD[ 

LQFUHDVHV WKH YHUWLFDO ILVFDO H[WHUQDOLW\ DQG DW WKH VDPH WLPH GHFUHDVHV WKH KRUL]RQWDO 

ILVFDO H[WHUQDOLW\ GXH WR WD[ EDVH PRELOLW\ 7KLV LV EHFDXVH RI WKH RSSRVLWH VLJQ RI WKH WZR 

H[WHUQDOLWLHV :H WHVW WKH WKHRUHWLFDO UHVXOWV E\ XVLQJ WD[ GDWD IURP &DQDGD :H ILQG WKDW 

DQ LQFUHDVH LQ IHGHUDO WD[ GHFUHDVHV WD[ FRPSHWLWLRQ 

*HUKDUG 5HLWVFKXOHU 


&R $XWKRUV - &UHVSR &XDUHVPD 

$ 121/,1($5 *52:7+ ())(&7 2) ),6&$/ 32/,&

RI GHIHQVH VSHQGLQJ RQ JURZWK WR EH QRQOLQHDU 8VLQJ UHFHQWO\ GHYHORSHG HFRQRPHWULF 

PHWKRGV LQYROYLQJ WKUHVKROG UHJUHVVLRQV HYLGHQFH RI D OHYHO GHSHQGHQW HIIHFW RI PLOLWDU\ 

H[SHQGLWXUH RQ *'3 JURZWK LV IRXQG WKH SRVLWLYH H[WHUQDOLW\ HIIHFW RI GHIHQVH VSHQGLQJ 

SUHYDLOV IRU UHODWLYHO\ ORZHU OHYHOV RI GHIHQVH VSHQGLQJ ZLWK UHVSHFW WR WKH KLVWRU\ RI 

GHIHQVH VSHQGLQJ LQ WKH 86 DQG UHYHUWV IRU KLJKHU OHYHOV 

/$%285 0$5.(76 , 


&KDLUSHUVRQ % /DUVHQ 

+HLNNL .DXSSL 

8QLYHUVLW\ RI +HOVLQNL 

+286,1* 0$5.(76 $1' /$%25 02%,/,7< 

$XJ 

5RRP ( 

.H\ZRUGV ,QFRPSOHWH PDUNHWV /DERU PRELOLW\ /LTXLGLW\ FRQVWUDLQWV 2ZQHU RFFXSDWLRQ 

DQG 5HQWDO KRXVLQJ 


5HFHQW HPSLULFDO VWXGLHV KDYH LQGLFDWHG WKDW RZQHU RFFXSDWLRQ LV LQIHULRU WR SULYDWH UHQWDO 

KRXVLQJ LQ HQKDQFLQJ HIILFLHQW ODERU PRELOLW\ 7R H[SODLQ WKHVH ILQGLQJV WKLV SDSHU 

GHYHORSV DQ LQILQLWH KRUL]RQ PXOWL UHJLRQ PRGHO ZLWK VWRFKDVWLF UHJLRQDO EXVLQHVV F\FOHV 

DQG LGLRV\QFUDWLF VKRFNV FKDQJLQJ LQGLYLGXDO DJHQWV PDWFK ZLWK WKH FXUUHQW MRE RU 

WHFKQRORJ\ :H VKRZ WKDW UHQWDO PDUNHWV DOZD\V UHDFK ORFDWLRQDO HIILFLHQF\ DJHQWV ZLWK 

WKH KLJKHVW FRPSDUDWLYH DGYDQWDJH OLYH LQ ERRPLQJ UHJLRQV $OVR RZQHU RFFXSDWLRQ LV 

HIILFLHQW LI WKH ERRP QHYHU VKLIWV DQG WKHUH DUH QR FDSLWDO ORVVHV RU LI WKH DV\PPHWULF 

UHJLRQDO VKRFNV DUH VPDOO RU FKDQJHV LQ EXVLQHVV F\FOHV DUH IUHTXHQW WKHQ SHRSOH FDQ 

SURWHFW WKHPVHOYHV DJDLQVW VPDOO FDSLWDO ORVVHV WKURXJK SUHFDXWLRQDU\ VDYLQJ 2WKHUZLVH 

KRZHYHU VRPH DJHQWV IDFH WKH ERUURZLQJ FRQVWUDLQW DQG UHJLRQDO PRELOLW\ LV LQHIILFLHQW 

:LOOLDP &KDQ 

8QLYHUVLW\ RI +RQJ .RQJ 

&R $XWKRUV : 6XHQ 

,19(67,1* ,1 5(387$7,21 675$7(*,& &+2,&(6 ,1 &$5((5 

%8,/',1* 

.H\ZRUGV &DUHHU DQG 5HSXWDWLRQ 

-(/ &ODVVLILFDWLRQ - DQG - 

,Q PDQ\ RFFXSDWLRQV UHSXWDWLRQ RU SDVW SHUIRUPDQFH DIIHFWV WKH GHPDQG IRU D ZRUNHU£æV 

RXWSXW FUHDWLQJ DQ LQFHQWLYH WR LQYHVW LQ UHSXWDWLRQ HDUO\ LQ D FDUHHU 7KLV UHVXOWV LQ D 

WHQGHQF\ IRU VXSHULRU ZRUNHUV WR VWDUW WKHLU FDUHHU LQ WKH PDLQVWUHDP PDUNHW 7KH LQWXLWLRQ 

LV WKDW IRU KLJK DELOLW\ ZRUNHUV WKH UHWXUQV WR LQYHVWLQJ LQ UHSXWDWLRQ LV ODUJHU LQ WKH PDVV 

PDUNHW ZKLOH OHVV DEOH RQHV ZRXOG DYRLG WKH PRUH FRPSHWLWLYH PDLQVWUHDP E\ GHYHORSLQJ 

WKHLU VSHFLDOL]DWLRQV LQ WKH IULQJH PDUNHW 6RPH PDLQVWUHDP ZRUNHUV PD\ HQWHU WKH IULQJH 

PDUNHW RQFH WKH PRWLYH WR LQYHVW LQ UHSXWDWLRQ GLPLQLVKHV ODWHU LQ WKHLU FDUHHUV EXW OHVV 

DEOH ZRUNHUV ZKR VWDUW LQ WKH IULQJH DUH 

VHOGRP DEOH WR UHWXUQ WR WKH PDLQVWUHDP 7KHVH UHVXOWV DUH HPSLULFDOO\ WHVWDEOH DQG KDYH

SRWHQWLDO LPSOLFDWLRQV IRU SURGXFW PDUNHWV DV ZHOO 

3HWHU %URHU 

2&)(% DQG &3% 1HWKHUODQGV %XUHDX RI (FRQRPLF 3ROLF\ $QDO\VLV 

&R $XWKRUV / %HWWHQGRUI 

/,)(7,0( /$%25 6833/< ,1 $ 6($5&+ 02'(/ 2) 

81(03/2

'RK VKLQ -HRQ 

8QLYHUVLWDW 3RPSHX )DEUD 

&R $XWKRUV G PHQLFXFFL 

%81'/,1* ( -2851$/6 

.H\ZRUGV EXQGOLQJ LQWHUFRQQHFWLRQ PHUJHU DQG VLWH OLFHQVLQJ 

-(/ &ODVVLILFDWLRQ ' . / DQG / 

6LWH OLFHQVLQJ RI H MRXUQDOV KDV EHHQ UHYROXWLRQL]LQJ WKH ZD\ DFDGHPLF LQIRUPDWLRQ LV 

GLVWULEXWHG +RZHYHU OLEUDULDQV DUH FRQFHUQHG DERXW SXEOLVKHUV SRWHQWLDO DEXVH RI VLWH 

OLFHQVLQJ WKURXJK EXQGOLQJ :H DQDO\]H WKH SULYDWH DQG VRFLDO LQFHQWLYHV WR EXQGOH H 

MRXUQDOV :KHQ WKH QXPEHU RI MRXUQDOV LV H[RJHQRXV ZH ILQG WKDW HDFK SXEOLVKHU ILQGV 

EXQGOLQJ RSWLPDO DQG EXQGOLQJ LQFUHDVHV WKH LQGXVWU\ SURILW EXW UHGXFHV VRFLDO ZHOIDUH 

+RZHYHU LQ ORQJ UXQ ZH ILQG WKDW SXEOLVKHUV PLJKW KDYH KLJKHU LQFHQWLYHV WR LQWURGXFH 

QHZ MRXUQDOV XQGHU EXQGOLQJ DQG WKDW EXQGOLQJ FDQ UHGXFH WKH LQGXVWU\ SURILW ZKLOH 

LQFUHDVLQJ ZHOIDUH )LQDOO\ ZH H[DPLQH SXEOLVKHUV LQFHQWLYH WR SURYLGH OLQNV WR RWKHU 

ZHEVLWHV 

3DXO %HOOHIODPPH 

&25( 8QLYHUVLWp FDWKROLTXH GH /RXYDLQ 

&R $XWKRUV 3 3LFDUG 

&203(7,7,21 )25 3,5$7$%/( *22'6 

.H\ZRUGV LQIRUPDWLRQ JRRGV SLUDF\ DQG SULFLQJ 

-(/ &ODVVLILFDWLRQ . / / / DQG 2 

7KH HIIHFWV RI SULYDWH VPDOO VFDOH FRS\LQJ RQ WKH SULFLQJ EHKDYLRU RI SURGXFHUV RI 

LQIRUPDWLRQ JRRGV DUH VWXGLHG ZLWKLQ D XQLILHG PRGHO RI YHUWLFDO GLIIHUHQWLDWLRQ $OWKRXJK 

LQIRUPDWLRQ JRRGV DUH DVVXPHG WR EH SHUIHFWO\ KRUL]RQWDOO\ GLIIHUHQWLDWHG GHPDQGV DUH 

LQWHUGHSHQGHQW EHFDXVH WKH FRS\LQJ WHFKQRORJ\ H[KLELWV LQFUHDVLQJ UHWXUQV WR VFDOH :H 

FKDUDFWHUL]H WKH V\PPHWULF 1DVK HTXLOLEULD RI WKH SULFLQJ JDPH SOD\HG E\ Q SURGXFHUV RI 

LQIRUPDWLRQ JRRGV DQG H[DPLQH WKHLU DWWLWXGH ZLWK UHVSHFW WR SLUDF\ 

3DWULFLD /DQJRKU 

1RUWKZHVWHUQ 8QLYHUVLW\ 

&203(7,7,9( &219(5*(1&( $1' ',9(5*(1&( 326,7,21 $1' 

&$3$%,//,7< '

G\QDPLF PRGHO RI FRPSHWLWLRQ ZLWK PXOWLSURGXFW ILUPV 0\ PDLQ ILQGLQJV DUH WKDW WKH 

LQGXVWU\ FRQYHUJHV ZKHQ FDSDELOLW\ GHSUHFLDWLRQ LV ORZ DQG GLYHUJHV ZKHQ FDSDELOLW\ 

GHSUHFLDWLRQ LV KLJK 2WKHU SDUDPHWHUV DIIHFWLQJ WKH FRVW RI EXLOGLQJ FDSDELOLW\ DQG WKH 

EHQHILW RI VSHFLDOL]LQJ LQ WKH KLJK HQG VHJPHQW SOD\ D VLPLODU UROH $OVR ZKHQ ILUPV 

FRQYHUJH RU GLYHUJH WKH\ GR VR LQ ERWK FDSDELOLW\ DQG SURGXFW GLPHQVLRQV 

7RNHU 'RJDQRJOX 

&,1( 8QLYHUVLW\ RI .LHO 

(;3(5,(1&( *22'6 6:,7&+,1* &2676 $1' '

'DPLDQ 'DPLDQRY 


$8&7,216 2) ',9,6,%/( *22'6 :,7+ (1'2*(1286 6833/< $1' 

7+( :$/5$6,$1 287&20( 

.H\ZRUGV &RPSHWLWLYH PDUNHWV 0XOWLXQLW DXFWLRQV DQG 6XEJDPH SHUIHFW HTXLOLEULXP 


7KLV SDSHU VWXGLHV D VLWXDWLRQ LQ ZKLFK D PRQRSROLVW VHOOV D SHUIHFWO\ GLYLVLEOH JRRG WR WZR 

RU PRUH EX\HUV YLD D XQLIRUP SULFH RU GLVFULPLQDWRU\ DXFWLRQ ZLWK HQGRJHQRXV VXSSO\ 

7KHVH WUDGH PHFKDQLVPV DUH PRGHOOHG DV WZR VWDJH JDPHV ZLWK FRPSOHWH LQIRUPDWLRQ 

7KH PDLQ UHVXOW RI WKH DQDO\VLV LV WKDW LQ WKH XQLTXH VXEJDPH SHUIHFW HTXLOLEULXP RXWFRPH 

RI ERWK DXFWLRQV WKH :DOUDVLDQ TXDQWLWLHV DUH WUDGHG DW WKH :DOUDVLDQ SULFH %RWK DXFWLRQV 

DUH WKXV UHYHQXH HTXLYDOHQW DQG WUDGH OHDGV WR DQ HIILFLHQW DOORFDWLRQ 7KH PRGHO FDQ EH 

LQWHUSUHWHG DV D FRPSOHWH LQIRUPDWLRQ EHQFKPDUN WKDW SURYLGHV D VWUDWHJLF IRXQGDWRQ RI 

WKH :DOUDVLDQ HTXLOLEULXP 

&DVSHU * 'H 9ULHV 


&R $XWKRUV 6 &DVHUWD 

$8&7,216 :,7+ 180(5286 %,''(56 

.H\ZRUGV DXFWLRQ DQG H[WUHPH YDOXH WKHRU\ 


7KLV SDSHU VWXGLHV DXFWLRQV LQ ZKLFK WKH QXPEHU RI SRWHQWLDO ELGGHUV LV ODUJH VXFK DV LQ 

LQWHUQHW DXFWLRQV :LWK QXPHURXV ELGGHUV TXDQWLWLHV DV WKH H[SHFWHG UHYHQXH UHVXOW LQ 

FRPSOLFDWHG H[SUHVVLRQV H[FHSW IRU D IHZ VLPSOH GLVWULEXWLRQV ,Q RXU DSSURDFK WKH 

H[SHFWHG UHYHQXH WR WKH DXFWLRQHHU DQG WKH H[SHFWHG PD[LPXP YDOXDWLRQ DUH IRXQG 

ZLWKRXW DVVXPLQJ D SDUWLFXODU GLVWULEXWLRQ IXQFWLRQ IRU WKH ELGGHUV YDOXDWLRQV :H XVH 

VWDWLVWLFDO H[WUHPH YDOXH WKHRU\ WR GHULYH DQ HVWLPDWRU IRU WKH DXFWLRQHHU V H[SHFWHG 

UHYHQXH IURP D VLQJOH DXFWLRQ FLUFXPYHQWLQJ WKH QHHG IRU SRROLQJ 7KH WKHRU\ LV DSSOLHG WR 

GDWD IURP LQWHUQHW DXFWLRQV 

0DUFR +DDQ 

8QLYHUVLW\ RI *URQLQJHQ 

&R $XWKRUV / 7RROVHPD 

/,&(16( $8&7,216 :+(1 :,11,1* %,'6 $5( ),1$1&(' 

7+528*+ '(%7 

.H\ZRUGV $XFWLRQV DQG 'HEW 

-(/ &ODVVLILFDWLRQ ' ' DQG /

:H VWXG\ DQ DXFWLRQ ZKHUH WZR OLFHQVHV WR RSHUDWH RQ D QHZ PDUNHW DUH VROG :LQQHUV 

ILQDQFH WKHLU ELGV RQ D FRPSHWLWLYH GHEW PDUNHW 'XH WR OLPLWHG OLDELOLW\ WKH DPRXQW RI GHEW 

DIIHFWV WKHLU EHKDYLRU RQ WKH SURGXFW PDUNHW ,Q HTXLOLEULXP FRQVXPHU SULFHV DUH ORZHU 

WKDQ ZLWK D EHDXW\ FRQWHVW ZKHUH ILUPV REWDLQ WKHLU OLFHQVHV IRU IUHH :LQQLQJ ELGV DUH 

ORZHU WKDQ LQ D PRGHO ZKHUH ILUPV KDYH LQWHUQDO IXQGV +LJKHU ELGV FDQQRW EH ILQDQFHG GXH 

WR FUHGLW UDWLRQLQJ ([SHFWHG QHW ILUP SURILWV DUH VWULFWO\ SRVLWLYH DOWKRXJK ILUPV DUH D SULRUL 

LGHQWLFDO DQG KDYH WKH VDPH LQIRUPDWLRQ 

(92/87,21 $1' /($51,1* , 


&KDLUSHUVRQ - 7XLQVWUD 

6WHSKDQH *$87+,(5 

&5(67 /0$ DQG *(00$ 

&R $XWKRUV * 'HVJUDQJHV 

/($51,1* $ 5$7,21$/ (;3(&7$7,216 (48,/,%5,80 :+(1 

,1)250$7,21 ,6 $6

ZKHUH PRUH UDWLRQDO PHWKRGV GR QRW 7KLV OHDGV WR RXU PDLQ UHVXOW LQ ZKLFK ZH SURYLGH D 

JHQHUDO FODVV RI ODUJH JDPH IRU ZKLFK WKH LPLWDWLRQ ZLWK LQQRYDWLRQ G\QDPLF DOPRVW VXUHO\ 

FRQYHUJHV WR DQ DSSUR[LPDWH 1DVK LPLWDWLRQ HTXLOLEULXP 

5RE YDQ GHU 1ROO 

7LQEHUJHQ ,QVWLWXWH 5RWWHUGDP 

21 ,1)250$7,21 29(5/2$' $1' 6(/(&7,21 352&('85(6 

.H\ZRUGV DV\PPHWULF LQIRUPDWLRQ DZDUG FRPSHWLWLRQ LQIRUPDWLRQ DFTXLVLWLRQ DQG 

LQIRUPDWLRQ RYHUORDG 


, LQWURGXFH D PRGHO RI DV\PPHWULF LQIRUPDWLRQ LQ ZKLFK WKH XQLQIRUPHG SDUW\ FDQ DFTXLUH 

LQIRUPDWLRQ DERXW WKH VHOOHUV E\ LQYHVWLJDWLRQ ,Q D JDPH ZKHUH VHQGHUV FRPSHWH IRU WKH 

IDYRU IURP D PRQRSVRQLVW , VWXG\ WKH HQGRJHQRXV FKRLFH RI KRZ PDQ\ VHQGHUV WR 

FRPSDUH 7KH HTXLOLEULXP GLVSOD\V CEHQHILFLDO VHOHFWLRQ DQG , ILQG WKDW WKH PRQRSVRQLVW 

FRPSDUHV VRPH EXW QRW DOO VHQGHUV GXH WR LQIRUPDWLRQ RYHUORDG ,Q HTXLOLEULXP WKH XVH 

RI LQIRUPDWLRQ WHFKQRORJ\ WR FRPSDUH VHQGHUV ZHDNHQV WKH VHSDUDWLRQ PHFKDQLVP 7KH 

PRGHO KDV DSSOLFDWLRQV IRU MRE PDUNHWV DQG IL[HG SULFH SURFXUHPHQWV 

%XUNKDUG & 6FKLSSHU 

%RQQ *UDGXDWH 6FKRRO RI (FRQRPLFV 'HSW RI (FRQRPLFV 8QLYHUVLW\ RI %RQQ 

68%02'8/$5,7< $1' 7+( (92/87,21 2) :$/5$6,$1 %(+$9,25 

.H\ZRUGV LPLWDWLRQ ODWWLFH WKHRU\ SULFH WDNLQJ EHKDYLRU DQG VWRFKDVWLF VWDELOLW\ 

-(/ &ODVVLILFDWLRQ & ' ' DQG / 

9HJD 5HGRQGR VKRZHG WKDW LPLWDWLRQ OHDGV WR WKH :DOUDVLDQ RXWFRPH LQ V\PPHWULF 

ILQLWH Q ILUP &RXUQRW 2OLJRSRO\ ZLWK VWULFWO\ GHFUHDVLQJ LQYHUVH GHPDQG IRU D KRPRJHQHRXV 

JRRG :H JHQHUDOL]H KLV UHVXOW WR V\PPHWULF ILQLWH DJJUHJDWLYH JDPHV WKDW DUH VWULFWO\ 

TXDVL VXEPRGXODU 7KLV FODVV RI JDPHV FRPSULVHV IRU H[DPSOH RI WKH &RXUQRW 2OLJRSRO\ 

%HUWUDQG JDPHV ZLWK GLIIHUHQWLDWHG FRPSOHPHQWDU\ SURGXFWV &RPPRQ 3RRO UHVRXUFH 

JDPHV 5HQW VHHNLQJ JDPHV DQG JHQHUDOL]HG 1DVK 'HPDQG JDPHV 

(1'2*(1286 *52:7+ 


&KDLUSHUVRQ ' %HWKPDQQ 

6WHYHQ .RX 

&ROXPELD 8QLYHUVLW\ 

&R $XWKRUV 6 .RX 

$XJ 

$ 7$/( 2) 7:2 *52:7+6 02'(/,1* 672&+$67,& 

(1'2*(1286 *52:7+ $1' *52:7+ 672&.6 

5RRP (

.H\ZRUGV ELRWHFKQRORJ\ DQG LQWHUQHW VWRFNV HQGRJHQRXV 5 DPS ' JURZWK JURZWK 

VWRFNV DQG VL]H GLVWULEXWLRQ 

-(/ &ODVVLILFDWLRQ * 2 DQG 2 

7KLV SDSHU H[WHQGV WKH GHWHUPLQLVWLF HQGRJHQRXV 5 ' JURZWK PRGHO LQ 5RPHU DQG 

-RQHV D WR D VWRFKDVWLF HQGRJHQRXV JURZWK PRGHO ZKLFK LV XVHG WR VWXG\ JURZWK 

VWRFNV 7KH PRGHO SURYLGHV DQ XQGHUVWDQGLQJ RI WKH OLQNV EHWZHHQ HFRQRPLF JURZWK 

PRQRSROLVWLF FRPSHWLWLRQ LQ 5 ' DQG WKH 

YDOXDWLRQ RI JURZWK VWRFNV :LWK WKH SUHVHQFH RI VWRFKDVWLF VKRFNV WKH PRGHO OHDGV WR D 

GHFRPSRVLWLRQ RI WKH YDOXH RI JURZWK VWRFNV 7KH GHFRPSRVLWLRQ LPSOLHV WKDW WKH YDOXH RI 

JURZWK VWRFNV VKRXOG EH YHU\ YRODWLOH ZKLOH WKH ORQJ UXQ DYHUDJH UHWXUQ LV URXJKO\ HTXDO WR 

WKH JURZWK UDWH RI 5? ' ODERU 7KH PRGHO DOVR H[SODLQV DQ HPSLULFDO VL]H GLVWULEXWLRQ 

SX]]OH REVHUYHG IRU WKH FURVV VHFWLRQDO VWXG\ RI JURZWK VWRFNV 

9RONHU *URVVPDQQ 

8QLYHUVLW\ RI =XULFK 

&217(67 )25 $77(17,21 ,1 $ 48$/,7< /$''(5 02'(/ 2) 

(1'2*(1286 *52:7+ 

.H\ZRUGV &RQWHVW IRU $WWHQWLRQ (PSOR\PHQW 6WUXFWXUH (QGRJHQRXV *URZWK 2SWLPDO 

3ROLF\ 'HVLJQ DQG 4XDOLW\ ODGGHU 

-(/ &ODVVLILFDWLRQ 2 / + DQG 2 

7KLV SDSHU GHYHORSV D TXDOLW\ ODGGHU PRGHO RI HQGRJHQRXV JURZWK LQ ZKLFK ILUPV FDQ 

LQYHVW LQ WZR W\SHV RI GHPDQG HQKDQFLQJ DFWLYLWLHV LQ KRXVH 5? ' DQG WKH FUHDWLRQ RI 

DWWHQWLRQ CCPDUNHWLQJ 2Q WKH SRVLWLYH VLGH LW LV H[DPLQHG ZKHWKHU PDUNHWLQJ FURZGV RXW 

LQQRYDWLYH DFWLYLW\ RI ILUPV RU FRPSOHPHQWV LW 2Q WKH QRUPDWLYH VLGH LW LV H[SORUHG KRZ 

SROLF\ PDNHUV VKRXOG GHVLJQ WKH RSWLPDO WD[ WUDQVIHU VFKHPH IRU HQFRXUDJLQJ 5? ' LQ WKH 

SUHVHQFH RI PDUNHWLQJ &RPSDUDWLYH VWDWLF UHVXOWV DUH FRQVLVWHQW ZLWK REVHUYHG SDWWHUQV 

UHJDUGLQJ WKH HPSOR\PHQW VWUXFWXUH LQ ILUPV UHODWLYH ODERU GHPDQG IRU VNLOOHG ZRUNHUV DQG 

LQGXVWU\ FRQFHQWUDWLRQ 

3DXOR %ULWR 

8(&( ,6(* 8QLYHUVLGDGH 7HFQLFD GH /LVERD 

&R $XWKRUV $ 3HUHLUD 

&219(5*(17 &

RU ZHGJHV EHWZHHQ SULYDWH DQG VRFLDO UHWXUQV ZH SODFH 

RXUVHOYHV RXWVLGH WKH UHDOP RI HTXLOLEULXP LQGHWHUPLQDF\ RU 

PXOWLSOH ORQJ WHUP HTXLOLEULXP :H ILQG WKDW WKH H[DFW 

FKDUDFWHUL]DWLRQ RI ORFDO G\QDPLFV FDQ EH IXOO\ DFFRPSOLVKHG XVLQJ 

WKH WUDFH DQG WKH GHWHUPLQDQW RI WKH PDWUL[ RI WHFKQRORJLFDO 

FRHIILFLHQWV ,Q SDUWLFXODU ZH ILQG WKDW WKHUH DUH SDUDPHWHU 

FRQILJXUDWLRQV XQGHU ZKLFK WKHUH LV D WZR GLPHQVLRQDO VWDEOH 

PDQLIROG ZLWK XQLTXH VROXWLRQ 7KHUHIRUH GLIIHUHQW YDULDEOHV 

JURZ DW GLIIHUHQW UDWHV GXULQJ WUDQVLWLRQ )XUWKHUPRUH LQ D 

ZLGH VXEVHW RI WKHVH SDUDPHWHUV F\FOLFDO FRQYHUJHQFH LV SRVVLEOH 

XQOLNH LQ PRVW RI WKH HQGRJHQRXV JURZWK OLWHUDWXUH 

'LUN %HWKPDQQ 

+XPEROGW 8QLYHUVLW\ %HUOLQ 

75$16,7,21$/ '

FRPPRQ URRW 

7KH WKHRUHP H[SUHVVHV D VLPSOH EXW GHHS IDFW WKDW WUDQVFHQGV HDFK RI LWV 

SDUWLFXODU DSSOLFDWLRQV LW H[SUHVVHV WKH WHQVLRQ EHWZHHQ GHFHQWUDOL]LQJ WKH FKRLFH RI 

DJJUHJDWH LQWR SDUWLDO FKRLFHV EDVHG RQ SUHIHUHQFHV RYHU SDLUV RI DOWHUQDWLYHV DQG WKH 

QHHG IRU VRPH FRRUGLQDWLRQ LQ WKHVH GHFLVLRQV VR DV WR DYRLG FRQWUDGLFWRU\ 

UHFRPPHQGDWLRQV 

9LFNL .QREODXFK 

8QLYHUVLW\ RI &RQQHFWLFXW 

&217,18286 /(;,&2*5$3+,& 35()(5(1&(6 

.H\ZRUGV FRQWLQXRXV UHSUHVHQWDWLRQV OH[LFRJUDSKLF RUGHU DQG SUHIHUHQFHV 


8QGHU ZKDW FRQGLWLRQV DUH OH[LFRJUDSKLFDOO\ UHSUHVHQWDEOH SUHIHUHQFHV FRQWLQXRXVO\ 

UHSUHVHQWDEOH" 7KLV TXHVWLRQ LV DFWXDOO\ WZR TXHVWLRQV VLQFH WKHUH DUH WZR QDWXUDO 

GHILQLWLRQV RI FRQWLQXLW\ IRU OH[LFRJUDSKLF UHSUHVHQWDWLRQV $ FRPSOHWH DQVZHU LV JLYHQ IRU 

RQH RI WKHVH TXHVWLRQV DQG WKH RWKHU LV DQVZHUHG IRU WZR GLPHQVLRQDO OH[LFRJUDSKLF 

UHSUHVHQWDWLRQV 

: +HQU\ &KLX 

8QLYHUVLW\ RI 0DQFKHVWHU 

35(&('(1&( 5(/$7,216 $1' '(6,5$%,/,7< 2) 672&+$67,& 

&+$1*(6 

.H\ZRUGV GRZQVLGH ULVN SUHFDXWLRQDU\ VDYLQJ ULVN DYHUVLRQ DQG VWRFKDVWLF GRPLQDQFH 


'HILQLQJ D VWRFKDVWLF FKDQJH WR EH WKH FKDQJH IURP RQH SUREDELOLW\ GLVWULEXWLRQ WR DQRWKHU 

WKLV SDSHU SURSRVHV WKH FRQFHSW RI RQH VWRFKDVWLF FKDQJH SUHFHHGLQJ DQRWKHU ZKLFK LV 

FRQVLVWHQW ZLWK H[LVWLQJ FRQFHSWV DQG LV VKRZQ WR SURYLGH D XQLI\LQJ IUDPHZRUN IRU EHWWHU 

XQGHUVWDQGLQJ 

WKH UHODWLRQVKLS EHWZHHQ VWRFKDVWLF GRPLQDQFHV RI GLIIHUHQW GHJUHHV DV ZHOO DV WKDW 

EHWZHHQ ULVN DYHUVLRQ GRZQVLGH ULVN DYHUVLRQ DQG SUHFDXWLRQDU\ 

VDYLQJ :H VKRZ LQ SDUWLFXODU WKDW D PRUH ULVN DYHUVH LQGLYLGXDO LQ WKH VHQVH RI $UURZ 

3UDWW ZLOO DOZD\V UHMHFW D VWRFKDVWLF FKDQJH DFFHSWDEOH WR D OHVV ULVN DYHUVH LQGLYLGXDO LI 

DQG RQO\ LI WKH FKDQJH FDQ EH GHFRPSRVHG LQWR D PHDQ SUHVHUYLQJ VSUHDG DQG D ILUVW 

GHJUHH VWRFKDVWLF GRPLQDQW LPSURYHPHQW SUHFHHGHG E\ WKH PHDQ SUHVHUYLQJ VSUHDG 

DQG WKXV JLYH D SUHFLVH LQWHUSUHWDWLRQ 

WR WKH $UURZ 3UDWW PHDVXUH DQG E\ DQDORJ\ WKH SUXGHQFH PHDVXUH 7KH IUDPHZRUN DOVR 

DOORZV XV WR H[SORUH SRVVLEOH XVHIXO PHDVXUHV RI GRZQVLGH ULVN DYHUVLRQ 

-HDQ 3DXO 'HFDPSV 

*5(0$4 8QLYHUVLWp GH 7RXORXVH 

&R $XWKRUV 7 0DULRWWL DQG 6 9LOOHQHXYH 

,19(670(17 7,0,1* 81'(5 ,1&203/(7( ,1)250$7,21

.H\ZRUGV 5HDO 2SWLRQV ,QFRPSOHWH ,QIRUPDWLRQ 2SWLPDO 6WRSSLQJ DQG 63$&(5 

-(/ &ODVVLILFDWLRQ & ' DQG 63$&(5 

:H VWXG\ WKH GHFLVLRQ RI ZKHQ WR LQYHVW LQ DQ LQGLYLVLEOH SURMHFW ZKRVH YDOXH LV SHUIHFWO\ 

REVHUYDEOH EXW GULYHQ E\ D SDUDPHWHU WKDW LV XQNQRZQ WR WKH GHFLVLRQ PDNHU H[ DQWH :H 

VKRZ WKH RSWLPDO LQYHVWPHQW UHJLRQ LV FKDUDFWHUL]HG E\ D FRQWLQXRXV DQG QRQ GHFUHDVLQJ 

ERXQGDU\ LQ WKH YDOXH EHOLHI VWDWH VSDFH :H VKRZ WKDW ZKHQ WKH YDULDQFH RI WKH YDOXH 

SURFHVV LV VPDOO WKH GHFLVLRQ PDNHU FDQ EHQHILW IURP DQ XQFHUWDLQ GULIW UHODWLYH WR DQ 

DYHUDJH GULIW VLWXDWLRQ +RZHYHU WKH YDOXH RI WKH RSWLRQ WR LQYHVW LV QRW PRQRWRQH ZLWK 

UHVSHFW WR WKH YDULDQFH RI WKH YDOXH SURFHVV 

0(&+$1,60 '(6,*1 


&KDLUSHUVRQ 5 *DU\ %RER 

+LWRVKL 0DWVXVKLPD 

8QLYHUVLW\ RI 7RN\R 

+21(67< 3522) ,03/(0(17$7,21 

$XJ 

5RRP ) 

.H\ZRUGV +RQHVW\ 2ULHQWDWLRQ ,PSOHPHQWDWLRQ 1RUPDWLYH 6RFLDO &KRLFH )XQFWLRQ 6PDOO 

)LQHV DQG 8QLYHUVDO 0HFKDQLVPV 

-(/ &ODVVLILFDWLRQ & ' ' DQG + 

:H LQYHVWLJDWH LPSOHPHQWDWLRQ RI VRFLDO FKRLFH IXQFWLRQV WKDW PDS IURP VWDWHV WR ORWWHULHV 

DQG GHSHQG RQ IDFWRUV RWKHU WKDQ SUHIHUHQFHV :H DVVXPH WKDW DJHQWV DUH QRW RQO\ VHOI 

LQWHUHVWHG EXW DOVR KRQHVW\ RULHQWHG LQ D OH[LFRJUDSKLFDO ZD\ :H VKRZ WKDW LQ WKH 

FRPSOHWH LQIRUPDWLRQ HQYLURQPHQWV HYHU\ VRFLDO FKRLFH IXQFWLRQ LV LPSOHPHQWDEOH 7KLV LV 

LQ FRQWUDVW ZLWK WKH VWDQGDUG PRGHO EHFDXVH DQ\ HQRUPDWLYH IVRFLDO FKRLFH IXQFWLRQ 

GHSHQGLQJ RQ QRQ SUHIHUHQFH IDFWRUV LV QHYHU LPSOHPHQWDEOH ZKHQ DJHQWV DUH QRW 

LQIOXHQFHG E\ IDFWRUV RWKHU WKDQ SXUH VHOI LQWHUHVW :H H[WHQG WKLV WR WKH LQFRPSOHWH 

LQIRUPDWLRQ HQYLURQPHQWV 

1H[W ZH DVVXPH WKDW LW LV FRVWO\ IRU HDFK DJHQW WR UHSRUW GLVKRQHVWO\ DQG WKLV FRVW PD\ EH 

FORVH WR ]HUR :H VKRZ WKDW LQ WKH LQFRPSOHWH LQIRUPDWLRQ HQYLURQPHQWV HYHU\ LQFHQWLYH 

FRPSDWLEOH VRFLDO FKRLFH IXQFWLRQ FDQ EH LPSOHPHQWHG E\ WKH PHFKDQLVP WKDW GRHV QRW 

GHSHQG RQ WKH SULYDWH VLJQDO VWUXFWXUH 

&ODUD 3RQVDWL 

8QLYHUVLWDW $XWRQRPD GH %DUFHORQD 

&R $XWKRUV & -HUQHM 

,03/(0(17$7,21 %< '(&(17 0(&+$1,606 

.H\ZRUGV %DUJDLQLQJ ELODWHUDO 7UDGH DQG 0HFKDQLVPV 

-(/ &ODVVLILFDWLRQ &

:H DGGUHVV WKH GHVLJQ RI RSWLPDO PHFKDQLVPV IRU EDUJDLQLQJ SUREOHPV VXEMHFW WR 

LQFRPSOHWH LQIRUPDQWLRQ RQ UHVHUYDWLRQ YDOXHV :H FKDUDFWHUL]H GHFHQW UXOHV WKRVH 

VDWLVI\LQJ LQFHQWLYH FRPSDWLELOLW\ LQGLYLGXDO UDWLRQDOLW\ DQG D ZHDN UHTXLUHPHQW RI H[ SRVW 

HIIFLHQF\ 

5REHUW *DU\ %RER 

8QLYHUVLW\ RI &HUJ\ 3RQWRLVH 

&R $XWKRUV < 6SLHJHO 

237,0$/ 67$7( &217,1*(17 5(*8/$7,21 

.H\ZRUGV DV\PPHWULF LQIRUPDWLRQ FRUUHODWHG H[ SRVW VLJQDOV LQFHQWLYHV OLPLWHG OLDELOLW\ 

DQG UHJXODWLRQ WKHRU\ 


:H FRQVLGHU D UHJXODWLRQ PRGHO LQ ZKLFK WKH UHJXODWHG ILUP V SURGXFWLRQ FRVW FDQ ILQG LWVHOI 

LQ YDULRXV UDQGRP VWDWHV DVVXPHG WR EH SXEOLFO\ REVHUYHG EHIRUH WKH ILUP V SURGXFWLRQ 

GHFLVLRQ 7KH ILUP V FRVW W\SH LV SULYDWH LQIRUPDWLRQ DQG GHWHUPLQHV WKH GLVWULEXWLRQ RI 

WKHVH UDQGRP VWDWHV :H GHULYH WKH RSWLPDO LQFHQWLYH VFKHPH XQGHU WKHVH LQIRUPDWLRQDO 

DVVXPSWLRQV DVVXPLQJ LQ DGGLWLRQ WKDW WKH ILUP V OLDELOLW\ LV OLPLWHG WKHUH DUH OLPLWV WR WKH 

PDJQLWXGH RI WKH ILQDQFLDO SHQDOWLHV WKDW FDQ EH LPSRVHG WR WKH ILUP H[ SRVW 2XU UHVXOWV 

JHQHUDOL]H UHVXOWV REWDLQHG E\ 'HPRXJLQ DQG *DUYLH DQG 5LRUGDQ DQG 6DSSLQJWRQ 

%227675$3 0(7+2'6 


&KDLUSHUVRQ 2 /LHEHUPDQ 

)UDQN :LQGPHLMHU 

,QVWLWXWH IRU )LVFDO 6WXGLHV 

&R $XWKRUV 6 %RQG 

%227675$33,1* )25 *00 $ &203$5,621 2) $/7(51$7,9( 

,1)(5(1&( 352&('85(6 

$XJ 

5RRP ' 

.H\ZRUGV %RRWVWUDS 0HWKRGV )LQLWH 6DPSOH ,QIHUHQFH *HQHUDOLVHG 0HWKRG RI 0RPHQWV 

DQG +\SRWKHVLV 7HVWLQJ 


:H VWXG\ WKH VPDOO VDPSOH SHUIRUPDQFH RI DOWHUQDWLYH ERRWVWUDS SURFHGXUHV IRU WHVWLQJ 

K\SRWKHVHV DERXW WKH YDOXH RI VORSH FRHIILFLHQWV LQ OLQHDU SDQHO GDWD PRGHOV HVWLPDWHG 

XVLQJ WKH *HQHUDOLVHG 0HWKRG RI 0RPHQWV *00 &RQWUDU\ WR UHFRPPHQGDWLRQV LQ 

+RURZLW] ZH ILQG WKDW D QDLYH XVH RI WKH ERRWVWUDS WR HVWLPDWH WKH YDULDQFH RI 

HVWLPDWHG SDUDPHWHUV FDQ UHVXOW LQ PXFK PRUH UHOLDEOH LQIHUHQFH WKDQ DV\PSWRWLFDOO\ 

VXSHULRU SURFHGXUHV EDVHG RQ HVWLPDWLQJ WKH GLVWULEXWLRQ RI SLYRWDO WHVW VWDWLVWLFV

3HWHU 5HLQKDUG +DQVHQ 

%URZQ 8QLYHUVLW\ 

5(*5(66,21 $1$/

*DXVVLDQ SURFHVV ORQJ PHPRU\ PD[LPXP OLNHOLKRRG HVWLPDWRU SDUDPHWULF ERRWVWUDS DQG 

:KLWWOH OLNHOLKRRG 


7KLV SDSHU GHWHUPLQHV FRYHUDJH SUREDELOLW\ HUURUV RI ERWK GHOWD PHWKRG DQG SDUDPHWULF 

ERRWVWUDS FRQILGHQFH LQWHUYDOV &,V IRU WKH FRYDULDQFH SDUDPHWHUV RI VWDWLRQDU\ ORQJ 

PHPRU\ *DXVVLDQ WLPH VHULHV &,V IRU WKH ORQJ PHPRU\ SDUDPHWHU DUH LQFOXGHG 7KH 

UHVXOWV HVWDEOLVK WKDW WKH ERRWVWUDS SURYLGHV KLJKHU RUGHU LPSURYHPHQWV RYHU WKH GHOWD 

PHWKRG $QDORJRXV UHVXOWV DUH JLYHQ IRU WHVWV 7KH &,V DQG WHVWV DUH EDVHG RQ RQH RU 

RWKHU RI WZR DSSUR[LPDWH PD[LPXP OLNHOLKRRG HVWLPDWRUV 

7KH PDJQLWXGHV RI WKH FRYHUDJH SUREDELOLW\ HUURUV IRU RQH VLGHG ERRWVWUDS &,V IRU 

FRYDULDQFH SDUDPHWHUV IRU ORQJ PHPRU\ WLPH VHULHV DUH VKRZQ WR EH HVVHQWLDOO\ WKH VDPH 

DV WKH\ DUH ZLWK LLG GDWD 7KLV RFFXUV HYHQ WKRXJK WKH PHDQ RI WKH WLPH VHULHV FDQQRW EH 

HVWLPDWHG DW WKH XVXDO QA^ ` UDWH 

&2,17(*5$7,21 (67,0$7,21 $1' 

$33/,&$7,216 


&KDLUSHUVRQ * &XEDGGD 

%RULV +RIPDQQ 

=(, 8QLYHUVLW\ RI %RQQ 

$XJ 

5RRP ) 

%$1. /(1',1* $1' 3523(57< 35,&(6 620( ,17(51$7,21$/ 

(9,'(1&( 

.H\ZRUGV FRLQWHJUDWLRQ FUHGLW DQG SURSHUW\ SULFHV 


2YHU WKH ODVW WZR GHFDGHV EDQN OHQGLQJ KDV EHHQ FORVHO\ FRUUHODWHG ZLWK SURSHUW\ SULFHV 

LQ ERWK LQGXVWULDOLVHG DQG GHYHORSLQJ FRXQWULHV )URP SUHYLRXV HPSLULFDO VWXGLHV LW LV QRW 

FOHDU ZKHWKHU WKLV FORVH FRUUHODWLRQ LV GULYHQ E\ SURSHUW\ SULFHV RU EDQN OHQGLQJ ,Q WKLV 

VWXG\ , DQDO\VH WKH GLUHFWLRQ RI FDXVDOLW\ EHWZHHQ EDQN OHQGLQJ DQG SURSHUW\ SULFHV LQ 

LQGXVWULDOLVHG FRXQWULHV RYHU WKH ODVW WZR GHFDGHV /RQJ UXQ FDXVDOLW\ DSSHDUV WR JR IURP 

SURSHUW\ SULFHV WR EDQN OHQGLQJ 7KLV ILQGLQJ VXJJHVWV WKDW SURSHUW\ SULFH F\FOHV UHIOHFWLQJ 

FKDQJLQJ EHOLHIV DERXW IXWXUH HFRQRPLF SURVSHFWV GULYH FUHGLW F\FOHV UDWKHU WKDQ 

H[FHVVLYH EDQN OHQGLQJ EHLQJ WKH FDXVH RI SURSHUW\ SULFH EXEEOHV 6KRUW UXQ FDXVDOLW\ 

DSSHDUV WR JR LQ ERWK GLUHFWLRQV VXJJHVWLQJ WKDW D PXWXDOO\ UH HQIRUFLQJ HOHPHQW LQ SDVW 

ERRP EXVW F\FOHV LQ FUHGLW DQG SURSHUW\ PDUNHWV FDQQRW EH UXOHG RXW 

6ROYHLJ (UODQGVHQ 

1RUJHV %DQN 

&R $XWKRUV 5 1\PRHQ 

&2168037,21 $1' 3238/$7,21 $*( 6758&785( 

.H\ZRUGV FRLQWHJUDWLRQ &RQVXPSWLRQ GHPRJUDSK\ DQG WLPH VHULHV PRGHOV

-(/ &ODVVLILFDWLRQ & ( DQG - 

,Q WKLV SDSHU WKH HIIHFWV RQ DJJUHJDWH FRQVXPSWLRQ RI FKDQJHV LQ WKH DJH FRPSRVLWLRQ RI 

WKH SRSXODWLRQ DUH DQDO\VHG HPSLULFDOO\ (FRQRPLF WKHRULHV OLNH WKH OLIH F\FOH K\SRWKHVLV 

SUHGLFW WKDW DJH LQIOXHQFHV 

LQGLYLGXDOV VDYLQJ DQG FRQVXPSWLRQ EHKDYLRXU +RZHYHU DJH VWUXFWXUH HIIHFWV DUH UDUHO\ 

FRQWUROOHG IRU LQ HPSLULFDO FRQVXPSWLRQ IXQFWLRQV 2XU ILQGLQJV VWURQJO\ VXJJHVW WKDW WKH\ 

VKRXOG %\ DQDO\VLQJ 1RUZHJLDQ WLPH VHULHV GDWD ZH ILQG WKDW FKDQJHV LQ WKH DJH 

FRPSRVLWLRQ RI WKH SRSXODWLRQ KDYH 

VLJQLILFDQW DQG OLIH F\FOH FRQVLVWHQW HIIHFWV RQ DJJUHJDWH FRQVXPSWLRQ $QG PRUH 

LPSRUWDQW FRQWUROOLQJ IRU DJH VWUXFWXUH HIIHFWV WXUQ RXW WR EH QHFHVVDU\ IRU REWDLQLQJ D ZHOO 

VSHFLILHG FRQVXPSWLRQ IXQFWLRQ 

/XFD )DQHOOL 

'HSDUWPHQW RI 6WDWLVWLFV 8QLYHUVLW\ RI %RORJQD 

(67,0$7,1* &2,17(*5$7(' '

(&2120(75,&6 2) 75($70(17 ())(&76 


&KDLUSHUVRQ - $EEULQJ 

=KRQJ =KDR 

3HNLQJ 8QLYHUVLW\ 

$XJ 

5RRP ) 

86,1* 0$7&+,1* 72 (67,0$7( 75($70(17 ())(&76 '$7$ 

5(48,5(0(176 0$7&+,1* 0(75,&6 $1' 0217( &$5/2 

(9,'(1&( 

.H\ZRUGV 0DWFKLQJ 3URSHQVLW\ 6FRUH 7UHDWPHQW (IIHFW DQG 0RQWH &DUOR ([SHULPHQW 

-(/ &ODVVLILFDWLRQ & & DQG , 

,Q WKLV SDSHU ZH FRPSDUH SURSHQVLW\ VFRUH PDWFKLQJ PHWKRGV WR FRYDULDWH PDWFKLQJ 

HVWLPDWRUV :H ILUVW GLVFXVV WKH GDWD UHTXLUHPHQWV RI SURSHQVLW\ VFRUH PDWFKLQJ 

HVWLPDWRUV DQG FRYDULDWH PDWFKLQJ HVWLPDWRUV 

7KHQ ZH SURSRVH WZR QHZ PDWFKLQJ PHWULFV LQFRUSRUDWLQJ WKH WUHDWPHQW RXWFRPH 

LQIRUPDWLRQ DQG SDUWLFLSDWLRQ LQGLFDWRU LQIRUPDWLRQ DQG GLVFXVV WKH PRWLYDWLRQV RI GLIIHUHQW 

PHWULFV 1H[W ZH VWXG\ WKH VPDOO VDPSOH SURSHUWLHV RI SURSHQVLW\ VFRUH PDWFKLQJ YHUVXV 

FRYDULDWH PDWFKLQJ HVWLPDWRUV DQG RI GLIIHUHQW PDWFKLQJ PHWULFV WKURXJK 0RQWH &DUOR 

H[SHULPHQWV 7KURXJK D VHULHV RI VLPXODWLRQV ZH SURYLGH VRPH JXLGDQFH WR SUDFWLWLRQHUV 

RQ KRZ WR FKRRVH DPRQJ GLIIHUHQW PDWFKLQJ HVWLPDWRUV DQG PDWFKLQJ PHWULFV 

&KHWL 1LFROHWWL 

,6(5 8QLYHUVLW\ RI (VVH[ 

&255(&7,1* )25 6$03/( 6(/(&7,21 %,$6 $/7(51$7,9( 

(67,0$7256 &203$5(' 

.H\ZRUGV HFRQRPHWULF VHOHFWLRQ PRGHOV LPSXWDWLRQ PLVVLQJ GDWD SURSHQVLW\ VFRUH DQG 

VDPSOH VHOHFWLRQ 


7KLV SDSHU DVVHVVHV WKUHH GLIIHUHQW W\SHV RI UHJUHVVLRQ HVWLPDWLRQ SURFHGXUHV XVHG WR 

WDNH DFFRXQW RI VDPSOH VHOHFWLRQ SUREOHPV LQ SDUWLFXODU WKH PLVVLQJ GDWD SUREOHP LQ 

VDPSOH VXUYH\V 7KHVH DUH SURSHQVLW\ VFRUH HVWLPDWLRQ LPSXWDWLRQ DQG FODVVLFDO 

HFRQRPHWULF VHOHFWLRQ PRGHOV SURFHGXUHV :H SUHVHQW DQ DQDO\VLV RI WKH XQGHUO\LQJ 

DVVXPSWLRQV LPSRVHG E\ GLIIHUHQW HVWLPDWLRQ SURFHGXUHV 6RPH RI WKHVH DVVXPSWLRQV DUH 

XQWHVWDEOH 1HYHUWKHOHVV E\ FRPSXWLQJ ERXQGV LQVWHDG RI D SRLQW HVWLPDWH LW LV SRVVLEOH 

WR FDUU\ RXW DQ LQIRUPDO FKHFN RI WKH XQGHUO\LQJ DVVXPSWLRQV RI WKH DERYH HVWLPDWRUV DV 

VXJJHVWHG LQ 0DQVNL 

0DUNXV -RFKPDQQ 

8QLYHUVLW\ RI .RQVWDQ] 

6(0,3$5$0(75,& %$

75($70(17 02'(/6 

.H\ZRUGV FRXQW GDWD 0&0& 0'3 DQG WUHDWPHQW HIIHFW 

-(/ &ODVVLILFDWLRQ & & & DQG , 

7KLV SDSHU IRFXVHV RQ WKH HVWLPDWLRQ RI FDXVDO WUHDWPHQW HIIHFWV LQ VLWXDWLRQV ZKHUH WKH 

YDULDEOH RI LQWHUHVW LV D FRXQW SURFHVV $ SRWHQWLDO RXWFRPHV PRGHO LV VSHFLILHG LQ D 

VHPLSDUDPHWULF %D\HVLDQ IDVKLRQ XVLQJ D PL[WXUH RI 'LULFKOHW SURFHVVHV 0'3 7KH 

PRGHO LV WKHQ VXEMHFW WR D IXOO %D\HVLDQ DQDO\VLV XVLQJ 0DUNRY FKDLQ 0RQWH &DUOR 0&0& 

VLPXODWLRQ PHWKRGV 7KH SURSRVHG WHFKQLTXHV DUH LOOXVWUDWHG ZLWK D UHDO GDWD DSSOLFDWLRQ 

-DDS $EEULQJ 

9ULMH 8QLYHUVLWHLW $PVWHUGDP 

&R $XWKRUV * YDQ GHQ %HUJ 

$ 6,03/( 352&('85( )25 7+( (9$/8$7,21 2) 75($70(17 

())(&76 21 '85$7,21 9$5,$%/(6 

.H\ZRUGV GXUDWLRQ DQDO\VLV KD]DUG UDWH VHOHFWLYLW\ ELDV WUHDWPHQW HIIHFW DQG XQREVHUYHG 

KHWHURJHQHLW\ 


2IWHQ D WUHDWPHQW DQG WKH RXWFRPH RI LQWHUHVW DUH FKDUDFWHUL]HG E\ WKH PRPHQW WKH\ 

RFFXU DQG WKHVH PRPHQWV DUH UHDOL]DWLRQV RI VWRFKDVWLF SURFHVVHV ZLWK GHSHQGHQW 

XQREVHUYHG GHWHUPLQDQWV :H GHYHORS D VLPSOH DQG LQWXLWLYH PHWKRG IRU LQIHUHQFH RQ WKH 

WUHDWPHQW HIIHFW 7KH PHWKRG FDQ EH LPSOHPHQWHG DV D JUDSKLFDO SURFHGXUH RU DV D 

VWUDLJKWIRUZDUG SDUDPHWHU WHVW LQ DQ DX[LOLDU\ XQLYDULDWH VLQJOH VSHOO GXUDWLRQ PRGHO 7KH 

PHWKRG H[SORLWV LQIRUPDWLRQ RQ WKH WLPLQJ RI WKH WUHDWPHQW UHODWLYH WR WKH RXWFRPH WKDW LV 

GLVFDUGHG LQ ELQDU\ WUHDWPHQW DQDO\VHV 

(03,5,&$/ ,1'8675,$/ 25*$1,6$7,21 , 


&KDLUSHUVRQ ) 9HUERYHQ 

7KDQDVLV 6WHQJRV 

8QLYHUVLW\ RI *XHOSK 

&R $XWKRUV ( =DFKDULDV 

,17(57(0325$/ 35,&,1* $1' 35,&( ',6&5,0,1$7,21 $ 

6(0,3$5$0(75,& $1$/

H[DPLQH WKH LQWHUWHPSRUDO SULFLQJ RI SHUVRQDO FRPSXWHUV :H WHVW D ZKHWKHU ILUPV FKDUJH 

GLIIHUHQWLDO FRPSRQHQW SULFHV IRU WKHLU WRS SHUIRUPDQFH SHUVRQDO FRPSXWHUV DQG E 

ZKHWKHU SUHPLXP ILUPV FKDUJH ERWK D SUHPLXP IRU DOO WKHLU FRPSXWHUV DQG D SUHPLXP IRU 

WKHLU WRS SHUIRUPDQFH RQHV :H ILQG QRQOLQHDU HIIHFWV LQ WKH SULFLQJ RI SHUVRQDO FRPSXWHU 

FRPSRQHQWV :H DOVR ILQG WKDW ILUPV LQ JHQHUDO GR QRW FKDUJH GLIIHUHQWLDO SULFHV IRU WKHLU 

FRPSRQHQWV RI WKHLU WRS SHUIRUPDQFH FRPSXWHUV ,Q DGGLWLRQ KLJK TXDOLW\ ILUPV FKDUJH 

KLJKHU SUHPLD RQO\ IRU WKHLU PRVW DGYDQFHG SURGXFWV 

3KLOLSSH *DJQHSDLQ 

'SW RI (FRQRPLFV 8QLYHUVLW\ &DUORV ,,, 0DGULG 

&R $XWKRUV 3 0DULQ 

&203(7,7,21 $1' ()),&,(1&< ,1 (8523($1 $9,$7,21 

.H\ZRUGV $LUOLQH &RPSHWLWLRQ 'HUHJXODWLRQ (IILFLHQF\ DQG 0DUNHW SRZHU 

-(/ &ODVVLILFDWLRQ / / DQG / 

(FRQRPLF VWXGLHV RQ WKH (XURSHDQ DLUOLQH LQGXVWU\ KDYH EHHQ FRPPLWWHG RQ WKH HYDOXDWLRQ 

RI PDUNHW SRZHU DQG WKH HIIHFW RI OLEHUDOL]DWLRQ RQ WKH LQGXVWU\V RSHUDWLQJ FRVWV 7KH DLP 

RI WKLV SDSHU LV WR PDNH WKHVH WZR DSSURDFKHV FRLQFLGH :H FRQVWUXFW DQG HVWLPDWH D 

VWUXFWXUDO PRGHO RI FRPSHWLWLRQ WKDW LQFOXGHV D V\VWHP RI GHPDQG FDSDFLW\ FRVWV DQG 

SULFH HTXDWLRQV 7KH FRVW HTXDWLRQ DFFRXQWV IRU WKH LQHIILFLHQF\ RI WKH WUDQVSRUW RSHUDWRUV 

ZKLFK GHSHQGV RQ WKH FRVW UHGXFLQJ LQFHQWLYHV SURYLGHG E\ WKH VWDWH RI WKH OLEHUDOL]DWLRQ 

8VLQJ D QRQ QHVWHG SURFHGXUH DQG REVHUYDWLRQV RQ WKH QLQH ODUJHVW (XURSHDQ IODJ FDUULHUV 

EHWZHHQ DQG RXU PRGHO LV WHVWHG DJDLQVW WKH VWDQGDUG IUDPHZRUN WKDW GRHV 

QRW DFFRXQW IRU HQGRJHQRXV LQHIILFLHQF\ 

$UQDXG 5H\QDXG 

/((51$ ,15$ 7RXORXVH 8QLYHUVLW\ 

&R $XWKRUV & $XEHUW 

,1&(17,9( 5(*8/$7,21 $8',7 $1' ()),&,(1&< $1 (03,5,&$/ 

$1$/

.DWKROLHNH 8QLYHUVLWHLW /HXYHQ 

&R $XWKRUV 5 %UHQNHUV 

/,%(5$/,=,1* $ ',675,%87,21 6

$1' ,17(5(67 5$7(6 

.H\ZRUGV $IILQH 7HUP 6WUXFWXUH 0RGHOV ([FKDQJH 5DWH '\QDPLFV DQG .DOPDQ )LOWHU 

-(/ &ODVVLILFDWLRQ & ) DQG * 

7KLV SDSHU DGGUHVVHV LVVXHV LQ H[WHQGLQJ WKH DIILQH FODVV RI WHUP VWUXFWXUH PRGHOV WR 

GHVFULEH WKH MRLQW G\QDPLFV RI H[FKDQJH UDWHV DQG LQWHUHVW UDWHV 

$ VWDQGDUG LQFRPSOHWH PDUNHWV DSSURDFK LV VKRZQ WR LPSRVH PDQ\ 

FRQVWUDLQWV RQ H[FKDQJH UDWH G\QDPLFV LQ DIILQH VHWWLQJV $ FDQRQLFDO 

PXOWLFRXQWU\ DIILQH PRGHO 

DQG WKH PHWKRG WR HVWLPDWH LW YLD .DOPDQ ILOWHUV DUH IRUPXODWHG 

)DPLOLDU GLIILFXOWLHV LQ UHFRQFLOLQJ WKH IRUZDUG SUHPLXP DQRPDO\ ZLWK DIILQH PRGHOV DUH 

RYHUFRPH E\ LQWURGXFLQJ DGGLWLRQDO VWDWH YDULDEOHV ZKLFK DIIHFW RQO\ H[FKDQJH UDWH 

G\QDPLFV 

7KLV \LHOGV D PRUH DGHTXDWH PRGHO RI WKH REVHUYHG YRODWLOLWLHV 

RI H[FKDQJH UDWHV DQG WKHLU FRUUHODWLRQ ZLWK LQWHUHVW UDWHV 

,GD :ROGHQ %DFKH 

1RUJHV %DQN &HQWUDO %DQN RI 1RUZD\ 

&R $XWKRUV % 1DXJ 

(;&+$1*( 5$7( 3$66 7+528*+ $1' (;3(&7$7,216 $1 

(03,5,&$/ 678'< 2) 8. ,03257 35,&(6 

.H\ZRUGV &2,17(*5$7,21 (48,/,%5,80 &255(&7,21 02'(/6 (;&+$1*( 

5$7( 3$66 7+528*+ )25:$5' /22.,1* 02'(/6 *00 DQG ,03257 35,&(6 

-(/ &ODVVLILFDWLRQ & & ) DQG ) 

5HFHQW RSHQ HFRQRP\ PRGHOV W\SLFDOO\ DVVXPH WKDW SULFH VHWWLQJ UXOHV DUH IRUZDUG 

ORRNLQJ :H WHVW ZKHWKHU WKLV K\SRWKHVLV DSSOLHV WR 8. LPSRUW SULFHV 8VLQJ TXDUWHUO\ GDWD 

RYHU ZH ILUVW LGHQWLI\ D FRLQWHJUDWLQJ YHFWRU FRUUHVSRQGLQJ WR WKH ODZ RI RQH 

SULFH :H WKHQ HVWLPDWH D IRUZDUG ORRNLQJ LPSRUW SULFH HTXDWLRQ GHULYHG IURP WKH TXDGUDWLF 

DGMXVWPHQW FRVW IUDPHZRUN :H DVVXPH WKDW D IUDFWLRQ RI H[SRUWHUV HQJDJH LQ ORFDO 

FXUUHQF\ SULFLQJ DQG DQRWKHU LQ SURGXFHU FXUUHQF\ SULFLQJ 7KH HVWLPDWHG HTXDWLRQ LV 

EURDGO\ FRQVLVWHQW ZLWK WKH WKHRU\ EXW LW ILWV GDWD ZRUVH WKDQ FRQGLWLRQDO HTXLOLEULXP 

FRUUHFWLRQ PRGHOV +HQFH ZH GR QRW ILQG FRQYLQFLQJ VXSSRUW IRU WKLV VSHFLILF IRUZDUG 

ORRNLQJ PRGHO 2XU UHVXOWV DOVR LQGLFDWH WKDW L LPSRUW SULFHV UHVSRQG IDVWHU WR 

GHSUHFLDWLRQV WKDQ WR DSSUHFLDWLRQV RU LL VKRUW UXQ SDVV WKURXJK KDV IDOOHQ DIWHU WKH 

FKDQJH LQ PRQHWDU\ SROLF\ LQ LW LV GLIILFXOW WR GLVFULPLQDWH EHWZHHQ WKHVH 

K\SRWKHVHV 

+DPLG )DUXTHH 

,QWHUQDWLRQDO 0RQHWDU\ )XQG 

&R $XWKRUV ( &KRXGKUL DQG ' +DNXUD 

(;3/$,1,1* 7+( (;&+$1*( 5$7( 3$66 7+528*+ ,1 ',))(5(17 

35,&(6 

.H\ZRUGV ([FKDQJH UDWH SDVV WKURXJK DQG 1HZ RSHQ HFRQRP\ PDFURHFRQRPLF PRGHOV


7KLV SDSHU H[DPLQHV WKH SHUIRUPDQFH RI GLIIHUHQW QHZ RSHQ HFRQRP\ PDFURHFRQRPLF 

PRGHOV LQ H[SODLQLQJ WKH H[FKDQJH UDWH SDVV WKURXJK LQ D ZLGH UDQJH RI SULFHV 

4XDQWLWDWLYH 

YHUVLRQV RI GLIIHUHQW PRGHOV DUH XVHG WR GHULYH WKH G\QDPLF UHVSRQVH RI YDULRXV SULFHV WR 

DQ 

H[FKDQJH UDWH VKRFN 3UHGLFWHG UHVSRQVHV DUH FRPSDUHG ZLWK WKH HYLGHQFH EDVHG RQ 

9$5 

PRGHOV WR H[DPLQH KRZ ZHOO GLIIHUHQW PRGHOV ILW WKH GDWD 7KH UHVXOWV VKRZ WKDW WKH 

EHVWILWWLQJ 

PRGHO LQFRUSRUDWHV D QXPEHU RI IHDWXUHV KLJKOLJKWHG E\ GLIIHUHQW VWUDQGV RI WKH 

OLWHUDWXUH VWLFN\ SULFHV VWLFN\ ZDJHV GLVWULEXWLRQ FRVWV DQG D FRPELQDWLRQ RI ORFDO DQG 

SURGXFHU FXUUHQF\ SULFLQJ 

),1$1&,$/ (&2120(75,&6 7+(25< , 


&KDLUSHUVRQ ) %DQGL 

*ORULD *RQ]DOH] 5LYHUD 

8QLYHUVLW\ RI &DOLIRUQLD 5LYHUVLGH 

&R $XWKRUV 7 /HH DQG 6 0LVKUD 

$XJ 

-8036 ,1 5$1. $1' (;3(&7(' 5(78516 ,1752'8&,1* 

9$5


:H SURSRVH D WZR IDFWRU MXPS GLIIXVLRQ PRGHO IRU HTXLW\ SULFHV LQ ZKLFK WKH MXPS LQWHQVLW\ 

DQG WKH VWRFKDVWLF YRODWLOLW\ DUH ERWK ODWHQW DQG QRW SHUIHFWO\ LQVWDQWDQHRXVO\ FRUUHODWHG 

:H GLVFXVV H[SOLFLWO\ WKH QRQ WULYLDO LVVXH RI LGHQWLILFDWLRQ RI SDUDPHWHUV LQ WKHVH NLQG RI 

PRGHOV )RU WKH SURSRVHG PRGHO ZH GHULYH H[SOLFLW PRPHQW FRQGLWLRQV ZKLFK DOORZ IRU WKH 

HVWLPDWLRQ RI VHYHUDO FUXFLDO SDUDPHWHUV LQ WKH PRGHO XVLQJ D *00 IUDPHZRUN 

,PSOLFDWLRQV IRU RSWLRQ SULFLQJ ZLOO EH GLVFXVVHG DV ZHOO )LQDOO\ ZH VKRZ KRZ WKH 

SURSRVHG SURFHGXUHV FDQ EH LPSOHPHQWHG XVLQJ GDLO\ 6 3 UHWXUQV 

-RKQ 0DKHX 

8QLYHUVLW\ RI 7RURQWR 

&R $XWKRUV 7 0F&XUG\ 

1(:6 $55,9$/ -803 '

H[SHFWDWLRQV FRQVWUXFWHG DV ZHLJKWHG DYHUDJHV EDVHG RQ NHUQHO IXQFWLRQV RI WKH 

1DGDUD\D :DWVRQ W\SH 7KH\ DUH VWUDLJKWIRUZDUG WR LQWHUSUHW DQG HDV\ WR LPSOHPHQW 

:H XVH D GLVFUHWH VDPSOH RI KLJK IUHTXHQF\ REVHUYDWLRQV DQG LPSRVH PLQLPDO 

DVVXPSWLRQV RQ WKH VWDWLVWLFDO SURSHUWLHV RI WKH GDWD JHQHUDWLQJ PHFKDQLVP WR REWDLQ 

OLPLWLQJ UHVXOWV +DUULV UHFXUUHQFH LV DOO WKDW ZH UHTXLUH WR VKRZ VWURQJ FRQVLVWHQF\ DQG 

DV\PSWRWLF PL[HG QRUPDOLW\ RI WKH IXQFWLRQDO HVWLPDWHV ,Q FRQVHTXHQFH WKH HVWLPDWLRQ 

PHWKRG DQG DV\PSWRWLF WKHRU\ DSSO\ WR ERWK VWDWLRQDU\ DQG QRQVWDWLRQDU\ PXOWLYDULDWH 

GLIIXVLRQ SURFHVVHV XQGHU PLOG FRQGLWLRQV 

,175$+286(+2/' $//2&$7,21 


&KDLUSHUVRQ 3 'XERLV 

0DUFRV 5DQJHO 

8QLYHUVLW\ RI &DOLIRUQLD DW /RV $QJHOHV 

/$%25 ',9,6,21 ,19(670(176 ,1 &+,/'5(1 $1' 

,175$+286(+2/' %$5*$,1,1* 

$XJ 

5RRP ) 

.H\ZRUGV KXPDQ FDSLWDO LQYHVWPHQWV LQWUDKRXVHKROG EDUJDLQLQJ DQG WLPH DOORFDWLRQ 

-(/ &ODVVLILFDWLRQ ' - - DQG 2 

7KH H[WHQW WR ZKLFK PHPEHUV RI WKH VDPH KRXVHKROG LQGLYLGXDOLVWLFDOO\ 

SXUVXH WKHLU VHOI LQWHUHVW DV RSSRVHG WR EHLQJ FKDUDFWHUL]HG E\ D JURXS ZKR 

VKDUH D FRPPRQ JRDO LV D FHQWUDO TXHVWLRQ LQ HFRQRPLFV 7KLV H[DPLQHV KRZ 

VKLIWV LQ WKH EDODQFH RI SRZHU ZLWKLQ WKH KRXVHKROG DIIHFWV EHKDYLRUDO 

FKRLFHV 3RWHQWLDO HQGRJHQHLW\ LV FLUFXPYHQW E\ H[SORLWLQJ FKDQJHV LQ WKH 

%UD]LOLDQ DOLPRQ\ ODZV DV VRXUFHV RI YDULDWLRQ (PSLULFDO HYLGHQFH 

LQGLFDWHV WKDW ZRPHQ HPSRZHUPHQW UHIOHFWHG LQWR FKDQJHV LQ WLPH DOORFDWLRQ 

DQG LQ LQYHVWPHQWV RQ FKLOGUHQ WKDW UHYHDO VSHFLILFLWLHV RI SDUHQWDO 

SUHIHUHQFHV 7KH UHVXOWV UHDIILUP WKDW WKH XQLWDU\ PRGHO LV DQ LPSHUIHFW 

UHSUHVHQWDWLRQ IRU KRXVHKROGV GHFLVLRQ SURFHVV 

+HOHQH &RXSULH 

*5(4$0 8QLYHUVLWH GH OD 0HGLWHUUDQHH 

7,0( $//2&$7,21 :,7+,1 7+( )$0,/< :(/)$5( ,03/,&$7,216 

2) /,)( ,1 $ &283/( 

.H\ZRUGV &ROOHFWLYH PRGHO +RXVHKROG SURGXFWLRQ 3XEOLF GRPHVWLF JRRG DQG 6KDULQJ 

UXOH 

-(/ &ODVVLILFDWLRQ & ' ' DQG - 

7KLV SDSHU DQO\]HV WKH KRXVHKROG GHFLVLRQ PDNLQJ SURFHVV OHDGLQJ WR WKH DOORFDWLRQ RI 

WLPH DQG FRQVXPSWLRQ LQ WKH IDPLO\ :H HVWLPDWH RQ WKH %ULWLVK +RXVHKROG 3DQHO 6XUYH\ 

D FROOHFWLYH PRGHO RI ODERU VXSSO\ JHQHUDOL]HG WR WKH SURGXFWLRQ RI D KRXVHKROG SXEOLF 

JRRG )RU WKH ILUVW WLPH LQ VXFK D IUDPHZRUN WKH VKDULQJ UXOH FRQVLWLRQDO RQ SXEOLF 

H[SHQGLWXUHV LV LGHQWLILHG E\ ZRPDQ V FKDQJH RI IDPLO\ VWDWXV IURP VLQJOH OLYLQJ WR FRXSOH 

RU IURP FRXSOH WR VLQJOH OLYLQJ :HOIDUH LPSOLFDWLRQV DUH HODERUDWHG :RPDQ V VKDUH RI

KRXVHKROG V SULYDWH H[SHQGLWXUHV DSSHDUV WR EH RQ DYHUDJH 

)UHGHULF 9HUPHXOHQ 

&HQWHU IRU (FRQRPLF 6WXGLHV 8QLYHUVLW\ RI /HXYHQ 

&R $XWKRUV / &KHUFK\H 

1213$5$0(75,& $1$/

0,*5$7,21 


&KDLUSHUVRQ 0 5RVKROP 

%HOOHPDUH &KDUOHV 

7LOEXUJ 8QLYHUVLW\ 

$XJ 

(&2120,& $66,0,/$7,21 $1' 5(7851 0,*5$7,21 2) 

,00,*5$176 ,1 :(67 *(50$1< 

.H\ZRUGV $VVLPLODWLRQ ,PPLJUDWLRQ DQG 5HWXUQ PLJUDWLRQ 


2QH LPSRUWDQW SROLF\ SDUDPHWHU LQ WKH LPPLJUDWLRQ OLWHUDWXUH 

FRQFHUQV WKH PHDVXUHPHQW RI WKH FRQYHUJHQFH UDWH RI HDUQLQJV 

EHWZHHQ LPPLJUDQWV DQG QDWLYHV 0HDVXUHPHQW RI WKLV UDWH LV PDGH 

FRPSOLFDWHG E\ WKH UHWXUQ PLJUDWLRQ GHFLVRQ RI LPPLJUDQWV 

:H GRFXPHQW RQ WZR RSSRVLQJ WKHRULHV VXJJHVWLQJ WKDW 

SRVLWLYH DV ZHOO DV QHJDWLYH UHWXUQ PLJUDWLRQ VHOHFWLRQ PD\ VLPXOWDQHRXVO\ DIIHFW 

REVHUYHG LQFRPH RI LPPLJUDQWV :H HVWLPDWH D WKUHH HTXDWLRQ SDQHO GDWD PRGHO 

RI ZRUN LQFRPH UHWXUQ PLJUDWLRQ SURFHVVHV 7KH PRGHO QRQSDUDPHWULFDOO\ 

LGHQWLILHV WKH PLVFODVVLILFDWLRQ HUURU LQ 

RXU UHWXUQ PLJUDWLRQ LQGLFDWRU DQG LV VXEVHTXHQWO\ HVWLPDWHG 2XU 

PDLQ ILQGLQJV DUH WKH IROORZLQJ )LUVW WKHUH LV D VWURQJ QHJDWLYH 

UHWXUQ PLJUDWLRQ ELDV ZKLFK LPSOLHV WKDW WKH REVHUYHG ZDJH 

GLYHUJHQFH EHWZHHQ ZDJHV RI :HVW *HUPDQV DQG LPPLJUDQWV LV 

DFWXDOO\ PRUH SURQRXQFHG 6HFRQGO\ ZH ILQG D VLJQLILFDQW DPRXQW RI WKH 

PLVFODVVLILFDWLRQ LQ WKH UHWXUQ PLJUDWLRQ LQGLFDWRU ZKR RPPLVVLRQ 

UHGXFHV WKH VHOHFWLYLW\ ELDV 

-DQ )LGUPXF 

(&$5(6 8QLYHUVLWp /LEUH GH %UX[HOOHV =(, 8QLYHUVLWlW %RQQ DQG &(35 

&R $XWKRUV 3 +XEHU 

5RRP ) 

7+( 38==/( 2) 5,6,1* 5(*,21$/ ',63$5,7,(6 $1' )$//,1* 

0,*5$7,21 5$7(6 '85,1* 75$16,7,21 

.H\ZRUGV 0LJUDWLRQ 5HJLRQDO 6KRFNV DQG 8QHPSOR\PHQW 

-(/ &ODVVLILFDWLRQ ) - DQG 3 

,Q WKH &]HFK 5HSXEOLF GXULQJ WUDQVLWLRQ IDOOLQJ PLJUDWLRQ UDWHV FRQWUDVWHG ZLWK ULVLQJ 

UHJLRQDO GLVSDULWLHV LQ HDUQLQJV :H LQYHVWLJDWH WKLV DSSDUHQW SX]]OH E\ HVWLPDWLQJ D 

JUDYLW\ PRGHO RI PLJUDWLRQ IRU &]HFK GLVWULFWV RYHU DQG FRPSDULQJ WKH SDWWHUQV 

RI PLJUDWLRQ RYHU WLPH :H FRQVLGHU WZR DOWHUQDWLYH H[SODQDWLRQV )LUVW WKH UHVSRQVH RI 

PLJUDWLRQ WR ZDJH GLIIHUHQWLDOV DQG RWKHU IDFWRUV PD\ KDYH FKDQJHG 6HFRQG WKH 

GHWHUPLQDQWV RI PLJUDWLRQ RWKHU WKDQ ZDJHV PD\ KDYH FKDQJHG VR DV WR FRXQWHUYDLO WKH 

LPSDFW RI ULVLQJ ZDJH GLVSDULWLHV 8VLQJ 2D[DFD GHFRPSRVLWLRQ ZH ILQG WKDW SDUDPHWHU

FKDQJHV DFFRXQW IRU PXFK RI WKH GHFOLQH 7KH LPSDFW RI ZDJH GLIIHUHQWLDOV RQ PLJUDWLRQ 

IORZV KDV DFWXDOO\ LQFUHDVHG EXW WKLV ZDV FRXQWHUHG E\ LQFUHDVLQJ LPSRUWDQFH RI GLVWDQFH 

DV EDUULHU WR PLJUDWLRQ DQG IDOOLQJ DXWRQRPRXV PLJUDWLRQ L H PLJUDWLRQ WKDW LV QRW EH 

H[SODLQHG E\ WKH PRGHO 

+LGHR $NDED\DVKL 

)DFXOW\ RI (FRQRPLFV .HLR 8QLYHUVLW\ 

&R $XWKRUV . 6XJD 

$3$57+(,' $1' 027,9$7,216 2) 0,*5$17 :25.(56 

.H\ZRUGV /DERXU 3ROLF\ 0LJUDWLRQ DQG 6RXWK $IULFD 

-(/ &ODVVLILFDWLRQ - . DQG 2 

:H LQYHVWLJDWH LQWR WKH PRWLYDWLRQV RI WHPSRUDU\ PLJUDWLRQ XQGHU WKH LQIOXHQFH RI WKH 

DSDUWKHLG LQ 6RXWK $IULFD :H GHYHORS D PRGHO LQ ZKLFK D KRXVHKROG PD[LPL]HV LWV 

H[SHFWHG XWLOLW\ WKURXJK WKH DOORFDWLRQ RI IDPLO\ PHPEHUV WR GLIIHUHQW ORFDWLRQV IRU 

HPSOR\PHQW 7KH WKHRUHWLFDO LPSOLFDWLRQV DUH DGDSWHG WR WKH FRQGLWLRQDO ORJLW VSHFLILFDWLRQ 

RI ORFDWLRQ FKRLFH IRU HPSLULFDO DQDO\VHV 8VLQJ WKH 6RXWK $IULFDQ KRXVHKROG GDWD ZH 

HVWLPDWHG WKH GHWHUPLQDQWV RI GHVWLQDWLRQ RI EODFN PLJUDQW ZRUNHUV 2XU HPSLULFDO UHVXOWV 

DUH PRVWO\ FRQVLVWHQW ZLWK WKH WKHRUHWLFDO SUHGLFWLRQ DQG ZH ILQG HYLGHQFH WKDW WKH UHODWLYH 

LPSRUWDQFH RI LQFRPH ULVN GLYHUVLILFDWLRQ PRWLYH KDV LQFUHDVHG ZLWK WKH HQG RI DSDUWKHLG 

0LFKDHO 5RVKROP 

'HSW RI (FRQRPLFV 8QLYHUVLW\ RI $DUKXV 

&R $XWKRUV $ 'DPP DQG $ 'DPP 

(03/2

7KRPDV 0 OOHU 

8QLYHUVLW\ RI 0XQLFK 

&R $XWKRUV 0 6FKQLW]HU 

7(&+12/2*< 75$16)(5 $1' 63,//29(56 ,1 ,17(51$7,21$/ 

-2,17 9(1785(6 

.H\ZRUGV )RUHLJQ 'LUHFW ,QYHVWPHQW -RLQW 9HQWXUHV 0XOWLQDWLRQDO (QWHUSULVH 2ZQHUVKLS 

6WUXFWXUH 6SLOORYHUV DQG 7UDQVLWLRQ (FRQRPLHV 

-(/ &ODVVLILFDWLRQ ' ) ) / 2 DQG 3 

7KLV SDSHU DQDO\]HV WKH HIIHFWV RI D SRWHQWLDO VSLOORYHU RQ WHFKQRORJ\ WUDQVIHU RI D 

PXOWLQDWLRQDO HQWHUSULVH DQG RQ WKH KRVW FRXQWU\ SROLF\ ,Q SDUWLFXODU ZH H[DPLQH KRZ ERWK 

SDUWLHV LQFHQWLYHV FDQ EH FRQWUROOHG WKURXJK WKH RZQHUVKLS VWUXFWXUH LQ DQ LQWHUQDWLRQDO 

MRLQW YHQWXUH ,Q FRQWUDVW WR H[LVWLQJ DUJXPHQWV ZH VKRZ WKDW VSLOORYHUV PXVW QRW DOZD\V 

KDYH QHJDWLYH HIIHFWV RQ WHFKQRORJ\ WUDQVIHU DQG WKH\ PLJKW EH HIILFLHQF\ LPSURYLQJ 

0RUHRYHU WKHUH DUH FLUFXPVWDQFHV ZKHUH D MRLQW YHQWXUH LV PXWXDOO\ EHQHILFLDO 

6XUSULVLQJO\ KRZHYHU ZH ILQG WKDW GHVSLWH WKH SURVSHFW RI VSLOORYHUV D MRLQW YHQWXUH LV 

VRPHWLPHV QRW LQ WKH LQWHUHVW RI D KRVW FRXQWU\ 

6LPRQD )DEUL]L 

8QLYHUVLW\ RI 7RXORXVH 8QLYHUVLW\ RI %RORJQD DQG 8QLYHUVLW\ RI 0DQQKHLP 

,17(51$7,21$/ 7(/(&20081,&$7,216 35,&,1* '2(6 $ 6&23( 

)25 5()250 (;,67" 

.H\ZRUGV GRPHVWLF DQG QRQ GRPHVWLF FRPSHWLWLRQ LQWHUQDWLRQDO VHWWOHPHQW UDWH V\VWHP 

1DVK EDUJDLQLQJ DQG UHFHLYHU SD\V SULQFLSOH 

-(/ &ODVVLILFDWLRQ & / DQG / 

&RPSHWLWLRQ LQ LQWHUQDWLRQDO WHOHFRPPXQLFDWLRQ LV FRQVLGHUHG )LUVW , VKRZ WKDW D GRPHVWLF 

FRPSHWLWLRQ HQYLURQPHQW ZKHUH LQFXPEHQW RSHUDWRUV DUH WKH RQO\ RQHV WR EDUJDLQ RYHU 

WKHLU UHFLSURFDO VHWWOHPHQW UDWH OHW YDQLVK WKH PXWXDO PRGHUDWLRQ HIIHFW DQG LQGXFHV 

WKHUHIRUH LQIODWHG VHWWOHPHQW DQG FROOHFWLRQ UDWH DV ZHOO DV ORZHU H[FKDQJHG 

WHOHFRPPXQLFDWLRQ WUDIILF 6HFRQG LI D UHFHLYHU SD\V SULQFLSOH LV DSSOLHG LQVWHDG WKH WUDIILF 

DQG FROOHFWLRQ UDWH DUH SURYHG WR EH LQYDULDQW WR WKH W\SH RI FRPSHWLWLRQ SOD\HG 

GRPHVWLFDOO\ 0RUHRYHU IRU PRGHUDWH OHYHOV RI WKH UHVHUYDWLRQ XWLOLW\ FRQVXPHUV DWWDFK WR 

WKLV WUDIILF LWV DGRSWLRQ LQGXFHV WUDIILF DQG FROOHFWLRQ UDWH WKDW DUH ZHOIDUH LPSURYLQJ 

$QQH 'XFKHQH 

&(5$6 (13& 

&R $XWKRUV 3 :DHOEURHFN 

'2(6 3((5 72 3((5 +$50 &23

3HHU WR 3HHU WHFKQRORJLHV DUH RIWHQ VHHQ DV D WKUHDW E\ FRS\ULJKW 

RZQHUV DV WKH\ HQFRXUDJH SLUDF\ E\ PDNLQJ GLJLWDO FRSLHV HDVLHU 

,Q UHVSRQVH PDMRU PXVLF GLVWULEXWRUV KDYH LPSOHPHQWHG WHFKQLFDO 

SURWHFWLRQ RQ RULJLQDOV DQG WKH\ FODLP D VWUHQJWKHQLQJ RI OHJDO 

SURWHFWLRQ DV ZHOO %XW 3 3 DOVR VSUHDG LQIRUPDWLRQ DERXW SURGXFWV 

WKURXJK GLJLWDO FRSLHV 7KXV WKH\ DUH QHZ PHDQV RI GLVWULEXWLRQ 

WKDW LQYROYH QR IL[HG FRVWV RI GLVWULEXWLRQ DQG DGYHUWLVLQJ IRU 

DUWLVWV DV FRQVXPHUV DORQH EHDU WKH FRVWV RI VHDUFKLQJ 

GRZQORDGLQJ DQG WHVWLQJ SURGXFWV EHIRUH WKH\ PDNH WKHLU SXUFKDVH 

GHFLVLRQ :H GHWHUPLQH WKH HIIHFW RI 3 3 RQ FRS\ULJKW RZQHUV 

SURWHFWLRQ DQG GLVWULEXWLRQ VWUDWHJLHV DFFRUGLQJ WR WKH OHYHO RI 

OHJDO SURWHFWLRQ DQG ZH VKRZ WKDW 3 3 SRWHQWLDOO\ LQFUHDVH 

DUWLVWV SURILWV DQG ZHOIDUH 

)HOLSH =XULWD 

3217,),&,$ 81,9(56,'$' &$72/,&$ '( &+,/( 

&R $XWKRUV $ *DOHWRYLF 

/,48,',7< $1' 7+( 6,03/( ,2 2) 672&. (;&+$1*(6 

.H\ZRUGV EURNHUDJH H[FKDQJH IHH IUDJPHQWDWLRQ OLTXLGLW\ DQG QHWZRUN H[WHUQDOLW\ 

-(/ &ODVVLILFDWLRQ * DQG / 

7KLV SDSHU DQDO\]HV WKH RUJDQL]DWLRQ RI WKH LQGXVWU\ IRU WUDGLQJ DVVHWV ZLWK D SDUWLFXODU 

HPSKDVLV RQ WKH UROH RI OLTXLGLW\ /LTXLGLW\ LV PRGHOHG DV D QHWZRUN H[WHUQDOLW\ WKH PDUNHW 

LV LQWHJUDWHG ZKHQ HYHU\ EURNHU PHHWV HYHU\ RWKHU EURNHU LQ DW OHDVW RQH H[FKDQJH 

,Q DQ LQWHJUDWHG PDUNHW WKH QHWZRUN H[WHUQDOLW\ FUHDWHG E\ OLTXLGLW\ EHFRPHV SHFXQLDU\ DQG 

WKH RSWLPDO QXPEHU RI H[FKDQJHV GHSHQGV RQO\ RQ WKH WHFKQRORJ\ WR H[HFXWH WUDGHV 

ZKHWKHU LW H[KLELWV LQFUHDVLQJ FRQVWDQW RU GHFUHDVLQJ UHWXUQV WR VFDOH DV LQ DQ\ VWDQGDUG 

LQGXVWU\ :LWK GHFUHDVLQJ UHWXUQV WR VFDOH WKH :DOUDVLDQ DOORFDWLRQ LV HIILFLHQW SURYLGHG 

WKDW WKH PDUNHW LV LQWHJUDWHG 

+RZHYHU WKHUH DUH UHDVRQV WR GRXEW WKDW WKH PDUNHW ZLOO EHFRPH LQWHJUDWHG 

)UDJPHQWDWLRQ VRIWHQV SULFH FRPSHWLWLRQ EHWZHHQ H[FKDQJHV DQG PD\ KHOS D PRQRSROLVWLF 

H[FKDQJH WR HUHFW D EDUULHU WR HQWU\ HYHQ ZKHQ KH KDV QR FRVW DGYDQWDJH 

38%/,& ),1$1&( , 

&DWHJRU\ (($ 

&KDLUSHUVRQ 2 /RU] 

0DW] 'DKOEHUJ 

8SSVDOD 8QLYHUVLW\ 

&R $XWKRUV 3 3HWWHUVVRQ /LGERP 

$XJ 

7+( %$,/287 352%/(0 $1 (03,5,&$/ $3352$&+ 

.H\ZRUGV %DLORXW SUREOHP )LVFDO GLVWUHVV /RFDO JRYHUQPHQW DQG 0RUDO KD]DUG 

5RRP &


,Q WKLV SDSHU ZH GHYHORS DQ HPSLULFDO IUDPHZRUN IRU WKH EDLORXW SUREOHP :H GHYHORS WZR 

GLIIHUHQW DSSURDFKHV WR WKH EDLORXW SUREOHP ,Q WKH ILUVW DSSURDFK ZH FRQVWUXFW DQ HPSLULFDO 

WHVW RI ZKHWKHU DFWXDO H[WHQVLRQV RI EDLORXWV FDQ EH FRQVLGHUHG WR PHHW WKH UHTXLUHPHQWV 

RI DQ RSWLPDO LQFHQWLYH VFKHPH ,Q WKH VHFRQG DSSURDFK ZH H[SOLFLWO\ PRGHO WKH IRUPDWLRQ 

RI H[SHFWDWLRQV DQG PHDVXUH WR ZKDW H[WHQW ORFDO JRYHUQPHQW ILVFDO PLVEHKDYLRU LV 

FRQVLVWHQW ZLWK DQ DGYHUVH VHOHFWLRQ D PRUDO KD]DUG RU D FROOHFWLYH H[SHULHQFH 

H[SODQDWLRQ :H DSSO\ RXU HPSLULFDO DSSURDFKHV WR D XQLTXH SDQHO GDWD VHW IURP 6ZHGLVK 

ORFDO JRYHUQPHQWV RQ D YHU\ ODUJH QXPEHU RI EDLORXW HSLVRGHV 2XU ILQGLQJV VXSSRUW WKH 

YLHZ WKDW WKH SURYLVLRQ RI EDLORXWV KDV EHHQ VXE RSWLPDO :H DOVR ILQG HYLGHQFH WKDW WKH 

EDLORXW SUREOHP LV UHODWHG WR ERWK WKH DGYHUVH VHOHFWLRQ DQG WKH PRUDO KD]DUG H[SODQDWLRQ 

,QJULG 2WW 

8QLYHUVLW\ RI /XHQHEXUJ 

6(/),6+ *29(510(17 $1' *52:7+ 237,0$/ 38%/,& 32/,&< ,1 

7+( &$6( 2) &21*(67(' 38%/,& ,13876 

.H\ZRUGV FRQJHVWLRQ SULFLQJ RSWLPDO ILVFDO SROLF\ DQG SXEOLF FKRLFH 


7KLV SDSHU LQYHVWLJDWHV ZLWKLQ D JURZWK PRGHO KRZ D FRQJHVWHG JRYHUQPHQWDO LQSXW LV 

ILQDQFHG LI WKH JRYHUQPHQW PD[LPL]HV WKH DYDLODEOH EXGJHW ,Q D G\QDPLF PRGHO EXGJHW 

PD[LPL]DWLRQ PD\ EH LQWHUSUHWHG HLWKHU DV PD[LPL]LQJ WKH H[SHQGLWXUH UDWLR RU WKH EXGJHW 

LQ WKH ORQJ UXQ ,W LV SRVVLEOH WR IRUPXODWH D VHOILVK JRYHUQPHQW V XWLOLW\ IXQFWLRQ FRYHULQJ D 

ZHLJKWHG PL[WXUH RI ERWK JRDOV 7KH ILUVW EHVW RSWLPXP FRQVLVWLQJ RI RSWLPDO H[SHQGLWXUH 

UDWLR DQG JURZWK UDWH VHUYHV DV EHQFKPDUN WR DVVHVV WKH JRYHUQPHQWDO EHKDYLRU ,Q FDVH 

RI D SXUH ILQDQFLQJ RI WKH SXEOLF LQSXW E\ DQ LQFRPH WD[ WKH ZHOIDUH RSWLPXP RQO\ UHVXOWV 

XQGHU WKH YHU\ VSHFLILF DVXPSWLRQV RI D SURSRUWLRQDOO\ FRQJHVWHG LQSXW DQG D JRYHUQPHQW 

WKDW PD[LPL]HV WKH ORQJ UXQ EXGJHW 

$[HO *DXWLHU 

&(5(& )86/ DQG &25( 

&R $XWKRUV 0 0LWUD 

),1$1&,1* ,1)5$6758&785( 81'(5 %8'*(7 &21675$,17 

.H\ZRUGV $V\PPHWULF LQIRUPDWLRQ EXGJHW FRQVWUDLQW DQG 5HJXODWLRQ 

-(/ &ODVVLILFDWLRQ ' + DQG / 

,Q WKLV SDSHU ZH FRQVLGHU WKH SUREOHP RI ILQDQFLQJ LQIUDVWUXFWXUH ZKHQ WKH UHJXODWRU IDFHV 

D EXGJHW FRQVWUDLQW 7KH RSWLPDO EXGJHW FRQVWUDLQHG PHFKDQLVP VDWLVILHV IRXU SURSHUWLHV 

7KH ILUVW SURSHUW\ LV EXQFKLQJ DW WKH WRS WKDW LV WKH PRUH HIILFLHQW ILUPV SURGXFH WKH VDPH 

TXDQWLW\ 7KH VHFRQG SURSHUW\ LV VHOI VHOHFWLRQ IRU WKH OHVV HIILFLHQW ILUPV 7KH WKLUG 

SURSHUW\ LV WKDW WKH PHFKDQLVP LV D WKLUG EHVW RQH DV ORQJ DV WKH EXGJHW FRQVWUDLQW LV 

ELQGLQJ WKH RSWLPDO RXWSXW LV VWULFWO\ ORZHU WKDQ WKH VHFRQG EHVW RXWSXW IRU DQ\ JLYHQ W\SH 

)LQDOO\ LI WKH EXGJHW FRQVWUDLQW LV VWURQJ WKHQ ZH KDYH D IXOO EXQFKLQJ VROXWLRQ

2OLYHU /RU] 

8QLYHUVLW\ RI .LHO 

81(03/2

(9,'(1&( )520 3$1(/ '$7$ 

.H\ZRUGV EDQNLQJ UHJXODWLRQ FUHGLWRU SURWHFWLRQ ILQDQFLDO GHYHORSPHQW JURZWK DQG 

VKDUHKROGHU SURWHFWLRQ 


7KLV SDSHU LQYHVWLJDWHV WKH HIIHFWV WKDW HFRQRPLF UHJXODWLRQV KDYH RQ ILUP JURZWK 7KHUH 

LV VXEVWDQWLDO HYLGHQFH RI D SRVLWLYH UHODWLRQVKLS EHWZHHQ WKH OHYHO RI ILQDQFLDO 

GHYHORSPHQW DQG HFRQRPLF JURZWK /LWWOH LV NQRZQ DERXW WKH UROH SOD\HG E\ WKH OHJDO 

VWUXFWXUH DIIHFWLQJ ILUP GHFLVLRQ PDNLQJ RQ JURZWK :H DQDO\VH EDQNLQJ UHJXODWLRQ 

GLVFORVXUH UHTXLUHPHQWV FRPSDQ\ DQG EDQNUXSWF\ ODZV DFFRXQWDQF\ QRUPV DQG UXOHV 

DERXW PDUNHW FRPSHWLWLRQ :H ILQG HYLGHQFH WKDW WKH HIILFLHQF\ RI WKH OHJDO HQYLURQPHQW 

DIIHFWV VLJQLILFDQWO\ ILUP JURZWK :H ILQG WKDW FRPSUHKHQVLYH VKDUHKROGHU DQG FUHGLWRU 

SURWHFWLRQ DIIHFWV PRUH SRVLWLYHO\ WKRVH VHFWRUV ZKLFK DUH PRUH H[WHUQDOO\ ILQDQFHG 

KRZHYHU GLVFORVXUH UHTXLUHPHQWV KLQGHU WKH UHVXOWV RI WKRVH LQGXVWULDO VHFWRUV WKDW DUH 

PRUH H[WHUQDOO\ ILQDQFHG :H DOVR VKRZ WKDW LQVWLWXWLRQDO IUDPHZRUN LPSDFWV WKH LQIOXHQFH 

RI ILQDQFLDO GHYHORSPHQW RQ JURZWK 

*HRUJL\ 7URILPRY 

7KH ,QVWLWXWH IRU )LQDQFLDO 6WXGLHV 

5(*,0(6 2) *52:7+ $1' (&2120,& ,17(*5$7,21 

.H\ZRUGV HFRQRPLF LQWHJUDWLRQ DQG JURZWK 


7KH SDSHU DUJXHV WKDW GLIIHUHQW UHJLPHV RI JURZWK H[SHULHQFHG E\ ULFK DQG SRRU 

HFRQRPLHV FUHDWH EDUULHUV WR JOREDO HFRQRPLF LQWHJUDWLRQ WKURXJK WKH ZRUOG FDSLWDO PDUNHW 

7KH ODFN RI FDSLWDO IORZV IURP ULFK WR SRRU FRXQWULHV LV H[SODLQHG E\ KHWHURJHQHLW\ RI WKHVH 

FRXQWULHV LQ WHUPV RI WKH HQJLQH RI JURZWK 7KH SDWWHUQ RI LQWHJUDWLRQ LV GHWHUPLQHG IRU DQ 

RSHQ HFRQRP\ E\ LQLWLDO UDWLR RI NQRZOHGJH WR DVVHWV LI LW LV KLJK WKH HFRQRP\ LV ERRPLQJ 

RWKHUZLVH LW JURZV JUDGXDOO\ 7KLV LV DQ LPSOLFDWLRQ RI WKH FRPSDUDWLYH DGYDQWDJH SULQFLSOH 

D FDSLWDO VFDUFH FRXQWU\ DWWUDFWV QHZ LQYHVWPHQW DW WKH LQLWLDO VWDJH RI LQWHJUDWLRQ ZKLOH D 

FDSLWDO UHGXQGDQW FRXQWU\ H[SRUWV FDSLWDO DW WKLV VWDJH 

&DUOR 'HYLOODQRYD 

8QLYHUVLWj %RFFRQL 

&R $XWKRUV $ &DVDULFR 

&$3,7$/ 6.,// &203/(0(17$5,7< $1' 7+( 5(',675,%87,9( 

())(&76 2) 62&,$/ 6(&85,7< 5()250 

.H\ZRUGV FDSLWDO VNLOO FRPSOHPHQWDULW\ IXOO\ IXQGHG LQWHU DQG LQWUDJHQHUDWLRQDO 

UHGLVWULEXWLRQ DQG SD\ DV \RX JR 

-(/ &ODVVLILFDWLRQ + DQG - 

7KLV SDSHU DQDO\VHV WKH JHQHUDO HTXLOLEULXP LPSOLFDWLRQV RI UHIRUPLQJ SD\ DV \RX JR 

SHQVLRQ V\VWHPV LQ DQ HFRQRP\ ZLWK KHWHURJHQHRXV DJHQWV KXPDQ FDSLWDO LQYHVWPHQW 

DQG FDSLWDO VNLOO FRPSOHPHQWDULW\ ,W VKRZV WKDW LQFUHDVLQJ IXQGLQJ GHOLYHUV LQ WKH ORQJ UXQ 

KLJKHU SK\VLFDO DQG KXPDQ FDSLWDO DQG WKHUHIRUH KLJKHU RXWSXW EXW DOVR KLJKHU ZDJH DQG

LQFRPH LQHTXDOLW\ 7KH ODWWHU DIIHFWV SUHIHUHQFHV RYHU WKH GHJUHH RI UHGLVWULEXWLRQ RI WKH 

UHPDLQLQJ SD\ DV \RX JR FRPSRQHQW GHVSLWH WKH JUHDWHU UROH WKDW UHGLVWULEXWLRQ FRXOG 

SHUIRUP LQ WKH QHZ VWHDG\ VWDWH ZH ILQG D SUHIHUHQFH IRU ORZHU UHGLVWULEXWLRQ IRU D ODUJHU 

JURXS RI WKH SRSXODWLRQ 

$66(7 0$5.(76 (03,5,&$/ (9,'(1&( 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 6FKURHGHU 

-DQD 3 )LGUPXF 


&R $XWKRUV / 5HQQHERRJ 

$XJ 

5RRP ' 

,16,'(5 75$',1* $1' &25325$7( &21752/ (9,'(1&( )520 

7+( 8 . 

.H\ZRUGV FRUSRUDWH JRYHUQDQFH LQIRUPDWLRQ FRQWHQW LQVLGHU WUDGLQJ DQG PDUNHW UHDFWLRQ 

-(/ &ODVVLILFDWLRQ * * DQG * 

,Q D ZRUOG ZLWK DV\PPHWULF LQIRUPDWLRQ EHWZHHQ PDQDJHUV DQG RXWVLGHUV LQVLGHU 

WUDQVDFWLRQV DUH EHOLHYHG WR FRQYH\ QHZ LQIRUPDWLRQ DERXW IXWXUH SURVSHFWV RI ILUPV 7KLV 

SDSHU FRQWULEXWHV WR WKH H[LVWLQJ OLWHUDWXUH RQ LQVLGHU WUDGLQJ E\ H[SORULQJ WKH FRUSRUDWH 

FRQWURO GHWHUPLQDQWV RI WKH LQIRUPDWLRQ FRQWHQW RI GLUHFWRUV WUDQVDFWLRQV :H XVH D 

FRPSUHKHQVLYH GDWD VHW FRQWDLQLQJ DOO GLUHFWRUV GHDOLQJV LQ VWRFNV WUDGHG RQ WKH /6( RYHU 

7KH PDLQ UHVXOWV DUH WZRIROG )LUVW WKH LQIRUPDWLRQ FRQWHQW RI GLUHFWRUV SXUFKDVH 

WUDQVDFWLRQV VHHPV WR EH FRQVLGHUDEO\ KLJKHU WKDQ VDOHV WUDQVDFWLRQV 6HFRQG ZH VKRZ 

WKDW RZQHUVKLS VWUXFWXUH PDWWHUV IRU WKH PDUNHW UHDFWLRQ WR GLUHFWRUV GHDOLQJV LQVWLWXWLRQDO 

RZQHUVKLS UHLQIRUFHV WKH LQIRUPDWLRQ FRQWHQW RZQHUVKLS E\ DFWLYH PRQLWRUV FRUSRUDWLRQV 

DQG LQGLYLGXDOV DQG KLJKO\ FRQFHQWUDWHG LQVLGHU RZQHUVKLS ZHDNHQ WKH LQIRUPDWLRQ 

FRQWHQW RI GLUHFWRUV WUDQVDFWLRQV 

*DVWRQ *HORV 


&R $XWKRUV 6 :HL 

75$163$5(1&< $1' ,17(51$7,21$/ ,19(6725 %(+$9,25 

.H\ZRUGV HPHUJLQJ PDUNHWV ILQDQFLDO FULVHV LQWHUQDWLRQDO ILQDQFLDO DUFKLWHFWXUH SRUWIROLR 

LQYHVWPHQW DQG WUDQVSDUHQF\ 

-(/ &ODVVLILFDWLRQ ' ) * DQG * 

'RHV FRXQWU\ WUDQVSDUHQF\ DIIHFW LQWHUQDWLRQDO SRUWIROLR LQYHVWPHQW" :H H[DPLQH WKLV DQG 

UHODWHG TXHVWLRQV XVLQJ VRPH QHZ PHDVXUHV RI WUDQVSDUHQF\ DQG D XQLTXH PLFUR GDWDVHW 

RQ LQWHUQDWLRQDO SRUWIROLR KROGLQJV :H GLVWLQJXLVK EHWZHHQ JRYHUQPHQW DQG FRUSRUDWH 

WUDQVSDUHQF\ 7KHUH LV FOHDU HYLGHQFH WKDW LQWHUQDWLRQDO IXQGV LQYHVW V\VWHPDWLFDOO\ OHVV LQ 

OHVV WUDQVSDUHQW FRXQWULHV +HUGLQJ DPRQJ IXQGV WHQGV WR EH PRUH SUHYDOHQW LQ OHVV 

WUDQVSDUHQW FRXQWULHV 7KHUH LV DOVR VRPH HYLGHQFH WKDW GXULQJ FULVHV IXQGV IOHH QRQ 

WUDQVSDUHQW FRXQWULHV WR D JUHDWHU H[WHQW

7KLHUU\ .DPLRQND 

&156 DQG &5(67 

$6

&DWHJRU\ (($ 

&KDLUSHUVRQ < *DEXWK\ 

+HOPXW 5DLQHU 

'HSDUWPHQW RI (FRQRPLFV 8QLYHUVLW\ RI (VVH[ 

6+28/' :( :5,7( 35( 1837,$/ &2175$&76" 

.H\ZRUGV $VVHW 'LYLVLRQ ,QFRPSOHWH &RQWUDFWV 0DULWDO ,QYHVWPHQWV 1HJRWLDWLRQV DQG 

7HUPV RI 'LYRUFH 

-(/ &ODVVLILFDWLRQ ' - DQG . 

6KRXOG ZH UHSODFH OHJDO GHWHUPLQDWLRQ RI GLYRUFH VHWWOHPHQWV ZLWK PDUULDJH FRQWUDFWV WKDW 

VSHFLI\ WKH WHUPV RI SURSHUW\ GLYLVLRQ DIWHU D GLYRUFH" 7KLV SDSHU H[DPLQHV WKH LPSDFW RI 

PDULWDO SURSHUW\ ODZV RQ LQFHQWLYHV RI PDUULHG LQGLYLGXDOV WR LQYHVW LQ PDUULDJH VSHFLILF 

DVVHWV :H GHYHORS DQ XQGHUVWDQGLQJ DERXW WKH GHWULPHQWDO LQFHQWLYH HIIHFWV RI SURSHUW\ 

ODZ UHJLPHV FXUUHQWO\ GLVFXVVHG E\ SUDFWLWLRQHUV 7KH IDLOXUH RI WKHVH OHJDO UHJLPHV WR 

DGGUHVV DGHTXDWHO\ DQ LQWUDKRXVHKROG CCKROG XS SUREOHP VXJJHVWV WR XV WKDW LQHIILFLHQW 

LQYHVWPHQW GHFLVLRQV GHULYH IURP OHJDO UXOHV UHJXODWLQJ SURSHUW\ DQG WKXV YDOLGDWHV WKH 

QHFHVVLW\ RI SUH QXSWLDO FRQWUDFWV DV RUJDQL]DWLRQDO VDIHJXDUGV WR SURWHFW PDUULDJH VSHFLILF 

LQYHVWPHQWV 

cVD 5RVpQ 

62), 6WRFNKROP 8QLYHUVLW\ 

&R $XWKRUV ( 0RHQ 

(48,/,%5,80 ,1&(17,9( &2175$&76 

.H\ZRUGV &RQWUDFWV (IILFLHQF\ ,QFHQWLYHV DQG 8QHPSOR\PHQW 

-(/ &ODVVLILFDWLRQ ( - DQG - 

:H VWXG\ D ODERXU PDUNHW LQ ZKLFK ILUPV FDQ REVHUYH ZRUNHUV RXWSXW EXW QRW WKHLU HIIRUW 

DQG LQ ZKLFK D ZRUNHU V SURGXFWLYLW\ GHSHQGV RQ D ZRUNHU ILUP VSHFLILF FRPSRQHQW 

XQREVHUYDEOH IRU WKH ILUP )LUPV RIIHU ZDJH FRQWUDFWV WKDW RSWLPDOO\ WUDGH RII HIIRUW DQG 

ZDJH FRVWV $V D UHVXOW HPSOR\HG ZRUNHUV HQMR\ UHQWV ZKLFK LQ WXUQ FUHDWH 

XQHPSOR\PHQW :H VKRZ WKDW WKH LQFHQWLYH SRZHU RI WKH HTXLOLEULXP ZDJH FRQWUDFW LV 

FRQVWUDLQHG VRFLDOO\ HIILFLHQW LQ WKH DEVHQFH RI XQHPSOR\PHQW EHQHILWV :H WKHQ DSSO\ WKH 

PRGHO WR H[SODLQ WKH UHFHQW LQFUHDVH LQ SHUIRUPDQFH SD\ FRQWUDFWV :LWKLQ RXU PRGHO WKLV 

FDQ EH H[SODLQHG E\ WKUHH GLIIHUHQW IDFWRUV L LQFUHDVHG LPSRUWDQFH RI QRQ REVHUYDEOH 

HIIRUW LL D IDOO LQ WKH PDUJLQDO WD[ UDWH LLL D UHGXFWLRQ LQ WKH KHWHURJHQHLW\ RI ZRUNHUV 

SHUIRUPLQJ WKH VDPH WDVN 7KH OLNHO\ HIIHFW RI DOO WKUHH IDFWRUV LV DQ LQFUHDVHG HTXLOLEULXP 

XQHPSOR\PHQW UDWH 

3HGUR 5H\ %LHO 

8QLYHUVLW\ &ROOHJH /RQGRQ 

,1(48,7< $9(56,21 $1' 7($0 ,1&(17,9(6 

$XJ 

.H\ZRUGV LQHTXLW\ DYHUVLRQ RII HTXLOLEULXP UHZDUGV DQG WHDP LQFHQWLYHV

-(/ &ODVVLILFDWLRQ & ' ' - DQG / 

:H VWXG\ KRZ WKH RSWLPDO FRQWUDFW LQ WHDP SURGXFWLRQ LV DIIHFWHG ZKHQ HPSOR\HHV DUH 

DYHUVH WR LQHTXLW\ LQ WKH VHQVH GHVFULEHG E\ )HKU DQG 6FKPLGW %\ GHVLJQLQJ D 

UHZDUG VFKHPH WKDW FUHDWHV LQHTXLW\ RII WKH GHVLUHG HTXLOLEULXP WKH HPSOR\HU FDQ LQGXFH 

HPSOR\HHV WR SHUIRUP HIIRUW DW D ORZHU WRWDO ZDJH FRVW WKDQ ZKHQ WKH\ DUH QRW LQHTXLW\ 

DYHUVH :H DOVR VKRZ WKDW WKH RSWLPDO RXWSXW FKRLFH PLJKW FKDQJH ZKHQ HPSOR\HHV DUH 

LQHTXLW\ DYHUVH )LQDOO\ ZH VKRZ WKDW DQ HPSOR\HU FDQ JDLQ DQG QHYHU ORVH E\ GHVLJQLQJ 

D FRQWUDFW WKDW DFFRXQWV IRU LQHTXLW\ DYHUVLRQ HYHQ LI HPSOR\HHV KDYH VWDQGDUG 

SUHIHUHQFHV 

FRPSDULVRQ EHWZHHQ D PXOWLFXOWXUDO DQG D CCPHOWLQJ SRW VRFLHW\ 7KH VHFRQG RQH 

LQWURGXFHV SRSXODWLRQ JURZWK DQG VWXGLHV WKH LQWHUSOD\ EHWZHHQ H[RJHQRXV DQG 

HQGRJHQRXV FKDQJHV LQ WKH PLQRULW\ V VL]H 

*HLU % $VKHLP 

'HSDUWPHQW RI (FRQRPLFV 8QLYHUVLW\ RI 2VOR 

*5((1 1$7,21$/ $&&2817,1* :,7+ $ &+$1*,1* 3238/$7,21 

.H\ZRUGV '\QDPLF ZHOIDUH 1DWLRQDO DFFRXQWLQJ 3RSXODWLRQ DQG 6XVWDLQDELOLW\ 

-(/ &ODVVLILFDWLRQ ' ' 2 DQG 4 

7KLV SDSHU FRQVLGHUV JUHHQ QDWLRQDO DFFRXQWLQJ ZKHQ SRSXODWLRQ LV FKDQJLQJ DQG 

LQVWDQWDQHRXV ZHOO EHLQJ GHSHQGV QRW RQO\ RQ SHU FDSLWD FRQVXPSWLRQ EXW DOVR SRSXODWLRQ 

VL]H ,W LV VKRZQ WKDW ZHOIDUH LPSURYHPHQW LV LQGLFDWHG E\ DQ H[SDQGHG CCJHQXLQH VDYLQJV 

LQGLFDWRU ZKLFK DOVR LQFOXGHV WKH WRWDO YDOXH RI SRSXODWLRQ JURZWK RU E\ DQ H[SDQGHG 

PHDVXUH RI UHDO 113 JURZWK WKHUHE\ RIIHULQJ D JHQHUDOL]DWLRQ DQG H[WHQVLRQ RI $UURZ HW 

DO (FRQRPLF 7KHRU\ 3UDFWLFDO ZD\V RI DSSUR[LPDWLQJ WKHVH 

PHDVXUHG DUH GLVFXVVHG 7KH UHVXOW DUH FRPSDUHG WR WKRVH DULVLQJ ZKHQ LQVWDQWDQHRXV 

ZHOO EHLQJ GHSHQGV RQO\ RQ SHU FDSLWD FRQVXPSWLRQ DQG QRW RQ SRSXODWLRQ VL]H 

9RONHU 0HLHU 

&(6LIR 0XQLFK 

&R $XWKRUV 5 )HQJH 

3(16,216 $1' )(57,/,7< ,1&(17,9(6 

.H\ZRUGV ([WHUQDOLWLHV )HUWLOLW\ 3D\ DV \RX JR DQG 3XEOLF SHQVLRQV 

-(/ &ODVVLILFDWLRQ + + - DQG - 

7KLV SDSHU GLVFXVVHV WKH HIILFLHQF\ RI D SD\ DV \RX JR SHQVLRQ UHIRUP E\ LQWURGXFLQJ D 

FKLOG EHQHILW LQ DQ HQGRJHQRXV IHUWLOLW\ VHWWLQJ ,Q WKH PRGHO RI D VPDOO RSHQ HFRQRP\ 

KLJKHU IHUWLOLW\ LV DVVRFLDWHG ZLWK D UHGXFWLRQ RI OLIHWLPH ODERU VXSSO\ 7KH RSWLPXP VKDUH RI 

IHUWLOLW\ UHODWHG SHQVLRQV LV DOZD\V EHORZ XQLW\ EXW JHQHUDOO\ SRVLWLYH 7KH IRUPHU LV WUXH 

VLQFH LQGLYLGXDOV GR QRW WDNH LQWR DFFRXQW WKH LPSDFW RI WKHLU ODERU VXSSO\ FKRLFH RQ WKH 

SDUHQW JHQHUDWLRQ ,W LV GHPRQVWUDWHG WKDW FKLOG DOORZDQFHV DUH HTXLYDOHQW WR IHUWLOLW\ 

UHODWHG SHQVLRQV DV LQVWUXPHQWV WR DFKLHYH DQ HIILFLHQW DOORFDWLRQ 

7KRPDV /LQGK 

8SSVDOD XQLYHUVLW\ 

&R $XWKRUV % 0DOPEHUJ 

'(02*5$3+< $1' +286,1* '(0$1' ± :+$7 &$1 :( /($51 

)520 5(6,'(17,$/ &216758&7,21 '$7$" 

.H\ZRUGV DJH HIIHFWV KRXVLQJ GHPDQG DQG UHVLGHQWLDO FRQVWUXFWXWLRQ 

-(/ &ODVVLILFDWLRQ 5 5 DQG 5

,Q WKLV SDSHU WKH UHODWLRQ EHWZHHQ UHVLGHQWLDO FRQVWUXFWLRQ DQG SRSXODWLRQ DJH VWUXFWXUH LV 

DQDO\]HG XVLQJ 6ZHGLVK WLPH VHULHV DQG 2(&' SDQHO GDWD $V H[SHFWHG ODUJH JURXSV RI 

\RXQJ DGXOWV DUH DVVRFLDWHG ZLWK KLJKHU UDWHV RI UHVLGHQWLDO FRQVWUXFWLRQ 7KHUH LV DOVR D 

VLJQLILFDQW QHJDWLYH HIIHFW IURP WKH DJH JURXSV DERYH 6WURQJO\ LQFUHDVLQJ PRUWDOLW\ 

UDWHV DW ROG DJHV IRUPV DQ LPSRUWDQW SDUW RI WKH H[SODQDWLRQ $JH HIIHFWV RQ UHVLGHQWLDO 

LQYHVWPHQW DUH FRQVLGHUDEO\ PRUH UREXVW WKDQ WKH FRUUHVSRQGLQJ KRXVH SULFH UHVXOWV ,Q 

YLHZ RI UDSLGO\ DJLQJ SRSXODWLRQV LQ WKH LQGXVWULDOL]HG ZRUOG WKH IXWXUH ORRNV EOHDN IRU WKH 

FRQVWUXFWLRQ LQGXVWU\ RI WKHVH FRXQWULHV 

'(9(/230(17 0,&52(&2120,&6 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ 7DUR]]L 

7LOPDQ %U FN 

*HUPDQ ,QVWLWXWH IRU (FRQRPLF 5HVHDUFK ',: %HUOLQ 

$XJ 

5RRP ' 

+286(+2/' &23,1* &+2,&(6 $1' 7+( '(7(50,1$176 2) 

,1&20( $1' &2168037,21 ,1 3267 :$5 585$/ 02=$0%,48( 

.H\ZRUGV FRSLQJ VWUDWHJLHV GHWHUPLQDQWV RI SRYHUW\ UHFRQVWUXFWLRQ UXUDO GHYHORSPHQW 

DQG ZDU 

-(/ &ODVVLILFDWLRQ , 2 DQG 4 

7KH SDSHU DQDO\VHV WKH HQGRJHQRXV GHWHUPLQDQWV RI SRYHUW\ LQ SRVW ZDU 0R]DPELTXH 

7KH DQDO\VLV H[WHQGV WKH %LQVZDQJHU DQG 0F,QWLUH IDUP KRXVHKROG PRGHO WR WKH 

SRVW ZDU HFRQRP\ LGHQWLI\LQJ KRZ ZDU FKDQJHV KRXVHKROG HQGRZPHQWV FRSLQJ 

VWUDWHJLHV DQG ZHOIDUH 7KH HFRQRPHWULF DQDO\VLV XVLQJ ,9 WHFKQLTXHV RQ D IDUP 

KRXVHKROG GDWDVHW LGHQWLILHV ZDU WR EH D VWURQJ EXW LQGLUHFW FDXVH RI SRVW ZDU SRYHUW\ 

WUDSV &RQWUDU\ WR SUHYLRXV VWXGLHV VXIIHULQJ IURP PLVVSHFLILFDWLRQ HUURU E\ LJQRULQJ WKH 

ZDU HIIHFWV DUHD IDUPHG DQG PDUNHW SDUWLFLSDWLRQ UHGXFH SRYHUW\ ZKLOH FRWWRQ DGRSWLRQ 

LQFUHDVHV SRYHUW\ 3ROLF\ LPSOLFDWLRQV LQFOXGH IRFXVLQJ UHFRQVWUXFWLRQ DLG RQ IRRG FURS 

LQSXWV DQG PDUNHWV 

6DQGUD )UHLUH 

7($0 &156 8QLYHUVLW\ RI 3DULV 

,03$&7 2) +,9 $,'6 21 6$9,1* %(+$9,285 ,1 6287+ $)5,&$ 

.H\ZRUGV +,9 $,'6 KRXVHKROG LPSDFW OLIH F\FOH VDYLQJV DQG 6RXWK $IULFD 

-(/ &ODVVLILFDWLRQ , 2 DQG 2 

7KH DQDO\VLV RI WKH LPSDFW RI +,9 $,'6 RQ VDYLQJV WDNHV LQWR DFFRXQW GLUHFW FRVWV VXFK DV 

KHDOWK H[SHQGLWXUHV VHOGRP LQGLUHFW FRVWV OLNH WKH DQWLFLSDWLRQ RI IXQHUDO FRVWV DQG WKH\ GR 

QRW PRGHO GLIIHUHG LQGLUHFW FRVWV 7KH SDSHU SURSRVHV WR DQDO\VH WKLV ODVW FODVV RI FRVWV 

WKURXJK WKH LPSDFW RI WKH HSLGHPLF RQ WKH VDYLQJ EHKDYLRXU 

7KH SDSHU IRFXVHV RQ WKH XQFHUWDLQW\ RI WKH OLIH H[SHFWDQF\ DQG LV EDVHG RQ *DOL 

IUDPHZRUN 7KH VLPXODWLRQV RI RXU PRGHO UHYHDO D VLJQLILFDQW GURS LQ WKH IXWXUH VDYLQJ UDWH 

LQ 6RXWK $IULFD LI QR QDWLRQDO SROLF\ LV GHYHORSHG 'LIIHUHQW VWUDWHJLHV DJDLQVW +,9 $,'6 

PRGHUDWH WKH FXW LQ WKH OLIHWLPH EXW GR QRW FRPSHQVDWH IRU WKH \HDUV ORVW 7KHUHIRUH

LJQRULQJ WKLV LPSDFW DQG PRUH JHQHUDOO\ WKH GLIIHUHG FRVWV FRXOG OHDG WR DQ 

XQGHUHVWLPDWLRQ RI WKH LPSOLFDWLRQV RI WKH YLUXV 

(PDQXHOD *DODVVR 

7KH :RUOG %DQN 

&R $XWKRUV 0 5DYDOOLRQ 

:+$7 &$1 (; 3$57,&,3$176 5(9($/ $%287 $ 352*5$06 

,03$&7" 

.H\ZRUGV $UJHQWLQD GRXEOH GLIIHUHQFH SURSHQVLW\ VFRUH PDWFKLQJ DQG ZRUNIDUH 

-(/ &ODVVLILFDWLRQ + DQG , 

:H SURSRVH D PHWKRG IRU HVWLPDWLQJ WKH PHDQ LPSDFW RI DQ DVVLJQHG VRFLDO SURJUDP 

ZKHQ LW LV QRW IHDVLEOH WR GR D SUH LQWHUYHQWLRQ EDVHOLQH VXUYH\ EXW LW LV IHDVLEOH WR WUDFN H[ 

SDUWLFLSDQWV ,Q RXU ³GRXEOH PDWFKHG WULSOH GLIIHUHQFH´ HVWLPDWRU PHDVXUHG RXWFRPH 

FKDQJHV DUH FRPSDUHG EHWZHHQ FRQWLQXLQJ SDUWLFLSDQWV DQG PDWFKHG H[ SDUWLFLSDQWV DIWHU 

QHWWLQJ RXW WKH RXWFRPH FKDQJHV IRU D PDWFKHG FRPSDULVRQ JURXS ZKR QHYHU SDUWLFLSDWHG 

:LWK VXIILFLHQW IROORZ XS REVHUYDWLRQV RQH FDQ WHVW WKH MRLQW FRQGLWLRQV UHTXLUHG IRU 

FRUUHFWO\ LGHQWLI\LQJ WKH JDLQV WR FXUUHQW SDUWLFLSDQWV :H DSSO\ WKH PHWKRG WR D ZRUNIDUH 

SURJUDP LQ $UJHQWLQD 6LJQLILFDQW LPSDFWV RQ SDUWLFLSDQWV FXUUHQW LQFRPHV DUH UHYHDOHG 

$OHVVDQGUR 7DUR]]L 

'XNH 8QLYHUVLW\ 

7+( ,1',$1 38%/,& ',675,%87,21 6

+DUYDUG 8QLYHUVLW\ 'HSW RI (FRQRPLFV DQG +DUYDUG %XVLQHVV 6FKRRO 

&R $XWKRUV 0 &RVWD *RPHV 

67$7(' %(/,()6 $1' 3/$< ,1 1250$/ )250 *$0(6 

.H\ZRUGV EHOLHIV H[SHULPHQWDO HFRQRPLFV DQG QRUPDO IRUP JDPHV 


:H UHSRUW H[SHULPHQWV WKDW HOLFLW VXEMHFWV LQLWLDO UHVSRQVHV WR WZR SHUVRQ QRUPDO IRUP 

JDPHV 6XEMHFWV SOD\HG D VHW RI QRUPDO IRUP JDPHV DQG ZHUH DVNHG WR VWDWH WKHLU EHOLHIV 

DERXW WKHLU RSSRQHQWV DFWLRQV ,Q VHYHUDO WUHDWPHQWV WKH RUGHU RI WKHVH WDVNV ZDV YDULHG 

7KH GDWD DUH XVHG WR H[DPLQH WKH FRQVLVWHQF\ RI VWDWHG EHOLHIV DQG REVHUYHG DFWLRQV DQG 

WKH HIIHFWV WKDW DVNLQJ IRU VXFK EHOLHI VWDWHPHQWV PD\ KDYH RQ VXEVHTXHQW DFWLRQV 

7KH VHWV RI UHVSRQVHV LQ WKH WZR WDVNV DUH LQFRQVLVWHQW LQ PRVW JDPHV 5DWKHU ZH ILQG 

HYLGHQFH WKDW WKH XQGHUO\LQJ EHOLHIV WKDW FRUUHVSRQG WR VXEMHFWV DFWLRQV DQG VXEMHFWV 

VWDWHG ILUVW RUGHU EHOLHIV VWHP IURP GLIIHUHQW UHDVRQLQJ SURFHVVHV (IIHFWV RI WKH EHOLHI 

HOLFLWDWLRQ SURFHGXUH RQ VXEVHTXHQW DFWLRQV DUH PRVWO\ LQVLJQLILFDQW 

.U|JHU 6DELQH 


&R $XWKRUV % &KDUOHV 

21 5(35(6(17$7,9( 75867 

.H\ZRUGV ([SHULPHQWDO HFRQRPLFV 6RFLDO FDSLWDO DQG 7UXVW 

-(/ &ODVVLILFDWLRQ & DQG = 

/DERUDWRU\ H[SHULPHQWV DQG VXUYH\ GDWD DQDO\VLV DUH WKH WZR PRVW ZLGHO\ XVHG 

DSSURDFKHV WDNHQ WR PHDVXUH DYHUDJH WUXVW SURSHQVLW\ LQ D VRFLHW\ 

/DERUDWRU\ H[SHULPHQWV PHDVXUH UHYHDOHG WUXVW EHKDYLRU ZLWK KRPRJHQRXV VWXGHQW 

VXEMHFWV 

ODFNLQJ YDULDWLRQ LQ EDFNJURXQG FKDUDFWHULVWLFV 6XUYH\ GDWD REVHUYH 

UHVSRQVHV IURP DQ KHWHURJHQRXV VDPSOH RI D SRSXODWLRQ DW WKH H[SHQVH RI 

PHDVXULQJ VWDWHG SUHIHUHQFHV 2QH ZRXOG OLNH WR KDYH D 

PHDVXUH RI WUXVW EDVHG RQ UHYHDOHG SUHIHUHQFHV IURP D UDQGRP VDPSOH 

RI D SRSXODWLRQ 7KLV SDSHU SUHVHQWV UHVXOWV IURP DQ H[SHULPHQW 

FRQGXFWHG RQ D UDQGRP VDPSOH RI WKH 'XWFK SRSXODWLRQ 7KLV DOORZV WR 

LQYHVWLJDWH WKH ELDV UHODWHG WR XVLQJ VWXGHQW VXEMHFWV LQ WUXVW H[SHULPHQWV DQG WR 

WHVW IRU SRVVLEOH SDUWLFLSDWLRQ VHOI VHOHFWLRQ ELDVHV 7KLUGO\ ZH LQYHVWLJDWH WKH UREXVWQHVV 

RI WKH 

HIIHFWV RI EDFNJURXQG FKDUDFWHULVWLFV WR WKH FKRLFH RI SUR[\ YDULDEOH IRU 

VRFLDO FDSLWDO )LQDOO\ LW DOORZV WR LQYHVWLJDWH WKH ELDVHV DWWULEXWHG WR 

VWDWHG VXUYH\ EDVHG PHDVXUHV RI WUXVW 

$QNH *HUEHU 


&R $XWKRUV 7 +HQV DQG % 9RJW

5$7,21$/ ,19(6725 6(17,0(17 

.H\ZRUGV EHKDYLRUDO ILQDQFH ([SHULPHQWDO $VVHW 0DUNHWV DQG LQYHVWRU VHQWLPHQW 


:H H[SODLQ H[FHVV YRODWLOLW\ VKRUW WHUP PRPHQWXP DQG 

ORQJ WHUP UHYHUVDO RI DVVHW SULFHV E\ D UHSHDWHG JDPH YHUVLRQ RI 

.H\QHV EHDXW\ FRQWHVW ,Q HYHU\ SHULRG WKH SOD\HUV FDQ HLWKHU 

SODFH D EX\ RU VHOO RUGHU RQ WKH DVVHW PDUNHW 7KH DFWXDO SULFH 

PRYHPHQW LV GHWHUPLQHG E\ DYHUDJH PDUNHW RUGHUV DQG QRLVH ,W LV 

FRPPRQ NQRZOHGJH WKDW WKH QRLVH SURFHVV LV DQ H[RJHQRXV UDQGRP 

ZDON 2XU PRGHO H[SODLQV VKRUW WHUP PRPHQWXP DQG ORQJ WHUP 

UHYHUVDO RI VWRFN SULFHV E\ XQSUHGLFWDEOH VZLWFKHV LQ WKH 

FRRUGLQDWLRQ RI WKH SOD\HUV :KHQ WKH SOD\HUV DUH FRRUGLQDWHG RQ 

EX\LQJ VHOOLQJ ZH VD\ WKH PDUNHW LV LQ WKH XS GRZQ PRRG ,Q 

WKLV PRGHO FKDQJLQJ LQYHVWRU VHQWLPHQW LV D UDWLRQDO VWUDWHJ\ DV 

LW OHDGV WR D 1DVK HTXLOLEULXP 

RI WKH FRRUGLQDWLRQ JDPH :H JLYH H[SHULPHQWDO HYLGHQFH LQ VXSSRUW RI 

RXU FODLPV 

&ODXGH 0HLGLQJHU 

7($0 8QLYHUVLW\ 3DULV , 3DQWKHRQ 6RUERQQH 

&R $XWKRUV $ 7HUUDFRO 

/($51,1* ,1 7+( 75867 *$0( 620( (;3(5,0(17$/ 5(68/76 

.H\ZRUGV H[SHULPHQWV JDPH DQG OHDUQLQJ 


7KLV SDSHU LQYHVWLJDWHV WKH DELOLW\ RI OHDUQLQJ PRGHOV WR DFFRXQW IRU REVHUYHG EHKDYLRU LQ D 

UHSHDWHG 7UXVW *DPH H[SHULPHQW ,Q VXFK D JDPH ILUVW SOD\HUV KDYH GLIIHUHQW UROHV DQG 

WKHUHIRUH DUH OLNHO\ WR OHDUQ LQ GLIIHUHQW ZD\V $QG VHFRQG FRRUGLQDWLRQ RI SOD\HUV RQ 

PXWXDO EHQHILFLDO SOD\V LV OLNHO\ WR EH UHDOL]HG WKURXJK WKH XVH RI D UHFLSURFDWLRQ VWDUWHJ\ 

%\ ORRNLQJ DW WKH DELOLW\ RI GLIIHUHQW OHDUQLQJ PRGHOV WR WUDFN REVHUYHG EHKDYLRU LW ZLOO EH 

VKRZQ WKDW H[SHULPHQWDO HYLGHQFH FDQ EH H[SODLQ E\ GLIIHUHQW OHDUQLQJ EHKDYLRUV IRU WKH 

WZR W\SHV RI SOD\HUV DQG WKH XVH RI D UHFLSURFDWLRQ VWUDWHJ\ 

/$%285 0$5.(76 ,167,787,216 $1' 

3(5)250$1&( 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 %HEOR 

*ZHQDsO 3LDVHU 


/$%25 02%,/,7< $1' ,1&20( 7$; &203(7,7,21 

.H\ZRUGV )LVFDO &RPSHWLWLRQ /DERU 0RELOLW\ DQG 2SWLPDO 7D[DWLRQ 

$XJ 

5RRP '


7KLV SDSHU SURYLGHV D PRGHO RI QRQOLQHDU LQFRPH WD[DWLRQ LQ D FRQWH[W RI LQWHUQDWLRQDO 

PRELOLW\ :H FRQVLGHU WZR LGHQWLFDO FRXQWULHV LQ ZKLFK HDFK JRYHUQPHQW FKRRVHV 

QRQFRRSHUDWLYHO\ UHGLVWULEXWLYH WD[HV ,W LV VKRZQ WKDW ZKHQ VNLOOHG ZRUNHUV FDQ PRYH DW 

ORZ FRVW WKH LQFRPH WD[DWLRQ GRHV QRW LQYROYH GLVWRUWLRQV :KHQ WKH FRVW WR PRYH 

EHFRPHV KLJK IRU VNLOOHG ZRUNHUV WD[DWLRQ SROLF\ LV OHVV UHGLVWULEXWLYH EXW TXDOLWDWLYHO\ 

VLPLODU WR WKH WD[DWLRQ SROLF\ LQ DXWDUN\ 0RUHRYHU WKH PRELOLW\ RI WKH XQVNLOOHG ZRUNHUV 

GRHV QRW DIIHFW WKH LQFRPH WD[DWLRQ ZKHQ ERWK FRXQWULHV KDYH 5DZOVLDQ REMHFWLYHV 

*5(*25< -2/,9(7 

&5(67 /0, 

&R $XWKRUV 3 &DKXF 

'2 :( 1((' 025( 675,1*(5 (03/2

0LULDP %HEOR 

=HQWUXP I U (XURSlLVFKH :LUWVFKDIWVIRUVFKXQJ 

&R $XWKRUV - 5REOHGR 

*(1'(5 :25. $1' /(,685( 

.H\ZRUGV 3ULYDWH 3URYLVLRQ RI 3XEOLF *RRGV DQG 7LPH $OORFDWLRQ 

-(/ &ODVVLILFDWLRQ + - DQG - 

(PSLULFDO UHVHDUFK KDV FRQVLVWHQO\ VKRZQ 

WKDW RQ DYHUDJH PHQ DUH SDLG KLJKHU ZDJHV 

WKDQ ZRPHQ ZKLOH HQMR\LQJ PRUH OHLVXUH WLPH 

:H GHYHORS D PRGHO RI SULYDWH SURYLVLRQ RI 

IDPLO\ SXEOLF JRRGV ZKHUH WKH OHLVXUH JDS 

DQG WKH ZDJH JDS IRUP D VWDEOH HTXLOLEULXP 

RI JHQGHU LQHTXDOLW\ ,Q WKLV VHWWLQJ 

PHQ HQMR\ PRUH OHLVXUH WKDQ WKHLU ZLYHV HYHQ 

ZLWK HTXDO ZDJHV :LWK ODUJHU ZDJH GLIIHUHQWLDOV 

WKH OHLVXUH JDS GLPLQLVKHV :LWK GDWD IURP WKH 

*HUPDQ 6RFLR (FRQRPLF 3DQHO ZH HVWLPDWH 

WKH GLIIHUHQFH LQ GLVSRVDEOH WLPH RI 

KXVEDQG DQG ZLIH 2XU UDQGRP HIIHFWV 

HVWLPDWHV VXSSRUW WKH WKHRUHWLFDOO\ GHULYHG 

OLQN EHWZHHQ WKH OHLVXUH JDS DQG WKH ZDJH JDS 

EHWZHHQ VSRXVHV 

75$'( $1' */2%$/,=$7,21 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 .RUHQ 

3DXO 6HJHUVWURP 

6WRFNKROP 6FKRRO RI (FRQRPLFV 

&R $XWKRUV ( 'LQRSRXORV 

$XJ 

$ 7+(25< 2) 1257+ 6287+ 75$'( $1' */2%$/,=$7,21 

.H\ZRUGV (FRQRPLF *URZWK DQG 1RUWK 6RXWK 7UDGH 

-(/ &ODVVLILFDWLRQ ) ) 2 2 DQG 2 

5RRP % 

7KLV SDSHU GHYHORSV D G\QDPLF JHQHUDO HTXLOLEULXP PRGHO RI 1RUWK 6RXWK WUDGH ZLWK VFDOH 

LQYDULDQW JURZWK 

1RUWKHUQ ILUPV GHYRWH UHVRXUFHV WR LQQRYDWLYH 5 ' WR GLVFRYHU KLJKHU TXDOLW\ SURGXFWV DQG 

6RXWKHUQ ILUPV GHYRWH UHVRXUFHV WR 

LPLWDWLYH 5 ' WR FRS\ VWDWH RI WKH DUW TXDOLW\ 1RUWKHUQ SURGXFWV %RWK LQQRYDWLRQ DQG 

LPLWDWLRQ UDWHV DUH HQGRJHQRXVO\ 

GHWHUPLQHG DV ZHOO DV WKH GHJUHH RI ZDJH LQHTXDOLW\ EHWZHHQ 1RUWKHUQ DQG 6RXWKHUQ 

ZRUNHUV 7KH VWHDG\ VWDWH 

HIIHFWV RI JOREDOL]DWLRQ VWURQJHU SURWHFWLRQ RI LQWHOOHFWXDO SURSHUW\ DQG KLJKHU 5? ' 

VXEVLGLHV DUH DQDO\]HG ,W LV VKRZQ WKDW 

JOREDOL]DWLRQ OHDGV WR PRUH FRS\LQJ RI 1RUWKHUQ SURGXFWV IDVWHU WHFKQRORJLFDO FKDQJH DQG 

OHVV ZDJH

LQHTXDOLW\ EHWZHHQ 1RUWKHUQ DQG 6RXWKHUQ ZRUNHUV 

$ODQ :RRGODQG 

8QLYHUVLW\ RI 6\GQH\ 

&R $XWKRUV 0 0HODWRV 

3$5(72 237,0$/ '(/(*$7,21 ,1 &867206 81,216 

.H\ZRUGV &XVWRPV 8QLRQV 'HOHJDWLRQ 3DUHWR 2SWLPDOLW\ DQG 7DULIIV 

-(/ &ODVVLILFDWLRQ ) DQG ) 

$ PRGHO RI FXVWRPV XQLRQ IRUPDWLRQ LV GHYHORSHG LQ ZKLFK WKH 3DUHWR SULQFLSOH DQG 

DVVXPSWLRQ RI XQDQLPLW\ DUH XVHG WR FRQVWUXFW D PHFKDQLVP IRU WKH FKRLFH RI FRPPRQ 

H[WHUQDO WDULIIV 7KH PRGHO LV VWUXFWXUHG DV D WKUHH VWDJH JDPH LQ ZKLFK XQLRQ PHPEHUV 

VHOHFW FRPPRQ H[WHUQDO WDULIIV \LHOGLQJ XWLOLW\ RXWFRPHV WKDW DUH 3DUHWR RSWLPDO 1XPHULFDO 

H[DPSOHV GHPRQVWUDWH WKH ZLGH UDQJH LQ WKH QDWXUH RI WKHVH RXWFRPHV 2XU UHVXOWV DUH 

GLVFXVVHG LQ UHODWLRQ WR WKH GHOHJDWLRQ SULQFLSOH RI *DWVLRV DQG .DUS DQG WR PRGHOLQJ 

DSSURDFKHV UHSRUWHG LQ WKH FXVWRPV XQLRQV OLWHUDWXUH 7KH SDSHU HPSKDVL]HV WKH 

LPSRUWDQFH RI PRGHOLQJ WKH FXVWRPV XQLRQ DJUHHPHQW 

0DULR /DUFK 

8QLYHUVLW\ ,QQVEUXFN 

&R $XWKRUV 3 (JJHU DQG 0 3IDIIHUPD\U 

21 7+( :(/)$5( ())(&76 2) 75$'( $1' ,19(670(17 

/,%(5$/,=$7,21 

.H\ZRUGV ,QYHVWPHQW /LEHUDOL]DWLRQ 0XOWLQDWLRQDOV 7UDGH /LEHUDOL]DWLRQ DQG :HOIDUH 

(IIHFWV 


8VLQJ D NQRZOHGJH FDSLWDO PRGHO RI WUDGH DQG PXOWLQDWLRQDO DFWLYLW\ ZH FRQVLGHU D VHW RI 

SROLF\ H[SHULPHQWV WR DVVHVV WKH ZHOIDUH HIIHFWV RI WUDGH DQG LQYHVWPHQW OLEHUDOL]DWLRQ 

LQ JHQHUDO HTXLOLEULXP 6SHFLILFDOO\ ZH DGGUHVV WKH TXHVWLRQ RI ZKHWKHU DQG XQGHU ZKLFK 

FLUFXPVWDQFHV D VLQJOH YHUVXV D FRPELQHG WUDGH LQYHVWPHQW OLEHUDOL]DWLRQ VWUDWHJ\ RU DQ 

XQLODWHUDO YHUVXV D ELODWHUDO SROLF\ FKDQJH LV SUHIHUDEOH IURP D VLQJOH FRXQWU\ V DQG WKH 

ZRUOG V SRLQW RI YLHZ $GGLWLRQDOO\ ZH LQYHVWLJDWH WKH UROH RI DV\PPHWULF YHUVXV V\PPHWULF 

SROLFLHV LQ WKH SUH OLEHUDOL]DWLRQ 

FDVH 7KH PDLQ IRFXV RI WKLV SDSHU LV WR ORRN DW WKH LPSRUWDQFH RI ERWK FRXQWU\ 

FKDUDFWHULVWLFV DQG SODQW FRQILJXUDWLRQV IRU WKH H[SHFWHG ZHOIDUH HIIHFWV RI WUDGH DQG 

LQYHVWPHQW OLEHUDOL]DWLRQ 

0LNOyV .RUHQ 


),1$1&,$/ */2%$/,=$7,21 $1' 7+( 3$77(51 2) 

,17(51$7,21$/ 75$'( $1 ,1&203/(7( 0$5.(76 $3352$&+

.H\ZRUGV ILQDQFLDO JOREDOL]DWLRQ LQFRPSOHWH PDUNHWV SRUWIROLR FKRLFH WUDGH VWUXFWXUH DQG 

WUDGH YROXPH 

-(/ &ODVVLILFDWLRQ ) ) * DQG * 

7KH SDSHU SURYLGHV D JHQHUDO HTXLOLEULXP PRGHO WR VKRZ KRZ WKH LQFRPSOHWHQHVV RI 

LQWHUQDWLRQDO ILQDQFLDO PDUNHWV OHDGV WR 

LQVXIILFLHQW LQGXVWULDO VSHFLDOL]DWLRQ DQG D GHSUHVVHG YROXPH RI JRRGV WUDGH $V 

LQWHUQDWLRQDO SRUWIROLR GLYHUVLILFDWLRQ LV OLPLWHG DQG SURGXFWLYLW\ LV XQFHUWDLQ LQYHVWRUV ZLVK 

WR PDLQWDLQ D GLYHUVLILHG LQGXVWULDO VWUXFWXUH 7KXV FRXQWULHV ZLOO QRW VSHFLDOL]H DFFRUGLQJ WR 

WKHLU FRPSDUDWLYH DGYDQWDJH )LQDQFLDO 

JOREDOL]DWLRQ PRGHOOHG DV DQ LQFUHDVH LQ WKH QXPEHU RI DVVHWV WKDW FDQ EH WUDGHG 

LQWHUQDWLRQDOO\ WKHQ LQGXFHV PRUH VSHFLDOL]DWLRQ DQG PRUH WUDGH 7KH SUHVHQW IUDPHZRUN 

\LHOGV H[SOLFLW FORVHG IRUP VROXWLRQV IRU WKH SDWWHUQ RI VSHFLDOL]DWLRQ DQG WKH YROXPH RI 

WUDGH 7HVWDEOH LPSOLFDWLRQV IROORZ 

35()(5(1&(6 ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ / =RX 

-XOLDQ -DPLVRQ 

0('6 1RUWKZHVWHUQ 8QLYHUVLW\ 

&R $XWKRUV ' -DPLVRQ 

',6&2817,1* 

.H\ZRUGV DJJUHJDWLRQ FRVW EHQHILW DQG GLVFRXQW UDWHV 

-(/ &ODVVLILFDWLRQ ' + DQG , 

$XJ 

5RRP ( 

:H SURSRVH VHYHUDO DWWULEXWHV WR PHDVXUH YDULRXV FKDUDFWHULVWLFV RI GLVFRXQWLQJ 

SURFHGXUHV DPRXQW RI GLVFRXQWLQJ L H KRZ PXFK WKH IXWXUH LV GLVFRXQWHG DZD\ VSHHG 

RI GLVFRXQWLQJ L H KRZ TXLFNO\ WKH WRWDO SUHVHQW YDOXH LV UHDFKHG DQG PHDQ WLPH KRUL]RQ 

L H WKH DYHUDJH WLPH WKDW SUHVHQW YDOXH LV DFFXPXODWHG IURP :H ILQG VSHFLILF 

H[SUHVVLRQV IRU WKHVH DWWULEXWHV IRU D YDULHW\ RI GLVFRXQWLQJ SURFHGXUHV LQFOXGLQJ 

H[SRQHQWLDO DQG K\SHUEROLF :H DOVR SURSRVH D QHZ PHWKRG IRU DJJUHJDWLQJ LQGLYLGXDO 

GLVFRXQW IXQFWLRQV LQWR D VRFLDO SURFHGXUH :H SURYH VHYHUDO SURSHUWLHV RI WKLV DJJUHJDWLRQ 

SURFHVV DQG DSSO\ LW WR VXUYH\ GDWD RQ DFDGHPLF HFRQRPLVWV FROOHFWHG E\ :HLW]PDQ 

2YHUDOO ZH ILQG FRPSHOOLQJ HYLGHQFH ERWK WKHRUHWLFDO DQG SUDFWLFDO LQ IDYRU RI 

XVLQJ WUDFWDEOH PRGHOV RI QRQFRQVWDQW UDWH GLVFRXQWLQJ 

/DXUD 2QRIUL 

&DWKROLF 8QLYHUVLW\ /HXYHQ 8QLYHUVLW\ RI %RORJQD 

&R $XWKRUV 3 $ / ' 1XQHV 

7+( 352),/( 2) $ :$50 */2:(5 $ 127( 21 &21680(56 

%(+$9,25 $1' 38%/,& 32/,&< ,03/,&$7,216 

.H\ZRUGV FRQVXPHUV PRWLYDWLRQV FRQWLQJHQW YDOXDWLRQ (FRQRPLF YDOXH IDFWRU DQDO\VLV

SXEOLF SROLF\ GHVLJQ ZDUP JORZ DQG ZLOOLQJQHVV WR SD\ 

-(/ &ODVVLILFDWLRQ ' ' DQG 4 

7KLV SDSHU VWUHVVHV WKDW SV\FKRORJLFDO PRWLYDWLRQV GULYHQ E\ LPSXUH DOWUXLVWLF IRUFHV ILQG 

URRP LQ WKH XWLOLW\ IXQFWLRQ GHILQLWLRQ 7KHRUHWLFDOO\ ZH UHIHU WR WKH ZRUN RI $QGUHRQL RQ 

LPSXUH DOWUXLVP 7KLV GLVFXVVLRQ LV FRPELQHG ZLWK WKH HPSLULFDO UHVXOWV IURP D FRQWLQJHQW 

YDOXDWLRQ VWXG\ 3UDFWLFDOO\ ZH ZDQW WR LGHQWLI\ SDUWLFXODU LQGLYLGXDO SURILOHV WKH ZDUP 

JORZHUV VLQFH ZH EHOLHYH WKDW WKH\ UHSUHVHQW DQ LPSRUWDQW LVVXH IRU SROLF\ PDNHUV )URP 

RXU UHVXOWV WZR W\SHV RI ZDUP JORZHUV HPHUJH WKH µHJR GULYHQ DQG WKH µVRFLDOO\ RULHQWHG 

5HVSHFWLYH SXEOLF SROLF\ LPSOLFDWLRQV DUH ILQDOO\ GLVFXVVHG 

/LDQJ =RX 

8QLYHUVLW\ RI $PVWHUGDP 

352326,1* $ &203281' 87,/,7< $3352$&+ 72 '(&,6,21 

0$.,1* 81'(5 5,6. 

.H\ZRUGV FRPSRXQG XWLOLW\ GLVXWLOLW\ ULVN H[SHFWHG XWLOLW\ UHIHUHQFH SRLQW DQG XWLOLW\ 

UHZDUG 


7KLV SDSHU SURSRVHV D WZR VWDJH GHFLVLRQ IUDPHZRUN IRU PRGHOLQJ SUHIHUHQFH VWUXFWXUHV 

DQG ULVN EHDULQJ EHKDYLRU ,W DVVXPHV WKDW ULVN DQG UHZDUG RI D FKRLFH REMHFW H J D 

JDPEOH IXQGDPHQWDOO\ DIIHFW RQH V SUHIHUHQFH IRU WKH FKRLFH REMHFW DQG WKDW WKH\ FDQ EH 

PHDVXUHG E\ WKH H[SHFWHG XWLOLW\ (8 RI EHWWHU RXWFRPHV DQG WKH H[SHFWHG GLVXWLOLW\ (' 

RI ZRUVH RXWFRPHV UHVSHFWLYHO\ $VVXPLQJ IXUWKHU WKDW SUHIHUHQFH RYHU FKRLFH REMHFWV LV 

UHSUHVHQWHG E\ D FRPSRXQG XWLOLW\ IXQFWLRQ 9 (8 (' WKH SDSHU VKRZV KRZ WKH WKHRU\ 

FDQ EH DSSOLHG WR GHVFULEH QRQOLQHDU SUHIHUHQFHV SUHGLFW DVVHW SULFLQJ UHODWLRQV DQG HOLFLW 

SUHIHUHQFHV IRU SROLF\ PDNHUV ,W DUJXHV WKDW SHRSOH PD\ KDYH GLIIHUHQW DWWLWXGH WRZDUG 

GLVXWLOLW\ ULVN 

,17(51$7,21$/ 75$'( (03,5,&$/ 

(9,'(1&( 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 0DIIH]]ROL 

3HKU -RKDQ 1RUElFN 

5HVHDUFK ,QVWLWXWH RI ,QGXVWULDO (FRQRPLFV 

&R $XWKRUV + %UDFRQLHU DQG ' 8UEDQ 

$XJ 

5RRP ) 

5(&21&,/,1* 7+( (9,'(1&( 21 7+( .12:/('*( &$3,7$/ 

02'(/ 

.H\ZRUGV 0XOWLQDWLRQDO (QWHUSULVH .QRZOHGJH &DSLWDO 0RGHO DQG 9HUWLFDO )', 


7KH .QRZOHGJH &DSLWDO 0RGHO .& PRGHO GHVFULEHG LQ 0DUNXVHQ HQFRPSDVVHV 

ERWK PDUNHW VL]H KRUL]RQWDO DV ZHOO DV IDFWRU HQGRZPHQW YHUWLFDO H[SODQDWLRQV WR ZK\

PXOWLQDWLRQDO SURGXFWLRQ RFFXUV $OWKRXJK WKH .& PRGHO VHHPV LQWXLWLYHO\ DSSHDOLQJ WKH 

HPSLULFDO VXSSRUW KDV VR IDU EHHQ ZHDN DQG HYHQ FRQIXVHG ,Q WKLV VWXG\ ZH ILQG VWURQJ 

UREXVW DQG FRQVLVWHQW VXSSRUW IRU WKH .& PRGHO ,Q FRQWUDVW WR SUHYLRXV VWXGLHV RXU VNLOO 

PHDVXUHV IROORZ GLUHFWO\ IURP WKH PRGHO :H DOVR XVH DQ HQODUJHG GDWDVHW ZKHUH WKH GDWD 

FRYHUDJH LV VLJQLILFDQWO\ LPSURYHG 2XU UHVXOWV DOVR JLYH HVWLPDWHG VXUIDFHV UHPDUNDEO\ 

VLPLODU WR WKHRUHWLFDO VLPXODWLRQV RI WKH .& PRGHO ,Q DGGLWLRQ WKH UHVXOWV JLYH LPSRUWDQW 

LQVLJKWV LQWR ZK\ SUHYLRXV VWXGLHV KDYH \LHOGHG VXFK GLYHUVH UHVXOWV 

&KLDUD &ULVFXROR 

8QLYHUVLW\ &ROOHJH /RQGRQ &HULED DQG 8QLYHUVLW\ RI 6LHQD 

&R $XWKRUV 5 0DUWLQ 

08/7,1$7,21$/6 )25(,*1 2:1(56+,3 $1' 86 352'8&7,9,7< 

/($'(56+,3 (9,'(1&( )520 7+( 8. 

.H\ZRUGV 'RXEOH )L[HG (IIHFWV )RUHLJQ 2ZQHUVKLS 0XOWLQDWLRQDO )LUPV 3URGXFWLYLW\ DQG 

86 OHDGHUVKLS 

-(/ &ODVVLILFDWLRQ ) DQG / 

6HYHUDO VWXGLHV XVLQJ ILUP OHYHO GDWD ILQG WKDW IRUHLJQ RZQHG ILUPV 

DUH PRUH SURGXFWLYH WKDQ GRPHVWLF RQHV 7KLV FRXOG UHIOHFW D IRUHLJQ 

DGYDQWDJH RU DQ RPLWWHG YDULDEOH ELDV IRUHLJQ ILUPV DUH E\ GHILQLWLRQ 

PXOWLQDWLRQDO HQWHUSULVHV 01(V DQG 01(V DUH W\SLFDOO\ PRUH 

SURGXFWLYH WKDQ QRQ 01(V 7KLV SDSHU DWWHPSWV WR GLVFULPLQDWH EHWZHHQ 

WKHVH K\SRWKHVHV :H DUH WKH ILUVW WR VWXG\ WKH SURGXFWLYLW\ 

RI IRUHLJQ RZQHG ILUPV UHODWLYH WR 8. ILUPV VHSDUDWHG LQWR 01(V DQG QRQ 01(V 

:H REWDLQ WKUHH PDLQ UHVXOWV )LUVW WKH IRUHLJQ SURGXFWLYLW\ 

DGYDQWDJH LV PRVWO\ D PXOWLQDWLRQDO DGYDQWDJH 

6HFRQG 86 RZQHG ILUPV PDLQWDLQ D SURGXFWLYLW\ DGYDQWDJH ZLWK UHVSHFW WR ERWK 8. DQG 

RWKHU IRUHLJQ RZQHG ILUPV 7KLUG H[DPLQLQJ WKH ORQJLWXGLQDO GLPHQVLRQ 

RI RXU GDWD ZH ILQG QR HYLGHQFH WKDW KLJKHU 01( SURGXFWLYLW\ 

LV GULYHQ E\ VKDULQJ VXSHULRU ILUP VSHFLILF NQRZOHGJH DPRQJ DIILOLDWHG 

SODQWV 7KXV WKH 01( DGYDQWDJH PXVW OLH LQ DQ DELOLW\ WR WDNHRYHU 

DOUHDG\ SURGXFWLYH SODQWV RU LQ VHWWLQJ XS DERYH DYHUDJH SURGXFWLYLW\ 

SODQWV 

5XGROIV %HPV 


&R $XWKRUV . -|QVVRQ 

75$'( '(),&,76 ,1 7+( %$/7,& 67$7(6 +2: /21* :,// 7+( 

3$57< /$67" 

.H\ZRUGV %DOWLF VWDWHV FDSLWDO IORZV QRQ WUDGHG JRRGV WUDGH GHILFLWV DQG DGMXVWPHQW 

FRVWV 


6LQFH WKHLU RSHQLQJ XS WR LQWHUQDWLRQDO FDSLWDO PDUNHWV WKH HFRQRPLHV RI (VWRQLD 

/DWYLD DQG /LWKXDQLD KDYH H[SHULHQFHG ODUJH DQG SHUVLVWHQW FDSLWDO LQIORZV DQG WUDGH 

GHILFLWV 7KLV SDSHU LQYHVWLJDWHV ZKHWKHU D FDOLEUDWHG WZR VHFWRU QHRFODVVLFDO JURZWK

PRGHO FDQ H[SODLQ WKH PDJQLWXGHV DQG WKH WLPLQJ RI WKH WUDGH IORZV LQ WKH %DOWLF 

FRXQWULHV 7KH PRGHO LV FDOLEUDWHG IRU HDFK RI WKH WKUHH FRXQWULHV ZKLFK ZH VLPXODWH 

DV VPDOO FORVHG HFRQRPLHV WKDW VXGGHQO\ RSHQ XS WR LQWHUQDWLRQDO WUDGH DQG FDSLWDO 

IORZV 7KH UHVXOWV VKRZ WKDW WKH PRGHO FDQ DFFRXQW IRU WKH REVHUYHG PDJQLWXGHV RI WKH 

WUDGH GHILFLWV LQ WKH SHULRG ,QWURGXFLQJ D UHDO LQWHUHVW UDWH ULVN SUHPLXP 

LQ WKH PRGHO LQFUHDVHV LWV H[SODQDWRU\ SRZHU 7KH PRGHO LQGLFDWHV WKDW WUDGH EDODQFHV 

ZLOO WXUQ SRVLWLYH DURXQG LQ WKH %DOWLF VWDWHV 7KH SUHGLFWHG GDWHV RI WUDGH IORZ 

UHYHUVDO DUH UREXVW WR YDU\LQJ WKH LQLWLDO FDSLWDO VWRFNV XVHG LQ WKH VLPXODWLRQV 

0DUFR 0DIIH]]ROL 

8QLYHUVLWj %RFFRQL 

&R $XWKRUV $ &XxDW 

7+( *52:7+ 2) :25/' 75$'( 

.H\ZRUGV +HFNVFKHU 2KOLQ DQG ,QWHUQDWLRQDO 7UDGH 


:H SUHVHQW D QHRFODVVLFDO WZR FRXQWU\ G\QDPLF WUDGH PRGHO LQ ZKLFK UHGXFWLRQV LQ WUDGH 

FRVWV FDQ JHQHUDWH LQFUHDVHV LQ WUDGH YROXPHV RYHU WLPH $ IDOO LQ WUDGH FRVWV IRU JLYHQ 

IDFWRU HQGRZPHQWV UDLVHV WKH GHJUHH RI VSHFLDOL]DWLRQ OHDGLQJ WR D ODUJHU YROXPH RI WUDGH 

LQ WKH VKRUW UXQ IXUWKHUPRUH LW UDLVHV ORZHUV WKH IDFWRU SULFH RI HDFK FRXQWU\ V DEXQGDQW 

VFDUFH IDFWRU OHDGLQJ WR GLYHUJLQJ SDWKV RI UHODWLYH IDFWRU HQGRZPHQWV DFURVV FRXQWULHV 

7KLV FUHDWHV DQ DGGLWLRQDO HIIHFW RQ WKH IXWXUH YROXPH RI WUDGH WKDW DGGV WR WKH VWDWLF DQG 

G\QDPLF HIIHFWV RI IXWXUH IDOOV LQ WUDGH FRVWV $ IDOO LQ WUDGH FRVWV RYHU WLPH SURGXFHV DQ 

H[SRQHQWLDO LQFUHDVH LQ WKH WUDGH VKDUH RI RXWSXW PXFK LQ OLQH ZLWK WKH GDWD 

),1$1&,$/ 0$5.(76 , 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 *XLGROLQ 

*DZRQ

7UL 9L 'DQJ 

8QLYHUVLW\ RI 0DQQKHLP 

,1)250$7,21 $&48,6,7,21 675$7(*,& /,48,',7< 75$',1* $1' 

0$5.(7 ()),&,(1&< 

.H\ZRUGV LQIRUPDWLRQ DFTXLVLWLRQ LQIRUPDWLRQ HIILFLHQF\ OHPRQV SUREOHP DQG VWUDWHJLF 

OLTXLGLW\ WUDGLQJ 


7KLV SDSHU VKRZV WKDW WKH EHKDYLRU RI OLTXLGLW\ WUDGHUV LV D GHWHUPLQDQW RI LQIRUPDWLRQ 

HIILFLHQF\ ,I OLTXLGLW\ WUDGHUV DUH QRQ VWUDWHJLF QRLV\ WKH\ DWWUDFW VSHFXODWRUV DQG LQGXFH D 

IUDFWLRQ RI WKHP WR DFTXLUH LQIRUPDWLRQ *URVVPDQ DQG 6WLJOLW] LPSRVVLELOLW\ UHVXOW LV 

REWDLQHG DV D 1DVK HTXLOLEULXP %XW LI OLTXLGLW\ WUDGHUV DUH VWUDWHJLF WKH\ DFTXLUH 

LQIRUPDWLRQ WKHPVHOYHV VR DV WR DYRLG OHPRQV SUREOHPV ,QIRUPDWLRQDOO\ HIILFLHQW SULFHV 

H[LVW GHVSLWH FRVWO\ LQIRUPDWLRQ 7KLV SDSHU DOVR VKRZV WKDW HTXLOLEULD LQ VWUDWHJLF OLTXLGLW\ 

WUDGLQJ PDUNHWV H[KLELW D WZR VWHS DGMXVWPHQW SURFHVV WR WKH DUULYDO RI QHZV VLPLODU WR WKH 

GRFXPHQWDWLRQ LQ )OHPLQJ DQG 5HPRQROD 

0DVVLPR *XLGROLQ 

8QLYHUVLW\ RI 9LUJLQLD 

+,*+ (48,7< 35(0,$ $1' &5$6+ )($56 5$7,21$/ 

)281'$7,216 

.H\ZRUGV (TXLW\ SUHPLXP SX]]OH 5DWLRQDO OHDUQLQJ 5LVN IUHH UDWH SX]]OH DQG 6WUXFWXUDO 

EUHDNV 

-(/ &ODVVLILFDWLRQ ' ( DQG * 

:H VKRZ WKDW XQGHU WKH DVVXPSWLRQV RI 0HKUD DQG 3UHVFRWW ZKHQ D 

UHSUHVHQWDWLYH DJHQW LV RQ D OHDUQLQJ SDWK DQG WKH SURFHVV IRU GLYLGHQGV LV GHVFULEHG E\ D 

ODWWLFH FDOLEUDWHG WR 8 6 FRQVXPSWLRQ GDWD DYHUDJH XQFRQGLWLRQDO ULVN SUHPLD DQG 

GHIDXOW IUHH ERQG \LHOGV VLPLODU WR WKRVH GLVSOD\HG E\ SRVW GHSUHVVLRQ 8 6 

H[SHULHQFH PD\ EH JHQHUDWHG IRU ORZ OHYHOV RI ULVN DYHUVLRQ 7KXV ZH SURYLGH D MRLQW 

VROXWLRQ WR WKH HTXLW\ SUHPLXP DQG WKH ULVN IUHH UDWH SX]]OHV WKDW HQWLUHO\ UHOLHV RQ 

UHFXUVLYH OHDUQLQJ LQ WKH SUHVHQFH RI LQIUHTXHQW VWUXFWXUDO EUHDNV :H VKRZ WKDW 

LQGHSHQGHQWO\ RI UHVWULFWLRQV RQ EHOLHIV OHDUQLQJ LQIODWHV HTXLW\ SUHPLD ZLWKRXW UHTXLULQJ D 

VWURQJ FXUYDWXUH RI WKH XWLOLW\ IXQFWLRQ 7KHVH ILQGLQJV DUH PDJQLILHG E\ WKH IDFW WKDW IRU 

XQGHU VWDQGDUG IXOO LQIRUPDWLRQ UDWLRQDO H[SHFWDWLRQV WKH PRGHO FRXOG QRW SRVVLEO\ 

JHQHUDWH HTXLW\ SUHPLD DQG ULVN IUHH \LHOGV PDWFKLQJ WKH HPSLULFDO HYLGHQFH 

-RFKHQ %LJXV 

8QLYHUVLW\ RI +DPEXUJ ,QVWLWXWH RI /DZ DQG (FRQRPLFV 

67$*,1* 2) 9(1785( ),1$1&,1* 025$/ +$=$5' $1' 3$7(17 

/$: 

.H\ZRUGV LQYHVWRU PRUDO KD]DUG SDWHQW ODZ VWDJH ILQDQFLQJ DQG YHQWXUH FDSLWDO

-(/ &ODVVLILFDWLRQ * * * DQG . 

9HQWXUHV DUH RIWHQ ILQDQFHG LQ VHYHUDO VWDJHV 6WDJH ILQDQFLQJ SURYLGHV DQ RSWLRQ WR H[LW 

ZKLFK LV YDOXDEOH LI WKHUH LV PXFK XQFHUWDLQW\ +RZHYHU VWDJH ILQDQFLQJ PLJKW DOVR LQGXFH 

LQYHVWRU PRUDO KD]DUG LI SURSHUW\ ULJKWV RQ WKH LQQRYDWLRQ DUH QRW VXIILFLHQWO\ SURWHFWHG 

:H ORRN DW WKH FDVH ZKHUH WKH LQFXPEHQW LQYHVWRU GHPDQGV D KLJKHU VKDUH RI WKH IXWXUH V 

UHWXUQ EHIRUH ILQDQFLQJ WKH QH[W VWDJH LI WKH HQWUHSUHQHXU GRHV QRW DJUHH WKH LQYHVWRU 

PLJKW XVH WKH LGHD IRU KLV RZQ SXUSRVHV 7KDW PDNHV VZLWFKLQJ WR DQRWKHU LQYHVWRU FRVWO\ 

7KXV WKH HQWUHSUHQHXU PD\ VWLFN ZLWK WKH LQFXPEHQW RQH HYHQ ZLWK OHVV IDYRUDEOH 

ILQDQFLDO WHUPV $V D FRQVHTXHQFH VKH PLJKW UHGXFH KHU QRQ FRQWUDFWLEOH HIIRUW OHYHO 

021(7$5< 32/,&< ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 7 (LQDUVVRQ 

7DWLDQD .LUVDQRYD 

8QLYHUVLW\ RI ([HWHU 

&R $XWKRUV $ %ODNH 

$XJ 

5RRP % 

)(('%$&. 58/(6 $1' 7,0( &216,67(17 32/,&

7KLV SDSHU LQYHVWLJDWHV WKH FUHGLELOLW\ RI LQIODWLRQ WDUJHWV LQ 3RODQG EHIRUH DQG DIWHU RIILFLDO 

LQWURGXFWLRQ RI LQIODWLRQ WDUJHWLQJ LQ :H IRFXV RQ WKH PDUJLQDO 

FUHGLELOLW\ GHILQHG DV WKH HIIHFW RI SROLF\ DQQRXQFHPHQWV RQ SULYDWH DJHQWV H[SHFWDWLRQV 

7KH PHWKRGRORJ\ SURSRVHG LQ WKH SDSHU FRPELQHV VXUYH\ GDWD RQ 

LQIODWLRQDU\ H[SHFWDWLRQV SUHGLFWLYH GHQVLWLHV RI LQIODWLRQ JHQHUDWHG IURP D 9$5 

PRGHO DQG LQIODWLRQ WDUJHWV (VWLPDWHG 

ZHLJKWV DWWDFKHG WR WKH WDUJHWV DUH LQWHUSUHWHG DV D PHDVXUH RI PDUJLQDO FUHGLELOLW\ 

7KH HYROXWLRQ RI HVWLPDWHG ZHLJKWV GHSHQG RQ SDVW GHYLDWLRQV IURP 

WKH WDUJHW SODXVLELOLW\ RI WKH WDUJHW DQG LQVWLWXWLRQDO UHIRUPV 

3LHUDQJHOR 'H 3DFH 

8QLYHUVLWj %RFFRQL 0LODQR ,WDO\ 

&R $XWKRUV & $OWRPRQWH 

$1 (1/$5*(' (&2120,& $1' 021(7$5< 81,21 ())(&76 $1' 

32/,&< ,03/,&$7,216 

.H\ZRUGV (XURSHDQ 0RQHWDU\ 8QLRQ PRQHWDU\ SROLF\ DQG WLPH VHULHV PRGHOV 

-(/ &ODVVLILFDWLRQ & DQG ( 

:H FDOFXODWH DQ HQODUJHG 3KLOOLSV FXUYH IRU D WKHRUHWLFDO (08 ZLWK 0HPEHU 6WDWHV 

%RWK WKH HPSLULFDO HYLGHQFH DQG WKH HFRQRPHWULF DQDO\VLV VKRZ WKH ZRUVHQLQJ RI WKH 

WUDGH RII EHWZHHQ LQIODWLRQ DQG XQHPSOR\PHQW DQG KHQFH WKH QHHG WR UHYLVH DW OHDVW 

WHPSRUDULO\ WKH VWDQFH RI WKH (&% PRQHWDU\ SROLF\ $OVR WKH HVWLPDWHV SRLQW WR D PRGLILHG 

UHVSRQVLYHQHVV RI WKH PRQH\ GHPDQG IXQFWLRQ WR WKH FKDQJHV RI WKH LQWHUHVW UDWHV JLYHQ 

KRZHYHU D JUHDWHU VWDELOLW\ RI VXFK D IXQFWLRQ LQ WKH ORQJ UXQ 

7RU (LQDUVVRQ 

8QLYHUVLW\ RI ,FHODQG 

%$1. ,17(50(',$7,21 $1' 3(56,67(17 /,48,',7< ())(&76 ,1 

7+( 35(6(1&( 2) $ )5,&7,21/(66 %21' 0$5.(7 

.H\ZRUGV ILQDQFLDO LQWHUPHGLDLRQ OLTXLGLW\ DQG PRQHWDU\ SROLF\ 


7KLV SDSHU H[WHQGV WKH OLWHUDWXUH RQ 

CCOLTXLGLW\ HIIHFWV E\ LQWURGXFLQJ 

D ERQG PDUNHW WKDW DOORZV IRU 

QRQLQWHUPHGLDWHG ORDQV GLUHFWO\ IURP 

KRXVHKROGV WR ILUPV 

7KH UHVXOWV LQGLFDWH L CCVWLFN\ SULFHV 

DUH QHLWKHU QHFHVVDU\ QRU VXIILFLHQW 

WR LQGXFH D OLTXLGLW\ HIIHFW 

LL GHSRVLW SUHFRPPLWPHQW E\ KRXVHKROGV 

DORQJ ZLWK D SUHVHWWLQJ RI WKH GHSRVLW 

UDWH E\ EDQNV GRHV LQGXFH SHUVLVWHQW 

OLTXLGLW\ HIIHFW UHVXOWV LQ H[FHVV 

YRODWLOLW\ RI FRQVXPSWLRQ DQG LQYHVWPHQW 

DQG LLL PLQLPL]LQJ WKH GHSRVLW 

SUHFRPPLWPHQW ZKLOH PDLQWDLQLQJ WKH

SUHVHW GHSRVLW UDWH LQGXFHV 

D ZHDNHU OLTXLGLW\ HIIHFW WKDW LV PRUH 

LQ OLQH ZLWK WKH GDWD ZLWKRXW WKH H[FHVV 

YRODWLOLW\ LQ FRQVXPSWLRQ DQG LQYHVWPHQW 

/$%285 0$5.(76 0$7&+,1* ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 6 'DQWKLQH 

7LOO YRQ :DFKWHU 

8& %HUNHOH\ 

&R $XWKRUV 6 %HQGHU 

$XJ 

5RRP ' 

,1 7+( 5,*+7 3/$&( $7 7+( :521* 7,0( 7+( 52/( 2) ),506 

$1' /8&. ,1

$QWRQHOOD 7ULJDUL 

1HZ

&R $XWKRUV % +DOO 

'2(6 7+( 0$5.(7 9$/8( 5 ' ,19(670(17 %< (8523($1 

),506" (9,'(1&( )520 $ 3$1(/ 2) 0$18)$&785,1* ),506 ,1 

)5$1&( *(50$1< $1' ,7$/< 

.H\ZRUGV (XURSHDQ 8QLRQ ,QWHUQDWLRQDO FRPSDULVRQV 0DUNHW YDOXH 5 ' DQG 6DPSOH 

VHOHFWLRQ 

-(/ &ODVVLILFDWLRQ / 2 DQG 2 

6HYHUDO VWXGLHV EDVHG RQ 86 GDWD KDYH XVHG PDUNHW YDOXH DV DQ LQGLFDWRU RI WKH ILUPV 

5 ' H[SHFWHG SHUIRUPDQFH +RZHYHU WKHUH H[LVW QR LQYHVWLJDWLRQV IRU FRXQWULHV LQ WKH 

(XURSHDQ 8QLRQ LQFOXGLQJ )UDQFH *HUPDQ\ DQG ,WDO\ IRU ZKLFK WKH DQDO\VLV LV 

FRPSOLFDWHG E\ GDWD DYDLODELOLW\ SUREOHPV ,Q WKLV SDSHU ZH H[SORUH VRPH TXHVWLRQV DERXW 

WKH UHODWLRQVKLS EHWZHHQ 5 ' DQG PDUNHW YDOXH XVLQJ ILUP OHYHO GDWD IRU D SDQHO RI ILUPV 

SXEOLFO\ WUDGHG LQ )UDQFH *HUPDQ\ DQG ,WDO\ (FRQRPHWULF PRGHOV FRUUHFWLQJ VDPSOH 

VHOHFWLRQ ELDV KDYH EHHQ XVHG $OWKRXJK OLPLWHG E\ GDWD DYDLODELOLW\ ZH FRQVLGHU WKH 

UHVXOWV RI JUHDW LQWHUHVW IRU UHVHDUFKHUV DQG SROLF\ PDNHUV 

'LUN &]DUQLW]NL 

=(: 0DQQKHLP 

5 ' ),1$1&,$/ &21675$,176 $1' 7+( 52/( 2) 38%/,& 

)81',1* ,1 60$// $1' 0(',80 6,=(' (17(535,6(6 

.H\ZRUGV &HQVRUHG 5HJUHVVLRQ PRGHOV )LQDQFLDO FRQVWUDLQWV 3XEOLF IXQGLQJ DQG 

5 DPS ' 

-(/ &ODVVLILFDWLRQ & 2 DQG 2 

7KLV SDSHU SUHVHQWV PLFURHFRQRPHWULF HYLGHQFH RQ ILQDQFLQJ FRQWUDLQWV 

IRU 5 ' DFWLYLWLHV LQ *HUPDQ VPDOO DQG 

PHGLXP VL]HG ILUPV 60( 

6SHFLDO DWWHQWLRQ LV SDLG WR WKH UROH RI SXEOLF 5 ' VXEVLGLHV 

)RU WKLV SXUSRVH 60(V LQ :HVWHUQ DQG (DVWHUQ *HUPDQ\ DUH FRPSDUHG EHFDXVH WKHVH 

UHJLRQV DUH YHU\ GLIIHUHQW LQ WKHLU VXSSO\ RI SXEOLF 5 ' IXQGLQJ 

7KH HPSLULFDO HYLGHQFH VXJJHVWV 

WKDW :HVWHUQ *HUPDQ 60(V DUH ILQDQFLDOO\ FRQVWUDLQHG E\ ERWK LQWHUQDO DQG H[WHUQDO 

UHVRXUFHV ,Q (DVWHUQ *HUPDQ\ 

ILUPV DUH QRW VHQVLWLYH WR H[WHUQDO FRQVWUDLQWV SRVVLEO\ GXH WR 

KLJK SXEOLF 5 ' VXEVLGLHV 

7KH UHVXOWV VXJJHVW WKDW 5 ' LQ (DVWHUQ *HUPDQ\ LV WR D ODUJH H[WHQW 

GULYHQ E\ SXEOLF VXEVLGLHV DQG 

WKDW WKH XVXDO ILQDQFLDO PDUNHW PHFKDQLVPV DUH G\VIXQFWLRQDO ZLWK UHVSHFW WR 5 ' LQ WKLV 

UHJLRQ 

.DUROLQD (NKROP 


&R $XWKRUV . +DNNDOD 

/2&$7,21 2) 5 ' $1' +,*+ 7(&+ 352'8&7,21 %< 9(57,&$//< 

,17(5*5$7(' 08/7,1$7,21$/6

.H\ZRUGV $JJORPHUDWLRQ HFRQRPLHV +LJK WHFK SURGXFWLRQ PRQRSROLVWLF FRPSHWLWLRQ DQG 

5 DPS ' 


:H GHYHORS D WZR FRXQWU\ PRGHO ZKHUH ILUPV FKRRVH WKH ORFDWLRQ RI 5 ' DQG KLJK WHFK 

SURGXFWLRQ VHSDUDWHO\ 7KHUH DUH WZR DJJORPHUDWLRQ IRUFHV NQRZOHGJH VSLOORYHUV 

DVVRFLDWHG ZLWK 5 ' DQG OLQNDJHV DVVRFLDWHG ZLWK KLJK WHFK SURGXFWLRQ 7KH ODWWHU WHQGV 

WR DWWUDFW SURGXFWLRQ WR WKH ODUJHU FRXQWU\ :H VKRZ WKDW IRU ZHDN NQRZOHGJH VSLOORYHUV 

WKH VPDOOHU HFRQRP\ WHQGV WR VSHFLDOL]H LQ 5 ' IRU LQWHUPHGLDWH OHYHOV RI WUDGH FRVWV :H 

DOVR ILQG WKDW IRU LQWHUPHGLDWH OHYHOV RI NQRZOHGJH VSLOORYHUV WKHUH DUH PXOWLSOH HTXLOLEULD LQ 

WKH VHQVH WKDW ERWK FRQFHQWUDWLRQ RI 5 ' DFWLYLWLHV LQ WKH VPDOO FRXQWU\ DQG GLVSHUVLRQ RI 

5 ' DFWLYLWLHV DUH SRVVLEOH RXWFRPHV 

%HQRLW 0XOND\ 

,16(( 0LGL 3\UpQpHV 

&R $XWKRUV - 0DLUHVVH 

7+( ())(&7 2) 7+( 5 ' 7$; &5(',7 ,1 )5$1&( 

.H\ZRUGV &RUSRUDWH 7D[DWLRQ &RVW RI &DSLWDO 5 DPS ' 5 DPS ' &DSLWDO DQG 

5 DPS ' 7D[ &UHGLW 

-(/ &ODVVLILFDWLRQ + + DQG 2 

7KLV SDSHU HYDOXDWHV WKH WD[ FUHGLW RQ 5 ' LQWURGXFHG LQ )UDQFH VLQFH 'DWD RQ 

)UHQFK FRPSDQLHV RYHU WKH SHULRG ± DUH XVHG WR WHVW DQ HUURU FRUUHFWLRQ PRGHO 

IRU 5 ' H[SHQGLWXUH ZLWK D XVHU FRVW RI 5 ' FDSLWDO LQFOXGLQJ WKLV LQFUHPHQWDO WD[ FUHGLW 

7KH 5 ' WD[ FUHGLW KDV D ODUJH VLJQLILFDQW DQG SRVLWLYH HIIHFW RQ WKH RSWLPDO 5 ' FDSLWDO ,I 

WKH VWDWXWRU\ UDWH LV UDLVHG E\ WKH RSWLPDO 5 ' FDSLWDO ZLOO LQFUHDVH E\ ZKLFK LV 

IDU IURP EHLQJ QHJOLJLEOH ,WV HIIHFW RQ 5 ' H[SHQGLWXUH LV WLPHV ODUJHU WKDQ LWV EXGJHWDU\ 

FRVW 

(($ 35(6,'(17,$/ $''5(66 $1' 

35(6(17$7,21 2) 7+(

7+856'$< 67 $8*867 

,19,7(' 6(66,21 ,1 7+(25(7,&$/ $1' 

$33/,(' (&2120,&6 , 


&KDLUSHUVRQ 

;DYLHU 9LYHV 

,16($' 

*$0(6 2) 675$7(*,& &203/(0(17$5,7,(6 1(: 

$33/,&$7,216 


$XJ 


1R $EVWUDFW

WKH QRLVH LQWR WKH DQDO\VLV FDQQRW GR PRUH KDUP WKDQ JRRG )LQDOO\ ZH VWXG\ WKH VDPH 

TXHVWLRQV ZKHQ WKH REVHUYDWLRQV DUH VDPSOHG DW UDQGRP WLPH LQWHUYDOV ZKLFK DUH DQ 

HVVHQWLDO IHDWXUH RI WUDQVDFWLRQ OHYHO GDWD 

$8&7,216 

&DWHJRU\ (($ 

&KDLUSHUVRQ 3 -HKLHO 

/DZUHQFH $XVXEHO 

8QLYHUVLW\ RI 0DU\ODQ 

&R $XWKRUV 3 &UDPWRQ 

$8&7,21,1* 0$1< ',9,6,%/( *22'6 


$XJ 


1R $EVWUDFW $YDLODEOH 

2OLYLHU &RPSWH 

&(5$6 

&R $XWKRUV 3 -HKLHO 

$6&(1',1* $8&7,216 7+( :$,7 $1' 6(( 675$7(*< 



1R $EVWUDFW DYDLODEOH 

-DFRE *RHUHH 


&R $XWKRUV $ 6FKUDP DQG - :RRGHUV 

%,''(56 &+2,&( $8&7,21 




5RRP )

3KLOLSSH -HKLHO 


&R $XWKRUV % 0ROGRYDQX 

'(6,*1,1* $1 ()),&,(17 35,9$7( ,1'8675< 




(9$/8$7,21 2) ('8&$7,21 32/,&< 

,17(59(17,216 

&DWHJRU\ (($ 

&KDLUSHUVRQ & 0HJKLU 

(ULF +DQXVKHN 

+RRYHU ,QVWLWXWLRQ 6WDQIRUG 8QLYHUVLW\ 

&R $XWKRUV 0 5D\PRQG 

$XJ 

5RRP ' 

7+( ,03$&7 2) 6&+22/ $&&2817$%,/,7< 21 7+( /(9(/ $1' 

',675,%87,21 2) 678'(17 3(5)250$1&( 




9LFWRU /DY\ 

+HEUHZ 8QLYHUVLW\ RI -HUXVDOHP 

3$

('8&$7,21 ,1 &,7,(6 (9$/8$7,21 2) $1 ('8&$7,21 32/,&< ,1 

',6$'9$17$*(' $5($6 




237,0$/ 021(7$5< 32/,&< 

&DWHJRU\ (($ 

&KDLUSHUVRQ , &RUUHLD 

5REHUW .ROOPDQ 

8QLYHUVLW\ RI %RQQ 

$XJ 

5RRP % 

:(/)$5( ())(&76 2) $ 021(7$5< 81,21 7+( 52/( 2) 75$'( 

23(1(66 




,VDEHO &RUUHLD 

%DQFR GH 3RUWXJDO '(( 

&R $XWKRUV % $GmR DQG 3 7HOHV 

7+( 021(7$5< 75$16,7,21 0(&+$1,60 ,6 ,7 5(/(9$17 )25 

32/,&

23(1 (&2120< 



QR DEVWUDFW DYDLODEOH 

5(&(17 5(6($5&+ 21 7+( (852 $1' 

6:('(1 6 '(&,6,21 

&DWHJRU\ (($ 

&KDLUSHUVRQ 5 3RUWHV 

2UJDQL]HU 5 %DOGZLQ 

/RUHQ]R &RGRJQR 

%DQN RI $PHULFD /RQGRQ 

1LOV *RWWIULHV 


/DUV +HLNHQVWHQ 

%DQN RI 6ZHGHQ 

3KLOLS /DQH 

7ULQLW\ &ROOHJH 'XEOLQ 

$OHMDQGUR 0LFFR 

,QWHU $PHULFDQ 'HYHORSPHQW %DQN 

5(&(17 5(6($5&+ 21 7+( (852 $1' 6:('(1 6 '(&,6,21 


$XJ 



*(1'(5 ',))(5(1&(6 $1' *(1'(5 

',6&5,0,1$7,21 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

2UJDQL]HU - 'RODGR 

6WHSDQ -XUDMGD 

&(5*( (, 

&R $XWKRUV + +DUPJDUW 

$XJ 

5RRP $ 

5RRP 3

*(1'(5 6(*5(*$7,21 $1' :$*( *$36 ,1 *(50$1< :+(1 

$5( C)(0$/( 2&&83$7,216 3$

MRE ZDJH GLIIHUHQWLDOV :H ILQG WKDW DW OHDVW KDOI RI WKH JHQGHU ZDJH JDS FDQ EH DWWULEXWHG 

WR ODERU PDUNHW VHJUHJDWLRQ ZKLOH KXPDQ FDSLWDO GLIIHUHQFHV E\ VH[ DFFRXQW IRU OHVV WKDQ 

SHUFHQW 

-HQQ\ 6lYH 6|GHUEHUJK 

7KH 6ZHGLVK ,QVWLWXWH IRU 6RFLDO 5HVHDUFK 6WRFNKROP 8QLYHUVLW\ 

$5( :20(1 $6.,1* )25 /2: :$*(6" *(1'(5 :$*( 

',))(5(17,$/6 $1' ,1',9,'8$/ :$*( %$5*$,1,1* 

.H\ZRUGV $ELOLW\ 6LJQDOLQJ *HQGHU :DJH 'LIIHUHQWLDOV DQG ,QGLYLGXDO :DJH %DUJDLQLQJ 

-(/ &ODVVLILFDWLRQ - - DQG - 

*HQGHU ZDJH GLIIHUHQWLDOV KDYH JDLQHG PXFK DWWHQWLRQ EXW QRW IURP WKH SHUVSHFWLYH RI 

LQGLYLGXDO ZDJH EDUJDLQLQJ ,Q DQ HPSLULFDO DQDO\VLV XVLQJ XQLTXH GDWD IURP WZR VXUYH\V 

E\ -XVHN > DQG @ ZLWK UHFHQW JUDGXDWHV VWULNLQJ JHQGHU GLIIHUHQFHV LQ EDUJDLQLQJ 

DQG UHVXOWLQJ RXWFRPHV DUH HVWDEOLVKHG :RPHQ ERWK UHTXHVW DQG DUH RIIHUHG ORZHU 

ZDJHV RQ DYHUDJH :KLOH WKH UHODWLRQVKLS EHWZHHQ ZDJH RIIHUV DQG UHTXHVWV GLVSOD\ D 

FRQYH[ SDWWHUQ IRU PHQ LW LV OLQHDU IRU ZRPHQ ,Q DGGLWLRQ WKH SD\ RII WR EH DJJUHVVLYH LQ 

EDUJDLQLQJ >UHTXHVWHG ZDJH MRE VHFWRU ZDJH@ LV SRVLWLYH EXW GHFUHDVHV LQ KLJK YDOXHV IRU 

ZRPHQ )XUWKHUPRUH D %OLQGHU 2D[DFD ZDJH GHFRPSRVLWLRQ VKRZV WKDW JHQGHU 

GLIIHUHQFHV LQ EDUJDLQLQJ H[SODLQ DSSUR[LPDWHO\ D WKLUG RI WKH ZDJH JDS 

)25(,*1 $,' $1' *52:7+ 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

2UJDQL]HU - 7HPSOH 

3KLOLSS +DUPV 

6WXG\ &HQWHU *HU]HQVHH DQG 8QLYHUVLW\ RI .RQVWDQ] 

&R $XWKRUV 0 /XW] 

$XJ 

5RRP 3 

$,' *29(51$1&( $1' 35,9$7( )25(,*1 ,19(670(17 620( 

38==/,1* ),1',1*6 $1' $ 3266,%/( (;3/$1$7,21 

.H\ZRUGV $LG ,QVWLWXWLRQV ,QWHUQDWLRQDO ,QYHVWPHQW DQG 63$&(5 

-(/ &ODVVLILFDWLRQ ) ) 2 2 DQG 63$&(5 

'RHV RIILFLDO DLG SDYH WKH URDG IRU SULYDWH IRUHLJQ LQYHVWPHQW RU GRHV LW VXIIRFDWH 

SULYDWH LQLWLDWLYH E\ GLYHUWLQJ UHVRXUFHV WRZDUGV XQSURGXFWLYH DFWLYLWLHV" ,Q WKLV SDSHU ZH 

H[SORUH 

WKLV LVVXH XVLQJ GDWD IRU D ODUJH QXPEHU RI GHYHORSLQJ DQG HPHUJLQJ HFRQRPLHV 

&RQWUROOLQJ IRU 

FRXQWULHV LQVWLWXWLRQDO HQYLURQPHQW ZH ILQG WKDW RQ DYHUDJH WKH PDUJLQDO HIIHFW RI DLG RQ 

SULYDWH IRUHLJQ LQYHVWPHQW LV QHJDWLYH 6XUSULVLQJO\ KRZHYHU WKH HIIHFW LV SRVLWLYH IRU 

FRXQWULHV 

LQ ZKLFK SULYDWH DJHQWV IDFH D VXEVWDQWLDO UHJXODWRU\ EXUGHQ $IWHU WHVWLQJ WKH UREXVWQHVV 

RI WKLV 

UHVXOW ZH RIIHU D WKHRUHWLFDO PRGHO WKDW LV DEOH WR UDWLRQDOL]H RXU SX]]OLQJ REVHUYDWLRQ

$OHVVDQGUR 3UDWL 


&R $XWKRUV 5 6DKD\ DQG 7 7UHVVHO 

,6 7+(5( $ &$6( )25 67(5,/,=,1* )25(,*1 $,' ,1)/2:6 

.H\ZRUGV IRUHLJQ DLG PRQHWDU\ SROLF\ DQG 5HDO H[FKDQJH UDWH 

-(/ &ODVVLILFDWLRQ ) 2 DQG 2 

7KLV SDSHU SUHVHQWV D PRGHO ZKHUH WKH SURGXFWLYLW\ HQKDQFLQJ EHQHILWV RI IRUHLJQ DLG 

LQIORZV DUH WUDGHG RII DJDLQVW 'XWFK GLVHDVH HIIHFWV :H FKDUDFWHUL]H WKH RSWLPDO WLPH 

SDWK DQG FRPSRVLWLRQ RI IRUHLJQ DLG GLVEXUVHPHQWV $ UDWLRQDOH IRU PRQHWDU\ LQWHUYHQWLRQ 

HPHUJHV ZKHQHYHU DFWXDO RU H[SHFWHG DLG IORZV GHYLDWH IURP WKLV RSWLPDO SDWK :H DOVR 

VKRZ WKDW WKH DSSURSULDWH SROLF\ UHVSRQVH GHSHQGV RQ WKH GHJUHH RI XQFHUWDLQW\ DERXW 

IXWXUH DLG IORZV DQG WKDW WKH VFRSH IRU VWHULOL]DWLRQ LV VPDOOHU ZKHQ DLG LV LQ WKH IRUP RI 

JUDQWV UDWKHU WKDQ ORDQV RU PRUH JHQHUDOO\ ZKHQ WKH GHJUHH RI FRQFHVVLRQDOLW\ LV KLJKHU 

0LFKDHO 0DQGOHU 

5R\DO +ROORZD\ &ROOHJH 8QLYHUVLW\ RI /RQGRQ 

&R $XWKRUV 0 6SDJDW 

)25(,*1 $,' '(6,*1(' 72 ',0,1,6+ 7(5525,67 $752&,7,(6 &$1 

,1&5($6( 7+(0 

.H\ZRUGV DV\PPHWULF LQIRUPDWLRQ 1DVK EDUJDLQLQJ SRROLQJ DQG WHUURULVP 


$ GRPHVWLF SRZHU IDFHV DQ HQHP\ DQG FRPPLWV WHUURULVW DWURFLWLHV WR LQFUHDVH WKH 

OLNHOLKRRG RI YLFWRU\ $ IRUHLJQ SDWURQ FDQ JUDQW DLG WR WKH SRZHU EXW SUHIHUV IHZHU RU QR 

DWURFLWLHV 7KH GRPHVWLF SRZHU UHVSRQGV E\ DFTXLHVFLQJ LQ WKH FUHDWLRQ RI XQFRQWUROODEOH 

SDUDPLOLWDULHV WKDW FRPPLW HYHQ PRUH DWURFLWLHV 2QFH WKH SDUDPLOLWDULHV DUH VHW XS DLG 

IORZV DQG WKH DWURFLW\ OHYHO LV KLJK 1RZ VXSSRVH WKH IRUHLJQ SDWURQ LV XQFHUWDLQ ZKHWKHU 

WKH GRPHVWLF SRZHU FDQ FRQWURO WKH SDUDPLOLWDULHV $W D SRROLQJ HTXLOLEULXP WKH KRPH 

JRYHUQPHQW ZLOO FRPPLW PRUH DWURFLWLHV WKDQ LW ZRXOG FRPPLW LQ LVRODWLRQ WR GHPRQVWUDWH WR 

WKH IRUHLJQ SDWURQ WKDW WKH SDUDPLOLWDULHV DUH EH\RQG WKH GRPHVWLF SRZHU V FRQWURO &DVH 

VWXGLHV RI &RORPELD 1RUWKHUQ ,UHODQG DQG 0LGGOH (DVW LOOXVWUDWH WKH PRGHOV 

$'9$1&(6 ,1 7+( $1$/

'(/7$ 

$ 6,03/( 7+(25< 2) ,16,'( 021(< 7+( &$86(6 $1' 

&216(48(1&(6 2) '( 021(7,=$7,21 

.H\ZRUGV EDUWHU GHPRQHWL]DWLRQ DQG LQVLGH PRQH\ 


7KLV SDSHU VWXGLHV WKH FRQGLWLRQV XQGHU ZKLFK SULYDWH GHEWV ,28V VXEVWLWXWH IRU PRQH\ LQ 

D GHFHQWUDOL]HG SURFHVV , SURYLGH D WKHRUHWLFDO IUDPHZRUN ZKHUH WKH PHGLXP RI H[FKDQJH 

LV HQGRJHQRXVO\ FKRVHQ WR EH WKH ,28V LVVXHG E\ WKH DJHQWV ZKR KDYH WKH ORZHVW FRVW RI 

GHEW PDQDJHPHQW DQG ZKR EHFRPH EDQNV ,QWURGXFLQJ KHWHURJHQHLW\ LQ WKH HFRQRP\ , 

VKRZ WKDW WKH XQLTXH GHFHQWUDOL]HG HTXLOLEULXP FDQ \LHOG DQ LQHIILFLHQW RXWFRPH ZKHUH 

DJHQWV GR QRW XVH PRQH\ 7KH VWDWH FDQ DFKLHYH D EHWWHU RXWFRPH LI LW IRUFHV PRQH\ 

FLUFXODWLRQ , VKRZ QHYHUWKHOHVV WKDW WKLV VLPSOH SROLF\ LV GRPLQDWHG E\ DQ RSWLPDO 

PHFKDQLVP 

0DUNXV .QHOO 


&R $XWKRUV + 6WL[ 

$ 0(7$ $1$/

, HVWLPDWH WKH GHPDQG IRU PRQH\ LQ %XOJDULD RYHU D WHQ \HDU SHULRG RI KLJK 

LQIODWLRQ DQG LQIODWLRQ XQFHUWDLQW\ 7KH SDSHU GLVWLQJXLVKHV EHWZHHQ WKUHH ZHOO GHILQHG VXE 

SHULRGV RI KLJK YDULDEOH EXW QRW V\VWHPDWLFDOO\ DFFHOHUDWLQJ LQIODWLRQ IURP XQWLO $SULO 

WKH QHDU K\SHULQIODWLRQ SHULRG IURP 0D\ WR )HEUXDU\ DQG WKH VXEVHTXHQW 

VWDELOL]DWLRQ DIWHU WKH DGRSWLRQ RI D FXUUHQF\ ERDUG 7KH HPSLULFDO DQDO\VLV XWLOLVHV D 

VWDQGDUG PHWKRGRORJ\ RI FR LQWHJUDWLRQ DQG HUURU FRUUHFWLRQ 7KH IXQFWLRQDO GHWHUPLQDQWV 

RI WKH GHPDQG IRU PRQH\ FKDQJH GXULQJ WKH GLIIHUHQW VXE SHULRGV 'XULQJ WKH 

K\SHULQIODWLRQ HSLVRGH ZH HPSOR\ &DJDQ V PRGHO 

6DPXHO 5H\QDUG 

6ZLVV 1DWLRQDO %DQN 

),1$1&,$/ 0$5.(7 3$57,&,3$7,21 :($/7+ $1' 7+( 

(;7(16,9( 0$5*,16 2) 021(< '(0$1' 

.H\ZRUGV )LQDQFLDO 0DUNHW 3DUWLFLSDWLRQ DQG 0RQH\ 'HPDQG 


7KLV SDSHU SUHVHQWV D QHZ PHDVXUH RI WKH HYROXWLRQ RI ILQDQFLDO PDUNHW SDUWLFLSDWLRQ LQ WKH 

8QLWHG 6WDWHV E\ UHODWLQJ SDUWLFLSDWLRQ WR WKH H[WHQVLYH PDUJLQV RI PRQH\ GHPDQG 8VLQJ 

PXOWL SHULRGV FURVV VHFWLRQDO GDWD , UHSRUW D VXEVWDQWLDO LQFUHDVH LQ SDUWLFLSDWLRQ LQ QRQ 

PRQHWDU\ DVVHWV DQG TXDQWLI\ WKH LQIOXHQFH RI ZHDOWK RQ WKDW LQFUHDVH 7KH HYROXWLRQ RI 

ILQDQFLDO PDUNHW SDUWLFLSDWLRQ LV WKHQ XVHG WR DGGUHVV WKH LVVXH RI WKH VWDELOLW\ RI PRQH\ 

GHPDQG , UHODWH WKH LQFUHDVH LQ SDUWLFLSDWLRQ WR WKH SHULRG RI PLVVLQJ PRQH\ DQG WR WKH 

VXEVHTXHQW KLJKHU LQWHUHVW UDWH HODVWLFLW\ RI PRQHWDU\ DJJUHJDWHV 

3(16,21 5()2506 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

&KULVWRSK %RUJPDQQ 

'HSDUWPHQHW RI 3XEOLF )LQDQFH DW WKH 8QLYHUVLW\ RI )UHLEXUJ L %UVJ 

$XJ 

5RRP 3 

/$%25 ,1&20( 5,6. '(02*5$3+,& 5,6. $1' 7+( '(6,*1 2) 

:$*( ,1'(;(' 62&,$/ 6(&85,7< 

.H\ZRUGV GHPRJUDSK\ LQWHUJHQHUDWLRQDO ULVN VKDULQJ DQG VRFLDO VHFXULW\ 

-(/ &ODVVLILFDWLRQ + DQG - 

3D\ DV \RX JR SHQVLRQ SURJUDPV FDQ KHOS WR VKDUH ULVN DPRQJVW 

JHQHUDWLRQV :KLOH D ZDJH LQGH[HG SHQVLRQ SURJUDP LV EHVW VXLWHG 

WR VKDUH ODERU LQFRPH ULVN , VKRZ WKDW WKH FRPELQDWLRQ RI 

VWRFKDVWLF ODERU LQFRPH DQG VWRFKDVWLF SRSXODWLRQ JURZWK PD\ 

UHGXFH WKH SRVVLELOLWLHV IRU LQWHUJHQHUDWLRQDO ULVN VKDULQJ ,Q DQ 

VPDOO RSHQ HFRQRP\ ODERU LQFRPH ULVN FDQ RQO\ EH VKDUHG ZKHQ 

LQGLYLGXDOV DUH DOVR H[SRVHG WR GHPRJUDSKLF ULVN 

'LIIHUHQW SROLFLHV RQ KRZ WKH GHPRJUDSKLF 

XQFHUWDLQW\ LV WUDQVPLWWHG YLD VRFLDO VHFXULW\ DUH DQDO\]HG DQG DQ 

RSWLPDO GHPRJUDSKLF LQGH[DWLRQ LV GHULYHG IRU D VPDOO RSHQ HFRQRP\ 

DQG D FORVHG HFRQRP\

7KRPDV :HLW]HQEOXP 

(85,V&2 XQLYHUVLW\ 3DULV ,; DQG &(35(0$3 

&R $XWKRUV 3 +(1,1 

:(/)$5( ())(&76 2) $/7(51$7,9( 3(16,21 5()2506 

$66(66,1* 7+( 75$16,7,21 &2676 )25 )5(1&+ 62&,2 

2&&83$7,21$/ *52836 

.H\ZRUGV RFFXSDWLRQDO JURXSV 3DUHWR RSWLPDOLW\ SHQVLRQV UHIRUPV UHWLUHPHQW DJH DQG 

WUDQVLWLRQ 

-(/ &ODVVLILFDWLRQ ' + DQG - 

,Q RUGHU WR DVVHVV WKH ZHOIDUH FRVWV DQG JDLQV RI GLIIHUHQW VFHQDULRV RI SHQVLRQ UHIRUPV IRU 

)UHQFK VRFLR RFFXSDWLRQDO JURXSV ZH FRPSXWH WUDQVLWLRQ SDWKV WR WKH VWHDG\ VWDWHV 

UHVXOWLQJ IURP WKH XOWLPDWH HIIHFWV RI UHIRUPV $FFRXQWLQJ IRU GLIIHUHQW LQFRPH DQG PRUWDOLW\ 

ULVNV WRJHWKHU ZLWK EHTXHVWV DOORZV RXU PRGHO WR EHWWHU UHSURGXFH ZHDOWK LQHTXDOLW\ WKDQ 

VWDQGDUG OLIH F\FOH PRGHOV GR $OWHUQDWLYH SHQVLRQV UHIRUPV DUH FRQVLGHUHG FRPELQLQJ L 

UHGXFHG JHQHURVLW\ WKURXJK ORZHU UHSODFHPHQW UDWHV RU SRVWSRQLQJ UHWLUHPHQW LL 

DOWHUQDWLYH ILQDQFLQJ VFKHPHV 7KH FRQVHTXHQFHV RI WKHVH VFHQDULRV RQ PDFUR 

DJJUHJDWHV LQHTXDOLW\ PHDVXUHV DQG DJH JURXS VSHFLILF ZHOIDUH DQG FRQVXPSWLRQ SURILOHV 

DUH FRPSXWHG DW WKH UDWLRQDO H[SHFWDWLRQ HTXLOLEULXP :H ILUVW VKRZ KRZ WKH VLWXDWLRQ RI 

\RXQJ FRKRUWV GHWHULRUDWHV LQ WKH QR UHIRUP FDVH +RZHYHU WKH LQWHUJHQHUDWLRQDO 

UHGLVWULEXWLYH HIIHFWV RI UHIRUPV DUH IRXQG WR EH ODUJH WKXV VXSSRUWLQJ WKH YLHZ WKDW 

VWUXFWXUDO SHQVLRQ UHIRUPV DUH QRW 3DUHWR LPSURYLQJ 

0$7&+,1* $1' 6($5&+ 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

)UDQFHVFR %HOYLVR 


$XJ 

5RRP 3 

),5,1* &2676 $1' 81(03/2

0DUFR &DOLHQGR 

- : *RHWKH 8QLYHUVLW\ RI )UDQNIXUW 

&R $XWKRUV 5 +XMHU DQG / 7KRPVHQ 

1(: (9,'(1&( 21 7+( ())(&76 2) -2% &5($7,21 6&+(0(6 ,1 

*(50$1< $ 0$7&+,1* $3352$&+ :,7+ 7+5(()2/' 

+(7(52*(1(,7< 

.H\ZRUGV (YDOXDWLRQ +HWHURJHQHLW\ -RE &UHDWLRQ 6FKHPHV 0DWFKLQJ DQG 0XOWLSOH 

7UHDWPHQW 

-(/ &ODVVLILFDWLRQ & & + - DQG - 

7KLV SDSHU HYDOXDWHV WKH HIIHFWV RI MRE FUHDWLRQ VFKHPHV RQ WKH SDUWLFLSDWLQJ LQGLYLGXDOV LQ 

*HUPDQ\ 6LQFH 

SUHYLRXV HPSLULFDO VWXGLHV RI WKHVH PHDVXUHV KDYH EHHQ EDVHG RQ UHODWLYHO\ VPDOO 

GDWDVHWV DQG IRFXVVHG RQ (DVW *HUPDQ\ WKLV LV WKH ILUVW VWXG\ ZKLFK DOORZV WR GUDZ SROLF\ 

UHOHYDQW FRQFOXVLRQV 

7KH YHU\ LQIRUPDWLYH DQG H[KDXVWLYH GDWDVHW DW KDQG QRW RQO\ 

MXVWLILHV WKH DSSOLFDWLRQ RI D PDWFKLQJ HVWLPDWRU EXW DOVR DOORZV 

WR WDNH DFFRXQW RI WKUHHIROG KHWHURJHQHLW\ 7KH UHFHQWO\ GHYHORSHG 

PXOWLSOH WUHDWPHQW IUDPHZRUN LV XVHG WR HYDOXDWH WKH HIIHFWV ZLWK 

UHVSHFW WR UHJLRQDO LQGLYLGXDO DQG SURJUDPPH KHWHURJHQHLW\ 7KH 

UHVXOWV VKRZ FRQVLGHUDEOH GLIIHUHQFHV ZLWK UHVSHFW WR WKHVH 

VRXUFHV RI KHWHURJHQHLW\ EXW WKH RYHUDOO ILQGLQJ LV YHU\ FOHDU 

$W WKH HQG RI RXU REVHUYDWLRQ SHULRG WKDW LV WZR \HDUV DIWHU WKH 

VWDUW RI WKH SURJUDPPHV SDUWLFLSDQWV LQ MRE FUHDWLRQ VFKHPHV KDYH 

D VLJQLILFDQWO\ ORZHU VXFFHVV SUREDELOLW\ RQ WKH ODERXU PDUNHW LQ 

FRPSDULVRQ WR PDWFKHG QRQ SDUWLFLSDQWV 

'DQLHO 0XQLFK 

&(5*( (, 3UDJXH 

&R $XWKRUV 6 -XUDMGD 

0$7&+,1* 6.,// ,1 75$16,7,21 

.H\ZRUGV &]HFK DQG 6ORYDN 5HSXEOLF DQG *HUPDQ\ 7UDQVLWLRQDO (FRQRPLHV DQG 

8QHPSOR\PHQW 


,Q WKLV SDSHU FRPSDUDEOH GLVWULFW OHYHO GDWDVHWV IURP WKH &]HFK DQG 6ORYDN 5HSXEOLFV DQG 

(DVW *HUPDQ\ DUH XVHG WR SURYLGH HYLGHQFH RQ XQHPSOR\PHQW G\QDPLFV XQGHU GLIHUHQW 

WUDQVLWLRQDO UHJLPHV 'HYHORSPHQWV LQ :HVW *HUPDQ ODQGV DUH XVHG DV D EHQFKPDUN IRU 

FRPSDULVVRQ 0DWFKLQJ IXQFWLRQV DUH HVWLPDWHG IRU WKH ZKROH SHULRG RI WKH V 7KH 

DQDO\VLV VKRZV WKDW WUDQVLWLRQDO FRXQWULHV GLIIHU LQ WKH WLPLQJ DQG VSHHG RI UHVWUXFWXULQJ DV 

LW WUDQVODWHV LQWR REVHUYDEOH G\QDPLFV RI ODERU PDUNHW IORZV 7KH ODERU PDUNHW G\QDPLFV LV 

IRXQG WR FRQYHUJH WR :HVW *HUPDQ SDWWHUQV LQ WKH &]HFK 5HSXEOLF DQG WKH (DVW *HUPDQ\ 

EXW QRW LQ 6ORYDNLD ([WHQVLYH XVH RI DFWLYH HPSOR\PHQW PHDVXUHV LQ WKH (DVW *HUPDQ\ 

OHDGV WR ELDVHV LQ FRPPRQO\ XVHG VWDWLVWLFDO LQGLFDWRUV DQG FDQ OHDG WR PLVOHDGLQJ 

FRQFOXVLRQV

(OHRQRUD 3DWDFFKLQL 

8QLYHUVLW\ RI 6RXWKDPSWRQ 

&R $XWKRUV < =HQRX 

6($5&+ ,17(16,7< &267 2) /,9,1* $1' /2&$/ /$%25 

0$5.(76 ,1 %5,7$,1 

.H\ZRUGV G\QDPLF SDQHO GDWD MRE PDWFKLQJ MRE VHDUFK DQG VSDWLDO FRUUHODWLRQ 

-(/ &ODVVLILFDWLRQ & ' - DQG 5 

$ PRGHO LV FRQVLGHUHG LQ ZKLFK RSWLPDO VHDUFK LQWHQVLW\ LV D UHVXOW RI D WUDGH RII EHWZHHQ 

VKRUW UXQ ORVVHV GXH WR KLJKHU VHDUFK FRVWV DQG ORQJ UXQ JDLQV GXH WR D KLJKHU FKDQFH RI 

ILQGLQJ D MRE :H VKRZ WKDW WKLV RSWLPDO VHDUFK LQWHQVLW\ LV KLJKHU LQ DUHDV FKDUDFWHUL]HG 

E\ ODUJHU FRVW RI OLYLQJ DQG RU KLJKHU ODERU PDUNHW WLJKWQHVV :H WKHQ WHVW WKLV PRGHO XVLQJ 

FRXQW\ OHYHO GDWD LQ (QJODQG IRU WKH SHULRG %RWK WKH FRXQW\ FRVW RI OLYLQJ DQG 

WKH FRXQW\ ODERU PDUNHW WLJKWQHVV DUH IRXQG WR KDYH D SRVLWLYH DQG VLJQLILFDQW HIIHFW RQ 

WKH FRXQW\ VHDUFK LQWHQVLW\ 

,1'8675,$/ 25*$1,=$7,21 (03,5,&$/ 

&2175,%87,216 3267(5 6(66,21 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

)UpGpULTXH )HYH 

8QLYHUVLW\ RI 7RXORXVH *UHPDT DQG ,'(, 

&R $XWKRUV - &5(0(5 DQG - )ORUHQV 

7+( 0$5.(7 2) /$81&+,1* 9(+,&/(6 )25 

7(/(&20081,&$7,21 6$7(//,7(6 

.H\ZRUGV ODXQFK 1DVK HTXLOLEULXP DQG ROLJRSROLVWLF FRPSHWLWLRQ 

-(/ &ODVVLILFDWLRQ / 

$XJ 

5RRP 3 

7KH REMHFWLYH RI WKLV SDSHU LV WR FRQVWUXFW D FDOLEUDWHG PRGHO RI VSDWLDO ODXQFKLQJ YHKLFOH 

LQGXVWU\ 7KLV LQGXVWU\ LV FKDUDFWHULVHG E\ ROLJRSROLVWLF FRPSHWLWLRQ DV WKH PDUNHW LV 

FRPSRVHG RI WKH HXURSHDQ FRQVWUXFWRU $ULDQHVSDFH DQG WZR DPHULFDQ ILUPV /RFNHHG 

0DUWLQ DQG %RHLQJ 7KH PRGHO DLPV DW DQDO\VLQJ WKH RSWLPXP EHKDYLRU RI WKH HXURSHDQ 

FRQVWUXFWRU LQ RUGHU WR UHGXFH FRVWV RI SURGXFWLRQ 1DVK HTXLOLEULXP RI WKH JDPH LV 

FRPSXWHG :H VKRZ WKDW WKH JRYHUQPHQW VKRXOG VXEVLG\ WKH FRVWV UHGXFWLRQ RI 

$ULDQHVSDFH LQ RUGHU WR PDLQWDLQ QRQ QHJDWLYH SURILWV GXULQJ WKH FRVWV UHGXFWLRQ SURFHVV 

7HUH]D 7\NYRYD 

=(: 

,6 7+( %(+$9,25 2) *(50$1 9(1785( &$3,7$/,676 675$1*("

(9,'(1&( )520 7+( 1(8(5 0$5.7 

.H\ZRUGV ,32 /RFN XS 1HXHU 0DUNW DQG 9HQWXUH &DSLWDO 


8VLQJ D KDQG FROOHFWHG GDWDEDVH RI DOO YHQWXUH EDFNHG 

ILUPV OLVWHG RQ *HUPDQ\ V 1HXHU 0DUNW ZH DQDO\]H WKH 

KLVWRU\ RI YHQWXUH FDSLWDO ILQDQFLQJ RI WKHVH ILUPV EHIRUH WKH ,32 

DQG WKH EHKDYLRU RI YHQWXUH FDSLWDOLVWV DW WKH ,32 :H FDQ GHWHFW 

VLJQLILFDQW GLIIHUHQFHV LQ WKH EHKDYLRU DQG FKDUDFWHULVWLFV RI 

*HUPDQ YV IRUHLJQ YHQWXUH FDSLWDO ILUPV *HUPDQ YHQWXUH FDSLWDOLVWV DUH W\SLFDOO\ \RXQJHU 

DQG VPDOOHU 7KH\ WDNH FRPSDQLHV ZLWK ORZHU RIIHULQJ YROXPHV RQ WKH PDUNHW 7KH\ 

V\QGLFDWH OHVV ILQDQFH ILUPV LQ D ODWHU VWDJH FDUU\ WKURXJK 

IHZHU LQYHVWPHQW URXQGV DQG WDNH WKHLU SRUWIROLR ILUPV SXEOLF HDUOLHU ,Q FRPSDQLHV ZKHUH D 

*HUPDQ ILUP LV WKH OHDG YHQWXUH FDSLWDOLVW WKH IUDFWLRQ RI HTXLW\ KHOG E\ WKH JURXS RI 

YHQWXUH 

FDSLWDOLVWV LV ORZHU WKHLU VHOOLQJ LQWHQVLW\ DW WKH ,32 LV KLJKHU 

DQG WKH FRPPLWWHG ORFN XS SHULRG LV ORQJHU 7KH GLVFUHSDQF\ FDQ EH H[SODLQHG E\ WKH 

JUDQGVWDQGLQJ SKHQRPHQRQ WKH YDOXH DGGHG K\SRWKHVLV DQG 

FHUWLILFDWLRQ LVVXHV 

9RORG\P\U %LORWNDFK 

8QLYHUVLW\ RI $UL]RQD 'HSDUWPHQW RI (FRQRPLFV 

())(&76 2) $,5/,1( $//,$1&(6 21 )$5(6 21 7+( 

75$16$7/$17,& 0$5.(7 620( (03,5,&$/ (9,'(1&( 

.H\ZRUGV $LUOLQH $OOLDQFHV $QWLWUXVW ,PPXQLW\ DQG &RGHVKDULQJ 


7KLV SDSHU SUHVHQWV DQ LQYHVWLJDWLRQ RI SULFH HIIHFWV RI DLUOLQH FRQVROLGDWLRQ RQ WKH 

WUDQVDWODQWLF PDUNHW XVLQJ WKH 86 '27 'DWD %DQN $ IRU WKH WKLUG TXDUWHU RI 7KUHH 

PHDVXUHV RI FRRSHUDWLRQ EHWZHHQ DLUOLQHV DUH FRQVLGHUHG FRGHVKDULQJ DOOLDQFH 

PHPEHUVKLS DQG DQWLWUXVW LPPXQLW\ -RLQLQJ DLUOLQHV£ QHWZRUN WKURXJK FRGHVKDULQJ 

GHFUHDVHV LQWHUOLQH IDUHV E\ WR SHUFHQW UHODWLYH WR WKRVH RI QRQ FRQVROLGDWHG FDUULHUV 

6RPH HYLGHQFH VXJJHVWLQJ DOOLDQFH PHPEHUVKLS GHFUHDVHV IDUHV LV DOVR REVHUYHG 

$QWLWUXVW LPPXQLW\ KDV QR VLJQLILFDQW SULFH HIIHFW 7KLV SDSHU LV WKH ILUVW UHVHDUFK WKDW 

SUHVHQWV HPSLULFDO HYLGHQFH WKDW DQWLWUXVW LPPXQLW\ GRHV QRW E\ LWVHOI OHDG WR ORZHU LQWHUOLQH 

IDUHV 

*52:7+ $1' 08/7,3/( (48,/,%5,$ 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

:HL 3DQJ 

8QLYHUVLW\ RI %LUPLQJKDP 

&R $XWKRUV ' .HOVH\ 

$XJ 

5RRP 3

$0%,*8,7< ,1 0$&52(&2120,&6 7+( ,03/,&$7,216 )25 7+( 

%,* 386+ $1' 08/7,3/,(5 

.H\ZRUGV TXRW ELJ SXVK TXRW 0XOWLSOLHU 2SWLPLVP 3HVVLPLVP DQG 6WUDWHJLF 

&RPSOHPHQWV 

-(/ &ODVVLILFDWLRQ ' DQG ( 

:H LQYHVWLJDWH WKH HIIHFW RI DPELJXLW\ LQ FRRUGLQDWLRQ JDPHV ZLWK SUHVHQFH RI VWUDWHJLF 

FRPSOHPHQWV :H IRXQG WKH VXIILFLHQW DPELJXLW\ ZLOO OHDG WR XQLTXHQHVV RI HTXLOLEULXP LQ 

VXFK JDPHV ,Q SDUWLFXODUO\ H[WUHPH RSWLPLVP ZLOO FUHDWH 3DUHWR RSWLPDO HTXLOLEULXP 

ZKLFK LQ RXU DSSOLHG H[DPSOH RI %LJ 3XVK JDPH LV WKH ERRPLQJ DQG LQGXVWULDOL]HG 

HFRQRP\ &RQYHUVHO\ H[WUHPH SHVVLPLVP FDXVH RQO\ 3DUHWR LQIHULRU HTXLOLEULXP VXUYLYH 

ZKLFK FRUUHVSRQGV WR WKH VWXFN LQHIILFLHQW HFRQRP\ &RPSDUDWLYH VWDWLFV UHVXOWV IXUWKHU 

VKRZ WKDW PRUH RSWLPLVP ZLOO LQFUHDVH WKH HIIRUW OHYHO SOD\HG LQ KLJKHVW DQG ORZHVW 

HTXLOLEULD EXW SHVVLPLVP KDV RSSRVLWH HIIHFWV 0RUHRYHU ZH ILQG WKH LQFUHDVHG DPELJXLW\ 

ZLOO GHFUHDVH PXOWLSOLHU HIIHFWV LQ ERWK FDVH RI VXIILFLHQW SHVVLPLVP DQG RSWLPLVP 

)ORULDQ (QJOPDLHU 


&R $XWKRUV 0 5HLVLQJHU 

,1)250$7,21 &225',1$7,21 $1' 7+( ,1'8675,$/,6$7,21 2) 

&28175,(6 

.H\ZRUGV &RRUGLQDWLRQ 'HYHORSPHQW *OREDO *DPHV ,QGXVWULDOLVDWLRQ DQG ,QIRUPDWLRQ 

-(/ &ODVVLILFDWLRQ & & ' ) 2 DQG 2 

7KH LQGXVWULDOLVDWLRQ SURFHVV RI D FRXQWU\ LV RIWHQ SODJXHG E\ D IDLOXUH WR FRRUGLQDWH ILUPV 

LQYHVWPHQW GHFLVLRQV 8VLQJ WKH *OREDO *DPHV DSSURDFK ZH FDQ VROYH WKLV FRRUGLQDWLRQ 

SUREOHP DQG HOLPLQDWH WKH SUREOHP RI PXOWLSOH HTXLOLEULD :H VKRZ KRZ DSSURSULDWH 

LQIRUPDWLRQ SURYLVLRQ HQKDQFHV HIILFLHQF\ :H DUJXH WKDW VXEVLGLHV PD\ EH D SURSHUW\ RI D 

VLJQDOOLQJ HTXLOLEULXP WR RYHUFRPH FUHGLELOLW\ SUREOHPV LQ LQIRUPDWLRQ SURYLVLRQ :H SRLQW 

DW SRVVLEOH SUREOHPV ZLWK RYHUUHDFWLRQ WR SXEOLF LQIRUPDWLRQ DQG VHTXHQFLQJ RI WKH 

LQGXVWULDOLVDWLRQ SURFHVV 

$QL *XHUGMLNRYD 

$OIUHG :HEHU ,QVWLWXWH 8QLYHUVLW\ RI +HLGHOEHUJ 

21 7+( '(),1,7,21 $1' (;,67(1&( 2) $1 (48,/,%5,80 ,1 $ 

),1$1&,$/ 0$5.(7 :,7+ &$6( %$6(' '(&,6,21 0$.(56 

.H\ZRUGV $66(7 0$5.(76 &$6( %$6(' '(&,6,21 7+(25< (48,/,%5,80 DQG 

(;,67(1&( 2) $1 (48,/,%5,80 

-(/ &ODVVLILFDWLRQ ' ' DQG * 

, FRQVLGHU DQ RYHUODSSLQJ JHQHUDWLRQV HFRQRP\ ZLWK D IL[HG VXSSO\ RI DVVHWV 7KH 

LQYHVWRUV LQ WKH HFRQRP\ DUH FDVH EDVHG GHFLVLRQ PDNHUV ZKR HYDOXDWH DQ DVVHW 

DFFRUGLQJ WR LWV SDVW SHUIRUPDQFH , GHILQH D WHPSRUDU\ HTXLOLEULXP IRU WKH HFRQRP\ DQG 

VKRZ H[LVWHQFH XQGHU TXLWH JHQHUDO FRQGLWLRQV (TXLOLEULD LQ ZKLFK VRPH RI WKH DVVHW

SULFHV DUH FDQQRW EH H[FOXGHG LQ JHQHUDO $ PDUNHW SRSXODWHG E\ FDVH EDVHG GHFLVLRQ 

PDNHUV LV WKHUHIRUH QRW LQIRUPDWLRQDOO\ HIILFLHQW LQ JHQHUDO DQG DOORZV IRU DUELWUDJH 

SRVVLELOLWLHV 

5H\HU *HUODJK 

,QVWLWXWH IRU (QYLURQPHQWDO 6WXGLHV 9ULMH 8QLYHUVLWHLW $PVWHUGDP 

,1'8&(' 7(&+12/2*,&$/ &+$1*( 81'(5 7(&+12/2*< 

&203(7,7,21 

.H\ZRUGV LQGXFHG WHFKQRORJLFDO FKDQJH SDWK GHSHQGHQFH DQG UHVRXUFH HFRQRPLFV 

-(/ &ODVVLILFDWLRQ + 2 2 4 DQG 4 

:H VWXG\ WHFKQRORJLFDO FKDQJH LQGXFHG E\ FKDQJHV LQ UHVRXUFH SULFHV LQ D PRGHO ZLWK 

FDSLWDO QDWXUDO UHVRXUFHV ODERU DQG HQGRJHQRXV WHFKQRORJLFDO FKDQJH WKURXJK UHVHDUFK 

L :KHQ WKHUH LV RQH UHSUHVHQWDWLYH WHFKQRORJ\ DQG RXWSXW GHPDQG LV LQHODVWLF WR SULFHV 

LQGXFHG WHFKQRORJLFDO FKDQJH LV LQVLJQLILFDQW LQ UHGXFLQJ UHVRXUFH XVH ,Q FRQWUDVW LL 

ZKHQ ZH DOORZ IRU WZR FRPSHWLQJ WHFKQRORJLHV WKDW SURGXFH JRRG VXEVWLWXWHV LQGXFHG 

WHFKQRORJLFDO FKDQJH DFFHOHUDWHV VXEVWLWXWLRQ $OVR LLL LQ FDVH RI WZR WHFKQRORJLHV 

PXOWLSOH EDODQFHG JURZWK SDWKV FDQ H[LVW WKDW DUH ORFDOO\ VWDEOH DQG UHVRXUFH SULFHV FDQ 

PRYH WKH HFRQRP\ IURP D UHVRXUFH LQWHQVLYH SDWK WR D UHVRXUFH H[WHQVLYH SDWK 

,1'8675,$/ 25*$1,6$7,21 ,, 


&KDLUSHUVRQ - )DONLQJHU 

.RQUDG 6WDKO 


&R $XWKRUV 3 /HJURV 

*/2%$/ 96 /2&$/ &203(7,7,21 

$XJ 

5RRP ( 

.H\ZRUGV JOREDO FRPSHWLWLRQ PRQRSRO\ ROLJRSRO\ SULFH YV TXDOLW\ FRPSHWLWLRQ DQG 

VHDUFK 

-(/ &ODVVLILFDWLRQ ' / / DQG / 

:H DQDO\]H WKH LPSDFW RI LQFUHDVHG RXWVLGH RSSRUWXQLWLHV EURXJKW E\ LPSURYHG DFFHVV WR 

D JOREDO PDUNHW RQ ORFDO PDUNHW SHUIRUPDQFH XQGHU PRQRSRO\ YV ROLJRSRO\ :H VKRZ WKDW 

XQGHU ERWK IRUPV RI PDUNHW RUJDQL]DWLRQ LQFUHDVHG FRPSHWLWLRQ IURP WKH JOREDO PDUNHW ZLOO 

FURZG RXW YDULHW\ ,W DOVR UHGXFHV SULFHV XQGHU PRQRSRO\ EXW LQFUHDVHV SULFHV XQGHU 

ROLJRSRO\ ([ DQWH ORFDO ZHOIDUH LQFUHDVHV XQGHU PRQRSRO\ \HW GHFUHDVHV XQGHU 

ROLJRSRO\ :H FKHFN WKH UREXVWQHVV RI WKHVH UHVXOWV LQ YDULRXV H[WHQVLRQV DQG GUDZ 

FRQVHTXHQFHV RQ FRPSHWLWLRQ DQG LQGXVWULDO SROLFLHV 

,QJPDU 1\PDQ 

+XQWHU &ROOHJH &81

&R $XWKRUV - &XPPLQV 

7+( '$5. 6,'( 2) &203(7,7,9( 35(6685( 

.H\ZRUGV &RPSHWLWLRQ ,QFHQWLYHV DQG ,QIRUPDWLRQ $JJUHJDWLRQ 

-(/ &ODVVLILFDWLRQ ' ' DQG ' 

2QH RI WKH PRVW EDVLF SULQFLSOHV LQ HFRQRPLFV LV WKDW FRPSHWLWLYH SUHVVXUH SURPRWHV 

HIILFLHQF\ +RZHYHU WKLV SUHVVXUH FDQ DOVR KDYH D GDUN VLGH EHFDXVH LW PDNHV ILUPV 

UHOXFWDQW WR DFW RQ SULYDWH LQIRUPDWLRQ WKDW LV XQSRSXODU ZLWK FRQVXPHUV $V D UHVXOW ILUPV 

WKDW SRVVHVV VXSHULRU LQIRUPDWLRQ DERXW WKH FRQVHTXHQFHV RI WKHLU DFWLRQV IRU FRQVXPHUV 

ZHOIDUH PD\ FKRRVH QRW WR XVH LW :H GHYHORS WKLV LGHD LQ D VLPSOH PRGHO RI GHOHJDWHG 

LQYHVWPHQW LQ ZKLFK DJHQWV DUH IXOO\ UDWLRQDO DQG ULVN QHXWUDO 

DQG DJHQF\ SUREOHPV DUH DEVHQW :H VKRZ WKDW FRPSHWLWLYH SUHVVXUH REOLJHV 

ILUPV WR PDNH LQHIILFLHQW GHFLVLRQV ZKHQ WKHLU LQIRUPDWLRQ DGYDQWDJH 

RYHU FRQVXPHUV LV UHODWLYHO\ VPDOO 7KLV UHVXOW FRXOG EH DSSOLHG 

WR D EURDG UDQJH RI HFRQRPLFDOO\ LPSRUWDQW VLWXDWLRQV 

$[HO *DXWLHU 

&(5(& )86/ DQG &25( 

&20021 $1' 6(3$5$7( 2:1(56+,3 2) 352-(&76 

.H\ZRUGV &RQJORPHUDWH ,QWHUQDO DQG H[WHUQDO FDSLWDO PDUNHW 0DUNHWV DQG KLHUDUFKLHV 

DQG 1DWXUH RI WKH ILUP 

-(/ &ODVVLILFDWLRQ ' * * DQG / 

7KLV SDSHU SRLQWV RXW WKH GLIIHUHQFHV EHWZHHQ FRQGXFWLQJ VHYHUDO SURMHFWV ZLWKLQ RQH ELJ 

ILUP FRPPRQ RZQHUVKLS DQG FRQGXFWLQJ HDFK SURMHFW ZLWKLQ DQ LQGHSHQGHQW ILUP 

VHSDUDWH RZQHUVKLS 5HGLVWULEXWLRQ RI UHVRXUFHV DFURVV SURMHFWV RQ DQ LQWHUQDO FDSLWDO 

PDUNHW XQGHU FRPPRQ RZQHUVKLS LV QRW HTXLYDOHQW WR UHGLVWULEXWLRQ RQ DQ H[WHUQDO FDSLWDO 

PDUNHW XQGHU VHSDUDWH RZQHUVKLS 7KLV LQ WXUQ PRGLILHV WKH LQFHQWLYHV WR FUHDWH UHVRXUFHV 

LQ WKH WZR RZQHUVKLS VWUXFWXUHV 

(92/87,21 $1' /($51,1* ,, 


&KDLUSHUVRQ & .X]PLFV 

7KRPDV 5LHFKPDQQ 

8QLYHUVLW\ RI 0DJGHEXUJ 

$XJ 

5RRP ( 

5(/$7,9( 3$

(YROXWLRQDU\ G\QDPLFV LQ JDPHV LPSO\ GH IDFWR VSLWHIXO EHKDYLRU RI WKH SOD\HUV ,Q RUGHU WR 

VXUYLYH WKH HYROXWLRQDU\ SURFHVV SOD\HUV PXVW SHUIRUP EHWWHU WKDQ WKHLU RSSRQHQWV 7KLV 

PHDQV WKH\ PD[LPL]H UHODWLYH UDWKHU WKDQ DEVROXWH SD\RIIV 7KH SDSHU VKRZV WKDW WKHUH LV 

D FODVV RI JDPHV UHVXOWLQJ LQ GLIIHUHQW HTXLOLEULD LI SOD\HG E\ PD[LPL]HUV RI DEVROXWH RU RI 

UHODWLYH SD\RIIV UHVSHFWLYHO\ ,W LV GHPRQVWUDWHG WKDW HYROXWLRQDU\ HTXLOLEULD JHQHUDO (66 

FDQ EH IRXQG E\ IRUPDOO\ PD[LPL]LQJ UHODWLYH SD\RIIV 7KLV PHWKRG LV DQDO\WLFDOO\ GHGXFHG 

DQG GHPRQVWUDWHG DW WKH H[DPSOHV RI IRXU ZHOO NQRZQ JDPHV WKH &RXUQRW ROLJRSRO\ JDPH 

WKH SXEOLF JRRGV JDPH WKH 7XOORFN JDPH RI UHQW VHHNLQJ DQG WKH YDQ 

+X\FN %DWWDOLR %HLO FRRUGLQDWLRQ JDPH 

.DUO 6FKODJ 

(XURSHDQ 8QLYHUVLW\ ,QVWLWXWH 

6(/(&7,1* 6,03/( 58/(6 )25 5(3($7(' '(&,6,21 0$.,1* 

86,1* 0,1,0$; 5(*5(7 $1' :2567 &$6( 35,256 

.H\ZRUGV FORVHQHVV WR LGHDO PLQPD[ UHJUHW DQG 6WRFKDVWLF DXWRPDWD 


:H FRQVLGHU UHSHDWHG GHFLVLRQ PDNLQJ EHWZHHQ WZR DFWLRQV LQ D VWDWLRQDU\ HQYLURQPHQW 

ZKHQ SD\RIIV EHORQJ WR D NQRZQ ERXQGHG LQWHUYDO :H VHOHFW DPRQJ UXOHV XVLQJ D JLYHQ 

ILQLWH QXPEHU RI VWDWHV DFFRUGLQJ WR PLQLPD[ UHJUHW DQG D OH[LFRJUDSKLF YDULDQW WKHUHRI 

0LQLPD[ UHJUHW LV HTXLYDOHQW WR %D\HVLDQ GHFLVLRQ PDNLQJ XQGHU WKH SULRU ZKHUH OHDUQLQJ LV 

PRVW GLIILFXOW :H GHPRQVWUDWH WKH YDOXH RI OLQHDULW\ WKH GLIILFXOW\ RI OHDUQLQJ ZKHQ SD\RIIV 

DUH H[WUHPH DQG VKRZ WKDW D UXOH ZLWKRXW PHPRU\ RI SUHYLRXV URXQGV FDQ DWWDLQ PLQLPD[ 

UHJUHW XQGHU VXIILFLHQW P\RSLD :H VHOHFW DPRQJ UXOHV WKDW FRQGLWLRQ RQ WKH SUHYLRXV WZR 

DFWLRQV FKRVHQ DQG DPRQJ UXOHV ZLWK WZR VWDWHV 

)ORULDQ +HUROG 


67,&. 25 &$5527" *5283 6(/(&7,21 $1' 7+( (92/87,21 2) 

5(&,352&$/ 35()(5(1&(6 

.H\ZRUGV &R HYROXWLRQ (YROXWLRQ RI 3UHIHUHQFHV )DLUQHVV *URXS 6HOHFWLRQ DQG 

5HFLSURFLW\ 

-(/ &ODVVLILFDWLRQ & ' ' DQG ' 

7KLV SDSHU VWXGLHV WKH HYROXWLRQ RI ERWK FKDUDFWHULVWLFV RI UHFLSURFLW\ WKH ZLOOLQJQHVV WR 

UHZDUG IULHQGO\ EHKDYLRU SRVLWLYH UHFLSURFLW\ DQG WKH ZLOOLQJQHVV WR SXQLVK KRVWLOH 

EHKDYLRU QHJDWLYH UHFLSURFLW\ )LUVWO\ SRVLWLYHO\ UHFLSURFDO DQG QHJDWLYHO\ UHFLSURFDO 

SUHIHUHQFHV FDQ VXUYLYH HYROXWLRQ SURYLGHG LQGLYLGXDOV LQWHUDFW ZLWKLQ VHSDUDWHG JURXSV 

7KLV KROGV HYHQ ZLWK UDQGRPO\ IRUPHG JURXSV DQG ZKHQ LQGLYLGXDO SUHIHUHQFHV DUH 

XQREVHUYDEOH 6HFRQGO\ SRVLWLYHO\ UHFLSURFDO SUHIHUHQFHV FRH[LVW ZLWK VHOI LQWHUHVWHG 

SUHIHUHQFHV LQ HTXLOLEULXP %XW QHJDWLYHO\ UHFLSURFDO SUHIHUHQFHV HLWKHU YDQLVK RU GRPLQDWH 

WKH SRSXODWLRQ HQWLUHO\ $QG WKLUGO\ WKH HYROXWLRQ RI SRVLWLYHO\ UHFLSURFDO DQG WKH HYROXWLRQ 

RI QHJDWLYHO\ UHFLSURFDO SUHIHUHQFHV LQIOXHQFH HDFK RWKHU GHFLVLYHO\ 3RVLWLYHO\ UHFLSURFDO 

SUHIHUHQFHV HQKDQFH WKH HYROXWLRQ RI QHJDWLYH UHFLSURFLW\ EXW QHJDWLYHO\ UHFLSURFDO 

SUHIHUHQFHV FURZG RXW SRVLWLYH UHFLSURFLW\

*$0( 7+(25< ,, 


&KDLUSHUVRQ + 0DWWKHZ 

+LGHR 6XHKLUR 

.REH 8QLYHUVLW\ -DSDQ 

&R $XWKRUV + .RED\DVKL 

(0(5*(1&( 2) /($'(56+,3 ,1 7($06 

.H\ZRUGV HQGRJHQRXV WLPLQJ JDPH OHDGHUVKLS DQG WHDP SURGXFWLRQ 

-(/ &ODVVLILFDWLRQ & DQG ' 

$XJ 

5RRP ( 

:H VWXG\ LI OHDGHUVKLS HPHUJHV HQGRJHQRXVO\ LQ DQ XQVWUXFWXUHG WHDP IRU SURGXFWLRQ 

(DFK DJHQW KDV SDUWLDO LQIRUPDWLRQ DERXW WKH WHDP SURGXFWLYLW\ (DFK DJHQW PD\ WDNH D 

SURGXFWLYH DFWLRQ LQ RQH RI WZR SHULRGV :H IRXQG WZR &KR .UHSV VWDEOH RXWFRPHV ,Q RQH 

RXWFRPH DQ DJHQW PRYHV ILUVW RQO\ ZKHQ KH KDV H[WUHPHO\ RSWLPLVWLF LQIRUPDWLRQ ,Q WKH 

RWKHU KH GRHV XQOHVV KH LV H[WUHPHO\ SHVVLPLVWLF 7KH IRUPHU RXWFRPH H[LVWV DOZD\V ZKLOH 

WKH ODWWHU GRHV RQO\ LI XQFHUWDLQW\ LV VPDOO )RU LQIRUPDWLRQ JLYHQ D OHDGHU LQYHVWV PRUH 

HIIRUW LQ WKH IRUPHU RXWFRPH WKDQ LQ WKH ODWWHU 

5DPRQ ;LIUp 2OLYD 

8QLYHUVLGDG &DUORV ,,, GH 0DGULG 

:(// ,1)250(' (;3(576 $*5(( 

.H\ZRUGV FRLQFLGHQFH FRPPXQLFDWLRQ H[WHUQDO FRQFHUQV DQG LQIRUPDWLRQ DFTXLVLWLRQ 


7ZR SOD\HUV ZDQW WR HVWLPDWH WKH YDOXH RI D YDULDEOH %RWK SOD\HUV DUH RI RQH RI WZR 

SRVVLEOH W\SHV DOWUXLVWLF RU VSLWHIXO (DFK SOD\HU NQRZV KLV RZQ W\SH EXW QRQH LV VXUH 

DERXW WKH RWKHU V 7KH\ ERWK H[HUW HIIRUW WR DFTXLUH LPSHUIHFW LQIRUPDWLRQ DERXW WKH 

YDULDEOH FRPPXQLFDWH LW WR WKH RWKHU IRU IUHH DQG FKRRVH WKHLU UHVSHFWLYH EHWWHU 

HVWLPDWH RI WKH YDULDEOH ,Q WKH FRPPXQLFDWLRQ SKDVH XQFHUWDLQW\ DERXW WKH VHQGHU V 

SUHIHUHQFHV OHDGV WKH UHFHLYHU WR GLVFRXQW LQIRUPDWLRQ SDUWLDOO\ 7KLV KLWV ERWK SULYDWH 

ZHDNHQLQJ IUHH ULGLQJ DQG H[WHUQDO XQGHUPLQLQJ FUHGLELOLW\ LQIRUPDWLRQ DFTXLVLWLRQ 

LQFHQWLYHV ,Q WKH FDVH RI V\PPHWULF XQFHUWDLQW\ WKH UHVXOWLQJ HIIHFW OLQNV KLJKHU FRUUHODWLRQ 

RI ILQDO HVWLPDWHV ZLWK WKHLU EHWWHU H[SHFWHG SHUIRUPDQFH 1RQ LQIRUPHG SXEOLF DZDLWLQJ IRU 

H[SHUW DGYLFH FRXOG WKHUHIRUH MXGJH RI ERWK SOD\HUV HIIRUW LQWHQVLW\ DQG VXFFHVV E\ WKH 

FRLQFLGHQFH RI WKHLU UHSRUWV 

0DUFR 2WWDYLDQL 


121 )8//< 675$7(*,& ,1)250$7,21 75$160,66,21 

.H\ZRUGV FRPPXQLFDWLRQ FRQIOLFW RI LQWHUHVW DQG QDLYH EHKDYLRU 

-(/ &ODVVLILFDWLRQ ' ' DQG *

%XLOGLQJ RQ &UDZIRUG DQG 6REHO V JHQHUDO FRPPXQLFDWLRQ PRGHO WKLV SDSHU 

LQWURGXFHV WKH SRVVLELOLW\ WKDW SOD\HUV DUH QRQ VWUDWHJLF 7KH VHQGHU PLJKW EH KRQHVW 

WUXWKIXOO\ UHSRUWLQJ SULYDWH LQIRUPDWLRQ RU WKH UHFHLYHU PLJKW EH QDLYH EOLQGO\ LPSOHPHQWLQJ 

WKH VHQGHU V UHFRPPHQGDWLRQV ,Q FRQWUDVW WR WKH SUHGLFWLRQV RI WKH IXOO\ VWUDWHJLF PRGHO 

ZH VKRZ WKDW HTXLOLEULXP FRPPXQLFDWLRQ LV LQIODWHG EXW GHWDLOHG DQG WKDW WKH HTXLOLEULXP 

RXWFRPH LV ELDVHG LQ DQ H[ DQWH VHQVH 2XU ILQGLQJV DUH UHOHYDQW WR XQGHUVWDQGLQJ 

FRPPXQLFDWLRQ E\ ILQDQFLDO DQDO\VWV DQG DFDGHPLF HYDOXDWRUV 

,17(51$7,21$/ (&2120,&6 , 


&KDLUSHUVRQ $ :RRGODQG 

(VSHQ +HQULNVHQ 

&DUQHJLH 0HOORQ 8QLYHUVLW\ 

$XJ 

5RRP ( 

$ '(02*5$3+,& (;3/$1$7,21 2) 8 6 $1' -$3$1(6( &855(17 

$&&2817 %(+$9,25 

.H\ZRUGV &XUUHQW DFFRXQW GHPRJUDSKLFV -DSDQ DQG 86$ 

-(/ &ODVVLILFDWLRQ ( ( ) DQG ) 

'XULQJ WKH ODVW WZR GHFDGHV DFDGHPLFV DQG SROLF\ PDNHUV KDYH EHHQ SX]]OHG E\ WKH 

ODUJH DQG VXVWDLQHG 8 6 DQG -DSDQHVH GHYLDWLRQV IURP FXUUHQW DFFRXQW 

EDODQFH 2YHU WKLV SHULRG WKH ELODWHUDO FXUUHQW DFFRXQW EDODQFHV KDYH 

DYHUDJHG DQG RI *'3 IRU WKH 8 6 DQG -DSDQ UHVSHFWLYHO\ 2YHU WKH VDPH 

SHULRG WKH GHPRJUDSKLF G\QDPLFV LQ WKH WZR FRXQWULHV KDYH GLIIHUHG VLJQLILFDQWO\ 7KLV 

SDSHU DVNV WR ZKDW H[WHQW WKH FXUUHQW DFFRXQW GHYLDWLRQV FDQ EH H[SODLQHG E\ GLIIHUHQFHV 

LQ WKH GHPRJUDSKLF G\QDPLFV 7KLV TXHVWLRQ LV DGGUHVVHG ZLWKLQ D JHQHUDO HTXLOLEULXP 

IUDPHZRUN ZLWK WLPH YDU\LQJ GHPRJUDSKLFV ZKHUH WZR HFRQRPLHV DUH FRQQHFWHG WKURXJK 

D FRPPRQ FDSLWDO PDUNHW 7KH PRGHO LV FDOLEUDWHG WR 8 6 DQG -DSDQHVH KLVWRULFDO DQG 

SURMHFWHG GHPRJUDSKLF SDWWHUQV DQG QDWLRQDO DFFRXQWV %RWK WKH PDJQLWXGH DQG 

SHUVLVWHQFH RI WKH FXUUHQW DFFRXQW GHYLDWLRQV SUHGLFWHG E\ WKH PRGHO HFRQRP\ DUH FORVH WR 

REVHUYHG FXUUHQW DFFRXQW EHKDYLRU 

(JEHUW 'LHUNHU 


&R $XWKRUV % *URGDO DQG ' +LOGHJDUG 

&285127 1$6+ &203(7,7,21 ,1 $ *(1(5$/ (48,/,%5,80 

02'(/ 2) ,17(51$7,21$/ 75$'( 

.H\ZRUGV ,QWHUQDWLRQDO WUDGH ZLWK LPSHUIHFW FRPSHWLWLRQ 3ULFH QRUPDOL]DWLRQ DQG 5HDO 

ZHDOWK PD[LPL]DWLRQ 

-(/ &ODVVLILFDWLRQ ' ) DQG ) 

:H XVH WKH WZR IDFWRU WZR VHFWRU WZR FRXQWU\ PRGHO RI 

0HOYLQ DQG :DUQH DQG 0DUNXVHQ LQ ZKLFK WKH 

SURGXFWLRQ RI RQH JRRG LV PRQRSROL]HG LQ HDFK FRXQWU\ LQ

RUGHU WR LQYHVWLJDWH WKH UROH RI WKH SULFH QRUPDOL]DWLRQ 

:H LOOXVWUDWH VHYHUDO SX]]OLQJ HIIHFWV WKDW RFFXU LI WKH 

SULFH QRUPDOL]DWLRQ LV FKDQJHG +RZHYHU ZH VKRZ WKDW 

0DUNXVHQ V UHVXOW RQ WKH GLUHFWLRQ RI WKH WUDGH IORZ 

EHWZHHQ WZR SURSRUWLRQDO FRXQWULHV ZLWK FRQVWDQW UHWXUQV WR 

VFDOH LV UREXVW ZLWK UHVSHFW WR WKH FKRLFH RI WKH 

QRUPDOL]DWLRQ UXOH 7R RYHUFRPH WKH SULFH QRUPDOL]DWLRQ 

SUREOHP LQ LQWHUQDWLRQDO WUDGH ZH VXJJHVW WR XVH WKH 

FRQFHSW RI UHDO ZHDOWK PD[LPL]DWLRQ 

$ODQ :RRGODQG 

8QLYHUVLW\ RI 6\GQH\ 

&R $XWKRUV 3 5DLPRQGRV 0¡OOHU 

121 35()(5(17,$/ 75$',1* &/8%6 

.H\ZRUGV &XVWRPV XQLRQV .HPS :DQ SURSRVLWLRQ 1RQ SUHIHUHQWLDO WDULII SROLFLHV 2SHQ 

UHJLRQDOLVP DQG 7UDGLQJ FOXEV 


7KLV SDSHU H[DPLQHV WKH ZHOIDUH LPSOLFDWLRQV RI QRQ GLV 

FULPLQDWRU\ WDULUHIRUPV E\ D VXEVHW RI FRXQWULHV ZKLFK ZH WHUP D QRQ 

SUHIHUHQWLDO WUDGLQJ FOXE :H VKRZ WKDW WKHUH H[LVW FRRUGLQDWHG WDULUH 

IRUPV DFFRPSDQLHG E\ DSSURSULDWH LQFRPH WUDQVIHUV EHWZHHQ WKHVH FRXQ 

WULHV WKDW XQDPELJXRXVO\ LQFUHDVH WKH ZHOIDUH RI WKHVH PHPEHU FRXQWULHV 

ZKLOH OHDYLQJ WKH ZHOIDUH RI QRQ PHPEHUV XQDOWHUHG 7KHVH WDULUHIRUPV 

DUH FKRVHQ WR PDLQWDLQ ZRUOGSULFHVDWWKHLU SUH FOXE OHYHOVDQG LQ WKLV 

UHVSHFW WKH WUDGLQJ FOXEV DFW LQ D .HPS :DQ OLNH PDQQHU ,Q WHUPV RI 

HFRQRPLF SROLF\ LPSOLFDWLRQV RXU UHVXOWV VKRZ WKDW WKHUH H[LVW UHJLRQDO 

0)1 FRQVLVWHQW DUUDQJHPHQWV WKDW OHDG WR 3DUHWR LPSURYHPHQWV LQ ZRUOG 

ZHOIDUH 2SHQ UHJLRQDOLVP LV DQ H[DPSOH RI VXFK WUDGLQJ DUUDQJHPHQWV 

7$;$7,21 ,, 


&KDLUSHUVRQ 8 (EHUW 

/DXUHQFH -DFTXHW 

,5(6 8&/ %HOJLXP 

&R $XWKRUV % 9DQ GHU /LQGHQ 

$XJ 

5RRP ( 

7+( 1250$7,9( $1$/

TXHVWLRQ LV DGGUHVVHG LQ D SDUWLDO HTXLOLEULXP VHWWLQJ GLVWLQJXLVKLQJ WZR W\SHV RI MREV DQG D 

GLVWULEXWLRQ RI ZRUNHU W\SHV ,Q D V\VWHP ZLWK WDJJLQJ WKHUH LV FOHDU HYLGHQFH WKDW WKH 

DVVHVVPHQW RI WKH HOLJLELOLW\ RI DSSOLFDQWV FUHDWHV VWLJPDWL]DWLRQ 7KHQ VDWLVI\LQJ WKH 

5DZOVLDQ FULWHULRQ UHTXLUHV WKDW RQH VKRXOG DYRLG WDJJLQJ :LWK D XWLOLWDULDQ FULWHULRQ D 

QHFHVVDU\ FRQGLWLRQ WR UHFRPPHQG WDJJLQJ LV D GLVWULEXWLRQ RI WKH LQWHQVLW\ RI 

VWLJPDWL]DWLRQ KLJKO\ FRQFHQWUDWHG DURXQG ORZ YDOXHV (YHQ ZLWK WKLV FRQGLWLRQ WDJJLQJ LV 

QRW RSWLPDO LI WKH GLVSHUVLRQ RI DELOLWLHV DPRQJ WKH KLJK DELOLW\ SHRSOH LV WRR ODUJH RU WRR 

QDUURZ 

3DQX 3RXWYDDUD 

&HQWUH IRU (FRQRPLF DQG %XVLQHVV 5HVHDUFK 

&R $XWKRUV 0 /DX DQG $ :DJHQHU 

7+( '

8OI 6FKLOOHU 

8QLYHUVLW\ RI %HUQH 

&R $XWKRUV 6 %RHFNHP 

&2175$&7,1* :,7+ 3225 $*(17 $%287 &$77/( '5,9,1* 

&2:%2

7KLV SDSHU LQYHVWLJDWHV WKH LPSDFW RI XQREVHUYDEOH EDUJDLQLQJ SRZHU RQ WKH HIILFLHQF\ RI 

LQFRPSOHWH FRQWUDFWV ,Q WKH KROG XS SUREOHP LQFRPSOHWH FRQWUDFWV FDXVH WKH IUXLWV RI 

LQYHVWPHQWV WR EH VKDUHG E\ EDUJDLQLQJ ,QGLYLGXDOV ZLWK IDLU SUHIHUHQFHV DV LQ )HKU DQG 

6FKPLGW 4-( UHMHFW SRVLWLYH EXW XQIDLU RIIHUV HYHQ LI WKLV FDXVHV D EDUJDLQLQJ 

EUHDNGRZQ 7KXV DSSHDULQJ WR EH IDLU LQFUHDVHV WKH EDUJDLQLQJ SRZHU ,I SUHIHUHQFHV DUH 

SULYDWH LQIRUPDWLRQ LQYHVWPHQWV PD\ EH D VLJQDOOLQJ GHYLFH 7KHUHIRUH LQYHVWLQJ HIILFLHQWO\ 

PLJKW EH RSWLPDO LQ RUGHU QRW WR DSSHDU VHOILVK DQG WKXV ORRVH VRPH EDUJDLQLQJ SRZHU 

+RZHYHU DV\PPHWULF LQIRUPDWLRQ PLJKW FDXVH D EDUJDLQLQJ EUHDNGRZQ WKHUHIRUH 

SUHYHQWLQJ HIILFLHQW WUDGH 

&25325$7( *29(51$1&( 


&KDLUSHUVRQ $ 5HQXFFL 

5HQHH $GDPV 

)HGHUDO 5HVHUYH %DQN RI 1HZ

VHQVH 

WKH PDQDJHUV H[ DQWH DQG H[ SRVW SD\R 

V DUH WKH VDPH XQGHU DOO WKUHH FRQWUDFWV LPSO\LQJ WKDW WKH FKRLFH RI FRQWUDFWXDO IRUP LV 

LUUHOHYDQW LQ WKH HQYLURQPHQW VWXGLHG LQ WKLV SDSHU 7KLV SDSHU WKXV VXJJHVWV GLUHFWLRQV RI 

UHVHDUFK IRU WKH HOHYDQFH RI GL 

HUHQW FRQWUDFWXDO IRUPV 

$QWRLQH 5HQXFFL 

(6& 7RXORXVH 

&R $XWKRUV ) /RVV 

:+(1 352027,216 ,1'8&( *22' 0$1$*(56 72 %( /$=< 

.H\ZRUGV &DUHHU FRQFHUQV &KRLFH RI ULVN DQG 3URPRWLRQV 


7KLV SDSHU VKRZV WKDW ZKHQ EHLQJ SHUFHLYHG DV D JRRG PDQDJHU LV D QHFHVVDU\ FRQGLWLRQ 

WR EH SURPRWHG D SULRUL WDOHQWHG PDQDJHUV PD\ XQGHUWDNH H[FHVVLYHO\ ULVN\ SURMHFWV 

,QGHHG VXFK D FKRLFH UHQGHUV PRUH GLIILFXOW WKH XSGDWLQJ RI EHOLHIV SURFHVV UHJDUGLQJ WKHLU 

DFWXDO W\SHV ,Q WXUQ JRRG PDQDJHUV DUH LQGXFHG WR ORZHU WKH OHYHO RI HIIRUW WKH\ SHUIRUP 

VLQFH WKH H[WHQW WR ZKLFK HIIRUW LPSDFWV WKH SHUFHSWLRQ WKH PDUNHW KDV DERXW WKHLU WDOHQW LV 

OHVVHQHG 7KLV DGYHUVHO\ LPSDFWV WKH ILUPV SURILWV +HQFH FDUHHU FRQFHUQV GR QRW 

GLVFLSOLQH JRRG PDQDJHUV LQ RXU FRQWH[W +RZHYHU ZH VKRZ KRZ HPSOR\HUV FDQ OLPLW 

PDQDJHULDO VODFN E\ LQFUHDVLQJ PRQLWRULQJ 

),6&$/ 32/,&< 


&KDLUSHUVRQ 0 .|WKHQE UJHU 

5DIIDHOD *LRUGDQR 

%DQN RI ,WDO\ 

&R $XWKRUV ( *(11$5, DQG 6 020,*/,$12 

$XJ 

'($/,1* :,7+ 81(;3(&7(' 6+2&.6 72 7+( %8'*(7 

.H\ZRUGV %XGJHWLQJ 6WDELOLW\ DQG *URZWK 3DFW IRUHFDVW HUURUV 

-(/ &ODVVLILFDWLRQ & DQG + 

5RRP ) 

,Q WKLV SDSHU ZH DVVHVV WKH LPSDFW RI XQH[SHFWHG VKRFNV WR UHDO LQWHUHVW UDWHV DQG *'3 

RQ JRYHUQPHQW EXGJHWV IRU QLQH (XURSHDQ 8QLRQ FRXQWULHV 6KRFNV DUH HVWLPDWHG DV RQH 

VWHS DKHDG IRUHFDVW HUURUV DULVLQJ IURP D UHFXUVLYH ELYDULDWH 9$5 PRGHO 7R DVVHVV WKH 

LPSDFW RQ WKH EXGJHWV ZH XVH DYDLODEOH LQIRUPDWLRQ RQ EXGJHWDU\ VHQVLWLYLWLHV ZLWK UHVSHFW 

WR WKH EXVLQHVV F\FOH DQG HVWLPDWH WKH VHQVLWLYLWLHV WR FKDQJHV LQ LQWHUHVW UDWHV RQ WKH 

EDVLV RI WKH PDWXULW\ VWUXFWXUH RI SXEOLF GHEWV 2XU DQDO\VLV LV UHOHYDQW LQ SDUWLFXODU WR 

GHILQH ZKDW VDIHW\ PDUJLQV DUH QHHGHG WR DYRLG WKH GHILFLW H[FHHGLQJ WKH 0DDVWULFKW 

WKUHVKROG 7KH UHVXOWV SRLQW WR VLJQLILFDQW GLIIHUHQFHV LQ WKH UHTXLUHG PDUJLQV DFURVV 

FRXQWULHV GHSHQGLQJ RQ WKH DPSOLWXGH RI SDVW VKRFNV WKH PDJQLWXGH RI DXWRPDWLF 

VWDELOL]HUV DQG WKH VL]H DQG PDWXULW\ VWUXFWXUH RI WKH GHEW

%HJRxD 'RPtQJXH] 

'HS RI (FRQRPLFV 8QLYHUVLW\ RI $XFNODQG 

'(%7 5(6758&785,1* $1' 7+( 7,0( &216,67(1&< 2) &$3,7$/ 

7$;(6 

.H\ZRUGV 'HEW 0DQDJHPHQW 2SWLPDO 7D[DWLRQ DQG 7LPH &RQVLVWHQF\ 

-(/ &ODVVLILFDWLRQ ( ( + DQG 2 

7KLV SDSHU VWXGLHV WKH WLPH LQFRQVLVWHQF\ SUREOHP RI RSWLPDO ILVFDO SROLF\ IRU HFRQRPLHV 

ZLWK SULYDWH FDSLWDO ,Q WKH DEVHQFH RI IXOO FRPPLWPHQW LW LV ZHOO NQRZQ WKDW GHEW 

UHVWUXFWXULQJ FDQQRW VROYH WKH WLPH LQFRQVLVWHQF\ SUREOHP IRU HFRQRPLHV ZLWK SULYDWH 

FDSLWDO 7DNLQJ WKLV LQWR DFFRXQW ZH H[SORUH WKH IROORZLQJ WZR IRUPV RI SDUWLDO FRPPLWPHQW 

WR FDSLWDO WD[HV D FRPPLWPHQW WR D FDSLWDO WD[ UXOH DQG D RQH SHULRG FRPPLWPHQW WR FDSLWDO 

WD[HV :H VKRZ WKDW GHEW UHVWUXFWXULQJ FDQ PDNH WKH RSWLPDO SROLF\ XQGHU DQ\ RI WKHVH 

WZR IRUPV RI SDUWLDO FRPPLWPHQW WLPH FRQVLVWHQW :H SURYLGH D ILUVW VWHS LQ OHDUQLQJ KRZ 

GHEW VWUXFWXULQJ VKRXOG EH FRQGXFWHG IRU HFRQRPLHV ZLWK SULYDWH FDSLWDO 

0DUNR .|WKHQE UJHU 

&(6 8QLYHUVLW\ RI 0XQLFK 

21 7+( %(1(),76 2) '( &(175$/,=$7,21 

.H\ZRUGV &KHDS 7DON &RPPLWPHQW 'HFHQWUDOL]DWLRQ 7KHRUHP )HGHUDOLVP DQG 3ULQFLSDO 

$JHQW 

-(/ &ODVVLILFDWLRQ ' + DQG + 

7KH SDSHU SURYLGHV D WKHRUHWLFDO H[SODQDWLRQ IRU WKH XQLIRUPLW\ DVVXPSWLRQ 

XQGHUO\LQJ 2DWHV 'HFHQWUDOL]DWLRQ 7KHRUHP :H VHW XS D WZR WLHU 

IHGHUDO V\VWHP LQ ZKLFK WKH IHGHUDO JRYHUQPHQW FDQQRW FRPPLW WR D UHYHODWLRQ 

PHFKDQLVP $ SRROLQJ HTXLOLEULXP PD\ DULVH XQGHU FHQWUDOL]DWLRQ LQGXFLQJ 

XQLIRUP WD[ DQG H[SHQGLWXUH SURJUDPV $V DQ DSSOLFDWLRQ ZH VKRZ WKDW WD[ 

FRPSHWLWLRQ FUHDWLQJ ILVFDO H[WHUQDOLWLHV PD\ ZHOO EH ZHOIDUH VXSHULRU 

WR FHQWUDOL]DWLRQ VLQFH LW DOORZV IRU QRQ XQLIRUP SROLFLHV 8QOLNH WKH JHQHUDO 

SUHVXPSWLRQ WKH WUDGH RII EHWZHHQ SROLF\ XQLIRUPLW\ DQG H[WHUQDOLWLHV WXUQV 

RXW WR EH QRQ PRQRWRQLF LQ WKH GHJUHH RI SUHIHUHQFH KHWHURJHQHLW\ 

%86,1(66 &

.H\ZRUGV EDQGSDVV ILOWHU EXVLQHVV F\FOH DQG OHDGLQJ LQGLFDWRUV 

-(/ &ODVVLILFDWLRQ & ( DQG ( 

,Q WKLV SDSHU WKH EXVLQHVV F\FOHV RI QLQH 2(&' FRXQWULHV DUH LGHQWLILHG E\ DSSO\LQJ WKH 

&KULVWLDQR )LW]JHUDOG 

EDQGSDVV ILOWHU 7XUQLQJ SRLQWV UHFHVVLRQ DQG H[SDQVLRQ SKDVHV DQG RWKHU GHVFULSWLYH 

VWDWLVWLFV DUH GHULYHG IURP WKHVH EXVLQHVV F\OFH LQGLFDWRUV 0RUHRYHU WKH LQWHUQDWLRQDO 

OLQNDJH EHWZHHQ 

WZR HFRQRPLHV LV LQYHVWLJDWHG E\ PHDVXULQJ WKH GHJUHH RI V\QFKURQLVP RI WKH WZR 

FRUUHVSRQGLQJ 

F\FOLFDO PRWLRQV ,Q DGGLWLRQ WR PHDVXULQJ WKH F\FOLFDO IOXFWXDWLRQ D FRPSRVLWH OHDGLQJ 

LQGLFDWRU LV 

FRQVWUXFWHG ZKLFK UHSOLFDWHV DQG SUHGLFWV WKH EXVLQHVV F\FOH 7KLV OHDGLQJ LQGLFDWRU LV D 

VLQJOH LQGH[ 

FRPSRVHG RI HFRQRPLF ILQDQFLDO DQG H[SHFWDWLRQ YDULDEOHV SRVVHVVLQJ OHDGLQJ SURSHUWLHV 

7KH UHDO WLPH 

SHUIRUPDQFH RI WKH FRQVWUXFWHG EXVLQHVV F\FOH LQGLFDWRU IRU WKH 1HWKHUODQGV LV FRPSDUHG 

WR WKH 

SHUIRUPDQFH RI D VLPLODU LQGLFDWRU EDVHG RQ WKH +RGULFN 3UHVFRWW ILOWHU PHWKRGRORJ\ 

$ODLQ +HFT 

8QLYHUVLW\ RI 0DDVWULFKW 

&R $XWKRUV 0 &HQWRQL DQG * &XEDGGD 

&20021 6+2&.6 &20021 '

:H HVWLPDWH 6KLOOHU SRUWIROLR ZHLJKWV IRU 2(&' FRXQWULHV DQG 86 VWDWHV :H ILQG WKDW WKH 

LQFRPH RI 86 IHGHUDO VWDWHV LV GHULYHG WR DERXW SHUFHQW IURP RZQ RXWSXW WKDW RI 2(&' 

FRXQWULHV WR DERXW SHUFHQW 7KLV VXJJHVWV WKDW 86 VWDWHV GLVSOD\ FRQVLGHUDEOH KRPH 

ELDV DW KRPH DQG WKDW LQWHUQDWLRQDO SRUWIROLR KRPH ELDV PD\ EH UHODWLYHO\ OHVV VHYHUH WKDQ 

HYLGHQFH EDVHG RQ PRGHOV RI RSWLPDO SRUWIROLR DOORFDWLRQ ZRXOG VXJJHVW :H UHODWH WKH 

HVWLPDWHG SRUWIROLR ZHLJKWV WR WKH VWUXFWXUH RI UHJLRQDO DQG LQWHUQDWLRQDO EXVLQHVV F\FOHV 

,Q SDUWLFXODU ZH FDQ UHSURGXFH WKH HPSLULFDO HYLGHQFH RQ LQWHU VWDWH DQG LQWHUQDWLRQDO 

LQFRPH IORZV 

&2,17(*5$7,21 ,1)(5(1&( , 


&KDLUSHUVRQ + / WNHSRKO 

1LNODV - & $KOJUHQ 

6ZHGLVK 6FKRRO RI (FRQRPLFV 

&R $XWKRUV - 1\EORP 

$ ',5(&7 7(67 )25 &2,17(*5$7,21 ,1 9(&725 

$8725(*5(66,9( 02'(/6 

$XJ 

5RRP ' 

.H\ZRUGV &RLQWHJUDWLQJ UDQN &RPSDQLRQ IRUP 7UDFH VWDWLVWLF 8QLW URRWV DQG 9HFWRU 

DXWRUHJUHVVLYH PRGHO 


7KLV SDSHU GHULYHV D QHZ WHVW IRU WKH FRLQWHJUDWLQJ UDQN LQ YHFWRU DXWRUHJUHVVLYH 9$5 

PRGHOV WKDW LV GLUHFWO\ EDVHG RQ WKH HLJHQYDOXHV RI WKH OHDVW VTXDUHV /6 HVWLPDWH RI WKH 

DXWRUHJUHVVLYH PDWUL[ 7KH WHVW LV YHU\ VLPSOH WR FRPSXWH VLQFH LW RQO\ UHTXLUHV /6 

HVWLPDWLRQ :H GHULYH D WUDFH VWDWLVWLF DQG D PLQLPDO HLJHQYDOXH VWDWLVWLF 7KH OLPLWLQJ 

GLVWULEXWLRQV RI WKH WHVW VWDWLVWLFV DUH IXQFWLRQDOV RI %URZQLDQ PRWLRQ DQG IUHH RI QXLVDQFH 

SDUDPHWHUV :H WDEXODWH E\ VLPXODWLRQ FULWLFDO YDOXHV IRU PRGHOV ZLWK XS WR YDULDEOHV $ 

VLPXODWLRQ VWXG\ SURYLGHV VRPH HYLGHQFH RI WKH VPDOO VDPSOH SURSHUWLHV RI WKH WHVW 7KH 

WHVW LV DSSOLHG WR 6ZHGLVK PRQH\ GHPDQG GDWD 

(OHQD 3HVDYHQWR 

(PRU\ 8QLYHUVLW\ 

&R $XWKRUV ( *UDKDP DQG 0 -DQVVRQ 

237,0$/ 32:(5 )25 7(67,1* 327(17,$/ &2,17(*5$7,1* 

9(&7256 :,7+ .12:1 3$5$0(7(56 )25 12167$7,21$5,7< 

.H\ZRUGV FRLQWHJUDWLRQ DQG XQLW URRW 


,Q VLWXDWLRQV ZKHUH WKHRU\ VSHFLILHV D SRWHQWLDO FRLQWHJUDWLQJ YHFWRU DPRQJVW LQWHJUDWHG 

YDULDEOHV LW LV RIWHQ UHTXLUHG WKDW RQH WHVW IRU D XQLW URRW LQ WKH FRQVWUXFWHG FRLQWHJUDWLQJ 

YHFWRU $OWKRXJK LW LV FRPPRQ WR VLPSO\ HPSOR\ D XQLYDULDWH WHVW IRU D XQLW URRW IRU WKLV WHVW 

LW LV NQRZQ WKDW WKLV GRHV QRW WDNH LQWR DFFRXQW DOO DYDLODEOH LQIRUPDWLRQ :H VKRZ KHUH WKDW

LQ VXFK WHVWLQJ VLWXDWLRQV D IDPLO\ RI WHVWV ZLWK RSWLPDOLW\ SURSHUWLHV H[LVWV DQG FKDUDFWHUL]H 

WKH H[WHQW RI WKH ORVV LQ SRZHU IURP XVLQJ SRSXODU PHWKRGV :H DOVR FKDUDFWHUL]H WKH 

H[WHQW RI WKH ORVVHV RI QRW LPSRVLQJ WKH FRLQWHJUDWLQJ YHFWRU :H VKRZ WKDW WKDW WHVW 

SUHVHQWHG KHUH VWURQJO\ UHMHFW WKH LPSODXVLEOH K\SRWKHVLV WKDW WKDW SULFH IRUHFDVWV IURP 

WKH /LYLQJVWRQ GDWD VXUYH\ DUH QRW FRLQWHJUDWHG ZLWK SULFHV 

+HOPXW / WNHSRKO 

(XURSHDQ 8QLYHUVLW\ ,QVWLWXWH 

&R $XWKRUV 3 6DLNNRQHQ DQG & 7UHQNOHU 

7(67,1* )25 7+( &2,17(*5$7,1* 5$1. 2) $ 9$5 352&(66 

:,7+ /(9(/ 6+,)7 $7 81.12:1 7,0( 

.H\ZRUGV &RLQWHJUDWLRQ 6WUXFWXUDO EUHDN 9$5 SURFHVV DQG 9(&0 


$ V\VWHPV FRLQWHJUDWLRQ UDQN WHVW LV SURSRVHG ZKLFK LV DSSOLFDEOH 

IRU YHFWRU DXWRUHJUHVVLYH 9$5 SURFHVVHV ZLWK D VWUXFWXUDO VKLIW 

DW XQNQRZQ WLPH 7KH VWUXFWXUDO VKLIW LV PRGHOHG DV D VLPSOH VKLIW 

LQ WKH OHYHO RI WKH SURFHVV ,W LV SURSRVHG WR HVWLPDWH WKH EUHDN 

GDWH ILUVW RQ WKH EDVLV RI D IXOO XQUHVWULFWHG 9$5 PRGHO 7ZR 

DOWHUQDWLYH HVWLPDWRUV DUH FRQVLGHUHG DQG WKHLU DV\PSWRWLF 

SURSHUWLHV DUH GHULYHG ,Q WKH QH[W VWHS WKH GHWHUPLQLVWLF SDUW RI 

WKH SURFHVV LQFOXGLQJ WKH VKLIW VL]H LV HVWLPDWHG DQG WKH VHULHV 

DUH DGMXVWHG E\ VXEWUDFWLQJ WKH HVWLPDWHG GHWHUPLQLVWLF SDUW $ 

-RKDQVHQ W\SH WHVW IRU WKH FRLQWHJUDWLQJ UDQN LV DSSOLHG WR WKH 

DGMXVWHG VHULHV 7KH WHVW VWDWLVWLF LV VKRZQ WR KDYH D ZHOO NQRZQ 

DV\PSWRWLF QXOO GLVWULEXWLRQ ZKLFK GRHV QRW GHSHQG RQ WKH EUHDN 

GDWH 7KH SHUIRUPDQFH RI WKH SURFHGXUH LQ VPDOO VDPSOHV LV 

LQYHVWLJDWHG E\ VLPXODWLRQV 

(03,5,&$/ ,17(51$7,21$/ 75$'( 


&KDLUSHUVRQ - 6DQWRV 6LOYD 

'|UWH '|PHODQG 


$XJ 

5RRP ) 

75$'( $1' +80$1 &$3,7$/ $&&808/$7,21 (9,'(1&( )520 

86 ,00,*5$176 

.H\ZRUGV +XPDQ &DSLWDO ,PPLJUDQWV DQG 7UDGH 

-(/ &ODVVLILFDWLRQ DQG ) 

'RHV WUDGH LQFUHDVH RQ WKH MRE DFFXPXODWLRQ RI KXPDQ FDSLWDO" 

7KLV VWXG\ SURYLGHV HPSLULFDO HYLGHQFH E\ HVWLPDWLQJ WKH HIIHFW RI KRPH 

FRXQWU\ RSHQQHVV RQ HVWLPDWHG UHWXUQV WR KRPH FRXQWU\ H[SHULHQFH RI 

86 LPPLJUDQWV IURP GLIIHUHQW FRXQWULHV 0\ PDLQ ILQGLQJ LV D SRVLWLYH 

DQG VLJQLILFDQW HIIHFW RI WUDGH RQ RQ WKH MRE KXPDQ FDSLWDO DFFXPXODWLRQ

,W SHUVLVWV ZKHQ UHVWULFWLQJ WKH VDPSOH WR QRQ 2(&' FRXQWULHV DQG LV 

UREXVW WR WKH LVVXHV RI VHOI VHOHFWLRQ KHWHURJHQHLW\ LQ UHWXUQV WR H[SHULHQFH 

(QJOLVK VSHDNLQJ RULJLQ DQG FXOWXUDO EDFNJURXQG 7KHVH UHVXOWV 

VXJJHVW WKDW WKH UROH RI WUDGH LQ JHQHUDWLQJ HFRQRPLF JURZWK LV OLNHO\ 

WR EH PRUH LPSRUWDQW WKDQ JHQHUDOO\ FRQVLGHUHG 

$QWRQLR 6SLOLPEHUJR 


&R $XWKRUV 5 GXWWDJXSWD 

:+$7 +$33(1(' 72 $6,$1 (;32576 '85,1* 7+( &5,6,6" 

.H\ZRUGV FRLQWHJUDWLRQ &RQWDJLRQ (DVW $VLD FULVLV DQG 7UDGH 


$IWHU WKH ODUJH H[FKDQJH UDWH GHSUHFLDWLRQV IROORZLQJ WKH (DVW $VLDQ FULVLV H[SRUW 

YROXPHV IURP (DVW $VLDQ FRXQWULHV UHVSRQGHG ZLWK D QRWDEOH ODJ 7ZR PDLQ H[SODQDWLRQV 

KDYH EHHQ SURSRVHG WKH SROLF\ RI KLJK LQWHUHVW UDWHV OLPLWHG DFFHVV WR GRPHVWLF FUHGLW DQG 

KHQFH OLPLWHG WKH VXSSO\ RI H[SRUWV ³FRPSHWLWLYH GHSUHFLDWLRQ´ QHXWUDOL]HG WKH HIIHFWV RQ 

GHPDQG IRU H[SRUWV 7KLV SDSHU FRQVLGHUV WKH SODXVLELOLW\ RI WKHVH PHFKDQLVPV XVLQJ D 

QHZ PRQWKO\ GDWDEDVH RQ H[SRUWV RI VHOHFWHG LQGXVWULHV :H ILQG HYLGHQFH WKDW 

³FRPSHWLWLYH GHSUHFLDWLRQ´ GLG SOD\ DQ LPSRUWDQW UROH LQ WKH SURSDJDWLRQ RI WKH (DVW $VLDQ 

FULVLV WKURXJK WKH WUDGH FKDQQHO 

-RDR 6DQWRV 6LOYD 

8QLYHUVLGDGH 7HFQLFD GH /LVERD 

&R $XWKRUV 6 7HQUH\UR 

*5$9,7< '()

'DYLG 9HVWLQ 


&R $XWKRUV 3 +RHUGDKO 

,17(535(7,1* ,03/,(' 5,6. 1(875$/ '(16,7,(6 7+( 52/( 2) 

5,6. 35(0,$ 

.H\ZRUGV $IILQH PRGHOV 5LVN SUHPLD 5LVN QHXWUDO GHQVLWLHV DQG 7HUP VWUXFWXUH 

-(/ &ODVVLILFDWLRQ ( DQG * 

7KLV SDSHU H[DPLQHV GLIIHUHQFHV EHWZHHQ ULVN QHXWUDO DQG REMHFWLYH SUREDELOLW\ GHQVLWLHV 

RI IXWXUH LQWHUHVW UDWHV DQG ERQG \LHOGV 7KH LGHQWLILFDWLRQ DQG TXDQWLILFDWLRQ RI VXFK 

GLIIHUHQFHV DUH LPSRUWDQW ZKHQ ULVN QHXWUDO GHQVLWLHV VXFK DV RSWLRQ LPSOLHG GHQVLWLHV DUH 

XVHG DV LQGLFDWRUV RI DFWXDO EHOLHIV RI LQYHVWRUV :H XVH D PXOWL IDFWRU DIILQH PRGHOLQJ 

IUDPHZRUN WR LGHQWLI\ WKH ULVN QHXWUDO DQG WKH REMHFWLYH G\QDPLFV RI WKH *HUPDQ WHUP 

VWUXFWXUH :H ILQG WKDW SUHPLD LQGXFH LPSRUWDQW GLIIHUHQFHV EHWZHHQ ULVN QHXWUDO DQG 

REMHFWLYH GLVWULEXWLRQV DQG WKDW WKHVH GLIIHUHQFHV YDU\ RYHU WLPH :H FRQFOXGH WKDW RQH 

VKRXOG EH FDXWLRXV ZKHQ LQWHUSUHWLQJ ULVN QHXWUDO GHQVLWLHV DV UHSUHVHQWLQJ WUXH 

H[SHFWDWLRQV RI PDUNHW SDUWLFLSDQWV 

-RQDV $QGHUVVRQ 

'HSDUWPHQW RI ,QIRUPDWLRQ 6FLHQFH 8SSVDOD 8QLYHUVLW\ 

&R $XWKRUV 3 1HZEROG 

02'(/,1* 7+( ',675,%87,21 2) ),1$1&,$/ 5(78516 %< 

)81&7,21$/ '$7$ $1$/


:H PRGHO WKH VLPXOWDQHRXV EX\ DQG VHOO WUDGH DUULYDO SURFHVV LQ D OLPLW RUGHU ERRN PDUNHW 

7KH WUDGLQJ SURFHVV LV PRGHOOHG EDVHG RQ D ELYDULDWH LQWHQVLW\ PRGHO DQG ZH H[WHQG WKH 

DXWRUHJUHVVLYH FRQGLWLRQDO LQWHQVLW\ PRGHO E\ DOORZLQJ IRU WLPH YDU\LQJ FRYDULDWHV 8VLQJ 

OLPLW RUGHU ERRN GDWD IURP WKH 6($76 V\VWHP RI WKH $XVWUDOLDQ 6WRFN ([FKDQJH ZH 

LQFOXGH YDULDEOHV WKDW UHIOHFW WKH VWDWH RI WKH RUGHU ERRN ZLWK UHVSHFW WR PDUNHW GHSWK 

WLJKWQHVV DQG WKH FXPXODWHG YROXPH LQ WKH DVN DQG ELG TXHXH &KDQJHV RI WKH RUGHU ERRN 

LQGXFHG E\ OLPLW RUGHU DUULYDOV DUH FDSWXUHG DV WLPH YDU\LQJ FRYDULDWHV 7KH VWDWH RI WKH 

RUGHU ERRN DV ZHOO DV WKH REVHUYHG WUDGLQJ SURFHVV KDV D VLJQLILFDQW LPSDFW RQ WKH 

ELYDULDWH EX\ DQG VHOO LQWHQVLW\ DQG WKXV LQIOXHQFHV WUDGHUV GHFLVLRQ ZKHQ WR WUDGH DQG RQ 

ZKLFK VLGH RI WKH PDUNHW WR WUDGH 

021(7$5< 32/,&< 75$160,66,21 ,, 


&KDLUSHUVRQ ‘ (LWUKHLP 

-DFRSR &LPDGRPR 

(&$5(6 8QLYHUVLWH /LEUH GH %UX[HOOHV 

$XJ 

5RRP ) 

7+( ())(&76 2) 6

)HG XVLQJ WKH IOH[LEOH DSSURDFK RI +DPLOWRQ D :H ILQG WKDW ZKLOH WKHUH LV VLJQLILFDQW 

HYLGHQFH RI QRQOLQHDULW\ IRU WKH SHULRG WR WKHUH LV OLWWOH VXFK HYLGHQFH IRU WKH 

VXEVHTXHQW SHULRG 3RVVLEOH DV\PPHWULHV LQ WKH )HG V UHDFWLRQV WR LQIODWLRQ GHYLDWLRQV 

IURP WDUJHW DQG WKH RXWSXW JDS LQ WKH V DQG V PD\ WHOO SDUW RI WKH VWRU\ EXW GR QRW 

FDSWXUH WKH HQWLUH QDWXUH RI WKH QRQOLQHDULW\ 7KH LQFOXVLRQ RI WKH LQWHUDFWLRQ EHWZHHQ 

LQIODWLRQ GHYLDWLRQV DQG WKH RXWSXW JDS DV UHFHQWO\ SURSRVHG DSSHDUV WR FKDUDFWHUL]H WKH 

QRQOLQHDU SROLF\ UXOH PRUH DGHTXDWHO\ 

‘\YLQG (LWUKHLP 

1RUJHV %DQN 7KH &HQWUDO %DQN RI 1RUZD\ 

&R $XWKRUV 4 $NUDP * %nUGVHQ DQG ( -DQVHQ 

,17(5(67 5$7( 58/(6 ,1 $ 0$&52(&2120(75,& 02'(/ 2) $ 

60$// 23(1 (&2120< 

.H\ZRUGV LQWHUHVW UDWH UXOHV PDFURHFRQRPHWULF PRGHOV 0RQHWDU\ SROLF\ DQG PRQHWDU\ 

SROLF\ HYDOXDWLRQ 

-(/ &ODVVLILFDWLRQ & & & ( DQG ( 

:H HYDOXDWH WKH SHUIRUPDQFH RI 7D\ORU W\SH LQWHUHVW UDWH UXOHV LQ D VPDOO 

PDFURHFRQRPHWULF PRGHO IRU 1RUZD\ XVLQJ FRXQWHUIDFWXDO VLPXODWLRQV IURP 

T WR T :H HPSOR\ UHDO WLPH LQWHUHVW UDWH UXOHV EDVHG RQ 

YDULDEOHV OHVV SURQH WR PHDVXUHPHQW HUURUV DQG RSHQ HFRQRP\ UXOHV 

DOORZLQJ IRU UHVSRQVHV WR H[FKDQJH UDWH PLVDOLJQPHQWV 7KH SHUIRUPDQFH RI WKH 

HPSOR\HG UXOHV LV HYDOXDWHG E\ VWDQGDUG HIILFLHQF\ PHDVXUHV DQG E\ PHDQ 

GHYLDWLRQV IURP WDUJHWV ZKLFK PD\ EH RI LQWHUHVW IRU SROLF\ PDNHUV 

HVSHFLDOO\ RYHU VKRUW WLPH KRUL]RQV :H DOVR LQWURGXFH WKH URRW PHDQ VTXDUHG 

WDUJHW HUURU 5067( DQDORJRXV WR WKH ZHOO NQRZQ URRW PHDQ VTXDUHG 

IRUHFDVW HUURU )LQDOO\ ZH FRQGXFW VLPXODWLRQV ZKHUH ZH YDU\ WKH ZHLJKWV LQ 

WKH LQWHUHVW UDW UXOHV DV ZHOO DV WKH ZHLJKWV LQ WKH SROLF\PDNHU V ORVV IXQFWLRQ 

7KH UHVXOWV DUH VXPPDUL]HG LQ UHVSRQVH VXUIDFHV RQ WKH EDVLV RI WKH UDQJH RI 

ZHLJKWV FRQVLGHUHG LQ WKH VLPXODWLRQV 

3(56211(/ (&2120,&6 


&KDLUSHUVRQ : 0XHOOHU 

+DUDOG 'DOH 2OVHQ 

,QVWLWXWH IRU 6RFLDO 5HVHDUFK 

$XJ 

5RRP ) 

3$< )25 3(5)250$1&(" 3$

SHUIRUPDQFH DQG ZDJHV DUH LGHQWLILHG 7KH VKRUW UXQ LPSDFW LV OLWWOH DIIHFWHG E\ LQGLYLGXDO 

DELOLW\ DQG ZRUNV SULPDULO\ WKURXJK IULQJH EHQHILWV 8VLQJ SURILWV DV RXU SHUIRUPDQFH 

PHDVXUH WKHQ IRU HVWDEOLVKPHQWV ZKLFK SHUIRUPDQFHV DUH KLJKO\ FRUUHODWHG ZLWK 

FRPSHWLWRUV SHUIRUPDQFHV ZH GR ILQG HYLGHQFH IRU WKH XVH RI UHODWLYH SHUIRUPDQFH 

HYDOXDWLRQ 53( 7KLV LV LQ DFFRUGDQFH ZLWK WKHRU\ )RU RWKHU 

HVWDEOLVKPHQWV SHUIRUPDQFH PHDVXUHV QR VXSSRUW IRU 53( LV REVHUYHG 

7KRPDV 'RKPHQ 

,=$ 

,1 6833257 2) 7+( 6833257(56" '2 62&,$/ )25&(6 6+$3( 

'(&,6,216 2) 7+( ,03$57,$/" 

.H\ZRUGV )DYRULWLVP 3HUVRQQHO (FRQRPLFV DQG 3ULQFLSDO $JHQW 5HODWLRQVKLS 


$QDO\]LQJ WKH QHXWUDOLW\ RI SURIHVVLRQDO UHIHUHHV GXULQJ QLQH 

*HUPDQ SUHPLHU OHDJXH %XQGHVOLJD VRFFHU VHDVRQV WKLV SDSHU 

GRFXPHQWV HYLGHQFH WKDW VRFLDO IRUFHV LQIOXHQFH DJHQWV 

SUHIHUHQFHV DQG GHFLVLRQV 7KRVH ZKR DUH DSSRLQWHG WR EH 

LPSDUWLDO WHQG WR IDYRU WKH KRPH WHDP DV WKH\ V\VWHPDWLFDOO\ 

DZDUG PRUH LQMXU\ WLPH LQ FORVH PDWFKHV ZKHQ WKH KRPH WHDP LV 

EHKLQG )XUWKHU HYLGHQFH IRU VLPLODU KRPH ELDV FRPHV IURP 

UHIHUHHV ZURQJ RU DW OHDVW GLVSXWDEOH GHFLVLRQV WR DZDUG JRDOV 

DQG SHQDOW\ VKRWV 7KH VHYHULW\ RI VRFLDO SUHVVXUH PHDVXUHG E\ 

WKH FURZG V FRPSRVLWLRQ DQG SUR[LPLW\ WR WKH DFWLRQ GHWHUPLQHV 

LWV HIIHFW 1RW DOO DJHQWV DUH DIIHFWHG E\ VRFLDO SUHVVXUH WR WKH 

VDPH GHJUHH 

:LHODQG 0XHOOHU 

'HSDUWPHQW RI (FRQRPLFV 7LOEXUJ 8QLYHUVLW\ 

&R $XWKRUV $ 6FKRWWHU 

:25.$+2/,&6 $1' '523 2876 ,1 237,0$/ 25*$1,=$7,216 

.H\ZRUGV DOO SD\ DXFWLRQV FRQWHVWV DQG H[SHULPHQWV 

-(/ &ODVVLILFDWLRQ & ' ' ' DQG - 

7KLV SDSHU UHSRUWV WKH UHVXOWV RI H[SHULPHQWV GHVLJQHG WR WHVW WKH WKHRU\ RI WKH RSWLPDO 

FRPSRVLWLRQ RI SUL]HV LQ FRQWHVWV :H ILQG WKDW ZKLOH LQ WKH DJJUHJDWH WKH EHKDYLRU RI RXU 

VXEMHFWV LV FRQVLVWHQW ZLWK WKDW SUHGLFWHG E\ WKH WKHRU\ VXFK DJJUHJDWH UHVXOWV PDVN DQ 

XQH[SHFWHG FRPSRVLWLRQDO HIIHFW RQ WKH LQGLYLGXDO OHYHO :KLOH WKHRU\ SUHGLFWV WKDW VXEMHFW 

HIIRUWV DUH FRQWLQXRXV DQG LQFUHDVLQJ IXQFWLRQV RI DELOLW\ WKH DFWXDO HIIRUWV RI RXU 

ODERUDWRU\ VXEMHFWV ELIXUFDWH /RZ DELOLW\ ZRUNHUV GURS RXW DQG H[HUW OLWWOH RU QRU HIIRUW ZKLOH 

KLJK DELOLW\ VXEMHFWV WU\ WRR KDUG 7KLV GLVFRQWLQXLW\ ZKLFK LV PDVNHG E\ DJJUHJDWLRQ KDV 

VLJQLILFDQW FRQVHTXHQFHV IRU EHKDYLRU LQ RUJDQL]DWLRQV 

352'8&7,9,7< (03,5,&$/ ,, 

5RRP )


&KDLUSHUVRQ * 6\PHRQLGLV 

7KRPDV %DXHU 

,=$ 

)/(;,%/( :25.3/$&( 35$&7,&(6 $1' /$%25 352'8&7,9,7< 

$XJ 

.H\ZRUGV &RUUHODWHG 5DQGRP &RHIILFLHQW 0RGHO +LJK 3HUIRUPDQFH :RUNSODFH 

2UJDQL]DWLRQ ,QVWUXPHQWDO 9DULDEOHV DQG /LQNHG (PSOR\HU (PSOR\HH 'DWD 6HW 

-(/ &ODVVLILFDWLRQ - - / DQG 0 

8VLQJ D *HUPDQ HPSOR\HU HPSOR\HH PDWFKHG SDQHO GDWD VHW ZH H[DPLQH WKH HIIHFWV RI 

+LJK 3HUIRUPDQFH :RUNSODFH 6\VWHPV +3:6V RQ ODERU SURGXFWLYLW\ DQG ODERU HIILFLHQF\ 

7KH HVWLPDWLRQ UHVXOWV LQGLFDWH WKDW VLPSOH FURVV VHFWLRQDO HVWLPDWHV RI WKH HIIHFWV RI 

+3:6V DUH ELDVHG GRZQZDUG GXH WR XQREVHUYHG WLPH LQYDULDQW HVWDEOLVKPHQW HIIHFWV DQG 

WKH HQGRJHQHLW\ RI WKH XVHG PHDVXUH IRU +3:6V 5HVXOWV IURP D FRUUHODWHG UDQGRP 

FRHIILFLHQW PRGHO VXJJHVW WKDW D SRWHQWLDO VHOI VHOHFWLRQ ELDV VHHPV WR EH QHJOLJLEOH 7KH 

HIIHFWV RI +3:6V RQ ODERU SURGXFWLYLW\ DUH HFRQRPLFDOO\ LPSRUWDQW DQG ULVLQJ RYHU WLPH 

&RUUHVSRQGLQJ SRVLWLYH HIIHFWV RQ ODERU HIILFLHQF\ RFFXU RQO\ LQ WKH ORQJ UXQ 

/DXUH 7XUQHU 

8QLYHUVLW\ 3DULV 

&R $XWKRUV - 0DLUHVVH 

,1',9,'8$/ 352'8&7,9,7< ',))(5(1&(6 ,1 38%/,& 5(6($5&+ 

+2: ,03257$17 $5( 121 ,1',9,'8$/ '(7(50,1$176" $1 

(&2120(75,& 678'< 2) )5(1&+ 3+

7+( ())(&7 2) &203(7,7,21 21 :$*(6 $1' 352'8&7,9,7< 

(9,'(1&( )520 7+( 8. 

.H\ZRUGV &DUWHOV &RPSHWLWLRQ 3URGXFWLYLW\ DQG :DJHV 

-(/ &ODVVLILFDWLRQ - DQG / 

7KLV SDSHU H[DPLQHV WKH LPSDFW RI FDUWHO SROLF\ RQ ZDJHV DQG SURGXFWLYLW\ XVLQJ D SDQHO 

GDWD VHW RI 8. PDQXIDFWXULQJ LQGXVWULHV RYHU 7KH LQWURGXFWLRQ RI FDUWHO ODZV LQ 

WKH 8. LQ WKH ODWH V FDXVHG DQ LQWHQVLILFDWLRQ RI SULFH FRPSHWLWLRQ LQ SUHYLRXVO\ 

FDUWHOLVHG PDQXIDFWXULQJ LQGXVWULHV EXW LW GLG QRW DIIHFW WKRVH LQGXVWULHV ZKLFK ZHUH QRW 

FDUWHOLVHG 7KH HFRQRPHWULF UHVXOWV IURP D FRPSDULVRQ RI WKH WZR JURXSV RI LQGXVWULHV 

SURYLGH VWURQJ HYLGHQFH RI D QHJDWLYH HIIHFW RI FROOXVLRQ RQ ODERXU SURGXFWLYLW\ JURZWK 

7KHUH LV QR HYLGHQFH RI DQ\ HIIHFW RI FROOXVLRQ RQ ZDJHV RI PDQXDO RU QRQ PDQXDO 

ZRUNHUV 7KHVH UHVXOWV DUH UREXVW WR FRQWUROOLQJ IRU WKH SRWHQWLDO HQGRJHQHLW\ RI FROOXVLRQ 

6(0, $1' 121 3$5$0(75,& 0(7+2'6 ,, 


&KDLUSHUVRQ 

6WHIDQ +RGHUOHLQ 

0DQQKHLP 5HVHDUFK ,QVWLWXWH IRU WKH (FRQRPLFV RI $JLQJ 

&R $XWKRUV 1 &KULVWRSHLW 

$XJ 

5RRP ) 

(67,0$7,21 2) 02'(/6 :,7+ $'',7,9( 6758&785( 9,$ /2&$/ 

48$6, ',))(5(1&,1* 

.H\ZRUGV $GGLWLYH 0RGHO &XUVH RI 'LPHQVLRQDOLW\ (IILFLHQF\ ,QWHUDFWLRQ HIIHFW 

1RQSDUDPHWULF ,9 DQG 1RQSDUDPHWULF 5HJUHVVLRQ 

-(/ &ODVVLILFDWLRQ & & & DQG & 

,Q WKLV SDSHU ZH FRQVLGHU D QHZ FODVV RI QRQSDUDPHWULF PRGHOV ZLWK DGGLWLYH VWUXFWXUH 

ZKLFK DULVH QDWXUDOO\ IURP DSSOLFDWLRQV 7KLV FODVV RI PRGHOV QHVWV WKH VWDQGDUG DGGLWLYH 

PRGHO EXW DOORZV IRU YDULRXV W\SHV RI LQWHUDFWLRQ D SDUWLFXODUO\ XVHIXO IHDWXUH LQ KLJK 

GLPHQVLRQDO FURVV VHFWLRQ GDWD 0RUHRYHU QRQSDUDPHWULF SDQHO DV ZHOO DV PRUH JHQHUDO 

,9 FRQWURO IXQFWLRQ DQG VHOHFWLRQ PRGHOV DUH FRQWDLQHG LQ WKLV FODVV )LQDOO\ LW QHVWV 

PRGHOV WKDW UHFRQFLOH D JHQHUDO DGGLWLYH VWUXFWXUH ZLWK HFRQRPLF WKHRU\ 

$ORQJ ZLWK WKLV ZH LQWURGXFH D QHZ HVWLPDWLRQ PHWKRG IRU DGGLWLYH VWUXFWXUHV 7KLV PHWKRG 

LV FDOOHG ORFDO TXDVL GLIIHUHQFLQJ DQG H[WHQGV WKH SRSXODU HVWLPDWLRQ LGHD IRUPDOL]HG E\ 

5RELQVRQ ,W \LHOGV D FODVV RI HVWLPDWRUV ZKLFK DFKLHYH RSWLPDO VSHHG RI 

FRQYHUJHQFH DUH VLPSOH LQ VWUXFWXUH RUDFOH HIILFLHQW DQG FRPSXWDWLRQDOO\ LQH[SHQVLYH 

0RUHRYHU LW HDVLO\ FRQQHFWV WR PDLQVWUHDP HFRQRPHWULFV YLD LWV ORFDO 2/6 VWUXFWXUH 

$QQH 9DQKHPV 

(6& 7RXORXVH 

&R $XWKRUV - /RXEHV 

6$785$7,21 63$&(6 )25 5(*8/$5,=$7,21 0(7+2'6 ,1

,19(56( 352%/(06 

.H\ZRUGV LQYHUVH SUREOHPV UHJXODUL]DWLRQ PHWKRGV DQG VWUXFWXUDO HFRQRPHWULFV 


7KH DLP RI WKLV DUWLFOH LV WR FKDUDFWHUL]H WKH VDWXUDWLRQ VSDFHV WKDW DSSHDU LQ LQYHUVH 

SUREOHPV 6XFK VSDFHV DUH GHILQHG IRU D UHJXODUL]DWLRQ PHWKRG DQG WKH UDWH RI 

FRQYHUJHQFH RI WKH HVWLPDWLRQ SDUW RI WKH LQYHUVH SUREOHP GHSHQGV RQ WKHLU GHILQLWLRQ 

+HUH ZH SURYH WKDW LW LV SRVVLEOH WR GHILQH WKHVH VSDFHV DV UHJXODULW\ VSDFHV LQGHSHQGHQW 

RI WKH FKRLFH RI WKH DSSUR[LPDWLRQ PHWKRG 0RUHRYHU WKLV LQWULQVHF GHILQLWLRQ HQDEOHV XV WR 

SURYLGH PLQLPD[ UDWH RI FRQYHUJHQFH XQGHU VXFK DVVXPSWLRQV 

&R $XWKRUV ( 7DPHU 

',675,%87,21 )5(( (67,0$7,21 2) 75$16)250$7,21 02'(/6 

:,7+ &29$5,$7( '(3(1'(17 &(1625,1* 

.H\ZRUGV FRYDULDWH GHSHQGHQW FHQVRULQJ DQG WUDQVIRUPDWLRQ PRGHOV 


:H SURSRVH DQ HVWLPDWRU IRU WKH UHJUHVVLRQ FRHIILFLHQW ?EHWDB 

LQ WKH FHQVRUHG WUDQVIRUPDWLRQ PRGHO 7 \ [ ?EHWDB ?HSVLORQ 

ZKHUH WKH IXQFWLRQ 7 LV PRQRWRQLF EXW RWKHUZLVH XQVSHFLILHG 

\ LV FHQVRUHG DQG ?HSVLORQ LV LQGHSHQGHQW RI [ 7KH PDLQ 

DGYDQWDJHV RI WKH QHZ HVWLPDWRU DUH WKDW LW LV GLVWULEXWLRQ IUHH 

DQG FDQ DFFRPPRGDWH FRYDULDWH GHSHQGHQW FHQVRULQJ 7KH HVWLPDWRU 

LV VKRZQ WR EH URRW Q FRQVLVWHQW DQG DV\PSWRWLFDOO\ QRUPDO DQG 

0RQWH &DUOR VLPXODWLRQV GHPRQVWUDWH GHVLUDEOH ILQLWH VDPSOH 

SHUIRUPDQFH $Q H[WHQVLRQ VKRZV KRZ WKH HVWLPDWRU FDQ EH HDVLO\ 

PRGLILHG WR DFFRPPRGDWH GRXEO\ FHQVRUHG GDWD DQG DQRWKHU H[WHQVLRQ 

FRQVLGHUV KHWHURVNHGDVWLF GDWD 7KH SURFHGXUH LV DOVR DSSOLHG WR 

WKH ZHOO NQRZQ 6WDQIRUG +HDUW 7UDQVSODQW GDWD VHW 

81(03/2

-(/ &ODVVLILFDWLRQ & & DQG ( 

0DQ\ PDFURHFRQRPLF PRGHOV LQFOXGLQJ WKH 1.3& 1HZ .H\QHVLDQ 3KLOOLSV &XUYH 

LQYROYH K\EULG HTXDWLRQV LQ ZKLFK VRPH YDULDEOHV GHSHQG RQ ERWK WKHLU ODJV DQG OHDGV 

+\EULG PRGHOV KDYH SURGXFHG FRQIOLFWLQJ HPSLULFDO UHVXOWV *00 UHVSHFWLYHO\ 0/ 

HVWLPDWLRQ ILQG WKH IRUZDUG ORRNLQJ FRPSRQHQW WR EH ODUJH VPDOO 

$ UDWLRQDOL]DWLRQ IRU WKLV FRQIOLFW LV SURYLGHG DOORZLQJ IRU WZR NLQGV RI PLVVSHFLILFDWLRQV 

RPLWWHG G\QDPLFV 

DQG PHDVXUHPHQW HUURU ZH VKRZ DQDO\WLFDOO\ LQ D VLPSOH '*3 WKDW WKH *00 0/ 

HVWLPDWRU RYHUVWDWHV XQGHUVWDWHV WKH VL]H RI WKH IRUZDUG ORRNLQJ FRPSRQHQW 0RQWH 

&DUOR H[SHULPHQWV LQGLFDWH WKLV UHVXOW KDV VRPH JHQHUDOLW\ 

:H XVH WKHVH ILQGLQJV WR UDWLRQDOL]H GLVFUHSDQFLHV REVHUYHG LQ 1.3& HVWLPDWHV 

&DPLOOH /RJHD\ 

'HXWVFKHV ,QVWLWXW I U :LUWVFKDIWVIRUVFKXQJ %HUOLQ ',: 

&R $XWKRUV 6 7REHU 

7,0( 9$5

FRQWLQHQWDO (XURSH 

32/,7,&$/ (&2120< , 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ $QGLQD 'LD] 

$OEHUWR &KLORVL 

8QLYDUVLW\ RI 3LVD ,WDO\ 

$XJ 

5RRP $ 

7+( (;7(1'(' &2$6($1 $3352$&+ 72 (&2120,& 32/,&< 

.H\ZRUGV &RDVH WKHRUHP DQG HFRQRPLF SROLF\ 

-(/ &ODVVLILFDWLRQ . DQG 3 

7KH UHOHYDQFH RI WKH &RDVHDQ DSSURDFK WR HFRQRPLF SROLF\ LV XQGHUPLQHG E\ VRPH 

LQWULQVLF GLIILFXOWLHV WR LWV DSSOLFDWLRQ LQ D UHDO ZRUOG FRQWH[W $ ZD\ WR H[WHQG WKH &RDVHDQ 

DSSURDFK WDNLQJ LQWR DFFRXQW WKRVH UHDO OLIH OLPLWDWLRQV LV WR FRQVLGHU WKH ORFDO DXWKRULWLHV 

DV UHSUHVHQWDWLYHV RI WKH LQWHUHVW RI WKH ORFDO FRPPXQLWLHV DQG WKURXJK WKH SURYLVLRQ RI DQ 

DGHTXDWH LQVWLWXWLRQDO IUDPHZRUN WR HQKDQFH WKH RSSRUWXQLWLHV IRU FRRSHUDWLRQ WKURXJK 

YROXQWDU\ DJUHHPHQWV LQYROYLQJ SULYDWH DQG SXEOLF SDUWLHV 7KXV WKH H[WHQW RI FRRSHUDWLRQ 

FDQ EH ZLGHQHG DV RSSRVLWH WR WUDGLWLRQDO UHPHGLDO DFWLRQV UHO\LQJ RQ KLHUDUFKLFDO QRQ 

FRQWUDFWXDO RU GLUHFW HQWUHSUHQHXULDO DFWLRQ E\ WKH VWDWH :LWK WKH UHGXFWLRQ LQ WKH DSSHDO 

RI WKH GLUHFW DQG FRHUFLWLYH DFWLRQ E\ WKH VWDWH D QXPEHU RI LQVWLWXWLRQV HPSKDVLVLQJ WKH 

FRQWUDFWXDO FRRSHUDWLRQ EHWZHHQ SXEOLF DXWKRULWLHV DQG SULYDWH DJHQWV KDYH HIIHFWLYHO\ 

JURZQ RI LPSRUWDQFH 

6DQMD\ -DLQ 

8QLYHUVLW\ RI 9LUJLQLD 

&R $XWKRUV 6 0XNDQG 

38%/,& 23,1,21 $1' 7+( '

7+( 0(',$1 927(5 ','1 7 6+2: 83 5(35(6(17$7,9( 

'(02&5$&< $1' 38%/,& (03/2

.H\ZRUGV ILUP VL]H JURZWK LQGXVWULHV LQLWLDWLYHV OLTXLGLW\ PRQLWRULQJ RZQHUVKLS 

FRQFHQWUDWLRQ DQG ULVN 


,Q WKLV SDSHU ZH DQDO\]H WKH HIIHFW RI D FKDQJH RI WKH RZQHUVKLS FRQFHQWUDWLRQ OHYHO RQ 

WKH YDOXH RI ILUPV %ORFNKROGHUV HQWLWLHV KROGLQJ DW OHDVW ILYH SHU FHQW RI D ILUP V 

RXWVWDQGLQJ VKDUHV DUH WKRXJKW WR H[HUW DFWLYH PRQLWRULQJ %XUNDUW *URPE DQG 3DQXQ]L 

KDYH VKRZQ WKDW KLJK OHYHO RI PRQLWRULQJ PD\ UHGXFH PDQDJHU V LQLWLDWLYHV :H 

LQYHVWLJDWH WKH YDOXH RI DFWLYH PRQLWRULQJ E\ H[DPLQLQJ WKH PDUNHW UHDFWLRQ WR WKH 

DQQRXQFHPHQW RI WKH FURVVLQJ RI OHJDO VKDUHKROGLQJV :H DSSO\ WKH HYHQW V VWXG\ PHWKRG 

WR D VDPSOH RI )UHQFK OLVWHG ILUPV RYHU D WZR \HDU SHULRG :H GLVWLQJXLVK VL[ OHJDO 

WKUHVKROGV )LUPV GLIIHU LQ UHJXODWHG PDUNHW VL]H DQG LQGXVWU\ :H ILQG HYLGHQFH IRU D QRQ 

OLQHDU FRQWURO DQG ILUP YDOXH UHODWLRQVKLS DQG WKDW WKH YDOXDWLRQ RI WKH PRQLWRULQJ LV IXQFWLRQ 

RI WKH HQYLURQPHQW DQG RI ILUP FKDUDFWHULVWLFV 

6WHIDQ %XHKOHU 


&R $XWKRUV = $\GHPLU 

(67,0$7,1* 9(57,&$/ )25(&/2685( ,1 8 6 *$62/,1( 6833/< 

.H\ZRUGV IRUHFORVXUH PDUNHW FRQGXFW SHWUROHXP LQGXVWU\ VHSDUDWLRQ DQG YHUWLFDO 

LQWHJUDWLRQ 

-(/ &ODVVLILFDWLRQ / / / DQG / 

:H H[DPLQH WKH FRPSHWLWLYH HIIHFWV RI WKH YHUWLFDO LQWHJUDWLRQ RI JDVROLQH 

UHILQHULHV DQG UHWDLOHUV LQ WKH 8 6 $GDSWLQJ WKH ILUVW RUGHU FRQGLWLRQ 

DSSURDFK RI VWDWLF ROLJRSRO\ JDPHV WR WKH DQDO\VLV RI YHUWLFDOO\ 

UHODWHG ROLJRSROLHV ZH GHYHORS D QRYHO IUDPHZRUN IRU GLUHFWO\ HYDOXDWLQJ 

WKH VWUDWHJLF IRUHFORVXUH HIIHFW DQG WKH HIILFLHQF\ EHQHILWV DVVRFLDWHG 

ZLWK YHUWLFDO LQWHJUDWLRQ $SSO\LQJ WKLV IUDPHZRUN ZH ILQG VLJQLILFDQW 

HYLGHQFH IRU ERWK YHUWLFDO IRUHFORVXUH DQG HIILFLHQF\ EHQHILWV 7KH IRUHFORVXUH 

HIIHFW GRPLQDWHV WKH HIILFLHQF\ EHQHILWV IRU PRUH WKDQ KDOI RI 

WKH UHILQLQJ ILUPV LQ WKH VDPSOH 9HUWLFDO IRUHFORVXUH LV IRXQG WR LQFUHDVH 

WKH ZKROHVDOH SULFH RI UHILQHG JDVROLQH E\ WR FHQWV SHU JDOORQ 

-DDS $EEULQJ 


&R $XWKRUV - &DPSEHOO 

$ 6758&785$/ (03,5,&$/ 02'(/ 2) ),50 *52:7+ /($51,1* 

$1' 6859,9$/ 

.H\ZRUGV %D\HVLDQ OHDUQLQJ HVWLPDWLRQ ILUP G\QDPLFV DQG LGHQWLILFDWLRQ 

-(/ &ODVVLILFDWLRQ & & & ' DQG / 

:H SUHVHQW D VWUXFWXUDO PRGHO RI ILUP JURZWK OHDUQLQJ DQG VXUYLYDO DQG FRQVLGHU LWV 

LGHQWLILFDWLRQ DQG HVWLPDWLRQ ,Q WKH PRGHO HQWUHSUHQHXUV KDYH SULYDWH DQG SRVVLEO\ HUURU 

ULGGHQ REVHUYDWLRQV RI SHUVLVWHQW DQG WUDQVLWRU\ VKRFNV WR SURILW :H GHPRQVWUDWH WKDW WKH

PRGHO V SDUDPHWHUV FDQ EH UHFRYHUHG IURP SXEOLF REVHUYDWLRQV RI VDOHV DQG VXUYLYDO DQG 

ZH HVWLPDWH WKHP XVLQJ PRQWKO\ GDWD IURP QHZ EDUV LQ 7H[DV :H ILQG WKDW HQWUHSUHQHXUV 

REVHUYH SURILW V SHUVLVWHQW FRPSRQHQW ZLWKRXW HUURU ,Q WKLV VHQVH WKHLU LQIRUPDWLRQ LV 

VXEVWDQWLDOO\ VXSHULRU WR WKH SXEOLF V 

0DULD /HWL]LD *LRUJHWWL 

8QLYHUVLW\ RI 0LODQ 

&21&(175$7,21 $1' 6&23( (&2120,(6 ,1 7+( 

3+$50$&(87,&$/ 6(&725 

.H\ZRUGV DOSKD GLYHUVLILFDWLRQ VFRSH HFRQRPLHV DQG VWRFKDVWLF VLPXODWLRQ 

-(/ &ODVVLILFDWLRQ & ' / DQG / 

7KLV SDSHU V REMHFWLYH LV WR PDNH VRPH LQIHUHQFH RQ WKH SDUDPHWHU DOSKD i LQWURGXFHG 

E\ 6XWWRQ ZKLFK JLYHV D ORZHU ERXQG IRU WKH OHYHO RI FRQFHQWUDWLRQ LQ RQH PDUNHW 

7KH LQIHUHQFH RQ WKH OHYHO RI i IRU WKH SKDUPDFHXWLFDO PDUNHW LV GRQH E\ DQDO\]LQJ WKH 

SRVVLEOH H[LVWHQFH RI VFRSH HFRQRPLHV LQ 5 ' EHWZHHQ VXEPDUNHWV WHFKQLFDO 

WUDMHFWRULHV 6FRSH HFRQRPLHV DUH VWXGLHG DV DQ H[SODQDWRU\ YDULDEOH IRU WKH 

GLYHUVLILFDWLRQ FKRLFHV RI ILUPV IRU WKH SHULRG 2XU UHVXOWV VXJJHVW WKDW L WKH 

UDQGRP GLYHUVLILFDWLRQ K\SRWKHVLV LV UHMHFWHG DQG LL VFRSH HFRQRPLHV DUH VLJQLILFDQW 

,17(51$7,21$/ ),1$1&( 

&DWHJRU\ (($ 

&KDLUSHUVRQ 1 2RPHV 

2VLULV 3DUFHUR 

8QLYHUVLW\ RI %ULVWRO 

,17(5 67$7( &203(7,7,21 )25 )', 

.H\ZRUGV EDUJDLQLQJ IRUHLJQ GLUHFW LQYHVWPHQW DQG WD[ FRPSHWLRQ 


$XJ 

5RRP ' 

7KLV SDSHU PRGHOV LQWHU UHJLRQDO FRPSHWLWLRQ IRU )', DQG RSWLPDO JRYHUQPHQW SROLF\ 

LQWHUYHQWLRQ WR SURWHFW WKH QDWLRQDO LQWHUHVW 7ZR UHJLRQDO DXWKRULWLHV EDUJDLQ ZLWK D VLQJOH 

PXOWLQDWLRQDO RYHU ZKHUH LW ZLOO ORFDWH 7KLV SRWHQWLDOO\ OHDGV WR H[FHVVLYH FRPSHWLWLRQ 

EHWZHHQ WKH UHJLRQV IDYRXULQJ WKH PXOWLQDWLRQDO 7KH FHQWUDO JRYHUQPHQW REYLRXVO\ ZDQWV 

WR OLPLW VXFK FRPSHWLWLRQ EXW ODFNV LQIRUPDWLRQ RQ FRPSDUDWLYH DGYDQWDJH 7KLV SDSHU 

H[DPLQHV LWV RSWLPDO SROLF\ $PRQJ WKH PDLQ UHVXOWV LV WKDW WKH FHQWUDO JRYHUQPHQW ZRXOG 

XVH WD[ SROLF\ WR FUHDWH DV\PPHWULHV HYHQ ZKHQ WKH XQGHUO\LQJ VWUXFWXUH LV V\PPHWULFDO 

0LFKHOH /HQ]D 

(FDUHV 8QLYHUVLWH /LEUH GH %UX[HOOHV 

&R $XWKRUV ' *LDQQRQH

7+( )(/'67(,1 +25,2.$ )$&7 

.H\ZRUGV &DSLWDO 0RELOLW\ '\QDPLF )DFWRU 0RGHO ,QWHUQDWLRQDO &RPRYHPHQW DQG 

6DYLQJ ,QYHVWPHQW FRUUHODWLRQ 

-(/ &ODVVLILFDWLRQ & ) DQG ) 

7KH )HOGVWHLQ +RULRND ILQGLQJ LV D YHU\ ZHOO NQRZQ DQG SX]]OLQJ HPSLULFDO UHJXODULW\ LQ 

,QWHUQDWLRQDO 0DFURHFRQRPLFV GRPHVWLF VDYLQJ DQG GRPHVWLF LQYHVWPHQW LQ 2(&' 

FRXQWULHV DUH KLJKO\ FRUUHODWHG FRQWUDU\ WR ZKDW LV SUHGLFWHG E\ SDUWLDO HTXLOLEULXP YHUVLRQV 

RI WKH ,QWHUWHPSRUDO 7KHRU\ RI &XUUHQW $FFRXQW ,W KDV EHHQ DUJXHG WKDW *HQHUDO 

(TXLOLEULXP HIIHFWV FRXOG SOD\ DQ LPSRUWDQW UROH LQ JHQHUDWLQJ WKLV HPSLULFDO UHJXODULW\ :H 

WDNH LQWR DFFRXQW WKHVH HIIHFWV E\ FRQWUROOLQJ IRU FRPRYHPHQW JHQHUDWHG E\ JOREDO IDFWRUV 

LQ WKH VDYLQJ LQYHVWPHQW UHJUHVVLRQV :KHQ FRQWUROOLQJ IRU FRPRYHPHQWV ZH ILQG 

7KH )HOGVWHLQ +RULRND SX]]OH LV WR EH GH HPSKDVL]HG DV WKH VDYLQJ UHWHQWLRQ 

FRHIILFLHQW FRQVLGHUDEO\ GHFUHDVHV LQ D SDQHO UHJUHVVLRQ IRU 2(&' FRXQWULHV 

7KH VDYLQJ UHWHQWLRQ FRHIILFLHQW VHHPV WR GHFOLQH RYHU WLPH EHFRPLQJ QRW VLJQLILFDQW 

LQ WKH V :H LQWHUSUHW WKLV ILQGLQJ DV D FRQVHTXHQFH RI LQFUHDVHG FDSLWDO PRELOLW\ LQ 

2(&' FRXQWULHV 

(GGD =ROL 


(0(5*,1* (&2120,(6 $&&(66 72 */2%$/ &$3,7$/ 0$5.(76 

&5(',7 5$7,21,1* 25 025$/ +$=$5'" 

.H\ZRUGV ILQDQFLDO FULVHV LQWHUQDWLRQDO OHQGLQJ PRUDO KD]DUG DQG VRYHUHLJQ GHEW 

-(/ &ODVVLILFDWLRQ & ( DQG ) 

7KLV SDSHU WHVWV HPSLULFDOO\ WKH WKHRUHWLFDO SUHGLFWLRQ WKDW WKH FRXQWU\ SUHPLXP SDLG E\ 

HPHUJLQJ HFRQRPLHV RQ VRYHUHLJQ GHEW LV XSZDUG VORSLQJ LQ WKH DPRXQW RI GHEW XS WR D 

FHUWDLQ FULWLFDO OHYHO DERYH ZKLFK WKH VXSSO\ RI IRUHLJQ IXQGV EHFRPHV YHUWLFDO 7KH UHVXOWV 

FRQILUP VXFK WKHRUHWLFDO SUHGLFWLRQ 7KH DSSURDFK GHYHORSHG LQ WKH SDSHU LV DOVR XVHG WR 

WHVW IRU WKH SUHVHQFH RI PRUDO KD]DUG LQ LQWHUQDWLRQDO OHQGLQJ 7KH UHVXOWV LQGLFDWH 

VLJQLILFDQW FKDQJHV LQ WKH VXSSO\ RI IXQGV FXUYH FRQVLVWHQW ZLWK WKH SUHVHQFH RI PRUDO 

KD]DUG LQ WKH SHULRG LPPHGLDWHO\ IROORZLQJ WKH 0H[LFDQ UHVFXH RSHUDWLRQ EXW QRW DIWHU WKH 

5XVVLDQ QRQ EDLORXW 

1LHQNH 2RPHV 


1(7:25. (;7(51$/,7,(6 $1' '2//$5,=$7,21 +

7KH PRGHO LV HVWLPDWHG XVLQJ D QHZ VRXUFH RI GDWD RQ GROODU FXUUHQF\ KROGLQJV LQ 5XVVLD 

2Q WKH EDVLV RI WKHVH HVWLPDWHV ZKLFK FRQILUP WKH H[LVWHQFH RI QHWZRUN H[WHUQDOLWLHV WKH 

SDSHU GLVFXVVHV VHYHUDO SROLFLHV WKDW FRXOG UHVXOW LQ D SHUPDQHQW GHFUHDVH LQ GROODUL]DWLRQ 

021(7$5< 32/,&< ,,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ 3UDWL 

*XQWHU &RHQHQ 


&R $XWKRUV 9 :LHODQG 

$XJ 

7+( =(52 ,17(5(67 5$7( %281' $1' 7+( 52/( 2) 7+( 

(;&+$1*( 5$7( )25 021(7$5< 32/,&< ,1 -$3$1 

5RRP ' 

.H\ZRUGV H[FKDQJH UDWHV OLTXLGLW\ WUDS PRQHWDU\ SROLF\ UXOHV QRPLQDO ULJLGLWLHV UDWLRQDO 

H[SHFWDWLRQV DQG ]HUR LQWHUHVW UDWH ERXQG 

-(/ &ODVVLILFDWLRQ ( ( ( DQG ( 

,Q WKLV SDSHU ZH VWXG\ WKH UROH RI WKH H[FKDQJH UDWH LQ FRQGXFWLQJ PRQHWDU\ SROLF\ LQ DQ 

HFRQRP\ ZLWK QHDU ]HUR QRPLQDO LQWHUHVW UDWHV DV H[SHULHQFHG LQ -DSDQ VLQFH WKH PLG 

V 2XU DQDO\VLV LV EDVHG RQ DQ HVWLPDWHG PRGHO RI -DSDQ WKH 8QLWHG 6WDWHV DQG WKH 

HXUR DUHD ZLWK UDWLRQDO H[SHFWDWLRQV DQG QRPLQDO ULJLGLWLHV )LUVW ZH SURYLGH D TXDQWLWDWLYH 

DQDO\VLV RI WKH LPSDFW RI WKH ]HUR ERXQG RQ WKH HIIHFWLYHQHVV RI LQWHUHVW UDWH SROLF\ LQ 

-DSDQ LQ WHUPV RI VWDELOL]LQJ 

RXWSXW DQG LQIODWLRQ 7KHQ ZH HYDOXDWH WKUHH FRQFUHWH SURSRVDOV WKDW IRFXV RQ GHSUHFLDWLRQ 

RI WKH FXUUHQF\ DV D ZD\ WR DPHOLRUDWH WKH HIIHFW RI WKH ]HUR ERXQG DQG HYDGH D SRWHQWLDO 

OLTXLGLW\ WUDS )LQDOO\ ZH LQYHVWLJDWH WKH LQWHUQDWLRQDO FRQVHTXHQFHV RI WKHVH 

SURSRVDOV 

$OHVVDQGUR 3UDWL 


&R $XWKRUV - +DPDQQ 

:+< '2 0$1< ',6,1)/$7,216 )$,/" 7+( ,03257$1&( 2) /8&. 

7,0,1* $1' 32/,7,&$/ ,167,787,216 

.H\ZRUGV GLVLQIODWLRQ DQG VWDELOL]DWLRQ 


&RXQWULHV H[SHULHQFLQJ KLJK LQIODWLRQ W\SLFDOO\ HPEDUN RQ VHYHUDO GLVLQIODWLRQ DWWHPSWV 

PRVW RI ZKLFK HQMR\ RQO\ WHPSRUDU\ VXFFHVV :H ILQG WKDW VHYHUDO IDFWRUV VXFK DV 

H[WHUQDO VKRFNV LQLWLDO FRQGLWLRQV DQG WKH W\SH RI SROLWLFDO LQVWLWXWLRQV SOD\ D FUXFLDO UROH LQ 

GHWHUPLQLQJ ZKHWKHU D VWDELOL]DWLRQ ZLOO XOWLPDWHO\ VXFFHHG 6LQFH WKHVH IDFWRUV FRQWLQXH WR 

EH LPSRUWDQW HYHQ ZKHQ ZH WDNH LQWR DFFRXQW WKH HYROXWLRQ RI PRQHWDU\ DQG ILVFDO 

YDULDEOHV ZH FRQFOXGH WKDW WKHLU UROH JRHV EH\RQG WKDW RI LQIOXHQFLQJ PDFUR SROLF\ 

DGMXVWPHQW 7KHVH ILQGLQJV DUH UREXVW DFURVV PHDVXUHV RI IDLOXUH WZR GLFKRWRPRXV DQG

RQH FRQWLQXRXV VDPSOH VHOHFWLRQ FULWHULD DQG HVWLPDWLRQ WHFKQLTXHV 

-XOLXV 0RVFKLW] 


7(0325$5< $1' 3(50$1(17 /,48,',7< ())(&76 ,1 7+( (852 

$5($ 

.H\ZRUGV (21,$ UDWH ,QWHUEDQN PDUNHW DQG /LTXLGLW\ HIIHFW 


7KH VKRUW HQG RI WKH \LHOG FXUYH WKH RYHUQLJKW UDWH GHSHQGV FUXFLDOO\ RQ KRZ PRQHWDU\ 

SROLF\ LV LPSOHPHQWHG $ VWUXFWXUDO LQWHUWHPSRUDO PRGHO IRU WKH RYHUQLJKW UDWH LV ODLG RXW 

DQG HXUR DUHD GDWD LV XVHG WR HVWLPDWH LW 0RVW RI WKH SUHGLFWDEOH SDWWHUQV IRU WKH PHDQ 

DQG WKH YRODWLOLW\ RI WKH RYHUQLJKW UDWH DUH UHODWHG WR PRQHWDU\ SROLF\ LPSOHPHQWDWLRQ EXW 

DOVR FDOHQGDU GD\ HIIHFWV DUH SUHVHQW $ SHUPDQHQW FKDQJH LQ UHVHUYH VXSSO\ RI RQH ELOOLRQ 

PRYHV WKH RYHUQLJKW UDWH E\ VL[ EDVLV SRLQWV KHQFH WKHUH LV D VXEVWDQWLDO OLTXLGLW\ HIIHFW 

+RZHYHU EDQNV UHDFW VOXJJLVK WR QHZ LQIRUPDWLRQ 

*LRUJLD *LRYDQQHWWL 

8QLYHUVLWD GL )LUHQ]H 

5DPRQ 0DULPRQ 

8QLYHUVLWDW 3RPSHX )DEUD &(35 1%(5 

&R $XWKRUV - 'LD] *LPHQH] 5 0DULPRQ DQG 3 7HOHV 

120,1$/ '(%7 $6 $ %85'(1 21 021(7$5< 32/,&< 

.H\ZRUGV PRQHWDU\ SROLF\ QRPLQDO GHEW DQG WLPH FRQVLVWHQF\ 


7KLV SDSHU H[SORUHV WKH UROHV SOD\HG E\ LQGH[HG GHEW DQG QRPLQDO GHEW ZKHQ PRQHWDU\ 

SROLF\ LV GHVLJQHG VHTXHQWLDOO\ ,Q RXU PRGHO ZLWK LQGH[HG GHEW WKH RSWLPDO PRQHWDU\ 

SROLF\ LV WLPH FRQVLVWHQW UHVXOWLQJ LQ FRQVWDQW LQWHUHVW UDWHV DQG GHEW OHYHOV ,Q FRQWUDVW 

ZLWK QRPLQDO GHEW WKH LQFHQWLYH WR UHGXFH WKH VWRFN RI GHEW WKURXJK XQDQWLFLSDWHG 

LQIODWLRQ FUHDWHV WKH VWDQGDUG WLPH LQFRQVLVWHQF\ SUREOHP 7KLV OHDGV XV WR VWXG\ WKH 

RSWLPDO VHTXHQWLDO FKRLFH RI PRQHWDU\ SROLF\ LQ WKH DEVHQFH RI D FRPPLWPHQW WHFKQRORJ\ 

,Q WKH UDWLRQDO H[SHFWDWLRQV HTXLOLEULXP WKH LQFHQWLYH WR JHQHUDWH XQDQWLFLSDWHG LQIODWLRQ 

LQFUHDVHV WKH FRVW RI WKH RXWVWDQGLQJ GHEW HYHQ LI WKHUH DUH QR XQDQWLFLSDWHG LQIODWLRQ 

HSLVRGHV 7KH RSWLPDO SROLF\ LV WR SURJUHVVLYHO\ GHSOHWH WKH RXWVWDQGLQJ VWRFN RI GHEW XQWLO 

WKH H[WUD OLDELOLW\ FRVWV YDQLVK 

,19(670(17 , 

&DWHJRU\ (($ 

&KDLUSHUVRQ 6 1XUPL 

$XJ 

5RRP '

3DXOL 0XUWR 

+HOVLQNL 6FKRRO RI (FRQRPLFV 

7,0,1* 2) ,19(670(17 81'(5 7(&+12/2*,&$/ $1' 5(9(18( 

5(/$7(' 81&(57$,17,(6 

.H\ZRUGV LUUHYHUVLEOH LQYHVWPHQW UHDO RSWLRQV DQG WHFKQRORJLFDO XQFHUWDLQW\ 

-(/ &ODVVLILFDWLRQ ' * 2 DQG 4 

:H FRQVLGHU WKH HIIHFWV RI WHFKQRORJLFDO DQG UHYHQXH UHODWHG XQFHUWDLQWLHV RQ WKH WLPLQJ RI 

LUUHYHUVLEOH LQYHVWPHQW 7KH GLVWLQFWLRQ EHWZHHQ WKH WZR W\SHV RI XQFHUWDLQWLHV LV ILUVW 

FKDUDFWHUL]HG ZLWKLQ WKH RSWLPDO VWRSSLQJ IUDPHZRUN 7KHQ D VSHFLILF PRGHO LV SUHVHQWHG 

ZKHUH WHFKQRORJLFDO SURJUHVV LV PRGHOHG DV D 3RLVVRQ DUULYDO SURFHVV WKDW UHGXFHV WKH 

FRVW RI LQYHVWPHQW DQG UHYHQXH XQFHUWDLQW\ LV PRGHOHG DV D JHRPHWULF %URZQLDQ PRWLRQ 

SURFHVV :H VKRZ WKDW LQ WKH DEVHQFH RI UHYHQXH XQFHUWDLQW\ WKH WHFKQRORJLFDO XQFHUWDLQW\ 

GRHV QRW DIIHFW WKH RSWLPDO LQYHVWPHQW UXOH +RZHYHU ZKHQ FRPELQHG ZLWK UHYHQXH 

XQFHUWDLQW\ LQFUHDVHG WHFKQRORJLFDO XQFHUWDLQW\ PDNHV LQYHVWPHQW OHVV DWWUDFWLYH UHODWLYH 

WR ZDLWLQJ 

6WHIDQR 1HUL 

%DQN RI ,WDO\ 

$*(1&< &2676 25 &267/< &$3,7$/ $'-8670(17 '6*( 

02'(/6" $1 (03,5,&$/ ,19(67,*$7,21 

.H\ZRUGV DGMXVWPHQW FRVWV DJHQF\ FRVWV PD[LPXP OLNHOLKRRG DQG 63$&(5 

-(/ &ODVVLILFDWLRQ & & ( ( DQG 63$&(5 

7KLV SDSHU FRPSDUHV WKUHH '6*( PRGHOV WKDW UHO\ RQ DGMXVWPHQW FRVWV IRU LQYHVWPHQW ,Q 

WKH ILUVW PRGHO WKHVH FRVWV DULVH HQGRJHQRXVO\ EHFDXVH RI DJHQF\ FRVWV &DUOVWURP DQG 

)XHUVW ,Q WKH VHFRQG PRGHO WKH FRVWV IRU DGMXVWLQJ WKH OHYHO RI LQYHVWPHQW DUH 

H[RJHQRXV ,Q WKH ODVW PRGHO WKHVH FRVWV DUH LPSRVHG RQ WKH FKDQJHV LQ LQYHVWPHQW 7KH 

PRGHOV DUH HVWLPDWHG YLD PD[LPXP OLNHOLKRRG XVLQJ 8 6 GDWD 7KH PRGHO ZLWK H[RJHQRXV 

DGMXVWPHQW FRVWV RQ WKH OHYHO RI LQYHVWPHQW VHHPV WR SURYLGH WKH EHVW UHSUHVHQWDWLRQ RI 

WKH 8 6 EXVLQHVV F\FOH DQG WKH UHVSRQVH RI YDULDEOHV WR WHFKQRORJ\ DQG PRQHWDU\ SROLF\ 

VKRFNV 

6DWX 1XUPL 


6(&725$/ ',))(5(1&(6 ,1 3/$17 67$57 83 6,=( 

.H\ZRUGV HQWU\ LQGXVWU\ GLIIHUHQFHV TXDQWLOH UHJUHVVLRQ DQG VWDUW XS VL]H 

-(/ &ODVVLILFDWLRQ - - / DQG / 

7KLV SDSHU VWXGLHV WKH GHWHUPLQDQWV RI SODQW VWDUW XS VL]H XVLQJ D TXDQWLOH UHJUHVVLRQ 

DSSURDFK 7KH SDSHU H[WHQGV SUHYLRXV UHVHDUFK E\ H[DPLQLQJ WKH GLIIHUHQFHV EHWZHHQ 

PDQXIDFWXULQJ DQG VHUYLFHV DQG XVLQJ ULFK SDQHO GDWD VHWV ZKLFK LQFOXGH YDULRXV 

FRYDULDWHV DQG DOORZ WKH FRPSDULVRQ RI WKH UHVXOWV 7KH ILQGLQJV VXJJHVW WKDW VFDOH 

HFRQRPLHV DQG LQGXVWU\ WXUEXOHQFH DUH PRUH LPSRUWDQW IRU WKH VWDUW XS GHFLVLRQ RI WKH 

ODUJHVW HQWUDQWV )XUWKHUPRUH ODUJH HQWUDQWV DUH PRUH OLNHO\ WR HQWHU LQGXVWULHV ZKHUH

IRUHLJQ WUDGH SOD\V DQ LPSRUWDQW UROH 7KH GLIIHUHQW HQYLURQPHQW IDFHG E\ QHZ SODQWV 

EHORQJLQJ WR ILUPV ZLWK PXOWLSOH SODQWV DOVR KDV WR EH WDNHQ LQWR DFFRXQW 

/$%285 0$5.(76 ,167,787,216 $1' 

3(5)250$1&( ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ < =HQRX 

/RUHQ]R )RUQL 

%DQN RI ,WDO\ 5HDVHDUFK 'HSDUWPHQW 

&R $XWKRUV 5 *LRUGDQR 

(03/2

-XOLHQ 3RXJHW 

&5(67 ,16(( 

&R $XWKRUV ' )RXJHUH DQG ) .UDPDU] 

&5,0( $1' 81(03/2

V\VWHPV 5HVHDUFK -RLQW 9HQWXUHV DQG V\VWHPV UHOLDELOLW\ 

-(/ &ODVVLILFDWLRQ 2 

7KH SDSHUV DLP LV WZR IROG D WR PRGHO VRPH NH\ IHDWXUHV RI WKH UHVHDUFK SURFHVV DV D 

PXOWL FRPSRQHQW V\VWHP DV XQGHUVWRRG E\ WKH PDWKHPDWLFDO WKHRU\ RI V\VWHPV UHOLDELOLW\ 

DQG E WR DSSO\ WKH UHVXOWLQJ PRGHO WR 5HVHDUFK -RLQW 9HQWXUHV VKRZLQJ WKDW D SRWHQWLDOO\ 

YHU\ ODUJH VXUSOXV FDQ EH UHDOL]HG SXUHO\ E\ RUJDQL]LQJ UHVHDUFK HIILFLHQWO\ L H HYHQ 

ZLWKRXW DQ\ FKDQJHV LQ 5 ' LQYHVWPHQW 

&DUPLQH 2UQDJKL 


63,//29(56 ,1 352'8&7 $1' 352&(66 ,1129$7,21 (9,'(1&( 

)520 0$18)$&785,1* ),506 

.H\ZRUGV ,QQRYDWLRQ .QRZOHGJH FDSLWDO DQG 6SLOORYHUV 


7KLV SDSHU SURSRVHV D QHZ HPSLULFDO DSSURDFK WR DVVHVV WKH LPSDFW RI NQRZOHGJH 

VSLOORYHUV RQ ILUPV SURGXFWLYLW\ DQG GHPDQG , FRQVLGHU D PRGHO ZKHUH SURFHVV 

LQQRYDWLRQV VSLOORYHUV WR RWKHU ILUPV UDLVH ILUPV UHODWLYH HIILFLHQF\ DQG WHFKQRORJLFDO 

GLIIXVLRQ RI SURGXFW LQQRYDWLRQV HQKDQFHV ILUPV GHPDQG %\ PRGHOOLQJ NQRZOHGJH FDSLWDO 

DV D IXQFWLRQ RI RZQ 5 ' LQYHVWPHQW DQG VSLOORYHUV , FDQ FRPSDUH WKH LPSDFW RI WKHVH 

WZR FRPSOHPHQWDU\ VRXUFHV RI NQRZOHGJH 7KH UHVXOWV REWDLQHG FRQILUP SUHYLRXV ILQGLQJV 

WKDW WHFKQRORJLFDO H[WHUQDOLWLHV DIIHFW VLJQLILFDQWO\ ILUPV SURGXFWLYLW\ JURZWK 7KH QHZ UHVXOW 

REWDLQHG LV WKDW WHFKQRORJLFDO GLIIXVLRQ RI SURGXFW LQQRYDWLRQV LV ODUJHU WKDQ WKH RQH 

GHULYLQJ IURP SURFHVV LQQRYDWLRQV ERWK LQ PDJQLWXGH DQG SHUYDVLYHQHVV 

6XVDQQH :DUQLQJ 


&R $XWKRUV ' $XGUHWVFK ( /HKPDQQ DQG 6 :DUQLQJ 

81,9(56,7< 63,//29(56 675$7(*,& /2&$7,21 $1' 1(: ),50 

3(5)250$1&( 

.H\ZRUGV (QWUHSUHQHXUVKLS *HRJUDSKLF /RFDWLRQ DQG 8QLYHUVLW\ 6SLOORYHU 


7KH LPSDFW RI ORFDWLRQDO FKRLFH DV D ILUP VWUDWHJ\ WR DFFHVV NQRZOHGJH VSLOORYHUV IURP 

XQLYHUVLWLHV LV H[DPLQHG %DVHG RQ D ODUJH GDWD VHW RI \RXQJ KLJK WHFKQRORJ\ VWDUW XSV 

SXEOLFO\ OLVWHG LQ *HUPDQ\ WKLV SDSHU WHVWV WKH SURSRVLWLRQV WKDW QRW RQO\ GRHV JHRJUDSKLF 

SUR[LPLW\ WR WKH XQLYHUVLW\ PDWWHU EXW WKDW WKH GHJUHH WR ZKLFK ORFDWLRQDO FKRLFH PDWWHUV LV 

VKDSHG E\ WKH ILHOG DQG W\SH RI NQRZOHGJH VSLOORYHU 7KH UROH RI JHRJUDSKLF SUR[LPLW\ DV D 

ORFDWLRQDO VWUDWHJ\ LV PRUH LPSRUWDQW LQ DFFHVVLQJ DQG DEVRUELQJ NQRZOHGJH VSLOORYHUV 

IURP SXEOLFDWLRQV LQ VFKRODUO\ MRXUQDOV LQ WKH VRFLDO VFLHQFHV WKDQ LQ WKH QDWXUDO VFLHQFHV 

%\ FRQWUDVW JHRJUDSKLF SUR[LPLW\ LV PRUH LPSRUWDQW LQ DFFHVVLQJ KXPDQ FDSLWDO HPERGLHG 

LQ XQLYHUVLW\ JUDGXDWHV LQ WKH QDWXUDO VFLHQFHV WKDQ LQ WKH VRFLDO VFLHQFHV 7KH UHVXOWV 

VXJJHVW WKDW ORFDWLRQDO SUR[LPLW\ WR D XQLYHUVLW\ HIIHFWV ILUP SHUIRUPDQFH

*52:7+ $1' '(9(/230(17 

&DWHJRU\ (($ 

&KDLUSHUVRQ 6 0DOOLFN 

$DURQ 7RUQHOO 

8&/$ 

&R $XWKRUV I ZHVWHUPDQQ 

*52:7+ $1' %803,1(66 

.H\ZRUGV JURZWK OHQGLQJ ERRP ULVN DQG YRODWLOLW\ 

-(/ &ODVVLILFDWLRQ ( ) 2 DQG 2 

$XJ 

5RRP % 

2YHU WKH ODVW WZR GHFDGHV WKH IDVWHVW JURZLQJ FRXQWULHV RI WKH GHYHORSLQJ ZRUOG KDYH 

W\SLFDOO\ 

H[SHULHQFHG OHQGLQJ ERRPV PRVW RI ZKLFK KDYH EHHQ SXQFWXDWHG E\ FULVHV &UHGLW ULVN 

KDV EHHQ D VRXUFH RI JURZWK HYHQ LI LW KDV OHDG WR RFFDVLRQDO FULVHV 

:H VKRZ HPSLULFDOO\ WKDW WKLV OLQN EHWZHHQ EXPSLQHVV DQG ORQJ UXQ JURZWK LV UREXVW 

DFURVV PLGGOH LQFRPH FRXQWULHV 0,&V :H DUJXH WKDW WKH VNHZQHVV LV PRUH LQIRUPDWLYH 

IRU D W\SOLFDO ERRP EXVW F\FOH JURZWK SDWWHUQ WKDQ YDULDQFH :H ILQG WKDW KLJKHU *'3 

JURZWK LV DVVRFLDWHG ZLWK QHJDWLYH VNHZQHVV LQ FUHGLW JURZWK DIWHU FRQWUROOLQJ IRU WKH 

VWDQGDUG YDULDEOHV 

:H UDWLRQDOL]H WKH OLQN EHWZHHQ EXPSLQHVV DQG JURZWK XVLQJ D G\QDPLF PRGHO RI D WZR 

VHFWRU HFRQRP\ ZLWK FUHGLW PDUNHW LPSHUIHFWLRQV 7KH PRGHO LV DEOH WR DFFRXQW IRU WKH 

ERRP EXVW F\FOHV REVHUYHG LQ 0,&V DQG JHQHUDWHV D SRVLWLYH UHODWLRQVKLS EHWZHHQ 

EXPSLQHVV DQG JURZWK 

'HQLV &RJQHDX 

',$/ ,5' 

&2/21,6$7,21 6&+22/ $1' '(9(/230(17 ,1 $)5,&$ $1 

(03,5,&$/ $1$/

6RXPLWUD .XPDU 0DOOLFN 

,QGLDQ ,QVWLWXWH RI 6RFLDO :HOIDUH %XVLQHVV 0DQDJHPHQW 

237,0$/ *52:7+ $1' 7(&+12/2*< &+2,&( 

.H\ZRUGV RSWLPDO JURZWK SDUWLFLSDWLRQ WHFKQRORJ\ SURGXFWLRQ WHFKQRORJ\ DQG WHFKQRORJ\ 

FKRLFH 

-(/ &ODVVLILFDWLRQ & ( DQG + 

7KLV SDSHU FRQVLGHUV WKH SUREOHP RI RSWLPDO JURZWK LQ WKH VWHDG\ VWDWH ZLWK D 

UHSUHVHQWDWLYH SDUWLFLSDQW ZKHQ SDUWLFLSDWLRQ LQ WKH DFFXPXODWLRQ SURFHVV LV GHSHQGDQW 

HQGRJHQRXVO\ RQ D SUWLFLSDWLRQ WHFKQRORJ\ :LWK VXFK D VSHFLILFDWLRQ WKH GLIIHUHQWLDO 

HTXDWLRQ FKDUDFWHULVLQJ WKH FKRLFH RI WHFKQRORJ\ IRU WKH *ROGHQ 5XOH FRQVXPSWLRQ 

LQYHVWPHQW DFFXPXODWLRQ SODQQLQJ H[HUFLVH LV GHULYHG XVLQJ JHQHUDO FRQFDYH XWLOLW\ 

VSHFLILFDWLRQ DQG 5HLPDQQLDQ DJJUHJDWLRQ SURFHGXUHV IRU PXOWLGLPHQVLRQDO UHSUHVHQWDWLYH 

IHOLFLW\ 7KH WHFKQRORJ\ FKRLFH IXQFWLRQ IRU LPSOHPHQWLQJ JROGHQ UXOH DFFXPXODWLRQ LV 

FKDUDFWHULVHG $Q LGHQWLILFDWLRQ SUREOHP LQ GHYHORSLQJ ILQDQFLDO LQVWLWXWLRQV LQ WKH FDVH RI 

&,6 FRXQWULHV IROORZV 

(&2120,&6 2) ('8&$7,21 , 

&DWHJRU\ (($ 

&KDLUSHUVRQ + 2RVWHUEHHN 

5HQDWD 6HUUD 

8QLYHUVLW\ RI &DPEULGJH 8. 

$XJ 

5RRP ' 

+2: '2(6 &+,/' )267(5,1* $))(&7 7+( 75$'( 2)) %(7:((1 

&+,/' :25. $1' 6&+22/,1*" $ 7+(25(7,&$/ 02'(/ 

.H\ZRUGV &KLOG IRVWHULQJ FKLOG VFKRROLQJ FKLOG ZRUN KRXVHKROG PRGHOV DQG 6XE 

6DKDUDQ $IULFD 

-(/ &ODVVLILFDWLRQ ' , - - 2 DQG 2 

7KLV SDSHU DLPV WR FRQWULEXWH WR D EHWWHU XQGHUVWDQGLQJ RI WKH RIWHQ QRWHG WUDGH RII 

EHWZHHQ FKLOG ZRUN DQG VFKRROLQJ E\ SURSRVLQJ D PRGHO LQ ZKLFK IRVWHULQJ FKLOGUHQ LQ DQG 

RXW D FRPPRQ SKHQRPHQRQ LQ 6XE 6DKDUDQ $IULFD LV DOVR DOORZHG 7KH SDSHU VKRZV 

WKDW IRVWHULQJ DOWKRXJK RIWHQ LQYROYLQJ ZRUN RQ WKH SDUW RI D IRVWHU FKLOG PLJKW DOVR SURYLGH 

D VHFRQG EHVW RSWLRQ IRU FKLOG HGXFDWLRQ ZKHQ IDPLO\ UHVRXUFHV DUH VFDUFH &KLOG 

HGXFDWLRQDO SRVVLELOLWLHV DUH QRW QHFHVVDULO\ GZDUIHG E\ WKH IDFW WKDW D FKLOG ZRUNV LQ WKLV 

FRQWH[W RQ WKH FRQWUDU\ IRVWHULQJ PD\ RSHQ XS FKDQFHV WKDW WKH FKLOG ZRXOG QRW KDYH KDG 

DW KRPH 

'DYLG 0XVWDUG 

8QLYHUVLW\ RI *HRUJLD 

&R $XWKRUV & &RUQZHOO DQG . /HH

7+( ())(&76 2) 0(5,7 %$6(' ),1$1&,$/ $,' 21 $&$'(0,& 

&+2,&(6 ,1 &2//(*( 

.H\ZRUGV HGXFDWLRQ PHULW DLG DQG VWXGHQW EHKDYLRU 

-(/ &ODVVLILFDWLRQ + , , DQG , 

7KHUH KDV EHHQ D VLJQLILFDQW FKDQJH LQ KLJKHU HGXFDWLRQ IURP QHHG EDVHG WR PHULW EDVHG 

DLG ZKLFK UHTXLUHV VWXGHQWV WR PDLQWDLQ D VSHFLILHG JUDGH SRLQW DYHUDJH $OWKRXJK WKLV 

UHTXLUHPHQW PD\ LQGXFH VWXGHQWV WR ZRUN KDUGHU LW PD\ SURGXFH XQLQWHQGHG 

FRQVHTXHQFHV EHFDXVH VWXGHQWV FDQ DIIHFW JUDGHV LQ RWKHU ZD\V 

2XU XQLTXH GDWD LQFOXGH WKH DGPLVVLRQ ILQDQFLDO DLG DQG FODVV WDNLQJ LQIRUPDWLRQ E\ WHUP 

IRU PRUH WKDQ VWXGHQWV :H XVH GLIIHUHQFH LQ GLIIHUHQFHV EHWZHHQ LQ VWDWH VWXGHQWV 

HOLJLEOH IRU PHULW DLG DQG RXW RI VWDWH VWXGHQWV ZKR DUH LQHOLJLEOH &RQWUROOLQJ IRU D 

GHWDLOHG VHW RI VWXGHQW FKDUDFWHULVWLFV ZH VKRZ WKDW PHULW DLG UHGXFHV WKH QXPEHU RI 

FODVVHV WDNHQ SHU WHUP DQG LQFUHDVHV WKH OLNHOLKRRG RI ZLWKGUDZLQJ IURP FODVVHV $V 

H[SHFWHG WKHUH LV QR HIIHFW IRU WKH KLJKHVW TXDOLW\ VWXGHQWV ZKRVH JUDGHV DUH IDU DERYH 

WKH FXWRII DQG VKRXOG QRW EH GLUHFWO\ DIIHFWHG E\ WKH HOLJLELOLW\ UXOHV 

+HVVHO 2RVWHUEHHN 


&R $XWKRUV ( /HXYHQ 0 /LQGDKO DQG ' :HEELQN 

7+( ())(&7 2) (;75$ )81',1* )25 ',6$'9$17$*(' 

678'(176 21 $&+,(9(0(17 

.H\ZRUGV FRPSXWHUV GLVDGYDQWDJHG VWXGHQWV UHJUHVVLRQ GLVFRQWLQXLW\ DQG WHDFKHUV 

-(/ &ODVVLILFDWLRQ , , DQG - 

7KLV SDSHU HYDOXDWHV WKH HIIHFWV RI WZR VXEVLG\ VFKHPHV WDUJHWHG DW GLVDGYDQWDJHG 

VWXGHQWV LQ WKH 1HWKHUODQGV 7KH ILUVW VFKHPH JLYHV VFKRROV ZLWK DW OHDVW SHUFHQW 

PLQRULW\ VWXGHQWV H[WUD IXQGLQJ IRU SHUVRQQHO 7KH VHFRQG VFKHPH JLYHV VFKRROV ZLWK DW 

OHDVW SHUFHQW GLVDGYDQWDJHG VWXGHQWV H[WUD IXQGLQJ IRU FRPSXWHUV 7KH SHUFHQW 

FXWRIIV SURYLGH D UHJUHVVLRQ GLVFRQWLQXLW\ GHVLJQ (VWLPDWHV RI WKH HIIHFWV RI WKH 3HUVRQQHO 

6XEVLG\ RQ DFKLHYHPHQW RI WK JUDGHUV DUH SRVLWLYH EXW QHYHU VLJQLILFDQWO\ GLIIHUHQW IURP 

]HUR (VWLPDWHV RI WKH HIIHFWV RI WKH &RPSXWHU 6XEVLG\ DUH QHJDWLYH DQG LQ VRPH FDVHV 

VLJQLILFDQWO\ GLIIHUHQW IURP ]HUR 

$,' 

&DWHJRU\ (($ 

&KDLUSHUVRQ %

-(/ &ODVVLILFDWLRQ ' DQG ) 

'RHV SROLF\ FRQGLWLRQDOLW\ ZRUVHQ GRPHVWLF ZHOIDUH DV JRYHUQPHQWV DUH IRUFHG WR DWWHPSW 

XQSRSXODU UHIRUPV UHVXOWLQJ LQ GDPDJLQJ SURWHVWV RU GRHV FRQGLWLRQDOLW\ KHOS LPSOHPHQW 

UHIRUPV WKDW RWKHUZLVH ZRXOG KDYH EHHQ LPSRVVLEOH" 7KLV SDSHU DQDO\]HV WKHVH 

TXHVWLRQV 8VLQJ D JDPH WKHRUHWLF IUDPHZRUN LW DUJXHV WKDW WKH LPSDFW RI FRQGLWLRQHG DLG 

RQ ZHOIDUH LV QRQ PRQRWRQLF 6XIILFLHQWO\ FRQGLWLRQHG DLG FDQ HQKDQFH WKH VLJQDOLQJ SRZHU 

RI UHIRUP DQQRXQFHPHQWV WKHUHE\ GHWHUULQJ SURWHVW DQG HQDEOLQJ UHIRUP ,Q FRQWUDVW 

LQDGHTXDWHO\ FRQGLWLRQHG DLG PD\ ERWK LQGXFH D ³ZHDN´ JRYHUQPHQW WR PLVWDNHQO\ DWWHPSW 

UHIRUP UHVXOWLQJ LQ SURWHVW DQG D ZRUVHQLQJ RI GRPHVWLF ZHOIDUH UHODWLYH WR WKH VWDWXV TXR 

,QHV +DUGR\ 

,QVWLWXWH IRU 6RFLDO 5HVHDUFK 

())(&7 2) ,0) 352*5$00(6 21 *52:7+ $ 5($335$,6$/ 

86,1* 7+( 0(7+2' 2) 0$7&+,1* 

.H\ZRUGV HFRQRPLF JURZWK HIIHFW HYDOXDWLRQ ,0) SURJUDPPHV QRQ SDUDPHWULF PHWKRGV 

DQG VHOHFWLRQ 

-(/ &ODVVLILFDWLRQ & ) DQG 2 

7KH DYHUDJH LPSDFW RI WKH ,QWHUQDWLRQDO 0RQHWDU\ )XQG ,0) SURJUDPPHV RQ WKH 

HFRQRPLF JURZWK RI WKH ERUURZLQJ FRXQWULHV LV DQDO\VHG IURP D PHWKRGRORJLFDO DSSURDFK 

QRW SUHYLRXVO\ DSSOLHG LQ WKLV FRQWH[W WKH PHWKRG RI PDWFKLQJ DQG GLIIHUHQFH LQ GLIIHUHQFHV 

PDWFKLQJ 7KH VSHFLDO IHDWXUH RI WKLV DSSURDFK LV WKDW LW FRQWUROV IRU µVHOHFWLRQ RQ 

REVHUYDEOHV LQ DGGLWLRQ WR µVHOHFWLRQ RQ XQREVHUYDEOHV 7KLV VHFRQG VRXUFH RI VHOHFWLRQ LV 

ZKDW SUHYLRXV VWXGLHV KDYH WULHG WR PRGHO 7KH GDWD FRYHUV WKH SHULRG ± DQG 

LQFOXGHV DOO QRQ PDMRU RLO SURGXFLQJ GHYHORSLQJ FRXQWULHV WKDW DUH PHPEHUV RI WKH ,0) 

'XH WR GDWD DWWULWLRQ , UXQ SDUDOOHO DQDO\VHV IRU GLIIHUHQW GDWD VHWV WKDW YDU\ ZLWK UHJDUGV WR 

WKH FRYDULDWHV LQFOXGHG LQ WKH HVWLPDWLRQV DQG WKXV WKH QXPEHU RI REVHUYDWLRQV 5HVXOWV 

LQGLFDWH QR SRVLWLYH HIIHFWV RI ,0) SURJUDPPHV RQ SHU FDSLWD *'3 JURZWK IRU WKUHH 

FRQVHFXWLYH \HDUV DIWHU SURJUDPPH SDUWLFLSDWLRQ 

%RULDQD

%86,1(66 &

&R $XWKRUV 6 3DOPTYLVW 

,1)/$7,21 0$5.836 $1' 021(7$5< 32/,&< 

.H\ZRUGV 0RQHWDU\ SROLF\ UXOHV 0RQRSROLVWLF FRPSHWLWLRQ DQG 3ULFH LQGLFLHV 


7KH FRUUHODWLRQ EHWZHHQ SHUVLVWHQW FKDQJHV LQ WKH PDUNXS LQ RQH VHFWRU RI DQ HFRQRP\ 

DQG WKH LQIODWLRQ UDWH LV TXDQWLILHG LQ D VHFWRU G\QDPLF JHQHUDO HTXLOLEULXP PRGHO +RZ 

WKLV UHODWLRQVKLS LV DIIHFWHG E\ PRQHWDU\ SROLF\ LV DOVR VWXGLHG :H ILQG WKDW WKH FRUUHODWLRQ 

LV LQ JHQHUDO SRVLWLYH XQGHU DQ H[RJHQRXV PRQH\ JURZWK UXOH DV ZHOO DV XQGHU DQ LQIODWLRQ 

WDUJHWLQJ UXOH +RZHYHU LI LQIODWLRQ LV PHDVXUHG E\ DQ RSWLPDO SULFH LQGH[ WKDW DOVR 

LQFOXGHV WKH ZDJH UDWH WKH FRUUHODWLRQ LV VOLJKWO\ QHJDWLYH 7KLV LV GXH WR KLJKHU ZDJH UDWHV 

7KH UHODWLRQVKLS LV VHQVLWLYH WR ZKHWKHU WKH SROLF\ UXOH LQFOXGHV DQ RXWSXW WHUP ,I PRQHWDU\ 

SROLF\ DFFRPPRGDWHV RXWSXW VWURQJO\ WKH FRUUHODWLRQ LV QHJDWLYH $ GHFUHDVH LQ WKH 

PDUNXS OHDGV WR KLJKHU LQIODWLRQ UDWHV DV PHDVXUHG E\ ERWK WKH &3, DQG WKH RSWLPDO SULFH 

LQGH[ 

5(*8/$7,21 

&DWHJRU\ (($ 

&KDLUSHUVRQ 8 $NJXQ 

$VWULG -XQJ 

:=% DQG +XPEROGW 8QLYHUVLW\ %HUOLQ 

&R $XWKRUV 7 'XVR 

&2//86,21 &225',1$7,21 ,1 /2%%

(9,'(1&( 86,1* 672&. 0$5.(7 '$7$ 

.H\ZRUGV /REE\LQJ 0HUJHU &RQWURO 3ROLWLFDO (FRQRP\ DQG 6WRFN 0DUNHW 'DWD 

-(/ &ODVVLILFDWLRQ & ' DQG / 

,Q WKLV SDSHU ZH FRQVLGHU D VDPSOH RI (8 PHUJHU FRQWURO GHFLVLRQV DQG HYDOXDWH WKH 

DQWL FRPSHWLWLYH FRQVHTXHQFHV RI WKHVH PHUJHUV IURP WKH UHDFWLRQ RI WKH VWRFN PDUNHW 

SULFH RI FRPSHWLWRUV :LWK UHVSHFW WR W\SH , HUURUV RXU GDWD XQFRYHUV VRPH V\VWHPDWLF 

ELDVHV EXW ILQGV QR VXSSRUW IRU WKH FODLP WKDW WKH &RPPLVVLRQ LV EHLQJ LQIOXHQFHG E\ WKH 

IDWH RI FRPSHWLWRUV :H DOVR ILQG V\VWHPDWLF ELDVHV WRZDUGV W\SH ,, HUURUV ZKLFK DSSHDU WR 

EH DIIHFWHG E\ D QXPEHU RI LQVWLWXWLRQDO DQG SROLWLFDO IHDWXUHV :H ILQG VXSSRUW IRU WKH YLHZ 

WKDW DQWL FRPSHWLWLYH PHUJHUV DUH PRUH OLNHO\ WR EH FOHDUHG LQ SKDVH , ZKHQ LW LQYROYHV 

ILUPV IURP ODUJH PHPEHU VWDWHV EXW OHVV OLNHO\ WR EH FOHDUHG ZKHQ WKH UHOHYDQW PDUNHW LV 

QDWLRQDO :H DOVR ILQG WKDW WKH IHTXHQF\ RI HUURUV KDV LQFUHDVHG GXULQJ WKH WHQXUH RI 

&RPPLVVLRQHU 0RQWL 

8JXU $NJXQ 

,'($ 8QLYHUVLWDW $XWzQRPD GH %DUFHORQD 

0(5*(56 :,7+ 6833/< )81&7,216 

.H\ZRUGV PHUJHUV ROLJRSRO\ DQG VXSSO\ IXQFWLRQV 

-(/ &ODVVLILFDWLRQ ' / DQG / 

, DQDO\VH WKH HTXLOLEULXP HIIHFWV RI D PHUJHU LQ DQ LQGXVWU\ ZLWK VXSSO\ IXQFWLRQ 

FRPSHWLWLRQ 8QGHU D IL[HG FDSLWDO VWRFN IRU WKH LQGXVWU\ DQG TXDGUDWLF FRVWV GHFUHDVLQJ 

ZLWK FDSLWDO ZH ILQG WKDW DQ\ PHUJHU UHVXOWV LQ DOO ILUPV GHFUHDVLQJ VXSSO\ 7KH GHFUHDVH LQ 

VXSSO\ E\ QRQ SDUWLFLSDWLQJ ILUPV PDNHV PHUJLQJ SURILWDEOH IRU DQ\ WZR ILUPV $ PHUJHU LV 

PRUH OLNHO\ WR EH ZHOIDUH HQKDQFLQJ LI LW LQFUHDVHV WKH ³V\PPHWU\´ LQ WKH LQGXVWU\ $Q\ 

PHUJHU IURP D V\PPHWULF LQGXVWU\ KDUPV VRFLHW\ 

32/,7,&$/ (&2120< , 


&KDLUSHUVRQ / &RORPER 

$QQD 5XELQFKLN 3HVVDFK 

8QLYHUVLW\ RI &RORUDGR DW %RXOGHU 

&R $XWKRUV 5 6DPDQLHJR 

$XJ 

$1$5&+< $1' '(0$1' )25 7+( 67$7( ,1 $ 75$'( 

(19,5210(17 

.H\ZRUGV JDLQV IURP WUDGH SURSHUW\ ULJKWV DQG UROH IRU JRYHUQPHQW 

-(/ &ODVVLILFDWLRQ + + DQG . 

5RRP ( 

:H LQYHVWLJDWH WKH UHODWLRQVKLS EHWZHHQ SROLW\ IRUPDWLRQ DQG WKH OHYHO RI HFRQRPLF DFWLYLW\ 

:H SRVLW D G\QDPLF VHDUFK HQYLURQPHQW LQ ZKLFK RSSRUWXQLWLHV IRU PXWXDOO\ EHQHILFLDO 

WUDGH PD\ EH KDPSHUHG E\ WKHIW 7KH H[FOXGDELOLW\ RI JRRGV LQ WKH IRUP RI UHVSHFWHG

SURSHUW\ ULJKWV LV HQGRJHQRXVO\ GHWHUPLQHG DV D UHVXOW 

:H LQWURGXFH D JRYHUQPHQW LQ WKH PLQLPDO VHQVH RI DQ DJHQF\ WKDW SURWHFWV SURSHUW\ 

ULJKWV ,Q H[FKDQJH IRU SURWHFWLRQ DJHQWV SD\ D FHUWDLQ DPRXQW WR HQWHU WKH PDUNHW :H 

ILQG WKDW DJHQWV ZLOOLQJQHVV WR SD\ IRU WKHVH VHUYLFHV WR EH WD[HG LV LQFUHDVLQJ LQ 

SRWHQWLDO JDLQV IURP WUDGH DQG WKLV UHVXOW LV UREXVW WR FRUUXSWLRQ LQ JRYHUQPHQW 

&KULVWRSKHU (OOLV 

8QLYHUVLW\ RI 2UHJRQ 

&R $XWKRUV - )HQGHU 

&255837,21 $1' 75$163$5(1&< ,1 $ *52:7+ 02'(/ 

.H\ZRUGV &RUUXSWLRQ *URZWK DQG 3XEOLF LQYHVWPHQW 


:H GHYHORS D 5DPVH\ W\SH PRGHO RI HFRQRPLF JURZWK LQ ZKLFK WKH (QJLQH RI *URZWK LV 

SXEOLF FDSLWDO 

DFFXPXODWLRQ 3XEOLF FDSLWDO LV ILQDQFHG E\ WD[HV RQ SULYDWH RXWSXW 7KH JRYHUQPHQW PD\ 

HLWKHU XVH WKH WD[HV 

JDWKHUHG WR IXQG SXEOLF FDSLWDO DFFXPXODWLRQ RU FRQVXPH WKH UHVRXUVHV LWVHOI 

7KHUH LV WKXV DQ LUUHGXFDEOH OHYHO RI HQGRJHQRXVO\ GHWHUPLQHG FRUUXSWLRQ ZKLFK 

FRQVWLWXWHV UHQWV IRU ZKLFK SRWHQWLDO JRYHUQPHQWV FRPSHWH 7KLV FRPSHWLWLRQ LQYROYHV 

FKRRVLQJ D WLPH SDWK IRU SXEOLF FDSLWDO LQYHVPHQW 

:H VWXG\ ERWK WKH PRGHOV VWHDG\ VWDWH DQG G\QDPLFDO EHKDYLRU DORQJ WKH VDGGOH SDWK 

7KH 

SUHGLFWLRQV RI RXU WKHRU\ DFFRUG ZHOO ZLWK WKH H[LVWDQW HPSLULFDO HYLGHQFH RQ WKH 

UHODWLRQVKLSV EHWZHHQ JURZWK 

FRUUXSWLRQ SXEOLF LQYHVWPHQW DQG ILVFDO WUDQVSDUHQF\ 2XU DQDO\VLV DOVR GRHV D JRRG MRE RI 

H[SODLQLQJ WKH 

WUDQVLWLRQ H[SHULHQFHV RI VHYHUDO (DVWHUQ (XURSHDQ HFRQRPLHV )XUWKHU WKH PRGHO 

GLVSOD\V D FRUUXSWLRQ WUDS 

$ ORZ OHYHO HTXLOLEULXP IURP ZKLFK D FRXQWU\ FDQQRW HDVLO\ HVFDSH 

/HRQDUGR )HOOL 


&R $XWKRUV $ 0HUOR 

(1'2*(1286 /2%%

XFD &RORPER 

&DWKROLF 8QLYHUVLW\ 0LODQR 

&R $XWKRUV 0 %RUGLJQRQ DQG 8 *DOPDULQL 

),6&$/ )('(5$/,60 $1' (1'2*(1286 /2%%,(6 )250$7,21 

.H\ZRUGV )LVFDO )HGHUDOLVP /REE\LQJ DQG 3UHVVXUH *URXSV 


:H EXLOG D JHQHUDO HTXLOLEULXP PRGHO RI OREE\LQJ EHKDYLRU ZLWK WZR UHJLRQV D QRQ 

FRPSHWLWLYH ILUP DQG D UHSUHVHQWDWLYH FRQVXPHU LQ HDFK UHJLRQ )LUPV FRPSHWH LQ WKH 

PDUNHW OREE\LQJ IRU SXEOLF JRRG SURYLVLRQ RU IRU WKH PDUNHW OREE\LQJ WR JDLQ DFFHVV WR LW 

:KHQ ILUPV FRPSHWH LQ WKH PDUNHW LI JRYHUQPHQWV JLYH HQRXJK ZHLJKW WR OREE\LVWV 

FRQWULEXWLRQV OREE\LQJ EHKDYLRU LV PRUH SRZHUIXO DQG PRUH OREELHV ZLOO IRUP XQGHU 

GHFHQWUDOL]DWLRQ 0RUHRYHU XQGHU GHFHQWUDOL]DWLRQ WKH IRUHLJQ UHVLGHQW ILUP PD\ EH PRUH 

SRZHUIXO LQ DIIHFWLQJ D UHJLRQDO JRYHUQPHQW SROLF\ 

:KHQ ILUPV FRPSHWH IRU WKH PDUNHW OREE\LQJ LV PRVW HIIHFWLYH XQGHU IXOO GHFHQWUDOL]DWLRQ 

PHDQLQJ WKDW ORFDO ILUPV JDLQ DFFHVV WR D ORFDO PRQRSRO\ 2Q WKH FRQWUDU\ XQGHU IXOO 

FHQWUDOL]DWLRQ RU VKDUHG FRPSHWHQFLHV WKH RXWFRPH RI OREE\LQJ GHSHQGV RQ WKH 

SROLWLFLDQ V GHJUHH RI EHQHYROHQFH DQG RQ ILUPV WHFKQRORJ\ 

6($5&+ $1' 0$7&+,1* 


&KDLUSHUVRQ & +RO]QHU 

7LP &DVRQ 

3XUGXH 8QLYHUVLW\ 

&R $XWKRUV & 1RXVVDLU 

$ 0$5.(7 :,7+ )5,&7,216 ,1 7+( 0$7&+,1* 352&(66 $1 

(;3(5,0(17$/ 678'< 

.H\ZRUGV H[SHULPHQW PDWFKLQJ IXQFWLRQ DQG SRVWHG SULFHV 


$XJ 

5RRP ( 

:H FRQVWUXFW D ODERUDWRU\ PDUNHW ZLWK WKH VWUXFWXUH VWXGLHG E\ %XUGHWW 6KL DQG :ULJKW 

LQ ZKLFK WKHUH LV D IULFWLRQ LQ WKH PDWFKLQJ SURFHVV EHWZHHQ EX\HUV DQG VHOOHUV 

6HOOHUV ILUVW VLPXOWDQHRXVO\ SRVW SULFHV DW ZKLFK WKH\ DUH ZLOOLQJ WR VHOO WKHLU VLQJOH XQLW RI D 

JRRG %X\HUV WKHQ VLPXOWDQHRXVO\ GHFLGH IURP ZKLFK VHOOHU WKH\ ZLOO DWWHPSW WR SXUFKDVH D 

XQLW ,I PRUH WKDQ RQH EX\HU FKRRVHV WKH VDPH VHOOHU WKH JRRG LV UDQGRPO\ VROG WR RQH RI 

WKH EX\HUV 2XU H[SHULPHQWDO UHVXOWV VKRZ D EURDG FRQVLVWHQF\ ZLWK WKH PRGHO RI %XUGHWW 

HW DO DQG OHVV VXSSRUW IRU DQ DOWHUQDWLYH PRGHO 0RQWJRPHU\ WKDW KDV GLIIHUHQW 

DVVXPSWLRQV RQ WKH VWUDWHJLF LQWHUDFWLRQ EHWZHHQ VHOOHUV 7KH PDLQ GHSDUWXUH WKDW ZH 

REVHUYH IURP WKH %XUGHWW HW DO PRGHO LV WKDW SULFHV H[FHHG WKH HTXLOLEULXP OHYHO ZKHQ 

WKHUH DUH RQO\ WZR VHOOHUV

%UXQR 'HFUHXVH 

&156 DQG 8QLYHUVLWp 3DULV 

&+226< 6($5&+ $1' 7+( 0,60$7&+ 2) 7$/(176 

.H\ZRUGV &RQJHVWLRQ H[WHUQDOLWLHV HIILFLHQF\ +HWHURJHQHLW\ DQG 6HJPHQWHG PDUNHWV 

-(/ &ODVVLILFDWLRQ ' - DQG - 

, SURSRVH D PXOWL VHFWRU PRGHO ZKHUH ZRUNHUV KDYH V\PPHWULF VHFWRU VSHFLILF VNLOOV DQG 

WKH VHDUFK PDUNHW LV VHJPHQWHG E\ VHFWRU :RUNHUV FKRRVH ZKHWKHU WR SDUWLFLSDWH WR HDFK 

PDUNHW RU QRW ZKDW , WHUP FKRRV\ VHDUFK , LGHQWLI\ D QRYHO FRQJHVWLRQ H[WHUQDOLW\ ZKLOH 

FKRRVLQJ SULYDWHO\ WKH UDQJH RI PDUNHWV WR SURVSHFW RQ ZRUNHUV GR QRW WDNH LQWR DFFRXQW 

WKH LPSDFW RI WKHLU FKRLFH RQ WKH PHDQ SURGXFWLYLW\ DPRQJ WKH SRROV RI VHFWRU VSHFLILF MRE 

VHHNHUV &RQVHTXHQWO\ ZRUNHUV VHDUFK WRR PXFK DQG WKHUH LV URRP IRU SXEOLF SROLF\ HYHQ 

ZKHQ WKH VR FDOOHG +RVLRV FRQGLWLRQ KROGV ,Q DGGLWLRQ , VKRZ WKDW UHJUHVVLYH WD[DWLRQ LV D 

EHWWHU LQVWUXPHQW WKDQ XQHPSOR\PHQW FRPSHQVDWLRQ WR FRUUHFW WKDW LQHIILFLHQF\ 

-XKD 9LUUDQNRVNL 


&R $XWKRUV . .XOWWL DQG $ 0LHWWXQHQ 

0,6',5(&7(' 6($5&+ $ 7:2 6,'(' &225',1$7,21 352%/(0 

.H\ZRUGV RQH VLGHG VHDUFK DQG WZR VLGHG VHDUFK 

-(/ &ODVVLILFDWLRQ & ' ' ' DQG - 

'LUHFWHG VHDUFK PRGHOV DVVXPH WKDW EX\HUV VHDUFK DQG VHOOHUV ZDLW RU YLFH YHUVD :H 

VROYH VHDUFKLQJ DQG ZDLWLQJ GHFLVLRQV EDVHG RQ WKH QXPEHU RI DJHQWV DQG WKH WUDGLQJ UXOH 

DXFWLRQ RU EDUJDLQLQJ ,QFUHDVLQJ WKH QXPEHU RI EX\HUV LQFUHDVHV D EX\HUV SUREDELOLW\ RI 

ZDLWLQJ %DUJDLQLQJ LV PRUH HIILFLHQW WKDQ DXFWLRQ 7ZR VLGHG VHDUFK LV KRZHYHU QRW 

HYROXWLRQDU\ VWDEOH ,QFUHDVLQJ WKH UHODWLYH VL]H RI WKH EX\HU SRRO LQFUHDVHV WKH SUREDELOLW\ 

WKDW WKH PDUNHW FRQYHUJHV WR DQ HTXLOLEULXP ZKHUH DOO WKH EX\HUV VHDUFK DQG DOO WKH VHOOHUV 

ZDLW :H WKXV SURYLGH UDWLRQDOH IRU RQH VLGHG VHDUFK 2QH VLGHG VHDUFK LV PRUH HIILFLHQW 

WKDQ WZR VLGHG VHDUFK 

&KULVWLDQ +RO]QHU 

LIR ,QVWLWXWH 

6($5&+ $1' $'9(56( 6(/(&7,21 

.H\ZRUGV DGYHUVH VHOHFWLRQ SUREDWLRQ SHULRG DQG VHDUFK 


,Q D FRPSHWLWLYH VHDUFK PRGHO KHWHURJHQRXV ZRUNHUV ZKR GLIIHU LQ WKHLU SUREDELOLW\ RI 

PDNLQJ D PLVWDNH GHFLGH ZKLFK VXEPDUNHW WKH\ ZDQW WR VHDUFK LQ 6LQFH WKH W\SH RI D 

ZRUNHUV LV RQO\ UHYHDOHG RYHU WLPH DQG VLQFH WKHUH LV QR VRUWLQJ YDULDEOH DYDLODEOH WKDW 

ZRXOG DOORZ IRU VLJQDOLQJ ILUPV WU\ WR VFUHHQ ZRUNHUV E\ RIIHULQJ D FRQWUDFW WKDW VSHFLILHV D 

SUREDWLRQ SHULRG GXULQJ ZKLFK ZRUNHUV DUH SDLG D ZDJH EHORZ WKHLU PDUJLQDO SURGXFW 7KH 

RSWLPDO OHQJWK RI D SUREDWLRQ SHULRG GHSHQGLQJ RQ WKH UDWH DW ZKLFK ZRUNHUV PDNH D 

PLVWDNH LV GHULYHG 7KLV VFUHHQLQJ PHFKDQLVP FDQ KRZHYHU EH VR FRVWO\ IRU ORZ PLVWDNH

W\SH ZRUNHUV WKDW WKH\ SUHIHU D SRROLQJ HTXLOLEULXP LQVWHDG ZKHUH GLVFRYHUHG KLJK PLVWDNH 

W\SH ZRUNHUV DUH ODLG RII DIWHU WKH SUREDWLRQ SHULRG 

%86,1(66 &

021(7$5< 81&(57$,17< 0$5.(7 ,1&203/(7(1(66 $1' 

(&2120,& $&7,9,7< 

.H\ZRUGV LQFRPSOHWH PDUNHWV DQG PRQHWDU\ VKRFNV 


7KH SDSHU H[SORUHV WKH HIIHFW RI PRQHWDU\ VKRFNV RQ FDSLWDO DFFXPXODWLRQ DQG RXSXW 

ZKHQ PDUNHWV DUH LQFRPSOHWH ,Q WKLV PRGHO PRQHWDU\ VKRFNV DIIHFW WKH UHWXUQV 

FKDUDFWHULVWLFV RI QRPLQDO DVVHWV DQG PRGLILHV WKH DELOLW\ RI WKHVH WR GLYHUVLI\ SURGXFWLRQ 

ULVNV 7KH HIIFHWV RQ FDSLWDO DFFXPXODWLRQ DUH WKXV GLIIHUHQW ZKHQ PDUNHWV DUH LQFRPSOHWH 

DQG QRQ GLYHUVLILDEOH ULVNV H[LVW WKDQ ZKHQ WKH\ DUH FRPSOHWH 7KH SDSHU DOVR H[SORUHV 

KRZ WKH G\QDPLFV RI WKH V\VWHP LQ WKH VKRUW DQG ORQJ UXQV DUH DIIHFWHG E\ WKH SUHVHQFH RI 

PRQHWDU\ VKRFNV 

0DUWLDO 'XSDLJQH 

7RXORXVH 8QLYHUVLW\ 

&R $XWKRUV 7 6RSUDVHXWK 

287387 '

:H H[DPLQH ZKHWKHU D VHFRQG SULFH DXFWLRQ LV LPPXQH WR D VLPSOH IRUP 

RI FROOXVLRQ ZKHUH RQH ELGGHU PD\ EULEH DQRWKHU WR VWD\ WR OHDYH WKH DXFWLRQ :KHQ RQO\ D 

EULEH RI D IL[HG VL]H PD\ EH RIIHUHG WKHUH 

DUH WZR HTXLOLEULD RQH EULELQJ DQG RQH 

QR EULELQJ HTXLOLEULXP :KLOH WKH EULELQJ HTXLOLEULXP LV QDWXUDOO\ 

VWDEOH WKH QR EULELQJ HTXLOLEULXP IDLOV VHYHUDO UHILQHPHQWV :KHQ EULEHV RI DQ\ VL]H PD\ 

EH RIIHUHG UREXVW HTXLOLEULD LQYROYH ORZ EULEHU W\SHV UHYHDOLQJ WKHPVHOYHV WKURXJK WKH 

DPRXQW WKH\ RIIHU ZKLOH KLJK W\SHV SRRO E\ RIIHULQJ WKH VDPH 

EULEH 2QO\ RQH VXFK HTXLOLEULXP LV FRQWLQXRXV 

%ULELQJ HTXLOLEULD LQ DOO FDVHV OHDG WR LQHIILFLHQF\ 

6DUDK 3DUODQH 

8QLYHUVLW\ &ROOHJH 'XEOLQ 

(48,/,%5,80 $//2&$7,216 81'(5 0$5.(7 6+$5( 

81&(57$,17< 

.H\ZRUGV $XFWLRQ (IILFLHQF\ DQG 3URGXFW 'LIIHUHQWLDWLRQ 


7KLV SDSHU DQDO\]HV WKH GLIIHUHQW HTXLOLEULD WKDW FDQ DULVH ZKHQ FRPSHWLQJ VHOOHUV KROG 

KRUL]RQWDOO\ GLIIHUHQWLDWHG SURGXFWV 6HOOHUV PD\ XVH DQ HIILFLHQW DXFWLRQ VXFK DV WKH 

(QJOLVK DXFWLRQ RU D YDULDQW RI LW DOORZLQJ IRU LQHIILFLHQW DOORFDWLRQV 7KH DQDO\VLV SURSRVHV 

D UDWLRQDOH IRU UHVRUWLQJ WR LQHIILFLHQW DOORFDWLRQV XQGHU PDUNHW VKDUH XQFHUWDLQW\ 

0RULW] 0H\HU WHU 9HKQ 

%RQQ 8QLYHUVLW\ 6WDQIRUG 8QLYHUVLW\ 

&R $XWKRUV 3 -HKLHO DQG % 0ROGRYDQX 

0,;(' %81'/,1* $8&7,216 

.H\ZRUGV GRPLQDQW VWUDWHJ\ DXFWLRQV 0L[HG %XQGOLQJ DQG 0XOWL XQLW DXFWLRQ 


:H VWXG\ PXOWL REMHFW DXFWLRQ PHFKDQLPV LQ D PRGHO ZLWK SULYDWH DQG DGGLWLYH YDOXDWLRQV 

:H LQWURGXFH D EXQGOLQJ SDUDPHWHU WKDW HQKDQFHV WKH SUREDELOLW\ WKDW DOO REMHFWV ZLOO EH 

VROG WR RQH ELGGHU 7KLV UDLVHV FRPSHWLWLRQ RQ WKH RQH KDQG EXW FDXVHV LQHIILFLHQF\ RQ WKH 

RWKHU %\ PD[LPL]LQJ H[SHFWHG UHYHQXH RYHU WKLV SDUDPHWHU ZH ILQG WKDW IRU DQ\ QXPEHU 

RI REMHFWV DQG ELGGHUV ERWK WKH SXUH EXQGOLQJ DXFWLRQ DQG VHSDUDWH DXFWLRQV IRU WKH VLQJOH 

REMHFWV DUH UHYHQXH LQIHULRU WR DQ DXFWLRQ WKDW LQYROYHV PL[HG EXQGOLQJ 

7KLV LPSOLHV WKDW WKH HIILFLHQW VHSDUDWH DXFWLRQV QHYHU PD[LPL]H WKH VHOOHU V H[SHFWHG 

UHYHQXHV 

*DEULHOOD &KLHVD 

(FRQRPLFV 'HSDUWPHQW 8QLYHUVLWD %RORJQD 

08/7, 81,7 352&85(0(17 $8&7,216 $1' 7+( ())(&76 2)

0(5*(56 

.H\ZRUGV 0HUJHUV 0XOWL 8QLW $XFWLRQV DQG 3URFXUHPHQW 


,QWHUPHGLDWH JRRGV SURGXFHUV VXSSOLHUV FRPSHWH IRU LQSXW SURFXUHPHQW RI D ILQDO JRRG 

SURGXFHU EX\HU WKDW KDV D GHFUHDVLQJ PDUJLQDO YDOXDWLRQ IRU WKH XQLWV $ VXSSOLHU V 

PDUJLQDO FRVW LV LQFUHDVLQJ DQG GHILQHG E\ LWV FDSDFLW\ SURFXUHPHQW FDQ EH VSOLW DQG 

XQOLNH VWDQGDUG PXOWL XQLW DXFWLRQ PRGHOV LWV VL]H LV GHWHUPLQHG HQGRJHQRXVO\ :H KDYH 

L HIILFLHQF\ LL ODUJHU VXSSOLHUV KDYH ODUJHU PDUNHW VKDUHV DQG VHW KLJKHU XQLW SULFHV LLL 

WKH DYHUDJH SULFH LV LQFUHDVLQJ LQ PDUNHW FRQFHQWUDWLRQ +LUVFKPDQ +HUILQGDKO LQGH[ DQG 

LQ WKH GLIIHUHQFH EHWZHHQ WKH WZR ODUJHVW PDUNHW VKDUHV 0HUJHUV LY PDNH FRPSHWLWRUV 

ZRUVH RII DQG EHQHILW WKH LQVLGHUV Y PD\ EHQHILW EX\HUV %X\HUV EHQHILW IURP PHUJHUV WKDW 

ORZHU VXSSOLHUV VL]H DV\PPHWU\ 

*52:7+ $1' '(9(/230(17 , 


&KDLUSHUVRQ 6 )XNXGD 

7LWR &RUGHOOD 


&R $XWKRUV * 'HOO $UULFFLD DQG . .OHW]HU 

$XJ 

&21',7,21$/ $,' 629(5(,*1 '(%7 $1' '(%7 5(/,() 

.H\ZRUGV DLG FRQGLWLRQDOLW\ GHEW UHOLHI DQG ,PSOLFLW FRQWUDFWV 

-(/ &ODVVLILFDWLRQ & + DQG 2 

5RRP ( 

,V GHEW UHOLHI WKH EHVW LQVWUXPHQW WR LQFUHDVH WKH FRQVXPSWLRQ RI WKH SRRU LQ +,3&V" 7R 

DQVZHU WKLV TXHVWLRQ ZH SUHVHQW D PRGHO RI FRQGLWLRQDO DLG DV DQ LPSOLFLW FRQWUDFW 

EHWZHHQ DOWUXLVWLF GRQRUV FRQFHUQHG DERXW WKH FRQVXPSWLRQ RI WKH SRRU DQG UHFLSLHQW 

JRYHUQPHQW UHSUHVHQWLQJ WKH LQWHUHVWV RI WKH ZHOO RIIV 7KLV FRQWUDFW LV SOD\HG RXW RYHU DQ 

LQILQLWH KRUL]RQ DQG LV VXSSRUWHG E\ SXQLVKPHQW WKUHDWV IRU GHYLDWLRQ ,Q D FRQVWUDLQHG 

RSWLPDO FRQGLWLRQDO DLG UHODWLRQVKLS ZH VKRZ WKDW GHEW UHOLHI FDQ UHGXFH WKH ZHOIDUH RI WKH 

SRRU 2XU IUDPHZRUN DOVR SURYLGHV D QHZ H[SODQDWLRQ RI ZK\ DLG IORZV FDQ EH SURF\FOLF 

DQG ZK\ GRQRUV ZKR DUH DOVR GHEW KROGHUV NHHS SURYLGLQJ DLG ZLWKRXW JUDQWLQJ GHEW UHOLHI 

0DUtD ' *XLOOy 

8QLYHUVLGDG GH $OLFDQWH 

&R $XWKRUV ) 3HUH] 6HEDVWLDQ 

&5266 &28175< ,1&20( ',))(5(1&(6 ,1 $1 23(1 (&2120< 

7:2 6(&725 *52:7+ 02'(/ :,7+ 63(&,) )$&7256 

.H\ZRUGV FURVV FRXQWU\ LQFRPHV VSHFLILF IDFWRUV DQG WZR VHFWRU JURZWK


7KLV SDSHU LQYHVWLJDWHV KRZ D FRXQWU\ V VSHFLILF IDFWRU HQGRZPHQW DIIHFWV LWV SDWK RI 

HFRQRPLF GHYHORSPHQW :H FDUU\ RXW WKH DQDO\VLV ZLWKLQ DQ RSHQ HFRQRP\ YHUVLRQ RI WKH 

WZR VHFWRU QHRFODVVLFDO PRGHO ZLWK IL[HG LQGXVWU\ VSHFLILF LQSXWV 2XU PDLQ ILQGLQJ LV WKDW 

XQGHU IDFWRU SULFH HTXDOL]DWLRQ GLIIHUHQFHV LQ LQSXW LQWHQVLW\ DFURVV VHFWRUV FDQ H[SODLQ 

ZK\ QDWLRQV WKDW VHHP WR KDYH VLPLODU IDFWRU HQGRZPHQWV FDQ VKRZ YHU\ GLIIHUHQW LQFRPH 

OHYHOV 7KH PRGHO FDQ DOVR DFFRXQW IRU RYHUWDNLQJ HSLVRGHV EHWZHHQ FRXQWULHV DORQJ WKHLU 

GHYHORSPHQW SDWKV 

6KLQ LFKL )XNXGD 

)DFXOW\ RI (FRQRPLFV 8QLYHUVLW\ RI 7RN\R 

287387 5,*,',7< $1' 329(57< 75$3 ,1 $ 02'(/ 2) (&2120,& 

*52:7+ 81'(5 .1,*+7,$1 81&(57$,17< 

.H\ZRUGV (QGRJHQRXV &\FOHV .QLJKWLDQ 8QFHUWDLQW\ 2YHUODSSLQJ JHQHUDWLRQV PRGHO 

DQG 3RYHUW\ 7UDS 


$W WKH HDUO\ VWDJH RI GHYHORSPHQW WKH GHJUHH RI ³XQFHUWDLQW\´ LQ WKH HFRQRP\ LV H[WUHPHO\ 

ODUJH 7KH SXUSRVH RI WKLV SDSHU LV WR H[SORUH KRZ .QLJKWLDQ XQFHUWDLQW\ DIIHFWV G\QDPLF 

SURSHUWLHV LQ D VWDQGDUG PRGHO RI HFRQRPLF JURZWK 7KH GHFLVLRQ PDNLQJ WKHRU\ LQ WKH 

DQDO\VLV LV WKDW RI H[SHFWHG XWLOLW\ XQGHU D QRQ DGGLWLYH SUREDELOLW\ PHDVXUH WKDW LV WKH 

&KRTXHW H[SHFWHG XWLOLW\ PRGHO RI SUHIHUHQFH :H DSSO\ WKLV GHFLVLRQ WKHRU\ WR DQ 

RYHUODSSLQJ JHQHUDWLRQV PRGHO 8QGHU .QLJKWLDQ XQFHUWDLQW\ RXWSXW EHFRPHV ULJLG IRU 

VRPH PHDVXUDEOH UDJH RI UHDO LQWHUHVW UDWH 7KH H[LVWHQFH RI WKH RXWSXW ULJLGLW\ PDNHV 

PXOWLSOH HTXLOLEULD PRUH OLNHO\ RXWFRPH XQGHU ORJ XWLOLW\ DQG &REE 'RXJODVV SURGXFWLRQ 

IXQFWLRQV :H VKRZ WKDW HYHQ LI DYHUVLRQ WR XQFHUWDLQW\ LV VPDOO ³SRYHUW\ WUDS´ FDQ DULVH 

IRU D ZLGH UDQJH RI SDUDPHWHU YDOXHV 

+DQJ 5\X 

&KXQJ $QJ 8QLYHUVLW\ 

&R $XWKRUV - 3DUN 

52/( 2) ,1&5($6,1* 5(78516 ,1 7+( ($67 $6,$1 (&2120,& 

*52:7+ 

.H\ZRUGV KRPRWKHWLF SURGXFWLRQ IXQFWLRQ PHWD SURGXFWLRQ IXQFWLRQ UHWXUQV WR VFDOH 

IXQFWLRQ VRXUFHV RI HFRQRPLF JURZWK DQG WRWDO IDFWRU SURGXFWLYLW\ 

-(/ &ODVVLILFDWLRQ ' ) DQG 2 

7KLV VWXG\ H[SORUHV WKH UROH RI LQFUHDVLQJ UHWXUQV LQ WKH HFRQRPLF JURZWK RI IRXU (DVW 

$VLDQ QHZO\ LQGXVWULDOL]HG HFRQRPLHV 1,(V ± +RQJ .RQJ .RUHD 6LQJDSRUH DQG 7DLZDQ 

2XU UHVXOWV VXJJHVW WKDW WKH UROH RI WHFKQLFDO SURJUHVV ZLOO EH RYHUHVWLPDWHG ZKHQ 

FRQVWDQW UHWXUQV WR VFDOH LV DVVXPHG DV LQ PRVW WUDGLWLRQDO JURZWK DFFRXQWLQJ DQG 

HVWLPDWLRQ UHVXOWV 7KH SULPDU\ RU LPSRUWDQW VRXUFH RI JURZWK ZDV SK\VLFDO FDSLWDO 

DFFXPXODWLRQ LQ RXU KRPRWKHWLF IXQFWLRQ UHVXOWV ZKHUHDV LW ZDV WKH WHFKQLFDO SURJUHVV LQ 

WKH &56 UHVXOW 2XU ILQGLQJV VXSSRUW WKH YLHZ WKDW WKH (DVW $VLDQ HFRQRPLF JURZWK ZDV 

LQSXW EDVHG UDWKHU WKDQ SURGXFWLYLW\ EDVHG

021(7$5< 32/,&< , 


&KDLUSHUVRQ 5 )UH\ 

3DXO ' 0F1HOLV 

*HRUJHWRZQ 8QLYHUVLW\ 

&R $XWKRUV * /LP 

$XJ 

&(175$/ %$1. /($51,1* $1' 67$%,/,=$7,21 81'(5 

&203/(7( $1' 3$57,$/ 3$66 7+528*+ 

.H\ZRUGV LQIODWLRQ WDUJHW OHDUQLQJ DQG SDVV WKURXJK 


5RRP ) 

7KLV SDSHU H[DPLQHV WKH RXWFRPHV RI DOWHUQDWLYH SROLF\ WDUJHWV IRU PRQHWDU\ SROLF\ LQ DQ 

RSHQ HFRQRP\ VXEMHFW WR WHUPV RI WUDGH VKRFNV ZKHQ WKH FHQWUDO OHDUQV WKH HYROXWLRQ RI 

LQIODWLRQ DQG RXWSXW JURZWK LQ WKH GHVLJQ RI SROLF\ UXOHV :H VKRZ XQGHU FRQGLWLRQV RI ERWK 

FRPSOHWH DQG SDUWLDO H[FKDQJH UDWH SDVV WKURXJK D UXOH IRU WKH LQWHUHVW UDWH EDVHG RQ 

RXWSXW JURZWK DQG LQIODWLRQ \LHOGV KLJKHU ZHOIDUH HIIHFWV WKDQ UXOHV EDVHG RQ LQIODWLRQ 

WDUJHWV 

6WHIDQR (XVHSL 

1HZ

&R $XWKRUV + 5RGULJXH] 0HQGL]DEDO 

+2: 7,*+7 6+28/' &(175$/ %$1. 6 +$1'6 %( 7,('" 

&5(',%,/,7< 92/$7,/,7< $1' 7+( 237,0$/ %$1' :,'7+ 2) $ 

7$5*(7 =21( 

.H\ZRUGV &UHGLELOLW\ ([FKDQJH UDWH DJUHHPHQWV 0RQHWDU\ SROLF\ 5DWLRQDO H[SHFWDWLRQV 

DQG 7DUJHW ]RQHV 


7KLV SDSHU DQDO\]HV WKH OLQNDJHV EHWZHHQ WKH FUHGLELOLW\ RI D WDUJHW ]RQH UHJLPH WKH 

YRODWLOLW\ RI WKH H[FKDQJH UDWH DQG WKH EDQG ZLGWK 7KHVH WKUHH FRQFHSWV VKRXOG EH 

UHODWHG LQ WKDW WKH EDQG LQGXFHV D WUDGH RII EHWZHHQ FUHGLELOLW\ DQG YRODWLOLW\ 1DUURZHU 

EDQGV VKRXOG JLYH OHVV VFRSH IRU WKH H[FKDQJH UDWH WR IOXFWXDWH EXW PD\ PDNH DJHQWV 

SHUFHLYH D ODUJHU SUREDELOLW\ RI UHDOLJQPHQW ZKLFK E\ LWVHOI VKRXOG LQFUHDVH WKH YRODWLOLW\ RI 

WKH H[FKDQJH UDWH :H EXLOG D PRGHO ZKHUH WKLV WUDGH RII LV HQGRJHQRXV 7KH PRGHO 

H[SODLQV KRZ YRODWLOLW\ GHFUHDVHG E\ PRVW (06 FXUUHQFLHV DIWHU WKH EDQG ZLGHQLQJ RQ 

$XJXVW 

5DLQHU )UH\ 

8QLYHUVLWlW 5RVWRFN 

021(7$5< 32/,&< &225',1$7,21 81'(5 ),;(' (;&+$1*( 

5$7(6" 7+( ,03257$1&( 2) 7+( '(&,6,21 32:(56 

.H\ZRUGV GHFLVLRQ SRZHU IL[HG H[FKDQJH UDWHV PRQHWDU\ SROLF\ DQG SROLF\ FRRUGLQDWLRQ 


7KH DQDO\VLV RI WKH DWWUDFWLYHQHVV RI FRRUGLQDWLRQ VWDUWV RXW IURP WKH %DUUR *RUGRQ 

IUDPHZRUN 7KLV IUDPHZRUN LV H[WHQGHG WR DGGUHVV D UHJLPH RI IL[HG H[FKDQJH UDWHV :H 

ILQG WKDW D ODUJH FRXQWU\ LQFUHDVHV LWV ZHOIDUH ZLWK D VKLIW IURP WKH 1DVK HTXLOLEULXP WR WKH 

FRRUGLQDWHG SROLF\ HTXLOLEULXP ERWK ZLWK UHODWLYH FRXQWU\ VL]HG ZHLJKWHG GHFLVLRQ SRZHUV 

DQG ZLWK HTXDO ZHLJKWLQJ RI WKH WZR FRXQWULHV ,Q WKH GLIIHUHQW VKRFN VFHQDULRV D VPDOO 

FRXQWU\ SUHIHUV FRRUGLQDWHG SROLFLHV SURYLGHG LWV ZHLJKW HTXDOV WKDW RI WKH ODUJH FRXQWU\ LQ 

WKH GHFLVLRQ PDNLQJ SURFHVV ,Q WKH FDVH RI UHODWLYH VL]H ZHLJKWHG SRZHUV WKH VPDOO 

FRXQWU\ LV EHWWHU RII LI LW SOD\V 1DVK 

927,1* 


&KDLUSHUVRQ 3 %DJ 

-HDQ )UDQFRLV /DVOLHU 

&156 (FROH 3RO\WHFKQLTXH 

$0%,*8,7< ,1 (/(&725$/ &203(7,7,21 

$XJ 

.H\ZRUGV DPELJXLW\ HOHFWLRQV JDPH WKHRU\ SROLWLFV DQG SUXGHQW EHKDYLRU 

5RRP )


7KH SDSHU SURSRVHV D WKHRU\ RI HOHFWRUDO FRPSHWLWLRQ $Q DPELJXRXV SODWIRUP SXWV PRUH 

RU OHVV HPSKDVLV RQ DOWHUQDWLYH SROLFLHV DQG LV PRUH RU OHVV HDVLO\ XQGHUVWRRG DV RQH 

SROLF\ RU DQRWKHU $ SDUW\ FDQ PRQLWRU H[DFWO\ WKLV SODWIRUP GHVLJQ EXW FDQQRW WDUJHW LWV 

FRPPXQLFDWLRQ WR YRWHUV RQH E\ RQH (DFK YRWHU YRWHV DFFRUGLQJ WR KHU XQGHUVWDQGLQJ RI 

WKH SDUWLHV SODWIRUPV EXW GLVOLNH DPELJXLW\ 7KLV HOHFWRUDO FRPSHWLWLRQ KDV QR HTXLOLEULXP 

EXW LWV PLQ PD[ VWUDWHJLHV DUH RSWLPDO PL[HG VWUDWHJLHV LQ WKH 'RZQVLDQ JDPH ,I SDUWLHV 

EHKDYH SUXGHQWO\ HQRXJK ZLWK UHVSHFW WR YRWHUV DPELJXLW\ DYHUVLRQ WKHVH VWUDWHJLHV GR 

IRUP D 1DVK HTXLOLEULXP 

7RGG .DSODQ 


&R $XWKRUV 6 %UDPV 

',9,',1* 7+( ,1',9,6,%/( 352&('85(6 )25 $//2&$7,1* 

&$%,1(7 0,1,675,(6 72 32/,7,&$/ 3$57,(6 ,1 $ 

3$5/,$0(17$5< 6

JHQHUDO VHWWLQJV DQG HYHQ PRUH LW DFKLHYHV WKH RQO\ H[ DQWH LQFHQWLYH FRPSDWLEOH RSWLPDO 

DOORFDWLRQ )LQDOO\ DQ DUJXPHQW LQ IDYRXU RI 0DMRULW\ 5XOH LV SUHVHQWHG VKRZLQJ WKDW WKH 

RSWLPDO 

LPSOHPHQWDEOH DOORFDWLRQ UREXVW WR DQ\ SRVVLEOH SULRU LV WKH RQH DFKLHYHG E\ 

0DMRULW\ 5XOH 

3DULPDO .DQWL %DJ 

%LUNEHFN &ROOHJH 8QLY RI /RQGRQ 

&R $XWKRUV + 6DERXULDQ DQG ( :LQWHU 

7+( :($.(67 /,1. &21'25&(7 &216,67(1&< $1' 

6(48(17,$/ 96 6,08/7$1(286 927,1* 

.H\ZRUGV %DQNV VHW ELQDU\ YRWLQJ FRPSOH[LW\ DYHUVLRQ &RQGRUFHW ZLQQHU 0DUNRY 

HTXLOLEULXP 6HTXHQWLDO YRWLQJ DQG ZHDNHVW OLQN YRWLQJ 

-(/ &ODVVLILFDWLRQ & ' DQG 3 

7KH ZHDNHVW OLQN YRWLQJ VHOHFWV D VLQJOH ZLQQHU IURP D QXPEHU RI FDQGLGDWHV E\ 

VXFFHVVLYH HOLPLQDWLRQV 7KH YRWLQJ WDNHV SODFH LQ URXQGV DQG LQ HDFK URXQG WKH FDQGLGDWH 

UHFHLYLQJ WKH VPDOOHVW QXPEHU RI YRWHV WKH ZHDNHVW OLQN LV HOLPLQDWHG ,I WKH YRWHUV 

YRWH VWUDWHJLFDOO\ WKH ZHDNHVW OLQN UXOH ZLOO VHOHFW WKH &RQGRUFHW ZLQQHU ZKHQ LW H[LVWV 

WR EHFRPH WKH XOWLPDWH 

ZLQQHU 7KH YRWLQJ UXOH LV VKRZQ WR EH SDUW RI D ODUJHU IDPLO\ RI VHTXHQWLDO YRWLQJ UXOHV 

DORQJ ZLWK WKH PRUH IDPLOLDU ELQDU\ YRWLQJ WKDW VKDUH WKLV VSHFLDO IHDWXUH ,Q FRQWUDVW VRPH 

RI WKH SRSXODU RQH VKRW YRWLQJ UXOHV VXFK DV SOXUDOLW\ UXOH DSSURYDO YRWLQJ %RUGD UXOH DQG 

QHJDWLYH YRWLQJ IDLO WR EH &RQGRUFHW FRQVLVWHQW 7KH HTXLOLEULXP SURSHUWLHV RI WKH ZHDNHVW 

OLQN YRWLQJ 

LQ WKH DEVHQFH RI D &RQGRUFHW ZLQQHU DUH DOVR DQDO\]HG 

),1$1&,$/ (&2120(75,&6 7+(25< ,, 


&KDLUSHUVRQ - .QLJKW 

3DWULFN *DJOLDUGLQL 

8QLYHUVLWj GHOOD 6YL]]HUD ,WDOLDQD 

&R $XWKRUV & *RXULpURX[ 

()),&,(17 1213$5$0(75,& (67,0$7,21 2) 02'(/6 :,7+ 

121/,1($5 '(3(1'(1&( 

$XJ 

5RRP ) 

.H\ZRUGV &RSXOD (IILFLHQF\ 1RQOLQHDU GHSHQGHQFH DQG 1RQSDUDPHWULF (VWLPDWLRQ 


,Q WKLV SDSHU ZH LQWURGXFH PRGHOV ZLWK FRQVWUDLQHG QRQSDUDPHWULF GHSHQGHQFH 

ZKLFK VSHFLI\ WKH FRQGLWLRQDO GLVWULEXWLRQ RU WKH FRSXOD LQ WHUPV RI RQH GLPHQVLRQDO 

IXQFWLRQDO 

SDUDPHWHUV 7KH\ SURYLGH D FRQYHQLHQW IUDPHZRUN IRU WKH DQDO\VLV RI 

QRQOLQHDU GHSHQGHQFH LQ ILQDQFLDO DSSOLFDWLRQV

ZKLFK OLHV LQ 

EHWZHHQ VWDQGDUG SDUDPHWULF VSHFLILFDWLRQV ZKLFK DUH LQ JHQHUDO WRR 

UHVWULFWLYH DQG WKH IXOO\ XQUHVWULFWHG DSSURDFK ZKLFK LV QRW ZHOO VXLWHG IRU WKH 

LQWHUSUHWDWLRQ RI 

WKH SDWWHUQV RI QRQOLQHDU GHSHQGHQFH DQG VXIIHUV IURP WKH FXUVH 

RI GLPHQVLRQDOLW\ $ QDWXUDO QRQSDUDPHWULF HVWLPDWRU LV GHILQHG E\ 

PLQLPL]LQJ D FKL VTXDUH GLVWDQFH EHWZHHQ WKH FRQVWUDLQHG GHQVLWLHV LQ WKH 

IDPLO\ DQG DQ XQFRQVWUDLQHG NHUQHO HVWLPDWRU RI WKH GHQVLW\ :H GHULYH WKH 

DV\PSWRWLF SURSHUWLHV RI WKLV HVWLPDWRU DQG RI LWV OLQHDU IXQFWLRQDOV :H 

VKRZ WKDW XQGHU DQ DSSURSULDWH FKRLFH RI WKH IXQFWLRQDO SDUDPHWHU WKH 

H[SHFWHG QRQSDUDPHWULF RQH GLPHQVLRQDO UDWH RI FRQYHUJHQFH RI WKH HVWLPDWRU 

LV REWDLQHG )LQDOO\ ZH GHULYH WKH QRQSDUDPHWULF HIILFLHQF\ ERXQG DQG VKRZ 

WKDW WKH PLQLPXP FKL VTXDUH HVWLPDWRU LV QRQSDUDPHWULFDOO\ 

HIILFLHQW 

)ULHGULFK 6FKPLG 

8QLYHUVLWlW ]X .|OQ 

&R $XWKRUV - 'REULF 

1213$5$0(75,& (67,0$7,21 2) 7+( /2:(5 7$,/ '(3(1'(1&( 

ÉB^/` ,1 %,9$5,$7( &238/$6 

.H\ZRUGV &RQVLVWHQF\ RI (VWLPDWRUV &RSXOD (PSULFDO &RSXOD 3URFHVV /RZHU 7DLO 

'HSHQGHQFH 1RQSDUDPHWULF (VWLPDWLRQ DQG 6PDOO 6DPSOH 3URSHUWLHV RI (VWLPDWRUV 

-(/ &ODVVLILFDWLRQ & DQG / 

7KH ORZHU WDLO GHSHQGHQFH LV D PHDVXUH ZKLFK FKDUDFWHULVHV WKH WHQGHQF\ RI H[WUHPH FR 

PRYHPHQWV LQ WKH ORZHU WDLOV RI D ELYDULDWH GLVWULEXWLRQ 

,W LV LQYDULDQW ZLWK UHVSHFW WR VWULFWO\ LQFUHDVLQJ WUDQVIRUPDWLRQV RI WKH PDUJLQDO GLVWULEXWLRQ 

DQG LV WKHUHIRUH D IXQFWLRQ 

RI WKH FRSXOD RI WKH ELYDULDWH GLVWULEXWLRQ 

7KLV SDSHU LQWURGXFHV WKUHH QRQSDUDPHWULF HVWLPDWRUV IRU ODPEGDB^/` 7KH\ 

DUH ZHDNO\ FRQVLVWHQW XQGHU ZHDN UHJXODULW\ FRQGLWLRQV RQ WKH FRSXOD DQG XQGHU 

WKH DVVXPSWLRQ WKDW WKH QXPEHU N N Q RI REVHUYDWLRQV LQ WKH ORZHU WDLO XVHG IRU 

HVWLPDWLRQ LV DV\PSWRWLFDOO\ 

N VTUW^Q` 7KH ILQLWH VDPSOH SURSHUWLHV RI WKH HVWLPDWRUV DUH LQYHVWLJDWHG XVLQJ D 0RQWH 

&DUOR VLPXODWLRQ LQ VSHFLDO FDVHV 

DV DQ LOOXVWUDWLRQ ZH GHPRQVWUDWH KRZ YDULRXV VWDWLVWLFDO SURFHGXUHV FDQ EH XVHG WR 

LQYHVWLJDWH PLFURVFRSLF VLPXODWLRQ PRGHOV )RU LQVWDQFH HFRQRPHWULF WHFKQLTXHV DUH XVHG 

WR VWXG\ WKH VWRFN UHWXUQ G\QDPLFV DQG WKH GLVWULEXWLRQ RI ZHDOWK RYHU LQYHVWRUV LQ WKH //6 

PRGHO ,Q DGGLWLRQ ZH LQYHVWLJDWH WKH UREXVWQHVV RI WKH //6 PRGHO ZLWK UHVSHFW WR LWV 

LQLWLDO FRQGLWLRQV DQG SDUDPHWHUV :H DOVR LOOXVWUDWH KRZ WR FRPSDUH WKH PRGHO JHQHUDWHG 

GDWD DQG UHDO OLIH GDWD 

-RKQ / .QLJKW 

8QLY RI :HVWHUQ 2QWDULR 

&R $XWKRUV 6 6DWFKHOO DQG * :DQJ 

9$/8( $7 5,6. /,1($5 (;321(17 )25(&$676 9$5/,1(; 

.H\ZRUGV IRUHFDVW /LQH[ ORVV RUGHU VWDWLVWLFV DQG 9DOXH DW 5LVN 


7KH 9$5/,1(; IRUHFDVWLQJ SURFHGXUH LV SUHVHQWHG LQ WKLV SDSHU ZKLFK H[SOLFLWO\ DGMXVWV 

WKH IRUHFDVWV ZKHQ WKH ORVV IXQFWLRQ RI WKH IRUHFDVWHU LV DV\PPHWULF 7KH WKHRU\ RI RUGHU 

VWDWLVWLFV LV DSSOLHG WR GHULYH WKH 9$5/,1(; IRUHFDVWV DQG WKHLU FRUUHVSRQGLQJ FRQILGHQFH 

LQWHUYDOV ZKLFK DUH GLVWULEXWLRQ IUHH $Q HPSLULFDO VWXG\ EDVHG RQ RXU PHWKRG LV FDUULHG 

RXW IRU ERWK WKH 6 3 DQG 76( UHWXUQV DQG FRPSDUHG ZLWK WKH 5LVN0HWULFV 

PHWKRG ,W LV IRXQG WKDW RXU PHWKRG SHUIRUPV PXFK EHWWHU WKDQ WKH 5LVN0HWULFV 

)25(&$67,1* , 


&KDLUSHUVRQ $ %DQHUMHH 

3DXO 0L]HQ 

(FRQRPLFV 

&R $XWKRUV $ %DQHUMHH 

$XJ 

5RRP ) 

(67,0$7(6 $1' )25(&$676 )520 7+( /,1($5 48$'5$7,& 

02'(/ :+(1 ,19(1725,(6 $1' 6$/(6 $5( 32/

2OLYLHU 'H %DQGW 

%DQTXH GH )UDQFH 

&R $XWKRUV & %UXQHDX DQG $ )ODJHROOHW 

)25(&$67,1* ,1)/$7,21 ,1 7+( (852 $5($ 

.H\ZRUGV G\QDPLF IDFWRU PRGHOV HXUR DUHD LQIODWLRQ RXW RI VDPSOH IRUHFDVWV DQG WHVW 

IRU GDWD VQRRSLQJ 


:H SURYLGH PHGLXP UXQ RXW RI VDPSOH IRUHFDVWV RI +,&3 LQIODWLRQ IRU WKH HXUR DUHD XVLQJ 

G\QDPLF IDFWRU PRGHOV HVWLPDWHG RYHU WKH SHULRG ZLWK EDODQFHG DQG 

XQEDODQFHG SDQHOV LQ WKH OLQHV RI 6WRFN DQG :DWVRQ )DFWRUV DORQH RU FRPELQHG 

ZLWK LQGLFDWRUV RXWSHUIRUP WKH VLPSOH $XWRUHJUHVVLYH $5 PRGHO DFFRUGLQJ WR WKH FULWHULRQ 

RI 5HODWLYH 06( ZLWK LWV VWDQGDUG GHYLDWLRQ 7KH UHVXOWV DUH UDWKHU UREXVW WR SRWHQWLDO 

GDWD VQRRSLQJ +RZHYHU RQH IDLOV WR UHFRJQL]H WKH XSWXUQ LQ LQIODWLRQ LQ D 

WLPHO\ PDQQHU H[FHSW ZLWK D V\QWKHWLF FRUH LQGLFDWRU ZKLFK KHOSV DFKLHYH VDWLVIDFWRU\ 

IRUHFDVWV IRU WKH ILQDO SDUW RI WKH VDPSOH 

.DWULQ :HVFKH 


&R $XWKRUV 0 'XHNHU 

)25(&$67,1* 287387 :,7+ ,1)250$7,21 )520 %86,1(66 

&

.H\ZRUGV )DFWRU 0RGHOV *'3 *URZWK ,QIODWLRQ /HDGLQJ ,QGLFDWRUV DQG 0RGHO 6HOHFWLRQ 


:H HYDOXDWH WKH UHODWLYH PHULWV RI WZR DSSURDFKHV WR LQIRUPDWLRQ H[WUDFWLRQ IURP D ODUJH 

GDWD VHW IRU IRUHFDVWLQJ QDPHO\ WKH XVH RI DQ DXWRPDWHG PRGHO VHOHFWLRQ SURFHGXUH 

YHUVXV WKH DGRSWLRQ RI D IDFWRU PRGHO 7KH FRPSDULVRQ LV FRQGXFWHG XVLQJ D ODUJH VHW RI 

LQGLFDWRUV IRU IRUHFDVWLQJ 86 LQIODWLRQ DQG *'3 JURZWK :H DOVR FRPSDUH WKLV ODUJH VHW RI 

OHDGLQJ LQGLFDWRUV ZLWK SXUHO\ DXWRUHJUHVVLYH PRGHOV 7KH HYDOXDWLRQ LV FRQGXFWHG ERWK 

H[ SRVW DQG LQ D SVHXGR UHDO WLPH FRQWH[W IRU VHYHUDO IRUHFDVW KRUL]RQV DQG XVLQJ ERWK 

UHFXUVLYH DQG UROOLQJ HVWLPDWLRQ 

,'(17,),&$7,21 $1' (67,0$7,21 


&KDLUSHUVRQ $ &KHVKHU 

3HGUR 0LUD 

&(0), 

&R $XWKRUV 9 $JXLUUHJDELULD 

$XJ 

5RRP ' 

,'(17,),&$7,21 $1' (67,0$7,21 2) '

FXUYH ,Q WKLV SDSHU ZH DGGUHVV WKH LVVXHV RI LGHQWLILFDWLRQ ZKLFK KDYH 

EHHQ RYHUORRNHG GXH WR WKH LQFRPSOHWHQHVV RI WKH VLQJOH HTXDWLRQ 

IRUPXODWLRQV ,Q SDUWLFXODU ZH VKRZ WKDW WKH SURSHUWLHV RI WKH 

QRQ PRGHOOHG YDULDEOHV DUH FUXFLDO IRU WKH LGHQWLILFDWLRQ RI WKH 

PRGHO V SDUDPHWHUV HYHQ ZKHQ WKH IRUPHU DUH WKRXJKW WR EH 

CH[RJHQRXVO\ GHWHUPLQHG ,Q VRPH OHDGLQJ FDVHV ZH VKRZ WKDW WKH 

VWUXFWXUDO SDUDPHWHUV DUH RQO\ SDUWLDOO\ LGHQWLILHG DQG WKDW WKH 

*00 HVWLPDWRUV DUH LQFRQVLVWHQW DQG ELDVHG LQ WKH GLUHFWLRQ RI 2/6 )LQDOO\ ZLWK UHJDUGV 

WR WKH 

1HZ 3KLOOLSV FXUYH ZH FRQFOXGH WKDW WKLV HTXDWLRQ LV HLWKHU 

XQ LGHQWLILHG RU PLV VSHFLILHG FDVWLQJ GRXEWV RQ LWV XWLOLW\ DV D 

PRGHO RI LQIODWLRQ G\QDPLFV 

5XWK 0LTXHO 

6,$: 8QLYHUVLW\ RI 6W *DOOHQ 

,'(17,),&$7,21 2) ())(&76 2) '

,17(5(67 5$7(6 


&KDLUSHUVRQ 9 )HUQDQGH] 

&KULVWRSKH 9,//$ 

&5(67 (16$, 

&R $XWKRUV & 3pULJQRQ 

$XJ 

5RRP ) 

3(50$1(17 )$&7256 $))(&7,1* 7+( '

$QWRQLR 'LH] GH ORV 5LRV 

&(0), DQG 8QLYHUVLGDG GH 0DODJD 

&R $XWKRUV $ /HRQ DQG ( 6HQWDQD 

7(67,1* 81&29(5(' ,17(5(67 5$7( 3$5,7< $ &217,18286 

7,0( 9$5 $3352$&+ 

.H\ZRUGV FRLQWHJUDWLRQ LQ FRQWLQXRXV WLPH GLVFUHWH WLPH UHSUHVHQWDWLRQ 2UVWHLQ 

8KOHQEHFN SURFHVV DQG 8QFRYHUHG ,QWHUHVW 5DWH 3DULW\ 

-(/ &ODVVLILFDWLRQ ) DQG * 

7KLV SDSHU VSHFLILHV D PXOWLYDULDWH FRQWLQXRXV WLPH 9$5 PRGHO IRU WHVWLQJ XQFRYHUHG 

LQWHUHVW UDWH SDULW\ 8,3 'HULYDWLRQ RI WKH FRQGLWLRQV RQ WKH SDUDPHWHUV RI WKH FRQWLQXRXV 

WLPH V\VWHP WKDW JXDUDQWHHV 8,3 DUH SURYLGHG ,W LV VKRZQ WKDW FRQWUDU\ WR WKH GLVFUHWH 

WLPH 9$5 DSSURDFK WKH FRQGLWLRQV GR QRW GHSHQG RQ WKH VDPSOLQJ PHFKDQLVP RI WKH 

GDWD VHW )XUWKHUPRUH RXU DSSURDFK JHQHUDWHV 

DV\PSWRWLFDOO\ HIILFLHQW HVWLPDWRUV RI WKH SDUDPHWHUV RI WKH FRQWLQXRXV WLPH 

V\VWHP 

9LYLDQD )HUQDQGH] 

'HSW RI ,QGXVWULDO (QJLQHHULQJ 8QLYHUVLW\ RI &KLOH 

&+$1*(6 ,1 021(7$5< 32/,&< $1' %$1.,1* 5($&7,21 

.H\ZRUGV ,&66 DOJRULWKP PXOWLYDULDWH *$5&+ PRGHOV DQG QRPLQDOL]DWLRQ 


0RVW /DWLQ $PHULFDQ HFRQRPLHV LQ WKH V DQG HDUO\ V ZHUH EXUGHQHG ZLWK 

H[WUHPHO\ KLJK LQIODWLRQ UDWHV &KLOHV VWUDWHJ\ ZDV WR UHO\ RQ LQIODWLRQ OLQNHG VHFXULWLHV IRU 

DOPRVW \HDUV +RZHYHU WKH VKDUS GHFUHDVH LQ WKH DQQXDO LQIODWLRQ UDWH RYHU WKH ODVW 

GHFDGH UHFHQWO\ OHG WKH &HQWUDO %DQN WR VHW LWV PRQHWDU\ SROLF\ UDWH LQ QRPLQDO WHUPV 

:H ILQG WKDW QRPLQDOL]DWLRQ KDV PDGH QRPLQDO LQWHUHVW UDWHV OHVV YRODWLOH DQG PRGHO WKH 

FR PRYHPHQWV RI VKRUW DQG ORQJ UDWHV LQ WKH SUHVHQFH RI YRODWLOLW\ EUHDNSRLQWV :H DOVR 

VKRZ WKDW WUDGLQJ RI GHULYDWLYHV WR KHGJH LQIODWLRQ DQG LQWHUHVW UDWH ULVN KDV EHFRPH PRUH 

DFWLYH 

02%,/,7< 


&KDLUSHUVRQ 7 )LOJHV 

4LQ 7X 


&R $XWKRUV % 'RQNHUV % 0HOHQEHUJ DQG D YDQ VRHVW 

$XJ 

5RRP )

02'(//,1* 02%,/,7< $1' +286,1* 7(185( &+2,&( $ 

08/7,120,$/ 352%,7 02'(/ )25 3$1(/ '$7$ 

.H\ZRUGV KRXVHKROG PRELOLW\ KRXVLQJ WHQXUH FKRLFH PXOWLQRPLDO SURELW PRGHO SDQHO 

GDWD DQG VLPXODWHG PD[LPXP OLNHOLKRRG 


:H PRGHO PRYLQJ GHFLVLRQV DQG WKH MRLQW GHFLVLRQV RI PRYLQJ DQG KRXVLQJ WHQXUH FKRLFH 

UHQWLQJ YHUVXV RZQLQJ RI KRXVHKROGV LQ WKH 1HWKHUODQGV :H XVH 

G\QDPLF ELQDU\ DQG PXOWLQRPLDO SURELW SDQHO GDWD PRGHOV ZLWK UDQGRP HIIHFWV :H XVH WKH 

PHWKRG RI VLPXODWHG PD[LPXP OLNHOLKRRG 60/ WR HVWLPDWH WKH PRGHOV HPSKDVL]LQJ WKH 

LPSRUWDQFH RI SURSHUO\ DFFRXQWLQJ IRU WKH LQLWLDO FRQGLWLRQV SUREOHP 7KH HVWLPDWLRQ LV 

EDVHG RQ XQEDODQFHG SDQHO GDWD 

IURP WKH &HQW(5 3DQHO :H ILQG QHJDWLYH VWDWH GHSHQGHQFH RI QHJDWLYH VWDWH 

GHSHQGHQFH LQ WKH PRYLQJ GHFLVLRQ :H ILQG WKDW RZQHUV DUH OHVV OLNHO\ WR PRYH WR HLWKHU 

DQRWKHU RZQHU RFFXSLHG RU D UHQWHG KRPH WKDQ UHQWHUV ZKLFK FDQ EH H[SODLQHG IURP WKH 

PXFK KLJKHU PRYLQJ FRVWV IRU RZQHUV 

&ULVWLQD %DUFHOR 

%DQN RI 6SDLQ 

02'(//,1* /$%285 02%,/,7< 86,1* +286,1* $1' 

(03/2

'RHV WKH JHRJUDSKLF HQYLURQPHQW PDWWHU IRU MRE FUHDWLRQ" 'R ODERU 

PDUNHW FRQGLWLRQV DQG UHJLRQDO MRE FRPSHWLWLRQ VKDSH UHJLRQDO 

PRELOLW\" 7R DQVZHU WKHVH DQG UHODWHG TXHVWLRQV WKLV SDSHU 

LQYHVWLJDWHV VSDWLDO FRUUHODWLRQV LQ WKH PDWFKLQJ SURFHVV RI 

YDFDQFLHV DQG XQHPSOR\HG :H WHVW IRU VSDWLDO DXWRFRUUHODWLRQ 

H[DPLQH UHJLRQDO KLULQJ SDWWHUQV DQG LGHQWLI\ FOXVWHUV RI UHJLRQV 

ZLWK LQWHQVH LQWHU UHJLRQDO PDWFKLQJ $Q H[WHQVLYH VSHFLILFDWLRQ 

DQDO\VLV LOOXVWUDWHV WKH UHJLRQDO GHSHQGHQFLHV :H FRPSDUH 

UHJLRQDO PDWFKLQJ HIILFLHQFLHV XVLQJ D VWRFKDVWLF IURQWLHU 

DSSURDFK )LQDOO\ ZH H[DPLQH ERWK WKHRUHWLFDOO\ DQG HPSLULFDOO\ 

WR ZKLFK H[WHQW UHJLRQDO PRELOLW\ LV GHWHUPLQHG E\ ODERU PDUNHW 

FRQGLWLRQV :H ILQG HYLGHQFH LQ IDYRU RI HFRQRPLF WKHRU\ DQG 

DJDLQVW WKH LQWHUQDO PLJUDWLRQ SX]]OH IRXQG IRU RWKHU (XURSHDQ 

FRXQWULHV 

7ULQH )LOJHV 

'DQLVK 1DWLRQDO ,QVWLWXWH RI 6RFLDO 5HVHDUFK 

&R $XWKRUV 0 'HGLQJ 

,6 /29( $// 7+$7 0$77(56"$1 (03,5,&$/ $1$/

7KH SDSHU H[DPLQHV WKH FODLP WKDW PRUH HIILFLHQW WD[HV OHDG WR ELJJHU JRYHUQPHQW E\ 

VWXG\LQJ WKH HIIHFWV RI LQFRPH WD[ ZLWKKROGLQJ D SDUWLFXODU VKRFN WR WD[ HIILFLHQF\ , H[SORLW 

WKH YDULDWLRQ LQ WKH WLPLQJ RI WKH DGRSWLRQ RI ZLWKKROGLQJ E\ VWDWH JRYHUQPHQWV LQ WKH 86$ 

GXULQJ WKH V WKURXJK V :LWKKROGLQJ LPPHGLDWHO\ DQG SHUPDQHQWO\ LQFUHDVHG 

LQFRPH WD[ FROOHFWLRQV E\ SHUFHQW DW JLYHQ WD[ UDWHV 7KH PDMRU UHVSRQVH RI WKH VWDWHV 

ZDV WR VKLIW WKH FRPSRVLWLRQ RI WD[ UHYHQXHV WRZDUGV D KHDYLHU UHOLDQFH RQ WKH LQFRPH WD[ 

ZKLOH WKH RYHUDOO VL]H RI JRYHUQPHQW LQFUDVHG E\ DW PRVW SHUFHQW 2WKHU WD[HV ZHUH 

LQFUHDVHG DW WKH VDPH WLPH DV ZLWKKROGLQJ ZDV DGRSWHG ZKLFK LQGLFDWHV WKDW D QHHG WR 

UDLVH PRUH UHYHQXH ZDV DQ LPSRUWDQW PRWLYH IRU WKH DGRSWLRQ RI ZLWKKROGLQJ 

$QGUHD &DJJHVH 

3RPSHX )DEUD 8QLYHUVLW\ 

7(67,1* ),1$1&,1* &21675$,176 21 ),50 ,19(670(17 86,1* 

9$5,$%/( &$3,7$/ 

.H\ZRUGV )LQDQFLQJ FRQVWUDLQWV )LQDQFLQJ LPSHUIHFWLRQV )LUP LQYHVWPHQW DQG 9DULDEOH 

FDSLWDO 

-(/ &ODVVLILFDWLRQ & ' DQG * 

:H SURSRVH D QHZ PHWKRG WR GHWHFW WKH ILQDQFLQJ FRQVWUDLQWV RI ILUPV :H GHYHORS D 

VWUXFWXUDO PRGHO RI D ILUP ZLWK ERWK ILQDQFLQJ FRQVWUDLQWV DQG LUUHYHUVLELOLW\ RI IL[HG FDSLWDO 

7KH PRGHO LPSOLHV WKDW WKH H[FHVV PDUJLQDO SURGXFWLYLW\ RI ZRUNLQJ FDSLWDO LV WKH EHVW 

LQGLFDWRU RI ILQDQFLQJ FRQVWUDLQWV :H WHVW DQG GR QRW UHMHFW WKH SUHVHQFH RI ILQDQFLQJ 

FRQVWUDLQWV XVLQJ D SDQHO RI PDQXIDFWXULQJ ILUPV $Q LQGHSHQGHQW VRXUFH RI TXDOLWDWLYH 

LQIRUPDWLRQ VWURQJO\ VXSSRUWV WKLV UHVXOW ILUPV ZLWK D KLJK YDOXH RI WKH LQGLFDWRU DUH WKUHH 

WLPHV PRUH OLNHO\ WR VWDWH ILQDQFLQJ SUREOHPV WKDQ ILUPV ZLWK D ORZ YDOXH HYHQ DIWHU 

FRQWUROOLQJ IRU WKHLU VL]H 

2OLYLHU 3DUHQW 

&UHXVHW XQLYHUVLW\ RI 6DLQW (WLHQQH 

&R $XWKRUV 5 6WpSKDQH 

%$

&R $XWKRUV - ,PEV + 0XPWD] DQG 0 5DYQ 

0$&52(&2120,&6 $1' 3(56,67(1&( 

.H\ZRUGV DJJUHJDWLRQ ELDV KHWHURJHQHLW\ DQG SHUVLVWHQFH 


,Q 0DFURHFRQRPLFV SHUVLVWHQFH RI WLPH VHULHV LV RIWHQ FRQVWUXHG WR EH SX]]OLQJ ,Q WKLV 

SDSHU ZH H[DPLQH ZKHWKHU VXFK SHUVLVWHQFH LV DQ DUWHIDFW RI DJJUHJDWLRQ 2U SXW 

GLIIHUHQWO\ ZH VKRZ WKDW RQH VKRXOG DFWXDOO\ H[SHFW PDFURHFRQRPLF WLPH VHULHV WR GLVSOD\ 

VXEVWDQWLDO SHUVLVWHQFH EHFDXVH RI DQ DJJUHJDWLRQ ELDV 7KLV DJJUHJDWLRQ ELDV EXLOGV RQ 

WKH LQWXLWLRQ WKDW SHUVLVWHQFH YDULHV DFURVV WKH GLIIHUHQW FRPSRQHQWV RI DJJUHJDWH VHULHV 

)DLOLQJ WR DFFRXQW IRU WKLV KHWHURJHQHLW\ LQ HFRQRPHWULF HVWLPDWLRQV OHDGV WR D VXEVWDQWLDO 

RYHUHVWLPDWLRQ RI DJJUHJDWH SHUVLVWHQFH :H DSSO\ WKLV LQVLJKW WR WKUHH PDLQ 

PDFURHFRQRPLF WLPHV VHULHV *'3 LQIODWLRQ DQG SURGXFWLYLW\ 

75($70(17 ())(&76 $1' 352*5$0 

(9$/8$7,21 , 


&KDLUSHUVRQ * %LMZDDUG 

%DUEDUD 6LDQHVL 


$XJ 

5RRP ) 

',))(5(17,$/ ())(&76 2) 6:(',6+ $&7,9( /$%285 0$5.(7 

352*5$00(6 )25 81(03/2

.H\ZRUGV &ODVVURRP WUDLQLQJ H[SHULPHQWDO DQG QRQH[SHULPHQWDO HVWLPDWRUV SURJUDPPH 

HYDOXDWLRQ DQG VRFLDO H[SHULPHQW 


,Q WKLV SDSHU ZH LQYHVWLJDWH WKH LPSDFW RI FODVVURRP WUDLQLQJ SURJUDPPHV RQ LQGLYLGXDO 

XQHPSOR\PHQW UDWHV LQ 'HQPDUN ,Q D VRFLDO H[SHULPHQW ZDV FRQGXFWHG ZKHUH 

XQHPSOR\HG DSSOLFDQWV IRU ODERXU PDUNHW WUDLQLQJ ZHUH UDQGRPLVHG LQWR WUHDWPHQW DQG 

FRQWURO JURXSV :H IRUPXODWH DQG HVWLPDWH H[SHULPHQWDO LPSDFW HVWLPDWRUV RI WKH HIIHFW RI 

WUHDWPHQW RQ WKH WUHDWHG 7KH H[SHULPHQWDO GDWD LV SROOXWHG E\ WKH SUHVHQFH RI QR VKRZV 

DQG FURVV RYHUV ZKLFK LPSOLHV WKDW WUDGLWLRQDO H[SHULPHQWDO HVWLPDWRUV DUH ELDVHG 

7KHUHIRUH ZH IRUPXODWH DQG HVWLPDWH DQ HQGRJHQRXV YDULDEOHV PRGHO XVLQJ WKH 

UDQGRPLVDWLRQ LQGLFDWRU DV D SHUIHFW H[FOXVLRQ UHVWULFWLRQ DQG LPSOHPHQW YDULRXV PDWFKLQJ 

HVWLPDWRUV :H ILQG VXUSULVLQJO\ WKDW FODVVURRP WUDLQLQJ VLJQLILFDQWO\ LQFUHDVHV LQGLYLGXDO 

XQHPSOR\PHQW UDWHV :H GLVFXVV VRPH SRVVLEOH UHDVRQV IRU WKLV VXUSULVLQJ ILQGLQJ DQG 

VRPH UHODWHG SROLF\ LVVXHV 

6DQGUD &DYDFR 

*$7( 805 RI &156 8QLYHUVLW\ RI /\RQ 

92/817$5< 3$57,&,3$7,21 72 75$,1,1* 352*5$0 $1' 

81(03/2

VDPSOH 

SURSHUWLHV RI WKLV ,QVWUXPHQWDO /LQHDU 5DQN (VWLPDWLRQ DQG VKRZ KRZ ZH FDQ LPSURYH LWV 

HIILFLHQF\ 7KH HVWLPDWRU LV XVHG WR UH DQDO\]H WKH GDWD IURP WKH ,OOLQRLV XQHPSOR\PHQW 

ERQXV H[SHULPHQW 

81,7 52276 


&KDLUSHUVRQ 3 %RVZLMN 

1LNROD\ *RVSRGLQRY 

&RQFRUGLD 8QLYHUVLW\ 

$XJ 

5RRP ) 

$6

8QLYHUVLW\ RI %HUQ DQG 3ULQFHWRQ 8QLYHUVLW\ 

&R $XWKRUV ' %DXHU 

$6

.RQVWDQWLQ 6RQLQ 

1HZ (FRQRPLF 6FKRRO DQG &(),5 

3529,1&,$/ 3527(&7,21,60 

.H\ZRUGV IHGHUDOLVP SROLWLFDO HFRQRPLFV DQG WUDQVLWLRQ 

-(/ &ODVVLILFDWLRQ + DQG 3 

,Q D IHGHUDO VWDWH SROLWLFDO OHDGHUV RI FRQVWLWXHQW XQLWV PLJKW SURWHFW WKHLU HQWHUSULVHV IURP 

WKH IHGHUDO FHQWHU H J DOORZLQJ WKHP QRW WR SD\ IHGHUDO WD[HV 7KH HIIHFWLYHQHVV RI VXFK 

SURWHFWLRQ GHSHQGV FUXFLDOO\ RQ WKH DELOLW\ RI ORFDO DXWKRULWLHV WR H[WUDFW UHQWV IURP 

HQWHUSULVHV 7KH\ FDQ HDVLO\ GR VR LI WKHUH LV D VPDOO QXPEHU RI ODUJH HQWHUSULVHV ZLWK 

KXJH HPSOR\PHQW DQG ORFDO PRQRSROLHV FRXOG EH HIIHFWLYHO\ VXVWDLQHG 7KH\ FDQQRW GR LW 

VR HDVLO\ LI UHJLRQDO LQGXVWU\ LV FRPSHWLWLYH SROLWLFDO RSSRVLWLRQ LV VWURQJ DQG WKH IHGHUDO 

FHQWHU KDV HQRXJK PHDQV WR HQIRUFH SD\PHQW RI WD[HV :H EXLOW D VLPSOH PRGHO WR DUJXH 

WKDW LW LV WKH LQGXVWULDO VWUXFWXUH RI FRQVWLWXHQW XQLWV WKDW GHWHUPLQH SROLWLFDO UHODWLRQV 

EHWZHHQ WKHP DQG WKH IHGHUDO FHQWHU 7KH WKHRU\ LV LOOXVWUDWHG E\ UHFHQW H[SHULHQFH RI 

5XVVLD &KLQD DQG $UJHQWLQH 

-R 7KRUL /LQG 

8QLYHUVLW\ RI 2VOR 

)5$&7,21$/,=$7,21 $1' 7+( 6,=( 2) *29(510(17 

.H\ZRUGV )UDFWLRQDOL]DWLRQ SROLWLFDO HFRQRP\ UDFH DQG UHGLVWULEXWLRQ 

-(/ &ODVVLILFDWLRQ ' ' ( DQG + 

7KLV SDSHU VWXGLHV WKH HIIHFW RI IUDFWLRQDOL]DWLRQ RQ WKH VL]H RI JRYHUQPHQW DQG XVHV WKLV WR 

H[SODLQ WKH SDUDGR[LFDO ILQGLQJ WKDW FRXQWULHV ZLWK KLJK LQHTXDOLW\ UHGLVWULEXWH OHVV WKDQ 

WKRVH ZLWK ORZ LQHTXDOLW\ :LWKLQ D SROLWLFDO HFRQRP\ PRGHO RI WD[ GHWHUPLQDWLRQ , VWXG\ 

WKH HIIHFW RI YRWHUV ZLWK D JURXS EDVHG VRFLDO FRQVFLHQFH 9RWHUV FDUH PRUH DERXW WKH 

ZHOO EHLQJ RI WKRVH EHORQJLQJ WR WKHLU RZQ JURXS WKDQ WKH UHVW RI WKH SRSXODWLRQ , VKRZ 

WKDW XQGHU JHQHUDO DVVXPSWLRQV IUDFWLRQDOL]DWLRQ UHGXFHV WKH VL]H RI JRYHUQPHQW $OVR D 

ULVH LQ LQHTXDOLW\ EHWZHHQ JURXSV UHGXFHV VXSSRUW IRU UHGLVWULEXWLRQ LQ IUDFWLRQDOL]HG 

VRFLHWLHV 7KHVH UHVXOWV KROG HYHQ LI D SRRU JURXS LV LQ PDMRULW\ 

*HUDOG :LOOPDQQ 

8LQYHUVLW\ RI .LHO 

:+< /(*,6/$7256 $5( 3527(&7,21,676 7+( 52/( 2) 

0$-25,7$5,$1 927,1* ,1 6(77,1* 7$5,))6 

.H\ZRUGV SROLWLFDO HFRQRP\ UHSUHVHQWDWLYH GHPRFUDF\ DQG WUDGH SROLF\ 

-(/ &ODVVLILFDWLRQ ' ) DQG ) 

%DVHG RQ WKH REVHUYDWLRQ WKDW LQGXVWULHV DUH RIWHQ JHRJUDSKLFDOO\ FRQFHQWUDWHG WKLV SDSHU 

SURSRVHV D QHZ SROLWLFDO HFRQRP\ PRGHO RI WUDGH SURWHFWLRQ :H DVVRFLDWH WKH VHFWRUV RI D 

VSHFLILF IDFWRUV PRGHO ZLWK HOHFWRUDO GLVWULFWV SRSXODWHG E\ FRQWLQXD RI KHWHURJHQHRXV 

YRWHUV ZKR GLIIHU LQ WKHLU UHODWLYH IDFWRU HQGRZPHQWV :H VKRZ KRZ VWUDWHJLF 

GHOHJDWLRQ OHDGV HDFK GLVWULFW WR HOHFW D UHSUHVHQWDWLYH ZKR LV PRUH SURWHFWLRQLVW WKDQ WKH

PHGLDQ YRWHU 7KH OHJLVODWXUH IRUPHG E\ WKHVH UHSUHVHQWDWLYHV WKHQ VHWV WDULIIV WKDW DUH 

VWULFWO\ SRVLWLYH ,QWURGXFLQJ 

DGGLWLRQDO SROLF\ LQVWUXPHQWV UHYHDOV D WUDGH RII EHWZHHQ HIILFLHQF\ DQG UHJLRQDO 

WDUJHWDELOLW\ 

&DUPHOR 5RGULJXH] $OYDUH] 

'HSW (FRQRPLFV 8QLYHUVLW\ RI :DUZLFN 

&$1','$7( 67$%,/,7< $1' 352%$%,/,67,& 927,1* 352&('85(6 

.H\ZRUGV &DQGLGDWH 6WDELOLW\ &DQGLGDWHV ,QFHQWLYHV DQG 5DQGRP 'LFWDWRUVKLS 


:H H[WHQG WKH DQDO\VLV RI 'XWWD -DFNVRQ DQG /H %UHWRQ (FRQRPHWULFD 

RQ VWUDWHJLF FDQGLGDF\ WR SUREDELOLVWLF HQYLURQPHQWV )RU HDFK 

FRQILJXUDWLRQ RI WKH DJHQGD DQG HDFK SURILOH RI YRWHUV SUHIHUHQFHV RYHU 

UXQQLQJ FDQGLGDWHV D SUREDELOLVWLF YRWLQJ SURFHGXUH VHOHFWV D 

ORWWHU\ RQ WKH VHW RI FDQGLGDWHV DW VWDNH $VVXPLQJ WKDW FDQGLGDWHV FDQQRW 

YRWH ZH VKRZ WKDW UDQGRP GLFWDWRUVKLS DUH WKH RQO\ XQDQLPRXV 

SUREDELOLVWLF YRWLQJ SURFHGXUHV WKDW QHYHU SURYLGH XQLODWHUDO LQFHQWLYHV IRU 

WKH FDQGLGDWHV WR OHDYH WKH EDOORW LQGHSHQGHQWO\ RI WKH FRPSRVLWLRQ RI WKH 

DJHQGD +RZHYHU PRUH IOH[LEOH UXOHV FDQ EH GHYLVHG LI ZH IRFXV RQ WKH 

VWDELOLW\ RI VSHFLILF DJHQGDV 

,1'8675,$/ 25*$1,6$7,21 ,,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 9 6NUHWD 

7RUH 1LOVVHQ 


&R $XWKRUV 3 %DUURV + .LQG DQG / 6¡UJDUG 

$XJ 

0(',$ &203(7,7,21 :+(1 7+( $8',(1&( ',6/,.(6 

$'9(57,6,1* 

.H\ZRUGV DGYHUWLVLQJ PHGLD SRUWDOV DQG 79 

-(/ &ODVVLILFDWLRQ / DQG / 

5RRP & 

7KLV SDSHU SUHVHQWV D PRGHO RI PHGLD FRPSHWLWLRQ LQ D VLWXDWLRQ ZKHUH WKH PHGLD LV 

DGYHUWLVLQJ ILQDQFHG EXW ZKHUH WKH PHGLD FRQVXPHUV GLVOLNH FRPPHUFLDOV ,W LV VKRZQ WKDW 

HTXLOLEULXP SULFHV RI DGYHUWLVLQJ DUH DFWXDOO\ KLJKHU DQG WKH SURILW OHYHOV ORZHU WKH OHVV 

GLIIHUHQWLDWHG WKH PHGLDV DUH SHUFHLYHG WR EH :H DSSO\ WKH PRGHO WR DQDO\]H WKH 

LQFHQWLYHV IRU ,QWHUQHW SRUWDOV WR IRUP DOOLDQFHV ZLWK WKHLU DGYHUWLVHUV DQG ILQG WKDW WKHUH 

H[LVWV D SULVRQHUV GLOHPPD ZKHUH SRUWDOV WKDW DUH FORVH VXEVWLWXWHV HQG XS LQ DQ 

HTXLOLEULXP ZLWK QR YHUWLFDO DOOLDQFHV DQG ORZ SURILW

,RDQD &KLRYHDQX 


$'9(57,6,1* %5$1' /2

:H VWXG\ QHJRWLDWLRQV EHWZHHQ 7HOHFRPPXQLFDWLRQ 1HWZRUNV RYHU DFFHVV IHHV DQG VKRZ 

WKDW DFFHVV UHYHQXH FDQ DOOHYLDWH WKH SUREOHP RI SURYLGLQJ WHOHFRPPXQLFDWLRQ VHUYLFHV DW 

UHDVRQDEOH SULFHV DW UXUDO DQG RWKHU KLJK FRVW DUHDV 7KH UHDVRQ LV WKDW DFFHVV IHHV DOORZ 

PDUNHW SDUWLFLSDQWV WR LQWHUQDOL]H VRPH RI WKH QHWZRUN H[WHUQDOLWLHV $Q XUEDQ QHWZRUN 

VXEVLGL]HV WKH UXUDO QHWZRUN LQ WKH IROORZLQJ ZD\ ZKHQHYHU D UXUDO FXVWRPHU SODFHV D FDOO 

WR DQ XUEDQ FXVWRPHU WKH XUEDQ QHWZRUN FKDUJHV D QHJDWLYH DFFHVV IHH WR WKH UXUDO 

QHWZRUN 7KH OHVVRQV DSSO\ WR RWKHU LQGXVWULHV WKDW KDYH WKH QHWZRUN VWUXFWXUH IRU 

LQVWDQFH HOHFWULFLW\ SRVWDO VHUYLFHV DQG WUDQVSRUWDWLRQ 

38%/,& ),1$1&( ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ & .HOGHUV 

1LFRODV 6DKXJXHW 

(FDUHV 

$XJ 

92/817((5,1* 38%/,& 6(59,&(6 :+(1 7$6.6 $5( 127 

(48,9$/(17 

.H\ZRUGV SXEOLF JRRGV YROXQWHHULQJ DQG ZDU RI DWWULWLRQ 


5RRP ' 

:H PRGHO WKH VHDUFK IRU YROXQWHHUV DV D ZDU RI DWWULWLRQ (YHU\ SOD\HU LV WHPSWHG WR ZDLW 

IRU VRPHRQH HOVH WR YROXQWHHU IRU WKH WDVNV +RZHYHU ZKHQ WDVNV DUH QRW HTXLYDOHQW LW 

PD\ EH RSWLPDO WR YROXQWHHU TXLFNO\ WR SHUIRUP DQ HDV\ WDVN :H DQDO\]H WKH WUDGH RII 

EHWZHHQ YROXQWHHULQJ IRU DQ HDV\ WDVN DQG WDNLQJ WKH ULVN RI EHLQJ VWXFN ZLWK D PRUH 

VWUHQXRXV WDVN WR JHW D FKDQFH WR GR QRWKLQJ :KHQ WKH FRVW RI ZDLWLQJ LV ERUQH E\ DOO 

DJHQWV XQWLO HYHU\ WDVN KDV IRXQG D YROXQWHHU ZH VKRZ WKDW LW PD\ EH RSWLPDO WR YROXQWHHU 

IRU WKH GLIILFXOW WDVN HYHQ LI DQ HDVLHU WDVN LV DYDLODEOH LQ RUGHU WR VSHHG XS WKH SURFHVV DQG 

UHGXFH WKH FRVWV RI ZDLWLQJ 

0DVVLPR )ORULR 

8QLYHUVLW\ RI 0LODQ 

&R $XWKRUV 5 %5$8 

35,9$7,6$7,216 $6 35,&( 5()2506 $1 $1$/

SRVVLELOLW\ WKDW WKLV NLQG RI DQDO\VHV DUH FDUULHG RXW LQ D VLPSOLILHG IDVKLRQ E\ VKRZLQJ WKDW 

D VHULHV RI ZHOIDUH PHDVXUHV DUH DYDLODEOH RQFH RQH EHFRPHV UHDG\ WR DFFHSW D IHZ 

µUHDVRQDEOH DVVXPSWLRQV 7KHVH ZHOIDUH PHDVXUHV DUH VXEVHTXHQWO\ XVHG IRU WKH 

HYDOXDWLRQ RI WKH ZHOIDUH HIIHFWV UHODWHG WR SULFH YDULDWLRQV LQ %ULWLVK SULYDWLVHG SXEOLF 

XWLOLWLHV 

5R\ *DUGQHU 

,QGLDQD 8QLYHUVLW\ 

&R $XWKRUV 1 *DVWRQ DQG 5 0DVVRQ 

72//,1* 7+( 5+,1( ,1 &203/(0(17$5< 021232/< 

5(9,6,7(' 

.H\ZRUGV &RPPRQV &RPSOHPHQWDU\ 0RQRSRO\ 7ROOLQJ 5KLQH /HDJXH 


6RPH &RPPRQV DUH XQFRPPRQ LQ WKH VHQVH WKDW WKH\ DUH KDUG WR UHFRJQL]H RU RQO\ 

H[LVW DV D &RPPRQV IRU D EULHI SHULRG RI WLPH &RUUXSWLRQ LV DQ H[DPSOH RI WKH KDUG WR 

UHFRJQL]H NLQG ZKLOH WKH 5KLQH 5LYHU LQ H[HPSOLILHV WKH ODWWHU )RU D EULHI ZLQGRZ LQ 

WLPH LQ WKH PLG 7KLUWHHQWK &HQWXU\ WROOLQJ VWDWLRQV DORQJ WKH 5KLQH FRQVWLWXWHG D 

UHVWULFWHG HQWU\ &RPPRQV 7KLV SDSHU VWXGLHV WKDW &RPPRQV DQG WKH LQVWLWXWLRQ WKDW 

DURVH WR UHPHG\ LWV LQFUHDVLQJO\ WUDJLF SHUIRUPDQFH WKH 5KLQH 8QLRQ 

&KULVWLDQ .HOGHUV 

&(6 8QLYHUVLW\ RI 0XQLFK 

&R $XWKRUV 0 .|WKHQE UJHU 

7$; ,1&(17,9(6 ,1 ),6&$/ )('(5$/,60 $1 ,17(*5$7(' 

3(563(&7,9( 

.H\ZRUGV )DFWRU 0RELOLW\ )LVFDO &RPSHWLWLRQ )LVFDO )HGHUDOLVP 7D[DWLRQ DQG 9HUWLFDO 

,QWHUJRYHUQPHQWDO 5HODWLRQV 

-(/ &ODVVLILFDWLRQ ) + DQG + 

0RGHOV RI ILVFDO IHGHUDOLVP UDUHO\ DFFRXQW IRU WKH PXOWLWXGH RI UHDO ZRUOG 

LQWHUJRYHUQPHQWDO DUUDQJHPHQWV ZKHQ DVVHVVLQJ WKH HIILFLHQF\ LPSOLFDWLRQV 

RI KRUL]RQWDO WD[ FRPSHWLWLRQ 7KLV SDSHU WDNHV DQ LQWHJUDWHG 

YLHZ RI WKLV LVVXH ,W VKRZV WKDW IHGHUDO WD[ GHGXFWLELOLW\ UHYHQXH VKDULQJ 

SURJUDPV DQG ILVFDO HTXDOL]DWLRQ EHLQJ FRPPRQ IHDWXUHV RI H[LVWLQJ IHG HUDWLRQV 

SURYLGH WD[ LQFHQWLYHV DW ORZHU OHYHOV RI JRYHUQPHQW ZKLFK DUH WRR 

SURQRXQFHG DQG ZKLFK ZHOO RYHUUXOH WKH HIIHFW RI FDSLWDO PRELOLW\ RQ ORFDO 

SXEOLF ILQDQFH )LVFDO IHGHUDOLVP WKXV DSSHDUV WR EH SURQH WR RYHUWD[DWLRQ 

D ILQGLQJ ZKLFK FRQWUDVWV ZLWK WKH IUHTXHQWO\ HQFRXQWHUHG FRQMHFWXUH RI 

DQ HTXLOLEULXP UDFH WR WKH ERWWRP LQ WD[ FRPSHWLWLRQ EHWZHHQ IHGHUDO 

PHPEHU VWDWHV 

(;&+$1*( 5$7(6 , 

5RRP '

&DWHJRU\ (($ 

&KDLUSHUVRQ $ 0LFFR 

6pEDVWLHQ /RW] 

8QLYHUVLW\ RI 3DULV (UPHV 

&R $XWKRUV 5 'XWX DQG ' 7RUUH 

)81'$0(17$/6 ,167,787,216 $1' %(/,()6 021(7$5< 

&,5&8/$7,21 $1' (;&+$1*( 5$7(6 ,1 '8$/ &855(1&< 

6($5&+ 02'(/6 

.H\ZRUGV &XUUHQF\ 6XEVWLWXWLRQ ([FKDQJH 5DWH 0RQH\ DQG 6HDUFK 

-(/ &ODVVLILFDWLRQ ( ( DQG ) 

7KLV DUWLFOH SURSRVHV DQ DQDO\WLF UHYLHZ RI VHDUFK EDVHG PRGHOV RI PXOWLSOH FXUUHQF\ 

HFRQRPLHV :H IRFXV RQ WKUHH PDMRU LVVXHV LQ PRQHWDU\ WKHRU\ DQG LQWHUQDWLRQDO 

HFRQRPLFV +RZ GRHV WKH PDUNHW RUJDQL]DWLRQ LQIOXHQFH PRQHWDU\ HTXLOLEULD " :KDW 

NLQG RI FRQWURO WKH DXWKRULWLHV FDQ H[HUW WR VHOHFW WKH PRQH\ WR EH DFFHSWHG LQ HTXLOLEULXP " 

:KDW GULYHV WKH VKDGRZ H[FKDQJH UDWH EHWZHHQ WZR FRPSHWLQJ FXUUHQFLHV " 

)XQGDPHQWDOV LQVWLWXWLRQV RU EHOLHIV " 

)UDQN :HVWHUKRII 

8QLYHUVLW\ RI 2VQDEUXHFN 

&R $XWKRUV 6 0DQ]DQ 

'$< 75$'(56 1(:6 $55,9$/ $1' (;&+$1*( 5$7( '


:H GHYHORS D PRGHO RI WKH H[FKDQJH UDWH LQ ZKLFK WUDQVDFWLRQV FRVWV SOD\ DQ LPSRUWDQW 

UROH ,Q DGGLWLRQ DJHQWV KDYH GLIIHUHQW EHOLHIV DERXW WKH IXWXUH H[FKDQJH UDWH :H VKRZ 

WKDW WKLV PRGHO FUHDWHV JUHDW FRPSOH[LW\ LQ WKH PDUNHW ZKLFK LV FKDUDFWHULVHG E\ WKH IDFW 

WKDW WKH H[FKDQJH UDWH LV GLFRQQHFWHG IURP LWV IXQGDPHQWDO PRVW RI WKH WLPH 3HULRGV RI 

WUDQTXLOLW\ DQG WXUEXOHQFH DOWHUQDWH LQ XQSUHGLFWDEOH PDQQHU )LQDOO\ ZH VKRZ WKDW WKLV 

PRGHO PLPLFNV WKH HPSULFDO SX]]OHV WKDW KDYH EHHQ XQFRYHUHG LQ WKH OLWHUDWXUH 

$OHMDQGUR 0LFFR 


7+( &855(1&< 81,21 ())(&7 21 75$'( ($5/< (9,'(1&( 

)520 (08 

.H\ZRUGV &XUUHQF\ 8QLRQ DQG 7UDGH 


,Q WKLV SDSHU ZH HVWLPDWH WKH HDUO\ HIIHFW RI WKH (XURSHDQ 0RQHWDU\ 8QLRQ (08 RQ 

WUDGH :H XVH D SDQHO GDWD VHW WKDW LQFOXGHV WKH PRVW UHFHQW LQIRUPDWLRQ RQ ELODWHUDO WUDGH 

IRU GHYHORSHG FRXQWULHV IURP WKURXJK 'XULQJ WKLV SHULRG (XURSHDQ 

FRXQWULHV IRUPDOO\ HQWHUHG LQWR D FXUUHQF\ XQLRQ 7KLV LV D XQLTXH HYHQW WR VWXG\ WKH HIIHFW 

RI FXUUHQF\ XQLRQ DPRQJ D JURXS RI LQGXVWULDO FRXQWULHV &RQWUROOLQJ IRU D KRVW RI RWKHU 

IDFWRUV ZH ILQG WKDW D SDLU RI FRXQWULHV WKDW MRLQHG WKH (08 H[SHULHQFHV DQ LQFUHDVH LQ 

WUDGH EHWZHHQ DQG SHUFHQW GHSHQGLQJ RQ WKH VDPSOH DQG VSHFLILFDWLRQ (YHQ 

WKRXJK RXU HVWLPDWH LV PXFK VPDOOHU WKDQ WKDW LQ *OLFN DQG 5RVH ZKLFK FXUUHQF\ 

XQLRQV DUH IRUPHG PDLQO\ E\ YHU\ VPDOO DQG SRRU FRXQWULHV WKH HIIHFW RI (08 RQ WUDGH LV 

VLJQLILFDQW DQG HFRQRPLFDOO\ LPSRUWDQW 

021(7$5< 32/,&< ,9 

&DWHJRU\ (($ 

&KDLUSHUVRQ 1 $OYHV 

+HQULN -HQVHQ 

8QLYHUVLW\ RI &RSHQKDJHQ 

&R $XWKRUV 5 %HHWVPD 

021(7$5< $1' ),6&$/ 32/,&< ,17(5$&7,216 ,1 $ 0,&52 

)281'(' 02'(/ 2) $ 021(7$5< 81,21 

$XJ 

5RRP ' 

.H\ZRUGV )LVFDO 3ROLF\ 5XOHV 0RQHWDU\ 3ROLF\ 5XOHV 0RQHWDU\ 8QLRQ DQG 3ROLF\ PL[ 

-(/ &ODVVLILFDWLRQ ( ( ( ( DQG ) 

6R IDU WKH QHZ RSHQ HFRQRP\ PDFURHFRQRPLFV OLWHUDWXUH KDV SULPDULO\ IRFXVHG RQ 

PRQHWDU\ SROLF\ DQG PRQHWDU\ SROLF\ UXOHV UDWKHU WKDQ SD\LQJ DWWHQWLRQ DOVR WR ILVFDO 

SROLF\ 7KLV LV DQ RPLVVLRQ EHFDXVH HVSHFLDOO\ ZLWK WKH DGYHQW RI (08 WKH EXUGHQ RQ 

ILVFDO SROLF\ DV DQ LQVWUXPHQW IRU PDFURHFRQRPLF VWDELOL]DWLRQ KDV SRWHQWLDOO\ LQFUHDVHG ,Q 

WKLV SDSHU ZH IRFXV RQ WKH LQWHUDFWLRQV EHWZHHQ PRQHWDU\ DQG ILVFDO SROLF\ LQ D PLFUR

IRXQGHG PRGHO RI D PRQHWDU\ XQLRQ %\ H[WHQGLQJ D WZR FRXQWU\ 1HZ .H\QHVLDQ PRGHO 

ZLWK SXEOLF VSHQGLQJ ZH ILQG WKDW WKH IRUZDUG ORRNLQJ 3KLOOLSV FXUYHV GHSHQG RQ 

FRQVXPSWLRQ WHUPV RI WUDGH DQG SXEOLF VSHQGLQJ GHYLDWLRQV IURP WKHLU UHVSHFWLYH 

VWRFKDVWLF QDWXUDO UDWHV :H VWXG\ WKH RSWLPDO FRRUGLQDWHG PRQHWDU\ DQG ILVFDO SROLFLHV IRU 

YDULRXV VHWWLQJV :H DOVR FRQVLGHU VLPSOH PRQHWDU\ DQG ILVFDO SROLF\ UXOHV DQG LQYHVWLJDWH 

WR ZKDW H[WHQW WKHVH UXOHV FDQ DSSUR[LPDWH WKH RSWLPDO VROXWLRQ XQGHU FRPPLWPHQW 

&KDUORWWD *URWK 


0217(7$5< 32/,&< $1' $66(7 35,&( )/8&78$7,216 

.H\ZRUGV $VVHW SULFHV %XEEOHV 0RQHWDU\ SROLF\ DQG 6WDELOL]DWLRQ 


7KH SDSHU H[DPLQHV KRZ DQ LQIODWLRQ WDUJHWLQJ FHQWUDO EDQN VKRXOG UHVSRQG WR ILQDQFLDO 

EXEEOHV ,W FRQFOXGHV WKDW EXEEOHV LQ DVVHW SULFHV UHSUHVHQW D GHPDQG VKRFN WR 

LQYHVWPHQW 7KLV LQWURGXFHV D WUDGH RII EHWZHHQ LQIODWLRQ DQG RXWSXW VWDELOL]DWLRQ 7KH 

RSWLPDO SROLF\ XQGHU FRPPLWPHQW LPSOLHV WKDW WKH FHQWUDO EDQN VKRXOG UHVSRQG WR FXUUHQW 

DQG ODJJHG UHDOL]DWLRQV RI WKH EXEEOH :KHQ WKH EXEEOH LV H[RJHQRXVO\ GULYHQ WKH FHQWUDO 

EDQN QHHGV RQO\ WR UHVSRQG LQGLUHFWO\ WR EXEEOHV WR WKH H[WHQW WKDW WKH\ DIIHFW LQIODWLRQDU\ 

SUHVVXUH 2QH IXUWKHU UHVXOW LV WKDW LQ WKH SUHVHQFH RI VHOI IXOILOOLQJ EXEEOHV LW EHFRPHV 

LPSRUWDQW IRU WKH FHQWUDO EDQN WR KDYH D KLJK ZHLJKW RQ LQIODWLRQ VWDELOL]DWLRQ UHODWLYH WR 

WKDW RQ RXWSXW VWDELOL]DWLRQ 2WKHUZLVH GHWHUPLQDF\ LV QRW REWDLQHG 

3DROR =DJDJOLD 


21 68% 237,0$/ 021(7$5< 32/,&< 58/(6 81'(5 817,(' 

),6&$/ +$1'6 

.H\ZRUGV ILVFDO VKRFNV LQWHUHVW UDWH VPRRWKLQJ DQG PRHQWDU\ SROLF\ UXOHV 


:H H[DPLQH WKH LQWHUSOD\ EHWZHHQ PRQHWDU\ DQG ILVFDO SROLFLHV LQ D FRQWH[W ZKHUH 

GLVWXUEDQFHV WR WKH SXEOLF GHILFLW SURFHVV DUH D SULPDU\ VRXUFH RI PDFURHFRQRPLF 

LQVWDELOLW\ :H SHUIRUP VLPXODWLRQV RI RSWLPDO WDUJHWLQJ UXOHV RQ D VWLFN\ SULFH PRGHO j OD 

:RRGIRUG 2XU LQYHVWLJDWLRQ FRPSDUHV WKH G\QDPLF DGMXVWPHQW SDWK XQGHU LQIODWLRQ 

WDUJHWLQJ ZLWK WKDW DULVLQJ IURP QRPLQDO LQFRPH JURZWK WDUJHWLQJ :KHQ ILVFDO VKRFNV HQWHU 

WKH SLFWXUH LQIODWLRQ WDUJHWLQJ LV D VXSHULRU VWUDWHJ\ ,Q RSSRVLWLRQ WR -HQVHQ V 

UHVXOWV ZH VKRZ WKDW DQ LQIODWLRQ WDUJHWHU LV FDSDEOH RI EULQJLQJ DERXW WKH UHTXLUHG GHJUHH 

RI LQWHUHVW UDWH LQHUWLD 7KLV GRHV QRW RFFXU DW WKH FRVW RI DGGLWLRQDO QRPLQDO LQVWDELOLW\ 

1XQR $OYHV 

%DQFR GH 3RUWXJDO 

7+( ',675,%87,21 2) /,48,',7< ,1 $ 021(7$5< 81,21 :,7+ 

',))(5(17 3257)2/,2 5,*,',7,(6

.H\ZRUGV OLPLWHG SDUWLFLSDWLRQ OLTXLGLW\ GLVWULEXWLRQ DQG PRQHWDU\ XQLRQ 

-(/ &ODVVLILFDWLRQ ( ( ( DQG ) 

7KLV SDSHU DQDO\VHV WKH PRQHWDU\ WUDQVPLVVLRQ PHFKDQLVP LQ D PRQHWDU\ XQLRQ ZLWK D 

VHJPHQWHG ILQDQFLDO PDUNHW 'LIIHUHQFHV LQ WKH KRXVHKROGV LQIRUPDWLRQ VHWV LPSO\ WKDW D 

PRQH\ VXSSO\ VKRFN \LHOGV SHUPDQHQWO\ KHWHURJHQHRXV DOORFDWLRQV DFURVV KRXVHKROGV 

7KH GLVWULEXWLRQ RI OLTXLGLW\ LV IXQGDPHQWDO WR WKLV HTXLOLEULXP 7KLV GLVWULEXWLRQ LV DOVR 

LPSRUWDQW WR XQGHUVWDQG WKH UHVSRQVH RI WKH PDFURHFRQRPLF YDULDEOHV WR D WHFKQRORJ\ 

VKRFN ,Q WKLV FDVH D PRQH\ VXSSO\ UXOH \LHOGV KHWHURJHQHRXV DOORFDWLRQV EHWZHHQ 

KRXVHKROGV ZKLOH DQ LQWHUHVW UDWH SHJ XQGRHV WKH SRUWIROLR IULFWLRQ \LHOGLQJ WKH VDPH 

DOORFDWLRQ DFURVV DJHQWV 

*52:7+ $1' 7(&+12/2*< , 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ ,UPHQ 

5LFKDUG 1DKXLV 

&3% DQG 8WUHFKW 6FKRRO RI (FRQRPLFV 

&R $XWKRUV % -DFREV 

$XJ 

/26( $ )/< 72 &$7&+ $ 75287" 21 '8$/ *52:7+ 

$&&2817,1* ,1 $ '

7KLV SDSHU SUHVHQWV D G\QDPLF WZR VHFWRU WZR VNLOO JURXSV PRGHO RI HQGRJHQRXV VNLOO DQG 

VHFWRU VSHFLILF WHFKQRORJLFDO FKDQJH 7KH GLUHFWLRQ RI WHFKQRORJLFDO FKDQJH LV GULYHQ E\ 

PDUNHW IRUFHV GHWHUPLQHG E\ WKH VNLOO FRPSRVLWLRQ RI WKH ZRUN IRUFH $ FKDQJH LQ WKLV VNLOO 

FRPSRVLWLRQ FDQ OHDG WR DQ LQFUHDVLQJ UHODWLYH ZDJH IRU WKH KLJK VNLOOHG GHVSLWH WKH IDFW 

WKDW WKH DJJUHJDWH VXSSO\ RI KLJK VNLOOHG ZRUNHUV ULVHV 7KH UHVXOW RI WKH PRGHO LV WKDW LW 

VKRZV WKH UREXVWQHVV RI WKH UHVXOWV LQ $FHPRJOX )XUWKHUPRUH VRPH RSHQ 

HFRQRP\ H[WHQVLRQV DUH FRQVLGHUHG 

%UXQR &UX] 

,5(6 8QLYHUVLWp &DWKROLTXH GH /RXYDLQ 

&R $XWKRUV $ 3RPPHUHW 

237,0$/ &$3,7$/ $&&808/$7,21 $1' (0%2',(' 

7(&+12/2*,&$/ 352*5(66 81'(5 81&(57$,17< 

.H\ZRUGV (PERGLHG 7HFKRQRORJ\ ,UUHYHUVLEOH ,QYHVWPHQW DQG 8QFHUWDLQW\ 


7KLV SDSHU SURSRVHV D VWRFKDVWLF PRGHO RI LQYHVWPHQW ZLWK HPERGLHG WHFKQRORJLFDO 

SURJUHVV 7KLV PRGHO H[KLELWV DQ LQWHUHVWLQJ FKDUDFWHULVWLF ILUPV LQYHVW QRW RQO\ WR H[SDQG 

FDSDFLW\ DV LQ 3LQG\FN EXW DOVR WR UHSODFH ROG PDFKLQHV :H FRPSDUH FDVHV ZLWK 

GLVHPERGLHG DQG HPERGLHG WHFKQRORJLFDO SURJUHVV XQGHU XQFHUWDLQW\ DOVR IRFXVLQJ RQ WKH 

ZD\ XQFHUWDLQW\ DIIHFWV WKH LQYHVWPHQW SURFHVV XQGHU HPERGLHG WHFKQRORJLFDO SURJUHVV 

:H VKRZ WKDW WKH DJH RI WKH ROGHVW PDFKLQH LV QR ORQJHU FRQVWDQW DV LQ WKH XVXDO YLQWDJH 

FDSLWDO OLWHUDWXUH 0RUHRYHU EHFDXVH WKH\ QHHG WR UHSODFH WKHLU PDFKLQHV ILUPV FDQ LQYHVW 

HYHQ LQ EDG WLPHV 

$QGUHDV ,UPHQ 


&$3,7$/ $&&808/$7,21 )$&725 35,&(6 $1' (1'2*(1286 

/$%25 6$9,1* 7(&+1,&$/ &+$1*( 

.H\ZRUGV HQGRJHQRXV WHFKQLFDO FKDQJH LQGXFHG LQQRYDWLRQ QHRFODVVLFDO JURZWK PRGHO 

DQG SURGXFWLYLW\ JURZWK 

-(/ &ODVVLILFDWLRQ ' - 2 DQG 2 

7KH SURFHVV RI FDSLWDO DFFXPXODWLRQ UDLVHV WKH VFDUFLW\ RI ODERU ZLWK UHVSHFW WR FDSLWDO DQG 

OHDGV WR D ULVH LQ WKH FRVW RI ODERU UHODWLYH WR WKH FRVW RI FDSLWDO 7KLV PRYHPHQW LQ UHODWLYH 

IDFWRU SULFHV DFWV DV DQ LQFHQWLYH IRU SURILW PD[LPL]LQJ ILUPV WR GLUHFW LQQRYDWLRQV WRZDUGV 

ODERU VDYLQJ WHFKQRORJLHV , PDNH WKLV SRLQW LQ D PRGHO RI HQGRJHQRXV WHFKQLFDO FKDQJH 

WKDW UHODWHV WKH QHRFODVVLFDO JURZWK SDUDGLJP WR WKH FRQFHSW RI LQGXFHG LQQRYDWLRQ 

(FRQRPLF GHYHORSPHQW LV FKDUDFWHUL]HG E\ DQ HQGRJHQRXV CCUXQ WKURXJK VWDJHV 

(FRQRPLHV PD\ HYROYH IURP D UHJLPH RI SXUH FDSLWDO DFFXPXODWLRQ LQWR RQH ZLWK FDSLWDO 

DFFXPXODWLRQ DQG HQGRJHQRXV WHFKQLFDO FKDQJH 

'(0$1' $1$/

(&2120,&6 

&DWHJRU\ (($ 

&KDLUSHUVRQ * &LSULDQL 

(QULFD &URGD 

8&/$ 

,17(5*(1(5$7,21$/ 75$16)(56 ,1&20( 6+2&.6 $1' +80$1 

&$3,7$/ (9,'(1&( )520 $ 1$785$/ (;3(5,0(17 

.H\ZRUGV DOWUXLVP GLIIHUHQFH LQ GLIIHUHQFHV *HUPDQ UHXQLILFDWLRQ *62(3 KXPDQ 

FDSLWDO ,QWHUJHQHUDWLRQDO WUDQVIHUV IURP SDUHQWV WR FKLOGUHQ DQG QDWXUDO H[SHULPHQW 

-(/ &ODVVLILFDWLRQ ' - DQG 3 

7KLV SDSHU LQYHVWLJDWHV WKH LPSDFW RI *HUPDQ UHXQLILFDWLRQ RQ ILQDQFLDO WUDQVIHUV IURP 

SDUHQWV WR WKHLU FKLOGUHQ ,Q SDUWLFXODU LW H[DPLQHV WKH H[WHQW WR ZKLFK ODUJH LQFRPH VKRFNV 

DUH VKDUHG ZLWKLQ D IDPLO\ DQG WKH H[WHQW WR ZKLFK SDUHQWDO WUDQVIHUV KHOS WR RYHUFRPH 

OLTXLGLW\ FRQVWUDLQWV IRU FKLOGUHQ 8VLQJ WKH *62(3 IRU WKH SHULRG D GLIIHUHQFH 

LQ GLIIHUHQFHV DSSURDFK LV DSSOLHG WR HVWLPDWH FKDQJHV LQ WKH SUREDELOLW\ DQG DPRXQW RI 

WUDQVIHUV LQ (DVW DQG :HVW *HUPDQ\ 7KH DQDO\VLV LQGLFDWHV WKDW RYHUDOO LQ ERWK UHJLRQV 

WUDQVIHUV DUH QHJDWLYHO\ FRUUHODWHG WR WKH UHODWLYH LQFRPH RI FKLOGUHQ UHODWLYHO\ WR WKHLU 

SDUHQWV +RZHYHU LQ ERWK UHJLRQV WUDQVIHUV WRZDUGV FROOHJH DJHG FKLOGUHQ KDYH 

LQFUHDVHG 7KHVH UHVXOWV FDQQRW EH UHFRQFLOHG ZLWK WKH VWDQGDUG DOWUXLVP PRGHO , SURSRVH 

D PRGHO ZLWK DOWUXLVWLF SDUHQWV DQG OLTXLGLW\ FRQVWUDLQHG FKLOGUHQ PDNLQJ KXPDQ FDSLWDO 

LQYHVWPHQW WKDW H[SODLQV WKH ILQGLQJV 

'DYLG /H %ODQF 

&5(67 

&R $XWKRUV ) :ROII 

/($9,1* +20( ,1 (8523( 7+( 52/( 2) 3$5(17 6 $1' &+,/' 6 

,1&20(6 

.H\ZRUGV DOWUXLVP LQFRPH GLVWULEXWLRQ DQG OHDYLQJ KRPH 


7KLV SDSHU IRFXVHV RQ WKH OHDYLQJ KRPH GHFLVLRQV RI \RXQJ DGXOWV DQG H[DPLQHV KRZ 

SDUHQWV DQG FKLOG V UHVRXUFHV DIIHFW KRPH VKDULQJ DUUDQJHPHQWV 8VLQJ DQ DOWUXLVWLF 

PRGHO ZH VKRZ WKDW WKH OHDYLQJ KRPH GHFLVLRQ UHVXOWV IURP D WUDGHRII EHWZHHQ 

HFRQRPLHV RI VFDOH JHQHUDWHG E\ WKH SXEOLF JRRG DVSHFW RI KRXVLQJ FRQVXPSWLRQ 

LQHIILFLHQF\ RI JRRGV DOORFDWLRQV XQGHU FRUHVLGHQFH 

DQG SULYDF\ FRVWV HQWDLOHG E\ KRPH VKDULQJ ,QFRPHV VKRXOG DIIHFW WKH UHVLGHQFH RXWFRPH 

LQ D FRPSOH[ QRQ OLQHDU ZD\ JLYHQ WKH H[LVWHQFH RI VHYHUDO UHJLPHV RI WUDQVIHUV 8VLQJ WKH 

(&+3 GDWD RQ HOHYHQ (XURSHDQ FRXQWULHV ZH VKRZ WKDW WKH OHDYLQJ KRPH GHFLVLRQ LV 

SRVLWLYHO\ UHODWHG WR WKH FKLOG V LQFRPHV ZKLOH WKH HIIHFW LV OHVV FOHDU IRU WKH SDUHQW V 

LQFRPH 7KHQ ZH HVWLPDWH WKH VWUXFWXUDO PRGHO DQG ILQG WKDW DOWUXLVP LV YHU\ ZHDN RQ 

DYHUDJH DQG YHU\ GLVSHUVHG LQ WKH SRSXODWLRQ 

6WHIDQ +RGHUOHLQ 

0DQQKHLP 5HVHDUFK ,QVWLWXWH IRU WKH (FRQRPLFV RI $JLQJ

1213$5$0(75,& '(0$1' 6

0$/( )(0$/( 352'8&7,9,7< ',))(5(17,$/6 7+( 52/( 2) 

$%,/,7< $1' ,1&(17,9(6 

.H\ZRUGV ,QFHQWLYHV 3URGXFWLYLW\ DQG :DJH 'LIIHUHQWLDOV 


:H FRQVLGHU WKH UHVSRQVH WR LQFHQWLYHV DV DQ H[SODQDWLRQ IRU 

SURGXFWLYLW\ DQG ZDJH GLIIHUHQWLDOV ZLWKLQ D ILUP WKDW SDLG LWV 

ZRUNHUV SLHFH UDWHV :H VKRZ WKDW WKH REVHUYHG GLIIHUHQWLDO FDQ EH 

GHFRPSRVHG LQWR WZR SDUWV RQH GXH WR GLIIHUHQFHV LQ DELOLW\ DQG RQH 

GXH WR GLIIHUHQFHV LQ WKH UHVSRQVH WR LQFHQWLYHV :H DSSO\ WKLV 

GHFRPSRVLWLRQ WR PDOH DQG IHPDOH ZRUNHUV XVLQJ GDWD IURP WKH %ULWLVK 

&ROXPELD WUHH SODQWLQJ LQGXVWU\ 2XU UHVXOWV VXJJHVW WKDW IHPDOHV 

UHDFW PRUH WR LQFHQWLYHV WKDQ GR WKHLU PDOH FRXQWHUSDUWV $V VXFK WKH 

SURGXFWLYLW\ GLIIHUHQWLDO WKDW PDOHV HQMR\ LQ WKLV ILUP LV GXH WR 

GLIIHUHQFHV LQ DEVROXWH DELOLW\ 

(ULN *U|QTYLVW 


'2(6 $'9(56( 6(/(&7,21 0$77(5" (9,'(1&( )520 $ 

1$785$/ (;3(5,0(17 

.H\ZRUGV $GYHUVH VHOHFWLRQ (PSLULFDO WHVW DQG +HDOWK LQVXUDQFH 

-(/ &ODVVLILFDWLRQ ' , DQG / 

7KH HPSLULFDO HYLGHQFH RI DGYHUVH VHOHFWLRQ LQ LQVXUDQFH PDUNHWV LV PL[HG 7KLV SDSHU 

SUHVHQWV D VLPSOH PRGHO RI LQVXUDQFH FKRLFH LQ D QRQ FRPSHWLWLYH VHWWLQJ WKDW FDQ KDUERXU 

ERWK DGYHUVH DQG DGYDQWDJHRXV VHOHFWLRQ 7KH VWXG\ DOVR SURYLGHV D GLUHFW WHVW RI 

VHOHFWLRQ LQ LQVXUDQFH PDUNHWV XVLQJ GDWD IURP D 6ZHGLVK GHQWDO LQVXUDQFH QDWXUDO 

H[SHULPHQW $OO DJHQWV ZHUH VWUDWLILHG LQWR GLIIHUHQW ULVN FODVVHV 7KH HPSLULFDO UHVXOWV GLIIHU 

DFURVV ULVN FODVVHV ZLWKLQ KLJK ULVN FODVVHV WKHUH DUH HYLGHQFH RI DGYHUVH VHOHFWLRQ DQG 

ZLWKLQ ORZ ULVN FODVVHV WKH UHVXOWV LQGLFDWH DGYDQWDJHRXV VHOHFWLRQ 7KH UHVXOWV FDQ EH 

H[SODLQHG E\ GLIIHUHQFHV LQ WKH HIIHFWLYHQHVV RI SUHYHQWLRQ 

6XVDQQH .UHPKHOPHU 


&R $XWKRUV ( )HKU DQG . 6FKPLGW 

)$,51(66 $1' 7+( 237,0$/ $//2&$7,21 2) 2:1(56+,3 

5,*+76 

.H\ZRUGV 'RXEOH 0RUDO +D]DUG )DLUQHVV ,QFRPSOHWH &RQWUDFWV 2ZQHUVKLS 5LJKWV DQG 

5HFLSURFLW\ 


,Q WKLV SDSHU ZH DGGUHVV WKH TXHVWLRQ ZKHWKHU FRQFHUQV IRU IDLUQHVV DIIHFW WKH RSWLPDO 

DOORFDWLRQ RI RZQHUVKLS ULJKWV )XUWKHUPRUH LI SDUWLHV VWDUW IURP GLIIHUHQW LQLWLDO RZQHUVKLS

VWUXFWXUHV KRZ GRHV WKLV DIIHFW ZKLFK RZQHUVKLS VWUXFWXUH LV JRLQJ WR SUHYDLO LQ 

HTXLOLEULXP" :H DQDO\]H WKLV TXHVWLRQ WKHRUHWLFDOO\ DQG SXW WKH SUHGLFWLRQV RI VHYHUDO 

WKHRUHWLFDO PRGHOV WR DQ H[SHULPHQWDO WHVW 7KH H[SHULPHQWDO UHVXOWV DUH ODUJHO\ FRQVLVWHQW 

ZLWK WKH WKHRU\ RI LQHTXLW\ DYHUVLRQ DQG VKRZ WKDW RZQHUVKLS ULJKWV PDWWHU WKDW MRLQW 

RZQHUVKLS LV VHFRQG EHVW RSWLPDO DQG WKDW WKH VXEMHFWV PDQDJH WR DFKLHYH MRLQW 

RZQHUVKLS VWDUWLQJ IURP GLIIHUHQW LQLWLDO RZQHUVKLS VWUXFWXUHV 

*HRUJH 6KHOGRQ 

8QLYHUVLW\ RI %DVOH 

&R $XWKRUV : (PRQV 

7+( 0$5.(7 )25 86(' &$56 $ 1(: 7(67 2) 7+( /(0216 

02'(/ 

.H\ZRUGV DGYHUVH VHOHFWLRQ GXUDWLRQ PRGHOV DQG XVHG FDU PDUNHW 

-(/ &ODVVLILFDWLRQ & ' / DQG / 

7KH OHPRQV PRGHO DVVXPHV WKDW RZQHUV RI XVHG FDUV KDYH DQ LQIRUPDWLRQDO DGYDQWDJH 

RYHU SRWHQWLDO EX\HUV ZLWK UHVSHFW WR WKH TXDOLW\ RI WKHLU YHKLFOHV 2ZQHUV RI EDG FDUV ZLOO 

WU\ WR VHOO WKHP WR XQVXVSHFWLQJ EX\HUV ZKLOH RZQHUV RI JRRG FDUV ZLOO KROG RQ WR WKHLUV 

&RQVHTXHQWO\ WKH TXDOLW\ RI WUDGHG DXWRPRELOHV VKRXOG EH VXE DYHUDJH ,Q FRQ WUDVW WR 

SUHYLRXV ZRUN WKH IROORZLQJ SDSHU WHVWV ERWK WKH DVVXPSWLRQ RI LQIRUPDWLRQDO DV\PPHWU\ 

DQG WKH SUHGLFWLRQ RI VXE DYHUDJH WUDGHG FDU TXDOLW\ XVLQJ D VDPSOH FRQ VLVWLQJ RI DOO 

FDUV UHJLVWHUHG LQ WKH 6ZLVV FDQWRQ RI %DVOH &LW\ RYHU WKH SHULRG 2XU GDWD 

VXSSRUW ERWK WKH DVVXPSWLRQ DQG WKH SUHGLFWLRQ RI WKH OHPRQV PRGHO 7KH OHPRQV SUREOHP 

GRHV QRW DSSHDU WR EH ZLGHVSUHDG KRZHYHU 

(19,5210(17$/ 32/,&< , 

&DWHJRU\ (($ 

&KDLUSHUVRQ + (JOL 

6LJYH 7M¡WWD 

'HSDUWPHQW RI (FRQRPLFV 8QLYHUVLW\ RI %HUJHQ 

&R $XWKRUV ( %UDWEHUJ DQG 7RUJHLU 

$XJ 

5RRP ' 

'2 92/817$5< ,17(51$7,21$/ (19,5210(17$/ $*5((0(176 

:25." 

.H\ZRUGV ,QWHUQDWLRQDO HQYLURQPHQWDO FRRSHUDWLRQ HYDOXDWLRQ DQG SXEOLF JRRGV 

-(/ &ODVVLILFDWLRQ ' 4 DQG + 

:H FRQVLGHU WKH HIIHFWV RI LQWHUQDWLRQDO HQYLURQPHQWDO DJUHHPHQWV XVLQJ WKH 6RILD 

3URWRFRO RQ WKH UHGXFWLRQ RI QLWURJHQ R[LGHV 2XU DQDO\VLV XWLOL]HV SDQHO GDWD IURP 

(XURSHDQ FRXQWULHV IRU WKH SHULRG ± :H GLYLGH WKHVH FRXQWULHV LQWR ³SDUWLFLSDQWV´ 

DQG ³QRQ SDUWLFLSDQWV´²WKDW LV WKRVH WKDW GLG DQG WKRVH WKDW GLG QRW UDWLI\ WKH 6RILD 

3URWRFRO UHVSHFWLYHO\ 8VLQJ D GLIIHUHQFH LQ GLIIHUHQFH HVWLPDWRU ZH ILQG WKDW VLJQLQJ WKH 

WUHDW\ KDV D VLJQLILFDQW SRVLWLYH LPSDFW RQ HPLVVLRQ UHGXFWLRQ 7KH \HDUO\ UHGXFWLRQ LV 

DSSUR[LPDWHO\ SHUFHQW JUHDWHU WKDQ LW ZRXOG KDYH EHHQ ZLWKRXW WKH 6RILD 3URWRFRO

*HUJHO\ 8MKHO\L 


(0,66,21 75$',1* $1' 7+( 67$%,/,7< 2) (19,5210(17$/ 

$*5((0(176 

.H\ZRUGV HPLVVLRQ WUDGLQJ HQGRZPHQW JDPH DQG HQYLURQPHQWDO DJUHHPHQWV 


7KLV SDSHU LV D ILUVW VWHS LQ DQDO\VLQJ KRZ D PDUNHW IRU WUDGHDEOH SHUPLWV FUHDWHG E\ DQ 

HQYLURQPHQWDO DJUHHPHQW DIIHFWV WKH VWDELOLW\ RI WKH DJUHHPHQW 

, SUHVHQW D PRGHO LQ ZKLFK WKH VWDELOLW\ LPSOLFDWLRQV RI D WKH PDUNHW VWUXFWXUH RI WKH SHUPLW 

PDUNHW DQG E WKH SULQFLSOH RI LQLWLDO DOORFDWLRQ RI SHUPLWV FDQ EH DQDO\VHG , VKRZ WKDW ZLWK 

LGHQWLFDO SOD\HUV DQG DQ DOORFDWLRQ JLYLQJ HYHU\ SOD\HU DQ HTXDO DPRXQW RI SHUPLWV WKH 

PDUNHW VWUXFWXUH KDV QR HIIHFW RQ WKH VWDELOLW\ RI WKH DJUHHPHQW ZKLOH IRU D JLYHQ PDUNHW 

VWUXFWXUH WKLV 

DOORFDWLRQ PDNHV WKH DJUHHPHQW PRUH VWDEOH WKDQ DQ\ RWKHU DOORFDWLRQ 

-RKDQ (\FNPDQV 

.DWKROLHNH 8QLYHUVLWHLW /HXYHQ & ( 6 

&R $XWKRUV 0 )LQXV 

&2$/,7,21 )250$7,21 ,1 $ */2%$/ :$50,1* *$0( +2: 7+( 

'(6,*1 2) 35272&2/6 $))(&76 7+( 68&&((6 2) 

(19,5210(17$/ 75($7< 0$.,1* 

.H\ZRUGV FOLPDWH FKDQJH FRDOLWLRQ IRUPDWLRQ LQWHUQDWLRQDO HQYLURQPHQWDO DJUHHPHQWV 

DQG QRQFRRSHUDWLYH JDPH WKHRU\ 

-(/ &ODVVLILFDWLRQ & & + DQG 4 

:H FRPELQH WKH QHZHVW FRQFHSWV RI QRQ FRRSHUDWLYH FRDOLWLRQ WKHRU\ ZLWK D &*( PRGHO 

FORVH WR WKH VHPLQDO 5,&( PRGHO RI 1RUGKDXV DQG

6(5,(6 '$7$ )25 *(50$1< 

.H\ZRUGV (QYLURQPHQWDO .X]QHWV &XUYH (UURU &RUUHFWLRQ 0RGHO DQG 7LPH 6HULHV 'DWD 

-(/ &ODVVLILFDWLRQ 4 4 DQG 4 

,Q UHFHQW \HDUV H[WHQVLYH OLWHUDWXUH RQ WKH (QYLURQPHQWDO .X]QHWV &XUYH OHDGLQJ WR 

RSWLPLVWLF SROLF\ FRQFOXVLRQV KDV DWWUDFWHG JUHDW DWWHQWLRQ +RZHYHU WKH XQGHUO\LQJ FURVV 

VHFWLRQ HVWLPDWLRQV DUH QRW YHU\ UHOLDEOH $FFRUGLQJO\ WKLV FRQWULEXWLRQ XVHV WLPH VHULHV 

GDWD IRU D VLQJOH FRXQWU\ ZLWK JRRG GDWD TXDOLW\ *HUPDQ\ :LWK D VSHFLILFDWLRQ WKDW 

LQFOXGHV DOO WKHRUHWLFDO YDULDWLRQV DQG GLIIHUHQW DSSURSULDWH HVWLPDWLRQ SURFHGXUHV LW LV 

IRXQG WKDW RQO\ IRU IHZ SROOXWDQWV FDQ WKH W\SLFDO (.& SDWWHUQ EH FRQILUPHG )RU WKH PDMRU 

SDUW KRZHYHU LW LV FRQFOXGHG WKDW WKH GRXEWV DERXW WKH VXLWDELOLW\ RI WKH (.& DSSURDFK DUH 

ZHOO IRXQGHG 

/$%285 0$5.(7 $1' &203(7,7,21 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ &KRQJ 

&KULVWLDQ +DHINH 


&R $XWKRUV 0 (EHOO 

$XJ 

352'8&7 0$5.(7 '(5(*8/$7,21 $1' /$%25 0$5.(7 

287&20(6 

5RRP ( 

.H\ZRUGV (XURSHDQ 8QHPSOR\PHQW 3URGXFW 0DUNHW &RPSHWLWLRQ DQG :DJH %DUJDLQLQJ 

-(/ &ODVVLILFDWLRQ ( - / DQG 2 

7KLV SDSHU FRQVLGHUV WKH 

G\QDPLF UHODWLRQVKLS EHWZHHQ SURGXFW PDUNHW UHJXODWLRQ DQG HTXLOLEULXP 

XQHPSOR\PHQW DQG ZDJHV WKHRUHWLFDOO\ DQG TXDQWLWDWLYHO\ 

&RPSHWLWLRQ KDV D VWURQJ LPSDFW RQ 

HTXLOLEULXP XQHPSOR\PHQW UDWHV DQG RQ HTXLOLEULXP ZDJHV 

0RVW RI WKH LPSDFW LV DFKLHYHG E\ PRYLQJ 

IURP D PRQRSRO\ WR IRXU WR ILYH FRPSHWLQJ ILUPV SHU LQGXVWU\ +HQFH D 

OLWWOH ELW RI FRPSHWLWLRQ JRHV D ORQJ ZD\ 

&RPSHWLWLRQ LV WKHQ OLQNHG WR EDUULHUV WR HQWU\ 

:KHQ ILUPV DUH VKRUW OLYHG JUHDWHU (XURSHDQ SURGXFW PDUNHW UHJXODWLRQ FDQ 

DFFRXQW IRU XQHPSOR\PHQW UDWHV WKDW DUH RQH WR WZR IXOO SHUFHQWDJH SRLQWV 

JUHDWHU WKDQ WKH FRUUHVSRQGLQJ $QJOR $PHULFDQ YDOXHV 

5DFKHO 1JDL 


&R $XWKRUV - +ŽRUQHU DQG & 2OLYHWWL

38%/,& (17(535,6(6 $1' /$%25 0$5.(7 3(5)250$1&( 

.H\ZRUGV HFRQRPLF WXUEXOHQFHV (XURSH 86 XQHPSOR\PHQW DQG VWDWH RZQHG HQWHUSULVHV 

-(/ &ODVVLILFDWLRQ ( - DQG - 

7KLV SDSHU VXJJHVWV WKDW WKH VWDWH LQYROYHPHQW LQ WKH SURGXFWLRQ VHFWRU LQ (XURSHDQ FRXQ 

WULHV PD\ FRQWULEXWH WR H[SODLQLQJ WKH GLIIHUHQFH LQ XQHPSOR\PHQW UDWHV DQG G\QDPLFV 

EHWZHHQ 

(XURSH DQG WKH 8QLWHG 6WDWHV :H UHSRUW HYLGHQFH DERXW WKH VFRSH DQG VL]H RI VWDWH 

RZQHG HQWHUSULVHV DFURVV FRXQWULHV DQG UHODWH LW WR WKHLU ODERU PDUNHW SHUIRUPDQFHV :H 

GHYHORS D 

VLPSOH PRGHO WKDW KHOSV H[SODLQ WKRVH VW\OL]HG IDFWV 2XU PRGHO SUHGLFWV WKDW PRUH 

LQWHUYHQWLRQLVW FRXQWULHV PD\ KDYH KLJKHU XQHPSOR\PHQW UDWHV HVSHFLDOO\ LQ WKH SUHVHQFH 

RI HFRQRPLF WXUEXOHQFHV 

5REHUW (OOLRWW 

6FKRRO RI (FRQRPLF 6WXGLHV 8QLYHUVLW\ RI 0DQFKHVWHU 

&R $XWKRUV - /LQGOH\ 

75$'( 6.,//6 $1' $'-8670(17 &2676 $ 678'< 2) ,175$ 

6(&725$/ /$%285 02%,/,7< ,1 7+( 8. 

.H\ZRUGV ODERXU PRELOLW\ DQG WUDGH 

-(/ &ODVVLILFDWLRQ ) DQG - 

7KH UHODWLRQVKLS EHWZHHQ WKH DELOLW\ RI ZRUNHUV WR FKDQJH MRE VHFWRU RU LQGXVWU\ DQG WKH 

VKRUW UXQ DGMXVWPHQW FRVWV DVVRFLDWHG ZLWK D UHDOORFDWLRQ RI ODERXU LV WKH VXEMHFW RI OLYHO\ 

GHEDWH DPRQJ DFDGHPLFV 7KLV SDSHU H[DPLQHV UHFHQW VHFWRU DQG LQGXVWU\ OHYHO ODERXU 

PDUNHW DGMXVWPHQW LQ WKH 8. XVLQJ GDWD IURP WKH 4XDUWHUO\ /DERXU )RUFH 6XUYH\ :H 

H[SORUH WKH OLQN EHWZHHQ WKH QDWXUH RI 8. LQWHUQDWLRQDO WUDGH SDWWHUQV DQG ODERXU 

DGMXVWPHQW ZLWKLQ WKH PDQXIDFWXULQJ VHFWRU DQG H[DPLQH WKH GHWHUPLQDQWV RI ³ZLWKLQ´ DQG 

³EHWZHHQ´ LQGXVWU\ PRELOLW\ :H ILQG D VLJQLILFDQW OLQN EHWZHHQ LQWUD LQGXVWU\ WUDGH DQG 

LQWUD LQGXVWU\ ODERXU DGMXVWPHQW DV ZHOO DV VRPH HYLGHQFH EDVHG RQ LQGLYLGXDO VNLOO 

VSHFLILFLW\ WKDW LQWUD LQGXVWU\ ODERXU DGMXVWPHQW PD\EH OHVV FRVWO\ WKDQ LQWHU LQGXVWU\ 

DGMXVWPHQW 

$OEHUWR &KRQJ 


&R $XWKRUV ) /RSH] GH 6LODQHV 

35,9$7,=$7,21 $1' /$%25 )25&( 5(6758&785,1* $5281' 

7+( :25/' 

.H\ZRUGV $GYHUVH 6HOHFWLRQ &RUSRUDWH *RYHUQDQFH 'RZQVL]LQJ DQG 3ULYDWL]DWLRQ 

-(/ &ODVVLILFDWLRQ * DQG + 

8VLQJ QHZ GDWD IURP D UDQGRP VDPSOH RI FRPSDQLHV LQ WKH ZRUOG ZH WHVW FRPSHWLQJ 

WKHRULHV DERXW WKH ZLVGRP RI UHWUHQFKPHQW SURJUDPV DQG WKHLU HIIHFW RQ SULFHV SDLG E\ 

EX\HUV DQG UHKLULQJ SROLFLHV E\ SULYDWH RZQHUV DIWHU SULYDWL]DWLRQ 2XU UHVXOWV VKRZ WKDW

DGYHUVH VHOHFWLRQ SODJXHV UHWUHQFKPHQW SURJUDPV FDUULHG RXW E\ JRYHUQPHQWV EHIRUH 

SULYDWL]DWLRQ &RQWUROOLQJ IRU HQGRJHQHLW\ VHYHUDO ODERU UHWUHQFKPHQW SROLFLHV \LHOG D 

QHJDWLYH LPSDFW RQ QHW SULYDWL]DWLRQ SULFHV ,Q FRQILUPDWLRQ RI WKH DGYHUVH VHOHFWLRQ 

DUJXPHQW YDULRXV W\SHV RI YROXQWDU\ GRZQVL]LQJ OHDG WR D KLJKHU SUREDELOLW\ RI UHKLULQJ WKH 

VDPH ZRUNHUV E\ WKH QHZ SULYDWH RZQHUV 6NLOO ELDVHG SURJUDPV DUH WKH RQO\ W\SH RI 

SURJUDP WKDW LV PDUJLQDOO\ DVVRFLDWHG ZLWK KLJKHU SULFHV DQG ORZHU UHKLULQJ UDWHV DIWHU 

SULYDWL]DWLRQ $ TXDOLILHG µGR QRW LQWHUYHQH DSSHDUV WR EH WKH VDIHVW EHW LQ ODERU 

UHWUHQFKPHQW EHIRUH SULYDWL]DWLRQ 

35()(5(1&(6 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 6DH] 0DUWL 

PDUNHWSODFH SRSXODWHG E\ SHUIHFWO\ LQIRUPHG PD[LPL]LQJ ILUPV ,Q RXU PRGHO DQ 

H[RJHQRXV LQFUHDVH LQ SURGXFW FRPSOH[LW\ LQFUHDVHV ILUPV PDUNHW SRZHU DQG LQFUHDVHV 

PDUNXSV :KHQ ZH PDNH SURGXFW FRPSOH[LW\ DQ HQGRJHQRXV YDULDEOH ZH ILQG WKDW ILUPV 

LQHIILFLHQWO\ FKRRVH H[FHVV SURGXFW FRPSOH[LW\ )LQDOO\ ZH SURSRVH DQ HFRQRPHWULF 

IUDPHZRUN WKDW PHDVXUHV WKH DPRXQW RI FRQIXVLRQ LQ WKH PDUNHWSODFH 

)UDQN &RZHOO 

67,&(5' /6( 

&R $XWKRUV < $PLHO / 'DYLGRYLW] DQG $ 3RORYLQ 

35()(5(1&( 5(9(56$/6 $1' 7+( $1$/

$8&7,216 ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ /DPEHUW 0RJLOLDQVN\ 

0LFKDO %UHVN\ 

&(5*( 

$XJ 

(48,/,%5,$ ,1 08/7, 81,7 35,9$7( 9$/8( $8&7,216 

5RRP ) 

.H\ZRUGV DOO SD\ H[LVWHQFH RI HTXLOLEULXP LQ GLVFRQWLQXRXV JDPHV PXOWLSOH REMHFW 

DXFWLRQ PXOWL XQLW DXFWLRQ DQG SD\ \RXU ELG DQG XQLIRUP SULFH DXFWLRQ ZLWK UHVHUYDWLRQ 

SULFH 


7KLV SDSHU SURYHV WKH H[LVWHQFH RI D SXUH VWUDWHJ\ 1DVK HTXLOLEULXP IRU D JHQHUDO FODVV RI 

PXOWL XQLW DXFWLRQV 7KH VHOOHU RIIHUV N LGHQWLFDO XQLWV RI JRRGV DQG VHWV WKH PLQLPXP 

DFFHSWHG ELG %LGGHUV KDYH DWRPOHVV YDOXDWLRQ GLVWULEXWLRQV DQG WKH\ VXEPLW XS WR N ELGV 

7KH FODVV RI JDPHV LQYHVWLJDWHG LQFOXGHV XQLIRUP SULFH SD\ \RXU ELG DOO SD\ DQG 9LFNUH\ 

DXFWLRQV DV VSHFLDO FDVHV )RU WKLV FODVV WKH H[LVWHQFH RI D ZHDNO\ LQFUHDVLQJ SXUH 

VWUDWHJ\ 1DVK HTXLOLEULXP LV SURYHQ 7KH HVVHQWLDO SURSHUWLHV RI WKH HTXLOLEULXP DUH 

GLVFXVVHG 

*LXVHSSH /RSRPR 


&R $XWKRUV 6 %UXVFR 

6,08/7$1(286 $6&(1',1* %,' $8&7,216 :,7+ %8'*(7 

&21675$,176 

.H\ZRUGV $XFWLRQV &ROOXVLRQ DQG 0XOWLSOH 2EMHFWV 


:H LGHQWLI\ DQG DQDO\]H WKUHH GLVWLQFW HIIHFWV DULVLQJ IURP SRWHQWLDOO\ ELQGLQJ EXGJHW 

FRQVWUDLQWV LQ PXOWL XQLW DVFHQGLQJ DXFWLRQV )LUVW ELQGLQJ EXGJHWV FOHDUO\ UHGXFH WKH OHYHO 

RI FRPSHWLWLRQ DPRQJ ELGGHUV 6HFRQG EXGJHW FRQVWUDLQWV PD\ DW WKH VDPH WLPH 

PDNH LW GLIILFXOW WR VXVWDLQ FROOXVLYH HTXLOLEULD ZKHQ ELGGHUV ODFN VXIILFLHQW UHVRXUFHV WR 

CSXQLVK GHIHFWRUV 7KLUG WKH PHUH SRVVLELOLW\ HYHQ LI DUELWUDULO\ VPDOO RI ELQGLQJ EXGJHW 

FRQVWUDLQWV FDQ UHGXFH FRPSHWLWLRQ VXEVWDQWLDOO\ EHFDXVH ELGGHUV FDQ CSUHWHQG WR EH 

FRQVWUDLQHG HYHQ LI WKH\ DUH QRW ,Q WKLV FDVHV PHDVXUHV UHVWULFWLQJ WKH SDUWLFLSDWLRQ RI 

ORZ EXGJHW ELGGHUV H J UHVHUYH SULFHV FDQ LQFUHDVH VRFLDO ZHOIDUH 

-RVH 4XLQWHUR 


/,48,',7< &21675$,176 $1' &5(',7 68%6,',(6 ,1 $8&7,216 

.H\ZRUGV $XFWLRQV EXQGOLQJ FUHGLW VXEVLGLHV DQG /LPLWHG OLDELOLW\ 

-(/ &ODVVLILFDWLRQ '

, FRQVLGHU DQ DXFWLRQ ZLWK SDUWLFLSDQWV WKDW GLIIHU LQ YDOXDWLRQ DQG DFFHVV WR OLTXLG DVVHWV 

$VVXPLQJ FUHGLW LV FRVWO\ H J GXH WR PRUDO KD]DUG FRQVLGHUDWLRQV WKH SDSHU VKRZV WKDW 

VWDQGDUG DXFWLRQ IRUPV UHVXOW LQ GLIIHUHQW DOORFDWLRQ UXOHV %\ RIIHULQJ FUHGLW VXEVLGLHV WKH 

VHOOHU JDLQV DQ DGGLWLRQDO WRRO WR VFUHHQ DJHQWV 7KH SDSHU GHULYHV FRQGLWLRQV XQGHU ZKLFK 

WKH VHOOHU LQFUHDVHV SURILWV E\ VXEVLGL]LQJ ORDQV ,Q SDUWLFXODU LQ D VHFRQG SULFH DXFWLRQ 

WKH VHOOHU DOZD\V EHQHILWV IURP RIIHULQJ VPDOO VXEVLGLHV 7KH UHVXOW H[WHQGV WR D QRQ 

DXFWLRQ VHWWLQJ WR VKRZ WKDW D PRQRSROLVW PD\ XVH FUHGLW VXEVLGLHV DV D SULFH 

GLVFULPLQDWLRQ GHYLFH 

$ULDQH /DPEHUW 0RJLOLDQVN\ 

&(5$6 (FROH 1DWLRQDOH GHV 3RQWV HW &KDXVVpHV &156 85$ 3DULV 

&R $XWKRUV . 6RQLQ 

&255837,21 $1' &2//86,21 ,1 352&85(0(17 7(1'(56 

.H\ZRUGV DXFWLRQ FROOXVLRQ DQG FRUUXSWLRQ 

-(/ &ODVVLILFDWLRQ ' + DQG . 

7KLV SDSHU LQYHVWLJDWHV FRPSOHPHQWDULWLHV EHWZHHQ FRUUXSWLRQ DQG FROOXVLRQ LQ 

SURFXUHPHQW $ ILUVW SULFH PXOWLSOH REMHFW DXFWLRQ LV DGPLQLVWHUHG E\ DQ DJHQW ZLWK OHJDO 

GLVFUHWLRQ WR DOORZ IRU UHDGMXVWPHQWV RI DOO VXEPLWWHG RIIHUV EHIRUH WKH RIILFLDO RSHQLQJ 

7KH DJHQW LV FRUUXSW KH VHOOV KLV ULJKW WR GHFLGH RQ WKH GHDGOLQH LQ H[FKDQJH IRU D EULEH 

2XU PDLQ UHVXOW LV WKDW WKH FRUUXSW DJHQW V LQFHQWLYHV DUH FORVHO\ OLQNHG ZLWK WKDW RI D FDUWHO 

7KH DJHQW V GLVFUHWLRQDU\ SRZHU JDLQV YDOXH ZKHQ ILUPV FROOXGH $QG FRUUXSWLRQ JHQHUDWHV 

HTXLOLEULD ZKHUH WKH ELGGHUV IXOO\ UHIUDLQ IURP FRPSHWLQJ ZLWK HDFK RWKHU :H DOVR VKRZ 

WKDW SDFNDJH ELGGLQJ SOD\V D NH\ UROH :LWK ELGV RQ LQGLYLGXDO WDVNV RQO\ WKH HQIRUFHPHQW 

SRZHU RI FRUUXSWLRQ LV GUDVWLFDOO\ UHGXFHG 

:$*( ',63(56,21 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ +LM]HQ 

)UHGULN 6MRKROP 


&R $XWKRUV 5 /LSVH\ 

$XJ 

5RRP ) 

)25(,*1 ),506 $1' ,1'21(6,$1 0$18)$&785,1* :$*(6 $1 

$1$/

PRUH WKDQ SHU FHQW DERYH DYHUDJH :DJHV LQ IRUHLJQ SODQWV WDNHQ RYHU E\ GRPHVWLF 

RZQHUV WHQGHG WR ULVH OHVV WKDQ DYHUDJH IRU WKHLU LQGXVWULHV DOWKRXJK WKH\ UHPDLQHG DERYH 

WKH GRPHVWLF DYHUDJH 7KXV IRUHLJQ ILUPV GLG QRW VHOHFW SDUWLFXODUO\ KLJK ZDJH SODQWV WR 

WDNH RYHU DQG LW ZDV IRUHLJQ WDNHRYHUV UDWKHU WKDQ WDNHRYHUV LQ JHQHUDO WKDW OHG WR ODUJH 

ZDJH LQFUHDVHV DQG KLJK ZDJHV 

0DUFR /HRQDUGL 

,=$ 

),506 +(7(52*(1(,7< ,1 &$3,7$/ /$%25 5$7,26 $1' :$*( 

,1(48$/,7< 

.H\ZRUGV FDSLWDO LQWHQVLW\ VHDUFK PRGHOV DQG ZDJH LQHTXDOLW\ 


7KLV SDSHU SURYLGHV VRPH HPSLULFDO HYLGHQFH DQG D WKHRU\ RI WKH UHODWLRQVKLS EHWZHHQ 

UHVLGXDO ZDJH LQHTXDOLW\ DQG WKH LQFUHDVLQJ GLVSHUVLRQ RI FDSLWDO ODERU UDWLRV DFURVV ILUPV , 

GRFXPHQW WKH LQFUHDVLQJ YDULDQFH RI FDSLWDO ODERU UDWLRV DFURVV ILUPV LQ WKH 86 , DOVR 

VKRZ WKDW WKH LQFUHDVH LQ WKH YDULDQFH RI FDSLWDO ODERU UDWLRV DFURVV ILUPV LV UHODWHG WR WKH 

LQFUHDVLQJ YDULDQFH RI ZDJHV 7R H[SODLQ WKHVH HPSLULFDO UHJXODULWLHV , DGRSW D VHDUFK 

PRGHO ZKHUH ILUPV GLIIHU LQ WKHLU RSWLPDO FRPSRVLWLRQ RI FDSLWDO EHWZHHQ HTXLSPHQW DQG 

VWUXFWXUH $V WKH UHODWLYH SULFH RI HTXLSPHQW IDOOV RYHU WLPH WKH GLVWULEXWLRQ RI FDSLWDO ODERU 

UDWLRV EHFRPHV PRUH GLVSHUVHG DFURVV ILUPV ,Q D IULFWLRQDO ODERU PDUNHW WKLV IRUFH 

JHQHUDWHV ZDJH GLVSHUVLRQ DPRQJ LGHQWLFDO ZRUNHUV 6LPSOH FDOLEUDWLRQ LQGLFDWHV WKDW WKH 

GLVSHUVLRQ RI FDSLWDO ODERU UDWLRV FDQ H[SODLQ XS WR RQH KDOI RI WKH WRWDO LQFUHDVH LQ UHVLGXDO 

ZDJH LQHTXDOLW\ 

0DWWKHZ /LQGTXLVW 


&$3,7$/ 6.,// &203/(0(17$5,7< $1' ,1(48$/,7< 29(5 7+( 

%86,1(66 &

$OH[DQGHU +LM]HQ 


)5$*0(17$7,21 352'8&7,9,7< $1' 5(/$7,9( :$*(6 ,1 7+( 

8. $ 0$1'$7(' :$*( $3352$&+ 

.H\ZRUGV IUDJPHQWDWLRQ PDQGDWHG ZDJH UHJUHVVLRQV RXWVRXUFLQJ SURGXFWLYLW\ DQG 

UHODWLYH ZDJHV 

-(/ &ODVVLILFDWLRQ ) DQG - 

)HHQVWUD DQG +DQVRQ SURSRVH D WZR VWHS PHWKRG WR DQDO\VH WKH UROH RI 

RXWVRXUFLQJ DQG VNLOO ELDVHG WHFKQRORJLFDO FKDQJH 6%7& LQ WKH ULVH RI ZDJH LQHTXDOLW\ 

7KLV SDSHU DSSOLHV WKHLU PHWKRGRORJ\ WR 8. PDQXIDFWXULQJ XVLQJ GDWD IRU WKH V DQG 

H[WHQGV LW WR REWDLQ DGGLWLRQDO LQVLJKW LQ WKH UHODWLYH LPSRUWDQFH RI WKH VHFWRU DQG IDFWRU 

ELDV RI RXWVRXUFLQJ DQG 6%7& 5HVXOWV LQGLFDWH WKDW RXWVRXUFLQJ KDV VLJQLILFDQWO\ 

FRQWULEXWHG WR WKH ULVH LQ WKH ZDJH LQHTXDOLW\ DFFRXQWLQJ IRU RI WKH LQFUHDVH LQ WKH 8. 

)DFWRU ELDVHG RXWVRXUFLQJ ZDV DERXW WLPHV DV LPSRUWDQW DV VHFWRU ELDVHG RXWVRXUFLQJ 

LQ H[SODLQLQJ WKH LQFUHDVH LQ ZDJH LQHTXDOLW\ 

(&2120,& *(2*5$3+< , 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 6FKUDPP 

$XJ 

5RRP ) 

$UPDQGR 3LUHV *DUFLD 3LUHV 

,6(* 87/ )DFXOW\ RI (FRQRPLFV DQG %XVLQHVV $GPLQVLWUDWLRQ 7HFKQLFDO 8QLYHUVLW\ RI 

/LVERQ 

%5$,1 '5$,1 5 ' ,19(670(17 $1' ,17(51$7,21$/ /2&$7,21 

,1 2/,*232/,67,& ,1'8675,(6 

.H\ZRUGV $JJORPHUDWLRQ (FRQRPLF *HRJUDSK\ +RPH 0DUNHW (IIHFWV 2OLJRSRO\ DQG 

5 DPS ' ,QYHVWPHQW 

-(/ &ODVVLILFDWLRQ ) / DQG 5 

:H VWXG\ WKH LQIOXHQFH RI 5 ' RQ ILUPV ORFDWLRQ GHFLVLRQV &RQWUDU\ WR 1HZ (FRQRPLF 

*HRJUDSK\ EDVHG RQ PRQRSROLVWLF FRPSHWLWLRQ PRGHOV ZH XVH D &RXUQRW 2OLJRSRO\ 

PRGHO ZKHUH ILUPV SHUIRUP 5 ' LQYHVWPHQW :H ILQG KRPH PDUNHW HIIHFWV LQ WKH OHYHO RI 

5 ' ILUPV ORFDWHG LQ WKH FRXQWU\ ZLWK PRUH VNLOOHG ODERU SHUIRUP PRUH 5 ' DFWLYLWLHV 

7KLV 5 ' LQYHVWPHQW OLQNDJH FDQ OHDG WR DJJORPHUDWLRQ DQG FXPXODWLYH FDXVDWLRQ HIIHFWV 

)LUPV ZDQW WR EH ZKHUH VNLOOHG ZRUNHUV DUH WR EHFRPH PRUH FRPSHWLWLYH ZKLOH VNLOOHG 

ZRUNHUV ZKHUH ILUPV DUH WR DWWDLQ KLJKHU ZHOIDUH DQG WR ZRUN LQ WKH FRXQWU\ WKDW JLYHV 

WKHP PRUH FKDQFH WR XVH WKHLU VNLOO 

%DUEDUD 'OXKRVFK 

8QLYHUVLW\ )$) +DPEXUJ 

,17(*5$7,21 )5$*0(17$7,21 $1' 7+( *(2*5$3+< 2)

:(/)$5( 

.H\ZRUGV HFRQRPLF LQWHJUDWLRQ LQGXVWULDO ORFDWLRQ LQWUD LQGXVWU\ WUDGH ODERU PDUNHWV 

WHFKQRORJ\ FKRLFH DQG ZHOIDUH HFRQRPLF DQDO\VLV 

-(/ &ODVVLILFDWLRQ ) ) 2 DQG 5 

7KH SDSHU H[DPLQHV ZHOIDUH HIIHFWV RI UHJLRQDO LQWHJUDWLRQ ZLWK HQGRJHQRXV SURGXFWLRQ 

WHFKQLTXH LQ D PRQRSROLVWLF FRPSHWLWLRQ IUDPHZRUN ,Q DGGLWLRQ WR H[SODLQLQJ LQGXVWU\ 

ORFDWLRQ WUDGH SDWWHUQV DQG DFFRPSDQ\LQJ HIIHFWV RQ UHJLRQDO ZHOIDUH LW KLJKOLJKWV WKH 

FRVWV RI VXSHUYLVLQJ D IUDJPHQWHG SURGXFWLRQ ZKLFK FKDQJH HQGRJHQRXVO\ ZKHQ 

HFRQRPLHV RSHQ XS WR WUDGH $V IUDJPHQWDWLRQ LV FRQVLGHUHG D VNLOO LQWHQVLYH DFWLYLW\ 

IDFWRU SURSRUWLRQV UDWKHU WKDQ VL]H SURYH FHQWUDO IRU WKH GLVWULEXWLRQ RI WKH JDLQV IURP 

LQWHJUDWLRQ

(&2120,&6 2) ('8&$7,21 ,,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 /LQGDKO 

,DQ :DONHU 

8QLYHUVLW\ RI :DUZLFN 

&R $XWKRUV 9 +RJDQ 

$XJ 

5RRP % 

('8&$7,21 &+2,&( 81'(5 81&(57$,17< $1' 38%/,& 32/,&< 

.H\ZRUGV '\QDPLF 2SWLPL]DWLRQ DQG (GXFDWLRQ &KRLFH 

-(/ &ODVVLILFDWLRQ & ' DQG - 

:H DQDO\VH KRZ SURJUHVVLYH WD[DWLRQ DQG HGXFDWLRQ VXEVLGLHV DIIHFWV VFKRROLQJ GHFLVLRQV 

ZKHQ WKH UHWXUQV WR HGXFDWLRQ DUH VWRFKDVWLF :H XVH WKH WKHRU\ RI UHDO RSWLRQV WR VROYH 

WKH SUREOHP RI HGXFDWLRQ FKRLFH LQ D G\QDPLF OLIHF\FOH FRQVLVWHQW VWRFKDVWLF PRGHO :H 

VKRZ WKDW HGXFDWLRQ DWWDLQPHQW ZLOO EH DQ LQFUHDVLQJ IXQFWLRQ RI WKH ULVN 

DVVRFLDWHG ZLWK HGXFDWLRQ )XUWKHUPRUH WKLV UHVXOW KROGV ZKHWKHU RU QRW DJHQWV FDQ 

ERUURZ LQ RUGHU WR SD\ IRU HGXFDWLRQ DQG UHJDUGOHVV RI WKH GHJUHH RI ULVN DYHUVLRQ :H DOVR 

H[DPLQH WKH OLQN EHWZHHQ FRQVXPSWLRQ RYHU WKH OLIH F\FOH DQG HGXFDWLRQ FKRLFH WR VKRZ 

WKDW KLJKHU LQLWLDO ZHDOWK ZLOO XVXDOO\ EXW QRW DOZD\V KDYH D SRVLWLYH HIIHFW RQ HGXFWLRQ 

DWWDLQPHQW )LQDOO\ ZH VKRZ WKDW SURJUHVVLYH WD[HV ZLOO WHQG WR UHGXFH HGXFDWLRQ 

DWWDLQPHQW IRU WKH SRRU EXW LQFUHDVH LW IRU WKH ULFK 

$QQDOLVD /XSRULQL 

8QLYHUVLW\ RI )ORUHQFH 

&R $XWKRUV $ &LJQR 

6&+2/$56+,36 25 678'(17 /2$16 68%6,',=,1* +,*+(5 

('8&$7,21 ,1 7+( 35(6(1&( 2) 025$/ +$=$5' 

.H\ZRUGV JUDGXDWH WD[ PRUDO KD]DUG SULQFLSDO DJHQW VFKRODUVKLSV DQG VWXGHQW ORDQV 

-(/ &ODVVLILFDWLRQ DQG ' 

6WXGHQW ORDQV HYHQ LQFRPH FRQWLQJHQW RQHV DUH QRW RSWLPDO 3RWHQWLDO XQLYHUVLW\ VWXGHQWV 

ZLWK WKH DSSURSULDWH FKDUDFWHULVWLFV VKRXOG EH RIIHUHG D VFKRODUVKLS GHSHQGHQW RQ ERWK 

QHHG DQG PHULW 7KH DZDUG RI WKH VFKRODUVKLS VKRXOG EH FRQGLWLRQDO RQ WKH FKRLFH RI 

XQLYHUVLW\ GHJUHH EXW VWXGHQWV ZLWK D QDWXUDO DSWLWXGH IRU VWXGLHV WKDW GR QRW KROG WKH 

SURVSHFW RI D ZHOO SDLG MRE VKRXOG QRW EH SXVKHG WRZDUGV SRWHQWLDOO\ PRUH OXFUDWLYH RQHV 

7KH VFKHPH VKRXOG EH ILQDQFHG E\ D JUDGXDWH WD[ WKDW UH GLVWULEXWHV IURP WKH EHWWHU SDLG 

WR WKH DFDGHPLFDOO\ PRUH VXFFHVVIXO

3DQX 3RXWYDDUD 

&HQWUH IRU (FRQRPLF DQG %XVLQHVV 5HVHDUFK 

('8&$7,1* (8523( 

.H\ZRUGV (XURSHDQ 8QLRQ JUDGXDWH WD[HV LQFRPH FRQWLQJHQW ORDQV LQGLYLGXDO DFFRXQWV 

DQG PLJUDWLRQ 

-(/ &ODVVLILFDWLRQ ) + + DQG , 

7KH PRELOLW\ RI ODERU UHGXFHV QDWLRQDO LQFHQWLYHV WR LQYHVW LQ LQWHUQDWLRQDOO\ DSSOLFDEOH 

HGXFDWLRQ 6XFK HIIHFWV PD\ EH HVSHFLDOO\ VHYHUH IRU WKH SURVSHFWLYH QHZ PHPEHU VWDWHV 

RI WKH (XURSHDQ 8QLRQ 7KH (XURSHDQ 8QLRQ FRXOG RYHUFRPH WKLV E\ DOORZLQJ FRXQWULHV WR 

LQVWLWXWH JUDGXDWH WD[HV RU LQFRPH FRQWLQJHQW ORDQV FROOHFWHG DOVR IURP PLJUDQWV 7KLV 

SDSHU SUHVHQWV FDOFXODWLRQV RQ KRZ VXFK D V\VWHP FRXOG ORRN OLNH IRU )LQODQG DV ZHOO DV 

GLVFXVVHV LWV LPSOHPHQWDWLRQ 6XFK FRQWUDFWV FRXOG EH YROXQWDU\ HGXFDWLRQ ILQDQFHG 

SXEOLFO\ RQO\ IRU WKRVH DFFHSWLQJ DOVR WR VKDUH WKH UHWXUQV :LWK (8 HQODUJHPHQW VXFK 

UHIRUPV FRXOG JHQHUDWH D WULSOH GLYLGHQG 

0LNDHO /LQGDKO 

'HSDUWPHQW RI (FRQRPLFV 8QLYHUVLW\ RI $PVWHUGDP 

&R $XWKRUV ( /HXYHQ + 2RVWHUEHHN DQG ' :HEELQN 

7+( ())(&7 2) (;75$ 6&+22/,1* 21 ($5/< 7(67 6&25(6 

.H\ZRUGV FKLOGUHQ VFKRRO VWDUW WHVW VFRUHV DQG WLPH LQ VFKRRO 

-(/ &ODVVLILFDWLRQ , , DQG , 

,Q WKH 1HWKHUODQGV FKLOGUHQ DUH DOORZHG WR VWDUW VFKRRO DW WKHLU IRXUWK ELUWKGD\ PDNLQJ 

SRWHQWLDO WLPH LQ VFKRRO YDU\ DPRQJ FKLOGUHQ ZKHQ SXSLOV DUH VNLOO WHVWHG LQ VHFRQG JUDGH 

:H VKRZ WKDW SRWHQWLDO WLPH LQ VFKRRO LV D GLVFRQWLQXRXV IXQFWLRQ RI ZKHQ WKH FKLOG KDV LWV 

IRXUWK ELUWKGD\ :H FDQ WKHUHIRUH XVLQJ SRWHQWLDO WLPH DV DQ LQVWUXPHQW IRU DFWXDO WLPH LQ 

VFKRRO FRQWUROOLQJ IRU DJH %RWK 2/6 DQG 6/6 HVWLPDWHV VKRZ SRVLWLYH HIIHFWV WKH ODWWHU 

JLYLQJ WKDW RQH DGGLWLRQDO PRQWK LQ VFKRRO LQFUHDVHV WHVW VFRUHV E\ VWDQGDUG 

GHYLDWLRQV IRU WKH DYHUDJH SXSLO ZLWK ODUJHU HIIHFWV IRU LPPLJUDQWV DQG ER\V 

38%/,& (&2120,&6 ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 5 :HQGQHU 

0DUYLQ .UDXV 

%RVWRQ &ROOHJH 

$ 1(: /22. $7 7+( 7:2 02'( 352%/(0 

.H\ZRUGV FRQJHVWLRQ SULFLQJ DQG PDVV WUDQVLW 

-(/ &ODVVLILFDWLRQ + / 5 DQG 5 

$XJ 

5RRP % 

2QH RI WKH PRVW LPSRUWDQW VHFRQG EHVW SUREOHPV LQ XUEDQ WUDQVSRUWDWLRQ LV WKH VR FDOOHG

WZR PRGH SUREOHP ,I WKHUH LV QR SULFLQJ RI WKH FRQJHVWLRQ H[WHUQDOLWLHV LPSRVHG E\ DXWR 

XVHUV ZKDW FDQ EH VDLG DERXW VHFRQG EHVW SROLF\ ZLWK UHJDUG WR KLJKZD\ FDSDFLW\ DV ZHOO 

DV WKH OHYHO RI VHUYLFH DQG IDUH IRU D VXEVWLWXWH PDVV WUDQVLW PRGH" :RUN RQ WKLV SUREOHP 

WR GDWH KDV QRW \HW SURGXFHG DQ\ DQDO\WLFDO UHVXOWV FRPSDULQJ WKH ILUVW DQG VHFRQG EHVW 

OHYHOV RI WUDQVLW VHUYLFH ,Q WKLV SDSHU D PRGHO RI WUDQVLW EDVHG RQ .UDXV

5RQDOG :HQGQHU 

*UD] 8QLYHUVLW\ 'HSW RI (FRQRPLFV 

.((3,1* 83 :,7+ 7+( -21(6(6 7+( (19,5210(17 $1' 

237,0$/ 7$;(6 

.H\ZRUGV &RQVXPSWLRQ WD[ (QYLURQPHQWDO H[WHUQDOLW\ 2SWLPDO WD[ SURJUDP DQG 6WDWXV 

H[WHUQDOLW\ 

-(/ &ODVVLILFDWLRQ ' ' + DQG 4 

7KLV SDSHU VWXGLHV WKH GHVLJQV RI RSWLPDO WD[ SURJUDPV 

LQ 2/* HFRQRPLHV ZKHQ ILUVW FRQVXPSWLRQ RI RQH KRXVHKROG ORZHUV 

VWDWXV XWLOLW\ RI RWKHUV DQG VHFRQG FRQVXPSWLRQ KDUPV 

WKH HQYLURQPHQW 6WDWXV VHHNLQJ UDLVHV RSWLPDO 

FRQVXPSWLRQ WD[ UDWHV DQG ORZHUV RSWLPDO WD[ UDWHV RQ FDSLWDO LQFRPH 

%$1.,1* ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ / ' $PDWR 

,VDEHO 6FKQDEHO 

'HSDUWPHQW RI (FRQRPLFV 8QLYHUVLW\ RI 0DQQKHLP 

7+( *5($7 %$1.6 '(35(66,21 '(326,7 :,7+'5$:$/6 ,1 

7+( *(50$1 &5,6,6 2) 

.H\ZRUGV %DQN IDLOXUHV 'HSRVLW ZLWKGUDZDOV *UHDW 'HSUHVVLRQ DQG 7RR ELJ WR IDLO 

-(/ &ODVVLILFDWLRQ & ( DQG * 

$XJ 

5RRP ' 

8VLQJ PRQWKO\ EDODQFH VKHHW GDWD RI *HUPDQ FUHGLW EDQNV ZH DQDO\]H GHSRVLW 

ZLWKGUDZDOV DQG EDQN IDLOXUHV LQ WKH *HUPDQ EDQNLQJ DQG FXUUHQF\ FULVLV RI :H 

VKRZ WKDW GHSRVLW ZLWKGUDZDOV ZHUH UHODWHG WR EDQNV OLTXLGLW\ DQG VROYHQF\ DQG ZHUH 

KHQFH QRW VLPSO\ WKH FRQVHTXHQFH RI D UXQ RQ WKH *HUPDQ FXUUHQF\ :H ILQG RQO\ ZHDN 

HYLGHQFH WKDW EUDQFK EDQNV ZHUH PRUH VWDEOH WKDQ XQLW EDQNV )LQDOO\ ZH VKRZ WKDW ODUJHU 

EDQNV KDG D ORZHU IDLOXUH SUREDELOLW\ ZHUH PRUH OLNHO\ WR EH EDLOHG RXW DQG ZHUH JUDQWHG 

SUHIHUHQWLDO DFFHVV WR WKH GLVFRXQW ZLQGRZ :H LQWHUSUHW WKLV DV HYLGHQFH IRU D WRR ELJ WR 

IDLO SKHQRPHQRQ 

6LPRQH 9DURWWR 

,60$ &HQWUH 8QLYHUVLW\ RI 5HDGLQJ 

&R $XWKRUV $ 'DULSD DQG 6 9DURWWR 

(; $17( 9(5686 (; 3267 5(*8/$7,21 2) 0$5.(7 5,6. 

.H\ZRUGV ([ $QWH 5HJXODWLRQ ([ 3RVW 5HJXODWLRQ 0DUNHW 5LVN 3UH FRPPLWPHQW 

$SSURDFK DQG 9DOXH DW 5LVN

-(/ &ODVVLILFDWLRQ ' * DQG / 

:H FRPSDUH UHJXODWLRQ WKURXJK H[ DQWH FRQVWUDLQWV ZLWK WKH LQFHQWLYH GHVLJQ 

DSSURDFK ZKLFK FRQGLWLRQV RQ H[ SRVW REVHUYDEOHV WR UHJXODWLQJ PDUNHW ULVN H[SRVXUH RI 

EDQNV :H FRQVLGHU D PRGHO ZLWK LQIRUPDWLRQ DV\PPHWULHV ZLWK UHVSHFW WR ERWK EDQN W\SH 

DQG EDQN LQIRUPDWLRQ RQ ULVN :H VKRZ WKDW D WUDGH RII EHWZHHQ VDIHW\ DQG RYHUSURWHFWLRQ 

DULVHV LQ ERWK UHJXODWRU\ UHJLPHV DOWKRXJK IRU YHU\ GLIIHUHQW UHDVRQV ,PSRVLQJ H[ DQWH 

FRQVWUDLQWV LPSOLHV D IDLOXUH WR LQFRUSRUDWH WKH VXSHULRU LQIRUPDWLRQ RI EDQNV $Q LQFHQWLYH 

GHVLJQ UHJLPH LQFRUSRUDWHV WKH ODWWHU EXW LV PRUH VHQVLWLYH WR DJHQF\ SUREOHPV 7KH 

QDWXUH RI LQIRUPDWLRQ DV\PPHWULHV 

LV FUXFLDO LQ GHWHUPLQLQJ RSWLPDO UHJXODWLRQ 

3DROR (PLOLR 0LVWUXOOL 

%DQFD G ,WDOLD 

&R $XWKRUV / *DPEDFRUWD 

%$1. &$3,7$/ $1' /(1',1* %(+$9,25 (03,5,&$/ (9,'(1&( 

)25 ,7$/< 

.H\ZRUGV EDQN FDSLWDO FKDQQHO EDQN OHQGLQJ FKDQQHO %DVOH VWDQGDUGV DQG PRQHWDU\ 

WUDQVPLVVLRQ PHFKDQLVPV 


7KLV SDSHU LQYHVWLJDWHV WKH H[LVWHQFH RI FURVV VHFWLRQDO GLIIHUHQFHV LQ WKH UHVSRQVH RI 

OHQGLQJ WR PRQHWDU\ SROLF\ DQG *'3 VKRFNV GXH WR EDQN FDSLWDOL]DWLRQ 7KH PDLQ QRYHOWLHV 

DUH WZR )LUVW LW FRQVLGHUV D PHDVXUH RI FDSLWDOL]DWLRQ WKH H[FHVV FDSLWDO WKDW LV EHWWHU 

DEOH WR FDSWXUH WKH ULVNLQHVV RI EDQNV SRUWIROLR WKDQ WKH ZHOO NQRZQ FDSLWDO WR DVVHW UDWLR 

6HFRQG LW GLVHQWDQJOHV WKH HIIHFWV RI VKRFNV IRU PRQHWDU\ VKRFNV ZH VHSDUDWH WKH HIIHFWV 

RI WKH ³EDQN OHQGLQJ FKDQQHO´ IURP WKRVH RI WKH ³EDQN FDSLWDO FKDQQHO´ IRU *'3 VKRFNV LW 

SURYLGHV DQ H[SODQDWLRQ EDVHG RQ WKH OLQN EHWZHHQ EDQN FDSLWDO DQG ULVN DYHUVLRQ 

/DXUD ' $PDWR 

&HQWUDO %DQN RI $UJHQWLQD DQG 81/3 

&R $XWKRUV 7 %XUGLVVR 

³7+( $5*(17,1( %$1.,1* $1' (;&+$1*( 5$7( &5,6,6 2) 

&$1 :( /($51 620(7+,1* 1(: $%287 ),1$1&,$/ &5,6(6"´ 

.H\ZRUGV %DQNLQJ DQG &XUUHQF\ FULVLV DQG G\QDPLF SDQHO GDWD 


,Q -DQXDU\ $UJHQWLQD DEDQGRQHG WKH ³&RQYHUWLELOLGDG´ PRYLQJ WR D IORDWLQJ 

H[FKDQJH UHJLPH LQ WKH PLGGOH RI D ILQDQFLDO FULVLV 7KH FULVLV UHYHDOHG WZR KLGGHQ 

VROYHQF\ ULVNV KLJKO\ GROODUL]HG EDQNV EDODQFH VKHHWV DQG WKH H[SRVXUH RI EDQNV WR 

VRYHUHLJQ ULVN 

:H DSSO\ WKH $UHOODQR %RQG HVWLPDWRU DQG */6 WR GDLO\ FKDQJHV RI LQGLYLGXDO EDQNV 

GHSRVLWV :H ZDQW WR GHWHUPLQH LI WKLV HYHQW ZDV WKH FRQVHTXHQFH RI D FKDQJH LQ 

HFRQRPLF DJHQWV SHUFHSWLRQ DERXW WKH WUHQG RI WKH $UJHQWLQH HFRQRP\ 7KH HPSLULFDO

UHVXOWV LQGLFDWH WKDW PDFUR IXQGDPHQWDOV SOD\HG DQ LPSRUWDQW UROO LQ H[SODLQLQJ WKH 

EHKDYLRU RI GHSRVLWV GXULQJ WKH FULVLV 

(6(0 35(6,'(17,$/ $''5(66 


&KDLUSHUVRQ 6 %DUEHUj 

(ULF 0DVNLQ 

,QVWLWXWH IRU $GYDQFHG 6WXG\ DQG 3ULQFHWRQ 8QLYHUVLW\ 

%$5*$,1,1* &2$/,7,216 $1' (;7(51$/,7,(6 




$XJ 

, GHYHORS D WKHRU\ RI EDUJDLQLQJ DQG FRDOLWLRQ IRUPDWLRQ LQ PXOWLSOD\HU JDPHV ZLWK 

H[WHUQDOLWLHV 7KH SURSRVHG VROXWLRQ FRQFHSW ZKLFK LV MXVWLILHG D[LRPDWLFDOO\ EXW KDV D 

QRQFRRSHUDWLYH LPSOHPHQWDWLRQ FDQ EH WKRXJKW RI DV D JHQHUDOL]DWLRQ RI WKH 6KDSOH\ 

YDOXH WR VLWXDWLRQV LQ ZKLFK WKH JUDQG FRDOLWLRQ FDQQRW EH H[SHFWHG WR IRUP 

(6(0 35(6,'(17,$/ $''5(66 


&KDLUSHUVRQ 6 %DUEHUj 

(ULF 0DVNLQ 

,QVWLWXWH IRU $GYDQFHG 6WXG\ DQG 3ULQFHWRQ 8QLYHUVLW\ 

%$5*$,1,1* &2$/,7,216 $1' (;7(51$/,7,(6 




$XJ 

, GHYHORS D WKHRU\ RI EDUJDLQLQJ DQG FRDOLWLRQ IRUPDWLRQ LQ PXOWLSOD\HU JDPHV ZLWK 

H[WHUQDOLWLHV 7KH SURSRVHG VROXWLRQ FRQFHSW ZKLFK LV MXVWLILHG D[LRPDWLFDOO\ EXW KDV D 

QRQFRRSHUDWLYH LPSOHPHQWDWLRQ FDQ EH WKRXJKW RI DV D JHQHUDOL]DWLRQ RI WKH 6KDSOH\ 

YDOXH WR VLWXDWLRQV LQ ZKLFK WKH JUDQG FRDOLWLRQ FDQQRW EH H[SHFWHG WR IRUP 

)5,'$< 1' $8*867 

,19,7(' 6(66,21 ,1 7+(25(7,&$/ $1' 

$33/,(' (&2120,&6 ,, 

$XJ 

5RRP &

$33/,(' (&2120,&6 ,, 


&KDLUSHUVRQ 

'DYLG 0DUWLPRUW 

,QVWLWXW G (FRQRPLH ,QGXVWULHOOH ,'(, 

7+( 25*$1,=$7,21 2) '(/(*$7(' (;3(57,6( 



7KLV SDSHU SURSRVHV D WKHRU\ RI WKH RSWLPDO RUJDQL]DWLRQ RI H[SHUWLVH :H 

GHYHORS D ?WH[WLW^3ULQFLSOH RI ,QFHQWLYHV IRU ([SHUWLVH` DQ H[SHUW LV 

UHZDUGHG LI KLV UHFRPPHQGDWLRQ LV FRQILUPHG HLWKHU E\ WKH IDFWV RU E\ RWKHU 

H[SHUWV UHFRPPHQGDWLRQV %XLOGLQJ RQ WKLV 3ULQFLSOH ZH VKRZ WKDW DJHQF\ 

FRVWV RI GHOHJDWHG H[SHUWLVH H[KLELW GLVHFRQRPLHV RI VFDOH 3RVVLEOH 

RUJDQL]DWLRQDO UHVSRQVHV WR WKLV SUREOHP LQFOXGH EDVLQJ GHFLVLRQV RQ D OHVV 

WKDQ RSWLPDO DPRXQW RI LQIRUPDWLRQ DQG UHO\LQJ RQ PXOWLSOH H[SHUWV 

,19,7(' 6(66,21 ,1 (&2120(75,&6 $1' 

(03,5,&$/ (&2120,&6 ,, 


&KDLUSHUVRQ 0 %URZQLQJ 

*XLGR ,PEHQV 

8& %HUNHOH\ 

$XJ 

6(0,3$5$0(75,& (67,0$7,21 2) $9(5$*( 75($70(17 

())(&76 81'(5 (;2*(1(,7< $668037,216 



5RRP ( 

5HFHQWO\ WKHUH KDV EHHQ D VXUJH LQ HFRQRPHWULF ZRUN IRFXVLQJ RQ HVWLPDWLQJ DYHUDJH 

WUHDWPHQW HIIHFWV XQGHU YDULRXV VHWV RI DVVXPSWLRQV 2QH VWUDQG RI WKLV OLWHUDWXUH KDV 

GHYHORSHG PHWKRGV IRU HVWLPDWLQJ DYHUDJH WUHDWPHQW 

HIIHFWV IRU D ELQDU\ WUHDWPHQW XQGHU DVVXPSWLRQV RI H[RJHQHLW\ RU XQFRQIRXQGHGQHVV DOVR 

NQRZQ DV VHOHFWLRQ RQ REVHUYDEOHV 7KLV DVVXPSWLRQ UHTXLUHV WKDW JLYHQ D VHW RI 

FRYDULDWHV V\VWHPDWLF GLIIHUHQFHV LQ RXWFRPHV EHWZHHQ WUHDWHG XQLWV DQG FRQWURO XQLWV ZLWK 

WKH VDPH YDOXHV IRU WKHVH FRYDULDWHV DUH DWWULEXWDEOH WR WKH WUHDWPHQW 7KH UHFHQW 

HFRQRPHWULF OLWHUDWXUH KDV FRQVLGHUHG HVWLPDWLRQ DQG LQIHUHQFH XQGHU ZHDNHU 

DVVXPSWLRQV WKDQ W\SLFDOO\ FRQVLGHUHG LQ WKH HDUOLHU OLWHUDWXUH LQ SDUWLFXODUO\ E\ DYRLGLQJ 

GLVWULEXWLRQDO DQG IXQFWLRQDO IRUP DVVXPSWLRQV 

DQG KDV HVWDEOLVKHG HIILFLHQF\ ERXQGV 9DULRXV DSSURDFKHV WR 

VHPLSDUDPHWULF HVWLPDWLRQ KDYH EHHQ SURSRVHG LQFOXGLQJ HVWLPDWLQJ WKH XQNQRZQ 

UHJUHVVLRQ IXQFWLRQV PDWFKLQJ PHWKRGV XVLQJ WKH SURSHQVLW\ VFRUH LQFOXGLQJ ZHLJKWLQJ 

DQG EORFNLQJ DQG FRPELQDWLRQV RI WKHVH DSSURDFKHV 

,Q WKLV SDSHU , ZLOO UHYLHZ WKH VWDWH RI WKLV OLWHUDWXUH DQG GLVFXVV VRPH RI WKH XQDQVZHUHG

TXHVWLRQV IRFXVLQJ LQ SDUWLFXODU RQ WKH SUDFWLFDO LPSOHPHQWDWLRQ RI WKHVH PHWKRGV WKH 

SODXVLELOLW\ RI WKLV H[RJHQHLW\ DVVXPSWLRQ LQ HFRQRPLF DSSOLFDWLRQV WKH UHODWLYH 

SHUIRUPDQFH RI WKH 

YDULRXV VHPLSDUDPHWULF HVWLPDWRUV ZKHQ WKH NH\ DVVXPSWLRQV 

XQFRQIRXQGHGQHVV DQG RYHUODS DUH VDWLVILHG DOWHUQDWLYH HVWLPDQGV VXFK DV TXDQWLOH 

WUHDWPHQW HIIHFWV DQG DOWHUQDWLYH PHWKRGV VXFK DV %D\HVLDQ LQIHUHQFH 

%(+$9,285$/ (&2120,&6 

&DWHJRU\ (($ 

&KDLUSHUVRQ ( )HKU 

*HRUJ *HEKDUGW 


,1(48,7< $9(56,21 $1' $66(7 35,&(6 


$XJ 



6WHLQDU +ROGHQ 


)$,51(66 $1' ,1)/$7,21 3(56,67(1&( 




(UQVW )HKU 


&R $XWKRUV / *RHWWH DQG ' +XIIPDQ 

/266 $9(56,21 $1' /$%285 6833/< 




5RRP $

7(&+12/2*< 6+2&.6 $1' (&2120,& 

)/8&78$7,216 :+(5( '2 

0$&52(&2120,676 67$1'" 

&DWHJRU\ (($ 

&KDLUSHUVRQ - *DOt 

+DUDOG 8KOLJ 

+XPEROGW 8QLYHUVLW\ 

'2 352'8&7,9,7< 6+2&.6 /($' 72 $ '(&/,1( ,1 /$%25" 


$XJ 



-RUGL *DOt 

&5(, DQG 83) 

21 7+( 52/( 2) 7(&+12/2*< $6 $ 6285&( 2) %86,1(66 

&

7LP %HVOH\ 


&R $XWKRUV 6 &RDWH 

+(7(52*(1(,7< $1' &20081,7< '(&,6,21 0$.,1* 




$VLP ,MD] .KZDMD 


)520 .22/6 72 6&+22/6 $ 127( 21 81'(567$1',1* $1' 

+$51(66,1* $ &20081,7< 6 &2//(&7,9( 327(17,$/ 




.DLYDQ 0XQVKL 

8QLYHUVLW\ RI 3HQQV\OYDQLD 

&R $XWKRUV 1 /XNH DQG 0 5RVHQ]ZHLJ 

,1',9,'8$/ '(&,6,216 $1' 287&20(6 ,1 $ 1(7:25. %$6(' 

(&2120< 




0$&52(&2120,& $63(&76 2) 7+( 

/$%285 0$5.(7 

&DWHJRU\ (($ 

&KDLUSHUVRQ 5 6KLPHU 

5LFKDUG 5RJHUVRQ 

$UL]RQD 6WDWH 8QLYHUVLW\ 

$XJ 

5RRP '

7+( (8523($1 81(03/2

8QLYHUVLW\ RI %RQQ ',: DQG ,=$ 

0,*5$7,21 




237,0$/ 32/,&< 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

/DXUHQFH -DFTXHW 

,5(6 8&/ %HOJLXP 

$XJ 

5RRP 3 

&$1 237,0$/ ,1&20( 7$; 7+(25< %( 86(' 72 -867,)< %$6,& 

,1&20(" 

.H\ZRUGV EDVLF LQFRPH DQG RSWLPDO LQFRPH WD[DWLRQ 


,I WKHUH LV DQ\ SDUW RI HFRQRPLF WKHRU\ WKDW LV GLUHFWO\ UHOHYDQW WR EDVLF LQFRPH LW LV WKH VR 

FDOOHG RSWLPDO LQFRPH WD[ WKHRU\ D IRUPDO DSSURDFK GHYHORSHG IURP WKH V RQZDUGV 

E\ -DPHV 0LUUOHHV DQG RWKHUV )RU DQ\ VHW RI DVVXPSWLRQV DQ RSWLPDO WD[ DQDO\VW FDQ 

GHULYH WKH ZHOIDUH PD[LPLVLQJ WD[ V\VWHP LQ WKH IRUP RI D PDUJLQDO WD[ UDWH VFKHGXOH DQG 

D FDVK JUDQW 7KH SDSHU VKRZV WKDW WKLV FDVK JUDQW FRPPRQO\ FDOOHG EDVLF LQFRPH LQ WKLV 

OLWHUDWXUH FDQ RQO\ EH GHILQHG OLNH WKDW LQ D VHFRQG EHVW HFRQRP\ ZLWK SDUWLFXODU 

DVVXPSWLRQV DQG VRPH UHVWULFWLRQ RQ WKH FRPSUHKHQVLYH %, GHILQLWLRQ 

%M¡UQ 6DQGYLN 

8QLYHUVLW\ RI %HUJHQ 

237,0$/ 7$;$7,21 $1' 1250$/,6$7,216 

.H\ZRUGV 0DUJLQDO FRVW RI SXEOLF IXQGV 1RUPDOLVDWLRQ DQG 2SWLPDO WD[DWLRQ 


7KHUH VWLOO VHHPV WR EH VRPH FRQIXVLRQ DERXW WKH FRQVHTXHQFHV RI QRUPDOLVDWLRQV LQ WKH 

RSWLPDO WD[DWLRQ OLWWHUDWXUH :H FODLP WKDW 

1RUPDOLVDWLRQV GR QRW PDWWHU IRU WKH UHDO VROXWLRQ RI RSWLPDO WD[DWLRQ SUREOHP 

1RUPDOLVDWLRQV GR PDWWHU IRU JRRG FKDUDFWHULVDWLRQV RI WKH VROXWLRQV WR RSWLPDO WD[DWLRQ 

SUREOHPV 

:KHUHDV WKH ILUVW SRLQW LV XQFRQWURYHUVLDO WKH VHFRQG RQH LV OHVV ZHOO XQGHUVWRRG 

%\ SRVWSRQLQJ WKH QRUPDOLVDWLRQ RI FRQVXPHU SULFHV ZH GHWDLO KRZ WKH QRUPDOLVDWLRQ RI 

FRQVXPHU SULFHV DIIHFW WKH FKDUDFWHULVDWLRQ RI RSWLPDO FRPPRGLW\ WD[HV DQG GHULYH WKH 

SUHIHUUHG FKDUDFWHULVDWLRQ DQG VKRZ KRZ LW GHSHQGV RQ WKH QRUPDOLVDWLRQ 2Q WKH ZD\ ZH 

GLVFXVV WKH HIIHFW RI QRUPDOLVDWLRQV RQ PHDVXUHV RI WKH PDUJLQDO HIILFLHQF\ ORVV RI

WD[DWLRQ 

$OIRQVR 5RVROLD 

%DQN RI ,WDO\ 

62&,$/ ,17(5$&7,216 ,1 6&+22/,1* 

.H\ZRUGV SHHU HIIHFWV VFKRROLQJ DQG VRFLDO LQWHUDFWLRQV 

-(/ &ODVVLILFDWLRQ & & DQG , 

:H H[SORLW WKH HDUWKTXDNH LQ VRXWKHUQ ,WDO\ DQG WKH VXEVHTXHQW 

UHOLHI IURP PDQGDWRU\ PLOLWDU\ VHUYLFH JUDQWHG WR DOO PDOHV LQ WKH 

UHJLRQV KLW E\ WKH VHLVP WR HVWLPDWH WKH VWUHQJWK RI HQGRJHQRXV VRFLDO 

LQWHUDFWLRQV LQ VFKRROLQJ DFKLHYHPHQWV 3UHOLPLQDU\ UHVXOWV 

SRLQW WR D VLJQLILFDQW DQG VWURQJ HIIHFW RI LQWHUDFWLRQV QRW PHGLDWHG 

E\ PDUNHWV 

$GULDDQ 6RHWHYHQW 


$121

JURXS 0RUHRYHU QRQ HQWLWOHG LQGLYLGXDOV DUH DIIHFWHG E\ WKLV SROLF\ YLD WKH JURXS V 

HQWLWOHPHQW 5HVXOWV LQGLFDWH WKDW WKHUH DUH VWURQJ LQGLUHFW HIIHFWV RQ WKH HQWLWOHG LQGLYLGXDOV 

DV ZHOO DV VWURQJ VSLOORYHUV RQ LQGLYLGXDOV ZKR DUH QRW HQWLWOHG 

+DUULV 6HORG 

,15$ DQG &5(67 

&R $XWKRUV < =HQRX 

'2(6 &,7< 6758&785( $))(&7 7+( /$%25 0$5.(7 287&20(6 

2) %/$&. :25.(56" 

.H\ZRUGV ODERU GLVFULPLQDWLRQ PXOWLSOH HTXLOLEULD UDFLDO SUHIHUHQFHV VRFLDO QHWZRUNV DQG 

VSDWLDO PLVPDWFK 


,Q WKLV SDSHU ORFDWLRQ FKRLFHV DUH GULYHQ E\ KRXVHKROGV ERWK EODFNV DQG ZKLWHV 

FRQVFLRXVO\ FKRRVLQJ WR WUDGH RII SUR[LPLW\ WR QHLJKERUV RI VLPLODU UDFLDO EDFNJURXQGV IRU 

SUR[LPLW\ WR MREV %HFDXVH RI FRRUGLQDWLRQ IDLOXUHV LQ WKH ORFDWLRQ FKRLFHV PXOWLSOH XUEDQ 

HTXLOLEULD HPHUJH 7KHUH LV D ³6SDWLDO 0LVPDWFK (TXLOLEULXP´ LQ ZKLFK EODFNV UHVLGH IDU 

DZD\ IURP MREV DQG H[SHULHQFH KLJK XQHPSOR\PHQW UDWHV DQG D ³6SDWLDO 0DWFKLQJ 

(TXLOLEULXP´ LQ ZKLFK EODFNV DUH FORVHU WR MREV DQG H[SHULHQFH ORZHU XQHPSOR\PHQW UDWHV 

8QGHU VRPH UHDVRQDEOH FRQGLWLRQ ZH GHPRQVWUDWH WKDW DOO ZRUNHUV DUH EHWWHU RII XQGHU 

WKH 6SDWLDO 0DWFKLQJ (TXLOLEULXP OHDYLQJ D UROH IRU SROLF\ LQWHUYHQWLRQ 

:$*( '(7(50,1$176 $1' '

OLWHUDWXUH 0RUHRYHU ZH ILQG QR HYLGHQFH IRU DQ\ GLVFHUQDEOH QHJDWLYH DYHUDJH ORQJ WHUP 

HDUQLQJV HIIHFWV RI 7+6 ZRUN ,I DQ\WKLQJ 7+6 ZRUN VHHPV WR KDYH DLGHG ZRUNHUV LQ 

SXWWLQJ WR D KDOW GHFOLQHV LQ WKHLU UHODWLYH HDUQLQJV REVHUYDEOH EHIRUH MRLQLQJ WKH 7+6 

PDUNHW 

)UDQFHVFR 'HYLFLHQWL 

/$%25DWRULR 5 5HYHOOL DQG ,6(5 8QLYHUVLW\ RI (VVH[ 

'2:1:$5' 120,1$/ :$*( 5,*,',7< ,1 ,7$/< (9,'(1&( $1' 

&216(48(1&(6 

.H\ZRUGV PHDVXUHPHQW HUURU QDWXUDO XQHPSOR\PHQW UDWH 1RPLQDO ZDJH ULJLGLW\ DQG 

SURSRUWLRQDO DQG WKUHVKROG ULJLGLW\ PRGHOV 

-(/ &ODVVLILFDWLRQ ( ( DQG - 

7KLV SDSHU XVHV DGPLQLVWUDWLYH ORQJLWXGLQDO PLFUR GDWD IURP WKH ,WDOLDQ 6RFLDO 6HFXULW\ 

,QVWLWXWH ,136 WR HVWLPDWH WKH H[WHQW RI GRZQZDUG QRPLQDO ZDJH ULJLGLW\ 7KH 

GHWHUPLQDQWV RI ZDJH FKDQJHV DUH H[SOLFLWO\ PRGHOOHG DV LV WKH PHDVXUHPHQW HUURU 

GHULYLQJ IURP WKH IDFW WKDW HDUQLQJV LQFOXVLYH RI EHQHILWV QRW KRXUO\ ZDJHV DUH DYDLODEOH LQ 

WKH GDWD (VWLPDWHV VKRZ WKDW WKH GHJUHH RI GRZQZDUG QRPLQDO ZDJH ULJLGLW\ LV 

PHGLXP KLJK ± EHWZHHQ DQG RI DOO QRWLRQDO ZDJH FXWV EHLQJ SUHYHQWHG E\ WKH 

H[LVWHQFH RI SURSRUWLRQDO ULJLGLW\ 7KH LPSOLFDWLRQV RI WKH HVWLPDWHG QRPLQDO ZDJH ULJLGLW\ 

IRU WKH UHDO VLGH RI WKH HFRQRP\ DUH DOVR H[SORUHG 

6XVDQQH 'DKOEHUJ 


5XWK $wGD 1DKXP 


&2+257 ())(&76 21 ($51,1*6 352),/(6 (9,'(1&( )520 

6:('(1 

.H\ZRUGV %DE\ %RRP &RKRUW 6L]H DQG (DUQLQJV 3URILOHV 


:H HVWLPDWH FRKRUW VL]H HIIHFWV DQG WKH HIIHFWV RI WKH LQGLYLGXDOV SRVLWLRQ LQ WKH %DE\ 

%RRP RQ HDUQLQJV SURILOHV 8VLQJ D ULFK LQGLYLGXDO EDVHG SDQHO GDWD VHW ZH IROORZ WKH 

6ZHGLVK %DE\ %RRPHUV RI WKH V DQG WKH %DE\ %XVW RI WKH V IURP WR 

2XU UHVXOWV VKRZ WKDW ODUJH FRKRUWV KDYH D KLJKHU RYHUDOO HDUQLQJV OHYHO WKDQ VPDOO 

FRKRUWV &RKRUWV ERUQ LQ DQ XSVZLQJ RI D ERRP KDYH D KLJKHU HDUQLQJV OHYHO WKDQ WKRVH LQ 

D GRZQVZLQJ 7KH HIIHFWV RQ WKH VORSH YDU\ DFURVV HGXFDWLRQ DQG H[SHULHQFH OHYHOV 

6DQGUD /HFKQHU 


&R $XWKRUV ) /DLVQH\ DQG $ 5R]DQ 

$ 02'(/,6$7,21 2) 7+( $1&+25,1* ())(&7 ,1 &/26(' (1'('

48(67,21 :,7+ )2//2: 83 

.H\ZRUGV DQFKRULQJ ELQDU\ FKRLFH &RQWLQJHQW YDOXDWLRQ DQG ZLOOLQJQHVV WR SD\ 

-(/ &ODVVLILFDWLRQ & & ' DQG 4 

7KLV SDSHU IRFXVHV RQ WKH PRGHOLVDWLRQ RI D VWDUWLQJ SRLQW ELDV LQ FORVHG HQGHG TXHVWLRQ 

ZLWK 

IROORZ XS $OWKRXJK WKH FRQWLQJHQW YDOXDWLRQ OLWHUDWXUH WRRN RII LQ WKH ODVW GHFDGH WKHUH LV 

RQO\ 

RQH VWXG\ PRGHOOLQJ WKH VWDUWLQJ SRLQW ELDV :H SURSRVH D QHZ PRGHOLVDWLRQ RI WKLV 

DQFKRULQJ HIIHFW 

EDVHG RQ WKH DVVXPSWLRQ WKDW WKH VWDUWLQJ SRLQW ELDV LV QRW RQO\ GXH WR WKH ILUVW ELG EXW 

LQGXFHG 

E\ DOO VXFFHVVLYH ELGV 0RUHRYHU ZH PRGHO WKH DQFKRULQJ HIIHFW LQ VXFK D ZD\ WKDW WKH ILUVW 

SURSRVHG ELG KDV GLUHFWO\ DQ LQIOXHQFH RQ WKH LQGLYLGXDO^ `V ZLOOLQJQHVV WR SD\ 0RQWH &DUOR 

UHVXOWV SURYH WKH VSHFLILFDWLRQ RI RXU PRGHO 

%RQKRPPH 6WpSKDQH 

&5(67 ,16(( 

&R $XWKRUV - 5RELQ 

02'(//,1* ,1',9,'8$/ ($51,1*6 75$-(&725,(6 :,7+ 

&238/$6 :,7+ $1 $33/,&$7,21 72 7+( 678'< 2) ($51,1*6 

,1(48$/,7< ,1 )5$1&( ,1 7+( 6 

.H\ZRUGV &RSXODV (DUQLQJV LQHTXDOLW\ (DUQLQJV PRELOLW\ DQG (DUQLQJV G\QDPLFV 

-(/ &ODVVLILFDWLRQ ' ' - DQG - 

,Q WKLV SDSHU ZH ILUVW VKRZ WKDW WKH VWDWLVWLFDO FRQFHSW RI FRSXOD LV SDUWLFXODUO\ ZHOO DGDSWHG 

WR PRGHOOLQJ LQGLYLGXDO HDUQLQJV WUDMHFWRULHV LQ D ZD\ WKDW LV FRQVLVWHQW ZLWK PRVW VWXGLHV RI 

UHODWLYH HDUQLQJV PRELOLW\ :H WKHQ LQWURGXFH D QHZ IOH[LEOH IDPLO\ RI FRSXOD GHQVLWLHV 

REWDLQHG E\ SLHFHZLVH FRPSRVLWLRQ RI PDQ\ FRSXOD GHQVLWLHV :H VKRZ KRZ WR HVWLPDWH D 

PL[WXUH RI WKHVH FRSXODV RQ D SDQHO RI HDUQLQJV GDWD :H WKHQ DSSO\ WKLV PHWKRGRORJ\ WR 

GHVFULEH WKH HYROXWLRQ RI HDUQLQJV LQHTXDOLW\ DQG PRELOLW\ LQ )UDQFH LQ WKH V 

(;&+$1*( 5$7(6 5($/ '(7(50,1$176 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

2UJDQL]HU 0 5DYQ 

0DUFHOR 0RXUD 

,EPHF %XVLQHVV 6FKRRO 

$XJ 

5RRP 3 

7+( ())(&76 2) *29(510(17 '(),&,7 21 (48,/,%5,80 5($/ 

(;&+$1*( 5$7(6 $1' 672&. 35,&(6 

.H\ZRUGV %XGJHW 'HILFLW 2SHQ &DVK LQ $GYDQFH (FRQRP\ DQG 7UXH 5HDO ([FKDQJH

5DWH 

-(/ &ODVVLILFDWLRQ ) ) + DQG + 

7KLV SDSHU VWXGLHV WKH HIIHFW RI JRYHUQPHQW GHILFLWV RQ HTXLOLEULXP UHDO H[FKDQJH UDWHV 

DQG VWRFN SULFHV 7KH WKHRUHWLFDO SDUW PRGLILHV D WZR FRXQWU\ FDVK LQ DGYDQFH PRGHO OLNH 

XVHG LQ /XFDV DQG 6DUJHQW LQ RUGHU WR DFFRPPRGDWH DQ H[FKDQJH UDWH 

PDUNHW DQG D JRYHUQPHQW WKDW SXUVXHV ILVFDO DQG PRQHWDU\ SROLF\ WDUJHWV 7KH LPSOLHG 

UHVXOW LV WKDW XQDQWLFLSDWHG VKRFNV LQ JRYHUQPHQW GHILFLWV UDLVH H[SHFWDWLRQV RI ERWK WD[HV 

DQG LQIODWLRQ DQG WKHUHIRUH DUH DVVRFLDWHG ZLWK UHDO H[FKDQJH UDWH GHYDOXDWLRQV DQG 

ORZHU VWRFN SULFHV 7KLV ILQGLQJ LV VWURQJO\ VXSSRUWHG E\ HPSLULFDO HYLGHQFH IRU D JURXS RI 

FRXQWULHV UHSUHVHQWLQJ RI ZRUOG SURGXFWLRQ 

3LHWUR &RYD 

(FRQRPLFV 'HSDUWPHQW *HRUJHWRZQ 8QLYHUVLW\ 

'(0$1' 6+2&.6 )$&725 029(0(176 $1' (48,/,%5,80 

5(/$7,9( 35,&(6 ,1 7+( (8523($1 &855(1&< $5($ 

.H\ZRUGV )DFWRU 0RYHPHQWV 0HDVXUHG 3URGXFWLYLW\ 5HODWLYH 3ULFHV DQG 6HFWRUDO 

([SHQGLWXUH 6KDUHV 


7KLV SDSHU GHYHORSV D WZR VHFWRU WZR FRXQWU\ PRQRSROLVWLF FRPSHWLWLRQ PRGHO IRU D 

FXUUHQF\ DUHD :LWKLQ WKLV IUDPHZRUN ZH VKRZ WKDW WKH VDPH UHODWLYH SURGXFWLYLW\ DQG SULFH 

WUHQGV VXJJHVWHG E\ WKH OLWHUDWXUH RQ WKH %DODVVD 6DPXHOVRQ HIIHFW FDQ EH JHQHUDWHG E\ 

VKLIWV LQ H[SHQGLWXUH VKDUHV WKDW OHDG WKH H[LVWLQJ FDSLWDO VWRFN LQ WKH FXUUHQF\ XQLRQ WR 

PRYH WRZDUGV WKRVH VHFWRUV H[SHULHQFLQJ D ULVH LQ UHODWLYH GHPDQG RU FDXVH FKDQJHV LQ D 

KLGGHQ IDFWRU )RFXVLQJ RQ UHJLRQDO DQG VHFWRUDO LQIODWLRQ GLIIHUHQWLDOV DFURVV PHPEHU 

FRXQWULHV RI WKH (XURSHDQ 0RQHWDU\ 8QLRQ ZH ILQG VXSSRUW IRU WKLV GHPDQG VLGH 

H[SODQDWLRQ 

&KULVWRSK 7KRHQLVVHQ 


&R $XWKRUV * %HQLJQR 

7+( &2168037,21 5($/ (;&+$1*( 5$7( $120$/< 

.H\ZRUGV FRQVXPSWLRQ UHDO H[FKDQJH UDWH DQRPDO\ LQFRPSOHWH DVVHW PDUNHWV DQG QHW 

IRUHLJQ DVVHW SRVLWLRQV 


7KLV SDSHU DGGUHVVHV WKH %DFNXV 6PLWK SX]]OH UHJDUGLQJ WKH DEVHQFH RI D OLQN LQ WKH 

FURVV FRUUHODWLRQ EHWZHHQ UHODWLYH FRQVXPSWLRQ DQG UHDO H[FKDQJH UDWHV LQ D VLPSOH 

G\QDPLF JHQHUDO HTXLOLEULXP RSHQ HFRQRP\ PRGHO )ROORZLQJ %DFNXV DQG 6PLWK 

ZH VKRZ WKDW D YHU\ VLPSOH IRUP RI PDUNHW LQFRPSOHWHQHVV FRPELQHG ZLWK ZHDOWK HIIHFWV LV 

VXIILFLHQW LQ JHQHUDWLQJ WKH REVHUYHG FURVV FRUUHODWLRQ $ NH\ UROH LV SOD\HG E\ WKH VWHDG\ 

VWDWH QHW IRUHLJQ DVVHW SRVLWLRQ

,1(48$/,7< 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

'DQ $QGHUEHUJ 


&R $XWKRUV ) $QGHUVVRQ 

$XJ 

5RRP 3 

675$7,),&$7,21 62&,$/ 1(7:25.6 ,1 7+( /$%285 0$5.(7 

$1' ,17(5*(1(5$7,21$/ 02%,/,7< 

.H\ZRUGV (GXFDWLRQ 1HWZRUNV DQG 6RFLDO 0RELOLW\ 


7KLV SDSHU XVHV D PRGHO RI KXPDQ FDSLWDO DFFXPXODWLRQ ODERXU PDUNHW GLVWRUWLRQV ZRUG 

RI PRXWK FRPPXQLFDWLRQ DQG FRPPXQLW\ IRUPDWLRQ WR DQDO\VH VRFLR HFRQRPLF 

VWUDWLILFDWLRQ HGXFDWLRQDO FKRLFHV DQG LQWHUJHQHUDWLRQDO VRFLDO PRELOLW\ :RUNHUV REWDLQ 

LQIRUPDWLRQ DERXW MRE RSSRUWXQLWLHV IURP LQGLYLGXDOV LQ WKHLU ORFDO HQYLURQPHQW LPSO\LQJ 

WKDW WKH VRFLDO HQYLURQPHQW SDUWO\ GHWHUPLQHV WKH H[SHFWHG UHWXUQV WR HGXFDWLRQ 6WUDWLILHG 

HTXLOLEULD ZKHQ WKH\ H[LVW DUH FKDUDFWHULVHG E\ ORZ LQWHUJHQHUDWLRQDO VRFLDO PRELOLW\ DQG 

LQHIILFLHQW XVH RI WDOHQW 7KH HTXLOLEULXP UHVSRQVHV WR IDFWRUV WKDW JHQHUDOO\ HQFRXUDJH 

HGXFDWLRQ PD\ LQ VWUDWLILHG RXWFRPHV E\ KLJKO\ DV\PPHWULF DFURVV VRFLR HFRQRPLF 

JURXSV 

&HFLOLD *DUFLD 3HQDORVD 

*5(4$0 DQG &156 

&R $XWKRUV 6 7XUQRYVN\ 

0$&52(&2120,& 92/$7,/,7< $1' ,1&20( ,1(48$/,7< ,1 $ 

672&+$67,&$//< *52:,1* (&2120< 

.H\ZRUGV LQFRPH LQHTXDOLW\ 63$&(5 VWRFKDVWLF JURZWK DQG YRODWLOLW\ 

-(/ &ODVVLILFDWLRQ + 2 DQG 63$&(5 

:H HPSOR\ D VWRFKDVWLF JURZWK PRGHO WR DQDO\]H WKH HIIHFW RI PDFURHFRQRPLF YRODWLOLW\ RQ 

LQFRPH GLVWULEXWLRQ DQG JURZWK 2XU UHVXOWV VKRZ WKDW DQ LQFUHDVH LQ YRODWLOLW\ UDLVHV 

DYHUDJH JURZWK DQG LQHTXDOLW\ :H FDOLEUDWH WKH PRGHO DQG VXFFHVVIXOO\ UHSOLFDWH NH\ 

JURZWK DQG GLVWULEXWLRQDO FKDUDFWHULVWLFV :H WKHQ XVH WKLV IUDPHZRUN WR DQDO\]H WKH 

GHVLJQ RI WD[ SROLF\ WR DFKLHYH GHVLUHG JURZWK GLVWULEXWLRQ DQG ZHOIDUH REMHFWLYHV 7ZR 

JHQHUDO FRQFOXVLRQV HPHUJH )LUVW LQFUHDVLQJ WKH JURZWK UDWH GRHV QRW QHFHVVDULO\ HQWDLO 

DQ LQFUHDVH LQ LQHTXDOLW\ 6HFRQG ILVFDO SROLF\ RIWHQ KDV FRQIOLFWLQJ HIIHFWV RQ WKH 

GLVWULEXWLRQV RI JURVV DQG QHW LQFRPH 

%HUQKDUG (FNZHUW 

8QLYHUVLW\ RI %LHOHIHOG 

&R $XWKRUV , =LOFKD

7+( ())(&7 2) %(77(5 ,1)250$7,21 21 ,1&20( ,1(48$/,7< 

.H\ZRUGV LQFRPH LQHTXDOLW\ LQIRUPDWLRE V\VWHP DQG ULVN VKDULQJ 


:H FRQVLGHU DQ 2/* HFRQRP\ ZLWK HQGRJHQRXV LQYHVWPHQW LQ KXPDQ 

FDSLWDO +HWHURJHQHLW\ LQ LQGLYLGXDO KXPDQ FDSLWDO OHYHOV LV JHQHUDWHG E\ UDQGRP LQQDWH 

DELOLW\ 7KH SURGXFWLRQ RI KXPDQ FDSLWDO GHSHQGV RQ HDFK LQGLYLGXDO V LQYHVWPHQW LQ 

HGXFDWLRQ 7KLV LQYHVWPHQW GHFLVLRQ LV WDNHQ RQO\ DIWHU REVHUYLQJ D VLJQDO ZKLFK LV 

FRUUHODWHG WR KLV KHU WUXH DELOLW\ DQG ZKLFK LV XVHG IRU XSGDWLQJ EHOLHIV 7KXV D EHWWHU 

LQIRUPDWLRQ V\VWHP DIIHFWV WKH GLVWULEXWLRQ RI KXPDQ FDSLWDO LQ HDFK JHQHUDWLRQ $VVXPLQJ 

VHSDUDEOH DQG LGHQWLFDO SUHIHUHQFHV IRU DOO LQGLYLGXDOV ZH GHULYH WKH IROORZLQJ UHVXOWV LQ 

HTXLOLEULXP D ,I WKH UHODWLYH PHDVXUH RI ULVN DYHUVLRQ LV OHVV PRUH WKDQ WKHQ PRUH 

LQIRUPDWLRQ UDLVHV UHGXFHV LQFRPH LQHTXDOLW\ E :KHQ D ULVN VKDULQJ PDUNHW LV DYDLODEOH 

EHWWHU LQIRUPDWLRQ UHVXOWV LQ KLJKHU LQHTXDOLW\ 

UHJDUGOHVV RI WKH PHDVXUH ULVN DYHUVLRQ 

021(7$5< 32/,&< $1' /($51,1* 8+/,* 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

2UJDQL]HU + 8KOLJ 

5LFDUGR /ODXGHV 

7KH -RKQV +RSNLQV 8QLYHUVLW\ 

$XJ 

5RRP 3 

021(7$5< 32/,&< 6+2&.6 ,1 $ 7:2 6(&725 23(1 (&2120< 

$1 (03,5,&$/ 678'< 

.H\ZRUGV ,PSXOVH 5HVSRQVH 0RQHWDU\ 6KRFN 1RQ WUDGDEOH 6HFWRU 6PDOO 2SHQ 

(FRQRP\ 7UDGDEOH 6HFWRU DQG 9$5 

-(/ &ODVVLILFDWLRQ & ( ) DQG ) 

7KLV SDSHU VWXGLHV WKH HIIHFWV DQG WUDQVPLVVLRQ RI PRQHWDU\ SROLF\ VKRFNV LQ DQ RSHQ 

HFRQRP\ ,W FRQVLGHUV DQ HFRQRP\ ZLWK WZR VHFWRUV D WUDGDEOH DQG D QRQ WUDGDEOH VHFWRU 

8VLQJ D 9$5 IUDPHZRUN WKLV SDSHU ORRNV DW WKH HIIHFW WKDW PRQHWDU\ SROLF\ VKRFNV KDYH 

RQ D VHW RI HFRQRPLF YDULDEOHV ZLWK VSHFLDO DWWHQWLRQ WR WKH WUDGDEOH DQG QRQ WUDGDEOH 

VHFWRUV 7KLV SDSHU GHSDUWV IURP WKH VWDQGDUG OLWHUDWXUH LQ WKDW LW LVRODWHV WKH GLIIHUHQWLDO 

HIIHFWV WKDW PRQHWDU\ SROLF\ KDV RQ WKH WUDGDEOH DQG QRQ WUDGDEOH VHFWRUV RI WKH HFRQRP\ 

7KH UHVXOWV VKRZ WKDW WKH EHKDYLRU RI WKHVH WZR VHFWRUV YDULHV DFURVV FRXQWULHV DQ 

LQGLFDWLRQ WKDW LQGXVWULDO VWUXFWXUH PD\ EH DQ LPSRUWDQW FRPSRQHQW IRU WKH DQDO\VLV RI 

PRQHWDU\ SROLF\ 

1LFROD 9LHJL 

(FRQRPLFV 'HSDUWPHQW 8QLYHUVLW\ RI 1DWDO 

&R $XWKRUV 0 'HPHUW]LV 

,1)/$7,21 7$5*(7,1* 81'(5 81&(57$,17< ,1 $ '

.H\ZRUGV '\QDPLF 0RGHOV ,QIODWLRQ 7DUJHWLQJ 3DUDPHWHU 8QFHUWDLQW\ DQG 7ZR 6WHS 

7DUJHW 


:H VWXG\ WKH LPSOLFDWLRQV RI XQFHUWDLQW\ IRU LQIODWLRQ WDUJHWLQJ LQ D G\QDPLF VHW XS:H 

FRPSDUH WKH %UDLQDUG FRQVHUYDWLYH SULQFLSOH ZLWK D PRUH DFWLYH PRQHWDU\ SROLF\ UXOH 

GHULYHG IURP D WZR VWHS RSWLPLVDWLRQ SURFHGXUH RQ WKH SDUW RI WKH EDQN :H ILQG WKDW WKH 

DELOLW\ WR FRQWURO H[SHFWDWLRQV DQG WKH LQWURGXFWLRQ RI JUHDWHU YDULDELOLW\ LQ WKH V\VWHP :H 

VKRZ WKDW %UDLQDUG V DWWHQXDWLRQ SULQFLSOH LV RSWLPDO RQO\ LQ D EDFNZDUG ORRNLQJ ZKHUHDV 

LQ D IRUZDUG ORRNLQJ PRGHO %UDLQDUG V FRQVHUYDWLYH SULQFLSOH PD\ SURGXFH LQVWDELOLW\ 

EHFDXVH RI LWV LQDELOLW\ WR FRQWURO H[SHFWDWLRQV $ PRUH DJJUHVVLYH UXOH FDQ LQVWHDG SURYLGH 

JUHDWHU VWDELOLW\ EHFDXVH RI LWV WDUJHWLQJ H[SHFWDWLRQV GLUHFWO\ GHVSLWH WKH H[LVWLQJ 

XQFHUWDLQW\ LQ WKH WUDVPLVVLRQ SDUDPHWHUV ,Q WKDW UHVSHFW WKHUH DUH FRQGLWLRQV XQGHU 

ZKLFK WKH EHQHILWV RI W\LQJ GRZQ H[SHFWDWLRQV PRUH WKDQ FRPSHQVDWH WKH FRVWV RI KDYLQJ 

WR RYHUXVH WKH LQVWUXPHQW 

.DXVKLN 0LWUD 

5R\DO +ROORZD\ 

&R $XWKRUV 6 +RQNDSRKMD 

7+( 352%/(06 2) /($51,1* $1' '(7(50,1$&< ,1 ,1)/$7,21 

7$5*(7,1* %$6(' 21 &2167$17 ,17(5(67 5$7( 352-(&7,216 

.H\ZRUGV ,QGHWHUPLQDF\ LQIODWLRQ WDUJHWLQJ LQWHUHVW UDWH UXOHV DQG VWDELOLW\ XQGHU OHDUQLQJ 


$ PRQHWDU\ SROLF\ WDUJHWLQJ LQIODWLRQ LV VRPHWLPHV LPSOHPHQWHG E\ FKRRVLQJ D WDUJHW 

LQIODWLRQ DQG D IL[HG WLPH KRUL]RQ 7KH LQWHUHVW UDWH LV WKHQ VHW WR DFKLHYH WKH WDUJHW DW WKH 

VSHFLILHG KRUL]RQ ,Q WKLV GHWHUPLQDWLRQ LW LV DVVXPHG WKDW L WKH HFRQRP\ KDV UDWLRQDO 

H[SHFWDWLRQV DQG LL WKH LQWHUHVW UDWH LV DW D FRQVWDQW OHYHO RYHU WKH KRUL]RQ ZKLFK ZRXOG 

OHDG WR DFKLHYHPHQW RI WKH WDUJHW 7KHVH UHTXLUHPHQWV OHDG WR LQVWUXPHQW UXOHV IRU LQWHUHVW 

UDWH VHWWLQJ WKDW FDQ EH FDOOHG &,3 FRQVWDQW LQWHUHVW UDWH SURMHFWLRQV LQWHUHVW UDWH UXOHV 

:H FRQVLGHU GHWHUPLQDF\ DQG VWDELOLW\ XQGHU DGDSWLYH OHDUQLQJ IRU VXFK SROLFLHV 

)DELR 0LODQL 


$'$37,9( /($51,1* 02'(/ 81&(57$,17< $1' 021(7$5< 

32/,&< ,1(57,$ ,1 $ /$5*( ,1)250$7,21 (19,5210(17 

.H\ZRUGV DGDSWLYH OHDUQLQJ %D\HVLDQ 0RGHO $YHUDJLQJ LQHUWLD LQWHUHVW UDWH VPRRWKLQJ 

OHDGLQJ LQGLFDWRUV PRGHO XQFHUWDLQW\ DQG RSWLPDO PRQHWDU\ SROLF\ 

-(/ &ODVVLILFDWLRQ & & & ( DQG ( 

0RQHWDU\ SROLF\ LV XVXDOO\ DQDO\]HG LQ WKH FRQWH[W RI VPDOO PRGHOV ZKHUH FHQWUDO EDQNV 

DUH DOORZHG WR H[SORLW D OLPLWHG DPRXQW RI LQIRUPDWLRQ 8QGHU WKHVH IUDPHZRUNV 

UHVHDUFKHUV W\SLFDOO\ GHULYH WKH RSWLPDOLW\ RI DJJUHVVLYH SROLF\ UHDFWLRQ IXQFWLRQV 

FRQWUDVWLQJ ZLWK WKH REVHUYHG PRQHWDU\ SROLF\ LQHUWLD 

7KLV SDSHU FRQVLGHUV PRQHWDU\ SROLF\ LQ D ODUJH LQIRUPDWLRQ HQYLURQPHQW 2XU VHWWLQJ 

LQFRUSRUDWHV PRGHO XQFHUWDLQW\ WKURXJK WKH XVH RI %D\HVLDQ 0RGHO $YHUDJLQJ ZLWK

0DUNRY &KDLQ 0RQWH &DUOR 0RGHO &RPSRVLWLRQ 0& DQG DGDSWLYH OHDUQLQJ ,Q WKLV PRUH 

UHDOLVWLF HQYLURQPHQW ZH GHULYH WKH RSWLPDOLW\ RI VPRRWKHU DQG PRUH FDXWLRXV SROLF\ UDWHV 

(92/87,21 $1' /($51,1* ,,, 


&KDLUSHUVRQ & +DIHU 

$QD % $QLD 


&R $XWKRUV & $ORV )HUUHU 

7+( (92/87,21$5< /2*,& 2) )((/,1* 60$// 

.H\ZRUGV DJJUHJDWLYH JDPHV HYROXWLRQDULO\ VWDEOH VWUDWHJ\ SULFH WDNLQJ EHKDYLRU 

VWRFKDVWLF VWDELOLW\ DQG VXSHUPRGXODULW\ 

-(/ &ODVVLILFDWLRQ & ' DQG ' 

,Q D JHQHUDOL]HG V\PPHWULF DJJUHJDWLYH JDPH SD\RIIV GHSHQG RQO\ 

RQ LQGLYLGXDO VWUDWHJ\ DQG DQ DJJUHJDWH RI DOO VWUDWHJLHV 3OD\HUV 

EHKDYLQJ DV LI WKH\ ZHUH QHJOLJLEOH ZRXOG RSWLPL]H WDNLQJ WKH 

DJJUHJDWH DV JLYHQ :H SURYLGH HYROXWLRQDU\ DQG G\QDPLF 

IRXQGDWLRQV IRU VXFK EHKDYLRU ZKHQ WKH JDPH VDWLVILHV 

VXSHUPRGXODULW\ FRQGLWLRQV 7KH UHVXOWV REWDLQHG DUH DOVR XVHIXO 

WR FKDUDFWHUL]H HYROXWLRQDULO\ VWDEOH VWUDWHJLHV LQ D ILQLWH 

SRSXODWLRQ 

$YLDG +HLIHW] 

7HO $YLY 8QLYHUVLW\ 

&R $XWKRUV & 6KDQQRQ DQG < 6SLHJHO 

:+$7 72 0$;,0,=( ,)

&DWKHULQH +DIHU 

1HZ

.H\ZRUGV FKDUDFWHUL]DWLRQ JDPH WKHRU\ ODUJH JDPHV DQG PLJUDWLRQ HTXLOLEULXP 


,Q WKLV DUWLFOH ZH FKDUDFWHUL]H HTXLOLEULD RI VHPL DQRQ\PRXV JDPHV LQ WHUPV RI 

FRPSRVLWLRQV $ FRPSRVLWLRQ GHVFULEHV DJJUHJDWHG EHKDYLRU DQG WHOOV XV KRZ PDQ\ 

SOD\HUV RI ZKLFK W\SH SOD\ ZKDW .DODL D E KDV VKRZQ WKDW HTXLOLEULD RI H[WHQVLYH 

IRUP LQFRPSOHWH LQIRUPDWLRQ JDPHV DUH H[WHQVLYHO\ UREXVW DQG H[ SRVW 1DVK DQG WKHUHIRUH 

DUH 1DVK HTXLOLEULD RI WKH FRUUHVSRQGLQJ QRUPDO IRUP JDPH LI WKH JDPH LV ODUJH DQG 

SOD\HUV SUHIHUHQFHV DUH VHPL DQRQ\PRXV 7KHUHIRUH WKH SUHVHQW FKDUDFWHUL]DWLRQ UHVXOW 

LV WKH PRUH UHOHYDQW VLQFH LW DSSOLHV WR WKH ODWWHU PRUH FRPSOLFDWHG EXW PRUH JHQHUDO DQG 

UHDOLVWLF FODVV RI ODUJH JDPHV 7KH QDWXUH RI WKH UHVXOW LV LOOXVWUDWHG E\ D KHXULVWLF QRQ 

H[LVWHQFH H[DPSOH RI D PLJUDWLRQ HTXLOLEULXP 

0LFKDHO 0DQGOHU 


675$7(*,(6 $6 67$7(6 

.H\ZRUGV ED\HVLDQ GHFLVLRQ WKHRU\ JDPH WKHRU\ DQG LQWHUDFWLYH HSLVWHPRORJ\ 


:H GHILQH UDWLRQDOLW\ DQG HTXLOLEULXP ZKHQ VWDWHV VSHFLI\ DJHQWV DFWLRQV DQG DJHQWV KDYH 

DUELWUDU\ SDUWLWLRQV RYHU WKH VWDWH VSDFH :KHQ DJHQWV NQRZ WKH HTXLOLEULXP VWUDWHJLHV RI 

RWKHU SOD\HUV DQ DJHQW V PRYH FDQ UHYHDO LQIRUPDWLRQ DERXW KRZ RWKHU DJHQWV PRYH DQG 

SDUDGR[HV ZKHUH DJHQWV SOD\ GRPLQDWHG DFWLRQV FDQ WKHQ DSSHDU $ VWUDWHJ\ IRU DQ DJHQW 

VSHFLILHV D PRYH DV D IXQFWLRQ RI WKH VWDWH KHQFH LI M V SDUWLWLRQ LQIRUPV M RI L V PRYH DQG L 

NQRZV M V VWUDWHJ\ WKHQ WKH %D\HVLDQ LQIHUHQFH WKDW L PDNHV DERXW M V PRYH ZLOO YDU\ DV D 

IXQFWLRQ RI L V RZQ PRYH ,W IROORZV WKDW L FDQ UDWLRQDOO\ SOD\ D GRPLQDWHG DFWLRQ :H 

FDWHJRUL]H GLIIHUHQW URXWHV E\ ZKLFK WKH SOD\ RI GRPLQDWHG DFWLRQV FDQ DULVH DQG VSHFLI\ 

SODXVLEOH FRQGLWLRQV WKDW UXOH WKHP RXW %XW WKHVH FRQGLWLRQV IDOO VKRUW RI DVVXPLQJ WKDW 

DJHQWV OHDUQ QRWKLQJ VXEVWDQWLYH IURP WKHLU PRYHV ([LVWHQFH RI HTXLOLEULXP LV PRUH 

FRPSOLFDWHG WKDQ LQ VWDQGDUG JDPH WKHRU\ WKHUH DUH UREXVW QRQH[LVWHQFH H[DPSOHV WKDW 

VDWLVI\ VWDQGDUG FRQYH[LW\ DQG FRQWLQXLW\ FRQGLWLRQV %XW HTXLOLEULD H[LVW LQ D ODUJH FODVV RI 

FDVHV DQG PRGHOV ZLWK WKH PRUH LPSRUWDQW LQIRUPDWLRQ VWUXFWXUHV QHFHVVDULO\ SRVVHVV 

HTXLOLEULD 

,17(51$7,21$/ (&2120,&6 ,, 


&KDLUSHUVRQ 0 +RIIPDQQ 

0DWKLDV +RIIPDQQ 


$XJ 

5RRP ( 

6$9,1* ,19(670(17 $1' 7+( 1(7 )25(,*1 $66(7 326,7,21 

.H\ZRUGV &RLQWHJUDWHG 3DQHO 'DWD ,QYHVWPHQW 1HW )RUHLJQ $VVHWV DQG 6DYLQJV 


7KLV SDSHU DFNQRZOHGJHV WKDW VLJQLILFDQW QHW IRUHLJQ DVVHW SRVLWLRQV RI FRXQWULHV DUH GXH

WR ORQJ UXQ WUHQG GLIIHUHQFHV LQ VDYLQJ DQG LQYHVWPHQW EHKDYLRXU UDWKHU WKDQ EXVLQHVV 

F\FOH HIIHFWV ,W H[SORUHV WKH LPSRUWDQFH RI VKRUW DQG ORQJ UXQ FKDQJHV LQ WKH OHYHO RI 

GRPHVWLF ZHDOWK FDSLWDO VWRFN RQ QHW IRUHLJQ DVVHW SRVLWLRQV DFURVV LQGXVWULDOLVHG DQG 

GHYHORSLQJ FRXQWULHV 8VLQJ FRLQWHJUDWLRQ WHFKQLTXHV D OLQN EHWZHHQ RXWSXW SHU FDSLWD WKH 

VWRFN RI SXEOLF GHEW DQG DJH GLVWULEXWLRQ RQ VDYLQJ LQYHVWPHQW DQG KHQFH WKH QHW H[WHUQDO 

ZHDOWK RI FRXQWULHV LV HVWDEOLVKHG 

2OLYLHU %HUWUDQG 

7($0 DQG &156 8QLYHUVLW\ RI 3DULV 6RUERQQH 

&R $XWKRUV + =LWRXQD 

75$'( /,%(5$/,=$7,21 $1' ,1'8675,$/ '

LQWHUQDWLRQDO IDFWRU PRELOLW\ RU QRW 6HFRQG LQWHJUDWLRQ RI 

IDFWRU PDUNHWV KDV WKH VDPH HIIHFW DQG WKLV UHVXOW KROGV LQ WKH 

SUHVHQFH RI QRQWUDGHG JRRGV :H FRQFOXGH WKDW JOREDOLVDWLRQ D 

SURFHVV RI LQFUHDVLQJ IUHHGRP IRU LQWHUQDWLRQDO PRYHPHQWV RI JRRGV 

DQG IDFWRUV ZLOO WHQG WR UHGXFH LQWHUQDWLRQDO GLVSDULWLHV LQ WKH 

UHDO 

UHWXUQV WR IDFWRUV 

35()(5(1&(6 $1' '(&,6,21 0$.,1* ,,, 


&KDLUSHUVRQ $ /DPEHUW 0RJLOLDQVN\ 

/LOLD 0DOLDU 

8QLYHUVLW\ RI $OLFDQWH 

&R $XWKRUV 6 0DOLDU 

7,0( ,1&216,67(17 35()(5(1&(6 ,1 $ +(7(52*(1(286 

$*(176 :25/' 

$XJ 

5RRP ( 

.H\ZRUGV +\SHUEROLF GLVFRXQWLQJ ,GLRV\QFUDWLF VKRFNV 4XDVL JHRPHWULF GLVFRXQWLQJ 

7LPH LQFRQVLVWHQF\ DQG :HDOWK LQHTXDOLW\ 


7KLV SDSHU LQYHVWLJDWHV KRZ WKH WLPH LQFRQVLVWHQF\ LQ SUHIHUHQFHV LQGXFHG E\ D WLPH 

YDU\LQJ GLVFRXQW IDFWRU DIIHFWV WKH LQWHUWHPSRUDO VDYLQJV GHFLVLRQV RI KHWHURJHQHRXV 

DJHQWV 7KH DQDO\VLV LV EXLOW DURXQG WKH RQH VHFWRU JURZWK PRGHO ZKHUH DJHQWV DUH 

VXEMHFW WR LGLRV\QFUDWLF VKRFNV DQG IDFH ERUURZLQJ FRQVWUDLQWV :H GHULYH D FORVHG IRUP 

VROXWLRQ WR WKH PRGHO XQGHU WKH DVVXPSWLRQ RI WKH H[SRQHQWLDO XWLOLW\ IXQFWLRQ :H 

FKDUDFWHUL]H WKH SURSHUWLHV RI WKH HQGRJHQRXV HIIHFWLYH GLVFRXQW IDFWRU IRU JHQHUDO VWULFWO\ 

FRQFDYH XWLOLW\ IXQFWLRQV :H VKRZ ERWK DQDO\WLFDOO\ DQG E\ XVLQJ VLPXODWLRQV WKDW WKH 

DVVXPHG WLPH LQFRQVLVWHQF\ LQ SUHIHUHQFHV FDQ VLJQLILFDQWO\ DIIHFW WKH GHJUHH RI ZHDOWK 

LQHTXDOLW\ 

$UHILHY 1LNROD\ 

(85(4XD 3DLUV +6( 

'

DUJXPHQW DOORZV WR LPSURYH WKH QRUPDWLYH PDFURHFRQRPLF DQDO\VLV 

$ULDQH /DPEHUW 0RJLOLDQVN\ 

&(5$6 (FROH 1DWLRQDOH GHV 3RQWV HW &KDXVVpHV &156 85$ 3DULV 

&R $XWKRUV 6 =DPLU DQG + =ZLUQ 

7

D FRQVLGHUDEOH OHYHUDJH HIIHFW 

'DUtR 0DOGRQDGR 

8QLYHUVLW\ RI 7RXORXVH , *5(0$4 

237,0$/ ('8&$7,21$/ 32/,&,(6 $1' 237,0$/ ,1&20( 

7$;$7,21 

.H\ZRUGV (GXFDWLRQ 0XOWLGLPHQVLRQDO VFUHHQLQJ 2SWLPDO WD[DWLRQ DQG 3XEOLF SURYLVLRQ 


,Q WKLV SDSHU ZH VWXG\ WKH SURSHUWLHV RI D UHGLVWULEXWLYH V\VWHP LQ ZKLFK ODERU LQFRPH 

WD[DWLRQ DQG HGXFDWLRQ SROLF\ DUH GHVLJQHG RSWLPDOO\ ,QGLYLGXDOV GLIIHU LQ WZR GLPHQVLRQV 

XQREVHUYHG E\ WKH JRYHUQPHQW 7RJHWKHU ZLWK ODERU VXSSO\ DQG WKH H[RJHQRXV DELOLW\ 

HGXFDWLRQ GHWHUPLQHV ODERU LQFRPH :H VWXG\ RSWLPDO SROLFLHV XQGHU GLIIHUHQW 

LQIRUPDWLRQDO DVVXPSWLRQV DERXW HGXFDWLRQ DQG XQGHU GLIIHUHQW VWUXFWXUHV RI WKH UHWXUQV RI 

HGXFDWLRQ 6LQFH HGXFDWLRQ GRHV QRW DSSHDU GLUHFWO\ LQ WKH XWLOLW\ IXQFWLRQ WKH RQO\ UHDVRQ 

WKH JRYHUQPHQW KDV WR GLVWRUW HGXFDWLRQ OHYHOV ZLWK UHVSHFW WR WKH ILUVW EHVW SROLF\ LV 

EHFDXVH RI LQIRUPDWLRQ UHYHODWLRQ SXUSRVHV GLVWRUWLQJ WKH HGXFDWLRQ OHYHO LV XVHIXO WR UHOD[ 

WKH LQFHQWLYH FRPSDWLELOLW\ FRQVWUDLQWV 7KH PDLQ UHVXOW LV WKDW ZKHQ WKH LQGLYLGXDO 

HGXFDWLRQ OHYHO LV REVHUYHG GLUHFWO\ E\ WKH JRYHUQPHQW WKH RSWLPDO GLVWRUWLRQV WR ODERU 

VXSSO\ DQG HGXFDWLRQ GLIIHU GHSHQGLQJ RQ WKH VWUXFWXUH RI WKH UHWXUQV WR HGXFDWLRQ 

8GR (EHUW 

8QLYHUVLW\ RI 2OGHQEXUJ 

&R $XWKRUV 3 0R\HV 

3523257,21$/ ,1&20( 7$;$7,21 $1' ())(&7,9( 

352*5(66,9,7< 

.H\ZRUGV (QGRJHQRXV ODERXU VXSSO\ 3URJUHVVLYLW\ 5HGLVWULEXWLRQ DQG 7D[DWLRQ 


:KHQ LQFRPHV DUH H[RJHQRXVO\ JLYHQ LW LV ZHOO NQRZQ WKDW D SURJUHVVLYH WD[ VWUXFWXUH 

UHGXFHV LQHTXDOLW\ LQ WKH VHQVH WKDW WKH /RUHQ] FXUYH RI DIWHU WD[ LQFRPHV LV QRZKHUH 

EHORZ WKDW RI EHIRUH WD[ LQFRPHV ZKDWHYHU WKH FLUFXPVWDQFHV DV VKRZQ E\ 8 -DNREVVRQ 

-RXUQDO RI 3XEOLF (FRQRPLFV 7KH UHOHYDQFH RI WKLV UHVXOW LV KRZHYHU 

OLPLWHG LQ SUDFWLFH ZKHUH LQFRPHV DUH GHWHUPLQHG E\ WKH ZRUNLQJ GHFLVLRQV RI WKH DJHQWV LQ 

WKH HFRQRP\ 7KH SDSHU LV DQ DWWHPSW WR LQYHVWLJDWH WKH LPSOLFDWLRQV IRU HIIHFWLYH 

SURJUHVVLRQ RI UHOD[LQJ WKH DVVXPSWLRQ RI H[RJHQRXV LQFRPHV )RFXVLQJ RQ WKH FDVH 

ZKHUH DOO LQGLYLGXDOV KDYH LGHQWLFDO TXDVL OLQHDU SUHIHUHQFHV EXW GLIIHUHQW SURGXFWLYLWLHV ZH 

GHULYH WKH H[WUD FRQGLWLRQV WR EH LPSRVHG RQ SUHIHUHQFHV ZKLFK HQVXUH WKDW D QHXWUDO WD[ 

VFKHGXOH DOZD\V UHVXOWV LQ OHVV XQHTXDOO\ GLVWULEXWHG LQFRPHV 

35,1&,3$/ $*(17 02'(/6 , 


&KDLUSHUVRQ . 'RRUQLN 

$XJ 

5RRP )

0DULH &pFLOH )$*$57 

/(, &5(67 

&R $XWKRUV % 6LQFODLU 'HVJDJQp 

$8',7 32/,&,(6 $1' ,1)250$7,21 

.H\ZRUGV OLNHOLKKRG UDWLR GLVWULEXWLRQ PRUDO KD]DUG 3ULQFLSDO DJHQW SUXGHQFH WKLUG 

RUGHU VWRFKDVWLF GRPLQDQFH DQG YDOXH RI LQIRUPDWLRQ 


8VLQJ DQ\ RI WKH FXUUHQW FULWHULD IRU FRPSDULQJ LQIRUPDWLRQ V\VWHPV LQ SULQFLSDO DJHQW 

PRGHOV ZLWK PRUDO KD]DUG LW LV RIWHQ LPSRVVLEOH WR FRQWUDVW WKH YDOXH RI LQIRUPDWLRQ 

REWDLQHG IURP GLIIHUHQW SROLFLHV RI FRQWLQJHQW DXGLWV WKDW EHDU WKH VDPH FRVW *LYHQ WZR 

VXFK SROLFLHV $ DQG % ZKHUH VD\ WKH ORZHU FXPXODWHG IUHTXHQFLHV RI DXGLWV DUH DOZD\V 

ODUJHU XQGHU % WKDQ XQGHU $ ZH VKRZ KRZHYHU WKDW WKH OLNHOLKRRG UDWLR GLVWULEXWLRQ 

DVVRFLDWHG ZLWK $ GRPLQDWHV WKH RQH DVVRFLDWHG ZLWK % LQ WKH WKLUG RUGHU :KHQ WKH DJHQW 

H[KLELW VRPH VRPH SULGHQFH WKH SULQFLSDO ZLOO SUHIHU $ WR % 

)ORULDQ (QJOPDLHU 


&R $XWKRUV $ :DPEDFK 

&2175$&76 $1' ,1(48,7< $9(56,21 

.H\ZRUGV FRPSOHWHQHVV FRQWUDFW WKHRU\ IDLUQHVV LQFHQWLYHV LQHTXLW\ DYHUVLRQ DQG 

OLQHDU FRQWUDFWV 

-(/ &ODVVLILFDWLRQ ' ' - - 0 DQG = 

:H DQDO\]H WKH 0RUDO +D]DUG SUREOHP DVVXPLQJ WKDW DJHQWV DUH LQHTXLW\ DYHUVH 2XU 

UHVXOWV GLIIHU IURP FRQYHQWLRQDO FRQWUDFW WKHRU\ DQG DUH PRUH LQ OLQH ZLWK HPSLULFDO ILQGLQJV 

WKDQ WKHVH VWDQGDUG UHVXOWV :H ILQG )LUVW LQHTXLW\ DYHUVLRQ DOWHUV WKH VWUXFWXUH RI RSWLPDO 

FRQWUDFWV 

6HFRQG WKHUH LV D VWURQJ WHQGHQF\ WRZDUGV OLQHDU VKDULQJ UXOHV 7KLUG LW GHOLYHUV D VLPSOH 

UDWLRQDOH IRU WHDP EDVHG LQFHQWLYHV LQ PDQ\ HQYLURQPHQWV )RXUWK WKH 6XIIFLHQW 6WDWLVWLFV 

5HVXOW LV YLRODWHG 'HSHQGHQW RQ WKH HQYLURQPHQW RSWLPDO FRQWUDFWV PD\ EH HLWKHU WRR 

FRPSOHWH RU LQFRPSOHWH 

.DWKHULQH 'RRUQLN 

6DLG %XVLQHVV 6FKRRO 2[IRUG 8QLYHUVLW\ 

,1&(17,9( &2175$&76 :,7+ ',6387( &2676 

.H\ZRUGV DV\PPHWULF LQIRUPDWLRQ HQIRUFHPHQW FRVWV LQFHQWLYH FRQWUDFWV DQG SULQFLSDO 

DJHQW PRGHO 

-(/ &ODVVLILFDWLRQ ' ' DQG . 

:H WDNH D VLPSOH SULQFLSDO DJHQW PRGHO ZLWK ULVN QHXWUDOLW\ DQG DVVXPH WKDW FRQWUDFWV DUH 

FRVWO\ WR HQIRUFH 7KH SDUWLHV QHJRWLDWH SD\PHQWV WR DYRLG RXWVLGH HQIRUFHPHQW EXW GXH WR

DV\PPHWULF LQIRUPDWLRQ VRPH GLVSXWHV VWLOO RFFXU :H VKRZ WKDW LQ RUGHU WR PLQLPL]H WKH 

SUREDELOLW\ RI GLVSXWH IRU D JLYHQ OHYHO RI HIIRUW DQG DJHQW XWLOLW\ DQ RSWLPDO FRQWUDFW PXVW 

EH D RQH VWHS ERQXV FRQWUDFW :H WKHQ VKRZ KRZ FRQVLGHUDWLRQ RI GLVSXWH FRVWV DIIHFWV 

WKH FKRLFH RI HIIRUW OHYHO DQG DJHQW XWLOLW\ :H DOVR LGHQWLI\ WKH GHWHUPLQDQWV RI WKH OHYHO RI 

GLVSXWH FRVWV LQ DQ RSWLPDO FRQWUDFW 

1(7:25.6 ,, 


&KDLUSHUVRQ * &VRUED 

-RmR $PDUR GH 0DWRV 

8QLYHUVLGDGH 1RYD GH /LVERD 

&R $XWKRUV / $OPHLGD &RVWD 

25*$1,=$7,21$/ 6758&785( ,1)250$7,21 )/2:6 $1' 

$77,78'( &+$1*( 

$XJ 

5RRP ) 

.H\ZRUGV $WWLWXGH &KDQJH ,QIRUPDWLRQ )ORZ 2UJDQL]DWLRQDO 'HVLJQ DQG 6RFLDO 1HWZRUNV 


7KH DOLJQPHQW RI FROOHFWLYH JRDOV DQG LQGLYLGXDO EHKDYLRU KDV EHHQ VWXGLHG XQGHU D 

SULQFLSDO DJHQW IUDPHZRUN 7ZR PDLQ VROXWLRQV KDYH EHHQ SUHVHQWHG H[SOLFLW LQFHQWLYH 

FRQWUDFWV DQG PRQLWRULQJ 7KHVH VROXWLRQV FRUUHVSRQG WR FKDQJHV LQ REMHFWLYH VLWXDWLRQ 

IDFHG E\ LQGLYLGXDOV +RZHYHU DQ H[WHQVLYH OLWHUDWXUH LQ VRFLDO SV\FKRORJ\ SURYLGHV 

HYLGHQFH WKDW EHKDYLRU LV LQIOXHQFHG QRW RQO\ E\ VLWXDWLRQDO FRQVWUDLQWV EXW DOVR E\ 

DWWLWXGHV 7KHUHIRUH DQ LPSRUWDQW GLPHQVLRQ RI WKH SUREOHP RI RUJDQL]DWLRQDO GHVLJQ LV WR 

FKRRVH WKH RUJDQL]DWLRQDO VWUXFWXUH DQG SURFHGXUHV WKDW EHVW FRQWULEXWHV WR WKH DOLJQPHQW 

RI DWWLWXGHV 7KLV SDSHU XVHV D G\QDPLF PRGHO RI WKH SURFHVV RI DWWLWXGH FKDQJH WR GLVFXVV 

WKH EHWZHHQ RUJDQL]DWLRQDO VWUXFWXUH WKH WLPLQJ RI LQIRUPDWLRQ IORZV DQG WKH SURFHVV RI 

IRUPDWLRQ RI DWWLWXGHV 

6HRQJKRRQ -HRQ 

6RJDQJ 8QLYHUVLW\ 

6+$3/(< %$5*$,1,1* $1' 0(5*(5 ,1&(17,9(6 ,1 1(7:25. 

,1'8675,(6 :,7+ (66(17,$/ )$&,/,7,(6 

.H\ZRUGV (VVHQWLDO )DFLOLWLHV 0HUJHU 1HWZRUN ,QGXVWU\ DQG 6KDSOH\ YDOXH 

-(/ &ODVVLILFDWLRQ & / DQG / 

,Q WKH SDSHU , FRQVLGHU WKH QHWZRUN LQ ZKLFK DQ XSVWUHDP RSHUDWRU SURYLGHV WKH HVVHQWLDO 

IDFLOLW\ IRU GRZQVWUHDP RSHUDWRUV ZKLFK ZLWK DFFHVV WR WKH HVVHQWLDO IDFWRU VXSSO\ ILQDO 

VHUYLFHV IRU HQG XVHUV $GRSWLQJ 6KDSOH\ EDUJDLQLQJ DSSURDFK WR GHWHUPLQH PHUJHUH 

LQFHQWLYHV , ILQG WKDW IRU WKH EHQHILWV RI D PHUJHU HLWKHU YHUWLFDO RU KRUL]RQWDO WKH 

DJJUHJDWH SURILW IXQFWLRQ RI D FRDOLWLRQ VKRXOG EH FRQFDYH LQ WKH VL]H RI WKH QHWZRUN WKDW 

WKH FRDOLWLRQ FRYHUV

*HUJHO\ &VRUED 

3K' VWXGHQW 

6(&21' '(*5(( 35,&( ',6&5,0,1$7,21 ,1 7+( 35(6(1&( 2) 

1(7:25. ())(&76 

.H\ZRUGV FRQWUDFWLQJ ZLWK H[WHUQDOLWLHV QHWZRUN HIIHFWV QRQOLQHDU SULFLQJ SULFH 

GLVFULPLQDWLRQ DQG VXSHUPRGXODULW\ 

-(/ &ODVVLILFDWLRQ ' ' ' DQG / 

7KLV SDSHU XVHV WRROV SURYLGHG E\ ODWWLFH WKHRU\ WR GHVFULEH DQG VROYH WKH VHFRQG GHJUHH 

SULFH GLVFULPLQDWLRQ SUREOHP IDFHG E\ D PRQRSROLVW VHOOHU RI D QHWZRUN JRRG :H EXLOG D 

JHQHUDO PRGHO WR GHPRQVWUDWH WKDW SRVLWLYH QHWZRUN HIIHFWV DQG DV\PPHWULF LQIRUPDWLRQ 

WRJHWKHU ZLOO OHDG WR D GRZQZDUG GLVWRUWLRQ IRU DOO FRQVXPHUV LQ WKH TXDQWLWLHV SURYLGHG 

'HVSLWH WKH RYHUDOO GRZQZDUG GLVWRUWLRQ UHVXOW SRVLWLYH QHWZRUN HIIHFWV OHDG WR KLJKHU 

FRQVXPSWLRQ OHYHOV WKDQ LQ WKH VWDQGDUG PRGHO ZLWKRXW QHWZRUN HIIHFWV 

(&2120,& *(2*5$3+< 


&KDLUSHUVRQ 0 5RVV 

,QJULG .XELQ 

8QLYHUVLW\ RI (FRQRPLFV DQG %$ 9LHQQD 

&R $XWKRUV 0 &XUULH 

&+$26 ,1 7+( &25( 3(5,3+(5< 02'(/ 

.H\ZRUGV (FRQRPLF '\QDPLFV DQG 1HZ (FRQRPLF *HRJUDSK\ 


$XJ 

5RRP ) 

7KH WZR UHJLRQ FRUH SHULSKHU\ PRGHO GHYHORSHG E\ .UXJPDQ KDV EHFRPH WKH EDVLV RI D 

SDUDGLJP ± WKH 1HZ (FRQRPLF *HRJUDSK\ ± WKDW VHHNV WR LQWHJUDWH XUEDQ HFRQRPLFV 

UHJLRQDO VFLHQFH DQG LQWHUQDWLRQDO WUDGH LQ D VLQJOH WKHRUHWLFDO IUDPHZRUN 

7KH SXUSRVH RI WKLV SDSHU LV WR H[DPLQH ZKHWKHU WKH SURSRVLWLRQV GHULYHG IURP WKH 

VWDQGDUG FRQWLQXRXV WLPH VSHFLILFDWLRQ DUH UREXVW ZLWK UHVSHFW WR WKH WHPSRUDO IUDPHZRUN 

5H IRUPXODWLQJ WKH PRGHO LQ GLVFUHWH WLPH KDV SURIRXQG LPSOLFDWLRQV 7KH SRVVLEOH ORQJ 

WHUP EHKDYLRXUV DUH QR ORQJHU FRQILQHG WR D V\PPHWULF HTXLOLEULXP RU WR FRUH SHULSKHU\ 

HTXLOLEULD EXW PD\ LQYROYH WKH SHULRGLF RU FKDRWLF FRH[LVWHQFH RI WZR DFWLYH PDQXIDFWXULQJ 

VHFWRUV 

3DVFDO 0RVVD\ 


63$7,$/ 67$%,/,7< 

.H\ZRUGV FRQYHUJHQFH ORFDO PDUNHWV PLJUDWLRQ VSDWLDO HFRQRP\ VWDELOLW\ DQG 

WDWRQQHPHQW


:H FRQVLGHU D FRQWLQXRXV VSDWLDO HFRQRP\ FRQVLVWLQJ RI SXUH H[FKDQJH ORFDO HFRQRPLHV 

,Q WKLV IUDPHZRUN VSDWLDOO\ ORFDO DQG WHPSRUDOO\ P\RSLF PLJUDWLRQ OHDGV WR VSDWLDO 

FRQYHUJHQFH :H VKRZ WKDW ORFDO VSDWLDO FRQYHUJHQFH LV REWDLQHG SURYLGHG WKDW WKH PDWUL[ 

RI SULFH HIIHFWV LV TXDVL QHJDWLYH GHILQLWH 7KLV SURYLGHV D UHDO WLPH LQWHUSUHWDWLRQ RI WKH 

WDWRQQHPHQW VWRU\ $OVR VSDWLDO IOXFWXDWLRQV DUH VKRZQ WR EH GDPSHG DW GLIIHUHQW UDWHV 

DFFRUGLQJ WR WKHLU VSDWLDO VFDOH 

0DWWKLDV 5RVV 

8QLYHUVLW\ RI +DPEXUJ DQG +DPEXUJ ,QVWLWXWH RI ,QWHUQDWLRQDO (FRQRPLFV +::$ 

7+( ,03$&7 2) ,1)5$6758&785( $1' 7$;(6 21 5(*,21$/ 

$**/20(5$7,21 

.H\ZRUGV HFRQRPLF JHRJUDSK\ HFRQRPLF LQWHJUDWLRQ LQIUDVWUXFWXUH DQG WD[ DQG ILVFDO 

SROLF\ 

-(/ &ODVVLILFDWLRQ ( ) ) DQG + 

,Q D IUDPHZRUN RI D UHJLRQ HFRQRPLF JHRJUDSK\ PRGHO WKH LPSDFW RI FRQVXPHU WD[HV 

SURILW WD[HV DQG LQIUDVWUXFWXUH RQ DJJORPHUDWLRQ RI HFRQRPLF DFWLYLW\ LV DQDO\]HG 7KH 

PRGHO VKRZV WKDW OHVV GHYHORSHG UHJLRQV PD\ DYRLG IXUWKHU GLYHUJHQFH E\ LPSURYLQJ 

UHJLRQDO SURGXFWLYLW\ WKURXJK DQ DSSURSULDWH FRPELQDWLRQ RI LQIUDVWUXFWXUH DQG WD[HV %XW 

WKLV SROLF\ FDQ EH KDUPIXO VLQFH RSWLPL]LQJ ZHDOWK UHTXLUHV UDWKHU D UHGXFWLRQ RI 

LQIUDVWUXFWXUH WKDQ DQ LQFUHDVH VLQFH SXEOLF UHVRXUFHV DUH ZDVWHG IRU RQO\ D ORZ OHYHO RI 

HFRQRPLF DFWLYLW\ )XUWKHUPRUH GHYHORSHG UHJLRQV IDFH DQ LQFHQWLYH WR H[SORLW OHVV 

GHYHORSHG UHJLRQV E\ WD[LQJ WKH H[SRUW VHFWRU 3ROLF\ FRRUGLQDWLRQ PD\ VROYH WKLV FRQIOLFW 

(03,5,&$/ ,1'8675,$/ 25*$1,6$7,21 ,, 


&KDLUSHUVRQ - %RQQHW 

0DULDVVXQWD *LDQQHWWL 

6WRFNKROP 6FKRRO RI (FRQRPLFV DQG &(35 

&R $XWKRUV $ 6LPRQRY 

$XJ 

5RRP ) 

'2(6 35(67,*( 0$77(5 025( 7+$1 352),76" (9,'(1&( )520 

(175(35(1(85,$/ &+2,&(6 

.H\ZRUGV $JJORPHUDWLRQ (QWUHSUHQHXULDO &KRLFHV 6RFLDO ,QWHUDFWLRQV DQG 6SLOORYHU 

-(/ &ODVVLILFDWLRQ - 0 5 DQG = 

7KLV SDSHU VWXGLHV ZKHWKHU VRFLDO LQWHUDFWLRQV DIIHFW WKH GHFLVLRQ WR EHFRPH DQ 

HQWUHSUHQHXU :H ILQG WKDW LQ PXQLFLSDOLWLHV ZKHUH HQWUHSUHQHXUVKLS LV PRUH ZLGHVSUHDG 

LQGLYLGXDOV DUH PRUH OLNHO\ WR EHFRPH HQWUHSUHQHXUV HYHQ DIWHU FRQWUROOLQJ IRU LQGLYLGXDO 

FKDUDFWHULVWLFV DQG ORFDO HFRQRPLF FRQGLWLRQV :H DOVR ILQG WKDW WKH HIIHFW LV VWURQJHU 

ZLWKLQ JURXSV RI LQGLYLGXDOV ZKR EHORQJ WR WKH VDPH VRFLDO JURXS DQG DUH OLNHO\ WR KDYH 

PRUH IUHTXHQW LQWHUDFWLRQV 0RUHRYHU WKH SRWHQWLDO HFRQRPLF GHWHUPLQDQWV RI FURVV 

PXQLFLSDOLWLHV GLIIHUHQFHV LQ WKH UDWH RI HQWUHSUHQHXUVKLS DUH XQLPSRUWDQW IRU WKH LQGLYLGXDO

RFFXSDWLRQDO FKRLFH :KDW VHHPV WR PDWWHU LQVWHDG DUH GLIIHUHQFHV LQ FXOWXUDO YDOXHV 

DFURVV FRPPXQLWLHV 7KHVH ILQGLQJV VXSSRUW WKH LPSRUWDQFH RI VRFLDO LQWHUDFWLRQV DQG SHHU 

JURXS HIIHFWV IRU HQWUHSUHQHXULDO FKRLFHV :H DOVR HYDOXDWH DOWHUQDWLYH H[SODQDWLRQV OLNH 

WKH H[LVWHQFH RI DJJORPHUDWLRQ HFRQRPLHV 

7L]LDQD %UDQFDFFLR 

8QLYHUVLW\ &ROOHJH 'XEOLQ 

/$1' &2175$&76 $6 $ 7:2 6,'( 2&&83$7,21$/ &+2,&( 1(: 

(9,'(1&( 2) 5,6. 6+$5,1* ,1 ,1',$ 

.H\ZRUGV RFFXSDWLRQDO FKRLFH ULVN VKDULQJ VRUWLQJ DQG WHQDQF\ FRQWUDFWV 


7KH LPSRUWDQFH RI ULVN VKDULQJ LQ DJULFXOWXUDO HFRQRPLHV KDV EHHQ H[WHQVLYHO\ DQDO\]HG 

WKURXJK WKH SULQFLSDO DJHQW IUDPHZRUN ZKLFK SUHGLFWV WKDW VKDUHFURSSLQJ VKRXOG EH 

REVHUYHG PRUH IUHTXHQWO\ ZKHQ RXWSXW XQFHUWDLQW\ LV KLJKHU (PSLULFDO VWXGLHV GR QRW 

FRQVLVWHQWO\ VKRZ D SRVLWLYH UHODWLRQ EHWZHHQ ULVN DQG LQFLGHQFH RI VKDUHFURSSLQJ ,Q WKLV 

SDSHU ZH GHYHORS DQ HFRQRPHWULF PRGHO EDVHG RQ D FRPSHWLWLYH IUDPHZRUN ZKHUH 

ODQGORUGV DQG WHQDQWV SUHIHUHQFHV RYHU ODQG FRQWUDFWV DUH PRGHOHG DV DQ RFFXSDWLRQDO 

FKRLFH 8VLQJ GDWD IURP UXUDO ,QGLD ZH REWDLQ VWUXFWXUDO HVWLPDWHV WKDW DOORZ WR GLVHQWDQJOH 

WKH HIIHFW RI RXWSXW XQFHUWDLQW\ RQ WKH WZR VLGHV RI WKH PDUNHW DIWHU FRQWUROOLQJ IRU PRUDO 

KD]DUG DQG WR UHDVVHVV WKH UROH RI ULVN LQ FRQWUDFW FKRLFH 

-HDQ %RQQHW 

8QLYHUVLWp GH &DHQ *(00$ 

&R $XWKRUV $ *KDUEL )HVVL $ *KDUEL )HVVL DQG 1 /H 3DSH 

'(%7 $**5(66,91(66 $1'


&KDLUSHUVRQ % 7LPV 

'DQLHO * *DUFHV 'LD] 

%DQN RI 0H[LFR 

$XJ 

+2: '2(6 7+( 021(7$5< 02'(/ 2) (;&+$1*( 5$7( 

'(7(50,1$7,21 /22. :+(1 ,7 5($//< :25.6" 

.H\ZRUGV &RLQWHJUDWLRQ ([FKDQJH 5DWH )RUHFDVWLQJ ,QIODWLRQ ,QYHUWLEOH 0RQH\ 'HPDQG 

DQG :HDN ([RJHQHLW\ 

-(/ &ODVVLILFDWLRQ & ( ( DQG ) 

7KLV SDSHU VKRZV WKDW WKH 0H[LFDQ HFRQRP\ IURP WR LV 

OLNH WKH *HUPDQ K\SHULQIODWLRQ SHULRG D XQLTXH PRQHWDU\ CCQDWXUDO 

H[SHULPHQW ZKHUH IXQGDPHQWDO UHODWLRQVKLSV OLNH PRQH\ GHPDQG 

333 DQG WKH PRQHWDU\ PRGHO RI H[FKDQJH UDWH GHWHUPLQDWLRQ FDQ EH 

DQDO\]HG ZLWK XQSDUDOOHOHG FODULW\ 7KH\ KROG IRU WKH ZKROH SHULRG 

DQG QRQRYHUODSSLQJ VXEVDPSOHV 7KH ORQJ VSDQ DQG D FRQVSLFXRXV 

VWUXFWXUDO FKDQJH PLJKW EH XVHIXO LQ H[SODLQLQJ ZK\ WKHVH 

WKHRUHWLFDO UHODWLRQVKLSV DUH KDUG WR SURYH HOVHZKHUH $ VWXQQLQJ 

VZLWFK LQ WKH ZHDN H[RJHQLW\ SURSHUWLHV KHOSV WR FODULI\ 

VLPXOWDQHRXVO\ WKH FRQWURYHUVLHV VXUURXQGLQJ WKH H[FKDQJH UDWH 

IRUHFDVWDELOLW\ DQG WKH DEVHQFH RI PRQH\ LQ PRGHOV RI LQIODWLRQ 

5LFKDUG .OHLMQ 


&R $XWKRUV + 9DQ 'LMN 

%$

$ 5$1*( %$6(' 08/7,9$5,$7( 02'(/ )25 (;&+$1*( 5$7( 

92/$7,/,7< 

.H\ZRUGV ([FKDQJH UDWHV 0XOWLYDULDWH VWRFKDVWLF YRODWLOLW\ PRGHOV DQG 5DQJH EDVHG 

YRODWLOLW\ 


,Q WKLV SDSHU ZH SUHVHQW D SDUVLPRQLRXV PXOWLYDULDWH PRGHO IRU H[FKDQJH UDWH YRODWLOLWLHV 

EDVHG RQ ORJDULWKPLF KLJK ORZ UDQJHV RI GDLO\ H[FKDQJH UDWHV 7KH PXOWLYDULDWH VWRFKDVWLF 

YRODWLOLW\ PRGHO GLYLGHV WKH ORJ UDQJH RI HDFK H[FKDQJH UDWH LQWR WZR LQGHSHQGHQW ODWHQW 

IDFWRUV ZKLFK DUH LQWHUSUHWHG DV WKH XQGHUO\LQJ FXUUHQF\ VSHFLILF FRPSRQHQWV 'XH WR WKH 

QRUPDOLW\ RI ORJDULWKPLF YRODWLOLWLHV WKH PRGHO FDQ EH HVWLPDWHG FRQYHQLHQWO\ ZLWK 

VWDQGDUG .DOPDQ ILOWHU WHFKQLTXHV 2XU UHVXOWV VKRZ WKDW RXU PRGHO ILWV WKH H[FKDQJH UDWH 

GDWD TXLWH ZHOO ([FKDQJH UDWH QHZV VHHPV WR EH YHU\ FXUUHQF\ VSHFLILF DQG DOORZV XV WR 

LGHQWLI\ ZKLFK FXUUHQF\ FRQWULEXWHV PRVW WR ERWK H[FKDQJH UDWH OHYHOV DQG H[FKDQJH UDWH 

YRODWLOLWLHV 

),1$1&,$/ (&2120(75,&6 (03,5,&$/ ,, 


&KDLUSHUVRQ 5 3RUWHV 

/XLV &DWDR 


&R $XWKRUV $ 7LPPHUPDQ 

$XJ 

&28175< $1' ,1'8675< '

.H\ZRUGV %XOO DQG %HDU 0RGHO 6SHFLILFDWLRQ 2SWLPDO $VVHW $OORFDWLRQ DQG 5HJLPH 

6ZLWFKLQJ 


7KLV SDSHU VWXGLHV RSWLPDO DVVHW DOORFDWLRQ WR VWRFNV ORQJ WHUP ERQGV DQG 7 ELOOV LQ WKH 

SUHVHQFH RI UHJLPH VZLWFKLQJ LQ UHWXUQV 2Q 8 6 &563 GDWD ZH ILQG VWURQJ HYLGHQFH WKDW 

IRXU VHSDUDWH UHJLPHV FKDUDFWHUL]HG DV FUDVK VORZ JURZWK EXOO DQG EXOO EXUVW VWDWHV 

DUH UHTXLUHG WR FDSWXUH WKH MRLQW GLVWULEXWLRQ RI VWRFN DQG ERQG UHWXUQV 2SWLPDO DVVHW 

DOORFDWLRQV YDU\ 

FRQVLGHUDEO\ RYHU WKHVH VWDWHV ERWK DFURVV ERQGV DQG VWRFNV DQG DPRQJ ODUJH DQG VPDOO 

VWRFNV DQG FRQVHTXHQWO\ DOVR FKDQJH RYHU WLPH DV LQYHVWRUV XSGDWH WKHLU SHUFHSWLRQV RI 

WKH 

FXUUHQW VWDWH SUREDELOLWLHV )XUWKHUPRUH ZKLOH LQ WKH FUDVK VWDWH LQYHVWRUV DOZD\V DOORFDWH 

PRUH RI WKHLU SRUWIROLR WR VWRFNV WKH ORQJHU WKHLU LQYHVWPHQW KRUL]RQ WKH RSWLPDO DOORFDWLRQ 

WR VWRFNV DFWXDOO\ GHFOLQHV DV D IXQFWLRQ RI WKH LQYHVWPHQW KRUL]RQ LQ EXOO PDUNHWV 

5LFKDUG 3RUWHV 


&R $XWKRUV 3 'XQQH DQG 0 0RRUH 

'(),1,1* %(1&+0$5. 67$786 $1 $33/,&$7,21 86,1* (852 

$5($ %21'6 

.H\ZRUGV EHQFKPDUN FRLQWHJUDWLRQ DQG HXUR JRYHUQPHQW ERQGV 

-(/ &ODVVLILFDWLRQ ) * DQG + 

7KH LQWURGXFWLRQ RI WKH HXUR RQ -DQXDU\ FUHDWHG WKH FRQGLWLRQV IRU DQ LQWHJUDWHG 

JRYHUQPHQW ERQG PDUNHW LQ WKH HXUR DUHD 8VLQJ D XQLTXH GDWD VHW IURP WKH HOHFWURQLF 

WUDGLQJ SODWIRUP (XUR 076 ZH FRQVLGHU ZKDW LV WKH µEHQFKPDUN LQ WKLV PDUNHW :H 

GHYHORS DQG DSSO\ WZR GHILQLWLRQV RI EHQFKPDUN VWDWXV WKDW GLIIHU IURP WKH FRQYHQWLRQDO 

YLHZ WKDW WKH EHQFKPDUN LV WKH VHFXULW\ ZLWK ORZHVW \LHOG DW D JLYHQ PDWXULW\ 8VLQJ 

*UDQJHU FDXVDOLW\ DQG FRLQWHJUDWLRQ PHWKRGV ZH ILQG D FRPSOH[ SDWWHUQ RI EHQFKPDUN 

VWDWXV LQ HXUR DUHD JRYHUQPHQW ERQGV 

*52:7+ (03,5,&$/ ,, 


&KDLUSHUVRQ $ .RXUWHOORV 

/XLVLWR %HUWLQHOOL 


&R $XWKRUV 6 %DUULRV DQG ( 6WUREO 

&2$**/20(5$7,21 $1' *52:7+ 

$XJ 

5RRP ) 

.H\ZRUGV &RDJJORPHUDWLRQ ,UHODQG PXOWLQDWLRQDO FRPSDQLHV DQG UHJLRQDO JURZWK 

-(/ &ODVVLILFDWLRQ ) DQG 4

:H VWXG\ WKH FRDJJORPHUDWLRQ RI GRPHVWLF SODQWV DQG IRUHLJQ PXOWLQDWLRQDOV DQG WKH 

LPSDFW RI WKLV RQ GRPHVWLF SODQW JURZWK XVLQJ GDWD IRU ,ULVK PDQXIDFWXULQJ 7R WKLV HQG ZH 

PDNH XVH RI WKH LQGH[ GHYHORSHG E\ (OOLVRQ DQG *ODHVHU DQG ILQG FRDJJORPHUDWLRQ 

WR EH LPSRUWDQW IRU D QXPEHU RI VHFWRUV )RUHLJQ SUHVHQFH DV ZHOO DV IRUHLJQ HPSOR\PHQW 

GHQVLW\ DUH IRXQG WR EH LPSRUWDQW GHWHUPLQDQWV RI HPSOR\PHQW JURZWK RYHU WKH SHULRG 

HVSHFLDOO\ IRU WKRVH VHFWRUV ZLWK D KLJK GHJUHH RI FRDJJORPHUDWLRQ 

&KLK 0LQJ 7DQ 

8QLYHUVLW\ RI :LVFRQVLQ 0DGLVRQ 

*(2*5$3+< ,167,787,216 $1' ',9(56,7< $6 )$&7256 

81'(5/

,1)(5(1&( , 


&KDLUSHUVRQ - .LYLHW 

5LFKDUG 3DDS 


&R $XWKRUV ) .OHLEHUJHQ 

*(1(5$/,=(' 5('8&(' 5$1. 7(676 86,1* 7+( 6,1*8/$5 

9$/8( '(&20326,7,21 

$XJ 

.H\ZRUGV *00 UDQN UHGXFWLRQ DQG 6WRFKDVWLF GLVFRXQW IDFWRU PRGHO 


5RRP ) 

:H SURSRVH D QRYHO VWDWLVWLF WR WHVW WKH UDQN RI D PDWUL[ 7KH UDQN VWDWLVWLF 

RYHUFRPHV GHILFLHQFLHV RI H[LVWLQJ UDQN VWDWLVWLFV OLNH QHFHVVLW\ RI D 

.URQHFNHU FRYDULDQFH PDWUL[ $QGHUVRQ VHQVLWLYLW\ WR WKH RUGHULQJ RI WKH 

YDULDEOHV *LOO DQG /HZEHO D OLPLWLQJ GLVWULEXWLRQ WKDW LV QRW D VWDQGDUG 

FKL VTXDUHG GLVWULEXWLRQ 5RELQ DQG 6PLWK DQG XVDJH RI QXPHULFDO RSWLPL]DWLRQ 

IRU WKH REMHFWLYH IXQFWLRQ &UDJJ DQG 'RQDOG 2XU UDQN VWDWLVWLF FRQVLVWV RI D 

TXDGUDWLF IRUP RI D WUDQVIRUPDWLRQ RI WKH VPDOOHVW VLQJXODU YDOXHV RI DQ 

XQUHVWULFWHG HVWLPDWH RI WKH PDWUL[ RI LQWHUHVW DQG KDV D VWDQGDUG FKL VTXDUHG OLPLWLQJ 

GLVWULEXWLRQ :H DSSO\ WKH UDQN VWDWLVWLF WR WHVW IRU WKH UDQN RI D PDWUL[ WKDW JRYHUQV 

WKH LGHQWLILFDWLRQ LQ WKH VWRFKDVWLF GLVFRXQW IDFWRU PRGHO RI -DJDQQDWKDQ DQG :DQJ 

*LDQQD %RHUR 

8QLYHUVLW\ RI :DUZLFN DQG 8QLYHUVLW\ RI &DJOLDUL 

&R $XWKRUV - 6PLWK DQG . :DOOLV 

7+( 3523(57,(6 2) 620( *22'1(66 2) ),7 7(676 

.H\ZRUGV 3HDUVRQ V JRRGQHVV RI ILW WHVW 


7KH SURSHUWLHV RI 3HDUVRQ V JRRGQHVV RI ILW WHVW DV XVHG LQ GHQVLW\ IRUHFDVW HYDOXDWLRQ 

LQFRPH GLVWULEXWLRQ DQDO\VLV DQG HOVHZKHUH DUH DQDO\VHG 7KH FRPSRQHQWV RI FKL VTXDUHG 

RU 3HDUVRQ DQDORJ WHVWV RI $QGHUVRQ DUH VKRZQ WR EH OHVV JHQHUDOO\ DSSOLFDEOH 

WKDQ RULJLQDOO\ FODLPHG )RU WKH FDVH RI HTXLSUREDEOH FODVVHV ZKHUH WKH JHQHUDO 

FRPSRQHQWV WHVWV UHPDLQ YDOLG D 0RQWH &DUOR VWXG\ VKRZV WKDW WHVWV GLUHFWHG WRZDUGV 

VNHZQHVV DQG NXUWRVLV PD\ KDYH ORZ SRZHU GXH WR GLIIHUHQFHV EHWZHHQ WKH FODVV 

ERXQGDULHV DQG WKH LQWHUVHFWLRQ SRLQWV RI WKH GLVWULEXWLRQV EHLQJ FRPSDUHG 8VH RI 

QRQHTXLSUREDEOH FODVVHV FDQ LQFUHDVH WKH SRZHU RI LQGLYLGXDO FRPSRQHQW WHVWV 

-DQ ) .LYLHW 

8QLYHUVLW\ RI $PVWHUGDP

&R $XWKRUV - 'XIRXU 

7+( '(3(1'(1&( 2) 7(67 6,=( $1' 32:(5 21 18,6$1&( 

3$5$0(7(56 ,1 $8725(*5(66,9( 02'(/6 

.H\ZRUGV DV\PSWRWLF WHVWV DXWRUHJUHVVLYH PRGHOV 0RQWH &DUOR WHVWV QXLVDQFH 

SDUDPHWHUV VLPLODULW\ VL]H FRUUHFWLRQ DQG XQLW URRWV 


7KH GHWHUPLQLQJ IDFWRUV RI WKH UHMHFWLRQ SUREDELOLW\ RI YDULRXV DV\PSWRWLF DQG SDUWLFXODU 

ILQLWH VDPSOH WHVWV LV H[DPLQHG IRU DXWRUHJUHVVLYH PRGHOV ZLWK H[RJHQRXV UHJUHVVRUV )RU 

DQ LPSRUWDQW FODVV RI VXFK PRGHOV ZH ILQG VXEVWDQWLDO UHGXFWLRQV RI WKH QXLVDQFH 

SDUDPHWHU VSDFH ZKLFK VLPSOLILHV ERWK WKH DQDO\VLV RI WKH ILQLWH VDPSOH EHKDYLRXU RI 

DV\PSWRWLF WHVWV DQG WKH GHYHORSPHQW RI H[DFW WHVW SURFHGXUHV %\ VLPXODWLRQ PHWKRGV ZH 

HVWDEOLVK KXJH VL]H GLVWRUWLRQV RYHU UHOHYDQW DUHDV RI WKH QXLVDQFH SDUDPHWHU VSDFH IRU 

SRSXODU WHVWV IRU GLVFULPLQDWLQJ EHWZHHQ DQG DQDO\]LQJ WUHQG VWDWLRQDULW\ DQG GLIIHUHQFH 

VWDWLRQDULW\ :H H[DPLQH DOVR DOWHUQDWLYH H[DFW 0RQWH &DUOR WHVW SURFHGXUHV ERWK VLPLODU 

DQG QRQ VLPLODU DQG HPEDUN RQ PDNLQJ SRZHU FRPSDULVRQV 

-2% 6($5&+ 


&KDLUSHUVRQ / 5LRX[ 

$QGUH\ /DXQRY 

0XQLFK 8QLYHUVLW\ DQG ,=$ 

$XJ 

5RRP ) 

$ 678'< 2) 7+( $8675,$1 /$%285 0$5.(7 '

.H\ZRUGV KD]DUGV UDQGRP PDWFKLQJ DQG WZR VLGHG VHDUFK 

-(/ &ODVVLILFDWLRQ & ( - - DQG - 

7KLV SDSHU HVWLPDWHV D PRGHO RI WZR VLGHG VHDUFK XVLQJ PLFUR OHYHO GDWD IRU D ZHOO GHILQHG 

ODERXU PDUNHW ,W H[DPLQHV WKH DVVXPSWLRQ RI UDQGRP PDWFKLQJ DQG FRQWUDVWV LW ZLWK WKH 

VWRFN IORZ RU QRQ UDQGRP PDWFKLQJ PRGHO RI &ROHV DQG FROODERUDWRUV *LYHQ D GDWDVHW RI 

FRQWDFWV PDWFKHV DQG FRPSOHWH ODERXU PDUNHW KLVWRULHV IRU ERWK VLGHV RI WKH PDUNHW ZH 

HVWLPDWH KD]DUG IXQFWLRQV IRU ERWK XQHPSOR\HG MRE VHHNHUV DQG YDFDQFLHV )RU 

MREVHHNHUV WKH WHVWV DGGV WKH VWRFN RI QHZ YDFDQFLHV WR D VWDQGDUG MRE VHHNHU KD]DUG 

ZKLFK LWVHOI GHSHQGV RQ WKH VWRFNV RI YDFDQFLHV DQG XQHPSOR\HG 2XU WHQWDWLYH UHVXOWV 

ILQG YHU\ ZHDN HYLGHQFH RI VWRFN IORZ PDWFKLQJ 

/DXUHQFH 5LRX[ 

&(5& DQG &5(67 

&R $XWKRUV 6 /ROOLYLHU 

$ 6758&785$/ 121 67$7,21$5< 02'(/ 2) -2% 6($5&+ 

67,*0$7,=$7,21 2) 7+( 81(03/2

PRGHOV ZKHUH ERWK UHJUHVVRUV DQG UHVLGXDOV PD\ H[KLELW ORQJ UDQJH 

GHSHQGHQFH 7KH OLPLWLQJ GLVWULEXWLRQ RI WKH WHVW VWDWLVWLF GHSHQGV RQ 

XQNQRZQ SDUDPHWHUV DQG LV DSSUR[LPDWHG E\ D ERRWVWUDS SURFHGXUH 7KH 

DV\PSWRWLF YDOLGLW\ RI ERRWVWUDS LV VKRZQ DQG SHUIRUPDQFH RI WKH WHVWLQJ 

SURFHGXUH LV H[DPLQHG LQ D VLPSOH 0RQWH &DUOR H[SHULPHQW 

-RVX $UWHFKH 

8QLYHUVLW\ RI WKH %DVTXH &RXQWU\ 

&R $XWKRUV & 9HODVFR 

75,00,1* $1' 7$3(5,1* 6(0,3$5$0(75,& (67,0$7(6 ,1 

$6

&KDLUSHUVRQ 2 +ROWHP|OOHU 

$QGHUV :DUQH 


&R $XWKRUV $ %UXJJHPDQ DQG 3 'RQDWL 

,6 7+( '(0$1' )25 (852 $5($ 0 67$%/(" 

.H\ZRUGV $JJUHJDWLRQ &RLQWHJUDWLRQ 0RQH\ 'HPDQG 2ZQ 5DWH RI 0RQH\ DQG 

3DUDPHWHU &RQVWDQF\ 


7KLV SDSHU DGGUHVVHV D QXPEHU RI RSHQ LVVXHV FRQFHUQLQJ HXUR DUHD PRQH\ GHPDQG 7KH 

QHHG IRU D FRQVLVWHQW DJJUHJDWLRQ PHWKRGRORJ\ IRU VFDOH YDULDEOHV DQG LQWHUHVW UDWHV DQG 

WKH PHDVXUHPHQW RI WKH RZQ UDWH RI UHWXUQ RQ PRQH\ DUH UHH[DPLQHG 7KH PDLQ TXHVWLRQ 

LV LI WKH GHPDQG IRU 0 LV VXEMHFW WR SDUDPHWHU QRQFRQVWDQFLHV XVLQJ IRUPDO WHVWV 7KH 

HYLGHQFH VXJJHVWV WKDW WKHUH LV D VWDEOH ORQJ UXQ UHODWLRQVKLS EHWZHHQ PRQH\ DQG RXWSXW 

DQG WKDW WKH FRLQWHJUDWLRQ VSDFH LV QRW VXEMHFW WR QRQFRQVWDQFLHV )RU UHVWULFWHG PRGHOV 

WKH SDUDPHWHUV RI DW OHDVW WKH UHGXFHG IRUP PRQH\ HTXDWLRQ RI WKH V\VWHP VHHP WR EH 

FRQVWDQW RYHU WLPH 

:RMFLHFK 0DOLV]HZVNL 


021(7$5< 32/,&< ,1 75$16,7,21 6758&785$/ (&2120(75,& 

02'(//,1* $1' 32/,&< 6,08/$7,216 

.H\ZRUGV %D\HVLDQ PHWKRGV LQIODWLRQ PRQHWDU\ SROLF\ DQG 9$5 


,Q WKLV SDSHU ZH HVWLPDWH D %D\HVLDQ VWUXFWXUDO 9$5 PRGHO DOORZLQJ IRU FKDQJHV LQ 

SDUDPHWHUV EHWZHHQ WKH WZR PRQHWDU\ SROLF\ DUUDQJHPHQWV FRQWULEXWLQJ WR WKH H[LVWLQJ 

UHVHDUFK RQ PRQHWDU\ SROLF\ WUDQVLWLRQ PHFKDQLVP LQ WUDQVLWLRQ HFRQRPLHV 

2OLYHU +ROWHP|OOHU 

+XPEROGW 8QLYHUVLWlW ]X %HUOLQ 

$**5(*$7,21 2) 1$7,21$/ '$7$ $1' ,1)250$7,21 &217(17 

2) (852 $5($ 021(< '(0$1' 6

EHJLQQLQJ RI VWDJH WKUHH RI (XURSHDQ 0RQHWDU\ 8QLRQ" +RZ FDQ FRLQWHJUDWLRQ UHODWLRQV EH 

LGHQWLILHG DQG LQWHUSUHWHG LQ D GDWD DQG WKHRU\ FRQVLVWHQW ZD\" $Q HVWLPDWHG YHFWRU HUURU 

FRUUHFWLRQ PRGHO LV SUHVHQWHG ZKLFK KHOSV WR DQVZHU WKHVH TXHVWLRQV DQG ZKLFK LV DEOH WR 

H[SODLQ PDMRU (&% LQWHUHVW UDWH FKDQJHV 

0257$/,7< 


&KDLUSHUVRQ 9 /HFKHQH 

0DDUWHQ /LQGHERRP 


&R $XWKRUV ) 3RUWUDLW DQG * YDQ GHQ %HUJ 

$XJ 

&+$1*(6 ,1 /21*(9,7< $1' (&2120,& &21',7,216 

5RRP ' 

.H\ZRUGV GXUDWLRQ PRGHOV HFRQRPLF FRQGLWLRQV ORQJ UXQ HIIHFWV PRUWDOLW\ DQG VKRUW UXQ 

HIIHFWV 

-(/ &ODVVLILFDWLRQ , - 1 DQG 1 

2XU VWXG\ IRFXVHV RQ ERWK WKH ORQJHU WHUP DQG WKH VKRUW WHUP HIIHFWV RI FKDQJHV LQ WKH 

HFRQRPLF FRQGLWLRQV RQ WKH GLVWULEXWLRQ RI PRUWDOLW\ DFURVV DOO DJHV :H KDYH DFFHVV WR DQ 

XQXVXDOO\ ORQJ VHULHV RI LQGLYLGXDO UHFRUGV RI ELUWKV DQG GHDWKV RI 'XWFK FLWL]HQV WKDW 

DOORZV XV WR FRQVWUXFW IXOO OLIH KLVWRULHV RI LQGLYLGXDOV ERUQ LQ WKH SHULRG :H ILQG 

WKDW VRFLR HFRQRPLF DQG PDFUR HFRQRPLF FRQGLWLRQV GXULQJ FKLOGKRRG KDYH VWURQJ DQG 

ORQJ ODVWLQJ HIIHFWV RQ PRUWDOLW\ :H DOVR ILQG WKDW KLJK OHYHOV RI *'3 DUH DVVRFLDWHG ORZHU 

PRUWDOLW\ ULVNV DQG WKDW WKLV HIIHFW LV VWURQJHU IRU WKH \RXQJ DQG WKH ROG 

%DV 9DQ GHU .ODDXZ 

)UHH 8QLYHUVLW\ 

&+,/' 0257$/,7< ,1 ,1',$ 

.H\ZRUGV GXUDWLRQ DQDO\VLV PRUWDOLW\ UDWHV SROLF\ H[SHULPHQWV VWUDWLILHG SDUWLDO OLNHOLKRRG 

DQG WHVWLQJ IRU IL[HG HIIHFWV 

-(/ &ODVVLILFDWLRQ & , DQG , 

7KLV SDSHU IRFXVVHV RQ WKH VHQVLWLYLW\ RI HVWLPDWRUV IRU FDXVDO HIIHFWV WR SDUDPHWULF 

DVVXPSWLRQV 7KH SRLQW 

RI GHSDUWXUH LV D KD]DUG UDWH PRGHO ZKHUH LQGLYLGXDOV DUH FOXVWHUHG LQ XQLWV 7UHDWPHQW 

RFFXUV DW WKH OHYHO RI WKH 

XQLW :H FRUUHFW WKH WHVW IRU WKH SUHVHQFH RI XQLW VSHFLILF HIIHFWV SURSRVHG E\ 5LGGHU DQG 

7XQDOL )RU WKH 

FDVH WKDW XQLW VSHFLILF HIIHFWV DUH SUHVHQW ZH GHULYH HVWLPDWRUV IRU WUHDWPHQW HIIHFWV 

7KHVH HVWLPDWRUV DUH FRPSDUHG 

WR HVWLPDWRUV IURP SDUDPHWULF GXUDWLRQ PRGHOV ,Q WKH HPSLULFDO DSSOLFDWLRQ ZH VWXG\ FKLOG 

PRUWDOLW\ LQ ,QGLD

9DOHULH /HFKHQH 

8QLYHUVLW\ RI 2[IRUG 

&R $XWKRUV - $GGD 

21 7+( ,'(17,),&$7,21 2) 7+( ())(&7 2) 602.,1* 21 

0257$/,7< 

.H\ZRUGV &DXVDOLW\ 'XUDWLRQ +HDOWK /LIH ([SHFWDQF\ 0RUWDOLW\ 6HOHFWLRQ DQG 6PRNLQJ 


7KLV SDSHU FRQVLGHUV WKH LGHQWLILFDWLRQ RI WKH HIIHFW RI WREDFFR RQ PRUWDOLW\ ,I LQGLYLGXDOV 

VHOHFW LQWR VPRNLQJ DFFRUGLQJ WR VRPH XQREVHUYHG KHDOWK FKDUDFWHULVWLF WKHQ HVWLPDWHV RI 

WKH HIIHFW RI WREDFFR RQ KHDOWK WKDW GR QRW DFFRXQW IRU WKLV DUH ELDVHG :H VKRZ WKDW XVLQJ 

LQIRUPDWLRQ RQ PRUWDOLW\ PRUELGLW\ DQG VPRNLQJ LW LV SRVVLEOH WR FRQWURO IRU WKLV VHOHFWLRQ 

HIIHFW DQG LGHQWLI\ WKH HIIHFW RI VPRNLQJ RQ PRUWDOLW\ :H LPSOHPHQW RXU PHWKRG RQ 

6ZHGLVK GDWD :H HPSLULFDOO\ HYDOXDWH WKH LPSRUWDQFH RI WKH VHOHFWLRQ HIIHFW ZLWKLQ WKH 

IUDPHZRUN RI D PRGHO RI GXUDWLRQ WR GHDWK 

32/,7,&$/ (&2120< ,,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 5 7RUYLN 

0 (PUDQXO +DTXH 

8QLYHUVLW\ RI 0DQFKHVWHU 

&R $XWKRUV . %ODFNEXUQ DQG 1 %RVH 

$XJ 

(1'2*(1286 &255837,21 ,1 (&2120,& '(9(/230(17 

.H\ZRUGV %ULEHU\ &RUUXSWLRQ 'HYHORSPHQW DQG 7D[ HYDVLRQ 

-(/ &ODVVLILFDWLRQ ( + DQG 2 

5RRP $ 

7KLV SDSHU SUHVHQWV DQ DQDO\VLV RI WKH MRLQW GHWHUPLQDWLRQ RI EXUHDXFUDWLF FRUUXSWLRQ DQG 

HFRQRPLF GHYHORSPHQW 7KH DQDO\VLV LV EDVHG RQ D VLPSOH QHR FODVVLFDO JURZWK PRGHO LQ 

ZKLFK EXUHDXFUDWV DUH HPSOR\HG DV DJHQWV RI WKH JRYHUQPHQW WR FROOHFW WD[HV IURP 

KRXVHKROGV &RUUXSWLRQ LV UHIOHFWHG LQ EULEHU\ DQG WD[ HYDVLRQ DV EXUHDXFUDWV FRQVSLUH 

ZLWK KRXVHKROGV WR SURYLGH IDOVH LQIRUPDWLRQ WR WKH JRYHUQPHQW &RVWO\ FRQFHDOPHQW RI WKLV 

DFWLYLW\ OHDGV WR D ORVV RI UHVRXUFHV DYDLODEOH IRU SURGXFWLYH LQYHVWPHQWV 7KH LQFHQWLYH IRU 

DQ LQGLYLGXDO EXUHDXFUDW WR DFFHSW D EULEH GHSHQGV RQ WKH QXPEHU RI RWKHU EXUHDXFUDWV 

ZKR DUH H[SHFWHG WR DFFHSW EULEHV 7KLV VWUDWHJLF LQWHUDFWLRQ LQ EXUHDXFUDWLF GHFLVLRQ 

PDNLQJ SURGXFHV PXOWLSOH IUHTXHQF\ GHSHQGHQW HTXLOLEULD DVVRFLDWHG ZLWK GLIIHUHQW 

LQFLGHQFHV RI FRUUXSWLRQ 7KH SUHGLFWLRQV RI WKH PRGHO DFFRUG VWURQJO\ ZLWK UHFHQW 

HPSLULFDO HYLGHQFH 

3DROR 3LQRWWL 

81,9 3203(8 )$%5$ DQG )((0 

&R $XWKRUV % %2572/277,

7+( 32/,7,&$/ (&2120< 2) 35,9$7,=$7,21 

.H\ZRUGV 3$57,6$1 32/,7,&6 32/,7,&$/ ,167,787,216 DQG 35,9$7,=$7,21 


7KLV SDSHU SURYLGHV DQ HPSLULFDO DQDO\VLV RI WKH UROH RI SROLWLFDO LQVWLWXWLRQV LQ 

SULYDWL]DWLRQ 7KH HPSLULFDO WHVWLQJ UHOLHV RQ D QHZ SROLWLFDO GDWDEDVH ZLWK FRQWLQXRXV 

DQG WLPH YDU\LQJ PHDVXUHV RI WKH SROLWLFDO LQVWLWXWLRQDO VHWWLQJ DQG RI WKH SDUWLVDQ 

RULHQWDWLRQ RI WKH H[HFXWLYH 8VLQJ SDQHO GDWD IRU DGYDQFHG HFRQRPLHV LQ WKH 

SHULRG ILUVW ZH VKRZ WKH OLNHOLKRRG DQG WKH H[WHQW RI SULYDWL]DWLRQ WR EH VWURQJO\ 

DQG SRVLWLYHO\ DVVRFLDWHG ZLWK PDMRULWDULDQ SROLWLFDO V\VWHPV 2Q WKH FRQWUDU\ LQ 

FRQVHQVXDO GHPRFUDFLHV SULYDWL]DWLRQ VHHPV GHOD\HG E\ D ³ZDU RI DWWULWLRQ´ DPRQJ 

GLIIHUHQW SROLWLFDO DFWRUV 6HFRQG ZH LGHQWLI\ D SDUWLVDQ GHWHUPLQDQW RI WKH FKRLFH RI WKH 

SULYDWL]DWLRQ PHWKRG $V WKHRU\ SUHGLFWV ULJKW ZLQJ H[HFXWLYHV ZLWK UH HOHFWLRQ 

FRQFHUQV GHVLJQ SULYDWL]DWLRQ WR VSUHDG VKDUH RZQHUVKLS DPRQJ GRPHVWLF YRWHUV 

(UQVW /XGZLJ 9RQ 7KDGGHQ 

8QLYHUVLWH GH /DXVDQQH 

&R $XWKRUV ( 3HURWWL 

7+( 32/,7,&$/ (&2120< 2) 0$5.(7 $1' %$1. '20,1$1&( 

.H\ZRUGV EDQNV ILQDQFLDO V\VWHPV DUFKLWHFWXUH SROLWLFDO HFRQRP\ DQG VWDNHKROGHUV 

-(/ &ODVVLILFDWLRQ ' * DQG 3 

/HJLVODWLRQ DIIHFWV FRUSRUDWH JRYHUQDQFH DQG WKH UHWXUQ WR KXPDQ DQG ILQDQFLDO FDSLWDO 

:H DOORZ WKH SUHIHUHQFH RI D SROLWLFDO PDMRULW\ WR GHWHUPLQH ERWK WKH JRYHUQDQFH VWUXFWXUH 

DQG WKH H[WHQW RI VWDNHKROGHU FODLPV ,Q D VRFLHW\ ZKHUH PHGLDQ YRWHUV KDYH UHODWLYHO\ 

PRUH DW VWDNH LQ WKH IRUP RI KXPDQ FDSLWDO UDWKHU WKDQ ILQDQFLDO ZHDOWK WKH\ SUHIHU D OHVV 

ULVN\ HQYLURQPHQW HYHQ ZKHQ WKLV UHGXFHV SURILWV DV VWDNHKROGHU UHQWV DUH H[SRVHG WR 

XQGLYHUVLILDEOH ILUP VSHFLILF ULVN ,Q JHQHUDO VWDNHKROGHUV DQG OHQGHUV SUHIHU OHVV FRUSRUDWH 

ULVN VLQFH WKHLU FODLPV DUH D FRQFDYH IXQFWLRQ RI ILUP SURILWDELOLW\ 7KLV FRQJUXHQFH RI 

LQWHUHVWV FDQ OHDG WKH SROLWLFDO PDMRULW\ WR VXSSRUW EDQN RYHU HTXLW\ GRPLQDQFH 

5DJQDU 7RUYLN 

1RUZHJLDQ 8QLYHUVLW\ RI 6FLHQFH 7HFKQRORJ\ 

&R $XWKRUV - 5RELQVRQ 

:+,7( (/(3+$176 

.H\ZRUGV GHYHORSPHQW LQYHVWPHQW DQG SROLWLFDO HFRQRP\ 

-(/ &ODVVLILFDWLRQ + DQG 2 

8QGHUGHYHORSPHQW LV WKRXJKW WR EH DERXW ODFN RI LQYHVWPHQW DQG PDQ\ SROLWLFDO HFRQRP\ 

WKHRULHV FDQ DFFRXQW IRU WKLV

UHGLVWULEXWLRQ :H VKRZ WKDW LW LV WKH YHU\ LQHIILFLHQF\ RI VXFK SURMHFWV WKDW PDNHV WKHP 

SROLWLFDOO\ DSSHDOLQJ 7KLV LV VR EHFDXVH LW DOORZV RQO\ VRPH SROLWLFLDQV WR FUHGLEO\ SURPLVH 

WR EXLOG WKHP DQG WKXV HQWHU LQWR FUHGLEOH UHGLVWULEXWLRQ 7KH IDFW WKDW QRW DOO SROLWLFLDQV FDQ 

FUHGLEO\ XQGHUWDNH VXFK SURMHFWV JLYHV WKRVH ZKR FDQ D VWUDWHJLF DGYDQWDJH 

,1'8675,$/ 25*$1,6$7,21 ,9 

&DWHJRU\ (($ 

&KDLUSHUVRQ - /DJHUORI 

6WHIDQ %DXPJlUWQHU 


$XJ 

5RRP & 

',9(56,7< $6 $ 327(17,$/ )25 68535,6( $1 ,1)250$7,21 

7+(25(7,& 0($685( 2) ())(&7,9( 352'8&7 ',9(56,7< 

.H\ZRUGV DXWR LQGXVWU\ GLYHUVLW\ HQWURS\ LQIRUPDWLRQ PDUNHW FRQFHQWUDWLRQ SURGXFW 

YDULHW\ VXUSULVH DQG XQFHUWDLQW\ 


7KH HFRQRPLF UHOHYDQFH RI GLYHUVLW\ VWHPV IURP 

XQFHUWDLQW\ DERXW WKH IXWXUH 6XUSULVH LV MXVW DQRWKHU H[SUHVVLRQ RI VXFK 

XQFHUWDLQW\ , WKHUHIRUH SURSRVH WR WDNH WKH H[SHFWHG VXUSULVH ZKHQ 

VHTXHQWLDOO\ REVHUYLQJ DQ DOORFDWLRQ DV D PHDVXUH RI HIIHFWLYH GLYHUVLW\ RI 

WKDW DOORFDWLRQ ([SHFWHG VXUSULVH FDQ EH TXDQWLILHG DV WKH H[SHFWHG 

LQIRUPDWLRQ FRQWHQW RI DQ REVHUYDWLRQ DOVR NQRZQ DV HQWURS\ 7KLV FRQFHSW LV 

DSSOLHG LQ DQ HPSLULFDO DQDO\VLV RI WKH HIIHFWLYH GLYHUVLW\ RI QHZ SDVVHQJHU 

FDUV LQ *HUPDQ\ 

0LNNR 0XVWRQHQ 


&R $XWKRUV $ *OD]HU DQG 9 .DQQLDLQHQ 

)5(( 5,',1* ,1 7+( ,1129$7,21 2) 1(7:25. *22'6 

.H\ZRUGV )UHH ULGLQJ LQQRYDWLRQ 1HWZRUN JRRGV DQG 7HOHFRPPXQLFDWLRQ 

-(/ &ODVVLILFDWLRQ ' ' / DQG / 

:H FRQVLGHU GXRSROLVWV LQQRYDWLQJ DQG SURGXFLQJ D JRRG VXEMHFW WR QHWZRUN H[WHUQDOLWLHV 

VR WKDW WKH UHVHUYDWLRQ SULFH RI D FRQVXPHU LQFUHDVHV ZLWK DJJUHJDWH FRQVXPSWLRQ 7KH 

SRVW LQQRYDWLRQ QHWZRUN FRQVLVWV RI WKH FXVWRPHUV RI ERWK ILUPV ZLWK DQ LQFUHDVHG QHWZRUN 

YDOXDWLRQ 7KH QRQ LQQRYDWLQJ ILUP HQMR\V D ODUJHU SURILW WKDQ ZKHQ QHLWKHU ILUP LQQRYDWHV 

7KLV UHVXOWV LQ IUHH ULGLQJ RQ WKH ZLQQHU V QHWZRUN KDYLQJ SURSHUWLHV RI D SXEOLF JRRG 

8QGHU D VWURQJ QHWZRUN HIIHFW WKH ORVHU V SURILW LV ODUJHU WKDQ WKH ZLQQHU V SURILW 6XFK D 

QHWZRUN HIIHFW UHGXFHV WKH GXRSROLVWV LQFHQWLYHV WR LQYHVW LQ LQQRYDWLRQ 

9RONHU *URVVPDQQ


0$1$*(5,$/ -2% $66,*10(17 $1' ,03(5)(&7 &203(7,7,21 ,1 

$6


,Q UHFHQW GHFDGHV IRUHLJQ DVVHWV DQG OLDELOLWLHV LQ DGYDQFHG FRXQWULHV KDYH JURZQ UDSLGO\ 

UHODWLYH WR *'3 ZLWK WKH LQFUHDVH LQ JURVV FURVV KROGLQJV IDU H[FHHGLQJ WKH VL]H RI QHW 

SRVLWLRQV 0RUHRYHU WKH SRUWIROLR HTXLW\ DQG )', FDWHJRULHV KDYH JURZQ LQ LPSRUWDQFH 

UHODWLYH WR LQWHUQDWLRQDO GHEW VWRFNV ,Q WKLV SDSHU ZH GHVFULEH WKH EURDG WUHQGV LQ 

LQWHUQDWLRQDO ILQDQFLDO LQWHJUDWLRQ IRU D VDPSOH RI LQGXVWULDO FRXQWULHV DQG VHHN WR H[SODLQ 

WKH FURVV FRXQWU\ DQG WLPH VHULHV YDULDWLRQ LQ WKH VL]H RI LQWHUQDWLRQDO EDODQFH VKHHWV :H 

DOVR H[DPLQH WKH EHKDYLRU RI WKH UDWHV RI UHWXUQ RQ IRUHLJQ DVVHWV DQG OLDELOLWLHV UHODWLQJ 

WKHP WR µPDUNHW UHWXUQV 

8JR 3DQL]]D 

5HVHDUFK 'HSDUWPHQW ,QWHU $PHULFDQ 'HYHORSPHQW %DQN 

&R $XWKRUV % (LFKHQJUHHQ DQG 5 +DXVPDQQ 

25,*,1$/ 6,1 7+( 3$,1 7+( 0

021(7$5< 32/,&< 9 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 :HGHU 

)HOL[ +XHIQHU 

=(: 0DQQKHLP 

&R $XWKRUV ) +HLQHPDQQ 

$XJ 

,6 7+( 9,(: )520 7+( (85272:(5 385(/< (8523($1" 

1$7,21$/ ',9(5*(1&( $1' (&% ,17(5(67 5$7( 32/,&< 

.H\ZRUGV (&% PRQHWDU\ SROLF\ DQG 7D\ORU UXOH 

-(/ &ODVVLILFDWLRQ ( 

5RRP % 

7KH RIILFLDO YLHZ RQ (&% PRQHWDU\ SROLF\ FODLPV WKDW GHFLVLRQV DUH EDVHG RQ HXUR ]RQH 

GDWD DQG WKDW GLYHUJLQJ UHJLRQDO GHYHORSPHQWV DUH GLVUHJDUGHG 7R WHVW HPSLULFDOO\ 

ZKHWKHU UHJLRQDO GHYHORSPHQWV KDYH DQ LPSDFW RQ (&% GHFLVLRQV ZH GHYHORS D 

JHQHUDOLVHG PRQHWDU\ SROLF\ UHDFWLRQ IXQFWLRQ ZKLFK DOORZV IRU DQ LQIOXHQFH RI UHJLRQDO 

GLYHUJHQFH 5HDFWLRQ IXQFWLRQ HVWLPDWLRQV DQG D SURELW PRGHO RI LQWHUHVW UDWH GHFLVLRQV IRU 

WKH ILUVW \HDUV RI WKH HXUR DUHD RIIHU VRPH ZHDN VXSSRUW IRU DQ LPSDFW RI UHJLRQDO 

GLYHUJHQFH 7KH UHVXOWV FODULI\ WKDW LJQRULQJ D SRWHQWLDO QDWLRQDO SHUVSHFWLYH PD\ OHDG WR 

ELDVHG HVWLPDWHV IRU WKH (&% UHDFWLRQ IXQFWLRQ 

6WHIDQ *HUODFK 

+RQJ .RQJ 0RQHWDU\ $XWKRULW\ 

7+( (&% 6 7:2 3,//$56 

.H\ZRUGV (&% ILOWHULQJ DQG PRQHWDU\ SROLF\ 


7KLV SDSHU VXJJHVWV D IRUPDO LQWHUSUHWDWLRQ RI WKH (&% V WZR SLOODU IUDPHZRUN IRU PRQHWDU\ 

SROLF\ , GHFRPSRVH LQIODWLRQ LQ WKH HXUR DUHD LQWR KLJK DQG ORZ IUHTXHQF\ RU VKRUW UXQ 

DQG PHGLXP ORQJ UXQ FRPSRQHQWV ZKLFK DUH FRUUHODWHG ZLWK PRQHWDU\ JURZWK DQG WKH 

RXWSXW JDS UHVSHFWLYHO\ , SURFHHG WR SURSRVH DQG HVWLPDWH D WZR SLOODU 3KLOOLSV FXUYH 

WKDW DVVXPHV WKDW PRQH\ FDXVHV SULFHV :KLOH WKH PRGHO ILWV ZHOO DQG WKH FDXVDOLW\ 

DVVXPSWLRQ VHHPV FRPSDWLEOH ZLWK WKH GDWD WKHUH DSSHDUV WR EH UHYHUVH 

FDXVDOLW\ IURP SULFHV WR PRQH\ LQ WKH SHULRG ZKLFK ZRXOG LQYDOLGDWH P\ PRGHO 

6HSSR +RQNDSRKMD 


&R $XWKRUV * (YDQV 

$'$37,9( /($51,1* $1' 021(7$5< 32/,&< '(6,*1 

.H\ZRUGV $'$37,9( /($51,1* &200,70(17 '(7(50,1$&< ,17(5(67 5$7( 

6(77,1* 021(7$5< 32/,&< DQG 67$%,/,7< 

-(/ &ODVVLILFDWLRQ ' ( DQG (

:H UHYLHZ WKH UHFHQW ZRUN RQ LQWHUHVW UDWH VHWWLQJ ZKLFK HPSKDVL]HV WKH GHVLUDELOLW\ RI 

GHVLJQLQJ SROLF\ WR HQVXUH VWDELOLW\ XQGHU SULYDWH DJHQW OHDUQLQJ $SSURSULDWHO\ GHVLJQHG 

H[SHFWDWLRQV EDVHG UXOHV FDQ \LHOG RSWLPDO UDWLRQDO H[SHFWDWLRQV HTXLOLEULD WKDW DUH ERWK 

GHWHUPLQDWH DQG VWDEOH XQGHU OHDUQLQJ 6RPH VLPSOH LQVWUXPHQW UXOHV DQG DSSUR[LPDWH 

WDUJHWLQJ UXOHV DOVR KDYH WKHVH GHVLUDEOH SURSHUWLHV :H WDNH XS YDULRXV FRPSOLFDWLRQV LQ 

LPSOHPHQWLQJ RSWLPDO SROLF\ LQFOXGLQJ WKH REVHUYDELOLW\ RI NH\ YDULDEOHV DQG WKH UHTXLUHG 

NQRZOHGJH RI VWUXFWXUDO SDUDPHWHUV $Q DGGLWLRQDO LVVXH WKDW ZH WDNH XS FRQFHUQV WKH 

LPSOLFDWLRQV RI H[SHFWDWLRQ VKRFNV QRW DULVLQJ IURP WUDQVLWLRQDO OHDUQLQJ HIIHFWV 

0DUN :HGHU 


7$

$OEHUW 9DQ GHU +RUVW 

&3% 1HWKHUODQGV %XUHDX RI (FRQRPLF 3ROLF\ $QDO\VLV 

6758&785$/ (67,0$7(6 2) (48,/,%5,80 81(03/2

:+2 :$176 72 %( $ µ)21&7,211$,5( " 7+( ())(&76 2) 

,1',9,'8$/ :$*( ',))(5(17,$/6 $1' 81(03/2


,Q WKLV SDSHU ZH DQDO\]H WKH HIIHFWV RI ODERU PDUNHW FRQGLWLRQV DQG KRXVHKROG VWUXFWXUH LQ 

HGXFDWLRQDO DWWDLQPHQW DQG HQUROPHQW LQ SRVW FRPSXOVRU\ HGXFDWLRQ RI 6SDQLVK 

RI UHWXUQ PLJUDQWV FRPSDUHG WR WKH QRQ PLJUDQWV" DQG LL :KDW ZRXOG EH 

WKH SHUIRUPDQFH RI QRQ PLJUDQWV KDG WKH\ GHFLGHG WR PLJUDWH DQG UHWXUQ" 

%RWK WKH VHOHFWLRQ HVWLPDWHV DQG WKH VHPL SDUDPHWULF DSSURDFK DOORZ XV 

WR FRQFOXGH WKDW WKH IORZV RI UHWXUQ PLJUDQWV DUH QHJDWLYHO\ VHOHFWHG :H 

ILQG WKDW KDG WKH\ GHFLGHG WR PLJUDWH DQG FRPH EDFN WKH QRQ PLJUDQWV 

ZRXOG KDYH HDUQHG PRUH WKDQ WZLFH WKH ZDJHV RI UHWXUQ PLJUDQWV 

/DXUHQW *RELOORQ 

8&/ DQG &5(67 

&R $XWKRUV ' /H %ODQF 

0,*5$7,216 ,1&20( $1' 6.,//6 

.H\ZRUGV /DERXU 0LJUDWLRQ 3DQHO 'DWD 6HOHFWLRQ PRGHO DQG 6LPXODWLRQ PHWKRGV 

-(/ &ODVVLILFDWLRQ & & & - DQG 5 

:H XVH SDQHO GDWD WR HVWLPDWH D PRGHO RI PLJUDWLRQ GHFLVLRQ ZLWK XQREVHUYHG 

KHWHURJHQHLW\ $ KRXVHKROG FKRRVHV WR PLJUDWH ZKHQ WKH H[SHFWHG LQFRPH QHW RI PRYLQJ 

FRVWV RXWZHLJK KLV LQFRPH LI VWD\LQJ ,QFRPHV DQG FRVWV DUH VSHFLILHG DV IXQFWLRQV RI 

REVHUYHG FKDUDFWHULVWLFV LQGLYLGXDO UDPGRP HIIHFWV DQG LLG VKRFNV 5HVXOWV VXJJHVW WKDW D 

ODUJH SDUW RI WKH YDULDQFH LQ LQFRPHV LV H[SODLQHG E\ LQGLYLGXDO XQREVHUYHG KHWHURJHQHLW\ 

LGLRV\QFUDWLF VKRFNV KDYLQJ VPDOOHU HIIHFWV +RZHYHU WKH YDULDQFH RI WKH LQFRPH VKRFNV LV 

KLJKHU IRU PRYHUV WKDQ IRU VWD\HUV :H ILQG WKDW XQREVHUYHG VNLOO HIIHFWV RQ LQFRPH ZKHQ 

PRYLQJ DQG VWD\LQJ DUH WKH VDPH +RXVHKROGV ZLWK XQREVHUYHG VNLOOV OHDGLQJ WR KLJKHU 

LQFRPH DOVR KDYH ORZHU PRYLQJ FRVWV 

&KULVWLQD *DWKPDQQ 

8QLYHUVLW\ RI &KLFDJR 

+2: '2 (;3(576 $))(&7 '(7(55(1&(" (9,'(1&( )520 

0,*5$17 608**/(56 $7 7+( 6287+:(67(51 %25'(5 

.H\ZRUGV &ULPH (QIRUFHPHQW ([SHUWV ,OOHJDO 0LJUDWLRQ DQG 0H[LFR 

-(/ &ODVVLILFDWLRQ + - DQG . 

3UHYLRXV UHVHDUFK VKRZV WKDW H[SHUWV FDQ GLVWRUW PDUNHW RXWFRPHV +RZHYHU OLWWOH LV 

NQRZQ DERXW KRZ ODZ HQIRUFHPHQW LV DIIHFWHG E\ H[SHUWV OLNH ODZ\HUV WD[ SUHSDUHUV RU 

PLJUDQW VPXJJOHUV ,Q WKLV SDSHU ZH SURYLGH HYLGHQFH WKDW H[SHUWV ORZHU WKH HIIHFWLYHQHVV 

RI HQIRUFHPHQW DQG H[WUDFW D ODUJH IUDFWLRQ RI FRQVXPHU VXUSOXV IURP WKHLU FOLHQWV :H 

VKRZ WKHRUHWLFDOO\ WKDW WKH HODVWLFLW\ RI GHWHUUHQFH LV ORZHU FRPSDUHG WR D PDUNHW ZLWKRXW 

H[SHUWV 2XU HPSLULFDO DQDO\VLV IRFXVHV RQ H[SHUWV VPXJJOLQJ LOOHJDO PLJUDQWV DFURVV WKH 

6RXWKZHVWHUQ ERUGHU (IIRUWV WR FXUE LOOHJDO PLJUDWLRQ KDYH LQFUHDVHG GUDPDWLFDOO\ RYHU WKH 

ODVW ILIWHHQ \HDUV 8VLQJ D XQLTXH GDWDVHW RI 0H[LFDQ PLJUDQWV ZH HVWLPDWH WKH HODVWLFLW\ 

RI GHWHUUHQFH RI PLJUDWLRQ DQG WKH SULFH HODVWLFLW\ RI H[SHUW GHPDQG :H FDOFXODWH KRZ 

PXFK H[SHUWV JDLQHG IURP HQIRUFHPHQW WKURXJK KLJKHU SULFHV :H DOVR HVWLPDWH KRZ 

PXFK JRYHUQPHQWV FRXOG FKDUJH PLJUDQWV IRU WHPSRUDU\ OHJDO SHUPLWV

021(7$5< 7+(25< , 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ 'HYLDWRY 

'DYLG $LNPDQ 


$XJ 

021(< :($/7+ $1' 29(5/$33,1* *(1(5$7,216 

.H\ZRUGV OLTXLGLW\ WUDS PRQHWDU\ SROLF\ 3LJRX HIIHFW DQG UHDO EDODQFH HIIHFW 


5RRP ' 

,Q WKLV SDSHU ZH XVH :HLO V RYHUODSSLQJ G\QDVWLHV IUDPHZRUN WR DQDO\VH D 

PLFURIRXQGHG YHUVLRQ RI WKH UHDO EDODQFH HIIHFW HQYLVDJHG E\ 3LJRX 7KH HIIHFW LV 

DEVHQW IURP UHSUHVHQWDWLYH DJHQW PRGHOV DV WKHQ QHW PRQHWDU\ ZHDOWK LV DOZD\V ]HUR 

:LWK SRSXODWLRQ JURZWK KRZHYHU QHW PRQHWDU\ ZHDOWK LV SRVLWLYH DQG D UHDO EDODQFH HIIHFW 

HPHUJHV PXFK DV 3LJRX SUHGLFWHG 2XU PDLQ FRQFOXVLRQ KRZHYHU LV D .H\QHVLDQ RQH 

UDWKHU WKDQ HOLPLQDWLQJ WKH SRVVLELOLW\ RI D WUDS WKH IUDPHZRUN JHQHUDWLQJ WKH UHDO EDODQFH 

HIIHFW LI DQ\WKLQJ PDNHV D WUDS PRUH OLNHO\ GXH WR WKH KHLJKWHQHG FRQVWUDLQWV LW LPSRVHV RQ 

WKH PRQHWDU\ DXWKRULW\ 

5pJLV %UHWRQ 


021,725,1* $1' 7+( $&&(37$%,/,7< 2) %$1. 021(< 

.H\ZRUGV EDQNV ILQDQFLDO LQWHUPHGLDWLRQ LQIRUPDWLRQDO DV\PPHWULHV OLTXLGLW\ DQG 

PRQLWRULQJ 


7KLV SDSHU SUHVHQWV D VLPSOH HQYLURQPHQW ZKHUH EDQN OLNH ILQDQFLDO LQWHUPHGLDULHV 

HQGRJHQRXVO\ HPHUJH 7KH HFRQRP\ LV RQH ZKHUH PRQLWRULQJ SURMHFWV HQKDQFHV ORQJ 

WHUP UHWXUQ EXW FUHDWHV LQIRUPDWLRQDO DV\PPHWULHV WKDW KDPSHU WUDGHDELOLW\ ([ DQWH 

LGHQWLFDO DJHQWV WKDW VSHFLDOLVH LQ PRQLWRULQJ FUHDWH OLTXLGLW\ IRU WKHLU FODLP KROGHUV 

,QWHUPHGLDULHV KDYH WKH IROORZLQJ DSSHDOLQJ IHDWXUHV 7KH\ PRQLWRU SURMHFWV DQG KDYH 

SULYDWH LQIRUPDWLRQ DERXW WKHLU TXDOLW\ 7KHLU DVVHWV DUH WKHUHIRUH LOOLTXLG 'HSRVLWRUV DUH 

QRW LQIRUPHG DERXW WKH TXDOLW\ RI LQWHUPHGLDULHV DVVHWV EHIRUH WKHLU UHDOLVDWLRQ &ODLPV RQ 

LQWHUPHGLDULHV WKHUHIRUH KDYH D KLJK DFFHSWDELOLW\ LQ H[FKDQJH DQG FDQ EH XVHG DV LQVLGH 

PRQH\ E\ DJHQWV DFWLQJ DV GHSRVLWRUV 

$OHNVDQGHU %HUHQWVHQ 

8QLYHUVLW\ RI %DVHO 

&R $XWKRUV 5 *XLOODXPH DQG 6 6KL 

)5,('0$1 0((76 +26,26 ()),&,(1&< ,1 6($5&+ 02'(/6 2) 

021(< 

.H\ZRUGV ([WHUQDOLWLHV )ULHGPDQ UXOH +RVLRV UXOH 0RQHWDU\ 3ROLF\ DQG 0RQH\


,Q WKLV SDSHU ZH VWXG\ WKH LQHIILFLHQFLHV RI WKH PRQHWDU\ HTXLOLEULXP DQG RSWLPDO PRQHWDU\ 

SROLFLHV LQ D VHDUFK HFRQRP\ :H VKRZ WKDW WKH VDPH IULFWLRQV WKDW JLYH ILDW PRQH\ D 

SRVLWLYH YDOXH JHQHUDWH DQ LQHIILFLHQW TXDQWLW\ RI JRRGV LQ HDFK WUDGH DQG DQ LQHIILFLHQW 

QXPEHU RI WUDGHV RU VHDUFK GHFLVLRQV 7KH )ULHGPDQ UXOH HOLPLQDWHV WKH ILUVW LQHIILFLHQF\ 

DQG WKH +RVLRV UXOH WKH VHFRQG $ PRQHWDU\ HTXLOLEULXP DWWDLQV WKH VRFLDO RSWLPXP LI DQG 

RQO\ LI ERWK UXOHV DUH VDWLVILHG :KHQ WKH WZR UXOHV FDQQRW EH VDWLVILHG VLPXOWDQHRXVO\ 

ZKLFK RFFXUV LQ D ODUJH VHW RI HFRQRPLHV RSWLPDO PRQHWDU\ SROLF\ DFKLHYHV RQO\ WKH 

VHFRQG EHVW :H DQDO\]H ZKHQ WKH VHFRQG EHVW PRQHWDU\ SROLF\ H[FHHGV WKH )ULHGPDQ 

UXOH DQG ZKHQ LW REH\V WKH )ULHGPDQ UXOH :H H[WHQG WKH DQDO\VLV WR DQ HFRQRP\ ZLWK 

EDUWHU DQG VKRZ KRZ WKH +RVLRV UXOH PXVW EH PRGLILHG LQ RUGHU WR LQWHUQDOL]H DOO VHDUFK 

H[WHUQDOLWLHV 

$OH[HL 'HYLDWRY 

1HZ (FRQRPLF 6FKRRO 

021(< &5($7,21 ,1 $ 5$1'20 0$7&+,1* 02'(/ 

.H\ZRUGV )ULHGPDQ UXOH LQIODWLRQ DQG RSWLPDO PRQHWDU\ SROLF\ 


, VWXG\ PRQH\ FUHDWLRQ LQ YHUVLRQV RI WKH 7UHMRV :ULJKW DQG 6KL PRGHOV ZLWK 

LQGLYLVLEOH PRQH\ DQG ERXQGHG LQGLYLGXDO KROGLQJV , ZRUN ZLWK WKH VDPH FODVV RI SROLFLHV 

DV LQ 'HYLDWRY DQG :DOODFH ZKR VWXG\ PRQH\ FUHDWLRQ LQ WKDW PRGHO +RZHYHU , 

FRQVLGHU WZR DOWHUQDWLYH QRWLRQV RI LPSOHPHQWDELOLW\ WKH H[ DQWH SDLUZLVH FRUH DQG WKH H[ 

SRVW SDLUZLVH FRUH , FRPSXWH D VHW RI QXPHULFDO H[DPSOHV WR GHWHUPLQH ZKHWKHU PRQH\ 

FUHDWLRQ LV EHQHILFLDO LQ P\ PRGHO , ILQG WKDW LI WKH H[ SRVW SDLUZLVH FRUH LV WKH QRWLRQ RI 

LPSOHPHQWDELOLW\ WKHQ H[DPSOHV ZKHUH PRQH\ FUHDWLRQ LV EHQHILFLDO DUH HDVLO\ IRXQG ZKLOH 

, ILQG QR VXFK H[DPSOHV LI WKH QRWLRQ RI LPSOHPHQWDELOLW\ LV WKH H[ DQWH SDLUZLVH FRUH 

(&2120,&6 2) ('8&$7,21 ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ / 5RPHUR 9DOHUR 

/XGJHU :RHVVPDQQ 

&(6LIR 0XQLFK 

&R $XWKRUV 0 :HVW 

$XJ 

:+,&+ 6&+22/ 6

VXEVWDQWLDO FRPSHQVDWRU\ VRUWLQJ ZLWKLQ DQG HVSHFLDOO\ EHWZHHQ VFKRROV LQ PDQ\ 

FRXQWULHV 7KH 8QLWHG 6WDWHV D FRXQWU\ ZLWK GHFHQWUDOL]HG HGXFDWLRQ ILQDQFH DQG 

FRQVLGHUDEOH UHVLGHQWLDO PRELOLW\ DORQH H[KLELWV UHJUHVVLYH EHWZHHQ VFKRRO VRUWLQJ 

%HWZHHQ VFKRRO VRUWLQJ LV PRUH FRPSHQVDWRU\ LQ V\VWHPV ZLWK DELOLW\ WUDFNLQJ :LWKLQ 

VFKRRO VRUWLQJ LV PRUH FRPSHQVDWRU\ ZKHQ DGPLQLVWUDWRUV UDWKHU WKDQ WHDFKHUV DVVLJQ 

VWXGHQWV WR FODVVURRPV 

(OHQD 'HO 5H\ 

8QLYHUVLWDW GH *LURQD 6SDLQ 

)81',1* 6&+22/6 )25 *5($7(5 (48,7< 

.H\ZRUGV FUHDP VNLPPLQJ HGXFDWLRQDO ILQDQFH SRVLWLYH GLVFULPLQDWLRQ DQG YRXFKHUV 


&RXQWULHV WKDW ILQDQFH VFKRROV E\ PHDQV RI XQLIRUP SHU VWXGHQW DOORFDWLRQV DQG DOORZ IUHH 

VFKRRO FKRLFH VHHP WR UHFRJQL]H WKH QHHG WR UHJXODWH DGPLVVLRQV DW RYHU VXEVFULEHG 

VFKRROV ,Q WKLV SDSHU ZH VKRZ WKDW ZLWKRXW VXFK UHJXODWLRQV L DOORZLQJ IUHH VFKRRO 

FKRLFH ZKHQ IXQGLQJ LV EDVHG RQ D XQLIRUP SHU VWXGHQW DOORFDWLRQ OHDGV WR FRPSOHWH 

VHJUHJDWLRQ XQOHVV PRELOLW\ FRVWV DUH KLJK DQG LL SRVLWLYH GLVFULPLQDWLRQ LQ WKH IRUP RI 

KLJKHU DOORFDWLRQV SHU GLVDGYDQWDJHG VWXGHQW HQUROOHG FDQ KHOS DFKLHYH D XQLTXH DQG OHVV 

VHJUHJDWHG HTXLOLEULXP HVSHFLDOO\ ZKHQ PRELOLW\ FRVWV DUH ORZ 7KH ODWWHU LQVWUXPHQW FDQ 

PDNH UHJXODWLRQ XQQHFHVVDU\ ZKHQ WKH DLP LV WR DYRLG FUHDP VNLPPLQJ E\ SXEOLFO\ 

ILQDQFHG VFKRROV 

/DXUD 5RPHUR 9DOHUR 


6257,1* ,172 38%/,& $1' 35,9$7( 6&+22/6 $1' ('8&$7,21 

928&+(56 

.H\ZRUGV (GXFDWLRQ YRXFKHUV ,QFRPH LQHTXDOLW\ DQG 0DMRULW\ YRWLQJ 


7KLV SDSHU HYDOXDWHV WKH LPSDFW RI HGXFDWLRQ YRXFKHUV RQ WKH HIILFLHQW VRUWLQJ RI VWXGHQWV 

LQWR SXEOLF DQG SULYDWH VFKRROV 3ULYDWH VFKRROV RIIHU D FRQWLQXXP RI TXDOLW\ OHYHOV ZKLOH 

SXEOLF VFKRROV SURYLGH D XQLIRUP TXDOLW\ IXQGHG ZLWK SURSRUWLRQDO WD[HV 6WXGHQWV GLIIHU 

RYHU IDPLO\ LQFRPH DQG DELOLW\ DQG SDUHQWV FKRRVH EHWZHHQ SXEOLF DQG SULYDWH VFKRROV 

:H ILQG WKDW D WD[ PLQLPL]LQJ YRXFKHU ZLOO EH DSSURYHG E\ PDMRULW\ ZKHQ WKH OHYHO RI SXEOLF 

SHU VWXGHQW H[SHQGLWXUHV LV VXIILFLHQWO\ KLJK DQG ERUURZLQJ FRQVWUDLQWV GR QRW DIIHFW WKH 

GHFLVLRQ RI DWWHQGLQJ HLWKHU SXEOLF RU SULYDWH VFKRROV ,Q WKH FDOLEUDWHG PRGHO WKH 

HTXLOLEULXP YRXFKHU HQWDLOV ZHOIDUH JDLQV DOWKRXJK OHDGV WR JUHDWHU LQHTXDOLW\ 7KH LPSDFW 

RI GLIIHUHQW YRXFKHU SROLFLHV LV DOVR DQDO\]HG :H ILQG WKDW ZHOIDUH JDLQV LQFUHDVH ZLWK WKH 

YRXFKHU VL]H EXW WKH LPSDFW RI WKH PDJQLWXGH RI WKH YRXFKHU RQ LQFRPH LQHTXDOLW\ LV QRW 

PRQRWRQH 

*52:7+ 7+(25< 

&DWHJRU\ (($ 

&KDLUSHUVRQ + :KLWWD -DFREVHQ 

$XJ 

5RRP '

.ODXV 5HLQHU 6FKHQN +RSSp 

,QVWLWXWH RI (FRQRPLFV 8QLYHUVLW\ RI &RSHQKDJHQ 

329(57< 75$36 $1' %86,1(66 &

&R $XWKRUV & 'DOJDDUG 

35263(5,7< (48$/,7< $1' 7$;$7,21 

.H\ZRUGV LQFRPH LQHTXDOLW\ 3URGXFWLYLW\ WD[DWLRQ DQG XQFHUWDLQW\ 


$ JURZWK PRGHO ZKHUH ORQJ UXQ SURVSHULW\ GHSHQGV RQ SULYDWH GHFLVLRQV RQ HIIRUWV LQ VNLOO 

DFTXLVLWLRQ LV FRQVWUXFWHG 7KH NH\ LGHD LV WKDW WKHUH LV LQGLYLGXDO LQFRPH XQFHUWDLQW\ 

FRQQHFWHG WR VXFK HIIRUW GHFLVLRQV DQG WKH NH\ DVVXPSWLRQ FRQFHUQV WKH H[DFW ZD\ WKDW 

HIIRUW DIIHFWV WKH GLVWULEXWLRQ IURP ZKLFK DQ LQGLYLGXDO GUDZV LQFRPH ,Q HTXLOLEULXP WKH 

OHYHO SURVSHULW\ DQG WKH GHJUHH RI LQHTXDOLW\ LQ WKH LQFRPH GLVWULEXWLRQ DUH HQGRJHQRXV 

8QGHU SODXVLEOH DVVXPSWLRQV LQFRPH XQFHUWDLQW\ LV D PDLQ GHWHUPLQDQW RI LQGLYLGXDO HIIRUW 

FKRLFHV 2XU UHVXOWV VKHG OLJKW RQ VHYHUDO HPSLULFDO UHJXODULWLHV UHODWHG WR WKH 

LQWHUUHODWLRQVKLSV EHWZHHQ SURVSHULW\ HTXDOLW\ DQG WKH GHJUHH RI UHGLVWULEXWLYH WD[DWLRQ ,Q 

SDUWLFXODU WKH PRGHO FDQ H[SODLQ L ZK\ LQFRPH LQHTXDOLW\ FDQ EH GHWULPHQWDO WR 

SURVSHULW\ DQG JURZWK LL ZK\ PRUH UHGLVWULEXWLYH WD[DWLRQ PD\ VSXU JURZWK 

(;3(5,0(17$/ (9,'(1&( 21 352'8&7 

$1' /$%285 0$5.(76 

&DWHJRU\ (($ 

&KDLUSHUVRQ ' 6RQVLQR 

&KULVWLDQ =HKQGHU 


&R $XWKRUV $ )DON DQG ( )HKU 

7+( %(+$9,25$/ ())(&76 2) 0,1,080 :$*(6 

.H\ZRUGV (PSOR\PHQW (QWLWOHPHQWV )DLUQHVV ,QWHQWLRQV 0LQLPXP :DJHV DQG 

0RQRSVRQ\ 

-(/ &ODVVLILFDWLRQ & ' ( - - - DQG - 

$XJ 

5RRP ' 

)RU GHFDGHV WKH QHJDWLYH HPSOR\PHQW HIIHFWV RI PLQLPXP ZDJH ODZV ZHUH SDUW RI 

HFRQRPLVWV FRQYHQWLRQDO ZLVGRP 5HFHQWO\ QHZ PHWKRGV DQG QHZ GDWD KDYH KRZHYHU 

TXHVWLRQHG WKLV YLHZ :H VWXG\ WKH LPSDFW RI WKH PLQLPXP ZDJHV RQ HPSOR\PHQW ZDJHV 

DQG ODERU VXSSO\ LQ DQ H[SHULPHQWDO ODERU PDUNHW ,Q FRQWUDVW WR FRQYHQWLRQDO ZLVGRP WKH 

IROORZLQJ IDFWV HPHUJHG 7KH LQWURGXFWLRQ RI WKH PLQLPXP ZDJH FDXVHV D VLJQLILFDQW 

LQFUHDVH LQ HPSOR\PHQW $GGLWLRQDOO\ LW FDXVHV D VWURQJ LQFUHDVH LQ ZRUNHUV UHVHUYDWLRQ 

ZDJHV LQGXFLQJ ILUPV WR SD\ ZRUNHUV DERYH WKH PLQLPXP 7KH UHPRYDO RI WKH PLQLPXP 

ZDJH OHDYHV HPSOR\PHQW XQFKDQJHG ,I WKH PLQLPXP ZDJH LV UHPRYHG WKHUH LV RQO\ D 

VPDOO GHFUHDVH LQ UHVHUYDWLRQ ZDJHV LQGXFLQJ ILUPV WR NHHS ZDJHV FORVH WR WKH SUHYLRXV 

PLQLPXP ZDJH 2XU UHVXOWV VXJJHVW WKDW WKHVH EHKDYLRUDO HIIHFWV GHVHUYH PRUH DWWHQWLRQ 

LQ IXWXUH GLVFXVVLRQV 

$UQR 5LHGO 

&5((' 8QLYHUVLW\ RI $PVWHUGDP

&R $XWKRUV ) YDQ :LQGHQ 

,1387 9(5686 287387 7$;(6 ,1 $1 (;3(50(17$/ 

,17(51$7,21$/ (&2120< 

.H\ZRUGV ([SHULPHQWV LQWHUQDWLRQDO HFRQRPLHV WD[DWLRQ DQG XQHPSOR\PHQW 

-(/ &ODVVLILFDWLRQ & ' ( DQG ) 

7KHRUHWLFDO VWXGLHV DUJXH WKDW XQFHUWDLQW\ DERXW SURGXFW SULFHV UHGXFHV IDFWRU GHPDQG ,I 

WKLV LV LQGHHG WKH FDVH WKHQ WKH QHJOHFW RI WKLV LVVXH LQ JHQHUDO HTXLOLEULXP PRGHOV LPSOLHV 

D WRR RSWLPLVWLF YLHZ RI WKH HFRQRPLF HIIHFWV RI WD[ V\VWHPV WKDW LPSDFW LQSXW SULFHV 

7D[DWLRQ RI RXWSXWV PLJKW EH SUHIHUDEOH IURP WKLV SHUVSHFWLYH 7KLV SURYLGHV RQH 

PRWLYDWLRQ WR LQYHVWLJDWH WKH UHODWLYH HFRQRPLF SHUIRUPDQFH RI LQSXW YHUVXV RXWSXW WD[HV 

$ VHFRQG PRWLYDWLRQ IRU WKLV SDSHU LV WKH DYDLODELOLW\ RI D QRYHO GDWDVHW IURP D SROLF\ 

RULHQWHG PDFURHFRQRPLF H[SHULPHQW UHTXHVWHG E\ WKH 'XWFK 6HFRQG &KDPEHU RI 

SDUOLDPHQW 8VLQJ ODERUDWRU\ H[SHULPHQWV WKH WZR W\SHV RI WD[ V\VWHPV DUH LPSOHPHQWHG LQ 

D VPDOO HFRQRP\ WKDW LQWHUDFWV ZLWK D ODUJH HFRQRP\ 7KH UHVXOWV DUH VWULNLQJ DQG SURYLGH 

VXSSRUW IRU WKH LPSRUWDQFH RI WDNLQJ DFFRXQW RI WKH SULFH XQFHUWDLQW\ WKDW SURGXFHUV DUH 

IDFLQJ 

'RURQ 6RQVLQR 

7HFKQLRQ ,VUDHO 

&R $XWKRUV 5 ,YDQRYD 6WHQ]HO 

/($51,1* %< 5$1'20 ,1)250$7,21 5(75,(9$/ 

(;3(5,0(17$/ (9,'(1&( 21 ,17(51(7 $8&7,216 

.H\ZRUGV $XFWLRQV ([SHULPHQWV ,QWHUQHW DQG /HDUQLQJ 


:H DQDO\]H WKH UHVXOWV RI D :HE EDVHG H[SHULPHQW ZKHUH VXEMHFWV FRXOG UHWULHYH UHFRUGV 

RI FRPSOHWHG SDVW DXFWLRQV EHIRUH SODFLQJ WKHLU ELGV LQ FXUUHQW RQH ELG WZR ELG DQG 

DXFWLRQ VHOHFWLRQ JDPHV 7KH UHVXOWV VKRZ WKDW LQIRUPDWLRQ UHWULHYDO LV HIIHFWLYH LQ WKH 

VHQVH WKDW SD\RIIV LQFUHDVH ZLWK KLVWRU\ LQVSHFWLRQ 6XEMHFWV DFW DV LI UHVSRQGLQJ WR WKH 

ELGGLQJ UDWLRV RI WKH ZLQQHUV LQ WKH VDPSOHV UHWULHYHG 6XEMHFWV DSSO\ LQWXLWLYH VWRSSLQJ 

UXOHV ZKHQ VDPSOLQJ WKH GDWDEDVHV 7KHVH SURYLGH DQ H[SODQDWLRQ WR WKH SRVLWLYH HIIHFW RI 

LQVSHFWLRQ RQ SD\RIIV +LVWRU\ UHWULHYDO PDNHV ELGGLQJ PRUH DJJUHVVLYH EXW GRHV QRW 

GHFUHDVH ZLQQHU SD\RIIV FRPSDUHG WR SUHFHHGLQJ H[SHULPHQW 

&25325$7( ),1$1&( ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ , %UDJHOLHQ 

7RELDV /LQGTYLVW 


0(5*(56 %< 3$57,$/ $&48,6,7,216 

$XJ 

.H\ZRUGV DFTXLVLWLRQ DQWLWUXVW LQVLGHUV GLOHPPD PHUJHUV DQG WRHKROGV 

5RRP (

-(/ &ODVVLILFDWLRQ * / / DQG / 

7KH SDSHU HYDOXDWHV SDUWLDO DFTXLVLWLRQ VWUDWHJLHV ZKHUH WKH PRGHO DOORZV IRU EX\LQJ D 

VKDUH RI D ILUP EHIRUH DQ DFWXDO DFTXLVLWLRQ WDNHV SODFH +ROGLQJ D VKDUH LQ D FRPSHWLQJ 

ILUP EHIRUH DQ DFTXLVLWLRQ RI DQRWKHU ILUP RXWVLGHU WRHKROG HOLPLQDWHV WKH LQVLGHUV 

GLOHPPD L H SURILWDEOH PHUJHUV GR QRW RFFXU 7KLV LV WKXV PRUH SURILWDEOH IRU D EX\HU WKDQ 

DFTXLULQJ HQWLUH ILUPV DW RQFH 7KH LQVLGHUV GLOHPPD DULVHV IURP WKH DVVXPSWLRQ RI D 

SRVLWLYH H[WHUQDOLW\ RQ WKH RXWVLGHU ILUP DQG DFTXLULQJ DQ RXWVLGHU WRHKROG LV WKXV D VLJQDO 

RI DQ DQWL FRPSHWLWLYH PHUJHU 

0LNH %XUNDUW 


&R $XWKRUV ) 3DQXQ]L 

$*(1&< &21)/,&76 2:1(56+,3 &21&(175$7,21 $1' /(*$/ 

6+$5(+2/'(5 3527(&7,21 

.H\ZRUGV &RUSRUDWH *RYHUQDQFH /DZ DQG )LQDQFH 0RQLWRULQJ DQG 2ZQHUVKLS VWUXFWXUH 


7KLV SDSHU DQDO\]HV WKH LQWHUDFWLRQ EHWZHHQ OHJDO VKDUHKROGHU SURWHFWLRQ PDQDJHULDO 

LQFHQWLYHV PRQLWRULQJ DQG RZQHUVKLS FRQFHQWUDWLRQ /HJDO SURWHFWLRQ DIIHFWV ERWK WKH 

H[SURSULDWLRQ RI VKDUHKROGHUV DQG WKH RXWVLGH EORFNKROGHU V LQFHQWLYHV WR PRQLWRU 

%HFDXVH PRQLWRULQJ ZHDNHQV PDQDJHULDO LQFHQWLYHV ERWK HIIHFWV MRLQWO\ GHWHUPLQH WKH 

UHODWLRQVKLS EHWZHHQ OHJDO SURWHFWLRQ DQG RZQHUVKLS FRQFHQWUDWLRQ :KHQ OHJDO SURWHFWLRQ 

IDFLOLWDWHV PRQLWRULQJ EHWWHU ODZV VWUHQJWKHQ WKH PRQLWRULQJ LQFHQWLYHV DQG RZQHUVKLS 

FRQFHQWUDWLRQ DQG OHJDO SURWHFWLRQ DUH LQYHUVHO\ UHODWHG %\ FRQWUDVW ZKHQ OHJDO SURWHFWLRQ 

DQG PRQLWRULQJ DUH VXEVWLWXWHV EHWWHU ODZV ZHDNHQ WKH PRQLWRULQJ LQFHQWLYHV DQG WKH 

UHODWLRQVKLS EHWZHHQ OHJDO SURWHFWLRQ DQG RZQHUVKLS FRQFHQWUDWLRQ LV QRQ PRQRWRQLF 

,YHU %UDJHOLHQ 

1RUZHJLDQ 6FKRRO RI (FRQRPLFV DQG %XVLQHVV $GPLQLVWUDWLRQ 

$66(7 2:1(56+,3 $1' 5(/$7,21$/ &2175$&76 

.H\ZRUGV 3URSHUW\ 5LJKWV 5HODWLRQDO &RQWUDFWV DQG 7KHRU\ RI WKH )LUP 


,Q D VHWWLQJ ZKHUH WZR PDQDJHUV PDNH UHODWLRQVKLS DQG DVVHW VSHFLILF LQYHVWPHQWV WKH 

RSWLPDO UHODWLRQDO FRQWUDFW VSHFLILHV WKH VDPH SD\PHQWV WKDW UHQHJRWLDWLRQV ZRXOG KDYH OHG 

WR LQ D VSRW PRGH SOXV D IL[HG WUDQVIHU DQG D RQH VWHS ERQXV VFKHPH 7KH FKRLFH RI 

RZQHUVKLS LV VKRZQ WR GHSHQG FULWLFDOO\ RQ WKH SXQLVKPHQW VWUDWHJLHV DQG WKH QDWXUH RI WKH 

XQFHUWDLQW\ 

/$%285 0$5.(76 ,, 


&KDLUSHUVRQ $ $YQHU 

$XJ 

5RRP (

&ODXGLR 0LFKHODFFL 

&(0), 0DGULG 

&R $XWKRUV ' /RSHV 6DOLGR 

7(&+12/2*< 6+2&.6 $1' -2% )/2:6 

.H\ZRUGV EXVLQHVV F\FOH /DERXU PDUNHW DQG 6HDUFK 

-(/ &ODVVLILFDWLRQ ( - DQG 2 

:H GHFRPSRVH WKH ORZ IUHTXHQF\ PRYHPHQWV LQ ODERXU SURGXFWLYLW\ LQWR DQ LQYHVWPHQW 

QHXWUDO DQG LQYHVWPHQW VSHFLILF WHFKQRORJ\ FRPSRQHQW :H VKRZ WKDW QHXWUDO WHFKQRORJ\ 

VKRFNV FDXVH DQ LQFUHDVH LQ MRE FUHDWLRQ DQG MRE GHVWUXFWLRQ DQG OHDGV WR D UHGXFWLRQ LQ 

DJJUHJDWH HPSOR\PHQW ,QYHVWPHQW VSHFLILF WHFKQRORJ\ VKRFNV UHGXFH MRE GHVWUXFWLRQ 

KDYH PLOG HIIHFWV RQ MRE FUHDWLRQ DQG DUH H[SDQVLRQDU\ :H FRQVWUXFW D JHQHUDO 

HTXLOLEULXP VHDUFK PRGHO ZLWK QHXWUDO DQG LQYHVWPHQW VSHFLILF WHFKQRORJLFDO SURJUHVV :H 

VKRZ WKDW WKH PRGHO FDQ UHSOLFDWH WKHVH ILQGLQJV LI QHXWUDO WHFKQRORJLFDO SURJUHVV LV PDLQO\ 

HPERGLHG LQWR QHZ MREV ZKLOH LQYHVWPHQW VSHFLILF WHFKQRORJLFDO SURJUHVV EHQHILWV 

DOPRVW HTXDOO\ ROG DQG QHZ MREV 7KLV SURYLGHV HYLGHQFH LQ IDYRU RI K\EULG YLQWDJH 

PRGHOV ZKHUH ROG MREV FDQ DW OHDVW SDUWLDOO\ UHDS WKH EHQHILWV RI RQJRLQJ WHFKQRORJLFDO 

SURJUHVV 

0XVWDID 8OXV 

81é9(56é7( 3$5é6 $1' *$/$7$6$5$< 81,9(56,7(6, 

&R $XWKRUV ) 0DOKHUEHW 

81(03/2

81,216 5(17 (;75$&7256 25 &5($7256 

.H\ZRUGV SURGXFW PDUNHW FRPSHWLWLRQ UHQW FUHDWLRQ UHQW H[WUDFWLRQ DQG XQLRQV 

-(/ &ODVVLILFDWLRQ - DQG / 

7KLV SDSHU SURSRVHV D PRGHO RI ZRUNSODFH VSHFLILF XQLRQV WKDW LQWHJUDWHV WZR FRQIOLFWLQJ 

YLHZV RI ZKDW XQLRQV GR 2QH YLHZ KROGV WKDW XQLRQV PDLQO\ HQJDJH LQ UHQW H[WUDFWLRQ 

$QRWKHU YLHZ KROGV WKDW XQLRQV PDLQO\ HQJDJH LQ UHQW FUHDWLRQ E\ SURYLGLQJ DJHQF\ 

VHUYLFHV WKDW LQFUHDVH ZRUNSODFH SURGXFWLYLW\ ,Q RXU PRGHO WKH XQLRQ OHDGHUVKLS PDNHV D 

FKRLFH EHWZHHQ WKH WZR W\SHV RI DFWLYLWLHV DQG ZH GHPRQVWUDWH WKDW LW LV RSWLPDO WR HQJDJH 

LQ ERWK UHQW H[WUDFWLRQ LQFUHDVHV WKH EDUJDLQHG ZDJH UDWH ZKLOH UHQW FUHDWLRQ VHFXUHV 

KLJKHU HPSOR\PHQW 0RUH LPSRUWDQWO\ WKH FKRLFH EHWZHHQ WKH WZR DFWLYLWLHV GHSHQGV 

V\VWHPDWLFDOO\ RQ WKH HFRQRPLF DQG UHJXODWRU\ HQYLURQPHQW LQ ZKLFK WKH XQLRQ RSHUDWHV 

-XDQ -RVH 'RODGR 


&R $XWKRUV 0 -DQVHQ DQG - -LPHQR 

$ 0$7&+,1* 02'(/ 2) &52:',1* 287 $1' 21 7+( -2% 

6($5&+ :,7+ $1 $33/,&$7,21 72 63$,1 

.H\ZRUGV &URZGLQJ 2XW 0DWFKLQJ DQG 2Q WKH MRE VHDUFK 


7KLV SDSHU FRQVLGHUV D PDWFKLQJ PRGHO RI KHWHURJHQHRXV ZRUNHUV DQG MREV ZKLFK DOORZV 

IRU RQ WKH MRE VHDUFK +LJK HGXFDWHG ZRUNHUV WUDQVLWRULO\ DFFHSW XQVNLOOHG MREV DQG 

FRQWLQXH WR VHDUFK IRU VNLOOHG MREV :H VWXG\ WKH LPSOLFDWLRQV RI WKLV PRGHO IRU WKH 

XQHPSOR\PHQW UDWHV RI KLJK DQG ORZ HGXFDWHG ZRUNHUV IRU WKH VKDUH RI PLVPDWFKHG 

ZRUNHUV DQG ZDJH LQHTXDOLW\ ERWK ZLWKLQ DQG EHWZHHQ VNLOO JURXSV 7KH PRGHO LV FDOLEUDWHG 

WR VKHG OLJKW RQ WKH 6SDQLVK H[SHULHQFH IROORZLQJ D ODUJH HGXFDWLRQDO XSJUDGLQJ VLQFH WKH 

PLG HLJKWLHV 

,1'8675,$/ 25*$1,6$7,21 ,,, 


&KDLUSHUVRQ & GH )RQWHQD\ 

7RUH 1LOVVHQ 


&R $XWKRUV & 5LLV 

$XJ 

6(48(17,$/ /2&$7,21 :,7+ $6

WUDQVSRUWDWLRQ FRVWV :LWKLQ WKH FRQWH[W RI VHTXHQWLDO ORFDWLRQ ZLWK 

QRQ SULFH FRPSHWLWLRQ ZH GLVFXVV KRZ OLPLWLQJ HDUOLHU DSSURDFKHV DUH 

DQG SUHVHQW UHVXOWV LQ FDVHV QRW FRQVLGHUHG HDUOLHU ,Q SDUWLFXODU ZH 

ILQG WKDW ZKHWKHU ILUPV ORFDWH DURXQG D FLUFOH LQ WKH FORFNZLVH RU WKH 

FRXQWHU FORFNZLVH GLUHFWLRQ RU HYHQ LQ D PRUH FRPSOLFDWHG SDWWHUQ 

GHSHQGV RQ WKH VL]H RI WKH FLUFOH 

3DXO .DWWXPDQ 

8QLYHUVLW\ RI &DPEULGJH 

&R $XWKRUV $ &KLUPLFLX 

6,*1,),&$17 '(3$5785(6 )520 *,%5$76 352&(66 

.H\ZRUGV %RXQGV $SSURDFK *LEUDW 3URFHVV ,QIHUHQFH 0DUNHW FRQFHQWUDWLRQ DQG 8UQ 

SURFHVVHV 


:H GHULYH WKH FRQQHFWLRQ EHWZHHQ WKH JHQHUDOLVHG 3RO\D XUQ VFKHPH 

PRGHO RI WKH *LEUDW SURFHVV DQG D UHVXOW RQ WKH DV\PSWRWLF GLVWULEXWLRQ 

RI VXPV RI RUGHUHG LQWHUYDOV LQ WKH ZHOO NQRZQ SUREOHP RI³UDQGRP 

GLYLVLRQ RI WKH XQLW LQWHUYDO´ 7KLV \LHOGV WKH DV\PSWRWLF GLVWULEXWLRQ 

RI WKH FRQFHQWUDWLRQ UDWLR D VLPSOH PHDVXUH RI PDUNHW FRQFHQWUDWLRQ 

IRU WKH *LEUDW SURFHVV 8QGHU WKH QXOO K\SRWKHVLV WKDW JURZWK RI 

ILUPV IROORZ WKH *LEUDW SURFHVV REVHUYHG FRQFHQWUDWLRQ UDWLRV FDQ EH 

DVVHVVHG DJDLQVW FULWLFDO YDOXHV IURP WKH SUREDELOLW\ GLVWULEXWLRQ RI WKH 

FRQFHQWUDWLRQ UDWLR 7KH HPSLULFDO DSSOLFDWLRQ LV IRU WKH 8QLWHG 6WDWHV 

&DWKHULQH GH )RQWHQD\ 


&R $XWKRUV - *DQV 

9(57,&$/ ,17(*5$7,21 ,1 7+( 35(6(1&( 2) 83675($0 

&203(7,7,21 

.H\ZRUGV EDUJDLQLQJ FRPSHWLWLRQ IRUHFORVXUH PRQRSROL]DWLRQ DQG YHUWLFDO LQWHJUDWLRQ 


:H DQDO\]H YHUWLFDO LQWHJUDWLRQ ZKHQ WKHUH LV XSVWUHDP FRPSHWLWLRQ DQG FRPSDUH 

RXWFRPHV WR WKH FDVH ZKHUH XSVWUHDP DVVHWV DUH RZQHG E\ D VLQJOH DJHQW L H XSVWUHDP 

PRQRSRO\ :H PRGHO WKH RZQHUVKLS RI DVVHWV XVLQJ WKH SURSHUW\ ULJKWV DSSURDFK WR ILUP 

ERXQGDULHV $GGLWLRQDOO\ ZH PRGHO WKH SRWHQWLDO PXOWLODWHUDO QHJRWLDWLRQV XVLQJ D IXOO\ 

VSHFLILHG QRQ FRRSHUDWLYH EDUJDLQLQJ PRGHO :H GHPRQVWUDWH WKDW YHUWLFDO LQWHJUDWLRQ FDQ 

DOWHU WKH MRLQW SD\RIIV RI LQWHJUDWLQJ SDUWLHV LQ H[ SRVW EDUJDLQLQJ KRZHYHU WKLV EDUJDLQLQJ 

HIIHFW LV VWURQJHU IRU ILUPV LQWHJUDWLQJ XQGHU XSVWUHDP FRPSHWLWLRQ WKDQ XSVWUHDP 

PRQRSRO\ :H DOVR FRQVLGHU WKH SRWHQWLDO IRU LQWHJUDWLRQ WR LQWHUQDOL]H FRPSHWLWLYH 

H[WHUQDOLWLHV

32/,7,&$/ (&2120< ,, 


&KDLUSHUVRQ & &ODXVVHQ 

0DWWHR &HUYHOODWL 

83) %DUFHORQD DQG 8QLYHUVLW\ RI %RORJQD 

&R $XWKRUV - (VWHEDQ 

$XJ 

(1'2*(1286 62&,$/ 35()(5(1&(6 :25. 12506 $1' 

5(',675,%87,21 

5RRP ( 

.H\ZRUGV (QGRJHQRXV 6RFLDO 3UHIHUHQFHV 3ROLWLFR (FRQRPLF (TXLOLEULD 5HGLVWULEXWLRQ 

6RFLDO 6HJUHJDWLRQ DQG :RUN 1RUPV 

-(/ &ODVVLILFDWLRQ ' ' + - DQG = 

$OWUXLVWLF SUHIHUHQFHV HYROYH UHVSRQGLQJ WR LQGLYLGXDO EHKDYLRU DQG ZRUN QRUPV /DERU LV 

RSWLPDOO\ VXSSOLHG DQG UHGLVWULEXWLRQ LV VHOHFWHG E\ SHUIHFW IRUHVLJKW PDMRULW\ YRWLQJ 

0XOWLSOH VWDWLRQDU\ VWDWHV HPHUJH 2QH ZLWK ZRUN QRUPV XQLYHUVDOO\ DGRSWHG OLWWOH SUH WD[ 

LQHTXDOLW\ VXEVWDQWLDO UHGLVWULEXWLRQ $ VHFRQG ZLWK VRFLDO VHJUHJDWLRQ D ZRUN QRUP PLGGOH 

FODVV D ULFK HOLWH RI LQGXVWULRXV LQGLYLGXDOV HDUQLQJ ODUJH VRFLDO HVWHHP ZKLOH SRRU ORRVH 

VRFLDO FRQVLGHUDWLRQ /DUJH SUH WD[ LQHTXDOLW\ FRH[LVW ZLWK OLWWOH UHGLVWULEXWLRQ 6RFLDO 

FOXVWHUV DULVH LI WKH ZRUN VWDQGDUG LV WRR ODUJH WKH UHGLVWULEXWLYH FXOWXUH SUL]HV LQGLYLGXDO 

HIIRUW UDWKHU WKHQ LQVXULQJ WKH OHVV HFRQRPLFDOO\ VXFFHVIXO LQGLYLGXDOV DQG LQHTXDOLW\ LQ 

SURGXFWLYLWLHV LQFUHDVHV 

(ULN %HUJORI 

6,7( 

/$: (1)25&(0(17 ),6&$/ 5(63216,%,/,7< $'1 (&2120,& 

'(9(/230(17 

.H\ZRUGV )LQDQFLDO GHYHORSPHQW )LVFDO UHVSRQVLELOLW\ ,QHTXDOLW\ DQG 5XOH RI ODZ 

-(/ &ODVVLILFDWLRQ * * DQG 2 

,I WKH UHWXUQV WR LQYHVWPHQWV LQ WKH HQIRUFHPHQW RI UXOH RI ODZ DUH VR JUHDW ZK\ GR VR PDQ\ 

JRYHUQPHQWV IDLO WR PDNH WKHVH LQYHVWPHQWV" 7KLV SDSHU SURSRVHV D SROLWLFDO HFRQRP\ 

PRGHO LQ ZKLFK FLWL]HQV YRWH RYHU H[SHQGLWXUHV RQ HQIRUFHPHQW RI UXOH RI ODZ DQG RU WD[ 

FRPSOLDQFH :H ILQG HTXLOLEULD ZLWK GHYHORSPHQW WUDSV ZKHUH WKHUH LV QR VXSSRUW IRU 

HQIRUFLQJ SURSHUW\ ULJKWV DQG WKXV QR LQYHVWPHQW 7KLV PD\ KDSSHQ HYHQ ZKHQ PHGLDQ 

YRWHU LV IURP WKH PLGGOH FODVV 7KH UHWXUQ WR WKHVH LQYHVWPHQWV PD\ QRW EH VXIILFLHQWO\ 

ODUJH DQG WKH GHDG ZHLJKW ORVV WR WD[DWLRQ QRW ODUJH HQRXJK WR GHWHU WD[DWLRQ 

.ODDV 6WDDO 


&R $XWKRUV 5 'XU 

/2&$/ 38%/,& *22' 3529,6,21

.H\ZRUGV IHGHUDOLVP DQG JUDQW V\VWHPV 

-(/ &ODVVLILFDWLRQ ' + + + DQG + 

:H H[DPLQH WKH LQFHQWLYHV RI GLVWULFWV WR FRRUGLQDWH ORFDO SXEOLF JRRG SURYLVLRQ 3RVLWLYH 

FURVV GLVWULFW VSLOORYHU HIIHFWV LPSO\ WKDW WKHUH ZLOO EH XQGHUSURYLVLRQ RI SXEOLF JRRGV ZKHQ 

QR FRRUGLQDWLRQ WDNHV SODFH 2XU SDSHU H[SORUHV WKH LQIOXHQFH RI GLVWULFW VL]H DQG KRZ D 

QDWLRQDO JRYHUQPHQW FDQ DIIHFW WKH LQFHQWLYHV IRU SURYLGLQJ ORFDO SXEOLF JRRGV DQG WKH 

LQFHQWLYHV IRU FRRUGLQDWLQJ SURYLVLRQ :H WDNH WKH SULQFLSOH RI VXEVLGLDULW\ DQG 

LQIRUPDWLRQDO UHTXLUHPHQWV LQWR DFFRXQW 

&DUO $QGUHDV &ODXVVHQ 

1RUJHV %DQN 

&R $XWKRUV * $VKHLP DQG 7 1LOVVHQ 

0$-25,7< 927,1* /($'6 72 81$1,0,7< 

.H\ZRUGV &RPSHQVDWLRQ 5HIRUP DQG 9RWLQJ WKHRU\ 


:H FRQVLGHU D VLWXDWLRQ ZKHUH VRFLHW\ GHFLGHV WKURXJK PDMRULW\ YRWLQJ LQ D 

VHFUHW EDOORW EHWZHHQ WKH DOWHUQDWLYHV RI µUHIRUP DQG µVWDWXV TXR 5HIRUP LV DVVXPHG 

WR FUHDWH D PLQRULW\ RI ZLQQHUV ZKLOH EHLQJ HIIFLHQW LQ WKH .DOGRU +LFNV 

VHQVH :H H[SORUH WKH FRQVHTXHQFHV RI DOORZLQJ ELQGLQJ WUDQVIHUV EHWZHHQ YRWHUV 

FRQGLWLRQDO RQ WKH FKRVHQ DOWHUQDWLYH ,Q SDUWLFXODU ZH HVWDEOLVK FRQGLWLRQV 

XQGHU ZKLFK WKH ZLQQHUV ZLVK WR FRPSHQVDWH DOO ORVHUV WKXV OHDGLQJ WR XQDQLPLW\ 

IRU UHIRUP UDWKHU WKDQ FRPSHQVDWLQJ VRPH ORVHUV WR IRUP D QRQ PD[LPDO 

PDMRULW\ 7KH DQDO\VLV HPSOR\V FRQFHSWV IURP FRRSHUDWLYH JDPH WKHRU\ 

$8&7,216 ,,, 


&KDLUSHUVRQ 9 *ULPP 

-XOLDQ -DPLVRQ 

0('6 1RUWKZHVWHUQ 8QLYHUVLW\ 

&R $XWKRUV - +RUQHU 

35,9$7( ,1)250$7,21 ,1 5(3($7(' $8&7,216 

$XJ 

.H\ZRUGV FRPPRQ YDOXH DXFWLRQ LQFRPSOHWH LQIRUPDWLRQ DQG UHSHDWHG JDPHV 


5RRP ( 

:H VWXG\ DQ LQILQLWHO\ UHSHDWHG WZR SOD\HU JDPH ZLWK LQFRPSOHWH LQIRUPDWLRQ ZKHUH WKH 

VWDJH JDPH LV D ILUVW SULFH DXFWLRQ ZLWK FRPPRQ YDOXHV %HIRUH SOD\LQJ WKH ELGGHUV 

UHFHLYH DIILOLDWHG SULYDWH VLJQDOV DERXW WKH YDOXH ZKLFK GRHV QRW FKDQJH RYHU WLPH ,WHPV 

VROG LQ VXFK DQ HQYLURQPHQW LQFOXGH ERQGV ZLQH RLO WUDFWV DQG ZKROHVDOH ILVK ,Q WKLV 

VHWWLQJ OHDUQLQJ RFFXUV RQO\ WKURXJK REVHUYDWLRQ RI WKH ELGV :H VKRZ WKDW LQ WKH FDVH RI 

RQH VLGHG LQFRPSOHWH LQIRUPDWLRQ WKLV LQIRUPDWLRQ LV HYHQWXDOO\ UHYHDOHG DQG WKH VHOOHU

H[WUDFWV HVVHQWLDOO\ WKH HQWLUH UHQW IRU ODUJH HQRXJK GLVFRXQW IDFWRUV ,Q FRQWUDVW WKH 

XQLTXH HTXLOLEULXP ZLWK SDWLHQW SOD\HUV XQGHU WZR VLGHG LQFRPSOHWH LQIRUPDWLRQ LV SXUHO\ 

SRROLQJ QR LQIRUPDWLRQ LV HYHU UHYHDOHG ,Q WKH VSHFLDO FDVH ZLWK RQO\ WZR W\SHV RI HDFK 

ELGGHU ZH DUH DEOH WR IXOO\ FKDUDFWHUL]H WKH HTXLOLEULXP IRU DOO YDOXHV RI WKH GLVFRXQW IDFWRU 

DQG DOO SULRUV 

3DXO +HLGKXHV 

:LVVHQVFKDIWV]HQWUXP %HUOLQ IXU 6R]LDOIRUVFKXQJ 

&R $XWKRUV $ %OXPH 

35,9$7( 021,725,1* ,1 $8&7,216 

.H\ZRUGV $XFWLRQV &ROOXVLRQ 3ULYDWH 0RQLWRULQJ DQG 6WUDWHJLF ([SHULPHQWDWLRQ 


:H VWXG\ FROOXVLRQ LQ UHSHDWHG ILUVW SULFH DXFWLRQV XQGHU WKH FRQGLWLRQ RI PLQLPDO 

LQIRUPDWLRQ UHOHDVH E\ WKH DXFWLRQHHU ,Q HDFK DXFWLRQ D ELGGHU 

RQO\ OHDUQV ZKHWKHU RU QRW KH ZRQ WKH REMHFW %LGGHUV GR QRW REVHUYH RWKHU ELGGHUV ELGV 

ZKR SDUWLFLSDWHV RU ZKR ZLQV LQ FDVH WKH\ DUH QRW WKH ZLQQHU :H VKRZ WKDW IRU ODUJH 

HQRXJK GLVFRXQW 

IDFWRUV FROOXVLRQ FDQ QHYHUWKHOHVV EH VXSSRUWHG LQ WKH LQILQLWHO\ UHSHDWHG JDPH :KLOH 

WKHUH LV D XQLTXH 1DVK HTXLOLEULXP LQ SXEOLF VWUDWHJLHV LQ ZKLFK ELGGHUV ELG FRPSHWLWLYHO\ 

LQ HYHU\ SHULRG WKHUH DUH VLPSOH 1DVK HTXLOLEULD LQ SULYDWH VWUDWHJLHV WKDW 

VXSSRUW ELG URWDWLRQ (TXLOLEULD WKDW HLWKHU LPSURYH RQ ELG URWDWLRQ RU VDWLVI\ WKH UHTXLUHPHQW 

RI %D\HVLDQ SHUIHFWLRQ EXW QRW ERWK DUH RQO\ VOLJKWO\ PRUH FRPSOH[ :H DOVR FRQVWUXFW 

SHUIHFW %D\HVLDQ HTXLOLEULD WKDW LPSURYH RQ ELG URWDWLRQ 7KHVH HTXLOLEULD UHTXLUH 

FRPSOLFDWHG LQIHUHQFHV RII WKH HTXLOLEULXP SDWK 

7KRPDV 7URJHU 

8QLYHUVLW\ RI &DOLIRUQLD 6DQWD %DUEDUD 

63(&8/$7,21 ,1 ),567 35,&( $8&7,216 :,7+ 5(6$/( 

.H\ZRUGV ILUVW SULFH DXFWLRQ UHVDOH DQG VSHFXODWLRQ 


:H DQDO\]H ILUVW SULFH DXFWLRQV ZLWK UHVDOH 7KHUH LV RQH EX\HU ZLWK D SULYDWH YDOXH IRU WKH 

JRRG DQG IUHH HQWU\ RI VSHFXODWRUV ELGGHUV ZLWK YDOXH ]HUR )LUVW ZH VKRZ WKDW 

LQGHSHQGHQWO\ RI WKH UHVDOH PHFKDQLVP VSHFXODWRUV FDQQRW PDNH SRVLWLYH H[SHFWHG SURILWV 

LQ DQ\ SHUIHFW %D\HVLDQ HTXLOLEULXP 6HFRQG IRFXVVLQJ RQ HTXLOLEULD ZKHUH RQO\ RQH 

VSHFXODWRU HQWHUV WKH LQLWLDO DXFWLRQ DQG KHU UHVDOH PHFKDQLVP LV DQ RSWLPDO 

WDNH LW RU OHDYH LW RIIHU ZH VKRZ WKDW WKHUH H[LVWV DQ HVVHQWLDOO\ XQLTXH HTXLOLEULXP WKH 

VSHFXODWRU ZLQV ZLWK SRVLWLYH SUREDELOLW\ DQ LQHIILFLHQW DOORFDWLRQ UHVXOWV ZLWK SRVLWLYH 

SUREDELOLW\ DQG WKH LQLWLDO VHOOHU V H[SHFWHG UHYHQXHV DUH SRVLWLYH 

9HURQLND *ULPP 

+XPEROGW 8QLYHUVLW\ DW %HUOLQ 

21 352&85(0(17 $8&7,216 2) &203/(0(17$5< *22'6

.H\ZRUGV DXFWLRQV SURFXUHPHQW DQG VHTXHQWLDO DXFWLRQV 


:H FRPSDUH D VHTXHQWLDO DQG DQ EXQGOH SURFXUHPHQW DXFWLRQ RI WZR 

FRPSOHPHQWDU\ LWHPV LI WKH PDUNHW IRU RQH LWHP LV PRUH FRPSHWLWLYH DQG 

WUDGH DIWHU WKH DXFWLRQ LV SRVVLEOH (YHU\ VLQJOH DXFWLRQ LV VHFRQG 

SULFH DQG ZLWKRXW UHVHUYH SULFH :H ILQG WKDW UHVDOH RQO\ RFFXUV DIWHU 

WKH EXQGOH DXFWLRQ ,I UHVDOH LV GRQH E\ D VHFRQG SULFH DXFWLRQ ZLWKRXW 

UHVHUYH SULFH ERWK DXFWLRQ IRUPDWV \LHOG HTXLYDOHQW H[SHFWHG SULFHV ,I 

D UHYHQXH PD[LPL]LQJ PHFKDQLVP LV XVHG IRU UHVDOH WKH SULFH LQ WKH 

EXQGOH DXFWLRQ LV ORZHU WKDQ WKH RYHUDOO SULFH LQ WKH VHTXHQWLDO 

DXFWLRQ )XUWKHUPRUH IURP D UHYHQXH SHUVSHFWLYH LW DOPRVW QHYHU SD\V 

WR SUHYHQW WUDGH DPRQJ WKH ELGGHUV DIWHU WKH DXFWLRQ 7KH VHTXHQWLDO 

DXFWLRQ LV WKH RQO\ PHFKDQLVP WKDW DFKLHYHV DOORFDWLYH HIILFLHQF\ 

*52:7+ $1' '(9(/230(17 ,, 


&KDLUSHUVRQ + 5\X 

/HR .DDV 


&R $XWKRUV & $]DULDGLV 

$XJ 

5RRP ( 

(1'2*(1286 ),1$1&,$/ '(9(/230(17 $1' 08/7,3/( *52:7+ 

5(*,0(6 

.H\ZRUGV &UHGLW FRQVWUDLQWV (QGRJHQRXV JURZWK ,QGHWHUPLQDF\ DQG /LPLWHG 

HQIRUFHPHQW 

-(/ &ODVVLILFDWLRQ ' ( DQG 2 

7KH SDSHU DQDO\]HV D OLQHDU JURZWK PRGHO ZLWK LGLRV\QFUDWLF SURGXFWLYLW\ VKRFNV DQG VHOI 

HQIRUFLQJ ORDQ FRQWUDFWV $JHQWV 

FDQQRW FRPPLW WR UHSD\ WKHLU ORDQV EHFDXVH RI LQVXIILFLHQW FROODWHUDO EXW WKH WKUHDW RI FUHGLW 

PDUNHW H[FOXVLRQ SUHYHQWV DJHQWV IURP GHIDXOW &UHGLW UHSD\PHQW LV HQIRUFHG E\ 

HQGRJHQRXVO\ 

VSHFLILHG FUHGLW FRQVWUDLQWV WKDW DUH LPSRVHG RQ HDFK DJHQW DW HDFK SRLQW LQ WLPH 7KHUH LV 

D G\QDPLF FRPSOHPHQWDULW\ EHWZHHQ WKHVH FUHGLW FRQVWUDLQWV WKDW JLYHV ULVH WR PXOWLSOH 

EDODQFHG JURZWK SDWKV $ KLJK JURZWK HTXLOLEULXP ZLWK GHYHORSHG FUHGLW PDUNHWV FDQ 

FRH[LVW ZLWK RQH RU WZR ORZ JURZWK HTXLOLEULD ZLWK XQGHUGHYHORSHG FUHGLW PDUNHWV 

0RUHRYHU ORZ JURZWK HTXLOLEULD DUH PRUH YRODWLOH VLQFH WKH\ DUH H[SRVHG WR VKRFNV WR WKH 

ZHDOWK GLVWULEXWLRQ DQG WR VXQVSRW VKRFNV 

-LDQ 7RQJ 

8QLYHUVLW\ RI 6RXWKDPSWLRQ 

&R $XWKRUV & ;8

),1$1&,$/ ,167,787,216 $1' :($/7+ 2) 1$7,216 *52:7+ 

$1' &

LQFUHDVLQJ RU QRQ LQFUHDVLQJ UHWXUQV WR VFDOH LQ NQRZOHGJH FUHDWLRQ DQG D KLJK RU ORZ 

YDOXH RI WKH HODVWLFLW\ RI LQWHUWHPSRUDO VXEVWLWXWLRQ %DVHG RQ HPSLULFDO VWXGLHV ZH H[SHFW 

D QHJDWLYH UHODWLRQVKLS EHWZHHQ ORQJ UXQ JURZWK DQG XQFHUWDLQW\ UHJDUGLQJ WKH SURGXFWLYLW\ 

RI NQRZOHGJH FUHDWLRQ 

021(7$5< 32/,&< ,, 


&KDLUSHUVRQ $ )LODUGR 

$QGUHDV 6FKDEHUW 


21 7+( 5(/(9$1&( 2) 23(1 0$5.(7 23(5$7,216 )25 

021(7$5< 75$160,66,21 $1' (48,/,%5,80 '(7(50,1$&< 

$XJ 

5RRP ) 

.H\ZRUGV FDVK LQ DGYDQFH FRQVWUDLQW GHWHUPLQDF\ OLTXLGLW\ HIIHFWV SROLF\ HTXLYDOHQFH 

DQG 5HSXUFKDVH DJUHHPHQWV 


7KLV SDSHU UHH[DPLQHV WKH UROH RI RSHQ PDUNHW RSHUDWLRQV IRU GHWHUPLQDF\ DQG VKRUW UXQ 

PRQHWDU\ SROLF\ HIIHFWV 0RQH\ GHPDQG LV GXH WR D FDVK FRQVWUDLQW ZKLOH WKH FHQWUDO EDQN 

VXSSOLHV PRQH\ H[FOXVLYHO\ YLD UHSXUFKDVH DJUHHPHQWV 2SHQ PDUNHW RSHUDWLRQV DUH 

OHJDOO\ UHVWULFWHG VXFK WKDW RQO\ JRYHUQPHQW ERQGV DUH DFFHSWHG LQ H[FKDQJH IRU PRQH\ 

$JHQWV FDUH DERXW RSHQ PDUNHW RSHUDWLRQV ZKHQ SULYDWH GHEW HDUQV D KLJKHU LQWHUHVW WKDQ 

JRYHUQPHQW ERQGV ,Q WKLV FDVH WKH PRGHO LV LW DEOH WR JHQHUDWH OLTXLGLW\ HIIHFWV RI 

PRQHWDU\ LQMHFWLRQV UHJDUGOHVV ZKHWKHU SULFHV DUH IOH[LEOH RU VHW LQ D VWDJJHUHG ZD\ $ 

QRPLQDO LQWHUHVW UDWH SHJ LV DVVRFLDWHG ZLWK D XQLTXHO\ GHWHUPLQHG SULFH OHYHO IRU IOH[LEOH 

SULFHV DQG HTXLOLEULXP GHWHUPLQDF\ IRU VWLFN\ SULFHV DQG LV HTXLYDOHQW WR D FRQVWDQW PRQH\ 

JURZWK SROLF\ 

6HSSR +RQNDSRKMD 


&R $XWKRUV * (YDQV 

32/,&< ,17(5$&7,21 (;3(&7$7,216 $1' 7+( /,48,',7< 75$3 

.H\ZRUGV LQWHUHVW UDWH UXOH OHDUQLQJ DQG PRQH\ VXSSO\ UXOH 


:H FRQVLGHU LQIODWLRQ DQG JRYHUQPHQW GHEW G\QDPLFV ZKHQ PRQHWDU\ SROLF\ HPSOR\V D 

JOREDO LQWHUHVW UDWH UXOH DQG SULYDWH DJHQWV IRUHFDVW XVLQJ DGDSWLYH OHDUQLQJ %HFDXVH RI 

WKH ]HUR ORZHU ERXQG RQ LQWHUHVW UDWHV DFWLYH LQWHUHVW UDWH UXOHV DUH NQRZQ WR LPSO\ WKH 

H[LVWHQFH RI D VHFRQG ORZ LQIODWLRQ VWHDG\ VWDWH EHORZ WKH WDUJHW LQIODWLRQ UDWH 8QGHU 

DGDSWLYH OHDUQLQJ G\QDPLFV ZH ILQG WKH DGGLWLRQDO SRVVLELOLW\ RI D OLTXLGLW\ WUDS LQ ZKLFK WKH 

HFRQRP\ VOLSV EHORZ WKLV ORZ LQIODWLRQ VWHDG\ VWDWH DQG LV GULYHQ WR DQ HYHQ ORZHU LQIODWLRQ 

IORRU WKDW LV VXSSRUWHG E\ D VZLWFK WR DQ DJJUHVVLYH PRQH\ VXSSO\ UXOH )LVFDO SROLF\ DORQH 

FDQQRW SXVK WKH HFRQRP\ RXW RI WKH OLTXLGLW\ WUDS +RZHYHU UDLVLQJ WKH WKUHVKROG DW ZKLFK 

WKH PRQH\ VXSSO\ UXOH LV HPSOR\HG FDQ GLVORGJH WKH HFRQRP\ IURP WKH OLTXLGLW\ WUDS DQG 

HQVXUH D UHWXUQ WR WKH WDUJHW HTXLOLEULXP

6WHIDQ *HUODFK 

+RQJ .RQJ 0RQHWDU\ $XWKRULW\ 

5(&(66,21 $9(56,21 287387 $1' 7+( .

.H\ZRUGV '\QDPLF ZHOIDUH DQG 1DWLRQDO LQFRPH DFFRXQWLQJ 

-(/ &ODVVLILFDWLRQ & ' 2 DQG 4 

:H DQDO\]H QDWLRQDO LQFRPH DFFRXQWLQJ WKURXJK D UHYHDOHG ZHOIDUH DSSURDFK WKDW LV 

VXIILFLHQWO\ JHQHUDO WR FRYHU H J ERWK WKH VWDQGDUG GLVFRXQWHG XWLOLWDULDQ DQG PD[LPLQ 

FULWHULD DV VSHFLDO FDVHV :H VKRZ WKDW WKH EDVLF ZHOIDUH SURSHUWLHV RI FRPSUHKHQVLYH 

QDWLRQDO LQFRPH DFFRXQWLQJ SUHYLRXVO\ DVFULEHG RQO\ WR WKH GLVFRXQWHG XWLOLWDULDQ FDVH LQ 

IDFW H[WHQG WR WKLV PRUH JHQHUDO IUDPHZRUN ,Q SDUWLFXODU LW KROGV XQGHU D ZLGH UDQJH RI 

FLUFXPVWDQFHV WKDW UHDO 113 JURZWK RU HTXLYDOHQWO\ D SRVLWLYH YDOXH RI QHW LQYHVWPHQWV 

LQGLFDWHV ZHOIDUH LPSURYHPHQW :H LOOXVWUDWH WKH DSSOLFDELOLW\ RI RXU DSSURDFK LQ WKH 

'DVJXSWD +HDO 6RORZ PRGHO RI FDSLWDO DFFXPXODWLRQ DQG UHVRXUFH GHSOHWLRQ 

$QGUpV &DUYDMDO 

%DQFR GH OD 5HS~EOLFD &RORPELD 

,1',9,'8$//< 5$7,21$/ &2//(&7,9( &+2,&( 81'(5 5$1'20 

35()(5(1&(6 

.H\ZRUGV &ROOHFWLYH FKRLFH ,QGLYLGXDO UDWLRQDOLW\ 5DQGRP XWLOLW\ DQG 5HYHDOHG 

SUHIHUHQFHV 


, FRQVLGHU WKH IROORZLQJ SUREOHP WKHUH LV D FROOHFWLRQ RI VRFLDOO\ IHDVLEOH VHWV DQG IRU HDFK 

RQH RI WKHP HDFK RQH RI D JURXS RI LQGLYLGXDOV FKRRVHV IURP DQ LQGLYLGXDOO\ IHDVLEOH VHW 

7KH IDFW WKDW WKH SURGXFW RI WKH LQGLYLGXDOO\ IHDVLEOH VHWV LV ODUJHU WKDQ WKH VRFLDOO\ IHDVLEOH 

VHW QRWZLWKVWDQGLQJ WKHUH DULVHV QR FRQIOLFW $VVXPLQJ WKDW LQGLYLGXDO SUHIHUHQFHV DUH 

UDQGRP , FKDUDFWHUL]H FROOHFWLYH FKRLFHV LQ WHUPV RI WKH ZD\ LQ ZKLFK LQGLYLGXDO 

SUHIHUHQFHV PXVW FR YDU\ LQ RUGHU WR H[SODLQ WKHP , DOVR DUJXH WKDW WKHUH H[LVW FROOHFWLYH 

FKRLFHV WKDW FDQQRW EH UDWLRQDOL]HG 

:XOI *DHUWQHU 

8QLYHUVLW\ RI 2VQDEUXHFN 

&R $XWKRUV < ;X 

0($685,1* 7+( 67$1'$5' 2) /,9,1* 81&(57$,17< $%287 ,76 

'(9(/230(17 

.H\ZRUGV &DSDELOLW\ )XQFWLRQLQJ 6RFLDO 3URJUHVV 6WDQGDUG RI /LYLQJ DQG 8QFHUWDLQW\ 

-(/ &ODVVLILFDWLRQ & ' ' DQG ' 

+XPDQ GHYHORSPHQW LV DERXW H[SDQGLQJ WKH FKRLFHV KXPDQ EHLQJV KDYH WR OHDG OLYHV WKDW 

WKH\ YDOXH DQG LV FDSWXUHG E\ 

LWV FDSDELOLW\ VHWV ZKLFK FRQVLVW RI YDULRXV IXQFWLRQLQJ YHFWRUV 7KH VWDQGDUG RI OLYLQJ LV 

WKHQ UHIOHFWHG LQ FDSDELOLW\ VHWV 7KLV SDSHU SURSRVHV D SDUWLFXODU ZD\ RI PHDVXULQJ WKH 

VWDQGDUG RI OLYLQJ DYDLODEOH WR DQ DJHQW EH LW DQ LQGLYLGXDO RU D ZKROH FRXQWU\ ZKHQ WKH 

GLUHFWLRQ RI WKH GHYHORSPHQW RI VRFLHW\ UHSUHVHQWHG E\ D UHIHUHQFH IXQFWLRQLQJ YHFWRU LV 

XQFHUWDLQ :H SURYLGH DQ D[LRPDWLF FKDUDFWHUL]DWLRQ RI WKH SURSRVHG PHDVXUH

%86,1(66 &

;LQSHQJ ;X 

+RQJ .RQJ 3RO\WHFKQLF 8QLYHUVLW\ $XVWUDOLDQ 1DWLRQDO 8QLYHUVLW\ 

+2: $6

$ /,1($5 '(0$1' 6

SURGXFW PD\ FRQWDLQ XVHIXO LQIRUPDWLRQV DERXW WKH HIIHFW RI SULFH YDULDWLRQV 7KH 

PHWKRGRORJ\ UHOLHV RQ D VLPSOH KHGRQLF SULFHV VWUXFWXUDO PRGHO RI FRQVXPHU EHKDYLRU 

8VLQJ WKH UHVWULFWLRQV FUHDWHG E\ WKLV VWUXFWXUDO PRGHO ZH WKHQ FRQVLGHU WKH LGHQWLILFDWLRQ 

RI WKH SULFH HIIHFWV :H ILUVW VKRZ WKDW WKH VWUXFWXUDO SDUDPHWHUV DUH QRW LGHQWLILHG LQ WKH 

RQH SHULRG FDVH $Q H[WHQVLRQ RI WKH PRGHO WR D PXOWL SHULRGV FDVH DOORZV WR LGHQWLI\ WKH 

VWUXFWXUDO SDUDPHWHUV DQG WKXV WKH SULFH HODVWLFLWLHV IRU GLIIHUHQW SHULRGV 

5LFKDUG %OXQGHOO 


&R $XWKRUV 0 %URZQLQJ DQG , &UDZIRUG 

,03529,1* 5(9($/(' 35()(5(1&( %281'6 21 '(0$1' 

5(63216(6 

.H\ZRUGV &RQVXPHU 'HPDQG 1RQSDUDPHWULF 5HJUHVVLRQ DQG 5HYHDOHG 3UHIHUHQFH 


7KLV SDSHU SURYLGHV WLJKW ERXQGV RQ GHPDQG UHVSRQVHV 7KH DLP LV WR DOORZ SULFH 

UHVSRQVH SDUDPHWHUV WR YDU\ DFURVV SRLQWV LQ WKH LQFRPH GLVWULEXWLRQ 7KH LGHD LV WR IXOO\ 

H[SORLW PLFUR GDWD RQ FRQVXPHU H[SHQGLWXUHV DQG LQFRPHV DFURVV D ILQLWH VHW RI GLVFUHWH 

UHODWLYH UHJLPHV 7KLV LV DFKLHYHG E\ FRPELQLQJ WKH WKHRU\ RI UHYHDOHG SUHIHUHQFH ZLWK WKH 

VHLPSDUDPHWULF HVWLPDWLRQ RI FRQVXPHU H[SDQVLRQ SDWKV (QJHO FXUYHV 

(67,0$7,21 , 


&KDLUSHUVRQ : 3OREHUJHU 

5RFLR 6DQFKH] 0DQJDV 


$XJ 

5RRP ) 

$127+(5 /22. $7 7+( (67,0$7,21 2) '

(PPD ,JOHVLDV 


&R $XWKRUV * 3KLOOLSV 

),1,7( 6$03/( 7+(25< 2) 0/(6 ,1 $5&+ 0 02'(/6 :,7+ 

'


7KLV SDSHU GHULYHV ERXQGV IRU WKH SUR[LPLW\ EHWZHHQ WKH WKHRUHWLFDO GDWD JHQHUDWLQJ 

SURFHVV DQG WKH EHVW IHDVLEOH PRGHO ZKHQ SDUDPHWHUV KDYH WR EH HVWLPDWHG ,Q SDUWLFXODU 

ZH DUH DEOH WR DQDO\]H WKH FDVH RI DQ LQILQLWH GLPHQVLRQDO SDUDPHWHU VSDFH 2IWHQ WKLV 

SDUDPHWHU VSDFH ZLOO FRQVLVW RI IXQFWLRQV 7KHQ WKH ERXQG UHIOHFWV RXU VPRRWKQHVV 

DVVXPSWLRQV RQ WKHVH IXQFWLRQV 

)25(&$67,1* ,, 


&KDLUSHUVRQ * .RRS 

$XJ 

+DUU\ +DXSW 

8QLYHUVLW\ RI 5HJHQVEXUJ 'HSDUWPHQW RI (FRQRPLFV DQG (FRQRPHWULFV 

&R $XWKRUV : 2EHUKRIHU 

,1&25325$7,1* 35,25 672&+$67,& ,1)250$7,21 ,172 

(67,0$7,21 $1' )25(&$67,1* 

5RRP ) 

.H\ZRUGV %HQFKPDUNLQJ &RQGLWLRQDO $5,0$ 0L[HG (VWLPDWLRQ UHVWULFWHG IRUHFDVW DQG 

6WRFKDVWLF FRQVWUDLQW 


,Q FRQWUDVW WR WKH ZHOO NQRZQ PL[HG HVWLPDWLRQ DSSURDFK GHDOLQJ ZLWK SULRU VWRFKDVWLF 

NQRZOHGJH RI UHJUHVVLRQ FRHIILFLHQWV ZH FRQVLGHU SULRU LQIRUPDWLRQ RQ IXWXUH REVHUYDWLRQV 

RI WKH GHSHQGHQW YDULDEOH V 

7KH HVWDEOLVKHG DSSURDFK SURYHV SDUWLFXODUO\ XVHIXO ZKHQ RQO\ DJJUHJDWHG LQIRUPDWLRQ RQ 

WKH 

HQGRJHQRXV YDULDEOHV LV DYDLODEOH DV XQIRUWXQDWHO\ LV IUHTXHQWO\ WKH FDVH ZLWK UHJLRQDO 

OHYHO GDWD 

:H DGGUHVV WKH FRPELQDWLRQ RI LQFRPSOHWH SULRU DQG VDPSOH LQIRUPDWLRQ DV DQ H[WHQVLRQ 

RI FODVVLFDO UHJUHVVLRQ DQDO\VLV 

3ULRU LQIRUPDWLRQ FRXOG EH JLYHQ LQ WKH IRUP RI H[SHUWV H[SHFWDWLRQV RU IURP HVWLPDWLRQV 

DQG RU SURMHFWLRQV RI RWKHU PRGHOV $ FODVVLFDO L H 1RQ %D\HVLDQ IUDPHZRUN IRU WKH 

LQFRUSRUDWLRQ RI SULRU NQRZOHGJH LQ JHQHUDOL]HG OHDVW VTXDUHV HVWLPDWLRQ DQG SUHGLFWLRQ LV 

GHYHORSHG 

6XEVWDQWLDO GLIIHUHQFHV WR FRQGLWLRQDO $5,0$ IRUHFDVWLQJ ZLWK ELQGLQJ FRQVWUDLQWV DUH 

FOHDUO\ VWDWHG 

*LDFRPR 6EUDQD 


$**5(*$7,21 $1$/

7KH SDSHU DQDO\VHV WKH DJJUHJDWLRQ SUREOHP ZKHQ WKH PLFUR UHODWLRQV FRQVLVW RI 

PXOWLYDULDWH VSHFLILFDWLRQV :H IRFXV RQ D JHQHUDOL]DWLRQ RI WKH PRGHO VHOHFWLRQ FULWHULRQ 

SURSRVHG LQ WKH SUHYLRXV OLWHUDWXUH IRU GLVFULPLQDWLQJ EHWZHHQ DJJUHJDWH DQG GLVDJJUHJDWH 

PRGHOV ,Q DGGLWLRQ ZH H[WHQG WKH PRGHO VHOHFWLRQ SUREOHP LQ IRUHFDVWLQJ DJJUHJDWH 

YDULDEOHV RXW RI VDPSOH %RWK WKH VWDWLRQDU\ DQG FRLQWHJUDWHG 9$5 SURFHVVHV DUH 

FRQVLGHUHG 7KH SDSHU DOVR LQWURGXFHV D QHZ WHVW RI SHUIHFW DJJUHJDWLRQ LQ WKH 

PXOWLYDULDWH HQYLURQPHQW 7KH SURSHUWLHV RI WKH WHVW DUH DQDO\VHG E\ 0RQWH &DUOR 

VLPXODWLRQ 7KH UHVXOWV VXJJHVW DGRSWLQJ D FRUUHFWLRQ WR UHGXFH WKH VPDOO VDPSOH ELDV RI 

WKH WHVW 

5DIIDHOOD *LDFRPLQL 

8QLYHUVLW\ RI &DOLIRUQLD 6DQ 'LHJR 

&R $XWKRUV + :KLWH 

7(676 2) &21',7,21$/ 35(',&7,9( $%,/,7< 

.H\ZRUGV 'DWD KHWHURJHQHLW\ (VWLPDWLRQ XQFHUWDLQW\ )RUHFDVWLQJ DQG 2XW RI VDPSOH 

WHVWLQJ 


:H DUJXH WKDW WKH FXUUHQW IUDPHZRUN IRU SUHGLFWLYH DELOLW\ WHVWLQJ H J :HVW LV QRW 

QHFHVVDULO\ XVHIXO IRU UHDO WLPH IRUHFDVW VHOHFWLRQ L H IRU DVVHVVLQJ ZKLFK RI WZR 

FRPSHWLQJ IRUHFDVWLQJ PHWKRGV ZLOO SHUIRUP EHWWHU LQ WKH IXWXUH :H SURSRVH DQ DOWHUQDWLYH 

IUDPHZRUN IRU RXW RI VDPSOH FRPSDULVRQ RI SUHGLFWLYH DELOLW\ ZKLFK LV EDVHG RQ LQIHUHQFH 

DERXW FRQGLWLRQDO H[SHFWDWLRQV RI IRUHFDVWV DQG IRUHFDVW HUURUV UDWKHU WKDQ WKH 

XQFRQGLWLRQDO H[SHFWDWLRQV WKDW DUH WKH IRFXV RI WKH H[LVWLQJ OLWHUDWXUH :H FDSWXUH 

LPSRUWDQW GHWHUPLQDQWV RI IRUHFDVW SHUIRUPDQFH E\ HYDOXDWLQJ ZKDW ZH FDOO WKH IRUHFDVWLQJ 

PHWKRG WKH PRGHO DQG WKH SDUDPHWHU HVWLPDWLRQ SURFHGXUH UDWKHU WKDQ MXVW WKH 

IRUHFDVWLQJ PRGHO &RPSDUHG WR SUHYLRXV DSSURDFKHV RXU WHVWV DUH YDOLG XQGHU PRUH 

JHQHUDO GDWD DVVXPSWLRQV KHWHURJHQHLW\ UDWKHU WKDQ VWDWLRQDULW\ DQG HVWLPDWLRQ PHWKRGV 

DQG WKH\ FDQ KDQGOH FRPSDULVRQ RI ERWK QHVWHG DQG QRQ QHVWHG PRGHOV ZKLFK LV QRW 

FXUUHQWO\ SRVVLEOH 

*DU\ .RRS 

8QLYHUVLW\ RI *ODVJRZ 

&R $XWKRUV 6 3RWWHU 

)25(&$67,1* ,1 /$5*( 0$&52(&2120,& 3$1(/6 86,1* 

%$

WLPH VHULHV 5HODWLYH WR WKH VPDOO IRUHFDVWLQJ JDLQV RYHU DQ $5 S SURYLGHG E\ LQFOXGLQJ 

IDFWRUV WKH JDLQV SURYLGHG E\ XVLQJ %D\HVLDQ PRGHO DYHUDJLQJ RYHU IRUHFDVWLQJ PHWKRGV 

EDVHG RQ D VLQJOH PRGHO DUH DSSUHFLDEOH 

,1(48$/,7< 


&KDLUSHUVRQ 1 5RVDWL 

HFRQRPLHV 6HFRQG ZH GHYHORS D QHZ PHWKRGRORJ\ IRU GHFRPSRVLQJ HDUQLQJV LQHTXDOLW\ 

WKDW DFFRXQWV IRU VHOHFWLRQ DQG JHQHUDO HTXLOLEULXP HIIHFWV 7KLUG ZH GHFRPSRVH (DVW 

*HUPDQ HDUQLQJV LQHTXDOLW\ DQG ZDJH JURZWK LQWR LWV YDULRXV FRPSRQHQWV 

5REHUW 9DOOHWWD 

)HGHUDO 5HVHUYH %DQN RI 6DQ )UDQFLVFR 

&R $XWKRUV 0 'DO\ 

&5266 1$7,21$/ 75(1'6 ,1 ($51,1*6 ,167$%,/,7< $1' 

($51,1*6 ,1(48$/,7< 

.H\ZRUGV FRPSDUDWLYH HDUQLQJV G\QDPLFV DQG LQHTXDOLW\ 

-(/ &ODVVLILFDWLRQ - - DQG 3 

:H H[WHQG WKH H[LVWLQJ OLWHUDWXUH RQ HDUQLQJV LQVWDELOLW\ DQG LQHTXDOLW\ LQ WKH 8QLWHG 6WDWHV 

E\ FRPSDULQJ WKDW FRXQWU\ ZLWK *HUPDQ\ DQG *UHDW %ULWDLQ XVLQJ KDUPRQL]HG SDQHO GDWD 

IURP WKH V DQG V 'HVSLWH GLIIHUHQFHV LQ ODERU PDUNHW VWUXFWXUH RXU GHVFULSWLYH 

DQDO\VHV UHYHDO VLPLODU SDWWHUQV RI HDUQLQJV PRELOLW\ DQG G\QDPLFV LQ WKHVH FRXQWULHV :H 

WKHQ DSSO\ D PHWKRG RI PRPHQWV DSSURDFK WR HVWLPDWH WKH SDUDPHWHUV RI D 

KHWHURJHQHRXV JURZWK PRGHO RI SHUPDQHQW DQG WUDQVLWRU\ HDUQLQJV 'HVSLWH VXEVWDQWLDO 

GLIIHUHQFHV EHWZHHQ WKHVH FRXQWULHV LQ RYHUDOO FURVV VHFWLRQDO LQHTXDOLW\ WKH SHUVLVWHQW 

FRPSRQHQW RI HDUQLQJV LQHTXDOLW\ ZDV TXLWH VLPLODU LQ HDFK GXULQJ WKH V 

1LFROHWWD 5RVDWL 

7HFKQLFDO 8QLYHUVLW\ RI /LVERQ 

+2: +$6 (&2120,& ,1(48$/,7< (92/9(' 29(5 7+( 3$67 7:2 

'(&$'(6" $ /22. $7 7+( ,7$/,$1 (;3(5,(1&( 

.H\ZRUGV ,QFRPH DQG FRQVXPSWLRQ LQHTXDOLW\ DQG 3HUPDQHQW DQG WUDQVLWRU\ VKRFNV 

-(/ &ODVVLILFDWLRQ ' ' DQG - 

:H LQYHVWLJDWH WKH SDWWHUQ RI LQHTXDOLW\ LQ ,WDO\ EHWZHHQ DQG XVLQJ ERWK 

FRQVXPSWLRQ DQG LQFRPH PHDVXUHV VR DV WR VHSDUDWH LWV SHUPDQHQW DQG WHPSRUDU\ 

FRPSRQHQWV :H GHYHORS D 0LQLPXP 'LVWDQFH HVWLPDWRU DQG WKH SURFHGXUH DOVR DOORZV 

XV WR WHVW IRU WKH VSHFLILFDWLRQ RI WKH PRGHO 

:H ILQG DQ LQFUHDVH RI WUDQVLWRU\ LQHTXDOLW\ LQ WKH HDUO\ V ZKHUHDV WKH SHUPDQHQW RQH 

UHPDLQV FRQVWDQW RYHU WKH WZR GHFDGHV 7KH UHVXOWV DOVR FRQILUP WKDW VWXGLHV EDVHG RQ 

LQFRPH RU FRQVXPSWLRQ DORQH RQO\ SUHVHQW D SDUWLDO SLFWXUH RI LQHTXDOLW\ DQG WKDW MRLQW XVH 

RI WKH WZR YDULDEOHV LV DGYLVDEOH 

/$%285 6833/< , 


&KDLUSHUVRQ ' 0DUJROLV 

7LOO YRQ :DFKWHU 

$XJ 

5RRP )

8& %HUNHOH\ 

7+( (1' 2) 0$1'$725< 5(7,5(0(17 ,1 7+( 86 ())(&76 21 

5(7,5(0(17 $1' ,03/,&,7 &2175$&76 

.H\ZRUGV DJH GLVFULPLQDWLRQ LPSOLFLW FRQWUDFWV ODERU IRUFH SDUWLFLSDWLRQ DQG PDQGDWRU\ 

UHWLUHPHQW 

-(/ &ODVVLILFDWLRQ - - - DQG - 

7KLV SDSHU DQDO\]HV WKH HFRQRPLF HIIHFWV RI WKH DEROLWLRQ RI PDQGDWRU\ UHWLUHPHQW LQ WKH 

8QLWHG 6WDWHV LQ ,W WDNHV DGYDQWDJH RI WKH XQLTXH YDULDWLRQ LQ LQVWLWXWLRQV DIIHFWLQJ 

UHWLUHPHQW EHKDYLRU WR VWXG\ WKH FKDQJH LQ ODERU IRUFH SDUWLFLSDWLRQ MRE DWWDFKPHQW DQG 

ZDJHV RI ROGHU ZRUNHUV IURP WKH V WR WKH V 7KHVH FKDQJHV KDYH QRW EHHQ 

SUHYLRXVO\ VWXGLHG SRVVLEO\ GXH WR D ODFN RI DSSURSULDWH GDWD 7KH UHVXOWV LQGLFDWH WKDW 

ZRUNHUV FRYHUHG E\ PDQGDWRU\ UHWLUHPHQW KDG D YHU\ KLJK LQFLGHQFH RI UHWLUHPHQW DW DJH 

ZKLFK GHFOLQHG VLJQLILFDQWO\ IROORZLQJ WKH HOLPLQDWLRQ RI PDQGDWRU\ UHWLUHPHQW 2YHUDOO 

WKH UHVXOWV VXJJHVW WKDW WKH ODERU IRUFH RI ZRUNHUV DQG ROGHU URVH E\ WR ZLWK 

WKH HQG RI PDQGDWRU\ UHWLUHPHQW 1HLWKHU MRE WHQXUH QRU ZDJH SURILOHV RI ROGHU ZRUNHUV 

VHHP WR KDYH EHHQ DIIHFWHG E\ WKH FKDQJH 

3LHUUH &DUO 0LFKDXG 


-2,17 /$%25 6833/< '


:H GHYHORS D FRPSHQVDWLQJ YDULDWLRQ &9 PHDVXUH RI LQGLYLGXDO ZHOIDUH FKDQJH IURP 

UHIRUPV RI VRFLDO VHFXULW\ VFKHPHV :LWKLQ D UDQGRP XWLOLW\ IUDPHZRUN IRU PRGHOLQJ WKH 

LQGLYLGXDO UHWLUHPHQW GHFLVLRQ H J WKH RSWLRQ YDOXH RU G\QDPLF SURJUDPLQJ PRGHOV WKLV 

PHDVXUH WDNHV WKH LQGLYLGXDO WLPLQJ RI UHWLUHPHQW DV D UHVSRQVH WR WKH UHIRUP LQWR DFFRXQW 

,Q WKH HPSLULFDO SDUW RI WKH SDSHU DQ RSWLRQ YDOXH PRGHO LV HVWLPDWHG XVLQJ 6ZHGLVK SDQHO 

GDWD 7KLV PRGHO LV WKHQ XVHG WR VLPXODWH WKH HIIHFW RI D K\SRWKHWLFDO UHIRUP RI 6ZHGHQ V 

LQFRPH VHFXULW\ V\VWHP ZKHUH HOLJLELOLW\ WR SHQVLRQV DUH GHOD\HG E\ WKUHH \HDUV 7KH 

LQGLYLGXDO ZHOIDUH PHDVXUH LV XVHG WR DVVHVV WKH RYHUDOO ZHOIDUH FKDQJH DV ZHOO DV WKH 

GLVWULEXWLRQDO HIIHFWV 

'DYLG 0DUJROLV 

,16(( &5(67 

&R $XWKRUV 0 *XUJDQG 

$ 08/7,3/( 67$7( 121 67$7,21$5< 02'(/ 2) :(/)$5( (;,7 

.H\ZRUGV QXPHULFDO UHVROXWLRQ 6WUXFWXUDO PRGHOV WUDQVLWLRQV DQG ZHOIDUH SURJUDPV 

-(/ &ODVVLILFDWLRQ & & , - DQG - 

:H SURSRVH D VWUXFWXUDO GLVFUHWH WLPH G\QDPLF PRGHO RI ODERU PDUNHW WUDQVLWLRQV WKDW 

LQFRUSRUDWHV JHQHUDO IRUPV RI QRQ VWDWLRQDULW\ UHVXOWLQJ IURP D YDULHW\ RI PDMRU LQVWLWXWLRQDO 

IHDWXUHV WKDW FDQ DIIHFW FXUUHQW DQG IXWXUH GLVSRVDEOH LQFRPH VXFK DV XQHPSOR\PHQW 

LQVXUDQFH RU ZHOIDUH WR ZRUN LQFHQWLYH SURJUDPV 6LQFH DQ DQDO\WLF VROXWLRQ LV JHQHUDOO\ 

XQDYDLODEOH ZH SURYLGH D VLPSOH DOJRULWKP IRU VROYLQJ WKH PRGHO QXPHULFDOO\ 7KLV 

PRGHOOLQJ VWUDWHJ\ LV DSSOLHG WR WKH ZHOIDUH V\VWHP LQ )UDQFH 7KH VWUXFWXUDO PRGHO 

LQFOXGLQJ SUHIHUHQFH SDUDPHWHUV RYHU SDUW WLPH DQG IXOO WLPH ZRUN LV FDOLEUDWHG ZLWK 

)UHQFK SDUDPHWHU YDOXHV LQ RUGHU WR DQDO\]H UHVUHUYDWLRQ ZDJHV DQG VLPXODWH WKH HIIHFWV 

RI SROLF\ FKDQJHV 

121/,1($5 7,0( 6(5,(6 


&KDLUSHUVRQ ) %HF 

+HDWKHU 0 $QGHUVRQ 

'HSW RI %XVLQHVV DQG (FRQRPLF 6WDWLVWLFV 0RQDVK 8QLYHUVLW\ 9LFWRULD $XVWUDOLD 

&+226,1* /$* /(1*7+6 ,1 121/,1($5 '

QRQOLQHDU IRUPV $ VLPXODWLRQ VWXG\ FRPSDUHV WKH SURSHUWLHV RI WKHVH SURSRVHG 

SURFHGXUHV ZLWK WKH SURSHUWLHV RI OLQHDU VHOHFWLRQ SURFHGXUHV 

%RULVV 6LOLYHUVWRYV 

',: %HUOLQ 

7+( %, 3$5$0(7(5 60227+ 75$16,7,21 $8725(*5(66,9( 

02'(/ 

.H\ZRUGV 1RQOLQHDU WLPH VHULHV DQG 67$5 PRGHOV 


7KH SDSHU LQWURGXFHV D QRQOLQHDU PRGHO WKDW EHORQJV WR WKH 67$5 IDPLO\ RI PRGHOV 7KH 

PDLQ IHDWXUH RI WKH VXJJHVWHG %L SDUDPHWHU 6PRRWK 7UDQVLWLRQ $XWRUHJUHVVLYH %67$5 

PRGHO LV WKDW LW DOORZV IRU GLIIHUHQW VSHHGV RI WUDQVLWLRQ EHWZHHQ WKH PLGGOH UHJLPH DQG 

HDFK RI WKH LGHQWLFDO RXWHU UHJLPHV 7KXV WKH %67$5 PRGHO FDQ EH FRQVLGHUHG DV D 

JHQHUDOL]DWLRQ RI WKH /675 PRGHO LQWURGXFHG LQ 7HUDVYLUWD ZKLFK LPSRVHV 

V\PPHWULF 

VSHHG RI DGMXVWPHQW EHWZHHQ WKH PLGGOH DQG HDFK RI WKH LGHQWLFDO RXWHU UHJLPHV 

(PSLULFDO H[DPSOH XVLQJ WKH WLPH VHULHV RI WKH DQQXDO JURZWK UDWHV RI WKH ,WDOLDQ LQGXVWULDO 

SURGXFWLRQ LQGH[ LV 

SURYLGHG 

2VFDU 0DUWLQH] 


&R $XWKRUV - *RQ]DOR 

7+5(6+2/' ,17(*5$7(' 029,1* $9(5$*( 02'(/6 '2(6 6,=( 

0$77(5" 0$

)UpGpULTXH %HF 

&5(67 (16$( 

&R $XWKRUV $ 5DKEHN 

9(&725 (48,/,%5,80 &255(&7,21 02'(/6 :,7+ 121/,1($5 

',6&217,18286 $'-8670(176 

.H\ZRUGV $&5 PRGHOV 1RQOLQHDU FRLQWHJUDWLRQ 7$5 PRGHOV 7HUP VWUXFWXUH RI LQWHUHVW 

UDWHV DQG 9HFWRU DXWRUHJUHVVLYH PRGHOV 


7KLV SDSHU DGUHVVHV FRLQWHJUDWLRQ LQ QRQOLQHDU YHFWRU DXWRUHJUHVVLYH PRGHOV ZLWK PDLQ 

IRFXV RQ PRGHOV ZLWK UHJLPH GHSHQGHQW DQG GLVFRQWLQXRXV HUURU FRUUHFWLRQ %DVHG RQ 

0DUNRY FKDLQ WKHRU\ FRQGLWLRQV IRU VWDWLRQDULW\ LW LV VKRZQ WKDW WKH ZHOO NQRZQ , 

FRQGLWLRQV IURP WKH OLQHDU 9$5 DQDO\VLV DUH VXIILFLHQW WR HQVXUH WKDW SURFHVVHV ZLWK IRU 

H[DPSOH 7$5 RU $&5 HUURU FRUUHFWLRQ SRVVHVV KLJKHU RUGHU PRPHQWV DQG DUH QRQ 

VWDWLRQDU\ ZLWK VWDWLRQDU\ JHRPHWULFDOO\ HUJRGLF QRQOLQHDU FRLQWHJUDWLQJ UHODWLRQV 

$V\PSWRWLF WKHRU\ IRU HVWLPDWLRQ LV DOVR SURYLGHG 7KH UHVXOWV DUH LOOXVWUDWHG XVLQJ WKH 

*HUPDQ WHUP VWUXFWXUH RI LQWHUHVW UDWHV IRU ZKLFK HPSLULFDO HYLGHQFH IRU WKUHVKROG HUURU 

FRUUHFWLRQ LV IRXQG 

6,08/$7,21 %$6(' (67,0$7,21 


&KDLUSHUVRQ + 9DQ 'LMN 

(UZDQQ 6EDL 

(&$5(6 8/% *5(0$4 7RXORXVH 

&R $XWKRUV 2 $UPDQWLHU 

$XJ 

5RRP ) 

(67,0$7,21 $1' &203$5,621 2) 75($685< $8&7,21 )250$7 

:+(1 %,''(56 $5( $66

&R $XWKRUV ) -HVXV 

(67,0$7,1* 121/,1($5 '

VDPSOLQJ RU 0DUNRY &KDLQ 0RQWH &DUOR SURFHGXUHV JUHDWO\ GHSHQGV RQ 

WKH FKRLFH RI WKH LPSRUWDQFH RU FDQGLGDWH GHQVLW\ 8VXDOO\ VXFK D 

GHQVLW\ KDV WR EH CFORVH WR WKH WDUJHW GHQVLW\ LQ RUGHU WR \LHOG 

QXPHULFDOO\ DFFXUDWH UHVXOWV ZLWK HIILFLHQW VDPSOLQJ 1HXUDO 

QHWZRUNV VHHP WR EH QDWXUDO LPSRUWDQFH RU FDQGLGDWH GHQVLWLHV DV 

WKH\ KDYH D XQLYHUVDO DSSUR[LPDWLRQ SURSHUW\ DQG DSSHDU WR EH HDV\ 

WR VDPSOH IURP $ NH\ VWHS LQ WKH SURSRVHG FODVV RI PHWKRGV LV WKH 

FRQVWUXFWLRQ RI D QHXUDO QHWZRUN WKDW DSSUR[LPDWHV WKH WDUJHW 

GHQVLW\ DFFXUDWHO\ 6LPXODWHG DQG HPSLULFDO H[DPSOHV LQYROYLQJ 

H[SHULPHQWV ZLWK QRQ VWDQGDUG QRQ HOOLSWLFDO SRVWHULRU 

GLVWULEXWLRQV LQGLFDWH WKH IHDVLELOLW\ RI WKH QHXUDO QHWZRUN DSSURDFK 

32/,7,&$/ (&2120< ,9 

&DWHJRU\ (($ 

&KDLUSHUVRQ 6 6DQFKH] 3DJHV 

6LOYLD 3H]]LQL 

67,&(5' /RQGRQ 6FKRRO RI (FRQRPLFV 

&R $XWKRUV 5 0DF&XOORFK 

$XJ 

5RRP $ 

7+( 52/( 2) )5(('20 *52:7+ $1' 5(/,*,21 ,1 7+( 7$67( 

)25 5(92/87,21 

.H\ZRUGV &RQIOLFW 'HYHORSPHQW )UHHGRP *URZWK DQG 5HOLJLRQ 

-(/ &ODVVLILFDWLRQ ' + 2 DQG = 

$ IXQGDPHQWDO TXHVWLRQ DERXW WKH GHWHUPLQDQWV RI FLYLO FRQIOLFW LV WKH UHODWLYH LPSRUWDQFH RI 

SROLWLFDO IUHHGRPV YHUVXV HFRQRPLF GHYHORSPHQW 7KLV SDSHU WDNHV D QHZ DSSURDFK E\ 

XVLQJ PLFUR GDWD EDVHG RQ VXUYH\V RI UHYROXWLRQDU\ WDVWHV RI SHRSOH OLYLQJ LQ 

QDWLRQV EHWZHHQ DQG &RQWUROOLQJ IRU SHUVRQDO FKDUDFWHULVWLFV FRXQWU\ DQG \HDU 

IL[HG HIIHFWV PRUH IUHHGRP DQG HFRQRPLF JURZWK ERWK UHGXFH UHYROXWLRQDU\ VXSSRUW 

/RVLQJ RQH OHYHO RI IUHHGRP HTXLYDOHQW WR D VKLIW IURP WKH 86 WR 7XUNH\ LQFUHDVHV VXSSRUW 

IRU UHYROW E\ SHUFHQW 7R UHGXFH VXSSRUW E\ WKH VDPH DPRXQW UHTXLUHV DGGLQJ 

SHUFHQWDJH SRLQWV RQWR WKH *'3 JURZWK UDWH %HLQJ 0XVOLP LQ D IUHH FRXQWU\ KDV QR HIIHFW 

RQ WKH SUREDELOLW\ RI VXSSRUWLQJ UHYROW FRPSDUHG WR D QRQ UHOLJLRXV SHUVRQ +RZHYHU EHLQJ 

0XVOLP LQ D FRXQWU\ WKDW LV QRW IUHH LQFUHDVHV LW E\ SHUFHQWDJH SRLQWV 

0LFKHOH 5XWD 

&ROXPELD 8QLYHUVLW\ 

7+( $//2&$7,21 2) &203(7(1&,(6 ,1 $1 ,17(51$7,21$/ 

81,21 $ 326,7,9( $1$/

DVVLJQPHQW RI FRPSHWHQFLHV WR WKH XQLRQ EHFDXVH WKHLU SRZHU RI LQIOXHQFH FDQ LQFUHDVH RU 

GHFUHDVH XQGHU FHQWUDOL]DWLRQ , VKRZ WKDW LQ WKLV VHWWLQJ D PLVDOORFDWLRQ RI SUHURJDWLYHV 

EHWZHHQ WKH LQWHUQDWLRQDO XQLRQ DQG QDWLRQDO JRYHUQPHQWV FDQ EH DQ RXWFRPH ERWK 

OHDGLQJ WR H[FHVVLYH GHFHQWUDOL]DWLRQ DQG RU QRQ QHFHVVDU\ FHQWUDOL]DWLRQ 7KLV UHVXOW 

UHFRQFLOHV D SDUWLDO LQFRQVLVWHQF\ WKDW UHFHQW VWXGLHV SRLQWHG RXW EHWZHHQ WKH DOORFDWLRQ RI 

SUHURJDWLYHV LQ WKH (8 DQG QRUPDWLYH FULWHULD DV ODLG RXW LQ WKH WKHRUHWLFDO OLWHUDWXUH 

&KULVWLDQ 6FKXOW] 

,QVWLWXWH RI (FRQRPLFV 8QLYHUVLW\ RI &RSHQKDJHQ 

&R $XWKRUV 0 %HQQHGVHQ 

2876285&,1* 0$5.(7 6758&785( $1' (/(&7,216 

.H\ZRUGV (OHFWLRQV ,QFRPSOHWH &RQWUDFWV 0DUNHW 3RZHU DQG 3ULYDWL]DWLRQ 


:H DQDO\]H WKH LPSDFW RI PDUNHW VWUXFWXUH DQG SROLWLFDO SUHIHUHQFHV RQ D JRYHUQPHQW V 

GHFLVLRQ WR SULYDWL]H LQ DQ LQFRPSOHWH FRQWUDFWLQJ PRGHO $OWKRXJK RXWVRXUFLQJ LV PRVW 

DWWUDFWLYH ZKHQ WKH SULYDWH PDUNHW LV FRPSHWLWLYH WKH RXWVRXUFLQJ GHFLVLRQ ZLOO EH WKH 

VDPH LQ D FRPSHWLWLYH DQG D PRQRSROLVWLF PDUNHW )XUWKHUPRUH ZH DQDO\]H KRZ WKH SULFH 

SDLG IRU WKH SXEOLF VHUYLFH LQ D PRQRSRO\ PDUNHW GHSHQGV RQ WKH JRYHUQPHQW V 

SUHIHUHQFHV IRU WKH SXEOLF VHUYLFH DQG SURYLGH FRQGLWLRQV IRU ZKHQ D CCOHIWLVW SXEOLF 

VHUYLFH ORYLQJ SROLWLFLDQ FDQ RXWVRXUFH FKHDSHU ,Q WKLV FDVH LI RXWVRXUFLQJ LV WKH VDOLHQW 

LVVXH WKH PHGLDQ YRWHU SUHIHUV D PRUH CCOHIWLVW JRYHUQPHQW 

6DQWLDJR 6DQFKH] 3DJHV 


&R $XWKRUV ) %ORFK DQG 5 6RXEH\UDQ 

:+(1 '2(6 81,9(56$/ 3($&( 35(9$,/" 6(&(66,21 $1' 

*5283 )250$7,21 ,1 5(17 6((.,1* &217(676 $1' 32/,&< 

&21)/,&76 

.H\ZRUGV *URXS IRUPDWLRQ 3ROLF\ FRQIOLFWV 5HQW VHHNLQJ DQG 6HFHVVLRQ 


7KLV SDSHU DQDO\]HV VHFHVVLRQ DQG JURXS IRUPDWLRQ LQ D JHQHUDO PRGHO RI FRQWHVW LQVSLUHG 

E\ (VWHEDQ DQG 5D\ 7KLV PRGHO HQFRPSDVVHV DV VSHFLDO FDVHV UHQW VHHNLQJ 

FRQWHVWV DQG SROLF\ FRQIOLFWV ZKHUH DJHQWV OREE\ RYHU WKH FKRLFH RI D SROLF\ LQ D RQH 

GLPHQVLRQDO SROLF\ VSDFH :H VKRZ WKDW LQ ERWK PRGHOV WKH JUDQG FRDOLWLRQ LV WKH HIILFLHQW 

FRDOLWLRQ VWUXFWXUH DQG DJHQWV 

DUH DOZD\V EHWWHU RII LQ WKH JUDQG FRDOLWLRQ WKDQ LQ D V\PPHWULF FRDOLWLRQ 

VWUXFWXUH ,QGLYLGXDO DJHQWV DQG H[WUHPLVWV RQO\ KDYH DQ LQFHQWLYH WR VHFHGH ZKHQ WKH\ 

DQWLFLSDWH 

WKDW WKHLU VHFHVVLRQ ZLOO QRW EH IROORZHG E\ DGGLWLRQDO VHFHVVLRQV ,QFHQWLYHV WR VHFHGH DUH 

ORZHU ZKHQ DJHQWV FRRSHUDWH LQVLGH JURXSV 7KH JUDQG FRDOLWLRQ HPHUJHV DV WKH XQLTXH 

VXEJDPH SHUIHFW HTXLOLEULXP RXWFRPH RI D VHTXHQWLDO JDPH RI FRDOLWLRQ IRUPDWLRQ LQ UHQW 

VHHNLQJ FRQWHVWV

(;&+$1*( 5$7(6 ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ ) 5DYHQQD 

'HPRVWKHQHV 7DPEDNLV 

81,9(56,7< 2) &$0%5,'*( 

$XJ 

5RRP & 

(;&+$1*( 5$7( 32/,&< :,7+ ),1$1&,$/ 6(&725 )5$*,/,7< 

$1' &855(1&< 5,6. 35(0,$ 

.H\ZRUGV &XUUHQF\ ULVN SUHPLXP ([FKDQJH UDWH )LQDQFLDO IUDJLOLW\ 5HDO LQWHUHVW UDWH 

DQG 6RFLDO ZHOIDUH 


+RZ GRHV ILQDQFLDO VHFWRU IUDJLOLW\ DIIHFW GLVFUHWLRQDU\ H[FKDQJH UDWH SROLF\" ,Q WKLUG 

JHQHUDWLRQ FXUUHQF\ FULVLV PRGHOV EDQNV EDODQFH VKHHW SUREOHPV FDQ WULJJHU GHYDOXDWLRQ 

DQG GHIDXOW 7KLV SDSHU DUJXHV WKDW H[SHFWHG IXWXUH GHSUHFLDWLRQ LV FRVWO\ LI LW UDLVHV H[ 

DQWH UHDO LQWHUHVW UDWHV :KHQ XQFRYHUHG LQWHUHVW SDULW\ LV YLRODWHG WKH VRFLDO FRVW RI IXWXUH 

RXWFRPHV WKXV GHSHQGV RQ WKH FXUUHQF\ ULVN SUHPLXP , VKRZ WKDW LI DJJUHJDWH GHPDQG LV 

D IXQFWLRQ RI WKH H[ DQWH UHDO LQWHUHVW UDWH WKHQ DYHUDJH GHSUHFLDWLRQ LV KLJKHU WKDQ WKH 

XQFRQVWUDLQHG GLVFUHWLRQDU\ RSWLPXP EXW LI GHPDQG GHSHQGV RQ WKH H[ SRVW UHDO UDWH WKHQ 

GHSUHFLDWLRQ ELDV FDQ EH ]HUR DQG H[SHFWHG ZHOIDUH PD\ EH KLJKHU 7KH UHVXOWV VXJJHVW 

WKDW ILQDQFLDO VHFWRU IUDJLOLW\ DIIHFWLQJ VRFLDO ZHOIDUH PD\ PLWLJDWH GLVFUHWLRQDU\ 

GHSUHFLDWLRQ ELDV 

/XFD 5LFFL 


&R $XWKRUV 5 0DF'RQDOG 

(67,0$7,21 2) 7+( (48,/,%5,80 5($/ (;&+$1*( 5$7( )25 

6287+ $)5,&$ 

.H\ZRUGV HTXLOLEULXP UHDO H[FKDQJH UDWH 


%DVHG RQ WKH -RKDQQHV FRLQWHJUDWLRQ HVWLPDWLRQ PHWKRGRORJ\ PXFK RI WKH ORQJ UXQ 

EHKDYLRU RI WKH UHDO HIIHFWLYH H[FKDQJH UDWH RI 6RXWK $IULFD FDQ EH H[SODLQHG E\ UHDO 

LQWHUHVW UDWH GLIIHUHQWLDOV *'3 SHU FDSLWD ERWK UHODWLYH WR WUDGLQJ SDUWQHUV UHDO 

FRPPRGLW\ SULFHV WUDGH RSHQQHVV WKH ILVFDO EDODQFH DQG WKH H[WHQW RI QHW IRUHLJQ DVVHWV 

2Q WKH EDVLV RI WKHVH IXQGDPHQWDOV WKH UHDO H[FKDQJH UDWH LQ HDUO\ ZDV IRXQG WR EH 

VLJQLILFDQWO\ PRUH GHSUHFLDWHG ZLWK UHVSHFW WR WKH HVWLPDWHG HTXLOLEULXP OHYHO 7KH KDOI OLIH 

RI WKH GHYLDWLRQ RI WKH UHDO H[FKDQJH UDWH IURP WKH HVWLPDWHG HTXLOLEULXP RQH ZDV IRXQG WR 

EH VRPHZKDW DERYH WZR \HDUV 

5RGHULFN 0F&525,(

4XHHQ 0DU\ 8QLYHUVLW\ RI /RQGRQ 

&R $XWKRUV 0 &KDPEHUV 

(;&+$1*( 5$7( '(7(50,1$7,21 $1' 7+( (03,5,&$/ 

3(5)250$1&( 2) 7+( $66(7 0$5.(7 02'(/ 

.H\ZRUGV DVVHW PDUNHW PRGHO H[FKDQJH UDWHV IXQGDPHQWDOV DQG WHPSRUDO DJJUHJDWLRQ 


7KH DVVHW PDUNHW PRGHO RI H[FKDQJH UDWH GHWHUPLQDWLRQ LV HVWLPDWHG DQG WHVWHG DOORZLQJ 

WKH IXQGDPHQWDOV SURFHVV WR EH XQREVHUYDEOH DQG WDNLQJ LQWR DFFRXQW WKH H[DFW 

UHVWULFWLRQV LPSOLHG E\ WHPSRUDO DJJUHJDWLRQ 7KH UHVXOWV RIIHU FRQVLGHUDEOH HPSLULFDO 

VXSSRUW IRU WKH UHVWULFWLRQV LPSRVHG E\ WKH PRGHO RQ WKH GDWD IRU ILYH FXUUHQFLHV ZLWK 

UHVSHFW WR WKH 8 6 'ROODU )XUWKHUPRUH IRU WKUHH RI WKH ILYH FXUUHQFLHV WKH PRGHO 

SURGXFHV PRUH DFFXUDWH IRUHFDVWV WKDQ D VLPSOH UDQGRP ZDON ZLWK GULIW HYHQ DW KRUL]RQV 

VKRUWHU WKDQ RQH PRQWK 7KH HVWLPDWHG IXQGDPHQWDOV SURFHVVHV WKHPVHOYHV DSSHDU WR EH 

SODXVLEOH ZLWK UHVSHFW WR WKH HFRQRPLF HQYLURQPHQW WKDW SHUWDLQHG LQ WKH VDPSOH SHULRG 

)HGHULFR 5DYHQQD 

8QLYHUVLW\ RI &DOLIRUQLD 6DQWD &UX] 

&R $XWKRUV I QDWDOXFFL 

7+( 52$' 72 $'237,1* 7+( (852 021(7$5< 32/,&< $1' 

(;&+$1*( 5$7( 5(*,0(6 ,1 (8 &$1','$7( &28175,(6 

.H\ZRUGV EDODVVD VDPXHOVRQ HIIHFW H8523($1 PRQHWDU\ XQLRQ DQG H[FKDQJH UDWH 

UHJLPH 


7KLV SDSHU H[DPLQHV WKH FKRLFH RI H[FKDQJH UDWH UHJLPH LQ (8 FDQGLGDWH FRXQWULHV GXULQJ 

WKH SURFHVV RI DFFHVVLRQ WR WKH (XURSHDQ 0RQHWDU\ 8QLRQ (08 ,Q WKH SUHVHQFH RI UHDO 

H[FKDQJH UDWH DSSUHFLDWLRQ GXH WR WKH %DODVVD 6DPXHOVRQ HIIHFW FDQGLGDWH FRXQWULHV 

IDFH D WUDGH RII EHWZHHQ WUHQG DSSUHFLDWLRQ RI WKH QRPLQDO H[FKDQJH UDWH DQG KLJK 

LQIODWLRQ UDWHV 

S W\SH WH[SDUD WDJ %RG\ 7H[W !:H WKHQ GLVFXVV KRZ WKH UHDO H[FKDQJH UDWH 

DSSUHFLDWLRQ VKLIWV WKH RXWSXW JDS LQIODWLRQ YDULDQFH WUDGH RII LQFUHDVLQJ WKH FRVW RI 

PDQDJLQJ RU IL[LQJ WKH H[FKDQJH UDWH $V D FRQVHTXHQFH WKH UHTXLUHPHQW RI PHPEHUVKLS 

LQ WKH ([FKDQJH 5DWH 0HFKDQLVP (50 ,, DQG WKH 0DDVWULFKW LQIODWLRQ FULWHULRQ FRQVWUDLQ 

WKH SROLF\ FKRLFH ZKLOH SURYLGLQJ QR DGGLWLRQDO EHQHILW WR FRXQWULHV FUHGLEO\ FRPPLWWHG WR 

MRLQLQJ WKH (XUR )LQDOO\ ZH VKRZ WKDW UHOD[LQJ HLWKHU WKH H[FKDQJH UDWH UHTXLUHPHQW RU 

WKH LQIODWLRQ FULWHULRQ KDV VKDUSO\ GLIIHUHQW EXVLQHVV F\FOH LPSOLFDWLRQV 

(03,5,&$/ ,1'8675,$/ 25*$1,=$7,21 

&DWHJRU\ (($ 

&KDLUSHUVRQ 6 0RQWRXW 

$XJ 

5RRP '

)UDQ] +XEHUW 


&R $XWKRUV 6 ,NRQQLNRYD 

675$7(*,& ,19(670(17 $1' %$5*$,1,1* 32:(5 ,1 6833/< 

&+$,16 $ 6+$3/(< 9$/8( $1$/

7+( 6/2:'2:1 ,1 7851$5281' 7,0(6 2) $&$'(0,& 

-2851$/6 &$1 ,7 %( %(1(),&,$/" 

.H\ZRUGV $FDGHPLF MRXUQDOV $FDGHPLF SXEOLVKLQJ )LUVW UHVSRQVH WLPH 3HHU UHYLHZ 

5HYLHZ SURFHVV 6RFLDO QRUPV DQG 7XUQDURXQG WLPHV 

-(/ &ODVVLILFDWLRQ $ , DQG = 

2YHU WKH ODVW IRUW\ \HDUV WXUQDURXQG WLPHV RI HFRQRPLFV MRXUQDOV WULSOHG $OWKRXJK 

UHIHUHHLQJ SUREDEO\ WDNHV PRUH KRXUV WRGD\ LW VWLOO UHTXLUHV RQO\ D IHZ KRXUV DQG WKHUHIRUH 

WKH VLJQLILFDQW LQFUHDVH LQ WXUQDURXQG WLPHV LV SX]]OLQJ $ ORQJHU WXUQDURXQG WLPH 

KRZHYHU KDV WKH EHQHILW RI GHWHUULQJ VXEPLVVLRQV RI ORZ TXDOLW\ SDSHUV DQG UHGXFLQJ WKH 

UHIHUHHLQJ SURFHVV FRVW DQG WKLV EHQHILW LQFUHDVHG RYHU WKH \HDUV EHFDXVH UHIHUHHLQJ D 

SDSHU LV PRUH FRVWO\ WRGD\ 0RUHRYHU WKH GHOD\ LQ SXEOLFDWLRQ FDXVHG E\ WXUQDURXQG WLPHV 

LV OHVV FRVWO\ WRGD\ EHFDXVH SDSHUV DUH RIWHQ DYDLODEOH EHIRUH SXEOLFDWLRQ H J RQ WKH 

,QWHUQHW 7KHVH WZR FKDQJHV LQFUHDVHG WKH RSWLPDO WXUQDURXQG WLPH +RZ WKLV PLJKW KDYH 

FKDQJHG WKH DFWXDO WXUQDURXQG WLPH LV LOOXVWUDWHG XVLQJ D PRGHO WKDW LQFRUSRUDWHV WKH 

SUHIHUHQFHV RI UHIHUHHV DQG WKH HYROXWLRQ RI WKH VRFLDO QRUP RI UHIHUHHLQJ WLPH $GGLWLRQDO 

DSSOLFDWLRQV RI WKH PRGHO DUH GLVFXVVHG 

6\OYLH 0RQWRXW 

7($0 8QLYHUVLW\ RI 3DULV DQG &156 

&R $XWKRUV + =LWRXQD 

'2(6 1257+ 6287+ ,17(*5$7,21 $))(&7 08/7,1$7,21$/ 

),506 675$7(*,(6" 

.H\ZRUGV $XWRPRELOH LQGXVWU\ )', 0XOWLQDWLRQDOV DQG 5HJLRQDO LQWHJUDWLRQ 

-(/ &ODVVLILFDWLRQ ) ) ) ) DQG / 

5HJLRQDO LQWHJUDWLRQ LPSOLHV D IDOO LQ WUDQVDFWLRQ FRVWV 

LQIOXHQFLQJ ILUPV VWUDWHJLHV DQG LQZDUG )', 0RUHRYHU LI LW 

RFFXUV EHWZHHQ FRXQWULHV DW GLIIHUHQW VWDJHV RI GHYHORSPHQW LW 

KDV VSHFLILF RXWFRPHV ,Q WKH ILUVW SDUW ZH SUHVHQW D PRGHO 

GLVWLQJXLVKLQJ EHWZHHQ )', DQG RU H[SRUWV PRWLYHV 2XU UHVXOWV 

VXJJHVW WKDW WDULII MXPSLQJ DQG H[SRUW SODWIRUP PRWLYHV GHSHQG RQ 

D WUDGH RII EHWZHHQ WUDQVDFWLRQ DQG IL[HG FRVWV LQ DGGLWLRQ WR 

ZDJH GLIIHUHQFHV :H KLJKOLJKW DOVR WKH VWUDWHJLF LQWHUDFWLRQV 

EHWZHHQ LQVLGHUV DQG RXWVLGHUV /RFDO ILUPV PD\ DIIHFW IRUHLJQ 

RQHV LQ WKHLU VWUDWHJLF EHKDYLRU E\ UHGXFLQJ WKH PDUNHW 

DFFHVVLELOLW\ DGYDQWDJHV ,Q WKH VHFRQG SDUW RI WKH SDSHU ZH 

DSSO\ RXU WKHRUHWLFDO PRGHO WR WKH DXWRPRELOH SURGXFWLRQ LQ 1$)7$ 

3URGXFWLRQ RI RXWVLGHUV LQ 0H[LFR LQFUHDVHG VLJQLILFDQWO\ ZKLFK 

LV QRW WKH FDVH IRU WKH SURGXFWLRQ RI WKH LQVLGHUV 0RUHRYHU 

1$)7$ DIIHFWHG SRVLWLYHO\ WKH 0H[LFDQ VKDUH RI WKH SURGXFWLRQ RI 

HLWKHU LQVLGHUV DQG RXWVLGHUV VXJJHVWLQJ WKDW DOO HOVH HTXDO LW 

SURPRWHG UHORFDWLRQ RI DXWRPRELOH SURGXFWLRQ LQ 0H[LFR 

021(7$5< (&2120,&6 (03,5,&$/ 

5RRP '

(9,'(1&( 

&DWHJRU\ (($ 

&KDLUSHUVRQ 9 %LJQRQ 

0DULH 'RQQD\ 

&DWKROLF 8QLYHUVLW\ RI /HXYHQ 

&R $XWKRUV $ %UXJJHPDQ 

$ 0217+/< 021(7$5< 02'(/ :,7+ %$1.,1* ,17(50(',$7,21 

)25 7+( (852 $5($ 

.H\ZRUGV %DQNLQJ ,QWHUPHGLDWLRQ &RLQWHJUDWLRQ (XUR DUHD /RDQV GHPDQG 0RQHWDU\ 

WUDQVPLVVLRQ FKDQQHOV 0RQH\ GHPDQG DQG 6WUXFWXUDO 9(&0 

-(/ &ODVVLILFDWLRQ & & & ( ( ( DQG * 

:H GHYHORS WKUHH PRQWKO\ YHFWRU HUURU FRUUHFWLRQ PRGHOV IRU WKH HXUR DUHD D PRQH\ 

GHPDQG D ORDQV GHPDQG DQG DQ HQFRPSDVVLQJ PRQHWDU\ PRGHO ,Q HDFK RI WKH PRGHOV 

VSHFLDO DWWHQWLRQ LV SDLG WR WKH LQWHUPHGLDWLRQ UROH RI EDQNV E\ PRGHOOLQJ WKH UHODWLRQ 

EHWZHHQ WKH UHWDLO EDQN LQWHUHVW UDWHV DQG WKH VKRUW WHUP PDUNHW LQWHUHVW UDWH 7KH 

HQFRPSDVVLQJ PRGHO DWWHPSWV WR DFFRXQW IRU WKH SRVVLEOH LQWHUDFWLRQV EHWZHHQ PRQH\ 

DQG ORDQV LQGXFHG E\ WKH LQWHUPHGLDWLRQ UROH RI WKH EDQNLQJ VHFWRU 2XU DQDO\VLV LQGLFDWHV 

WKDW WKHUH LV SRVVLEOH LQVWDELOLW\ LQ WKH OLQN EHWZHHQ PRQH\ DQG ORDQV PRGHOOHG LQ WKH 

HQFRPSDVVLQJ PRGHO 7KH HVWLPDWLRQ RI WKH 6WUXFWXUDO 9(&0 KLJKOLJKWV YHU\ ULFK 

G\QDPLFV LQ WKH V\VWHPV 7KH FRPPRQ WUHQGV PHWKRG UHVXOWV LQ WKH LGHQWLILFDWLRQ RI VHYHQ 

VKRFNV DJJUHJDWH VXSSO\ LQIODWLRQ REMHFWLYH LQVWLWXWLRQDO PRQH\ GHPDQG ORDQV GHPDQG 

PRQHWDU\ SROLF\ LQVWUXPHQW DQG EDQNLQJ VKRFN 

%RULV +RIPDQQ 

=(, 8QLYHUVLW\ RI %RQQ 

(08 $1' 7+( 75$160,66,21 2) 021(7$5< 32/,&< (9,'(1&( 

)520 %86,1(66 /(1',1* 5$7(6 

.H\ZRUGV HXUR DUHD PRQHWDU\ SROLF\ DQG UHWDLO EDQN LQWHUHVW UDWHV 


7KH SDVV WKURXJK RI PRQH\ PDUNHW UDWHV WR EXVLQHVV OHQGLQJ UDWHV LV DQ LPSRUWDQW OLQN LQ 

WKH PRQHWDU\ WUDQVPLVVLRQ SURFHVV LQ WKH HXUR DUHD 7KLV SDSHU DQDO\VHV WKH SDVV 

WKURXJK RI PRQH\ PDUNHW UDWHV WR VKRUW WHUP DQG ORQJ WHUP EXVLQHVV OHQGLQJ UDWHV LQ WKH 

IRXU ODUJHVW HXUR DUHD FRXQWULHV %DVHG RQ DQ HUURU FRUUHFWLRQ IUDPHZRUN , DVVHVV ZKHWKHU 

SDVV WKURXJK KDV EHFRPH IDVWHU DQG PRUH VLPLODU DFURVV FRXQWULHV VLQFH WKH LQWURGXFWLRQ 

RI WKH HXUR 7KH UHVXOWV VXJJHVW WKDW SDVV WKURXJK KDV EHFRPH IDVWHU LQ )UDQFH DQG ,WDO\ 

EXW VORZHU LQ *HUPDQ\ ,QWHUHVW UDWH SDVV WKURXJK KDV EHFRPH PRUH VLPLODU LQ )UDQFH 

,WDO\ DQG 6SDLQ FRPSDUHG WR D VLJQLILFDQWO\ VORZHU SDVV WKURXJK LQ *HUPDQ OHQGLQJ UDWHV 

&KULVWLDQ 0HO]HU 


&R $XWKRUV ) +|SSQHU 

$XJ

&+$1*,1* ())(&76 2) 021(7$5< 32/,&< ,1 7+( 86 ± 

(9,'(1&( )520 $ 7,0( 9$5

7KLV SDSHU DQDO\VHV WKH HIIHFWV RI SULFH DQG PDUNHW VL]H YDULDEOHV RQ WKH LQYHVWPHQW 

SURSHQVLWLHV LQ WKH SXOS DQG SDSHU LQGXVWU\ $ SDQHO RI (XURSHDQ FRXQWULHV LQ WKH WLPH 

SHULRG LV XVHG LQ WKH UHJUHVVLRQ DQDO\VLV :H ILQG WKH ZDJHV WKH 86' (&8 

H[FKDQJH UDWH WKH SULFH RI SDSHU DQG WKH LQVWDOOHG SURGXFWLRQ FDSDFLW\ WR EH WKH PDLQ 

GHWHUPLQDQWV RI ODUJH LQYHVWPHQWV LQ WKLV LQGXVWU\ 2XU PHDVXUH RI PDUNHW VL]H KDV QR RU 

RQO\ YHU\ VPDOO HIIHFWV 

$QGUHD &DJJHVH 

3RPSHX )DEUD 8QLYHUVLW\ 

),1$1&,1* &21675$,176 ,55(9(56,%,/,7< $1' ,19(670(17 

'

.H\ZRUGV LQYHVWPHQW WKUHVKROG LUUHYHUVLEOH LQYHVWPHQW DQG RSWLPDO WLPLQJ 


,Q %HUQDQNH VWDWHG WKDW WKH RSWLRQ YDOXH RI LQYHVWPHQW 

LV GHWHUPLQHG E\ WKH H[SHFWHG YDOXH RI CCEDG QHZV 7KH LQYHVWPHQW UXOH SUHVHQWHG LQ WKH 

SDSHU H[WHQGV %HUQDQNH V 

SULQFLSOH LUUHYHUVLEOH LQYHVWPHQW GHFLVLRQV DUH GHWHUPLQHG E\ 

CCUHFRUG VHWWLQJ EDG QHZV )RU LUUHYHUVLEOH GLVLQYHVWPHQW H[LW 

GHFLVLRQV WKH CCUHFRUG VHWWLQJ JRRG QHZV SULQFLSOH DSSOLHV 7KH 

UHVXOWV DUH REWDLQHG IRU JDXVVLDQ SURFHVVHV DQG D ZLGH IDPLO\ RI 

QRQ JDXVVLDQ SURFHVVHV WKH IRUP RI WKH UHVXOW LV QRYHO HYHQ IRU 

WKH JDXVVLDQ FDVH &ODVVLILFDWLRQ RI PDLQ W\SHV RI RSWLPDO 

LUUHYHUVLEOH GHFLVLRQ UXOHV LV VXJJHVWHG 

&2168037,21 , 

&DWHJRU\ (($ 

&KDLUSHUVRQ 7 YDQ 5HQV 

$OH[ 0LFKDHOLGHV 


%8))(5 672&. 6$9,1* $1' +$%,7 )250$7,21 

$XJ 

5RRP ' 

.H\ZRUGV %XIIHU 6WRFN 6DYLQJ ([FHVV 6HQVLWLYLW\ +DELW )RUPDWLRQ 6PRRWKQHVV RI 

&RQVXPSWLRQ DQG 8QGLYHUVLILDEOH /DERU ,QFRPH 5LVN 


7KLV SDSHU LQYHVWLJDWHV ZKHWKHU DQ LQILQLWH KRUL]RQV EXIIHU VWRFN VDYLQJ PRGHO ZLWK 

LQWHUQDO PXOWLSOLFDWLYH KDELW IRUPDWLRQ SUHIHUHQFHV FDQ UHSOLFDWH WKH PDFURHFRQRPLF 

VW\OL]HG IDFWV DERXW FRQVXPSWLRQ H[SHQGLWXUHV RQ QRQ GXUDEOHV DQG VHUYLFHV ,QGLYLGXDO 

FRQVXPSWLRQ VPRRWKLQJ DQG FRQVXPSWLRQ VHQVLWLYLW\ WR ODJJHG HDUQLQJV LQGXFHG E\ KDELW 

IRUPDWLRQ VXUYLYH WKH QXPHULFDO DJJUHJDWLRQ SURFHGXUH UHSOLFDWLQJ LQ PDJQLWXGH WKH 

REVHUYHG VPRRWKQHVV RI DJJUHJDWH QRQ GXUDEOHV FRQVXPSWLRQ JURZWK DQG WKH VHQVLWLYLW\ 

RI FXUUHQW FRQVXPSWLRQ JURZWK WR ODJJHG ODERU LQFRPH JURZWK 1HYHUWKHOHVV WKLV HPSLULFDO 

VXFFHVV LV DVVRFLDWHG ZLWK VXEVWDQWLDO ZHDOWK DFFXPXODWLRQ 7R WKH H[WHQW WKHUHIRUH WKDW 

WKH EXIIHU VWRFN PRGHO ZLWKRXW KDELWV DGHTXDWHO\ UHSOLFDWHV WKH ZHDOWK DFFXPXODWLRQ SURILOH 

RI WKH PHGLDQ FRQVXPHU WKH SURSRVHG PRGLILFDWLRQ FDQQRW MRLQWO\ H[SODLQ LQ PDJQLWXGH WKH 

VPRRWKQHVV RI FRQVXPSWLRQ DQG LWV H[FHVV VHQVLWLYLW\ WR ODJJHG ODERU LQFRPH 

5RQDOG *RHWWOHU 


&R $XWKRUV . &OD\ DQG ( :ROII 

&21680(5 /($51,1* $%287 (;3(5,(1&( *22'6 

.H\ZRUGV FRQVXPHU OHDUQLQJ G\QDPLF GLVFUHWH FKRLFH DQG WZR SDUW WDULIIV 

-(/ &ODVVLILFDWLRQ & & ' DQG '

&RQVXPHUV RIWHQ KDYH LQFRPSOHWH LQIRUPDWLRQ 

ZKHQ PDNLQJ SXUFKDVHV )RU CCH[SHULHQFH 

JRRGV XQFHUWDLQW\ FDQ RQO\ EH UHVROYHG 

WKURXJK FRQVXPSWLRQ ,I WKH H[SHULHQFH 

VLJQDO LV QRLV\ UHSHDW SXUFKDVHV PD\ EH 

QHHGHG WR JDLQ SUHFLVH LQIRUPDWLRQ 1HOVRQ 

PRGHOV FRQVXPHU EHKDYLRU LQ WKLV 

VHWWLQJ DQG HVWDEOLVKHV WKH UROH IRU 

H[SHULPHQWDWLRQ E\ FRQVXPHUV DQG WKH LPSDFW 

RQ ILUP DQG LQGXVWU\ EHKDYLRU ,Q WKLV 

SDSHU ZH VWXG\ WKH LPSDFW RI LQFRPSOHWH 

LQIRUPDWLRQ RQ FRQVXPHU EHKDYLRU ZKHQ 

IDFLQJ D PRQRSROLVW V PHQX RI WZR SDUW 

WDULIIV 8VLQJ KRXVHKROG GDWD IURP DQ 

RQOLQH JURFHU RI WDULII DQG XVDJH FKRLFHV 

RYHU ZHHNV ZH HVWLPDWH D G\QDPLF 

VWUXFWXUDO PRGHO ZLWK IRUZDUG ORRNLQJ 

FRQVXPHUV :H XVH WKH PRGHO WR DVVHVV 

YDULRXV WKHRULHV RI FRQVXPHU OHDUQLQJ WKH 

LPSDFW RQ ZHOIDUH GXH WR XQFHUWDLQW\ DQG 

WKH ILUP V XVH RI WZR SDUW SULFLQJ PHQXV WR 

VHJPHQW FRQVXPHUV DQG H[WUDFW VXUSOXV 

5\DQ %DQHUMHH 


&R $XWKRUV 1 %DWLQL 

8. &21680(5 +$%,76 

.H\ZRUGV FRQVXPSWLRQ KDELW IRUPDWLRQ DQG RXWSXW JDS FKDQQHO 


:H IROORZ )XKUHU LQ HVWLPDWLQJ YLD 0D[LPXP /LNHOLKRRG D ORJ OLQHDU FRQVXPSWLRQ 

IXQFWLRQ RQ 8. GDWD :H ILQG WKDW KDELW IRUPDWLRQ LQ FRVXPSWLRQ LV DQ HFRQRPLFDOO\ 

LPSRUWDQW GHWHUPLQDQW LQ WKH XWLOLW\ IXQFWLRQ RI %ULWLVK KRXVHKROGV :H DOVR ILQG WKDW IRU 

DERXW RQH VL[WK RI 8. FRQVXPHUV FXUUHQW FRQVXPSWLRQ HTXDOV FXUUHQW LQFRPH D VWURQJ 

YLRODWLRQ RI WKH 3HUPDQHQW ,QFRPH +\SRWKHVLV :H DOVR GHPRQVWUDWH WKDW ZKHQ HPEHGGHG 

LQ D VWLFN\ SULFH VWLFN\ LQIODWLRQ RSHQ HFRQRP\ PRQHWDU\ PRGHO HVWLPDWHG RQ 8. GDWD RXU 

FRQVXPSWLRQ IXQFWLRQ KHOSV FDSWXUH WKH KXPS VKDSHG UHVSRQVH RI WKH RXWSXW JDS WR 

LQFRPH DQG LQWHUHVW UDWH VKRFNV 2Q WKH RWKHU KDQG RXU HVWLPDWHV VXJJHVW D FRPELQHG 

KLJK KDELWV KLJK FXUYDWXUH RI WKH XWLOLW\ IXQFWLRQ ZKLFK LPSOLHV D PRUH PXWHG UHVSRQVH RI 

WKH FRQVXPSWLRQ WR LQFRPH UDWLR WR UHDO LQWHUHVW UDWHV LQ WKH 8. UHODWLYH WR WKH 86 

7KLMV YDQ 5HQV 


&R $XWKRUV * 3ULPLFHUL 

,1(48$/,7< 29(5 7+( %86,1(66 &

-(/ &ODVVLILFDWLRQ ' ' ' ' ( ( DQG * 

:H XVH &(; UHSHDWHG FURVV VHFWLRQ GDWD RQ FRQVXPSWLRQ DQG LQFRPH WR HYDOXDWH WKH 

QDWXUH RI LQFUHDVHG LQFRPH LQHTXDOLW\ LQ WKH V DQG V :H GHFRPSRVH XQH[SHFWHG 

FKDQJHV LQ IDPLO\ LQFRPH LQWR WUDQVLWRU\ DQG SHUPDQHQW DQG LGLRV\QFUDWLF DQG DJJUHJDWH 

FRPSRQHQWV DQG HVWLPDWH WKH FRQWULEXWLRQ RI HDFK FRPSRQHQW WR WRWDO LQHTXDOLW\ 7KH 

PRGHO ZH XVH LV D OLQHDUL]HG LQFRPSOHWH PDUNHWV PRGHO HQULFKHG WR LQFRUSRUDWH ULVN 

VKDULQJ ZKLOH PDLQWDLQLQJ WUDFWDELOLW\ 2XU HVWLPDWHV VXJJHVW WKDW WDNLQJ ULVN VKDULQJ LQWR 

DFFRXQW LV LPSRUWDQW IRU WKH PRGHO ILW WKDW WKH LQFUHDVH LQ LQHTXDOLW\ LQ WKH V ZDV 

PDLQO\ SHUPDQHQW DQG WKDW LQHTXDOLW\ LV GULYHQ DOPRVW HQWLUHO\ E\ LGLRV\QFUDWLF LQFRPH 

ULVN ,Q DGGLWLRQ ZH ILQG QR HYLGHQFH IRU F\FOLFDO EHKDYLRU RI FRQVXPSWLRQ ULVN FDVWLQJ 

GRXEW RQ &RQVWDQWLQLGHV DQG 'XIILH V H[SODQDWLRQ IRU WKH HTXLW\ SUHPLXP SX]]OH 

*$0( 7+(25< , 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ 6FKROODHUW 

0DUF 9RUVDW] 


$XJ 

&2$/,7,21 )250$7,21 ,1 $ &217(67 *$0( :,7+ 7+5(( 

+(7(52*(1(26 3/$

.H\ZRUGV %DUJDLQLQJ $V\PPHWULF ,QIRUPDWLRQ (VFDODWLRQ 'HOD\ ,QWHUQDWLRQDO 5HODWLRQV 

1HJRWLDWLRQ 

-(/ &ODVVLILFDWLRQ & DQG 3 

:K\ GR HVFDODWLRQV LQ SURWUDFWHG LQWHUQDWLRQDO FRQIOLFWV VRPHWLPHV KDVWHQ WKH SDFH RI 

QHJRWLDWLRQV" $QG ZK\ LV LW VRPHWLPHV WKH FDVH WKDW WKH UHVXOWLQJ WHUPV RI DJUHHPHQW 

ZHUH GHHPHG XQDFFHSWDEOH WR RQH RU ERWK VLGHV EHIRUH WKH HVFDODWLRQ" :H DQDO\]H WKHVH 

LVVXHV LQ D JDPH WKHRUHWLF VHWWLQJ LQ ZKLFK WKH GHOD\ D SDUW\ H[HUFLVHV EHIRUH LW PDNHV DQ 

DFFHSWDEOH RIIHU LV VHUYHG WR VLJQDO FUHGLEO\ LWV WUXH VWDQG (VFDODWLRQ PDNHV ERWK VLGHV 

PRUH HDJHU WR VHWWOH WKDQ EHIRUH DV DQ DJUHHPHQW ZRXOG HQG WKH LQFUHDVHG OHYHO RI 

KRVWLOLWLHV 7KLV HIIHFW PD\ ORRVHQ WKH LQFHQWLYHV WR H[HUFLVH ORQJ GHOD\V LQ WKH FRXUVH RI 

EDUJDLQLQJ DQG KHQFH VKRUWHQ WKH WLPH WR DJUHHPHQW +RZHYHU WKH ODUJHU LV WKH RYHUDOO 

LQFUHDVH LQ YLROHQFH LPSOLHG E\ HVFDODWLRQ WKH KLJKHU DUH DOVR WKH FKDQFHV WKDW LWV LQLWLDWRU 

ZLOO HYHQWXDOO\ UHJUHW LWV GHFLVLRQ WR HVFDODWH 

0DUNXV :DO]O 

5:7+ $DFKHQ 

&R $XWKRUV ( )HHVV DQG * 0XHKOKHXVVHU 

21 7+( 237,0$/ '(6,*1 2) 81)$,5 &217(676 

.H\ZRUGV $V\PPHWULF FRQWHVWV DV\PPHWULF LQIRUPDWLRQ DQG FRQWHVW GHVLJQ 


&RQWHVWV DUH RIWHQ XQIDLU LQ WKH VHQVH WKDW RXWSHUIRUPLQJ WKH ULYDO PD\ QRW EH HQRXJK WR 

EH WKH ZLQQHU EHFDXVH RQH FRQWHVWDQW LV IDYRUHG E\ WKH DOORFDWLRQ UXOH ZKLOH WKH RWKHU 

RQH LV KDQGLFDSSHG 

:H FRQVLGHU D GLVFULPLQDWRU\ FRQWHVW ZLWK KDQGLFDSV DQG GHULYH WKH FRQWHVWDQWV 

HTXLOLEULXP EHKDYLRU )URP D VRFLDO SRLQW RI YLHZ WKH GLVDGYDQWDJH RI KDQGLFDSV LV WKDW 

WKH SUL]H PD\ EH DZDUGHG WR DQ LQIHULRU FRQWHVWDQW +RZHYHU WKHUH LV DOVR DQ DGYDQWDJH 

RI KDQGLFDSV VLQFH WKH RYHUDOO HIIRUW H[HUWHG WR ZLQ WKH SUL]H LV GHFUHDVLQJ LQ WKH GHJUHH RI 

XQIDLUQHVV :H FKDUDFWHUL]H VLWXDWLRQV LQ ZKLFK LW LV RSWLPDO IRU DQ DXWKRULW\ WR HLWKHU 

VWLSXODWH D IDLU FRQWHVW DQ LQWHULRU GHJUHH RI XQIDLUQHVV RU HYHQ DQ LQILQLWHO\ XQIDLU FRQWHVW 

E\ DZDUGLQJ WKH SUL]H GLUHFWO\ WR WKH IDYRUHG FRQWHVWDQW 

$UQH 6FKROODHUW 

6+(533$ *+(17 81,9(56,7< 

&R $XWKRUV ' 9DQ GH JDHU 

75867 35,0$5< &2002',7< '(3(1'(1&( $1' 6(*5(*$7,21 

.H\ZRUGV 1DWXUDO 5HVRXUFHV 1RQ &RRSHUDWLYH *DPHV DQG 7UXVW 


0DQ\ WKLUG ZRUOG FRXQWULHV VHHP WR IDLO WR FUHDWH D JURZWK SURPRWLQJ DQG SHDFHIXO 

LQVWLWXWLRQDO IUDPHZRUN DQG DUH SODJXHG E\ HWKQLF UHOLJLRXV RU VRFLDO FRQIOLFW 7KLV SDSHU 

IRFXVVHV RQ WKH LPSDFW RI SULPDU\ FRPPRGLWLHV RQ JURXS EHKDYLRU DQG WKXV RQ WKH QDWXUH 

RI WKH UHVXOWLQJ VRFLHWLHV 6WUDWHJLHV DUH DQDO\]HG LQ D EDVLF RQH VKRW JDPH ZLWK WZR 

SOD\HUV DQG WZR VWUDWHJLHV LQ ZKLFK SULRUV YLV D YLV WKH RWKHU SOD\HU PDWWHU :H VKRZ WKDW 

SRYHUW\ IRUHLJQ LQWHUIHUHQFH DQG WUXVW LQIOXHQFH D JURXS V ZLOOLQJQHVV WR FRRSHUDWH 8QGHU

VRPH FLUFXPVWDQFHV SDUWLDO VHJUHJDWLRQ DQG SROLWLFDO VWULIH SURYH WR EH XWLOLW\ 

PD[LPL]LQJ DQG HTXLOLEULXP VWUDWHJLHV 

/$%285 0$5.(7 '

$=($56 672&+$67,& ,17(535(7$7,21 2) 7+( 3(7(5 

35,1&,3/( $1 (03,5,&$/ (;$0,1$7,21 %$6(' 21 1%$ '$7$ 

.H\ZRUGV 1%$ SHUIRUPDQFH 3HWHU 3ULQFLSOH VSRUWV HFRQRPLFV VWRFKDVWLF DQG 

WRXUQDPHQW 

-(/ &ODVVLILFDWLRQ & - - / 0 DQG 0 

7KH 3HWHU 3ULQFLSOH VD\V WKDW SHRSOH DUH SURPRWHG WR WKHLU OHYHO RI LQFRPSHWHQFH 7KHUH 

DUH VHYHUDO SRVVLEOH H[SODQDWLRQV IRU WKLV /D]HDU SXWV IRUZDUG D VWRFKDVWLF 

LQWHUSUHWDWLRQ RI WKH 3HWHU 3ULQFLSOH ZKLFK VWDWHV WKDW SURPRWHG LQGLYLGXDOV PLJKW KDYH KDG 

VRPH OXFN WKDW FRQWULEXWHG WR WKHLU SURPRWLRQV DQG GLVDSSHDUV DIWHUZDUGV RQ WKH DYHUDJH 

7KLV H[SODQDWLRQ RI IDOOLQJ SURGXFWLYLW\ DIWHU SURPRWLRQV LV DQDO\VHG LQ WKLV SDSHU DSSOLHG WR 

WRXUQDPHQWV ZLWK UHODWLYH SHUIRUPDQFH PHDVXUHPHQWV DQG HPSLULFDOO\ WHVWHG XVLQJ GDWD 

IURP WKH 1%$ 

0DUNR 7HUYL| 

0,7 

0(',2&5,7< ,1 7$/(17 0$5.(76 

.H\ZRUGV LQFRPH GLVWULEXWLRQ PHGLRFULW\ DQG VXSHUVWDUV 


$ PRGHO RI D ODERU PDUNHW LV SURSRVHG ZKHUH WDOHQW FDQ RQO\ EH UHYHDOHG RQ WKH MRE DQG 

SXEOLFO\ DQG ZKHUH MRE VORWV DUH VFDUFH ,QGLYLGXDOV LQDELOLW\ WR FRPPLW WR ORQJ WHUP 

FRQWUDFWV OHDYHV ILUPV ZLWK LQVXIILFLHQW LQFHQWLYHV WR KLUH QRYLFHV FDXVLQJ WKHP WR ELG 

H[FHVVLYHO\ IRU WKH SRRO RI UHYHDOHG WDOHQW LQVWHDG 7KLV FDXVHV WKH PDUNHW WR EH SODJXHG 

ZLWK WRR PDQ\ PHGLRFUH ZRUNHUV DQG LQHIILFLHQWO\ ORQJ FDUHHUV DQG UDLVHV WKH OHYHO RI 

ZDJHV IRU KLJK WDOHQWV , DUJXH WKDW KLJK DQG VNHZHG ZDJHV LQ SURIHVVLRQV VXFK DV 

HQWHUWDLQPHQW SURIHVVLRQDO VSRUWV FRUSRUDWH PDQDJHPHQW DQG HQWUHSUHQHXUVKLS PD\ DW 

OHDVW SDUWO\ EH H[SODLQHG E\ WKH QDWXUH RI WDOHQW UHYHODWLRQ SURFHVV LQ WKRVH PDUNHWV 7KH 

HQG RI WKH +ROO\ZRRG VWXGLR V\VWHP LV GLVFXVVHG DV D SRWHQWLDO QDWXUDO H[SHULPHQW IRU 

HVWLPDWLQJ WKH PRGHO 

7$; 32/,&< 

&DWHJRU\ (($ 

&KDLUSHUVRQ 3 +DW]LSDQD\RWRX 

/DUV (ULN %RUJH 

1RUZHJLDQ 8QLYHUVLW\ RI 6FLHQFH DQG 7HFKQRORJ\ 

&R $XWKRUV - 5DWWV¡ 

$XJ 

3523(57< 7$;$7,21 $6 ,1&(17,9( )25 &267 &21752/ 

(03,5,&$/ (9,'(1&( )25 87,/,7< 6(59,&(6 ,1 125:$< 

.H\ZRUGV ,QFHQWLYH HIIHFWV 0DWFKLQJ 3URSHUW\ WD[ DQG 3XEOLF VHFWRU FRVWV 

-(/ &ODVVLILFDWLRQ + DQG + 

5RRP '

&RVW FRQWURO LQ WKH SXEOLF VHFWRU LV D FKDOOHQJH IRU SROLWLFDO LQVWLWXWLRQV 7KHRUHWLFDO 

UHVHDUFK UHFHQWO\ KDV VKRZQ LQFHQWLYH HIIHFWV RI SURSHUW\ WD[DWLRQ WKDW FDQ ZRUN DV D 

PHFKDQLVP WR KROG FRVWV GRZQ :H DUH DEOH WR LQYHVWLJDWH WKH HPSLULFDO UHOHYDQFH RI WKLV 

SURSRVLWLRQ VLQFH ORFDO JRYHUQPHQWV LQ 1RUZD\ UHSUHVHQW D NLQG RI QDWXUDO H[SHULPHQW 

ZKHUH DERXW RI WKHP KDYH UHVLGHQWLDO SURSHUW\ WD[ 7KH HFRQRPHWULF DQDO\VLV 

FRQILUPV VLJQLILFDQW GLIIHUHQFHV LQ XQLW FRVWV GHSHQGHQW RQ WD[ VWUXFWXUH 7KH SRWHQWLDO 

SUREOHPV RI HQGRJHQHLW\ RI WKH FKRLFH RI SURSHUW\ WD[DWLRQ DQG XQHTXDO FRPSDULVRQV DUH 

KDQGOHG ZLWK LQVWUXPHQW YDULDEOHV DQG PDWFKLQJ 

&KULVWLDQ .HXVFKQLJJ 

8QLYHUVLW\ RI 6W *DOOHQ 

7$;$7,21 2) $ 9(1785( &$3,7$/,67 :,7+ $ 3257)2/,2 2) 

),506 

.H\ZRUGV GRXEOH PRUDO KD]DUG RSWLPDO WD[DWLRQ DQG 9HQWXUH FDSLWDO 

-(/ &ODVVLILFDWLRQ ' * + DQG + 

9HQWXUH FDSLWDOLVWV QRW RQO\ ILQDQFH EXW DOVR DGYLVH \RXQJ ILUPV 7KH SURVSHFWV RI YHQWXUH 

FDSLWDO EDFNHG ILUPV WKXV GHSHQG RQ MRLQW HIIRUWV RI HQWUHSUHQHXUV DQG LQIRUPHG YHQWXUH 

FDSLWDOLVWV DQG DUH VXEMHFW WR GRXEOH PRUDO KD]DUG ,Q ILQDQFLQJ D SRUWIROLR RI ILUPV 

YHQWXUH FDSLWDOLVWV DGGLWLRQDOO\ IDFH D WUDGH RII EHWZHHQ WKH QXPEHU RI FRPSDQLHV DQG WKH 

DPRXQW RI PDQDJHULDO DGYLFH DOORFDWHG WR HDFK LQGLYLGXDO YHQWXUH 7KH SDSHU DUJXHV WKDW 

PDQDJHULDO VXSSRUW DQG WKH QXPEHU RI SRUWIROLR ILUPV DUH LQHIILFLHQWO\ ORZ LQ SULYDWH 

HTXLOLEULXP $Q RSWLPDO WD[ SROLF\ LV GHULYHG WKDW VXFFHHGV WR PRYH WKH SULYDWH HTXLOLEULXP 

WRZDUGV D ILUVW EHVW DOORFDWLRQ 

)DUNKDQGD 6KDPLP 

*UDGXDWH 6FKRRO RI ,QWHUQDWLRQDO 'HYHORSPHQW *6,' 

&R $XWKRUV ( $KPDG 

,1&,'(1&( 2) 7$; 21 3225 $1 $1$/

3DQRV +DW]LSDQD\RWRX 

$WKHQV 8QLYHUVLW\ RI (FRQRPLFV DQG %XVLQHVV 

&R $XWKRUV & +DGML\LDQQLV DQG 0 0LFKDHO 

237,0$/ 7$; 32/,&,(6 :,7+ 35,9$7( 38%/,& &/($1 83 &5266 

%25'(5 32//87,21 $1' &$3,7$/ 02%,/,7< 

.H\ZRUGV &DSLWDO 0RELOLW\ &URVV %RUGHU 3ROOXWLRQ 2SWLPDO 7D[HV DQG 3XEOLF 3ROOXWLRQ 

$EDWHPHQW 

-(/ &ODVVLILFDWLRQ ) ) DQG + 

7KLV SDSHU EXLOGV D PRGHO RI D UHJLRQ ZLWK WZR QRQ LGHQWLFDO FRXQWULHV FURVV ERUGHU 

SROOXWLRQ DQG IUHH PRYHPHQWV RI JRRGV DQG FDSLWDO ZLWKLQ WKH UHJLRQ 3ROOXWLRQ UHGXFHV 

ZHOIDUH DQG WKHUH LV VLPXOWDQHRXV SULYDWH DQG SXEOLF SROOXWLRQ DEDWHPHQW 3XEOLF SROOXWLRQ 

DEDWHPHQW LV ILQDQFHG ZLWK WKH XVH RI OXPS VXP DQG SROOXWLRQ WD[ UHYHQXH 7KH 

LQWURGXFWLRQ RI SXEOLF SROOXWLRQ DEDWHPHQW HQDEOHV XV WR GHULYH WKH RSWLPDO SROOXWLRQ WD[HV 

LQ WHUPV RI WKH PDUJLQDO FRVW RI SXEOLF SROOXWLRQ DEDWHPHQW :H GHULYH DQG FRPSDUH IRU 

HDFK FRXQWU\ WKH 1DVK DQG FRRSHUDWLYH OXPS VXP DQG SROOXWLRQ WD[HV DQG H[DPLQH KRZ 

FURVV ERUGHU SROOXWLRQ DQG FDSLWDO PRELOLW\ DIIHFW WKHP )LQDOO\ ZH H[DPLQH WKH LPSDFW RI 

FDSLWDO PRELOLW\ RQ WKH HIIHFWLYHQHVV RI SROOXWLRQ WD[HV RQ QHW SROOXWLRQ 

5(*8/$7,21 ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ ' 0DUWLPRUW 

0DULD -DNREVVRQ 


&R $XWKRUV 0 %HUJPDQ DQG & 5D]R 

$XJ 

5RRP % 

$1 (&2120(75,& $1$/

0(5*(5 &21752/ 

.H\ZRUGV 'LYHVWLWXUHV (IILFLHQF\ *DLQV DQG 0HUJHU &RQWURO 


7KLV 3DSHU VWXGLHV KRZ WKH XVH RI GLYHVWLWXUH LQ PHUJHU FRQWURO FDQ DIIHFW WKH UHYHODWLRQ RI 

LQIRUPDWLRQ DERXW RI WKH OHYHO RI HIILFLHQF\ JDLQV WKDW WKH SURSRVHG PHUJHU HPERGLHV :H 

VKRZ WKDW D GHFLVLRQ SROLF\ WKDW XVHV GLYHVWLWXUH DV D VFUHHQLQJ LQVWUXPHQW RQ WKH WRS RI 

EHLQJ D PHUJHU UHPHG\ LV DOZD\V VXSHULRU WR D EOLQG SROLF\ ZKHUH WKH GHFLVLRQ LV EDVHG 

RQO\ LQ D SULRUL EHOLHIV DERXW WKH OHYHO RI HIILFLHQF\ JDLQV 

0LFKHO 5RODQG 

'HSDUWHPHQW RI (FRQRPLFV 8QLYHUVLWp /DYDO 

&R $XWKRUV & 0DGHW ) 0LUDEHO DQG - 3RXGRX 

)81',1* 81,9(56$/ 6(59,&( 2%/,*$7,216 :,7+ $1 (66(17,$/ 

)$&,/,7< $&&(66 &+$5*(6 96 7$;(6 

.H\ZRUGV $FFHVV FKDUJHV 5HJXODWLRQ DQG 8QLYHUVDO 6HUYLFH 2EOLJDWLRQV 


:H DQDO\]H WZR VFKHPHV IRU IXQGLQJ 8QLYHUVDO 6HUYLFH 2EOLJDWLRQV 862 LQ QHWZRUN 

LQGXVWULHV IXQGLQJ WKURXJK DQ DFFHVV FKDUJH WR WKH QHWZRUN DQG IXQGLQJ WKURXJK DQ 

DFFHVV FKDUJH DV ZHOO DV DQ RXWSXW WD[ 7KLV DQDO\VLV LV PDGH XQGHU D GXRSRO\ VWUXFWXUH 

ZLWK DQ LQFXPEHQW ZKLFK RZQV WKH QHWZRUN DQG LV UHVSRQVLEOH IRU XQLYHUVDO VHUYLFH DQG D 

SRWHQWLDO HQWUDQW :H VKRZ WKDW ERWK VFKHPHV WHQG WR UHGXFH WKH PDUNHW FRQWHVWDELOLW\ WKDW 

GHUHJXODWLRQ LV PHDQW WR SURPRWH :HOIDUH LV KLJKHU XQGHU WKH DFFHVV FKDUJH VFKHPH WKDQ 

XQGHU WKH DFFHVV FKDUJH DQG WD[ FRPELQDWLRQ %RWK ILUPV REWDLQ KLJKHU SURILWV ZLWK IXQGHG 

862 WKDQ ZLWKRXW 862 7KH XWLOLW\ RI FRQVXPHUV EHORQJLQJ WR QRQ SURILWDEOH PDUNHWV 

LQFUHDVHV PRUH XQGHU WKH DFFHVV FKDUJH VFKHPH FRPSDUHG WR WKH FRPELQHG DFFHVV 

FKDUJH WD[ VFKHPH &RQVXPHUV RI SURILWDEOH PDUNHWV ZKR SD\ IRU 862 DOVR SUHIHU WKH 

DFFHVV FKDUJH VFKHPH 

'DYLG 0DUWLPRUW 

,QVWLWXW G (FRQRPLH ,QGXVWULHOOH ,'(, 

&R $XWKRUV < +LULDUW 

7+( %(1(),76 2) (;7(1'(' /,$%,/,7< 

.H\ZRUGV HQYLURQPHQWDO OLDELOLW\ SULQFLSDO DJHQW UHODWLRQVKLS DQG UHJXODWLRQ 

-(/ &ODVVLILFDWLRQ ' . DQG / 

:H FRQVLGHU WKH RSWLPDO UHJXODWLRQ RI DQ HQYLURQPHQWDOO\ ULVN\ YHQWXUH WKH DJHQW ERXQG 

E\ FRQWUDFW WR D VWDNHKROGHU WKH SULQFLSDO XQGHU PRUDO KD]DUG RQ WKH OHYHO RI FDUH H[HUWHG 

E\ WKH DJHQW :H GLVFXVV XQGHU ZKLFK FLUFXPVWDQFHV H[WHQGLQJ YHUWLFDOO\ OLDELOLW\ WRZDUGV 

VWDNHKROGHUV LPSURYHV VWULFWO\ VRFLDO ZHOIDUH GHULYH VHFRQG DQG WKLUG EHVW RSWLPDO 

UHJXODWLRQ GHSHQGLQJ RQ ZKHWKHU SULYDWH FRQWUDFWLQJ FDQ EH FRQWUROOHG RU QRW :H ILQG WKDW 

DV PRUH RI WKHLU ZHDOWK LV DW VWDNH VWDNHKROGHUV EHWWHU LQWHUQDOL]H WKH UHJXODWRU V 

REMHFWLYHV ZKHQ WKH\ KROG DOO EDUJDLQLQJ SRZHU LQ GHVLJQLQJ WKH SULYDWH WUDQVDFWLRQV

:KHQ WKH\ DUH FRPSHWLWLYH LQVWHDG ZH VKRZ WKDW H[WHQGHG OLDELOLW\ KDV QR YDOXH LQ D SXUH 

PRUDO KD]DUG HQYLURQPHQW :KHQ SULYDWH WUDQVDFWLRQV DUH SODJXHG ZLWK DQ DGYHUVH 

VHOHFWLRQ SUREOHP LQFUHDVLQJ UHJXODWRU\ ILQHV DIIHFWV WKH YROXPH WUDGHG ([WHQGHG OLDELOLW\ 

UHFRYHUV D UROH HYHQ LQ FRPSHWLWLYH HQYLURQPHQWV 

,17(51$7,21$/ 75$'( ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 %XVVH 

(JLO 0DWVHQ 

1RUZHJLDQ 8QLYHUVLW\ RI 6FLHQFH 7HFKQRORJ\ 

&R $XWKRUV 5 7RUYLN 

237,0$/ '87&+ ',6($6( 

$XJ 

.H\ZRUGV )RUHLJQ ([FKDQJH *LIWV 2SWLPDO *URZWK DQG 5HVRXUFH :HDOWK 

-(/ &ODVVLILFDWLRQ ) 2 DQG 4 

5RRP ( 

*URZWK PRGHOV RI WKH 'XWFK GLVHDVH H[SODLQ ZK\ UHVRXUFH DEXQGDQFH PD\ UHGXFH 

JURZWK +RZHYHU WKH OLWHUDWXUH DOVR UDLVHV D QHZ TXHVWLRQ LI WKH XVH RI UHVRXUFH ZHDOWK 

KXUWV SURGXFWLYLW\ JURZWK KRZ VKRXOG VXFK ZHDOWK EH RSWLPDOO\ PDQDJHG" 7KLV TXHVWLRQ 

IRUPV WKH WRSLF RI WKH SUHVHQW SDSHU LQ ZKLFK ZH H[WHQG WKH JURZWK OLWHUDWXUH RQ WKH 'XWFK 

GLVHDVH IURP D SRVLWLYH WR D QRUPDWLYH VHWWLQJ :H VKRZ WKDW WKH DVVXPSWLRQV LQ WKH 

SUHYLRXV OLWHUDWXUH LPSO\ WKDW WKH RSWLPDO VKDUH RI QDWLRQDO ZHDOWK FRQVXPHG LQ HDFK SHULRG 

QHHGV WR EH DGMXVWHG GRZQ +RZHYHU VRPH 'XWFK GLVHDVH LV DOZD\V RSWLPDO 7KXV ORZHU 

JURZWK LQ UHVRXUFH DEXQGDQW FRXQWULHV PD\ QRW EH D SUREOHP EXW PD\ EH SDUW RI DQ 

RSWLPDO JURZWK SDWK 7KH RSWLPDO VSHQGLQJ SDWK RI WKH UHVRXUFH ZHDOWK PD\ EH LQFUHDVLQJ 

RU GHFUHDVLQJ RYHU WLPH 

0LJXHO /HRQ /HGHVPD 

8QLYHUVLW\ RI .HQW 

(;32576 352'8&7 ',))(5(17,$7,21 $1' 5 ' 63,//29(56 

.H\ZRUGV H[SRUW IXQFWLRQV NQRZOHGJH VSLOORYHUV SDQHO FRLQWHJUDWLRQ DQG SURGXFW 

GLIIHUHQWLDWLRQ 

-(/ &ODVVLILFDWLRQ & & ) DQG 2 

(PSLULFDO VWXGLHV RQ DJJUHJDWH H[SRUW EHKDYLRU KDYH UHFHQWO\ HPSKDVL]HG WKH UROH SOD\HG 

E\ LQQRYDWLRQ DV WKH PDLQ IRUFH GULYLQJ SURGXFW GLIIHUHQWLDWLRQ DQG FRPSHWLWLYHQHVV IRU 

GHYHORSHG FRXQWULHV 7KHVH VWXGLHV WUHDW IRUHLJQ LQQRYDWLRQ DV D YDULDEOH WKDW DIIHFWV 

QHJDWLYHO\ QDWLRQDO H[SRUW VKDUHV :H LQFRUSRUDWH WKH LPSDFW RI IRUHLJQ LQQRYDWLRQ LQ D 

VWDQGDUG QHZ WUDGH WKHRU\ PRGHO DQG ILQG WKDW LI NQRZOHGJH VSLOORYHUV H[LVW IRUHLJQ 

NQRZOHGJH DFFXPXODWLRQ FRXOG HYHQ KDYH D SRVLWLYH HIIHFW RQ QDWLRQDO H[SRUWV :H WKHQ 

WHVW WKH PRGHO XVLQJ DJJUHJDWH H[SRUW GDWD IRU D VHW RI 2(&' HFRQRPLHV DQG ILQG WKDW 

WKH IRUHLJQ VWRFN RI NQRZOHGJH DIIHFWV H[SRUWV SRVLWLYHO\ IRU WKH OHVV DGYDQFHG FRXQWULHV LQ 

WKH VDPSOH DQG KDV QR LPSDFW RQ H[SRUWV IRU WKH * HFRQRPLHV

8GR .UHLFNHPHLHU 


&R $XWKRUV 6 6FKRHQZDOG 

$ *(1(5$/ 02'(/ 2) )$,5 :$*(6 ,1 $1 23(1 (&2120< 

.H\ZRUGV )DLU :DJHV ,QWHUQDWLRQDO 7UDGH 7KHRU\ DQG 8QHPSOR\PHQW 


:H DQDO\]H WKH EHKDYLRU RI D PXOWL VHFWRU 

VPDOO RSHQ HFRQRP\ ZLWK LQYROXQWDU\ XQHPSOR\PHQW GXH WR IDLU 

ZDJHV 7KH HTXLOLEULXP OHYHO RI HPSOR\PHQW GHSHQGV LQ DQ 

LQWXLWLYHO\ DSSHDOLQJ ZD\ RQ WKH VHFWRUDO VWUXFWXUH RI WKH 

HFRQRP\ ,W LV VKRZQ WKDW LQGXFHG FKDQJHV LQ HPSOR\PHQW DUH D 

GULYLQJ IRUFH EHKLQG PDQ\ RI WKH FRPSDUDWLYH VWDWLF UHVXOWV )DLU 

ZDJH YDULDQWV RI WKH +HFNVFKHU 2KOLQ DQG WKH 5LFDUGR 9LQHU PRGHO 

UHVSHFWLYHO\ 

DUH GHULYHG DV VSHFLDO FDVHV 

0DWWLDV %XVVH 

+::$ +DPEXUJ ,QVWLWXWH RI ,QWHUQDWLRQDO (FRQRPLFV 

&R $XWKRUV 6 %UDXQ 

)', 75$'( $1' &+,/' /$%285 

.H\ZRUGV &KLOG /DERXU )', DQG 7UDGH 

-(/ &ODVVLILFDWLRQ & ) DQG - 

7KH SDSHU DGGUHVVHV WKH OLQNDJH EHWZHHQ FHUWDLQ DVSHFWV RI WKH LQFUHDVLQJ HFRQRPLF 

LQWHJUDWLRQ RI ZRUOG PDUNHWV DQG WKH OHYHO RI FKLOG ODERXU :H HPSLULFDOO\ H[DPLQH ILUVW WKH 

RIWHQ FLWHG FRQYHQWLRQDO ZLVGRP WKDW PXOWLQDWLRQDO HQWHUSULVHV LQYHVW LQ FRXQWULHV ZKHUH 

WKH H[WHQW RI FKLOG ODERXU LV UHODWLYHO\ KLJK DQG VHFRQG WKH FRQFHUQ WKDW FRXQWULHV PD\ 

JDLQ DQ XQIDLU FRPSDUDWLYH DGYDQWDJH LQ WUDGH E\ XVLQJ FKLOG ODERXU 7KH UHVXOWV LQGLFDWH 

WKDW PXOWLQDWLRQDOV DUH KLJKO\ VHQVLWLYH ZLWK UHVSHFW WR WKH ORFDWLRQ RI WKHLU WUDQVSODQWV DQG 

SUHIHU FRXQWULHV ZLWK ORZHU OHYHOV RI FKLOG ODERXU 7KH RSSRVLWH RXWFRPH DSSOLHV WR FKLOG 

ODERXU DQG FRPSDUDWLYH DGYDQWDJH LQ ODERXU LQWHQVLYH JRRGV ZKHUH ZH ILQG D VWDWLVWLFDOO\ 

VLJQLILFDQW SRVLWLYH UHODWLRQVKLS %DVHG RQ WKHVH UHVXOWV WKH SDSHU DOVR GLVFXVVHV VRPH 

SROLF\ LPSOLFDWLRQV RQ KRZ WR GHDO ZLWK FKLOG ODERXU HIIHFWLYHO\ 

(03,5,&$/ 0$&52(&2120,&6 ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ 0DQJjQL 

'DYLG 9HVWLQ 


$XJ 

5RRP )

&R $XWKRUV 3 +RHUGDKO DQG 2 7ULVWDQL 

$ -2,17 (&2120(75,& 02'(/ 2) 0$&52(&2120,& $1' 7(50 

6758&785( '

7KLV SDSHU SUHVHQWV DQ HVVHQWLDOO\ DIILQH PRGHO RI WKH WHUP VWUXFWXUH RI LQWHUHVW UDWHV 

PDNLQJ XVH RI PDFURHFRQRPLF IDFWRUV DQG WKHLU ORQJ UXQ H[SHFWDWLRQV 7KH PRGHO H[WHQGV 

WKH DSSURDFK SLRQHHUHG E\ .R]LFNL DQG 7LQVOH\ E\ PRGHOLQJ FRQVLVWHQWO\ ORQJ UXQ 

LQIODWLRQ H[SHFWDWLRQV VLPXOWDQHRXVO\ ZLWK WKH WHUP VWUXFWXUH 7KLV PRGHO WKXV DYRLGV WKH 

VWDQGDUG SUH ILOWHULQJ RI ORQJ UXQ H[SHFWDWLRQV DV SURSRVHG E\ .R]LFNL DQG 7LQVOH\ 

$SSOLFDWLRQ WR WKH 8 6 HFRQRP\ VKRZV WKH LPSRUWDQFH RI ORQJ UXQ LQIODWLRQ H[SHFWDWLRQV LQ 

WKH PRGHOOLQJ RI ORQJ WHUP ERQGV 7KH SDSHU DOVR SURYLGHV D PDFURHFRQRPLF 

LQWHUSUHWDWLRQ IRU WKH IDFWRUV IRXQG LQ D ODWHQW IDFWRU PRGHO RI WKH WHUP VWUXFWXUH 0RUH 

VSHFLILFDOO\ ZH ILQG WKDW WKH VWDQGDUG ³OHYHO´ IDFWRU LV KLJKO\ FRUUHODWHG WR ORQJ UXQ LQIODWLRQ 

H[SHFWDWLRQV WKH ³VORSH´ IDFWRU FDSWXUHV WHPSRUDU\ EXVLQHVV F\FOH FRQGLWLRQV ZKLOH WKH 

³FXUYDWXUH´ IDFWRU UHSUHVHQWV D FOHDU LQGHSHQGHQW PRQHWDU\ SROLF\ IDFWRU 

$QGUHD 0DQJjQL 

'HSDUWPHQW RI (FRQRPLFV 6LHQD 

&R $XWKRUV ' 'L /DXUHD 

352'8&7 9$5,(7< ,17(51$7,21$/ 75$'(0$5.6 $1' 

(&2120,& *52:7+ 

.H\ZRUGV (FRQRPLF *URZWK 3URGXFW 9DULHW\ DQG 7UDGHPDUNV 


6RPH DXWKRUV UHFHQWO\ IRXQG D SRVLWLYH HPSLULFDO UHODWLRQVKLS EHWZHHQ WKH YDULHW\ DQG 

TXDOLW\ RI 

SURGXFHG DQG H[SRUWHG JRRGV DQG WKH ODUJHQHVV RI HFRQRPLHV .UXJPDQ VW\OH PRGHOV 

UHJDUGLQJ LQWHUQDWLRQDO 

WUDGH VHHP DGHTXDWH WR H[SODLQ WKH REVHUYHG SKHQRPHQD 7KH IORZV RI LQWHUQDWLRQDO WUDGH 

DUH XVXDOO\ XVHG WR 

PHDVXUH WKH GHJUHH RI YHUWLFDO DQG KRUL]RQWDO SURGXFW GLIIHUHQWLDWLRQ ZLWKLQ HDFK FRXQWU\ 

,Q WKLV SDSHU ZH 

SURSRVH WKH LQWHUQDWLRQDO WUDGHPDUNV DV D WRRO WR HVWLPDWH SURGXFW YDULHW\ DQG WKH UHVXOWV 

RI SUHYLRXV VWXGLHV 

DUH FRQILUPHG 

),1$1&,$/ 0$5.(76 ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ . 0RUDQ 

%M|UQ %DUWOLQJ 


&R $XWKRUV $ 3DUN 

$XJ 

,19(670(17 %$1. &203(16$7,21 ,1 9(1785( $1' 121 

9(1785( &$3,7$/ %$&.(' ,326 

.H\ZRUGV ,QLWDLO 3XEOLF 2IIHULQJ 8QGHUZULWHU &RPSHQVDWLRQ DQG 9HQWXUH &DSLWDO 


5RRP %

:H DGGUHVV DQG DQVZHU WZR SX]]OHV RI WKH ,32 OLWHUDWXUH :K\ GR LQYHVWPHQW EDQNV 

HDUQ SRVLWLYH SURILWV LQ D KLJKO\ FRPSHWLWLYH PDUNHW" $QG :K\ GR EDQNV UHFHLYH ORZHU 

JURVV VSUHDGV LQ 9& EDFNHG ,32V" :H PRGHO WKH ,32 SURFHGXUH DV D WZR VWDJH VLJQDOLQJ 

JDPH ,Q WKH VHFRQG VWDJH EDQNV VHW RIIHU SULFHV JLYHQ WKHLU SULYDWH LQIRUPDWLRQ DQG WKH 

OHYHO RI WKH VSUHDG ,VVXHUV DQWLFLSDWH WKH EDQN V SULFLQJ GHFLVLRQ DQG VHW LQ WKH ILUVW VWDJH 

VSUHDGV WR PD[LPL]H H[SHFWHG UHYHQXH ,QYHVWRUV DUH DZDUH RI WKLV 

SURFHVV DQG VXEVFULEH WR RIIHUV RQO\ LI WKHLU H[SHFWHG SURILW LV SRVLWLYH $V D UHVXOW LVVXHUV 

PXVW RIIHU KLJK HQRXJK VSUHDGV WR HQVXUH WKDW EDQNV VHW KLJK SULFHV DOORZLQJ WKHP 

VXEVWDQWLDO 

SURILWV :KHQ DVVXPLQJ WKDW 9& EDFNHG LVVXHUV DUH VXSHULRUO\ LQIRUPHG DERXW WKH PDUNHW 

HQYLURQPHQW WKH\ FDQ LPSRVH VPDOOHU VSUHDGV RQ DYHUDJH 

0DUFR 2WWDYLDQL 


7+( 675$7(*< 2) 352)(66,21$/ )25(&$67,1* 

.H\ZRUGV &KHDS WDON )RUHFDVWLQJ FRQWHVW DQG 5HSXWDWLRQ 

-(/ &ODVVLILFDWLRQ ' ' * DQG - 

7KLV SDSHU GHYHORSV DQG FRPSDUHV WZR WKHRULHV RI VWUDWHJLF EHKDYLRU RI SURIHVVLRQDO 

IRUHFDVWHUV 7KH ILUVW WKHRU\ SRVLWV WKDW IRUHFDVWHUV FRPSHWH LQ D IRUHFDVWLQJ FRQWHVW ZLWK 

SUH VSHFLILHG UXOHV ,Q HTXLOLEULXP RI D ZLQQHU WDNH DOO FRQWHVW IRUHFDVWV DUH H[FHVVLYHO\ 

GLIIHUHQWLDWHG $FFRUGLQJ WR WKH DOWHUQDWLYH UHSXWDWLRQDO FKHDS WDON WKHRU\ IRUHFDVWHUV DLP 

DW FRQYLQFLQJ WKH PDUNHW WKDW WKH\ DUH ZHOO LQIRUPHG 7KH PDUNHW HYDOXDWHV WKHLU 

IRUHFDVWLQJ WDOHQW RQ WKH EDVLV RI WKH IRUHFDVWV DQG WKH UHDOL]HG VWDWH ,I WKH PDUNHW 

H[SHFWV IRUHFDVWHU KRQHVW\ IRUHFDVWV DUH VKDGHG WRZDUG WKH SULRU PHDQ :LWK FRUUHFW 

PDUNHW H[SHFWDWLRQV HTXLOLEULXP IRUHFDVWV DUH LPSUHFLVH EXW QRW VKDGHG 

&ULVWLQD $UHOODQR 


'()$8/7 5,6. :,7+ '2//$5,=(' /,$%,/,7,(6 

.H\ZRUGV %XVLQHVV &\FOHV 'HIDXOW DQG /LDELOLW\ 'ROODUL]DWLRQ 


+LJK GHIDXOW ULVN SUHPLD DQG OLDELOLW\ GROODUL]DWLRQ DUH WZR IHDWXUHV RI HPHUJLQJ PDUNHWV 

FULVHV 7KLV SDSHU GHYHORSV D WZR VHFWRU VPDOO RSHQ HFRQRP\ PRGHO RI WUDGDEOH DQG QRQ 

WUDGDEOH JRRGV WR VWXG\ LQFHQWLYHV WR GHIDXOW RQ GHEW GHQRPLQDWHG LQ WUDGDEOH JRRGV 7KH 

PRGHO PDWFKHV WKH HPSLULFDO REVHUYDWLRQ WKDW HFRQRPLHV LQ FULVHV IDFH KLJKHU LQWHUHVW 

UDWHV UHIOHFWLQJ WKHLU KLJK LQFHQWLYHV WR GHIDXOW $QRWKHU LPSRUWDQW HPSLULFDO UHVXOW WKDW WKH 

PRGHO PDWFKHV LV WKDW HFRQRPLHV ZLWK UHODWLYHO\ VPDOO WUDGDEOH VHFWRUV KDYH KLJKHU 

LQFHQWLYHV WR GHIDXOW RQ GROODU GHQRPLQDWHG GHEW DQG WKXV WLJKWHU HTXLOLEULXP GHEW OLPLWV ,W 

LV VKRZQ WKDW KLJK YRODWLOLW\ RI QRQ WUDGDEOH RXWSXW DQG SULFH FDQ DOVR JLYH WKH HFRQRP\ 

KLJKHU LQFHQWLYHV WR GHIDXOW DIIHFWLQJ WKHLU DELOLW\ WR DFFHVV LQWHUQDWLRQDO FDSLWDO PDUNHWV 

.HYLQ 0RUDQ 

%DQN RI &DQDGD

&R $XWKRUV 6 +HQGU\ 

/,0,7(' 3$57,&,3$7,21 $1' &267/< 6($5&+ ,1 ),1$1&,$/ 

0$5.(76 

.H\ZRUGV OLPLWHG SDUWLFLSDWLRQ PRQHWDU\ SROLF\ DQG VHDUFK DQG PDWFKLQJ 


:H H[WHQG VWDQGDUG OLPLWHG SDUWLFLSDWLRQ PRGHOV E\ LQWURGXFLQJ WKH VHDUFK DQG PDWFKLQJ 

PHFKDQLVP RI 0RUWHQVHQ 3LVVDULGHV LQWR WKH DQDO\VLV ZH LQWHUSUHW WKLV PHFKDQLVP DV 

GHVFULELQJ WKH ZD\V E\ ZKLFK EDQNV DQG VXLWDEOH HQWUHSUHQHXUV PDWFK XS LQ WKH HFRQRP\ 

,Q VXFK D IUDPHZRUN WKH QRPLQDO LQWHUHVW UDWH LV QRW D VSRW SULFH EXW WKH UHVXOW RI D 

EDUJDLQLQJ SURFHVV EHWZHHQ HQWUHSUHQHXUV DQG EDQNV 

6KRFNV WR WKH UHODWLYH EDUJDLQLQJ SRZHU RI WKH SDUWLFLSDQWV LQ D PDWFK PD\ WKHUHIRUH EH D 

VRXUFH RI IOXFWXDWLRQV LQ WKH LQWHUHVW UDWH LQ DGGLWLRQ WR WKH PRUH VWDQGDUG )LVKHULDQ 

IXQGDPHQWDOV 

(&2120,& 7+(25< 

&DWHJRU\ (($ 

&KDLUSHUVRQ : 6FKQHGOHU 

0R]DIIDU 4L]LOEDVK 

8QLYHUVLW\ RI (DVW $QJOLD 

$XJ 

5RRP % 

,1&200(1685$%,/,7< $1' 7+( ),567 )81'$0(17$/ :(/)$5( 

7+(25(0 

.H\ZRUGV FRPSOHWHQHVV PDUNHWV PD[LPL]DWLRQ RSSRUWXQLW\ DQG ZHOIDUH 

-(/ &ODVVLILFDWLRQ & ' DQG , 

6RPH FODLP WKDW LQFRPPHQVXUDELOLW\ SRVHV VHULRXV SUREOHPV IRU HFRQRPLF DFFRXQWV RI 

UDWLRQDOLW\ DQG WKH FDVH IRU PDUNHWV ,W FDQ LQYROYH YLRODWLRQV RI FRPSOHWHQHVV DQG 

FRQWLQXLW\ 6HQ V YLHZ RI UDWLRQDOLW\ GRHV QRW UHTXLUH WKHVH D[LRPV 8VLQJ WKLV YLHZ ZLWK 

VRPH ZHDN SRVWXODWHV ZH FDQ SURYH D YDULDWLRQ RI WKH ILUVW IXQGDPHQWDO ZHOIDUH WKHRUHP 

7R WKLV GHJUHH WKH FDVH IRU WKH PDUNHW LV YLQGLFDWHG +RZHYHU WKH LQWHUSUHWDWLRQ RI WKLV 

UHVXOW PD\ QRW EH ZHOIDULVW ,I WKH ZHDN SUHIHUHQFH UHODWLRQ LV D TXDVL RUGHULQJ ZH FDQ 

SURYH D WKHRUHP ZKLFK LV FORVHU WR WKH VWDQGDUG VWDWHPHQW RI WKH ILUVW ZHOIDUH WKHRUHP 

6HUJH\ 6ORERG\DQ 

&(5*( (, 

127( 21 /2&$/ $1' */2%$/ 67$%,/,7< 2) 7+( ,1'(7(50,1$7( 

67($'< 67$7(6 

.H\ZRUGV JOREDO VWDELOLW\ +RSI ELIXUFDWLRQ WKHRUHP LQGHWHUPLQDF\ /RWWND 9ROWHUUD 

V\VWHP DQG 5HJLRQV RI DWWUDFWLRQ

-(/ &ODVVLILFDWLRQ & & ( DQG ( 

,Q FRQWLQXRXV WLPH PRGHOV ZLWK LQGHWHUPLQDWH VWHDG\ VWDWH QHFHVVDU\ FRQGLWLRQ IRU +RSI 

ELIXUFDWLRQ WZR HLJHQYDOXHV FURVVLQJ WKH LPDJLQDU\ D[LV ZLWK QRQ]HUR VSHHG LV RIWHQ 

VDWLVILHG ,W LV XVXDOO\ FRQMHFWXUHG WKDW OLPLW F\FOH WKHQ DSSHDUV OHDGLQJ HLWKHU WR 

LQGHWHUPLQDWH F\FOH RU FRUULGRU VWDELOLW\ RI VWHDG\ VWDWH ,Q D FODVV RI WZR GLPHQVLRQDO 

PRGHOV UHGXFHDEOH WR /RWWND 9ROWHUUD V\VWHP RI GLIIHUHQWLDO HTXDWLRQV QHFHVVDU\ FRQGLWLRQ 

IRU +RSI ELIXUFDWLRQ KROGV EXW OLPLW F\FOHV GR QRW H[LVW ZKLFK KDV LPSRUWDQW FRQVHTXHQFHV 

IRU JOREDO G\QDPLFV RI WKH PRGHO DV ZHOO DV LWV DSSOLFDELOLW\ DFURVV GLIIHUHQW SDUDPHWHU 

YDOXHV , H[SODLQ WKLV IHDWXUH DQG SUREH LWV VHQVLWLYLW\ WR PRGHOLQJ DVVXPSWLRQV 

%LUJLW *URGDO 


&R $XWKRUV % (OOLFNVRQ 6 6FRWFKPHU DQG : =DPH 

7+( 25*$1,=$7,21 2) 352'8&7,21 &2168037,21 $1' 

/($51,1* 

.H\ZRUGV &RQWUDFWV &RUH (TXLOLEULXP )LUPV *URXSV DQG 6FKRROV 

-(/ &ODVVLILFDWLRQ ' ' ' - DQG - 

7KLV SDSHU SURYLGHV DQ H[WHQVLRQ RI JHQHUDO HTXLOLEULXP WKHRU\ WKDW LQFRUSRUDWHV WKH 

DFWLRQV RI LQGLYLGXDOV ERWK DV GHPDQGHUV DQG VXSSOLHUV RI JRRGV DQG DV PHPEHUV RI ILUPV 

VFKRROV VRFLDO JURXSV DQG FRQWUDFWXDO UHODWLRQVKLSV 7KH FHQWUDO QRWLRQ RI WKH SDSHU LV D 

JURXS D FROOHFWLRQ RI LQGLYLGXDOV DVVRFLDWHG ZLWK RQH DQRWKHU IRU VRPH SXUSRVH 7KH 

PRGHO WDNHV DV SULPLWLYH DQ H[RJHQRXV VHW RI JURXS W\SHV 7KH W\SHV RI JURXSV WKDW IRUP 

LQ HTXLOLEULXP WKH W\SHV RI VFKRROV DQG ILUPV WKH ZD\ DJHQWV DFTXLUH VNLOOV DQG WKH 

FRQWUDFWV HQWHUHG LQWR DQG WKH SURGXFWLRQ DQG FRQVXPSWLRQ RI SULYDWH FRPPRGLWLHV DUH 

GHWHUPLQHG HQGRJHQRXVO\ LQ D FRPSHWLWLYH PDUNHW ,Q WKH PRGHO HTXLOLEULXP H[LVWV DQG WKH 

FRUH FRLQFLGH ZLWK WKH VHW RI HTXLOLEULXP VWDWHV ([DPSOHV DQG $SSOLFDWLRQV LOOXVWUDWH WKH 

IOH[LELOLW\ DQG SRZHU RI WKH IUDPHZRUN 

:HQGHOLQ 6FKQHGOHU 

&032 8QLYHUVLW\ RI %ULVWRO DQG ,=$ 

&R $XWKRUV 8 6XQGH 

$,1 7 12 6816+,1( :+(1 6+( 6 *21( 121 &2175$&7,%/( 

$&7,216 :,7+ )8785( &216(48(1&(6 

.H\ZRUGV KLGGHQ DFWLRQ DQG PRUDO KD]DUG 


7KLV SDSHU GHDOV ZLWK D SULQFLSDO DJHQW SUREOHP LQ ZKLFK WKH QRQ FRQWUDFWLEOH DFWLRQ RI WKH 

DJHQW GRHV QRW RQO\ FUHDWH D SUHVHQW EHQHILW EXW DOVR LQIOXHQFHV WKH IXWXUH +RZHYHU WKH 

IXWXUH HIIHFW XQIROGV LQ D GLIIHUHQW PDQQHU GHSHQGLQJ RQ ZKHWKHU SULQFLSDO DQG DJHQW 

FRQWLQXH WKHLU UHODWLRQVKLS RU QRW ZKHUH FRQWLQXDWLRQ UHTXLUHV WKH YROXQWDU\ SDUWLFLSDWLRQ RI 

ERWK 

7UDQVIHUV FDQ EH FRQGLWLRQHG RQO\ RQ WKH LQIRUPDWLRQ ZKHWKHU WKH UHODWLRQVKLS 

ZDV FRQWLQXHG $OO RWKHU LQIRUPDWLRQ LV

DVVXPHG WR EH QRQ YHULILDEOH :H JLYH FRQGLWLRQV XQGHU ZKLFK WKH HIILFLHQW DQG 

SDUHWR RSWLPDO DFWLRQ FDQ EH PSOHPHQWHG 

*52:7+ $1' 7(&+12/2*< ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ &KDQGD 

)DEUL]LR =LOLERWWL 


$XJ 

5RRP ) 

',67$1&( 72 )5217,(5 6(/(&7,21 $1' (&2120,& *52:7+ 

.H\ZRUGV DSSURSULDWH LQVWLWXWLRQV 


:H DQDO\]H DQ HFRQRP\ ZKHUH PDQDJHUV HQJDJH LQ LQQRYDWLRQ 7KH VHOHFWLRQ RI KLJK VNLOO 

PDQDJHUV LV PRUH LPSRUWDQW IRU LQQRYDWLRQ DFWLYLWLHV $V WKH HFRQRP\ DSSURDFKHV WKH 

WHFKQRORJ\ IURQWLHU VHOHFWLRQ EHFRPHV PRUH LPSRUWDQW &RXQWULHV DW HDUO\ VWDJHV RI 

GHYHORSPHQW SXUVXH DQ LQYHVWPHQW EDVHG VWUDWHJ\ ZLWK ORQJ WHUP UHODWLRQVKLSV KLJK 

DYHUDJH VL]H DQG DJH RI ILUPV ODUJH DYHUDJH LQYHVWPHQWV EXW OLWWOH VHOHFWLRQ &ORVHU WR WKH 

ZRUOG WHFKQRORJ\ IURQWLHU WKHUH LV D VZLWFK WR DQ LQQRYDWLRQ EDVHG VWUDWHJ\ ZLWK VKRUW WHUP 

UHODWLRQVKLSV \RXQJHU ILUPV OHVV LQYHVWPHQW DQG EHWWHU VHOHFWLRQ RI PDQDJHUV :H VKRZ 

WKDW UHODWLYHO\ EDFNZDUG HFRQRPLHV PD\ VZLWFK RXW RI WKH LQYHVWPHQW EDVHG VWUDWHJ\ WRR 

VRRQ VR FHUWDLQ HFRQRPLF LQVWLWXWLRQV DQG SROLFLHV VXFK DV OLPLWV RQ SURGXFW PDUNHW 

FRPSHWLWLRQ RU LQYHVWPHQW VXEVLGLHV WKDW HQFRXUDJH WKH LQYHVWPHQW EDVHG VWUDWHJ\ PD\ 

EH EHQHILFLDO +RZHYHU VRFLHWLHV WKDW FDQQRW VZLWFK RXW RI WKH LQYHVWPHQW EDVHG VWUDWHJ\ 

IDLO WR FRQYHUJH WR WKH ZRUOG WHFKQRORJ\ IURQWLHU 

- UJHQ %LW]HU 

',: %HUOLQ 

0($685,1* .12:/('*( 672&.6 $ 352&(66 2) &5($7,9( 

'(6758&7,21 

.H\ZRUGV FUHDWLYH GHVWUXFWLRQ NQRZOHGJH VSLOORYHUV DQG 5 DPS ' FDSLWDO VWRFNV 


7KLV SDSHU SURSRVHV D QHZ PHWKRG IRU FRQVWUXFWLQJ 5 ' FDSLWDO 

VWRFNV GHYHORSHG WR DYRLG WKH FRPPRQ DVVXPSWLRQ RI D FRQVWDQW UDWH 

RI NQRZOHGJH GHSUHFLDWLRQ ZKLFK LPSOLHV ZHDU DQG WHDU RI 

NQRZOHGJH 7KH PHWKRG PRGHOV WKH GHYHORSPHQW RI 5 ' FDSLWDO 

VWRFNV DV D SURFHVV RI FUHDWLYH GHVWUXFWLRQ OLQNLQJ WKH 

GHSUHFLDWLRQ RI NQRZOHGJH WR WKH HPHUJHQFH RI QHZ NQRZOHGJH $ 

ILUVW HPSLULFDO DVVHVVPHQW RI WKH QHZ PHWKRG PHDVXULQJ WKH 

LQIOXHQFH RI 5 ' FDSLWDO VWRFNV RQ SURGXFWLRQ LQ WKH 

PDQXIDFWXULQJ VHFWRUV RI 2(&' FRXQWULHV SURGXFHV SODXVLEOH 

DQG UREXVW UHVXOWV

*HUQRW 'RSSHOKRIHU 


&R $XWKRUV 5 0LOOHU DQG ; 6DOD L 0DUWLQ 

'(7(50,1$176 2) /21* 7(50 *52:7+ $ %$

&2676 $1' %(1(),76 2) &$3,7$/ $'(48$&< 5(*8/$7,21 ,1 $ 

%$1.,1* 6

:H VKRZ WKDW ODFN RI LQWHUQDWLRQDO FRRUGLQDWLRQ RI UHJXODWLRQ WRZDUGV 01% VXEVLGLDULHV 

ZRUNV WR ORZHU FDSLWDO DGHTXDF\ UHTXLUHPHQWV %XW UHJXODWRUV UHVSRQG E\ LQFUHDVLQJ WKH 

LQFHQWLYHV WR LPSURYH DVVHW TXDOLW\ PDNLQJ WKH HTXLOLEULXP SUREDELOLW\ RI EDQNLQJ IDLOXUH 

LQVHQVLWLYH WR WKH GHFHQWUDOL]HG QDWXUH RI UHJXODWLRQ 2ZQHUVKLS RI WKH 01% LV VKRZQ WR EH 

RI LPSRUWDQFH IRU WKH RXWFRPH RI UHJXODWRU\ FRPSHWLWLRQ &RQVLGHULQJ DOVR EUDQFK 

RUJDQL]HG 01%V ZH GHULYH FRPSDUDWLYH UHVXOWV ZLWK UHVSHFW WR UHJXODWRU\ SROLF\ DQG 

01%V SUHIHUUHG IRUP RI UHSUHVHQWDWLRQ EUDQFKHV YV VXEVLGLDULHV 

3DQLFRV 'HPHWULDGHV 


&R $XWKRUV 6 $QGULDQRYD DQG 6 $QMD 

67$7( %$1.6 ,167,787,216 $1' ),1$1&,$/ '(9(/230(17 

.H\ZRUGV ,QVWLWXWLRQDO TXDOLW\ 2SSRUWXQLVWLF EDQNV DQG 5HJXODWLRQ 

-(/ &ODVVLILFDWLRQ ' * * DQG . 

:H SUHVHQW D ORFDWLRQDO PRGHO RI EDQNLQJ ZLWK WZR W\SHV RI SULYDWH EDQNV KRQHVW DQG 

RSSRUWXQLVWLF DQG D VWDWH EDQN ZKLFK LV OHVV HIILFLHQW :H GHULYH WKUHH W\SHV RI HTXLOLEULD 

ZKLFK GHSHQG RQ LQVWLWXWLRQDO TXDOLW\ ,Q WKH LQWHUPHGLDWH HTXLOLEULXP SULYDWH EDQNV DQG 

WKH VWDWH EDQN FR H[LVW DQG WKH VKDUH RI VWDWH EDQNV GHSHQGV LQYHUVHO\ RQ LQVWLWXWLRQDO 

TXDOLW\ DQG SRVLWLYHO\ RQ WKH SURSRUWLRQ RI RSSRUWXQLVWLF EDQNV :H WHVW RXU WKHRUHWLFDO 

SUHGLFWLRQV XVLQJ FURVV FRXQWU\ GDWD :H ILQG WKDW ERWK WKH TXDOLW\ RI SUXGHQWLDO UHJXODWLRQ 

RU UXOH RI ODZ DQG GLVFORVXUH DUH LQYHUVHO\ UHODWHG WR WKH VKDUH RI VWDWH EDQNV 

*$0( 7+(25< ,,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 2 7HUFLHX[ 

-RDFKLP :HLPDQQ 

8QLYHUVLW\ RI 0DJGHEXUJ 

&R $XWKRUV $ 0LWURSRXORV DQG &

0DWKLDV +HU]LQJ 

,QVWLWXWH IRU ,QWHUQDWLRQDO (FRQRPLF 6WXGLHV 6WRFNKROP 8QLYHUVLW\ 

$ 35,621(56 ',/(00$ 7$5,)) 6(77,1* *$0( :,7+ $1 (6&$3( 

&/$86( 

.H\ZRUGV (VFDSH FODXVH 5HSHDWHG JDPHV DQG 7UDGH DJUHHPHQWV 


%\ H[DPLQLQJ WKH HIIHFWV RI XQFHUWDLQ RXWFRPHV RQ WKH VXVWDLQDELOLW\ RI FRRSHUDWLRQ LQ DQ 

LQILQLWHO\ UHSHDWHG 3ULVRQHUV 'LOHPPD WDULII VHWWLQJ JDPH WKH JDPH WKHRUHWLF UDWLRQDOH IRU 

WKH LQFOXVLRQ RI HVFDSH FODXVH PHFKDQLVPV LQ WUDGH DJUHHPHQWV LV SURYLGHG 6XFK 

PHFKDQLVPV DOORZLQJ D VKRFN DIIHFWHG FRXQWU\ WR WHPSRUDULO\ GHYLDWH ZKLOH VXIILFLHQWO\ 

FRPSHQVDWLQJ LWV WUDGLQJ SDUWQHU LQ RUGHU WR DOOHYLDWH WKH ORVV IURP EHLQJ H[SRVHG WR 

GHYLDWLRQ QRW RQO\ PDNHV FRRSHUDWLRQ VXVWDLQDEOH EXW DOVR LQFUHDVHV WKH H[SHFWHG SHU 

SHULRG SD\RII )RU D VXIILFLHQWO\ KLJK GLVFRXQW IDFWRU WKH XVH RI WKH HVFDSH FODXVH LV 

HIILFLHQW DQG WKH RSWLPDO FRRSHUDWLYH WDULII LV DSSOLHG +RZHYHU WKH XVH RI WKH HVFDSH 

FODXVH LQFUHDVHV LQ WKH GHJUHH RI FRRSHUDWLRQ 

1LFRODV 0HOLVVDV 


&R $XWKRUV 3 +HLGKXHV 

(48,/,%5,$ ,1 $ '

GRPLQDQFH 


,Q WKLV SDSHU ZH JHQHUDOL]H WKH QRWLRQ RI S GRPLQDQFH IURP DFWLRQV WR VHWV RI DFWLRQV 

WKURXJK WKH FRQFHSW RI S EHVW UHVSRQVH VHW :H SURYLGH D VXIILFLHQW FRQGLWLRQ IRU WKH 

UREXVWQHVV RI HTXLOLEULD WR LQFRPSOHWH LQIRUPDWLRQ LI WKHUH H[LVWV D VHW RI DFWLRQ SURILOH 6 

ZKLFK LV D S EHVW UHVSRQVH VHW ZLWK WKH VXP RI LWV HOHPHQWV EHLQJ OHVV WKDQ RQH DQG WKHUH 

H[LVWV D XQLTXH FRUUHODWHG HTXLOLEULXP ZKRVH VXSSRUW LV LQ 6 WKHQ LW LV D XQLTXH UREXVW 

1DVK HTXLOLEULXP 7KLV HQODUJHV ERWK FRQGLWLRQV RI .DMLL DQG 0RUULV VHPLQDO ZRUN 

),1$1&,$/ &5,6(6 

&DWHJRU\ (($ 

&KDLUSHUVRQ 9 .DUE 

+DLELQ =KX 

%DQN IRU ,QWHUQDWLRQDO 6HWWOHPHQWV 

&5(',7 &21675$,176 ),1$1&,$/ /,%(5$/,6$7,21 $1' 7:,1 

&5,6(6 

.H\ZRUGV EDQNLQJ FULVHV ERUURZLQJ FRQVWUDLQW DQG FXUUHQF\ FULVHV 

-(/ &ODVVLILFDWLRQ ) ) DQG * 

$XJ 

5RRP ' 

7KLV SDSHU SURSRVHV D FRQWLQXRXV WLPH IUDPHZRUN WKDW H[SODLQV VRPH VW\OL]HG IDFWV LQ 

UHFHQW WZLQ FULVHV HSLVRGHV , VKRZ WKDW DFFHVV WR WKH ZRUOG FDSLWDO PDUNHW HQDEOHV WKH 

GRPHVWLF HFRQRP\ WR DFKLHYH D PRUH HIILFLHQW DOORFDWLRQ RI UHVRXUFHV +RZHYHU WKH 

EDQNLQJ VHFWRU EHFRPHV PRUH IUDJLOH ZKHQ WKLV LQWHUQDWLRQDO ERUURZLQJ LV ZHDOWK 

FRQVWUDLQHG $ WHPSRUDU\ VKRFN LV DPSOLILHG DQG EHFRPHV SHUVLVWHQW GXH WR WKH LQWHUDFWLRQ 

EHWZHHQ WKH YDOXH RI EDQN DVVHWV DQG WKH ERUURZLQJ FRQVWUDLQW 'HSHQGLQJ RQ WKH 

H[FKDQJH UDWH UHJLPH DUUDQJHPHQW DQG WKH SROLF\ RI WKH FHQWUDO EDQN WKLV ILQDQFLDO 

IUDJLOLW\ FDQ HYROYH LQWR D EDQNLQJ FULVLV D FXUUHQF\ FULVLV RU WKH VLPXOWDQHRXV RFFXUUHQFH 

RI ERWK 

9RONHU .DUE 

8QLYHUVLW\ RI %D\UHXWK *HUPDQ\ 

&R $XWKRUV & %DXHU DQG % +HU] 

7+( 27+(5 7:,16 &855(1&< $1' '(%7 &5,6(6 

.H\ZRUGV &XUUHQF\ FULVHV LQWHUQDO FRQWDJLRQ VHOI IXOILOOLQJ H[SHFWDWLRQV DQG VRYHUHLJQ 

GHEW 


$OWKRXJK HPSLULFDOO\ FXUUHQF\ FULVHV DUH IUHTXHQWO\ DFFRPSDQLHG E\ VLPXOWDQHRXV 

VRYHUHLJQ GHEW FULVHV WKH SKHQRPHQRQ RI WZLQ FXUUHQF\ DQG GHEW FULVHV LV WUHDWHG RQO\ 

VSDUVHO\ LQ HFRQRPLF OLWHUDWXUH :H DQDO\VH WKH RSWLPDO SROLF\ RI D JRYHUQPHQW WKDW PD\ 

FKRRVH ZKHWKHU WR NHHS RU DOWHUQDWLYHO\ H[LW DQ H[LVWLQJ H[FKDQJH UDWH SHJ DQG ZKHWKHU RU 

QRW WR GHIDXOW RQ KHU GHEW DW WKH VDPH WLPH %RWK SDUDPHWHUV KDYH D ODUJH LPSDFW QRW RQO\

RQ WKH SXEOLF ZHOIDUH EXW RQ WKH JRYHUQPHQWV EXGJHW DV ZHOO 7KH UHVXOWLQJ LQFHQWLYH 

V\VWHP FDQ JHQHUDWH VLWXDWLRQV ZLWK VHOI IXOILOOLQJ GHIDXOW H[SHFWDWLRQV ,Q VRPH VLWXDWLRQV 

DQ LQWHUQDO FRQWDJLRQ HIIHFW DULVHV $ VRYHUHLJQ GHEW FULVLV VSUHDGV WR WKH VHFWRU RI 

H[FKDQJH UDWH SROLF\ DQG FDXVHV D GHYDOXDWLRQ DV ZHOO 3ULYDWH LQYHVWRUV GHIDXOW 

H[SHFWDWLRQV WKXV FDQ QRW RQO\ FDXVH D VRYHUHLJQ GHEW FULVLV EXW PD\ OHDG WR D FXUUHQF\ 

FULVLV DV ZHOO 

3HWHU 7LOOPDQQ 


7+( &5(',%,/,7< 2) 35,9$7( 6(&725 ,192/9(0(17 ,1 7+( 

5(62/87,21 2) ),1$1&,$/ &5,6(6 

.H\ZRUGV GHEW UHVWUXFWXULQJ ILQDQFLDO FULVHV *$5&+ 0 QRQ OLQHDU SULFH RI ULVN DQG 

UHJLPH VZLWFKLQJ 


7R FRUUHFW WKH GLVLQFHQWLYHV RI OLTXLGLW\ DVVLVWDQFH GXULQJ ILQDQFLDO FULVHV WKH RIILFLDO VHFWRU 

DQQRXQFHG DWWHPSWV WR LQYROYH WKH SULYDWH VHFWRU LQ WKH UHVROXWLRQ RI FULVHV 7KLV SDSHU 

HPSLULFDOO\ WHVWV WKH UHDFWLRQ RI LQYHVWRUV ULVN DYHUVLRQ WR 3ULYDWH 6HFWRU ,QYROYHPHQW 36, 

DQQRXQFHPHQWV E\ LQYHVWLJDWLQJ WKH UHVSRQVH RI WKH SULFH RI ULVN LQFRUSRUDWHG LQ H[FHVV 

UHWXUQV RQ HPHUJLQJ PDUNHW ERQGV $ UHJLPH VZLWFKLQJ *$5&+ 0 PRGHO LV HPSOR\HG WR 

VHSDUDWH WZR UHJLPHV ZLWK UHVSHFW WR WKH SULFH RI ULVN ,W LV VKRZQ WKDW WKH OLNHOLKRRG RI 

VZLWFKLQJ WR D VWDWH ZLWK D KLJK FRHIILFLHQW RI ULVN DYHUVLRQ ULVHV LQ UHVSRQVH WR 36, 

DQQRXQFHPHQWV 7KXV WKH UHVXOWV LQGLFDWH WKDW EXUGHQ VKDULQJ ZDV FUHGLEOH DQG KHQFH 

HIIHFWLYH 

$QWRQLR 6SLOLPEHUJR 


&R $XWKRUV ( 'HWUDJLDFKH 

6+257 7(50 '(%7 $1' &5,6(6 

.H\ZRUGV &UHGLWRU 5XQV 'HEW FULVLV DQG 6KRUW WHUP 'HEW 


$IWHU WKH UHFHQW $VLDQ ILQDQFLDO FULVHV PDQ\ REVHUYHUV EODPHG H[WHUQDO LOOLTXLGLW\ IRU WKH 

SUREOHPV DQG FDOOHG IRU OLPLWV WR VKRUW WHUP H[SRVXUHV E\ HPHUJLQJ PDUNHWV 7R DVVHVV 

WKHVH FODLPV HFRQRPLVWV KDYH WHVWHG ZKHWKHU LOOLTXLGLW\ LV FRUUHODWHG ZLWK FULVHV :H FODLP 

WKDW WKHVH WHVWV DUH PLVOHDGLQJ DV WKH\ IDLO WR WDNH LQWR DFFRXQW WKDW YXOQHUDELOLW\ LWVHOI FDQ 

IRUFH FRXQWU\ WR ERUURZ DW VKRUW PDWXULW\ DV VXJJHVWHG E\ WKH WKHRUHWLFDO PRGHOV RI 

'LDPRQG DQG 5DMDQ DQG -HDQQH 8VLQJ D WZR VWDJH SURFHGXUH ZH UH 

H[DPLQH WKH HYLGHQFH DQG ILQG WKDW FDXVDOLW\ UXQV IURP YXOQHUDELOLW\ WR VKRUW WHUP GHEW 

DQG QRW WKH RWKHU ZD\ DURXQG 

&KDLUSHUVRQ 

7LP %HVOH\ 


3$


:H LQYHVWLJDWH D FODVV RI VHPLSDUDPHWULF $5&+ PRGHOV WKDW LQFOXGHV DV D VSHFLDO FDVH 

WKH SDUWLDOO\ QRQSDUDPHWULF 313 PRGHO LQWURGXFHG E\ (QJOH DQG 1J DQG ZKLFK 

DOORZV IRU ERWK IOH[LEOH G\QDPLFV DQG IOH[LEOH IXQFWLRQ IRUP ZLWK UHJDUG WR WKH QHZV LPSDFW 

IXQFWLRQ :H VKRZ WKDW WKH IXQFWLRQDO SDUW RI WKH PRGHO VDWLVILHV D W\SH ,, OLQHDU LQWHJUDO 

HTXDWLRQ DQG JLYH VLPSOH FRQGLWLRQV XQGHU ZKLFK WKHUH LV D XQLTXH VROXWLRQ :H SURSRVH 

DQ HVWLPDWLRQ PHWKRG WKDW LV EDVHG RQ NHUQHO VPRRWKLQJ DQG SURILOHG OLNHOLKRRG :H 

HVWDEOLVK WKH GLVWULEXWLRQ WKHRU\ RI WKH SDUDPHWULF FRPSRQHQWV DQG WKH SRLQWZLVH 

GLVWULEXWLRQ RI WKH QRQSDUDPHWULF FRPSRQHQW RI WKH PRGHO :H DOVR GLVFXVV HIILFLHQF\ RI 

ERWK WKH SDUDPHWULF DQG QRQSDUDPHWULF SDUW :H LQYHVWLJDWH WKH SHUIRUPDQFH RI RXU 

SURFHGXUHV RQ VLPXODWHG GDWD DQG RQ D VDPSOH RI 6 3 LQGH[ UHWXUQV :H ILQG VRPH 

HYLGHQFH RI DV\PPHWULF QHZV LPSDFW IXQFWLRQV LQ WKH GDLO\ DQG ZHHNO\ GDWD EXW VRPH 

VLJQLILFDQW GLIIHUHQFHV IURP WKH XVXDO VKDSH IRXQG LQ SXUHO\ SDUDPHWULF DQDO\VLV 

,167,787,216 ,1129$7,21 $1' *52:7+ 

&DWHJRU\ (($ 

&KDLUSHUVRQ 3 $JKLRQ DQG 5 *ULIILWK 

0DUN 6FKDQNHUPDQ 


&R $XWKRUV 6 /DFK 

,1&(17,9(6 $1' ,19(17,21 ,1 81,9(56,7,(6 


$XJ 



$OH[ .OHPP 

,QVWLWXWH IRU )LVFDO 6WXGLHV /RQGRQ 

&R $XWKRUV 6 %RQG DQG , 0DULQHVFX 

5RRP $ 

',67$1&( 72 )5217,(5 &203$1< ,19(670(17 $1' 6285&( 2) 

),1$1&( 




6XVDQQH 3UDQWO

,QVWLWXWH IRU )LVFDO 6WXGLHV DQG 8QLYHUVLW\ &ROOHJH /RQGRQ 

&R $XWKRUV 3 $JKLRQ 5 %OXQGHOO DQG 5 *ULIILWK 

)25(,*1 (175< 352'8&7,9,7< $1' ,1&80%(17 ,1129$7,21 




5DFKHO *ULIILWK 


&R $XWKRUV ' $FHPRJOX 3 $JKLRQ DQG ) =LOLERWWL 

9(57,&$/ ,17(*5$7,21 +2/'83 $1' 7(&+12/2*< :+$7 '2 

:( /($51 )520 0,&52 '$7$" 




)(0$/( /$%285 )25&( 3$57,&,3$7,21 ,1 

(8523( 

&DWHJRU\ (($ 

&KDLUSHUVRQ 3 *DULEDOGL DQG & 3LVVDULGHV 

EDUEDUD SHWURQJROR 


:+$7 -2%6 '2 :20(1 +2/' ,1 7+( (8 


$XJ 


:KDW -REV 'R :RPHQ +ROG LQ WKH (8 

$OLVRQ %RRWK 

$XVWUDOLDQ 1DWLRQDO 8QLYHUVLW\ 

&R $XWKRUV : $UXODPSDODP DQG 0 %U\DQ 

75$,1,1* ,1 (8523( 

5RRP %




3LHWUR *DULEDOGL 

8QLYHUVLWj &RPPHUFLDOH /XLJL %RFFRQL 

&R $XWKRUV ( :DVPHU 

)(0$/( 3$57,&,3$7,21 $1' ,55(9(56,%/( (175< &2676 




5(&(17 '(9(/230(176 ,1 (03,5,&$/ ,2 

&DWHJRU\ (($ 

&KDLUSHUVRQ 5 3RUWHU 

(VWHOOH &DQWLOORQ 

+DUYDUG %XVLQHVV 6FKRRO DQG &(35 

&R $XWKRUV 0 3HVHQGRUIHU 

&20%,1$7,21 %,'',1* ,1 08/7, 81,7 $8&7,216 


$XJ 



/DUV +HQGULFN 5ROOHU 

:=% 

&R $XWKRUV ( 0LUDYHWH 

5RRP ' 

(67,0$7,1* 35,&( &267 0$5.836 81'(5 121/,1($5 35,&,1* 

&203(7,7,21 



1R $EVWUDFW DYDLODEOH

$YLY 1HYR 

8QLYHUVLW\ RI &DOLIRUQLD %HUNHOH\ 

&R $XWKRUV , +HQGHO 

0($685,1* 7+( ,03/,&$7,216 2) 6$/(6 $1' &21680(5 

672&.3,/,1* %(+$9,25 




(8523($1 (1/$5*(0(17 

&DWHJRU\ (($ 

&KDLUSHUVRQ ( %HUJORI 

)DEUL]LR &RULFHOOL 

8QLYHUVLW\ RI 6LHQD 

/iV]Oy +DOSHUQ 

,QVWLWXWH RI (FRQRPLFV +$6 &(35 :', DQG &(8 

'DOLD 0DULQ 


(8523($1 (1/$5*(0(17 


$XJ 



:$*( 6758&785(6 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

2UJDQL]HU % )LW]HQEHUJHU 

%HUQG )LW]HQEHUJHU 


&R $XWKRUV 0 %HFN DQG 7 %XHWWQHU 

$XJ 

5RRP ) 

5RRP 3

,17(*5$7,1* :$*( %$5*$,1,1* ,172 $1 ()),&,(1&< :$*( 

02'(/ 

.H\ZRUGV (IILFLHQF\ ZDJHV :DJH EDUJDLQLQJ PRGHO DQG :DJH FXUYH 


7KH UHOHYDQFH RI WKH ZDJH EDUJDLQLQJ SURFHVV LQ *HUPDQ\ 

IRU HIIHFWLYH ZDJHV LV RIWHQ WUHDWHG VXSHUILFLDOO\ LQ WKH 

OLWHUDWXUH 7KLV SDSHU GHULYHV D ZDJH EDUJDLQLQJ PRGHO ZKLFK 

LQFRUSRUDWHV DQ HIILFLHQF\ ZDJH UHODWLRQVKLS WDNLQJ 

H[SOLFLWO\ LQWR DFFRXQW WKH GLIIHUHQW VWDJHV LQ WKH ZDJH IRUPDWLRQ 

SURFHVV DQG LQYHVWLJDWHV WKH UHOHYDQFH RI WKH PRGHO 

E\ HVWLPDWLQJ DQ DXJPHQWHG ZDJH FXUYH $Q LQQRYDWLYH IHDWXUH RI 

WKH PRGHO LV WKDW LW HQGRJHQL]HV WKH DOWHUQDWLYH LQFRPH OHYHO 

ZKLFK LV D FRPSRQHQW RI WKH HIIRUW IXQFWLRQ ZLWKLQ WKH HIILFLHQW 

ZDJH IUDPHZRUN 9LD WKH DOWHUQDWLYH LQFRPH OHYHO DV D IXQFWLRQ RI 

WKH XQHPSOR\PHQW UDWH WKH OHYHO RI XQHPSOR\PHQW EHQHILWV DQG WKH 

DYHUDJH ZDJH SDLG LQ RWKHU ILUPV ZH GHULYH DOVR DQ LPSDFW RI ODERU 

PDUNHW FRQGLWLRQV RQ WKH ZDJH IRUPDWLRQ 

7KH HPSLULFDO HVWLPDWH RI WKH CCDXJPHQWHG ZDJH 

FXUYH IRU *HUPDQ\ LV SHUIRUPHG LQ ILUVW GLIIHUHQFHV :H DUH WDNLQJ LQWR 

DFFRXQW WKH HQGRJHQHLW\ RI WKH FRQWUDFW ZDJH DQG WKH XQHPSOR\PHQW 

UDWH 

)ULHGKHOP 3IHLIIHU 

&HQWUH IRU (XURSHDQ (FRQRPLF 5HVHDUFK =(: 0DQQKHLP 

&R $XWKRUV : )UDQ] 

7+( 5$7,21$/( )25 :$*( 5,*,',7< 6859(< (9,'(1&( )520 

*(50$1 ),506 

.H\ZRUGV HIILFLHQF\ ZDJH WKHRU\ LPSOLFLW FRQWUDFW WKHRU\ ODERXU XQLRQ FRQWUDFWV DQG 

ZDJH ULJLGLW\ 

-(/ &ODVVLILFDWLRQ - - DQG . 

7KH VWXG\ SURYLGHV HYLGHQFH IRU WKH UDWLRQDOH RI ZDJH ULJLGLW\ LQ *HUPDQ\ %DVHG RQ D 

VXUYH\ RI ILUPV ZH H[WHQG WKH OLWHUDWXUH E\ XVLQJ PRUH WKRURXJK HFRQRPHWULF 

PHWKRGV IRU H[DPSOH DQG ILQG VWURQJ VXSSRUW IRU H[SODQDWLRQV EDVHG RQ ODERU XQLRQ 

FRQWUDFWV DQG RQ HIILFLHQF\ ZDJHV )XUWKHUPRUH VXUYH\ UHVSRQGHQWV LQGLFDWHG WKDW ODERU 

XQLRQ FRQWUDFWV DQG LPSOLFLW FRQWUDFWV DUH LPSRUWDQW UHDVRQV IRU ZDJH ULJLGLW\ IRU WKH OHVV 

VNLOOHG 6SHFLILF KXPDQ FDSLWDO DQG QHJDWLYH VLJQDOV IRU QHZ KLUHV DUH LPSRUWDQW UHDVRQV 

IRU WKH KLJKO\ VNLOOHG *HUPDQ FRPSDUHG WR 86 ILUPV SXW PRUH ZHLJKW RQ ODERU XQLRQ 

FRQWUDFWV DQG VSHFLILF KXPDQ FDSLWDO H[SODQDWLRQV 

.DPLO *DOXVFDN 

&]HFK 1DWLRQDO %DQN 

&R $XWKRUV ' 0XQLFK 

0,&52)281'$7,216 2) 7+( :$*( ,1)/$7,21 ,1 7+( &=(&+

5(38%/,& 

.H\ZRUGV SDQHO GDWD SDUWLDO DGMXVWPHQW PRGHO 3KLOOLSV FXUYH XQHPSOR\PHQW DQG ZDJH 

FXUYH 

-(/ &ODVVLILFDWLRQ & ( - DQG - 

8VLQJ WKH DYHUDJH PRQWKO\ HDUQLQJV DQG UHJLVWHUHG XQHPSOR\PHQW UDWHV LQ &]HFK GLVWULFWV 

LQ ZH HVWLPDWH WKH XQHPSOR\PHQW HODVWLFLW\ RI ZDJHV 7KH HODVWLFLW\ LV FORVH WR 

HVWLPDWHV UHSRUWHG LQ WKH OLWHUDWXUH IRU RWKHU FRXQWULHV 2Q WKH RWKHU KDQG WKH ZDJH FXUYH 

GRHV QRW H[LVW RU LV ZHDN LQ GLVWULFWV ZLWK PRUH ORQJ WHUP XQHPSOR\HG DQG ZLWK KLJK 

XQHPSOR\PHQW OHDGLQJ WR WKH ELDV LQ HVWLPDWHV ZKHQ DOO GLVWULFWV DUH LQFOXGHG LQ WKH 

VDPSOH (VWLPDWHV RI WKH DJJUHJDWHG 3KLOOLSV FXUYH LQGLFDWH WKDW WKH DYHUDJH 

XQHPSOR\PHQW UDWH FDOFXODWHG IRU SDUWLFXODU JURXSV RI GLVWULFWV H[SODLQV WKH ZDJH 

G\QDPLFV EHWWHU WKDQ WKH RYHUDOO XQHPSOR\PHQW UDWH 

$UG GHQ 5HLMHU 

'H 1HGHUODQGVFKH %DQN 

&R $XWKRUV 0 3HHWHUV 

21 :$*( )250$7,21 :$*( '(9(/230(17 $1' 

81(03/2

.H\ZRUGV *62(3 +LVWRJUDP /RFDWLRQ $SSURDFK DQG 1RPLQDO :DJH 5LJLGLW\ 

-(/ &ODVVLILFDWLRQ ( DQG - 

)XUWKHU HYLGHQFH RQ H[LVWHQFH DQG H[WHQW RI GRZQZDUG QRPLQDO ZDJH ULJLGLW\ LQ *HUPDQ\ 

LV SURYLGHG E\ DSSO\LQJ WKH KLVWRJUDP ORFDWLRQ DSSURDFK RI .DKQ WR GDWD IURP WKH *HUPDQ 

6RFLR (FRQRPLF 3DQHO *62(3 $ QXPEHU RI PRGLILFDWLRQV RI WKH KLVWRJUDP ORFDWLRQ 

DSSURDFK DUH SURSRVHG DQG XVHG LQ HVWLPDWLRQ 7KH GHJUHH RI GRZQZDUG QRPLQDO ZDJH 

ULJLGLW\ IRXQG VWURQJO\ GHSHQGV RQ WKH FRPSUHKHQVLYHQHVV RI WKH FRPSHQVDWLRQ PHDVXUHV 

DQG WKH XVH RI LQIRUPDWLRQ RQ KRXUV ZRUNHG 7KH UHVXOWV WR VRPH GHJUHH H[SODLQ WKH PL[HG 

UHVXOWV LQ WKH OLWHUDWXUH RQ GRZQZDUG QRPLQDO ZDJH ULJLGLW\ LQ JHQHUDO DQG RQ GRZQZDUG 

QRPLQDO ZDJH ULJLGLW\ LQ *HUPDQ\ VSHFLILFDOO\ 

0(5*(56 $1' &203(7,7,21 ,9$/', 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

2UJDQL]HU 0 ,YDOGL 

3LD :HLVV 

&KHPQLW] 8QLYHUVLW\ RI 7HFKQRORJ\ 

$'237,21 2) 352'8&7 $1' 352&(66 ,1129$7,216 ,1 

',))(5(17,$7(' 0$5.(76 7+( ,03$&7 2) &203(7,7,21 

$XJ 

5RRP 3 

.H\ZRUGV %HUWUDQG FRPSHWLWLRQ &RXUQRW FRPSHWLWLRQ GLIIHUHQWLDWHG SURGXFWV SURFHVV 

LQQRYDWLRQ DQG SURGXFW LQQRYDWLRQ 


7KH SDSHU H[DPLQHV WKH HIIHFWV RI WKH GHJUHH RI FRPSHWLWLRQ RQ WKH ILUPV 

GHFLVLRQ WR LQQRYDWH LQ GLIIHUHQWLDWHG PDUNHWV :H ILQG WKDW D ORZ KLJK 

GHJUHH RI SURGXFW GLIIHUHQWLDWLRQ FRPSHWLWLRQ ZHDNO\ VXSSRUWV WKH LQWURGXFWLRQ 

RI QHZ SURGXFWV )LUPV ZHDNO\ IDYRXU D SURFHVV LQQRYDWLRQ LI WKH 

GHJUHH RI SURGXFW GLIIHUHQWLDWLRQ FRPSHWLWLRQ LV KLJK ORZ ,Q DGGLWLRQ 

DVVXPSWLRQV RQ WKH VWUDWHJLF FRPSOHPHQWDULW\ RI SURGXFW DQG SURFHVV LQQRYDWLRQV 

DQG RQ WKH GHFUHDVLQJ UHWXUQV RI D SURGXFW LQQRYDWLRQ DUH IRXQG WR 

EH WKH FULWLFDO DVVXPSWLRQV LQ WKH VHQVH RI 0LOJURP DQG 5REHUWV 

PDUF UREHUW 

/$0(7$ /DERUDWRLUH 0RQWSHOOLpUDLQ G 

7+( &203(7,7,9( $1' :(/)$5( ())(&76 2) 7+,5' '(*5(( 

35,&( ',6&5,0,1$7,21 ,1 6

PDUNHWV ZKHUH D ILQDO JRRG FRQVLVWV RI D KDUGZDUH JRRG DQG FRPSOHPHQWDU\ VRIWZDUH 

7KH WUDGLWLRQDO H[SODQDWLRQ RI SULFH GLVFULPLQDWLRQ LV WKDW LW FDQ LQFUHDVH WKH DELOLW\ RI WKH 

XSVWUHDP ILUPV WR IRUHFORVH LQSXW RI FRPSHWLQJ GRZQVWUHDP ILUPV 7KXV WKH FRPSHWLWLRQ 

IDOOV LQ WKH GRZQVWUHDP PDUNHW ,Q FRQWUDVW LQ WKLV ZRUN ZH VKRZ WKDW WKLV SULFLQJ SROLF\ 

PD\ VHUYH DV D FRPPLWPHQW PHFKDQLVP WR SUHYHQW IRUHFORVXUH ,W LV VKRZQ WKDW 

GLVFULPLQDWLRQ PD\ UHPRYH WKH LQFHQWLYH IRU DQWLFRPSHWLWLYH FXVWRPHU IRUHFORVXUH WKDW 

DULVHV IURP YHUWLFDO PHUJHUV RI D KDUGZDUH DQG VRIWZDUH ILUP 

(&2120(75,& ,148,5(6 21 0$&52 

5(/(9$17 48(67,216 5,26 58// 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

2UJDQL]HU - 5LRV 5XOO 

5HQDWDV .L]\V 


$XJ 

5RRP 3 

,19(67,*$7,1* /,1.$*(6 %(7:((1 ),1$1&,$/ 0$5.(76 $1' 

5($/ (&2120,& $&7,9,7< 

.H\ZRUGV )LQDQFLDO 0DUNHWV ,QGXVWULDO 3URGXFWLRQ DQG 7LPH 6HULHV (FRQRPHWULFV 

-(/ &ODVVLILFDWLRQ ( ( ) DQG * 

,Q WKLV SDSHU ZH IROORZ WKH PHWKRGRORJ\ RI &DPSEHOO DQG 6KLOOHU WR K\SRWKHVL]H WKH 

ORQJ UXQ HTXLOLEULXP UHODWLRQVKLSV EHWZHHQ WKH ILQDQFLDO DQG LQGXVWULDO SURGXFWLRQ LQGLFHV 

&RLQWHJUDWLRQ WHVWV LQGLFDWH H[LVWHQFH RI WKH ORQJ UXQ HTXLOLEULXP LQ WKH VHFWRUV 7KH 

HVWLPDWLRQ VKRZV WKH VWURQJHVW UHODWLRQVKLS EHWZHHQ ILQDQFLDO DQG UHDO UHWXUQ LQ HQHUJ\ 

VHFWRU ZKLOH WKH ILQDQFLDO UHWXUQ YRODWLOLW\ FDQ EH SUHGLFWHG IURP WKH UHDO UHWXUQV LQ RI 

VHFWRUV 5HDO UHWXUQ FRPRYHPHQW DQDO\VLV HPSKDVL]HV YHUWLFDO UHODWLRQVKLS DPRQJ 

LQGXVWULHV /DVWO\ WKH FURVV VHFWLRQDO DQDO\VLV HYLGHQFHV ZHDN UHDO DFWLYLW\ HIIHFWV RQ WKH 

ILQDQFLDO UHWXUQV FRQGLWLRQDO YDULDQFH EXW VOLJKWO\ VWURQJHU HIIHFW RQ WKH FRQGLWLRQDO PHDQ 

9ODGLPLU .RX]LQH 

5HVHDUFK $VVLVWDQW 

&R $XWKRUV 8 )ULWVFKH 

'2 /($',1* ,1',&$7256 +(/3 72 35(',&7 %86,1(66 &

&KULVWLDQ 6FKXPDFKHU 

'HXWVFKH %XQGHVEDQN 

&R $XWKRUV & 'UHJHU 

(67,0$7,1* /$5*( 6&$/( )$&725 02'(/6 )25 (&2120,& 

$&7,9,7< ,1 *(50$1< 

.H\ZRUGV )DFWRU PRGHOV )RUHFDVWLQJ DFFXUDF\ DQG 3ULQFLSDO FRPSRQHQWV 


,Q WKH UHFHQW OLWHUDWXUH SULQFLSDO FRPSRQHQW IDFWRU PRGHOV EDVHG RQ ODUJH VFDOH GDWD VHWV 

DUH SURSRVHG DV SRZHUIXO WRROV IRU EXVLQHVV F\FOH DQDO\VLV 7KLV SDSHU GLVFXVVHV WKH 

IDFWRU PRGHOV DFFRUGLQJ WR %DL 1J 'HWHUPLQLQJ WKH 1XPEHU RI )DFWRUV LQ $SSUR[LPDWH 

)DFWRU 0RGHOV (FRQRPHWULFD SS DQG 6WRFN :DWVRQ 0DFURHFRQRPLF 

)RUHFDVWLQJ 8VLQJ 'LIIXVLRQ ,QGH[HV -RXUQDO RI %XVLQHVV (FRQRPLF 6WDWLVWLFV 

SS LQ WKH FRQWH[W RI DQ DSSOLFDWLRQ IRU WKH *HUPDQ HFRQRP\ 7R HYDOXDWH WKH 

HPSLULFDO SURSHUWLHV WKH PRGHOV DUH FRPSDUHG ZLWK DOWHUQDWLYH XQLYDULDWH DQG PXOWLYDULDWH 

PRGHOV )RUHFDVW HYDOXDWLRQ WHVWV VKRZ WKDW WKH ODUJH VFDOH IDFWRU PRGHO DOPRVW DOZD\V 

HQFRPSDVVHV LWV ULYDOV 2XW RI VDPSOH IRUHFDVWV RI WKH ODUJH VFDOH IDFWRU PRGHO KDYH 

VPDOOHU SUHGLFWLRQ HUURUV +RZHYHU WKHVH DGYDQWDJHV DUH RIWHQ QRW VWDWLVWLFDOO\ VLJQLILFDQW 

DFFRUGLQJ WR WHVWV IRU HTXDO IRUHFDVW DFFXUDF\ +HQFH WKH HIIFLHQF\ JDLQV RI XVLQJ WKHVH 

IDFWRU PRGHOV VHHP WR EH OLPLWHG 

&5(',7 0$5.(7 ,03(5)(&7,216 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

/XNDV 0HQNKRII 

8QLYHUVLW\ RI +DQQRYHU 

&R $XWKRUV & 6XZDQDSRUQ 

7+( 5$7,21$/( 2) %$1. /(1',1* ,1 35( &5,6,6 7+$,/$1' 

$XJ 

5RRP 3 

.H\ZRUGV EDQN OHQGLQJ HPHUJLQJ HFRQRPLHV ILQDQFLDO FULVHV UHODWLRQVKLS OHQGLQJ DQG 

7KDLODQG 

-(/ &ODVVLILFDWLRQ * DQG 2 

$ GDWD VHW RI FUHGLW ILOHV IURP 7KDL FRPPHUFLDO EDQNV LV FRPSLOHG 7KH ORDQV JUDQWHG 

EHWZHHQ DQG IROORZ D SDWWHUQ NQRZQ IURP PDWXUH PDUNHWV DV D VLPLODU VHW RI 

YDULDEOHV H[SODLQV PXFK RI WKH YDULDQFH LQ LQWHUHVW UDWH VSUHDG $ VHF RQG ILQGLQJ LV WKH 

H[SHFWHG KLJKHU LPSRUWDQFH RI UHODWLRQVKLS EDQNLQJ 7KLUG ULVN LV FRQWUROOHG YLD FUHGLW 

DYDLODELOLW\ DQG QRW YLD SULFLQJ )RXUWK WKH H[ SRVW LQIRUPDWLRQ DERXW ULVNLQHVV UHYHDOV WKDW 

EDQNV FRXOG KDYH PDGH EHWWHU XVH RI DYDLODEOH LQIRUPD WLRQ 2YHUDOO WKH SUREOHP ZDV QRW 

H[FHVVLYH OHQGLQJ WR ILUPV ZLWK ZKLFK WKH OHQGHUV KDG FORVH UHODWLRQVKLSV EXW UDWKHU RQH RI 

IXOO\ UHFRJQLVLQJ WKH ULVN IDFWRUV

(;3(5,0(17$/ (9,'(1&( 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

3DYOR %ODYDWVN\\ 

&(5*( (, 

&217(17 '(3(1'(17 35()(5(1&(6 ,1 &+2,&( 81'(5 5,6. 

+(85,67,& 2) 5(/$7,9( 352%$%,/,7< &203$5,6216 

.H\ZRUGV &RQWHQW GHSHQGHQW LQWUDQVLWLYH DQG SUHIHUHQFH UHYHUVDO 


$XJ 

5RRP 3 

7KHRU\ RI FRQWHQW GHSHQGHQW SUHIHUHQFHV H[SODLQV LQGLYLGXDO FKRLFH GHFLVLRQV E\ 

XQGHUO\LQJ UHODWLYH SUHIHUHQFH UHODWLRQ 3UHIHUHQFHV DUH UHODWLYH ZKHQ LQGLYLGXDO 

SUHIHUHQFH EHWZHHQ WZR SDUWLFXODU FKRLFH RSWLRQV GHSHQGV RQ RWKHU DYDLODEOH DOWHUQDWLYHV 

FRQWHQW RI WKH FKRLFH VHW ,Q FKRLFH VLWXDWLRQV XQGHU ULVN UHODWLYH SUHIHUHQFHV FDQ HPHUJH 

ZKHQ LQGLYLGXDO PDNHV GHFLVLRQV DFFRUGLQJO\ WR WKH KHXULVWLF RI UHODWLYH SUREDELOLW\ 

FRPSDULVRQV 7KLV KHXULVWLF DVVXPHV WKDW LQGLYLGXDOV SUHIHU WKH ORWWHU\ ZKLFK LV PRVW 

SUREDEOH WR EULQJ WKHP WR KLJKHU XWLOLW\ OHYHO WKDQ DQ\ RWKHU DYDLODEOH JDPEOH 7KH REWDLQHG 

H[SHULPHQWDO UHVXOWV GHPRQVWUDWH WKDW LQ VSHFLDOO\ GHVLJQHG FKRLFH VLWXDWLRQV WKH PDMRULW\ 

RI VXEMHFWV XVH KHXULVWLF RI UHODWLYH SUREDELOLW\ FRPSDULVRQV 3UHGLFWLRQV RI WKH WKHRU\ RI 

FRQWHQW GHSHQGHQW SUHIHUHQFHV VXFK DV WKH H[LVWHQFH RI UDWLRQDO LQWUDQVLWLYH SUHIHUHQFHV 

SUHIHUHQFH UHYHUVDO DQG YLRODWLRQ RI :$53 DUH DOVR FRQILUPHG H[SHULPHQWDOO\ 

(GZLQ /HXYHQ 


&R $XWKRUV + 2RVWHUEHHN DQG % 9DQ GHU .ODDXZ 

7+( ())(&76 2) ),1$1&,$/ 5(:$5'6 21 678'(176 

$&+,(9(0(17 (9,'(1&( )520 $ 5$1'20,=(' (;3(5,0(17 

.H\ZRUGV ILQDQFLDO LQFHQWLYHV UDQGRPL]HG H[SHULPHQW DQG VWXGHQW DFKLHYHPHQW 


7KLV SDSHU UHSRUWV DERXW D UDQGRPL]HG ILHOG H[SHULPHQW LQ ZKLFK HFRQRPLFV DQG EXVLQHVV 

IUHVKPHQ DW WKH 8QLYHUVLW\ RI $PVWHUGDP FRXOG HDUQ ILQDQFLDO UHZDUGV ZKHQ SDVVLQJ WKHLU 

ILUVW \HDU UHTXLUHPHQWV LQ WLPH %HIRUH WUHDWPHQW DVVLJQPHQW VWXGHQWV H[SHFWHG WKDW WKH 

SRVVLELOLW\ WR HDUQ D UHZDUG ZRXOG LQFUHDVH WKHLU SDVVLQJ UDWH $IWHU WKH H[SHULPHQW WUHDWHG 

VWXGHQWV LQGLFDWHG WKDW WKH UHZDUG LQFUHDVHG WKHLU VWXG\ HIIRUW &RQWUDU\ WR ERWK WKHLU 

H[SHFWDWLRQV DQG SHUFHSWLRQV WKH H[SHULPHQW V UHVXOWV VKRZ QR GLIIHUHQFH LQ HIIRUW RU 

DFKLHYHPHQW EHWZHHQ VWXGHQWV LQ WKH GLIIHUHQW WUHDWPHQW JURXSV 

*HUW * :DJQHU 

',: %HUOLQ

&R $XWKRUV ( )HKU 6 -XHUJHQ DQG ) 8UV 

$ 1$7,21 :,'( /$%25$725< (;$0,1,1* 75867 $1' 

75867:257+,1(66 %< ,17(*5$7,1* %(+$9,25$/ (;3(5,0(176 

,172 5(35(6(17$7,9( 6859(

7+( 32/,7,&$/ (&2120< 2) +286,1* 7$;$7,21 

.H\ZRUGV KRXVLQJ WD[DWLRQ LPSXWHG UHQW SROLWLFDO HFRQRP\ DQG ZHDOWK GLVWULEXWLRQ 

-(/ &ODVVLILFDWLRQ ( DQG + 

:KLOH WKH 86 WD[ V\VWHP WD[HV FDSLWDO LQFRPH IURP EXVLQHVV FDSLWDO DW D UHODWLYHO\ KLJK 

UDWH PRVW RI WKH UHVLGHQWLDO KRXVLQJ FDSLWDO JRHV FRPSOHWHO\ XQWD[HG ,Q WKLV SDSHU ZH 

DWWHPSW WR SURYLGH D SROLWLFDO HFRQRP\ H[SODQDWLRQ IRU WKLV IHDWXUH RI WKH WD[ FRGH :H 

EXLOG D G\QDPLF JHQHUDO HTXLOLEULXP PRGHO ZKHUH DJHQWV YRWH RYHU WKH VWUXFWXUH RI FDSLWDO 

LQFRPH WD[DWLRQ ,Q HDFK SHULRG WKH FKRVHQ WD[ UDWHV FRUUHVSRQG WR WKRVH PRVW SUHIHUUHG 

E\ WKH PHGLDQ YRWHU 7KH PRGHO LV FDOLEUDWHG WR PDWFK FHUWDLQ NH\ GLVWULEXWLRQDO IHDWXUHV LQ 

WKH 3DQHO 6WXG\ RI ,QFRPH '\QDPLFV 

62&,$/ &$3,7$/ 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

2UJDQL]HU 3 )UDQFRLV 

6MRHUG %HXJHOVGLMN 


&R $XWKRUV 6 6PXOGHUV 

$XJ 

5RRP 3 

%5,'*,1* $1' %21',1* 62&,$/ &$3,7$/ :+,&+ 7

RI LWV FRUUHODWLRQ ZLWK JRYHUQPHQW SHUIRUPDQFH ZH EXLOG D WKHRUHWLFDO IUDPHZRUN ZLWK 

ZKLFK WR VWXG\ WKH LQWHUDFWLRQV EHWZHHQ VRFLDO FDSLWDO DQG JRYHUQPHQW 7KLV SDSHU 

SUHVHQWV D PRGHO RI KRPRJHQHRXV DJHQWV LQ DQ RYHUODSSLQJ JHQHUDWLRQV IUDPHZRUN 

LQFRUSRUDWLQJ VRFLDO FDSLWDO WKDW LV WUDQVPLWWHG IURP SDUHQW WR FKLOG 7KH JRYHUQPHQW V UROH 

LV WR SURYLGH SXEOLF JRRGV )LUVW JRYHUQPHQW H[SHQGLWXUH LV H[RJHQRXVO\ JLYHQ 7KHQ LW 

ZLOO EH FKRVHQ DW WKH SUHIHUUHG OHYHO RI WKH UHSUHVHQWDWLYH DJHQW )RU ERWK VHWXSV WKH 

HTXLOLEULXP RXWFRPHV DUH FKDUDFWHUL]HG DQG WKH UHVXOWLQJ G\QDPLFV VWXGLHG %ULHIO\ ZH 

LQFOXGH DQ DQDO\VLV RI WKH HIIHFW RI SURGXFWLYLW\ JURZWK RQ WKH HYROXWLRQ RI VRFLDO FDSLWDO 

+nNDQ +ROP 

/XQG 8QLYHUVLW\ 

7523,& 75867 9(5686 125',& 75867 (;3(5,0(17$/ 

(9,'(1&( )520 7$1=$1,$ $1' 6:('(1 

.H\ZRUGV DOWUXLVP H[SHULPHQWV VRFLDO FDSLWDO WUXVW DQG WUXVW JDPH 


8QGHUJUDGXDWHV LQ 7DQ]DQLD DQG 6ZHGHQ SDUWLFLSDWHG LQ RQH 7UXVW JDPH RQH 'LFWDWRU 

JDPH DQG DQVZHUHG D VWDQGDUG VHW RI VXUYH\ TXHVWLRQV UHODWLQJ WR WUXVW ,Q ERWK FRXQWULHV 

ZH GHWHFWHG D VWURQJ DQG VLJQLILFDQW UHODWLRQ EHWZHHQ 'LFWDWRU GRQDWLRQV DQG SURSRUWLRQV 

UHWXUQHG LQ 7UXVW JDPHV ZKLFK LQGLFDWHV WKDW XQFRQGLWLRQDO GLVWULEXWLRQ SUHIHUHQFHV PDWWHU 

LQ 7UXVW JDPH EHKDYLRXU )XUWKHUPRUH LQ 6ZHGHQ HYDOXDWLRQV RI XQUHYHDOHG 'LFWDWRU 

GRQDWLRQV VLJQLILFDQWO\ SUHGLFWHG WKH DPRXQW VHQW LQ 7UXVW JDPHV 7KH SUHGLFWLYH SRZHU RI 

VXUYH\ WUXVW TXHVWLRQV GLIIHUHG EHWZHHQ FRXQWULHV LQ 6ZHGHQ EXW QRW LQ 7DQ]DQLD D 

SODXVLEOH UHODWLRQ EHWZHHQ VXUYH\ WUXVW DQG WUXVW EHKDYLRXU ZDV IRXQG 

&KULVWLDQ 7K|QL 


&R $XWKRUV 6 *lFKWHU DQG % +HUUPDQQ 

81'(567$1',1* '(7(50,1$176 2) 62&,$/ &$3,7$/ 75867 

&223(5$7,21 $1' ,1)250$/ 6$1&7,216 ,1 $ &5266 

62&,(7$/ 3(563(&7,9( 

.H\ZRUGV &RQGLWLRQDO &RRSHUDWLRQ )UHH 5LGLQJ 3XQLVKPHQW 6RFLDO &DSLWDO 6RFLDO 

1RUPV DQG 7UXVW 

-(/ &ODVVLILFDWLRQ & & ' DQG + 

7ZR HFRQRPLFDOO\ LPSRUWDQW HOHPHQWV RI VRFLDO FDSLWDO DUH WUXVW DQG GLVFLSOLQLQJ IUHH ULGHUV 

0RVW RI FXUUHQW UHVHDUFK IRFXVHV RQ WUXVW :H DUJXH WKDW UHVHDUFK VKRXOG VKLIW IRFXV 

WRZDUG LQIRUPDO VDQFWLRQV :H SUHVHQW WZR H[SHULPHQWDO VWXGLHV IURP 6ZLW]HUODQG 

%\HORUXVVLD DQG 5XVVLD WR VXSSRUW WKLV DUJXPHQW 2XU ILUVW VWXG\ HOLFLWV WUXVW DQG 

FRRSHUDWLYH SUHIHUHQFHV LQ D SXEOLF JRRGV JDPH DQG ILQGV DOPRVW QR GLIIHUHQFHV 2XU 

VHFRQG VWXG\ LV D SXEOLF JRRGV H[SHULPHQW ZLWK DQG ZLWKRXW SXQLVKPHQW +HUH ZH GHWHFW 

QR GLIIHUHQFHV LQ WKH JDPH ZLWKRXW SXQLVKPHQW DQG VWURQJ GLIIHUHQFHV LQ WKH SUHVHQFH RI 

SXQLVKPHQW 2XU UHVXOWV FRQWULEXWH WR WKH FXUUHQW VRFLDO FDSLWDO GHEDWH

3DWULFN )UDQFRLV 


&R $XWKRUV - =DERMQLN 

75867 $6 62&,$/ &$3,7$/ $1' 7+( 352&(66 2) (&2120,& 

'(9(/230(17 

.H\ZRUGV &XOWXUDO (YROXWLRQ 6RFLDO &DSLWDO DQG 7HFKQRORJLFDO &KDQJH 

-(/ &ODVVLILFDWLRQ 2 2 2 DQG = 

0DQ\ DUJXH WKDW VRFLDO FDSLWDO LV FHQWUDO WR WKH SURFHVV RI HFRQRPLF GHYHORSPHQW 

+RZHYHU WKH QRWLRQ KDV EHHQ GLIILFXOW WR FDSWXUH LQ D FRKHUHQW IUDPHZRUN 7KLV SDSHU 

SRVLWV WUXVWZRUWKLQHVV DV WKH HFRQRPLFDOO\ UHOHYDQW FRPSRQHQW RI VRFLDO FDSLWDO 3HRSOH 

DUH WUXVWZRUWK\ ZKHQ WKH\ SHUIRUP DFWLRQV WKH\ KDYH SURPLVHG HYHQ ZKHQ WKHVH GR QRW 

PD[LPL]H WKHLU SD\RIIV 7KH XVXDO IRFXV RQ LQFHQWLYH VWUXFWXUHV LQ PRWLYDWLQJ EHKDYLRU 

SOD\V QR UROH KHUH ,QVWHDG ZH HPSKDVL]H PRUH GHHS VHDWHG PRGHV RI EHKDYLRU DQG 

FRQVLGHU WKDW WUXVWZRUWK\ DJHQWV DUH VRFLDOL]HG WR DFW DV WKH\ GR 7R PRGHO WKLV SURFHVV RI 

VRFLDOL]DWLRQ ZH ERUURZ IURP WKH IUDPHZRUN SLRQHHUHG E\ %LVLQ DQG 9HUGLHU 7KH 

PRGHO GHYHORSHG HQGRJHQRXVO\ DFFRXQWV IRU VRFLDO FDSLWDO DQG H[SORUHV LWV UROH LQ WKH 

SURFHVV RI HFRQRPLF GHYHORSPHQW ,W FDSWXUHV LQ D VLPSOH ZD\ WKH LQWHUDFWLRQ EHWZHHQ 

VRFLDO FDSLWDO DQG WKH HFRQRP\ V SURGXFWLYH SURFHVVHV 7KH UHVXOWV REWDLQHG FDXWLRQ 

DJDLQVW UDSLG UHIRUP SURYLGH DQ H[SODQDWLRQ IRU ZK\ ODWH GHYHORSLQJ FRXQWULHV FDQQRW 

HDVLO\ WUDQVSODQW WKH LQVWLWXWLRQV WKDW ZHUH XVHIXO LQ WKH :HVW DQG VXJJHVWV DQ H[SODQDWLRQ 

IRU WKH SDWWHUQ RI UHIRUP H[SHULHQFHV LQ H[ FRPPXQLVW FRXQWULHV 

/$%285 0$5.(76 ,,, 


&KDLUSHUVRQ % /DUVHQ 

%LUWKH /DUVHQ 

'HSDUWPHQW RI (FRQRPLFV &RSHQKDJHQ %XVLQHVV 6FKRRO 

&R $XWKRUV 7 )LOJHV 

67,&. &$5527 $1' 6.,// $&48,6,7,21 

$XJ 

5RRP ( 

.H\ZRUGV DFWLYH ODERXU PDUNHW SROLF\ VHDUFK 6NLOO $FTXLVLWLRQ DQG XQHPSOR\PHQW 


7KLV SDSHU H[DPLQHV WKH PDFURHFRQRPLF HIIHFWV RI \RXWK XQHPSOR\PHQW SURJUDPPHV 

$KLWXY $YQHU 

+HEUHZ 8QLYHUVLW\ 

&R $XWKRUV = -RVHSK 

7(&+1,&$/ 352*5(66 $1' ($5/< 5(7,5(0(17 

.H\ZRUGV (DUO\ 5HWLUHPHQW +XPDQ &DSLWDO /DERU )RUFH 3DUWLFLSDWLRQ DQG 7HFKQLFDO 

3URJUHVV 

-(/ &ODVVLILFDWLRQ - - 2 DQG 2 

7KLV SDSHU FODLPV WKDW WHFKQLFDO SURJUHVV LQGXFHV HDUO\ UHWLUHPHQW RI ROGHU ZRUNHUV $V 

SDUW RI KXPDQ FDSLWDO LV WHFKQRORJ\ VSHFLILF WHFKQLFDO SURJUHVV HURGHV VRPH H[LVWLQJ 

KXPDQ FDSLWDO 6LQFH ROGHU ZRUNHUV KDYH D VKRUWHU FDUHHU KRUL]RQ WKH\ KDYH OHVV 

LQFHQWLYH WR OHDUQ WKH QHZ WHFKQRORJ\ &RQVHTXHQWO\ WKH\ DUH PRUH OLNHO\ WR GURS IURP WKH 

ODERU IRUFH 8VLQJ +56 GDWD ZH ILQG VXSSRUW IRU WKLV HURVLRQ HIIHFW ZKHUHDV RXU UHVXOWV 

VKRZ WKDW HDUO\ UHWLUHPHQW LV SRVLWLYHO\ FRUUHODWHG WR WKH VHFWRUV UDWH RI WHFKQLFDO SURJUHVV 

-RQ 6WUDQG 

'HSDUWPHQW RI (FRQRPLFV 8QLYHUVLW\ RI 2VOR 

:$*( $1' 7(&+12/2*< ',63(56,21 :,7+ :$*( %$5*$,1,1* 

.H\ZRUGV :DJH GLVWULEXWLRQV ZDJH EDUJDLQLQJ VHTXHQWLDO VHDUFK LQYHVWPHQW FKRLFHV 

-(/ &ODVVLILFDWLRQ - 

:H VWXG\ HQGRJHQRXV ZDJH DQG SURGXFWLYLW\ GLVWULEXWLRQV ZLWK LQGLYLGXDO H[ SRVW 1DVK 

ZDJH EDUJDLQLQJ EHWZHHQ ZRUNHUV DQG ILUPV :H FRQFHQWUDWH RQ D PDWFKLQJ WHFKQRORJ\ 

ZLWK GLUHFWHG VHDUFK DQG ILUPV PDNH DW PRVW RQH RIIHU SHU MRE RSHQLQJ $ ³'LDPRQG 

HTXLOLEULXP´ ZLWK IXOO HPSOR\PHQW DOO ZRUNHUV VHDUFK RQH ILUP ZDJH DQG SURGXFWLYLW\ 

FROODSVH WR VLQJOH SRLQWV EXW ZKHUH ZRUNHUV HDUQ UHQWV DOZD\V H[LVWV ZKHQ ZRUNHUV 

EDUJDLQLQJ SRZHU LV QRW WRR KLJK $ GLVSHUVLRQ HTXLOLEULXP DOVR H[LVWV ZKHQ PDUJLQDO 

VHDUFK FRVWV IRU ZRUNHUV DUH ORZ +HUH WKH QXPEHU RI MREV LV OHVV WKDQ WKH QXPEHU RI 

ZRUNHUV VHDUFK PHVVDJHV DQG HDFK ZRUNHU PD\ VHDUFK VHYHUDO ILUPV 7KH GLVSHUVLRQ 

HTXLOLEULXP LV VWLOO W\SLFDOO\ EXW QR DOZD\V PRUH HIILFLHQW WKDQ WKH ³'LDPRQG´ HTXLOLEULXP 

,1'8675,$/ 25*$1,6$7,21 ,9 


&KDLUSHUVRQ 9 1RFNH 

*HUKDUG 2URVHO 


&R $XWKRUV . =DXQHU 

$XJ 

9(57,&$/ 352'8&7 ',))(5(17,$7,21 :+(1 48$/,7< ,6 

812%6(59$%/( 72 %8

.H\ZRUGV ([SHULHQFH *RRGV $V\PPHWULF ,QIRUPDWLRQ 3URGXFW 'LIIHUHQWLDWLRQ DQG 

3URGXFW 4XDOLW\ 


:H DQDO\]H YHUWLFDO SURGXFW GLIIHUHQWLDWLRQ LQ D PRGHO ZKHUH D JRRG V TXDOLW\ LV 

XQREVHUYDEOH WR EX\HUV EHIRUH SXUFKDVH D FRQWLQXXP RI TXDOLW\ OHYHOV LV WHFKQRORJLFDOO\ 

IHDVLEOH DQG PLQLPXP TXDOLW\ LV VXSSOLHG XQGHU FRPSHWLWLYH FRQGLWLRQV $IWHU SXUFKDVH WKH 

WUXH TXDOLW\ RI WKH JRRG LV UHYHDOHG ZLWK SRVLWLYH SUREDELOLW\ 7R SURYLGH ILUPV ZLWK 

LQFHQWLYHV WR DFWXDOO\ GHOLYHU SURPLVHG TXDOLW\ SULFHV PXVW H[FHHG PDUJLQDO FRVW :H 

GHULYH VXIILFLHQW FRQGLWLRQV IRU WKHVH LQFHQWLYH FRQVWUDLQWV WR GHWHUPLQH HTXLOLEULXP SULFHV 

DQG VKRZ WKDW XQGHU FHUWDLQ FRQGLWLRQV HLWKHU RQO\ PLQLPXP TXDOLW\ LV DYDLODEOH LQ WKH 

PDUNHW RU RQO\ WKH H[WUHPH OHYHOV RI TXDOLW\ PLQLPXP DQG PD[LPXP TXDOLW\ DUH 

DYDLODEOH 

9ODGLPLU .DUDP\FKHY 

(UDVPXV 8QLYHUFLW\ 5RWWHUGDP 7KH 1HWKHUODQGV 

:(/)$5( 3523(57,(6 2) '

VWUDWHJ\ FRQVLVWV LQ VHOOLQJ D OLPLWHG TXDQWLW\ DW D ORZ SULFH LQLWLDOO\ DQG WKHQ UDLVLQJ SULFH 

7KRVH FRQVXPHUV ZLWK KLJK YDOXDWLRQV ZKR ZHUH UDWLRQHG LQLWLDOO\ DW WKH ORZHU SULFH PD\ 

ILQG LW RSWLPDO WR EX\ WKH JRRG DW WKH KLJKHU SULFH 

:KLOH LQWURGXFWRU\ RIIHUV PD\ GRPLQDWH XQLIRUP SULFLQJ WKH\ DUH QHYHU RSWLPDO LI WKH 

PRQRSROLVW FDQ XVH ILQDO VDOHV 

),1$1&,$/ 0$5.(76 , 


&KDLUSHUVRQ 5 *RHWWOHU 

2OLYLHU 6FDLOOHW 

+(& *HQHYH DQG )$0( 

&R $XWKRUV 3 &KHQJ 

$XJ 

/,1($5 48$'5$7,& -803 ',))86,21 02'(//,1* :,7+ 

$33/,&$7,21 72 672&+$67,& 92/$7,/,7< 

5RRP ( 

.H\ZRUGV DIILQH PRGHOV MXPS GLIIXVLRQV /LQHDU TXDGUDWLF PRGHOV RSWLRQ SULFLQJ DQG 

VWRFKDVWLF YRODWLOLW\ 


:H DLP DW DFFRPPRGDWLQJ WKH H[LVWLQJ DIILQH MXPS GLIIXVLRQ DQG 

TXDGUDWLF PRGHOV XQGHU WKH VDPH URRI QDPHO\ WKH OLQHDU TXDGUDWLF 

MXPS GLIIXVLRQ /4-' FODVV :H JLYH FRPSOHWH FKDUDFWHUL]DWLRQ RI WKH 

G\QDPLFV XQGHUO\LQJ WKLV FODVV RI PRGHOV DV ZHOO DV LGHQWLILFDWLRQ 

FRQVWUDLQWV DQG FRPSXWH VWDQGDUG DQG H[WHQGHG WUDQVIRUPV UHOHYDQW WR DVVHW 

SULFLQJ :H DOVR VKRZ WKDW WKH /4-' FODVV FDQ EH HPEHGGHG LQWR WKH DIILQH 

FODVV WKURXJK XVH RI DQ DXJPHQWHG VWDWH YHFWRU :H IXUWKHU HVWDEOLVK WKDW DQ 

HTXLYDOHQFH UHODWLRQVKLS KROGV EHWZHHQ ERWK FODVVHV LQ WHUPV RI WUDQVIRUP 

DQDO\VLV $Q RSWLRQ SULFLQJ DSSOLFDWLRQ WR PXOWLIDFWRU VWRFKDVWLF YRODWLOLW\ 

PRGHOV UHYHDOV WKDW DGGLQJ QRQOLQHDULW\ DQG D MXPS FRPSRQHQW LQWR WKH PRGHO VLJQLILFDQWO\ 

UHGXFHV 

SULFLQJ HUURUV 

6WHIDQR /RYR 

+(& 6FKRRO RI 0DQDJHPHQW 

&R $XWKRUV - 'HFDPSV 

0$5.(7 ,1)250$7,21$/ ,1()),&,(1&< 5,6. $9(56,21 $1' 

48$17,7< *5,' 

.H\ZRUGV ,QIRUPDWLRQDO HIILFLHQF\ TXDQWLW\ JULG DQG VWRFN VSOLWV 

-(/ &ODVVLILFDWLRQ ' ' DQG * 

,Q WKLV SDSHU ZH VKRZ WKDW ORQJ UXQ PDUNHW LQIRUPDWLRQDO LQHIILFLHQF\ LV SHUIHFWO\ 

FRPSDWLEOH ZLWK VWDQGDUG UDWLRQDO VHTXHQWLDO WUDGH PRGHOV 2XU LQHIILFLHQF\ UHVXOW LV 

REWDLQHG WDNLQJ LQWR DFFRXQW WZR IHDWXUHV RI DFWXDO ILQDQFLDO PDUNHWV WUDGDEOH TXDQWLWLHV

EHORQJ WR D TXDQWLW\ JULG DQG WUDGHUV DQG PDUNHW PDNHUV GR QRW KDYH WKH VDPH GHJUHH RI 

ULVN DYHUVLRQ 7KH LPSOHPHQWDWLRQ RI RXU PRGHO IRU UHDVRQDEOH YDOXHV RI WKH SDUDPHWHUV 

VXJJHVWV WKDW WKH ORQJ WHUP GHYLDWLRQV EHWZHHQ DVVHW SULFHV DQG IXQGDPHQWDO YDOXH DUH 

LPSRUWDQW :H H[SODLQ WKH DPELJXRXV UROH RI WKH TXDQWLW\ JULG LQ H[DFHUEDWLQJ RU PLWLJDWLQJ 

PDUNHW LQHIILFLHQF\ :H VKRZ WKDW VWRFN VSOLWV FDQ LPSURYH WKH LQIRUPDWLRQ FRQWHQW RI WKH 

RUGHU IORZ DQG FRQVHTXHQWO\ LQFUHDVH SULFH YRODWLOLW\ 

+HFWRU ) &DOYR 3DUGR 

'HOWD &QUV (KHVV (QV 

3257)2/,2 &+2,&( :,7+ $ &255(/$7(' %$&.*5281' 5,6. 

7+(25< $1' (9,'(1&( 

.H\ZRUGV FRUUHODWHG EDFNJURXQG ULVN DQG ULVN VXEVWLWXWLRQ 

-(/ &ODVVLILFDWLRQ & ' ( DQG * 

,Q WKLV SDSHU ZH H[WHQG WKH VWDWLF SRUWIROLR FKRLFH SUREOHP ZLWK D VPDOO EDFNJURXQG ULVN WR 

WKH FDVH RI VPDOO SDUWLDOO\ FRUUHODWHG EDFNJURXQG ULVNV :H VKRZ WKDW UHVSHFWLQJ WKH 

WKHRULHV XQGHU ZKLFK ULVN VXEVWLWXWLRQ DSSHDUV H[FHSW IRU WKH LQGHSHQGHQFH RI 

EDFNJURXQG ULVN LW LV SHUIHFWO\ UDWLRQDO IRU WKH LQGLYLGXDO WR LQFUHDVH KLV RSWLPDO H[SRVXUH WR 

SRUWIROLR ULVN ZKHQ ULVNV DUH SDUWLDOO\ QHJDWLYHO\ FRUUHODWHG 7KHQ ZH WHVW HPSLULFDOO\ WKH 

K\SRWKHVLV RI ULVN VXEVWLWXWDELOLW\ XVLQJ )UHQFK KRXVHKROGV GDWD :H IRXQG WKDW 

KRXVHKROGV UHVSRQG E\ LQFUHDVLQJ WKHLU VWRFNKROGLQJV LQ UHVSRQVH WR WKH LQFUHDVH LQ IXWXUH 

HDUQLQJV XQFHUWDLQW\ 7KLV FRQFOXVLRQ LV LQ FRQWUDGLFWLRQ ZLWK UHVXOWV REWDLQHG LQ RWKHU 

FRXQWULHV 

6R LQ OLJKW RI WKHVH UHVXOWV RXU PRGHO SURYLGHV DQ H[SODQDWLRQ WR DFFRXQW IRU WKH ODFN RI 

HPSLULFDO FRQVHQVXV RQ FURVV FRXQWU\ WHVWV RI ULVN VXEVWLWXWLRQ WKHRU\ WKDW HQFRPSDVVHV 

DQG FULWLFLVHV DOO RI WKHP 

32/,7,&$/ (&2120< ,,, 


&KDLUSHUVRQ 1 3RUWHLUR 

*XLGR )ULHEHO 

(+(66 ,'(, 7RXORXVH 

&R $XWKRUV ( %HUJORI DQG 0 %XUNDUW 

5()250 81'(5 81$1,0,7< 

$XJ 

5RRP ( 

.H\ZRUGV (QGRJHQRXV FRQVWLWXWLRQV *RYHUQDQFH 0DMRULW\ UXOH DQG 2UJDQL]DWLRQV 

-(/ &ODVVLILFDWLRQ * + DQG + 

,Q PDQ\ RUJDQL]DWLRQV OLNH WKH (8 GHFLVLRQV DUH WDNHQ E\ XQDQLPLW\ JLYLQJ HDFK PHPEHU 

YHWR ULJKWV :H DQDO\]H D PRGHO LQ ZKLFK PHPEHUV ZLWK KHWHURJHQRXV SURGXFWLYLW\ MRLQWO\ 

SURGXFH D SXEOLF JRRG ZLWK D /HRQWLHII WHFKQRORJ\ 8QGHU XQDQLPLW\ WKH OHDVW HIILFLHQW 

PHPEHUV LPSRVH WKHLU SUHIHUHG HIIRUW FKRLFH RQ WKH HQWLUH RUJDQL]DWLRQ +HUH WKH WKUHDW RI 

IRUPLQJ DQ LQQHU RUJDQL]DWLRQ FDQ XQGHUPLQH YHWR SRZHU DQG SXVK OHVV HIILFLHQW 

PHPEHUV WR H[HUW PRUH HIIRUW 7KLV WKUHDW FDQ KRZHYHU RQO\ EH DQ HIIHFWLYH UHIRUP 

PHFKDQLVP LI WKHUH DUH H[WHUQDOLWLHV DQG DQ LQFRPSOHWH FKDUWHU :H LGHQWLI\ WKH FRQGLWLRQV

XQGHU ZKLFK WKH WKUHDW RI IRUPLQJ DQ LQQHU RUJDQL]DWLRQ LV QHYHU H[HFXWHG DQG XQGHU 

ZKLFK LQQHU RUJDQL]DWLRQV DUH HTXLOLEULXP RXWFRPHV )LQDOO\ ZH VKRZ WKDW H[ DQWH DOO 

PHPEHUV PD\ XQDQLPRXVO\ DJUHH WR DGRSW WKH VLPSOH PDMRULW\ UXOH WKHUHE\ SURYLGLQJ D 

UDWLRQDOH IRU WKH HPHUJHQFH RI PDMRULW\ UXOH 

-DHMRRQ :RR 

'H3DXO 8QLYHUVLW\ 

62&,$/ 32/$5,=$7,21 ),6&$/ ,167$%,/,7,(6 $1' *52:7+ 

.H\ZRUGV ILVFDO GHILFLW ILVFDO YRODWLOLW\ JURZWK DQG SRODUL]DWLRQ 

-(/ &ODVVLILFDWLRQ ( + + DQG 2 

:H DQDO\]H WKH WKHRUHWLFDO OLQNDJH EHWZHHQ VRFLDO SRODUL]DWLRQ DQG PDFURHFRQRPLF 

SUREOHPV VXFK DV ILVFDO LQVWDELOLWLHV DQG SRRU HFRQRPLF JURZWK :H VKRZ WKDW ZKHQ WKHUH 

LV SUHIHUHQFH SRODUL]DWLRQ RYHU WKH GHVLUDEOH FRPSRVLWLRQ RI JRYHUQPHQW VSHQGLQJ DQ 

HQGRJHQRXV ILVFDO GHILFLW RFFXUV DQG WKH ILVFDO SDWK EHFRPHV YRODWLOH 0RUHRYHU WKH 

KLJKHU WKH GHJUHH RI SRODUL]DWLRQ WKH ODUJHU WKH ILVFDO GHILFLW DQG WKH PRUH YRODWLOH WKH ILVFDO 

SDWK 7KH SRODUL]DWLRQ LV KDUPIXO WR WKH HFRQRP\ VLQFH LW OHDGV WR D SHUPDQHQWO\ ORZHU 

OHYHO RI RXWSXW DQG VORZV JURZWK DORQJ WKH WUDQVLWLRQ SDWK WR D QHZ VWHDG\ VWDWH 7KH 

LPSDWLHQFH RI SROLF\PDNHUV GXH WR XQFHUWDLQW\ RYHU WKHLU UH DSSRLQWPHQW KDV VLPLODU 

HIIHFWV 

1LFROiV 3RUWHLUR 

&25( 8QLYHUVLWp &DWKROLTXH GH /RXYDLQ 

&R $XWKRUV 0 'DKP 

7+( 32/,7,&$/ (&2120< 2) ,17(5(67 *52836 35(6685( $1' 

,1)250$7,21 

.H\ZRUGV LQIOXHQFH OREE\LQJ DQG SROLWLFDO GHFLVLRQPDNLQJ 


:H H[DPLQH WKH LQFHQWLYHV RI DQ LQWHUHVW JURXS WR SURYLGH D SROLWLFDO GHFLVLRQ PDNHU ZLWK 

SROLF\ UHOHYDQW LQIRUPDWLRQ DQG WR H[HUW SUHVVXUH RQ KHU %RWK DFWLYLWLHV DUH FRVWO\ EXW PD\ 

LQGXFH WKH OREE\ V SUHIHUUHG SROLF\ 2XU SDSHU SURYLGHV DQ LQWHJUDWHG DQDO\VLV RI ERWK 

OREE\LQJ DFWLYLWLHV DQG OHDGV WR LQWHUHVWLQJ LQVLJKWV LQWR WKH EHKDYLRU RI WKH LQWHUHVW JURXS 

2XU PDLQ UHVXOWV VD\ WKDW WKH UHODWLRQVKLS EHWZHHQ WKH SUHVVXUH H[HUWHG DQG WKH 

DPRXQW RI LQIRUPDWLRQ WUDQVPLWWHG LV QRW PRQRWRQLF DQG WKDW DQ LQFUHDVH LQ WKH DPRXQW RI 

LQIRUPDWLRQ WKDW WKH OREE\ WUDQVPLWV PD\ EH VRFLDOO\ KDUPIXO 7KLV DQDO\VLV KDV LPPHGLDWH 

LPSOLFDWLRQV IRU WKH FXUUHQW GLVFXVVLRQV LQ WKH 8QLWHG 6WDWHV DQG (XURSH FRQFHUQLQJ WKH 

UHIRUP RI WKHLU UHVSHFWLYH UXOHV RI SDUW\ DQG FDQGLGDWH ILQDQFLQJ 

$8&7,216 ,9 


&KDLUSHUVRQ : %HFNHUW 

$XJ 

5RRP (

0LFKDO %UHVN\ 

&(5*( 

7+( ()),&,(17 237,0$/ 5(6(59$7,21 35,&( ,1 08/7,3/( 81,7 

$8&7,216 

.H\ZRUGV GLVFULPLQDWRU\ DQG XQLIRUP SULFH LQGHSHQGHQW SULYDWH YDOXH DXFWLRQ ZLWK 

UHVHUYDWLRQ SULFH PDUNHW HIILFLHQF\ PXOWLSOH REMHFW DXFWLRQ PXOWL XQLW DXFWLRQ DQG RSWLPDO 

VHOOLQJ PHFKDQLVP 


7KLV SDSHU VKRZV WKDW LQ D SULYDWH YDOXH PXOWL XQLW XQLIRUP SULFH DXFWLRQ WKH UHVHUYDWLRQ 

SULFH LQFUHDVHV ERWK WKH HIILFLHQF\ DQG UHYHQXH ,Q HTXLOLEULXP WKH GLIIHUHQFH EHWZHHQ WKH 

WUXH YDOXH RI D XQLW DQG WKH VXEPLWWHG ELG LV GLIIHUHQW IRU HDFK XQLW WKHUHIRUH WKH VHOOHU 

FDQQRW DOORFDWH XQLWV HIILFLHQWO\ :KHQ WKH VHOOHU LQFUHDVHV WKH UHVHUYDWLRQ SULFH WKH 

ELGGHUV LQFUHDVH WKHLU ELGV RQ WKH XQLWV ZLWK D ODUJHU GLIIHUHQFH EHWZHHQ WKH YDOXH DQG ELG 

PRUH 6RPH ELGGHUV ZLWK D ORZ YDOXH GR QRW SDUWLFLSDWH LQ WKH DXFWLRQ 7KHUHIRUH WKH XQLWV 

DUH DOORFDWHG DPRQJ WKRVH ZLWK KLJK LQLWLDO DQG VXEVHTXHQW YDOXHV WKDW LV HIILFLHQW )RU D 

ORZ UDQJH RI UHVHUYDWLRQ SULFHV LV WKH KLJKHU WKH UHVHUYDWLRQ SULFH WKH KLJKHU WKH H[SHFWHG 

HIILFLHQF\ DQG UHYHQXH 

)UDQFLVFR $OYDUH] 

8QLYHUVLGDG &RPSOXWHQVH 

&R $XWKRUV & 0D]RQ 

75($685< $8&7,216 7+( 63$1,6+ )250$7 

.H\ZRUGV $XFWLRQV 0XOWL XQLW DXFWLRQV 6SDQLVK DXFWLRQ DQG 7UHDVXU\ DXFWLRQV 


7KH 6SDQLVK 7UHDVXU\ XVHV D K\EULG RI GLVFULPLQDWRU\ DQG XQLIRUP SULFH DXFWLRQV WR VHOO 

JRYHUQPHQW GHEW 6LPXODWLRQV VKRZ WKDW H[SHFWHG VHOOHU V UHYHQXH LV KLJKHU LQ WKH 

6SDQLVK WKDQ LQ WKH GLVFULPLQDWRU\ DXFWLRQ LQ D QXPEHU RI FDVHV 

:DOWHU %HFNHUW 

8QLYHUVLW\ RI )ORULGD 

'

LQYDOLG DQG RSWLPDO VHTXHQWLDO DXFWLRQV FDQ EH GRPLQDWHG 7KLV SURYLGHV RQH H[SODQDWLRQ 

ZK\ VRPH JRRGV DUH W\SLFDOO\ VROG YLD GHDOV ZKLOH RWKHUV DUH VROG LQ DXFWLRQV $Q 

DV\PSWRWLF UHYHQXH HTXLYDOHQFH UHVXOW UHFRQFLOHV WKH WZR PHFKDQLVPV IRU ODUJH WLPH 

KRUL]RQV 

(92/87,21 $1' /($51,1* ,9 


&KDLUSHUVRQ - 7XLQVWUD 

-DQ 7XLQVWUD 

&H1'() 8QLYHUVLW\ RI $PVWHUGDP 

&R $XWKRUV ) :DJHQHU 

21 /($51,1* (48,/,%5,$ 

$XJ 

5RRP ) 

.H\ZRUGV HQGRJHQRXV EXVLQHVV F\FOHV HYROXWLRQDU\ G\QDPLFV OHDUQLQJ DQG RYHUODSSLQJ 

JHQHUDWLRQV 

-(/ &ODVVLILFDWLRQ ' ' ' ( DQG ( 

:H LQYHVWLJDWH DQ LQIODWLRQDU\ RYHUODSSLQJ JHQHUDWLRQV PRGHO ZKHUH KRXVHKROGV SUHGLFW 

IXWXUH LQIODWLRQ UDWHV E\ UXQQLQJ D OHDVW VTXDUHV UHJUHVVLRQ RI LQIODWLRQ UDWHV RU SULFHV RQ 

WKHLU SDVW OHYHOV :H FULWLFDOO\ H[DPLQH WKH UHVXOWV RQ OHDUQLQJ HTXLOLEULD DQG HQGRJHQRXV 

EXVLQHVV F\FOHV REWDLQHG E\ %XOODUG DQG 6FKRQKRIHU LQ WKLV IUDPHZRUN :H 

VXJJHVW DQ DOWHUQDWLYH HVWLPDWLRQ SURFHGXUH WKDW VWDUWV IURP WKH VDPH SHUFHLYHG ODZ RI 

PRWLRQ EXW LV PRUH VHQVLEOH IURP DQ HFRQRPHWULFLDQ V SRLQW RI YLHZ :H SURYH WKDW IRU WKLV 

HVWLPDWLRQ SURFHGXUH WKHUH LV JOREDO FRQYHUJHQFH RQ WKH PRQHWDU\ VWHDG\ IRU D ODUJH VHW 

RI VDYLQJV IXQFWLRQV :H DOVR VWXG\ LQ DQ KHWHURJHQHRXV DJHQWV IUDPHZRUN DQ 

HYROXWLRQDU\ FRPSHWLWLRQ EHWZHHQ WKH WZR HVWLPDWLRQ SURFHGXUHV ZKHUH WKH IUDFWLRQ RI WKH 

SRSXODWLRQ XVLQJ D FHUWDLQ HVWLPDWLRQ SURFHGXUH LV GHWHUPLQHG E\ LWV SDVW TXDGUDWLF 

IRUHFDVW HUURU 

&KULVWRSK .X]PLFV 


672&+$67,& (92/87,21$5< 67$%,/,7< ,1 *(1(5,& (;7(16,9( 

)250 *$0(6 2) 3(5)(&7 ,1)250$7,21 

.H\ZRUGV EDFNZDUG LQGXFWLRQ H[SHULPHQWDWLRQ OHDUQLQJ DQG VXEJDPH SHUIHFW 

HTXLOLEULXP 


*HQHULF H[WHQVLYH IRUP JDPHV RI SHUIHFW LQIRUPDWLRQ KDYH D XQLTXH VXEJDPH SHUIHFW 

HTXLOLEULXP 1^? RÒGHNH DQG 6DPXHOVRQ VKRZ WKDW LQ D VWRFKDVWLF HYROXWLRQDU\ 

PRGHO DOVR QRQ VXEJDPH SHUIHFW HTXLOLEULXP VWUDWHJLHV PD\ ZHOO VXUYLYH LQ WKH ORQJ UXQ ,Q 

D GLIIHUHQW PRGHO RI HYROXWLRQ LQ WKH DJHQW QRUPDO IRUP RI JHQHULF H[WHQVLYH IRUP JDPHV RI 

SHUIHFW LQIRUPDWLRQ +DUW VKRZV WKDW XQGHU VXLWDEOH OLPLW WDNLQJ ZKHUH VPDOO 

PXWDWLRQ UDWHV DUH DFFRPSDQLHG E\ ODUJH SRSXODWLRQ VL]HV LQ D SDUWLFXODU ZD\ WKH XQLTXH 

SUHGLFWLRQ LV DJDLQ WKH VXEJDPH SHUIHFW HTXLOLEULXP 7KLV SDSHU SURYLGHV D SURRI RI D 

VLPLODU UHVXOW IRU WKH PRGHO RI 1^? RÒGHNH DQG 6DPXHOVRQ

8OULFK %HUJHU 

9LHQQD 8QLYHUVLW\ RI (FRQRPLFV DQG %$ 

),&7,7,286 3/$< ,1 ;1 *$0(6 

.H\ZRUGV )LFWLWLRXV 3OD\ DQG /HDUQLQJ 


,W LV NQRZQ WKDW HYHU\ FRQWLQXRXV WLPH ILFWLWLRXV SOD\ SURFHVV DSSURDFKHV HTXLOLEULXP LQ 

HYHU\ QRQGHJHQHUDWH [ DQG [ JDPH DQG LW KDV EHHQ FRQMHFWXUHG WKDW FRQYHUJHQFH WR 

HTXLOLEULXP KROGV JHQHUDOO\ IRU [Q JDPHV :H JLYH D VLPSOH JHRPHWULF SURRI RI WKLV $V D 

FRUROODU\ ZH REWDLQ WKH VDPH UHVXOW IRU WKH GLVFUHWH ILFWLWLRXV SOD\ SURFHVV 

*52:7+ $1' '(9(/230(17 ,,, 


&KDLUSHUVRQ % (FNZHUW 

%ODQFD 0DUWLQH] 


&R $XWKRUV 5 %RXFHNNLQH DQG & 6DJODP 

$XJ 

7+( '(9(/230(17 352%/(0 81'(5 (0%2',0(17 

.H\ZRUGV (PERGLPHQW 7HFKQRORJLFDO *DS 7HFKQRORJ\ $GRSWLRQ DQG 7UDQVLWLRQ 

'\QDPLFV 


5RRP ) 

:H VWXG\ WHFKQRORJ\ DGRSWLRQ LQ DQ RSWLPDO JURZWK PRGHO ZLWK HPERGLHG WHFKQLFDO 

FKDQJH DQG IL[HG ODERU UHVRXUFHV :H DQDO\WLFDOO\ FKDUDFWHUL]H WKH RSWLPDO DOORFDWLRQ 

GHFLVLRQV LQ WKH ORQJ UXQ 8VLQJ D FDOLEUDWHG YHUVLRQ RI WKH PRGHO ZH ILQG WKDW DQ 

DFFHOHUDWLRQ LQ WKH UDWH RI HPERGLHG WHFKQLFDO FKDQJH VKRXOG QRW EH UHVSRQGHG E\ DQ 

LPPHGLDWH DQG VWURQJ DGRSWLRQ HIIRUW ,QVWHDG DGRSWLRQ ODERU VKRXOG GHFUHDVH LQ WKH VKRUW 

UXQ DQG WKH RSWLPDO WHFKQRORJLFDO JDS LV VKRZQ WR LQFUHDVH HLWKHU LQ WKH VKRUW RU LQ WKH 

ORQJ UXQ 7KH VWDWH RI WKH LQVWLWXWLRQV DQG SROLFLHV DURXQG WKH WHFKQRORJ\ VHFWRU LV NH\ LQ 

WKH GHVLJQ RI WKH RSWLPDO DGRSWLRQ WLPLQJ 

%HUQKDUG (FNZHUW 


&R $XWKRUV , =LOFKD 

7+( ())(&7 2) %(77(5 ,1)250$7,21 21 *52:7+ $1' 

:(/)$5( 

.H\ZRUGV JURZWK LQIRUPDWLRQ ULVN VKDULQJ PDUNHWV DQG ZHOIDUH


:H GHYHORS DQ 2/* HFRQRP\ ZLWK DFFXPXODWLRQ LQ KXPDQ FDSLWDO 

+HWHURJHQHLW\ DPRQJ LQGLYLGXDOV LQ HDFK JHQHUDWLRQ UHVXOWV PDLQO\ 

IURP WKH UDQGRP LQQDWH DELOLW\ DVVLJQHG WR HDFK LQGLYLGXDO :KHQ 

\RXQJ DOO DJHQWV REVHUYH D SULYDWH VLJQDO ZKLFK UHYHDOV VRPH 

LQIRUPDWLRQ DERXW D SHUVRQ V DELOLW\ 3ULYDWH LQYHVWPHQW LQ 

HGXFDWLRQ DQG WUDLQLQJ LV EDVHG RQ WKLV VLJQDO DQG WKHUHIRUH 

YDULHV IURP RQH \RXQJ SHUVRQ WR WKH RWKHU :H DQDO\]H KRZ EHWWHU LQIRUPDWLRQ ZKLFK 

DOORZV EHWWHU VFUHHQLQJ GXULQJ WKH 

\RXWK SHULRG ZKHQ WKH LQGLYLGXDO KXPDQ FDSLWDO LV EHLQJ IRUPHG 

DIIHFWV ZHOIDUH DQG WKH DFFXPXODWLRQ SURFHVV RI KXPDQ FDSLWDO LQ 

HDFK JHQHUDWLRQ 2XU DQDO\VLV KLJKOLJKWV WKH FULWLFDO UROH SOD\HG 

E\ WKH GHJUHH RI ULVN DYHUVLRQ LQ WKH HFRQRP\ DQG E\ WKH 

DYDLODELOLW\ RI D ULVN VKDULQJ PDUNHW 

$OHVVDQGUD *XDULJOLD 


&R $XWKRUV 3 %DVX 

)25(,*1 ',5(&7 ,19(670(17 ,1(48$/,7< $1' *52:7+ 

.H\ZRUGV )RUHLJQ 'LUHFW ,QYHVWPHQW *URZWK DQG ,QHTXDOLW\ 


7KLV SDSHU H[DPLQHV WKH LQWHUDFWLRQV EHWZHHQ )RUHLJQ 'LUHFW ,QYHVWPHQW )', LQHTXDOLW\ 

DQG JURZWK :H VHW XS D JURZWK PRGHO RI D GXDO HFRQRP\ LQ ZKLFK WKH WUDGLWLRQDO 

DJULFXOWXUDO VHFWRU XVHV D GLPLQLVKLQJ UHWXUQV WHFKQRORJ\ ZKLOH )', LV WKH HQJLQH RI 

JURZWK LQ WKH PRGHUQ LQGXVWULDO VHFWRU ,I DQ HFRQRP\ VWDUWV RII ZLWK DQ XQHTXDO 

GLVWULEXWLRQ RI KXPDQ FDSLWDO )', LQIORZV DFFHOHUDWH WKH SURFHVV RI SRODUL]DWLRQ DQG WKH 

WUDGLWLRQDO VHFWRU WHQGV WR VWDJQDWH 8VLQJ D SDQHO RI GHYHORSLQJ FRXQWULHV ZH WHVW WKH 

PDLQ SUHGLFWLRQV RI RXU PRGHO ,Q DFFRUGDQFH ZLWK WKHVH SUHGLFWLRQV ZH ILQG WKDW )', 

SURPRWHV ERWK LQHTXDOLW\ DQG JURZWK DQG WHQGV WR UHGXFH WKH VKDUH RI DJULFXOWXUH WR *'3 

LQ WKH UHFLSLHQW FRXQWU\ 

(19,5210(17$/ (&2120,&6 


&KDLUSHUVRQ $ =HPHO 

0DUtD -RVp *XWLpUUH] 

8QLYHUVLGDG GHO 3DtV 9DVFR 

&R $XWKRUV E DJQDQL DQG $ ,]D 

$XJ 

5RRP ) 

*52:7+ ,1 29(5/$33,1* *(1(5$7,216 (&2120,(6 :,7+ 121 

5(1(:$%/( 5(6285&(6

.H\ZRUGV JURZWK QRQ UHQHZDEOH UHVRXUFHV DQG RYHUODSSLQJ JHQHUDWLRQV 

-(/ &ODVVLILFDWLRQ 2 2 DQG 4 

)HDVLELOLW\ RI ORQJ UXQ JURZWK LQ 2/* HFRQRPLHV WKDW XVH QRQ UHQHZDEOH UHVRXUFHV DV 

HVVHQWLDO LQSXW LQ WKH SURGXFWLRQ SURFHVV LV DQDO\]HG 7KH PRGHO ZH XVH LV LQ HVVHQFH 

'LDPRQG PRGHO ZLWK QDWXUDO QRQ UHQHZDEOH UHVRXUFHV DQG H[RJHQRXV 

WHFKQRORJLFDO SURJUHVV $OWKRXJK WKH WHFKQRORJLFDO SURJUHVV LV LQWURGXFHG H[RJHQRXVO\ 

WKH JURZWK UDWH RI WKH HFRQRP\ GHSHQGV RQ WKH HFRQRP\ SDUDPHWHUV ,Q JHQHUDO ZH 

REVHUYH WKDW HFRQRPLHV ZLWK SDWLHQW FRQVXPHUV DQG KLJK WHFKQRORJLFDO FKDQJH DQG ODERU 

VKDUH DUH PRUH OLNHO\ WR SUHVHQW SRVLWLYH ORQJ UXQ JURZWK 0RUHRYHU ZH VKRZ WKDW WKH 

ODERU VKDUH KDV WR EH KLJK HQRXJK WR REWDLQ SRVLWLYH JURZWK XQOLNH LQ HFRQRPLHV 

SRSXODWHG ZLWK D ILQLWH QXPEHU RI LQILQLWHO\ OLYHG LQGLYLGXDOV ZKHQ WKH XWLOLW\ IXQFWLRQ LV ORJ 

OLQHDU 2Q WKH RWKHU KDQG ZH VWXG\ ZHOIDUH HIIHFWV DQG ZH ILQG WKDW WKH XQLTXH EDODQFHG 

JURZWK SDWK WKDW H[LWV LV HIILFLHQW LQ WKH 3DUHWR VHQVH 

&KULVWRSK %RHKULQJHU 

&HQWUH IRU (XURSHDQ 5HVHDUFK =(: 

&R $XWKRUV 7 5XWKHUIRUG 

,1 6($5&+ 2) $ 5$7,21$/( )25 ',))(5(17,$7(' 

(19,5210(17$/ 7$;(6 

.H\ZRUGV FRPSXWDEOH JHQHUDO HTXLOLEULXP DQG RSWLPDO HQYLURQPHQWDO WD[DWLRQ 


(QYLURQPHQWDO WD[ VFKHPHV LQ 2(&' FRXQWULHV RIWHQ LQYROYH WD[ UDWHV GLIIHUHQWLDWHG 

DFURVV LQGXVWULDO FRPPHUFLDO DQG KRXVHKROG VHFWRUV ,Q WKLV SDSHU ZH LQYHVWLJDWH IRXU 

SRWHQWLDOO\ LPSRUWDQW DUJXPHQWV IRU WKHVH GHYLDWLRQV IURP XQLIRUP WD[DWLRQ SUH H[LVWLQJ WD[ 

GLVWRUWLRQV GRPHVWLF HTXLW\ FRQFHUQV JOREDO HQYLURQPHQWDO HIIHFWLYHQHVV DQG VWUDWHJLF 

WUDGH SROLF\ 2XU SULPDU\ REMHFWLYH LV WR DVFHUWDLQ ZKHWKHU WKH GHJUHH RI WD[ GLIIHUHQWLDWLRQ 

REVHUYHG LQ PDQ\ FRXQWULHV FDQ EH UDWLRQDOL]HG RQ HFRQRPLF JURXQGV ,Q VLPXODWLRQV ZLWK 

D FRPSXWDEOH JHQHUDO HTXLOLEULXP PRGHO ZH FDOFXODWH RSWLPDO SROLFLHV XQGHU YDULRXV 

VHWWLQJV 2XU VLPXODWLRQ UHVXOWV OHDG XV WR FRQFOXGH WKDW WKHUH LV OLWWOH HFRQRPLF UDWLRQDOH 

IRU WKH FRPPRQ SROLF\ SUDFWLFH RI GLVFULPLQDWLQJ VWURQJO\ LQ IDYRU RI KHDY\ LQGXVWULHV HYHQ 

ZKHQ DFFRXQWLQJ IRU LQWHUDFWLQJ WD[HV GLVWULEXWLRQDO FRQFHUQV OHDNDJH DQG LQWHUQDWLRQDO 

PDUNHW SRZHU 

$PRV =HPHO 

,QVWLWXWH IRU 'HVHUW 5HVHDUFK %HQ *XULRQ 8QLYHUVLW\ 

&R $XWKRUV < 7VXU 

6&$5&,7< *52:7+ $1' 5 ' 

.H\ZRUGV %DFNVWRS 7HFKQRORJ\ *URZWK 1RQUHQHZDEOH 5HVRXUFHV 5 DPS ' DQG 

6FDUFLW\ 

-(/ &ODVVLILFDWLRQ & ' 2 2 DQG 4 

7KH OLPLWV LPSRVHG RQ HFRQRPLF JURZWK E\ UHVRXUFH VFDUFLW\ FDQ EH DOOHYLDWHG RQO\ E\ WKH 

GHYHORSPHQW RI EDFNVWRS VXEVWLWXWHV KHQFH WKH LQWULFDWH UHODWLRQVKLS EHWZHHQ JURZWK

VFDUFLW\ DQG 5 ' LQ EDFNVWRS WHFKQRORJLHV 7KLV ZRUN DWWHPSWV WR XQIROG WKLV LQWULFDF\ E\ 

FRPELQLQJ JURZWK EDVHG RQ QDWXUDO DQG EDFNVWRS UHVRXUFHV ZLWK 5 ' DFWLYLWLHV WKDW 

JUDGXDOO\ UHGXFH WKH EDFNVWRS FRVW :H FODVVLI\ SURWRW\SLFDO HFRQRPLHV LQ WHUPV RI WKHLU 

SURGXFWLRQ WHFKQRORJ\ OHDUQLQJ DELOLW\ DQG WLPH SUHIHUHQFHV 'HSHQGLQJ RQ WKH HFRQRP\V 

W\SH DQG FDSLWDO HQGRZPHQW ZH ILQG D ZLGH YDULHW\ RI RSWLPDO 5 ' DQG FDSLWDO IRUPDWLRQ 

SURFHVVHV UDQJLQJ IURP FDVHV ZKHUH 5 ' GLYHUWV DQ HFRQRP\ WKDW RWKHUZLVH ZRXOG 

FRQVXPH LWV HQWLUH FDSLWDO RQWR D SDWK RI VXVWDLQHG JURZWK WR FDVHV ZKHUH 5 ' LV 

XQZDUUDQWHG 

&267 )81&7,216 $1' 352'8&7,21 

$1$/

RQ WKH EDVLV RI D UHSUHVHQWDWLYH VHW RI SDQHO GDWD IRU *HUPDQ VHUYLFH ILUPV 7KH 

DSSOLFDWLRQ RI 

D VXLWHG 6

$QGUH 'URVW 


7+( 675(1*7+ 2) (152//0(17 &

.H\ZRUGV (IIFLHQW 0HWKRG RI 0RPHQWV ,QGLUHFW ,QIHUHQFH ,QIOXHQFH )XQFWLRQ 5REXVW 

(VWLPDWLRQ DQG 5REXVW 6WDWLVWLFV 


7KLV SDSHU IRFXVHV RQ WKH UREXVW (IILFLHQW 0HWKRG RI 0RPHQWV (00 HVWLPDWLRQ RI D 

JHQHUDO SDUDPHWULF 

VWDWLRQDU\ SURFHVV DQG SURSRVHV D EURDG IUDPHZRUN IRU FRQVWUXFWLQJ UREXVW (00 VWDWLVWLFV 

LQ WKLV FRQWH[W 

7KLV H[WHQGV WKH DSSOLFDWLRQ ILHOG RI UREXVW VWDWLVWLFV WR YHU\ JHQHUDO WLPH VHULHV VHWWLQJV 

LQFOXGLQJ VLWXDWLRQV 

ZKHUH WKH VWUXFWXUDO DQG WKH DX[LOLDU\ PRGHOV LQ WKH (00 HVWLPDWLQJ HTXDWLRQV DUH 

GLIIHUHQW PRGHOV 

ZLWK ODWHQW QRQ OLQHDU G\QDPLFV DQG PRGHOV ZKHUH QR FORVHG IRUP H[SUHVVLRQV IRU WKH 

UREXVW SVHXGR VFRUH 

RI WKH JLYHQ (00 DX[LOLDU\ PRGHO DUH DYDLODEOH :H FKDUDFWHUL]H WKH ORFDO UREXVWQHVV 

SURSHUWLHV RI (00 

HVWLPDWRUV IRU WLPH VHULHV E\ FRPSXWLQJ WKH FRUUHVSRQGLQJ LQIOXHQFH IXQFWLRQV DQG 

SURSRVH WZR YHUVLRQV 

RI D UREXVW (00 5(00 HVWLPDWRU ZLWK ERXQGHG ,) 

$JQHV -RVHSK 


&R $XWKRUV - .LYLHW 

7+( 5(/$7,9( ()),&,(1&< 2) ,9 (67,0$7256 ,1 02'(/6 :,7+ 

/$**(' $1' ,167$17$1(286 )(('%$&.6 

.H\ZRUGV DV\PSWRWLF HIILFLHQF\ HIILFLHQF\ FRPSDULVRQV LQVWUXPHQWDO YDULDEOHV LQYDOLG 

LQVWUXPHQWV DQG ZHDN LQVWUXPHQWV 


:H H[DPLQH WKH HIILFLHQF\ RI 2/6 DQG ,9 HVWLPDWRUV LQ G\QDPLF VWUXFWXUDO PRGHOV ZLWK 

DSDUW IURP D FRQVWDQW WZR H[SODQDWRU\ YDULDEOHV YL] WKH ODJJHG GHSHQGHQW YDULDEOH DQG 

DQRWKHU H[SODQDWRU\ YDULDEOH 7KH ODWWHU LV DXWRUHJUHVVLYH WRR DQG PD\ DOVR LQFOXGH ODJJHG 

RU LQVWDQWDQHRXV IHHGEDFNV IURP WKH GHSHQGHQW YDULDEOH 7KH SDUDPHWHU YDOXHV DUH VXFK 

WKDW DOO YDULDEOHV DUH VWDWLRQDU\ :H H[SUHVV WKH DV\PSWRWLF HIILFLHQF\ RI 2/6 DQG YDULRXV 

,9 HVWLPDWRUV YLD WKH PRPHQWV RI WKH GDWD VHULHV LQ WKH PRGHO SDUDPHWHUV 1H[W ZH PDNH 

FRPSDULVRQV RYHU UHOHYDQW VXEVHWV RI WKH SDUDPHWHU VSDFH E\ WKH XVH RI ' JUDSKV :H 

H[DPLQH ERWK WKH RFFXUUHQFH DQG WKH HIIHFWV RI ZHDNQHVV RI LQVWUXPHQWV $ PDMRU ILQGLQJ 

LV WKDW FRQVLVWHQW ,9 HVWLPDWRUV PD\ RIWHQ EH PXFK OHVV HIILFLHQW WKDQ LQFRQVLVWHQW 2/6 

HVWLPDWRUV XSRQ FRPSDULQJ WKH XQFHQWHUHG VHFRQG PRPHQW RI WKH DV\PSWRWLF GLVWULEXWLRQ 

RI WKHLU HVWLPDWLRQ HUURUV 

*DEULHOH )LRUHQWLQL 


&R $XWKRUV * &DO]RODUL DQG ( 6HQWDQD 

7+( 5(/$7,9( ()),&,(1&< 2) 36(8'2 0$;,080 /,.(/,+22' 

(67,0$7,21 $1' ,1)(5(1&( ,1 &21',7,21$//< 

+(7(526.('$67,& '

.H\ZRUGV $5&+ )LQDQFLDO 5HWXUQV ,QHTXDOLW\ &RQVWUDLQWV DQG 6HTXHQWLDO (VWLPDWRUV 


:H FRPSDUH WKH HIILFLHQF\ RI 0/ DQG *DXVVLDQ 30/ HVWLPDWRUV RI WKH SDUDPHWHUV 

FKDUDFWHULVLQJ WKH PHDQ DQG YDULDQFH RI FRQGLWLRQDOO\ KHWHURVNHGDVWLF G\QDPLF UHJUHVVLRQ 

PRGHOV ZLWK PXOWLYDULDWH W LQQRYDWLRQV :H DOVR SURSRVH WZR DOWHUQDWLYH VHTXHQWLDO 

HVWLPDWRUV RI WKH GHJUHHV RI IUHHGRP SDUDPHWHU EDVHG RQ WKRVH 30/ HVWLPDWRUV DQG 

DVVHVV WKHLU HIILFLHQF\ UHODWLYH WR WKHLU 0/ FRXQWHUSDUW ,Q DGGLWLRQ ZH GHULYH VLGHG DQG 

VLGHG /0 WHVWV RI FRQGLWLRQDO KRPRVNHGDVWLFLW\ DJDLQVW $UFK S DQG *DUFK 

DOWHUQDWLYHV DQG TXDQWLI\ WKH SRZHU JDLQV UHODWLYH WR WKH WHVWV EDVHG RQ *DXVVLDQ 30/ 

HVWLPDWRUV )LQDOO\ ZH SUHVHQW ILQLWH VDPSOH FRPSDULVRQV EDVHG RQ 0RQWH &DUOR 

VLPXODWLRQV 

),1$1&,$/ (&2120(75,&6 7+(25< ,,, 


&KDLUSHUVRQ : 3RKOPHLHU 

$QGUHDV +HLQHQ 

&HQWHU RI 2SHUDWLRQV 5HVHDUFK 

&R $XWKRUV ( 5HQJLIR 

08/7,9$5,$7( 02'(//,1* 2) &2817 '$7$ $1 

$8725(*5(66,9( &21',7,21$/ 32,6621 02'(/ 

$XJ 

.H\ZRUGV FRXQW GDWD PDUNHW PLFURVWUXFWXUH DQG PXOWLYDULDWH WLPH VHULHV 

-(/ &ODVVLILFDWLRQ & & DQG * 

5RRP ) 

7KLV SDSHU LQWURGXFHV D QHZ PXOWLYDULDWH PRGHO IRU WLPH VHULHV FRXQW GDWD 7KH 

0XOWLYDULDWH $XWRUHJUHVVLYH &RQGLWLRQDO 3RLVVRQ 0$&3 PDNHV LW SRVVLEOH WR GHDO ZLWK 

LVVXHV RI GLVFUHWHQHVV RYHUGLVSHUVLRQ YDULDQFH JUHDWHU WKDQ WKH PHDQ DQG ERWK SRVLWLYH 

DQG QHJDWLYH DXWR DQG FURVV FRUUHODWLRQ VRPHWKLQJ WKDW PRVW H[LVWLQJ PRGHOV FDQQRW GR 

:H PRGHO FRXQWV DV 3RLVVRQ RU GRXEOH 3RLVVRQ DQG DVVXPH WKDW FRQGLWLRQDOO\ RQ SDVW 

REVHUYDWLRQV WKH PHDQV IROORZ D 9HFWRU $XWRUHJUHVVLRQ :H XVH D FRSXOD WR LQWURGXFH 

FRQWHPSRUDQHRXV FRUUHODWLRQ EHWZHHQ WKH VHULHV $V D IHDVLEOH DOWHUQDWLYH WR PXOWLYDULDWH 

GXUDWLRQ PRGHOV WKH 0$&3 LV DSSOLHG WR WKH VXEPLVVLRQ RI PDUNHW RUGHUV DQG TXRWH 

UHYLVLRQV RQ ,%0 RQ WKH 1HZ


7KLV SDSHU LQWURGXFHV D QHZ W\SH RI G\QDPLF LQWHQVLW\ PRGHO :H DVVXPH WKDW WKH 

FRQGLWLRQDO LQWHQVLW\ IXQFWLRQ JLYHQ WKH REVHUYDEOH KLVWRU\ RI WKH SURFHVV LV VWRFKDVWLF DQG 

LV GULYHQ E\ D ODWHQW DXWRUHJUHVVLYH IDFWRU 7KH PRGHO LV HVWLPDWHG E\ VLPXODWHG PD[LPXP 

OLNHOLKRRG EDVHG XSRQ HIILFLHQW LPSRUWDQFH VDPSOLQJ WHFKQLTXHV :H LOOXVWUDWH WKDW WKH 

SURSRVHG IUDPHZRUN SURYLGHV D IOH[LEOH WRRO WR FDSWXUH WKH G\QDPLFV RI XQLYDULDWH DQG 

PXOWLYDULDWH SRLQW SURFHVVHV $SSOLFDWLRQV RI XQLYDULDWH DQG ELYDULDWH 6&, PRGHOV WR 

;(75$ WUDQVDFWLRQ GDWD SURYLGH HYLGHQFH IRU WKH H[LVWHQFH RI D ODWHQW IDFWRU DQG WKDW LWV 

LQFOXVLRQ LPSURYHV VXEVWDQWLDOO\ WKH VSHFLILFDWLRQ RI WKH PRGHO 

:LQIULHG 3RKOPHLHU 


&R $XWKRUV 5 /LHVHQIHOG 

$ '

7KLV SDSHU WUDFNV WKH GLVWULEXWLRQ G\QDPLFV RI LQFRPHV DFURVV ,QGLDQ VWDWHV RYHU WKH 

SHULRG WR ,W GHSDUWV IURP WUDGLWLRQDO DQDO\VHV RI FRQYHUJHQFH E\ WUDFNLQJ WKH 

HYROXWLRQ RI WKH HQWLUH LQFRPH GLVWULEXWLRQ LQVWHDG RI VWDQGDUG UHJUHVVLRQ DQG WLPH VHULHV 

DQDO\VHV 7KH ILQGLQJV UHYHDO WZLQ SHDNV G\QDPLFV ± WKH H[LVWHQFH RI WZR LQFRPH 

FRQYHUJHQFH FOXEV RQH DW SHU FHQW DQRWKHU DW SHU FHQW RI WKH QDWLRQDO DYHUDJH 

LQFRPH ZLWK LQFRPH GLVSDULWLHV KDYLQJ GHFOLQHG RYHU WKH VL[WLHV RQO\ WR LQFUHDVH RYHU WKH 

IROORZLQJ WKUHH GHFDGHV 7KH REVHUYHG SRODULVDWLRQ LV VWURQJO\ H[SODLQHG E\ WKH GLVSDUDWH 

GLVWULEXWLRQ RI LQIUDVWUXFWXUH DQG E\ HGXFDWLRQ DQG WR DQ H[WHQW E\ D QXPEHU RI 

PDFURHFRQRPLF LQGLFDWRUV WKDW RI FDSLWDO H[SHQGLWXUH DQG ILVFDO GHILFLWV 3DQHO 

UHJUHVVLRQV FRPSOHPHQW WKH QRQ SDUDPHWULF UHVXOWV ZKHUH VHYHUDO LQIUDVWUXFWXUDO 

LQGLFDWRUV LQGLYLGXDOO\ H[SODLQ LQWHU VWDWH YDULDWLRQ LQ HFRQRPLF JURZWK 

=KHQJ :DQJ 


&R $XWKRUV 5 2 %ULHQ 

7+( &2$67$/ ,1/$1' ,1&20( *$3 ,1 &+,1$ '85,1* 7+( 6 

7+( 52/( 2) *(2*5$3+< $1' 32/,&< 

.H\ZRUGV &KLQD &RDVW *HRJUDSK\ *URZWK ,QHTXDOLW\ ,QODQG DQG 3ROLF\ 

-(/ &ODVVLILFDWLRQ 2 2 2 2 2 2 3 5 DQG 5 

:H LQYHVWLJDWH WKH HQODUJLQJ FRDVWDO LQODQG LQFRPH JDS LQ &KLQD GXULQJ WKH V XVLQJ 

*00 HVWLPDWLRQ RI D 6RORZ JURZWK PRGHO 'LVDJJUHJDWLQJ FDSLWDO LQYHVWPHQW E\ VRXUFH 

KHOSV WR GLVHQWDQJOH WKH HIIHFW RI SROLF\ IURP WKRVH RI JHRJUDSK\ 7KH LPSDFW RI SXEOLF 

LQYHVWPHQW RQ JURZWK LV LQVLJQLILFDQW WKDW RI IRUHLJQ LQYHVWPHQW LV VLJQLILFDQW SULYDWH 

LQYHVWPHQW LV PRVW LQIOXHQWLDO :H DOVR XVH WKH UDLOZD\ GLVWDQFH RI HDFK SURYLQFHV FDSLWDO 

FLW\ WR LWV QHDUHVW SRUW FLW\ DV D SUR[\ IRU WUDQVSRUWDWLRQ FRVWV DQG ILQG VLJQLILFDQW 

GLIIHUHQFHV DFURVV UHJLRQV 'LVWDQFH KDV QHJDWLYH HIIHFWV RQ HFRQRPLF GHYHORSPHQW EXW 

LWV PDUJLQDO HIIHFWV EHFRPH OHVV DV GLVWDQFH LQFUHDVHV 

5REHUW 0 &RHQ 


&R $XWKRUV % +LFNPDQ 

7+( 352'8&7,9,7< 685*( 2) 7+( 1,1(7,(6 $1' )8785( 

*52:7+ 

.H\ZRUGV *URZWK 0DFUR HFRQRPHWULF PRGHO DQG 3URGXFWLYLW\ 


:KDW GRHV WKH 8 6 SURGXFWLYLW\ VXUJH RI WKH ODWH V LPSO\ DERXW IXWXUH HFRQRPLF 

SHUIRUPDQFH" :LOO SRWHQWLDO JURZWK EH SHUPDQHQWO\ KLJKHU RU ZDV WKH VXUJH GXH PDLQO\ WR 

F\FOLFDO IDFWRUV" :H DQVZHU WKHVH TXHVWLRQV XVLQJ DQ XSGDWHG YHUVLRQ RI WKH +LFNPDQ 

&RHQ PDFUR HFRQRPHWULF PRGHO RI WKH QDWXUDO XQHPSOR\PHQW UDWH WKH IXOO HPSOR\PHQW 

ODERU VXSSO\ DQG SRWHQWLDO SURGXFWLYLW\ DQG RXWSXW 7KH JURZWK SDWK LV SURMHFWHG WR 

FRQGLWLRQDO RQ SRSXODWLRQ IRUHFDVWV WKH UDWH RI WHFKQLFDO SURJUHVV DQG RWKHU IDFWRUV 7KH 

SURMHFWLRQV DUH LQIRUPHG E\ D PRGHO EDVHG DQDO\VLV RI SURGXFWLYLW\ JURZWK GXULQJ WKH 

VDPSOH SHULRG LQFOXGLQJ FRPSDULVRQV RI WKH H[SDQVLRQV RI

DQG 

,1)(5(1&( ,, 


&KDLUSHUVRQ $ %KDWWDFKDUMHH 

$FKLP =HLOHLV 

7HFKQLVFKH 8QLYHUVLWlW :LHQ 

&R $XWKRUV . +RUQLN & .OHLEHU DQG ) /HLVFK 

$XJ 

5RRP ) 

021,725,1* 6758&785$/ &+$1*( ,1 '

EHHQ WHVWHG XVLQJ WKH VDPSOH DXWRFRUUHODWLRQV RU LQ WKH VSHFWUDO GRPDLQ XVLQJ WKH 

SHULRGRJUDP 7HVWV EDVHG RQ WKHVH VWDWLVWLFV DUH LQFRQVLVWHQW DJDLQVW XQFRUUHODWHG 

SURFHVVHV LQ WKH DOWHUQDWLYH K\SRWKHVLV 7R FLUFXPYHQW WKLV SUREOHP ZH XVH WKH SDLUZLVH 

LQWHJUDWHG UHJUHVVLRQ IXQFWLRQV DV PHDVXUHV RI OLQHDU DQG QRQOLQHDU GHSHQGHQFH 2XU 

WHVWV DUH FRQVLVWHQW DJDLQVW JHQHUDO SDLUZLVH 3LWPDQ V ORFDO DOWHUQDWLYHV DQG SUHVHQW 

RSWLPDO SRZHU SURSHUWLHV 7KHUH LV QR QHHG WR FKRRVH D ODJ RUGHU WR VPRRWK WKH GDWD RU 

IRUPXODWH D SDUDPHWULF DOWHUQDWLYH $ ERRWVWUDS SURFHGXUH LV SURSRVHG DQG WKHRUHWLFDOO\ 

MXVWLILHG DQG D 0RQWH &DUOR VWXG\ H[DPLQHV LWV DSSURSULDWH ILQLWH VDPSOH SHUIRUPDQFH $ 

ILQDO VHFWLRQ LQYHVWLJDWHV WKH PDUWLQJDOH DQG FRQGLWLRQDO KHWHURVNHGDVWLFLW\ SURSHUWLHV RI 

WKH 3RXQG 'ROODU H[FKDQJH UDWH 

$UQDE %KDWWDFKDUMHH 


$ 6,03/( 7(67 )25 7+( $%6(1&( 2) &29$5,$7( '(3(1'(1&( 

,1 '85$7,21 02'(/6 

.H\ZRUGV &RQWLQXRXV FRYDULDWH &RYDULDWH GHSHQGHQFH 7UHQG WHVWV DQG 7ZR VDPSOH 

WHVWV 


7KLV SDSHU GHVFULEHV D VLPSOH H[WHQVLRQ RI SRSXODU WHVWV RI HTXDOLW\ RI KD]DUG UDWHV LQ D 

WZR VDPSOH RU N VDPSOH VHWXS WR D VLWXDWLRQ ZKHUH WKH FRYDULDWH XQGHU VWXG\ LV 

FRQWLQXRXV ,Q RWKHU ZRUGV ZH WHVW WKH K\SRWKHVLV RI QR FRYDULDWH GHSHQGHQFH DJDLQVW WKH 

RPQLEXV DOWHUQDWLYH ZKHUH WKH FRYDULDWH LV FRQWLQXRXV 7KH WHVWV GHYHORSHG DUH DOVR 

XVHIXO LQ GHWHFWLQJ WUHQG LQ WKH XQGHUO\LQJ KD]DUG UDWHV RU FKDQJHSRLQW WUHQG DOWHUQDWLYHV 

$V\PSWRWLF GLVWULEXWLRQ RI WKH WHVW VWDWLVWLFV DUH HVWDEOLVKHG XVLQJ FRXQWLQJ SURFHVV 

WHFKQLTXHV 6PDOO VDPSOH SURSHUWLHV RI WKH WHVWV DUH VWXGLHG DQG WKH XVH RI WKH WHVWV LQ 

HPSLULFDO DSSOLFDWLRQV LV LOOXVWUDWHG 

,1)/$7,21 , 


&KDLUSHUVRQ 6 0DQJDQHOOL 

9LNWRU 9iUSDORWDL 

1DWLRQDO %DQN RI +XQJDU\ 

$XJ 

5RRP ) 

',6,1)/$7,21 6,08/$7,21 :,7+ ',6$**5(*$7(' 287387*$3 

02'(/ )25 +81*$5< 

.H\ZRUGV 'LVLQIODWLRQ DQG 2XWSXW JDS 


7KLV SDSHU WULHV WR FRPSDUH WKH FRVW DQG EHQHILWV RI GLIIHUHQW GLVLQIODWLRQ VWUDWHJLHV DQG 

VFHQDULRV IRU +XQJDU\ :H GHFRPSRVHG WKH RXWSXW JDS YDULDEOH RI %HQF]~U²6LPRQ² 

9iUSDORWDL > @ PRGHO LQWR KRXVHKROGV DQG JRYHUQPHQWV FRQVXPSWLRQ LQYHVWPHQW 

H[SRUW DQG LPSRUW JDSV 7KH EHKDYLRUDO HTXDWLRQV RI WKHVH JDS YDULDEOHV ZHUH HVWLPDWHG 

RQ WKH +XQJDULDQ TXDUWHUO\ *'3 GDWD IRU SHULRG ² :H XVHG WKLV PRUH 

VWUXFWXUHG PRGHO WR FRPSXWH WKH FRVWV RI GLVLQIODWLRQ IRU VRPH DOWHUQDWLYH VFHQDULRV :H 

VLPXODWHG WKH HIIHFWV RI DQ H[FKDQJH UDWH DSSUHFLDWLRQ D ORRVHQLQJ ILVFDO SROLF\ DQG D

FRPELQDWLRQ WKHVH FDVHV $OWKRXJK ZH SUHVHQW RXU QXPHULF UHVXOW IRU VDFULILFH UDWLR 

UHVHUYHGO\ WKH FRPSDULVRQ RI WKH GLIIHUHQW VFHQDULRV JLYHV D FOHDU PHVVDJH WKH 

GLVLQIODWLRQ SURFHVV LV QRW RQO\ IDVWHU EXW DOVR FKHDSHU ZKHQ WKH WLJKWHQLQJ SROLF\ UHDFKHV 

DOO VHFWRUV LQ RWKHU ZRUGV ZKHQ WKH ILVFDO DQG PRQHWDU\ SROLFLHV DUH KDUPRQL]HG 

*XHQWHU : %HFN 

8QLYHUVLW\ RI )UDQNIXUW DQG &)6 

&R $XWKRUV $ :HEHU 

,1)/$7,21 ',63(56,21 $1' &219(5*(1&( ,1 021(7$5< $1' 

(&2120,& 81,216 /(66216 )25 7+( (&% 

.H\ZRUGV GHIODWLRQ GLVWULEXWLRQ G\QDPLFV LQIODWLRQ FRQYHUJHQFH NHUQHO HVWLPDWLRQ DQG 

UHJLRQDO GLYHUVLW\ 

-(/ &ODVVLILFDWLRQ ( ( ( DQG ) 

7KLV SDSHU XVHV D VHW RI UHJLRQDO &3, GDWD WR H[DPLQLQJ WKH G\QDPLFV RI LQIODWLRQ 

GLVSHUVLRQ ZLWKLQ WKH 8 6 &DQDGD DQG -DSDQ ,Q DOO WKUHH FRXQWULHV ILQG D VLJQLILFDQW 

GHJUHH RI LQIODWLRQ GLVSHUVLRQ %DVHG RQ PHWKRGV DSSOLHG LQ WKH HPSLULFDO JURZWK OLWHUDWXUH 

ZH SURYLGH HYLGHQFH RI VLJQLILFDQW PHDQ UHYHUVLRQ EHWD FRQYHUJHQFH DQG GLVSHUVLRQ 

UHGXFWLRQ VLJPD FRQYHUJHQFH RI LQIODWLRQ 2XU ILQGLQJV IRU WKH ZLWKLQ GLVWULEXWLRQ 

G\QDPLFV EDVHG RQ NHUQHO GHQVLW\ HVWLPDWLRQ VXJJHVW WKDW ODUJH GHYLDWLRQV IURP DYHUDJH 

LQIODWLRQ ZLOO UHYHUW WR WKH PHDQ ZLWK D SUREDELOLW\ RI DURXQG SHUFHQW :LWKLQ GLVWULEXWLRQ 

G\QDPLFV DUH VWURQJ IRU -DSDQHVH SUHIHFWXUHV DQG ZHDNHU IRU WKH 8 6 PHWURSROLWDQ DUHDV 

6LPRQH 0DQJDQHOOL 


&R $XWKRUV / .LOLDQ 

7+( &(175$/ %$1.(5 $6 $ 5,6. 0$1$*(5 48$17,)

3HWHU 7LOOPDQQ 


(;7(51$/ 6+2&.6 $1' 7+( 121 /,1($5 '

GHWHFWLRQ RI EXVLQHVV F\FOH H[SDQVLRQ DQG UHFHVVLRQ UHJLPHV :H VWXG\ WKLV TXHVWLRQ ERWK 

DQDO\WLFDOO\ DQG WKURXJK 0RQWH &DUOR VLPXODWLRQV $QDO\WLFDOO\ ZH YLHZ WKH RFFXUUHQFH RI D 

VLQJOH EXVLQHVV F\FOH UHJLPH DV D VWUXFWXUDO EUHDN WKDW LV ODWHU UHYHUVHG VKRZLQJ WKDW WKH 

HIIHFW RI WKH OLQHDU V\PPHWULF ; ILOWHU GLIIHUV ZLWK WKH GXUDWLRQ RI WKH UHJLPH 7KURXJK WKH 

XVH RI 0DUNRY VZLWFKLQJ PRGHOV IRU UHJLPH LGHQWLILFDWLRQ WKH VLPXODWLRQ DQDO\VLV VKRZV 

WKDW VHDVRQDO DGMXVWPHQW KDV GHVLUDEOH SURSHUWLHV LQ FODULI\LQJ WKH WUXH UHJLPH ZKHQ WKLV LV 

ZHOO XQGHUZD\ EXW LW GLVWRUWV UHJLPH LQIHUHQFH DURXQG WXUQLQJ SRLQWV ZLWK WKLV EHLQJ 

HVSHFLDOO\ PDUNHG DIWHU WKH HQG RI UHFHVVLRQV DQG ZKHQ WKH RQH VLGHG ; ILOWHU LV 

HPSOR\HG 

32/,7,&$/ (&2120< 9 

&DWHJRU\ (($ 

&KDLUSHUVRQ + (YUHQN 

$QWRQLR 0HUOR 

'HSDUWPHQW RI (FRQRPLFV 8QLYHUVLW\ RI 3HQQV\OYDQLD 

&R $XWKRUV ' 'LHUPHLHU DQG 0 .HDQH 

$XJ 

5RRP $ 

$ 32/,7,&$/ (&2120< 02'(/ 2) &21*5(66,21$/ &$5((56 

.H\ZRUGV HOHFWLRQV 3ROLWLFDO FDUHHUV SROLWLFLDQV DQG WHUP OLPLWV 


7KH PDLQ JRDO RI WKH SDSHU LV WR TXDQWLI\ WKH UHWXUQV WR D FDUHHU LQ WKH 8QLWHG 6WDWHV 

&RQJUHVV 7R DFKLHYH WKLV JRDO ZH VSHFLI\ D G\QDPLF PRGHO RI FDUHHU GHFLVLRQV RI D 

PHPEHU RI &RQJUHVV DQG ZH HVWLPDWH WKLV PRGHO XVLQJ D QHZO\ FROOHFWHG GDWD VHW *LYHQ 

HVWLPDWHV RI WKH VWUXFWXUDO PRGHO ZH DVVHVV UHHOHFWLRQ SUREDELOLWLHV IRU PHPEHUV RI 

&RQJUHVV HVWLPDWH WKH HIIHFW RI FRQJUHVVLRQDO H[SHULHQFH RQ SULYDWH DQG SXEOLF VHFWRU 

ZDJHV DQG TXDQWLI\ WKH YDOXH RI D FRQJUHVVLRQDO VHDW 0RUHRYHU ZH XVH WKH HVWLPDWHG 

PRGHO WR DVVHVV KRZ WKH LPSRVLWLRQ RI WHUP OLPLWV ZRXOG DIIHFW WKH FDUHHU GHFLVLRQV RI 

SROLWLFLDQV DQG WKH UHWXUQV WR D FDUHHU LQ &RQJUHVV 

&DWKHULQH +DIHU 

1HZ

DIIOXHQW UHODWLYH WR WKH IHGHUDO PHGLDQ UHJLRQV PD\ LQ HTXLOLEULXP FKRRVH WR RSSRVH WKH 

DGPLVVLRQ LQWR WKH IHGHUDWLRQ RI RWKHU UHODWLYHO\ DIIOXHQW UHJLRQV ZLWK WKH V\PPHWULF UHVXOW 

KROGLQJ IRU WKH UHODWLYHO\ OHVV DIIOXHQW UHJLRQV 

$OEUHFKW 0RUJHQVWHUQ 


&85%,1* 32:(5 25 352*5(66" *29(51,1* :,7+ $1 

23326,7,21 9(72 

.H\ZRUGV 'LYLGHG *RYHUQPHQW (OHFWRUDO $FFRXQWDELOLW\ 2SSRVLWLRQ 9HWR DQG 3ROLWLFDO 

$JHQF\ 

-(/ &ODVVLILFDWLRQ $ ' ' DQG + 

9HWR LQVWLWXWLRQV DUH RIWHQ GRPLQDWHG E\ JRYHUQPHQW RSSRQHQWV ZLWK ULYDO HOHFWRUDO DQG 

SROLF\ LQWHUHVWV H J GLYLGHG JRYHUQPHQW , LQYHVWLJDWH WKH WUDGHRII EHWZHHQ SROLF\ 

FRQWURO DQG SROLF\ EORFNDGH ZKHQ ERWK WKH 

JRYHUQPHQW DQG WKH YHWR SDUW\ PD\ FDWHU WR RSSRVLQJ VSHFLDO LQWHUHVWV 7KH YDOXH RI DQ 

RSSRVLWLRQ YHWR GHSHQGV RQ ZKHWKHU HOHFWRUDO DFFRXQWDELOLW\ FDQ GLVFLSOLQH EDG W\SH 

SROLWLFLDQV :KHQ WKLV LV QRW WKH FDVH D YHWR LV EHQHILFLDO RQO\ LI WKH JRYHUQPHQWV VSHFLDO 

LQWHUHVWV DUH H[SHFWHG WR EH KDUPIXO ,Q FRQWUDVW ZKHQ EDG W\SHV FDUH DERXW UH HOHFWLRQ 

D YHWR DOZD\V LQFUHDVHV H[SHFWHG ZHOIDUH SURYLGLQJ D QHZ UDWLRQDOH IRU WKH IUHTXHQW 

RFFXUUHQFH RI GLYLGHG JRYHUQPHQW VLWXDWLRQV :KHQ UH HOHFWLRQ FRQFHUQV JR WR LQILQLW\ 

HOHFWRUDO DFFRXQWDELOLW\ DQG DQ RSSRVLWLRQ YHWR HYHQ DFKLHYH WKH ILUVW EHVW 

+DOGXQ (YUHQN 

%RVWRQ 8QLYHUVLW\ 

$5( +21(67 &,7,=(16 72 %/$0( )25 &255837,21" $1 

(;(5&,6( ,1 32/,7,&$/ (&2120< 2) 7$; (9$6,21 

.H\ZRUGV FRUUXSWLRQ SROLWLFDO HFRQRP\ UHIRUP DQG WD[ HYDVLRQ 


7KLV SDSHU LV DERXW SXEOLF VXSSRUW IRU DQWL FRUUXSWLRQ UHIRUPV 7KH IRUP RI FRUUXSWLRQ ZH 

FRQVLGHU LV WD[ HYDVLRQ LQ DFRXQWU\ ZKHUH WD[HV DUH FRPPRQO\ HYDGHG :H DQDO\]H WKH 

UHODWLRQ EHWZHHQ WKH IUDFWLRQ RI HYDGHUV DQG WKH VXSSRUW IRU DQWL FRUUXSWLRQ UHIRUP :H ILQG 

WKDW LQ VRFLHWLHV ZKHU DOO FLWL]HQV KDYH WKH RSSRUWXQLW\ DQG ZLOOLQJQHVV WR HYDGH DQWL 

FRUUXSWLRQ UHIRUPV DOZD\V ZLQ SXEOLF VXSSRUW +RZHYHU UHIURPV PD\ QRW UHFHLYH HQRXJK 

VXSSRUW LQ VRFLHWLHV ZKHUH D PDMRULW\ RI FLWL]HQV GR QRW RU FDQ QRW HYDGH DQG D PLQRULW\ GR 

HYDGH 

*52:7+ $1' ,167,787,216 ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 6 $UGDJQD 

$OHVVDQGUD %RQILJOLROL 

$XJ 

5RRP &

,,(6 6WRFNKROP 8QLYHUVLW\ 

&R $XWKRUV & 0HQGLFLQR 

),1$1&,$/ /,%(5$/,=$7,21 $1' *52:7+ 1(: (03,5,&$/ 

(9,'(1&( 

.H\ZRUGV ILQDQFLDO GHYHORSPHQW ILQDQFLDO OLEHUDOL]DWLRQ JURZWK LQVWUXPHQWDO YDULDEOHV 

DQG PDWFKLQJ HVWLPDWRUV 


7KLV SDSHU HYDOXDWHV HPSLULFDOO\ WKH LPSDFW RI FDSLWDO DFFRXQW RSHQQHVV RQ JURZWK 

IROORZLQJ DOWHUQDWLYH DSSURDFKHV ,Q WKH ILUVW SDUW ZH DGGUHVV WKH UHODWLRQVKLS EHWZHHQ 

JURZWK DQG ILQDQFLDO OLEHUDOL]DWLRQ ZLWK VWDQGDUG 2/6 DQG ,9 FURVV VHFWLRQ WHFKQLTXHV :H 

DOVR LQYHVWLJDWH QRQOLQHDULWLHV LQ WKH WUDQVPLVVLRQ WKURXJK WKH ILQDQFLDO V\VWHP E\ 

LQWHUDFWLQJ LQGLFDWRUV RI UHJXODPHQWDWLRQ RI ILQDQFLDO PDUNHWV ZLWK FDSLWDO DFFRXQW 

RSHQQHVV ,Q WKH VHFRQG SDUW ZH XVH QRQ SDUDPHWULF PHWKRGV WR DVVHVV FDXVDOLW\ 

EHWZHHQ ILQDQFLDO OLEHUDOL]DWLRQ DQG JURZWK FRQGLWLRQDO RQ VRFLR HFRQRPLF DQG LQVWLWXWLRQDO 

IDFWRUV 2XU GDWDVHW LQFOXGHV REVHUYDWLRQV IRU FRXQWULHV EHWZHHQ DQG 2XU 

LQGLFDWRU RI ILQDQFLDO OLEHUDOL]DWLRQ LV EDVHG XSRQ WKH ,0) V DQQXDO UHSRUW RQ H[FKDQJH 

DUUDQJHPHQWV DQG H[FKDQJH UHVWULFWLRQV 5HVXOWV VXJJHVW WKDW WKH LPSDFW RI FDSLWDO 

DFFRXQW RSHQQHVV RQ JURZWK LV QHJDWLYH DQG WKDW WKH WUDQVPLVVLRQ WKURXJK WKH ILQDQFLDO 

V\VWHP PD\ SOD\ D UROH LQ GHWHUPLQLQJ WKLV VLJQ 

8OULFK 7KLHVVHQ 

*HUPDQ ,QVWLWXWH IRU (FRQRPLF 5HVHDUFK 

),6&$/ '(&(175$/,=$7,21 $1' (&2120,& *52:7+ ,1 +,*+ 

,1&20( 2(&' &28175,(6 

.H\ZRUGV HFRQRPLF JURZWK DQG )LVFDO GHFHQWUDOL]DWLRQ 


7KH SDSHU DQDO\]HV WKH HPSLULFDO UHODWLRQVKLS EHWZHHQ SHU FDSLWD HFRQRPLF JURZWK 

FDSLWDO IRUPDWLRQ DQG WRWDO IDFWRU SURGXFWLYLW\ JURZWK DQG ILVFDO GHFHQWUDOL]DWLRQ IRU KLJK 

LQFRPH 2(&' FRXQWULHV 7KH HYLGHQFH VXJJHVWV WKDW WKH UHODWLRQVKLS LV QRQOLQHDU LW LV 

SRVLWLYH ZKHQ ILVFDO GHFHQWUDOL]DWLRQ LV LQFUHDVLQJ IURP ORZ OHYHOV EXW WKHQ UHDFKHV D SHDN 

DQG WKH UHODWLRQVKLS EHFRPHV QHJDWLYH 7KH SROLF\ LPSOLFDWLRQ RI WKLV ILQGLQJ LV WKDW WKH 

REVHUYHG WUHQG RI FRQYHUJHQFH DPRQJ KLJK LQFRPH 2(&' FRXQWULHV WRZDUGV D PHGLXP 

GHJUHH RI ILVFDO GHFHQWUDOL]DWLRQ WHQGV WR SURPRWH JURZWK 3ROLF\ PDNHUV LQ WKRVH FRXQWULHV 

WKDW GLG QRW IROORZ WKLV WUHQG FRXOG SRVVLEO\ PRELOL]H JURZWK UHVHUYHV 

*LDQ /XFD &OHPHQWL 

1HZ

-(/ &ODVVLILFDWLRQ ' ' ' ' DQG ( 

:H LQWURGXFH LQYHVWRU SURWHFWLRQ 

LQ D VLPSOH H[WHQVLRQ RI WKH WZR SHULRG RYHUODSSLQJ JHQHUDWLRQV 

PRGHO RI FDSLWDO DFFXPXODWLRQ DQG VWXG\ KRZ SURWHFWLRQ DIIHFWV HFRQRPLF 

JURZWK ,QYHVWRU SURWHFWLRQ LV SRVLWLYHO\ UHODWHG WR ULVN VKDULQJ 

%HWWHU SURWHFWLRQ EHWWHU ULVN VKDULQJ UHVXOWV LQ D ODUJHU GHPDQG 

IRU FDSLWDO 7KLV LV WKH GHPDQG HIIHFW $ VHFRQG HIIHFW 

ZKLFK ZH FDOO WKH VXSSO\ HIIHFW IROORZV IRUP JHQHUDO HTXLOLEULXP UHVWULFWLRQV )RU D JLYHQ 

DJJUHJDWH FDSLWDO 

VWRFN EHWWHU SURWHFWLRQ LPSOLHV D 

KLJKHU LQWHUHVW UDWH 7KH DJJUHJDWH UHVRXUFH FRQVWUDLQW WKHQ LPSOLHV ORZHU LQFRPH IRU WKH 

HQWUHSUHQHXUV WKH \RXQJHU 

FRKRUW $V D UHVXOW FXUUHQW VDYLQJV DQG WKH VXSSO\ RI FDSLWDO LQ 

WKH IROORZLQJ SHULRG GHFUHDVH ,W WXUQV RXW WKDW WKH VWUHQJWK RI 

WKH VXSSO\ HIIHFW LV JUHDWHU WKH WLJKWHU WKH UHVWULFWLRQV RQ 

FDSLWDO IORZV 7KHUHIRUH RXU PRGHO SUHGLFWV WKDW WKH SRVLWLYH 

HIIHFW RI LQYHVWRU SURWHFWLRQ RQ JURZWK LV VWURQJHU IRU FRXQWULHV 

ZLWK ORZHU UHVWULFWLRQV :H ILQG WKDW WKH GDWD SURYLGHV VRPH 

VXSSRUW IRU WKLV SUHGLFWLRQ 

6LOYLD $UGDJQD 

:HOOHVOH\ &ROOHJH 

&R $XWKRUV $ $OHVLQD * 1LFROHWWL DQG ) 6FKLDQWDUHOOL 

5(*8/$7,21 $1' ,19(670(17 

.H\ZRUGV ,QYHVWPHQW DQG 5HJXODWLRQ 

-(/ &ODVVLILFDWLRQ ( DQG . 

2QH FRPPRQO\ KHOG YLHZ DERXW WKH GLIIHUHQFH EHWZHHQ FRQWLQHQWDO (XURSHDQ FRXQWULHV 

DQG RWKHU 2(&' HFRQRPLHV HVSHFLDOO\ WKH 8QLWHG 6WDWHV LV WKDW WKH KHDY\ UHJXODWLRQ RI 

(XURSH UHGXFHV LWV JURZWK 8VLQJ QHZO\ DVVHPEOHG GDWD RQ UHJXODWLRQ LQ VHYHUDO VHFWRUV 

RI PDQ\ 2(&' FRXQWULHV ZH SURYLGH VXEVWDQWLDO DQG UREXVW HYLGHQFH WKDW YDULRXV 

PHDVXUHV RI UHJXODWLRQ LQ WKH SURGXFW PDUNHW FRQFHUQLQJ LQ SDUWLFXODU HQWU\ EDUULHUV DUH 

QHJDWLYHO\ UHODWHG WR LQYHVWPHQW 7KH SROLF\ LPSOLFDWLRQ RI RXU DQDO\VLV LV FOHDU UHJXODWRU\ 

UHIRUPV HVSHFLDOO\ WKRVH WKDW OLEHUDOL]H HQWU\ DUH YHU\ OLNHO\ WR VSXU LQYHVWPHQW 

%86,1(66 &

.H\ZRUGV FXVWRPHU PDUNHW LQYHVWPHQW HTXDWLRQ SULFH HTXDWLRQ DQG SULFH ULJLGLW\ 


:H PRGHO D ILQDQFLDOO\ FRQVWUDLQHG ILUP FRPSHWLQJ IRU PDUNHW VKDUH DQG PDNLQJ 

LQYHVWPHQWV LQ SK\VLFDO FDSLWDO 7KH ILUP RSHUDWHV LQ D PDUNHW ZKHUH FXVWRPHUV UHVSRQG 

VORZO\ WR SULFH FKDQJHV DQG WKHUH DUH LPSOHPHQWDWLRQ ODJV LQ LQYHVWPHQW WLPH WR EXLOG 

2XU PRGHO LPSOLHV WKDW WKH PDUNXS RYHU PDUJLQDO FRVW LV FRXQWHU F\FOLFDO SURGXFW SULFH 

UHVSRQGV VORZO\ WR GHPDQG VKRFNV DQG TXLFNO\ WR FRVW VKRFNV DQG WKH SULFH LV VWURQJO\ 

UHODWHG WR LQYHVWPHQW (VWLPDWLQJ WKH GHFLVLRQ UXOHV XVLQJ DJJUHJDWH GDWD IRU 6ZHGLVK 

LQGXVWU\ ZH ILQG TXDOLWDWLYH UHVXOWV VXSSRUWLQJ RXU PRGHO $ VWURQJ UHODWLRQ EHWZHHQ 

LQYHVWPHQWV DQG SULFHV LV HVSHFLDOO\ QRWHZRUWK\ 

3DEOR %XUULHO /ORPEDUW 


&R $XWKRUV + %DNVKL + .KDQ DQG % 5XGROI 

35,&( 6(77,1* %(+$9,285 $1' ,1)/$7,21 '

GROODU HTXLYDOHQWV IHOO UDSLGO\ ZLWK WKH H[FKDQJH UDWH VWD\HG ORZ IRU WZR 

WR WKUHH \HDUV DQG WKHQ UHFRYHUHG UDSLGO\ ZKHQ HFRQRP\ SLFNHG XS 6XFK 

EHKDYLRU LV IRXQG WR EH FRQVLVWHQW ZLWK D VWLFN\ SULFH PRGHO ZLWK EDFNZDUG ORRNLQJ DJHQWV 

6WLFN\ LQIRUPDWLRQ PRGHO ILQGV OHVV VXSSRUW 

)LQDOO\ VXFK EHKDYLRU RI SULFHV LV QRW FRQVLVWHQW ZLWK IRUZDUG ORRNLQJ DJHQWV RU IOH[LEOH 

SULFHV 

*DEULHO /HH 

,QVWLWXWH IRU $GYDQFHG 6WXGLHV 

&R $XWKRUV 9 'RURIHHQNR DQG . 6DO\HU 

$*(1&< &2676 $1' %86,1(66 &


:H GHULYH VXIILFLHQW FRQGLWLRQV XQGHU ZKLFK WKH SULQFLSDO EHQHILWV IURP WKH DOWUXLVP RI WKH 

DJHQW UHJDUGLQJ WKLUG SDUWLHV $ PDMRU HIIHFW LV WKH HIIHFW RI DOWUXLVP RQ WKH DJHQW V 

PDUJLQDO XWLOLW\ IURP WUDQVIHUV $VVXPLQJ DGGLWLYH VHSDUDELOLW\ RI WKH XWLOLW\ IXQFWLRQ ZH 

FKDUDFWHUL]H WKH FRQWUDFWV DOORZLQJ WR VFUHHQ EHWZHHQ DJHQWV ZLWK GLIIHUHQW GHJUHHV RI 

DOWUXLVP /DVW ZH FRQVLGHU WKDW WKH WZR DJHQWV ZKR DUH DOWUXLVWLF ZLWK UHVSHFW WR HDFK 

RWKHU SDUWLFLSDWH LQ D FRQWUDFWXDO UHODWLRQVKLS ZLWK WZR GLIIHUHQW LQFLSDOV ,I WKHUH LV 

SXEOLF LQIRUPDWLRQ RQ FRQWUDFWV DQG RXWFRPHV DQG RQH SULQFLSDO FRQWUDFWV ILUVW ZLWK KHU 

DJHQW VKH FDQQRW LQGXFH HIIRUW LQ HTXLOLEULXP 

$QGUHDV 5RLGHU 


'(/(*$7,21 $6 $1 237,0$/ ,1&203/(7( &2175$&7 

.H\ZRUGV DXWKRULW\ GHOHJDWLRQ KROGXS DQG LQFRPSOHWH FRQWUDFWV 


0DQ\ HFRQRPLF UHODWLRQVKLSV DUH JRYHUQHG E\ FRQWUDFWV ZKLFK DUH KLJKO\ LQFRPSOHWH ,Q D 

KROGXS VHWWLQJ ZH SURYLGH IRXQGDWLRQV IRU WKLV LQFRPSOHWHQHVV :H GHULYH FRQGLWLRQV 

XQGHU ZKLFK D VLPSOH DVVLJQPHQW RI DXWKRULW\ LV RSWLPDO HYHQ WKRXJK DFWLRQV DUH 

FRQWUDFWLEOH H[ DQWH ,Q SDUWLFXODU WKLV LV WKH FDVH LI WKH SDUWLHV IDFH DQ XQGHULQYHVWPHQW 

SUREOHP DQG LI WKH SD\RII IXQFWLRQV VDWLVI\ FHUWDLQ PLOG VHSDUDELOLW\ DQG V\PPHWU\ 

FRQGLWLRQV 7KLV UHVXOW DOVR KROGV IRU D PXOWL GLPHQVLRQDO LQYHVWPHQW LI WKH LQYHVWPHQW 

FRPSRQHQWV DUH VWUDWHJLF FRPSOHPHQWV ,I RYHULQYHVWPHQW LV SRVVLEOH GHOHJDWLRQ ZLWK 

UHVWULFWHG FRPSHWHQFLHV WXUQV RXW WR EH RSWLPDO 

=RKUD %RXDPUD 0HFKHPDFKH 

8QLYHUVLW\ RI 7RXORXVH ,15$ 

&R $XWKRUV 3 %RQWHPV 

35('$725< $&&2002'$7,21 ,1 9(57,&$/ &2175$&7,1* :,7+ 

(;7(51$/,7,(6 

.H\ZRUGV EDUJDLQLQJ FRQWUDFWV ROLJRSVRQ\ SUHGDWRU\ SULFLQJ DQG YHUWLFDO UHODWLRQVKLSV 


7KH JRDO RI WKLV SDSHU LV WR DQDO\]H YHUWLFDO FRQWUDFWV EHWZHHQ PDQXIDFWXUHUV DQG UHWDLOHUV 

LQ D FKDQQHO LQFOXGLQJ WKH UDZ SURGXFWV PDUNHW 8VLQJ D 1DVK EDUJDLQLQJ IUDPHZRUN ZH 

VWXG\ WKH FRQWUDFW QHJRWLDWLRQV EHWZHHQ PDQXIDFWXUHUV DQG WKH FRPPRQ UHWDLOHU ERWK LQ D 

VLPXOWDQHRXV DQG VHTXHQWLDO JDPH 7KH ROLJRSVRQLVWLF EHKDYLRU RI PDQXIDFWXUHUV RQ WKH 

XSVWUHDP PDUNHW SURYLGHV D QHZ H[SODQDWLRQ IRU SUHGDWRU\ DFFRPPRGDWLRQ :LWK WZR 

SDUWV WDULII ZH VKRZ WKDW MRLQW SURILW RI WKH LQGXVWU\ LV QRW PD[LPLVHG DQG WKDW EHORZ 

PDUJLQDO FRVW SULFLQJ LQ WKH LQWHUPHGLDWH JRRGV PDUNHW DULVHV ZKHQ ILQDO SURGXFWV DUH 

VXEVWLWXWHV DQG PD\ EH ZHOIDUH LPSURYLQJ :H DOVR SHUIRUP FRPSDUDWLYH VWDWLFV UHJDUGLQJ 

VKRFNV RQ UDZ SURGXFW VXSSO\ SURFHVVLQJ FRVWV DQG ILQDO GHPDQG

5ROI 7LVOMDU 

%RQQ *UDGXDWH 6FKRRO RI (FRQRPLFV 

6(//,1* $ ',9,6,%/( *22' ,1 $ 02'(/ 2) %,/$7(5$/ 75$'( 

:,7+ $'9(56( 6(/(&7,21 

.H\ZRUGV DGYHUVH VHOHFWLRQ ELODWHUDO WUDGH LQIRUPHG SULQFLSDO LQWXLWLYH FULWHULRQ 

PHFKDQLVP GHVLJQ SHUIHFW %D\HVLDQ HTXLOLEULXP DQG SHUIHFW VHTXHQWLDO HTXLOLEULXP 


:H FRQVLGHU WKH VLWXDWLRQ ZKHUH DQ RZQHU RI D GLYLVLEOH JRRG ZDQWV WR VHOO SDUWV RI WKLV 

JRRG WR D SRWHQWLDO EX\HU :H DVVXPH WKDW WKH RZQHU KDV SULYDWH LQIRUPDWLRQ DERXW WKH 

TXDOLW\ RI WKH JRRG DQG DQDO\]H WKLV PRGHO DV D PHFKDQLVP GHVLJQ SUREOHP IRU DQ 

LQIRUPHG SULQFLSDO :H FKDUDFWHUL]H WKH VHW RI HTXLOLEULXP VHOOLQJ PHFKDQLVPV DQG 

HPSOR\LQJ VXLWDEOH HTXLOLEULXP UHILQHPHQW 

FULWHULD ZH GHPRQVWUDWH WKDW LW PD\ EH LPSRVVLEOH IRU WKH LQIRUPHG RZQHU WR VHOO SDUWV RI 

WKH JRRG WR WKH SRWHQWLDO EX\HU HYHQ WKRXJK LW ZRXOG EH HIILFLHQW WR GR VR 6LQFH DQ 

XQLQIRUPHG SDUW\ PD\ EH DEOH WR VXFFHVVIXOO\ LPSOHPHQW VRPH WUDGLQJ PHFKDQLVP WKDW 

PDNHV WKH LQIRUPHG SDUW\ EHWWHU RII WKH PRGHO GHPRQVWUDWHV WKDW DQ LQIRUPHG DJHQW PD\ 

EH PDGH ZRUVH RII LI SXW LQ WKH SRVLWLRQ WR GHVLJQ D PHFKDQLVP 

*$0( 7+(25< ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ % 6FKLSSHU 

'XQLD /ySH] 3LQWDGR 


&R $XWKRUV < %UDPRXOOH 6 *R\DO DQG ) 9HJD 5HGRQGR 

$XJ 

1(7:25. )250$7,21 $1' $17, &225',1$7,21 *$0(6 

.H\ZRUGV DQWL FRRUGLQDWLRQ JDPHV HIILFLHQF\ OLQNV DQG QHWZRUNV 


5RRP ' 

:H VWXG\ D VHWWLQJ LQ ZKLFK LQGLYLGXDO SOD\HUV FKRRVH WKHLU SDUWQHUV DV ZHOO DV D PRGH RI 

EHKDYLRU LQ ?WLPHV DQWL FRRUGLQDWLRQ JDPHV JDPHV ZKHUH D SOD\HU V EHVW UHVSRQVH 

LV WR EHKDYH GLIIHUHQWO\ WKDQ WKH RSSRQHQW :H FKDUDFWHUL]H WKH QDWXUH RI HTXLOLEULXP 

QHWZRUNV DV ZHOO DV VWXG\ WKH HIIHFWV RI QHWZRUN VWUXFWXUH RQ LQGLYLGXDO EHKDYLRU 2XU 

DQDO\VLV VKRZV WKDW ERWK WKH QHWZRUN DUFKLWHFWXUH DQG WKH LQGXFHG EHKDYLRU DUH FUXFLDOO\ 

GHSHQGHQW RQ WKH YDOXH RI WKH FRVW RI IRUPLQJ OLQNV ,Q JHQHUDO WKH HTXLOLEULXP 

FRQILJXUDWLRQV DUH IRXQG WR EH QHLWKHU XQLTXH QRU HIILFLHQW 7KLV FRQFOXVLRQ FRQWLQXHV WR 

KROG LI WKH SRSXODWLRQ JDPH LV HPEHGGHG LQ D VWDQGDUG HYROXWLRQDU\ PRGHO RI OHDUQLQJ 

VLQFH DOO HTXLOLEULD WXUQ RXW WR EH VWRFKDVWLFDOO\ VWDEOH 

%RXZH 'LMNVWUD 


6$0$5,7$1 96 5277(1 .,' $127+(5 /22.

.H\ZRUGV DOWUXLVP URWWHQ NLG WKHRUHP DQG 6DPDULWDQ V GLOHPPD 


:H VHW XS D WZR VWDJH JDPH ZLWK VHTXHQWLDO PRYHV E\ RQH DOWUXLVWLF DJHQW DQG Q ? 

VHOILVK DJHQWV 7KH URWWHQ NLG WKHRUHP VWDWHV WKDW WKH DOWUXLVW FDQ RQO\ UHDFK KHU ILUVW EHVW 

ZKHQ WKH VHOILVK DJHQWV PRYH EHIRUH WKH DOWUXLVW 7KH 6DPDULWDQ V GLOHPPD RQ WKH RWKHU 

KDQG VWDWHV WKDW WKH DOWUXLVW FDQ RQO\ UHDFK KHU ILUVW EHVW ZKHQ VKH PRYHV EHIRUH WKH 

VHOILVK DJHQWV :H ILQG WKDW LQ JHQHUDO WKH DOWUXLVW FDQ UHDFK KHU ILUVW EHVW ZKHQ VKH 

PRYHV ILUVW LI DQG RQO\ LI D VHOILVK DJHQW V DFWLRQ PDUJLQDOO\ RQO\ DIIHFWV KLV RZQ SD\RII 

7KH DOWUXLVW FDQ UHDFK KHU ILUVW EHVW ZKHQ VKH PRYHV ODVW LI DQG RQO\ LI D VHOILVK DJHQW 

FDQQRW PDQLSXODWH WKH SULFH RI KLV SD\RII :KHQ WKH DOWUXLVW FDQQRW UHDFK KHU ILUVW EHVW 

ZKHQ VKH PRYHV ODVW WKH RXWFRPH LV QRW 3DUHWR HIILFLHQW HLWKHU 

0\UQD :RRGHUV 


7+( $775,%87( &25( &25( &219(5*(1&( $1' 60$// *5283 

())(&7,9(1(66 7+( ())(&76 2) 3523(57< 5,*+76 

$66,*10(176 21 7+( $775,%87( &25( 

.H\ZRUGV DSSUR[LPDWH FRUHV FRUH HTXLOLEULXP HTXLYDOHQFH DQG HTXDO WUHDWPHQW 


8VLQJ WKH FRQFHSW RI WKH DWWULEXWH FRUH WKH HTXDO WUHDWPHQW FRUH RI D JDPH ZKHUH WKH 

SOD\HUV DUH LQWHUSUHWHG DV FRPPRGLWLHV WKLV SDSHU GHPRQVWUDWHV WKDW XQGHU 

ERXQGHGQHVV RI SHU FDSLWD SD\RIIV DQG D VXSHUDGGLWLYLW\ FRQGLWLRQ GLYHUVH ODUJH 

HFRQRPLHV ZKHUH SOD\HUV DUH FKDUDFWHUL]HG E\ WKHLU DWWULEXWHV DUH FRPSHWLWLYH PDUNHWV $ 

NH\ UHVXOW LV D OLPLWLQJ HTXLYDOHQFH EHWZHHQ FRUH SD\RIIV WR SOD\HUV DQG YDOXHV RI 

DWWULEXWHV ZLWK ZKLFK SOD\HUV DUH HQGRZHG JLYHQ E\ WKH OLPLWLQJ DWWULEXWH FRUH 3ULRU UHVXOWV 

DUH DSSOLHG WR VKRZ WKDW DSSUR[LPDWH FRUHV RI ODUJH EXW ILQLWH JDPHV HFRQRPLHV DVVLJQ 

DSSUR[LPDWHO\ WKH VDPH SD\RIIV WR VLPLODU DWWULEXWHV 

%XUNKDUG & 6FKLSSHU 

%RQQ *UDGXDWH 6FKRRO RI (FRQRPLFV 'HSW RI (FRQRPLFV 8QLYHUVLW\ RI %RQQ 

$ 67$7( 63$&( 6758&785( :,7+ 81$:$5(1(66 

.H\ZRUGV DZDUHQHVV ERXQGHG SHUFHSWLRQ LQFRPSOHWH LQIRUPDWLRQ LQWHUDFWLYH 

HSLVWHPRORJ\ DQG NQRZOHGJH 

-(/ &ODVVLILFDWLRQ & & ' ' DQG ' 

8QDZDUHQHVV RI DQ HYHQW LV WKH DEVHQFH RI DQ\ SRVLWLYH NQRZOHGJH RI WKLV HYHQW 'HNHO 

/LSPDQ DQG 5XVWLFKLQL E VKRZHG WKDW VWDQGDUG VWDWH VSDFH VWUXFWXUHV ZKLFK DUH 

XVHG ZLGHO\ LQ HFRQRPLF PRGHOV RI LQFRPSOHWH LQIRUPDWLRQ SUHFOXGH XQDZDUHQHVV :H 

GHILQH D JHQHUDOL]HG VWDWH VSDFH VWUXFWXUH WKDW DOORZV IRU D QRQ WULYLDO IRUP RI 

XQDZDUHQHVV ZKLOH EHLQJ VWLOO FORVH WR $XPDQQ V FRQYHQWLRQDO IRUPDOL]DWLRQ RI 

NQRZOHGJH :H LQWURGXFH D ODWWLFH RI VXEMHFWLYH VWDWH VSDFHV RUGHUHG E\ H[SUHVVLYH 

SRZHU DV ZHOO DV SURMHFWLRQV UHODWLQJ VWDWHV DFURVV VWDWH VSDFHV 'HILQLQJ HYHQWV 

QHJDWLRQ RI HYHQWV DQG WKH LQIRUPDWLRQ VWUXFWXUH LQ D VXLWDEOH ZD\ ZH GHULYH D QRQ WULYLDO 

IRUP XQDZDUHQHVV :H VKRZ WKDW WKLV JHQHUDOL]HG VWDWH VSDFH VWUXFWXUH VDWLVILHV DQDORJ 

SURSHUWLHV WR SURSRVLWLRQDO DZDUHQHVV VWUXFWXUHV D OD 0RGLFD DQG 5XVWLFKLQL DQG

+DOSHUQ DV ZHOO DV WKH GHVLGHUDWD RQ XQDZDUHQHVV SURSRVHG E\ 'HNHO /LSPDQ 

DQG 5XVWLFKLQL E 

+($/7+ (&2120,&6 , 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 5RVVL 

0DUFXV +DDFNHU 

,QWHUQDWLRQDO 0RQHWDU\ )XQG DQG /6( 

$XJ 

02'(/,1* 7+( 0$&52(&2120,& ,03$&7 2) +,9 $,'6 

5RRP ' 

.H\ZRUGV $IULFD FDSLWDO PRELOLW\ GHYHORSPHQW GXDO HFRQRP\ HFRQRPLF JURZWK DQG 

+,9 $,'6 

-(/ &ODVVLILFDWLRQ , 2 2 DQG 2 

7KH SDSHU DGGUHVVHV WKH LPSDFW RI +,9 $,'6 RQ SHU FDSLWD RXWSXW DQG 

LQFRPH ZLWK D KLJKO\ DIIHFWHG GHYHORSLQJ FRXQWU\ LQ PLQG IRFXVLQJ RQ 

WKH UROH RI ODERU PRELOLW\ EHWZHHQ WKH IRUPDO DQG LQIRUPDO VHFWRUV DQG 

WKH LPSDFW RI WKH HSLGHPLF RQ LQYHVWPHQW GHFLVLRQV 7KH VWXG\ ILQGV WKDW 

+,9 $,'6 DIIHFWV ERWK WKH VXSSO\ RI ODERU DQG WKH GHPDQG IRU ODERU LQ 

WKH IRUPDO VHFWRU 2QO\ LI WKHUH LV D VLJQLILFDQW ULVH LQ WKH 

FDSLWDO ODERU UDWLR ZLOO WKHUH EH DQ LQFUHDVH LQ IRUPDO VHFWRU 

HPSOR\PHQW +RZHYHU WKLV LV DVVRFLDWHG ZLWK D GHFOLQH LQ WKH UDWH RI 

UHWXUQ WR FDSLWDO 7R WKH H[WHQW WKDW FRPSDQLHV UHVSRQG WR WKLV E\ 

UHGXFLQJ LQYHVWPHQW FRQYHQWLRQDO PRGHOV XQGHUHVWLPDWH WKH DGYHUVH 

LPSDFW RQ HPSOR\PHQW DQG SHU FDSLWD RXWSXW 7KH DQDO\VLV RI WKH LPSDFW 

RI +,9 $,'6 RQ RXWSXW LV FRPSOHPHQWHG E\ DQ DVVHVVPHQW RI WKH LPSDFW RQ 

LQFRPH 

3DXOD *RQ]DOH] 

&25( DQG 8QLYHUVLGDG GH $OLFDQWH 

6+28/' 3+

DQG RQ WKH LPSOLFDWLRQV RI OLPLWLQJ SK\VLFLDQV SULYDWH HDUQLQJV 

0DULDFULVWLQD 5RVVL 

8QLYHUVLW\ RI 7RU 9HUJDWD 

&R $XWKRUV $ *XDULJOLD 

35,9$7( 0(',&$/ ,1685$1&( $1' 6$9,1* (9,'(1&( )520 7+( 

%5,7,6+ +286(+2/' 3$1(/ 6859(< 

.H\ZRUGV 3UHFDXWLRQDU\ VDYLQJ DQG 3ULYDWH PHGLFDO LQVXUDQFH 

-(/ &ODVVLILFDWLRQ ' ' ( DQG + 

7KLV SDSHU XVHV WKH %ULWLVK +RXVHKROG 3DQHO 6XUYH\ IRU WKH \HDUV WR WR 

LQYHVWLJDWH ZKHWKHU LQGLYLGXDOV LQ WKH 8. VDYH IRU SUHFDXWLRQDU\ PRWLYHV DJDLQVW XQFHUWDLQ 

PHGLFDO FRVWV ,Q SDUWLFXODU ZH WHVW WKH K\SRWKHVLV WKDW WKRVH LQGLYLGXDOV ZKR DUH QRW 

FRYHUHG E\ SULYDWH PHGLFDO LQVXUDQFH DQG ZKR DUH WKHUHIRUH PRUH H[SRVHG WR IDFLQJ 

XQH[SHFWHG KHDOWK FDUH H[SHQGLWXUHV RU ORVV RI LQFRPH ZKLOH ZDLWLQJ IRU WUHDWPHQW WHQG WR 

VDYH PRUH WKDQ WKRVH ZKR DUH FRYHUHG $FFRUGLQJ WR RXU ILQGLQJV ZKLFK DUH EDVHG RQ D 

ZLGH UDQJH RI HFRQRPHWULF VSHFLILFDWLRQV WKHUH LV D SRVLWLYH DVVRFLDWLRQ EHWZHHQ 

LQVXUDQFH FRYHUDJH DQG VDYLQJ VXJJHVWLQJ WKDW SULYDWH PHGLFDO LQVXUDQFH GRHV QRW FURZG 

RXW SULYDWH VDYLQJ 7KLV UHODWLRQVKLS LV KRZHYHU ZHDNHU LQ DUHDV ZKHUH SHRSOH IHHO WKH 

TXDOLW\ RI PHGLFDO IDFLOLWLHV WR EH SRRU DQG LQ UXUDO DUHDV 

/$%285 0$5.(76 (03,5,&$/ (9,'(1&( ,,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 7 )XFKV 

)UDQFLVFR /LPD 

8QLYHUVLGDGH /XVRIRQD GH +XPDQLGDGHV H 7HFQRORJLDV 

&R $XWKRUV 0 &HQWHQR 

$XJ 

5RRP ' 

:25.(5 ',63/$&0(17 $1' 35,9$7,=$7,216 (9,'(1&( )520 $ 

0$7&+(' (03/2

3LHUR &LSROORQH 

%DQN RI ,WDO\ 5HVHDUFK 'HSDUWPHQW 

&R $XWKRUV % $QGUHD 

5(7851 72 ('8&$7,21 ,1 ,7$/< 

.H\ZRUGV ,QVWUXPHQWDO YDULDEOHV DQG UHWXUQ WR HGXFDWLRQ 


,Q WKLV SDSHU ZH HVWLPDWH WKH UHWXUQ WR HGXFDWLRQ LQ ,WDO\ WKDW IURP WKH H[LVWLQJ HYLGHQFH 

VHHPV WR EH VPDOOHU WKDQ WKRVH SUHYDLOLQJ LQ RWKHU FRXQWULHV :H HVWLPDWH WKH UHWXUQ WR 

HGXFDWLRQ XVLQJ HDUQLQJ REWDLQHG IURP 6RFLDO 6HFXULW\ )LOHV LQ FRQMXQFWLRQ ZLWK \HDUV RI 

VFKRROLQJ REWDLQHG IURP /DERU )RUFH 6XUYH\ :H DGRSW DQ ,QVWUXPHQWDO 9DULDEOH 

DSSURDFK WKDW H[SORLWV DV LQVWUXPHQW WKH 0DQGDWRU\ 0LGGOH VFKRRO UHIRUP 2XU 

DQVZHU LV WKDW WKH UHWXUQ WR HGXFDWLRQ DUH LQ ,WDO\ DV KLJK DV RWKHU FRXQWULHV 2XU EHVW 

HVWLPDWHV UDQJH IURP WR SHU FHQW D \HDU GHSHQGLQJ RQ WKH PHWKRG XVHG 

9DOHQWLQH +HQUDUG 

7($0 8QLYHUVLWH 3DULV DQG &156 

7+( '(7(50,1$176 2) 75$16,7,216 )520 :$*( :25. 72 

6(/) (03/2

WKH 

LPSDFW RI VWDUW XS ILQDQFLQJ RQ WKH VWUXFWXUH RI XQHPSOR\PHQW LV RI LQWHUHVW :H XVH D 

FURVVFRXQWU\ 

SDQHO GDWD DQDO\VLV WR H[DPLQH KRZ YHQWXUH FDSLWDO LQYHVWPHQW LQIOXHQFHV GLVDJJUHJDWH 

XQHPSOR\PHQW $V ZH H[SHFWHG YHQWXUH FDSLWDO LQYHVWPHQW KDV GLIIHUHQW LQIOXHQFHV RQ 

VHFWRUDO HGXFDWLRQDO DQG RFFXSDWLRQDO VSHFLILF XQHPSOR\PHQW :H VXJJHVW RQ WKH EDVLV 

RI 

WKH UHJUHVVLRQ UHVXOWV WKDW YHQWXUH FDSLWDO LQYHVWPHQW LV D FDWDO\VW RI VWUXFWXUDO FKDQJH DQG 

KDV 

FRQWULEXWHG WR WKH IDVWHU JURZLQJ LQWHUQHW DQG QHZ HFRQRP\ VHFWRU LQ FRXQWULHV OLNH WKH 

8 6 

WKDW KDYH D ZHOO GHYHORSHG YHQWXUH FDSLWDO PDUNHW 

7$; &203(7,7,21 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ :DJHQHU 

0LFKDHO 3IOXHJHU 

',: %HUOLQ 

&R $XWKRUV $ +DXIOHU 

&2002',7< 7$; &203(7,7,21 :+(1 ),506 +$9( 0$5.(7 

32:(5 6

7KLV SDSHU H[DPLQHV FDSLWDO WD[ FRPSHWLWLRQ LQ WKH SUHVHQFH RI DQ LQWHUVWDWH WUDQVIHU SROLF\ 

ZLWKRXW IHGHUDO FRPPLWPHQW 7KH WD[ WUDQVIHU DVVLJQPHQW UHIOHFWV WKH ILVFDO DUUDQJHPHQW 

SUHYDLOLQJ LQ WKH (XURSHDQ 8QLRQ /DFN RI FRPPLWPHQW LPSOLHV WKDW WD[ SROLF\ LV FKRVHQ 

SULRU WR IHGHUDO WUDQVIHUV 7KH EDVLF UHVXOW LV WKDW H[ SRVW IHGHUDO SROLF\ LQWHUQDOL]HV 

KRUL]RQWDO ILVFDO H[WHUQDOLWLHV LQVXODWLQJ WD[ SROLF\ IURP FDSLWDO PRELOLW\ )HGHUDO SROLF\ 

KRZHYHU LQWURGXFHV D QHZ VRXUFH RI LQHIILFLHQF\ XQUHODWHG WR WD[ FRPSHWLWLRQ 6SHFLILFDOO\ 

H[ SRVW WUDQVIHU SD\PHQWV SURYH WR EH HTXLYDOHQW WR DQ LQWHUVWDWH UHYHQXH VKDULQJ V\VWHP 

ZKLFK PD\ UHQGHU IHGHUDO LQWHUYHQWLRQ LQ WKH SUHVHQFH RI ILVFDO H[WHUQDOLWLHV ZHOIDUH 

GHWHULRUDWLQJ UHODWLYH WR WD[ FRPSHWLWLRQ 

$SRVWROLV 3KLOLSSRSRXORV 

$WKHQV 8QLYHUVLW\ RI (FRQRPLFV DQG %XVLQHVV DQG &(6LIR 

&R $XWKRUV + 3DUN 

&/8% 0(0%(56+,3 81'(5 7$; &203(7,7,21 $1' )5(( 5,',1* 

.H\ZRUGV &DSLWDO PRELOLW\ &OXEV DQG )HGHUDOLVP 


:H VWXG\ WKH HQGRJHQRXV GHWHUPLQDWLRQ RI FOXE PHPEHUVKLS ZKHQ QDWLRQDO JRYHUQPHQWV 

FKRRVH WKHLU WD[ SROLFLHV QRQ FRRSHUDWLYHO\ :H VKRZ WKDW HTXLOLEULXP PHPEHUVKLS 

GHFUHDVHV ZLWK DQ\ IDFWRUV WKDW JHQHUDWH 1DVK W\SH LQHIILFLHQFLHV JURZLQJ FDSLWDO PRELOLW\ 

LV RQH VXFK IDFWRU ,Q WKH SDUWLFXODU FDVH LQ ZKLFK WKHVH LQHIILFLHQFLHV WDNH WKH IRUP RI WD[ 

FRPSHWLWLRQ DQG IUHH ULGLQJ RQH FDQ UDWLRQDOL]H WKH IRUPDWLRQ RI YHU\ VPDOO HFRQRPLF 

XQLRQV RQO\ 7KH QRUPDWLYH UHVXOW LV WKDW XQLRQ HQODUJHPHQW UHTXLUHV D VZLWFK IURP QRQ 

FRRSHUDWLYH WR FRRSHUDWLYH QDWLRQDO SROLFLHV 

$QGUHDV :DJHQHU 


&R $XWKRUV 5 3HWKLJ 

352),7 7$; &2013(7,7,21 $1' )2508/$ $33257,210(17 

.H\ZRUGV &RUSRUDWH WD[HV )RUPXOD DSSRUWLRQPHQW DQG 7D[ FRPSHWLWLRQ 


:H DQDO\VH FRUSRUDWH SURILW WD[ FRPSHWLWLRQ LQ D FRPPRQ PDUNHW ZKHUH WD[ UHYHQXHV DUH 

DOORFDWHG DFFRUGLQJ WR DQ DSSRUWLRQPHQW IRUPXOD 7D[ FRPSHWLWLRQ LV VKDUSHU WKH KLJKHU LV 

WKH WD[ HODVWLFLW\ RI WKH DSSRUWLRQPHQW IRUPXOD ZKLFK LQ WXUQ GHSHQGV RQ WKH SURSHUWLHV RI 

SURGXFWLRQ WHFKQRORJLHV :LWK IL[HG ODERXU LQSXW WD[ FRPSHWLWLRQ LV VKDUSHVW LI 

DSSRUWLRQPHQW LV EDVHG RQ SURSHUW\ VKDUHV IROORZHG E\ WKH VDOHV DQG SD\UROO VKDUHV ,I 

FDSLWDO DQG ODERXU DUH HQGRJHQRXV DQG WHFKQRORJLHV DUH &REE 'RXJODV WD[ FRPSHWLWLRQ 

XQGHU WKH SURSHUW\ DQG WKH SD\UROO VKDUH UXOH LV VKDUSHU WKDQ XQGHU WKH RXWSXW VKDUH 

IRUPXOD :KHWKHU SD\UROO RU SURSHUW\ DSSRUWLRQPHQW JHQHUDWHV VKDUSHU WD[ FRPSHWLWLRQ 

GHSHQGV RQ IDFWRU HODVWLFLWLHV

237,0$/ 7$;$7,21 

&DWHJRU\ (($ 

&KDLUSHUVRQ + 6WUXOLN 

,ULQD

7KLV SDSHU FKDUDFWHUL]HV RSWLPDO LQFRPH WD[HV LQ D G\QDPLF HFRQRP\ ZLWK KXPDQ FDSLWDO 

DFFXPXODWLRQ 7KH JRDO RI WKLV SDSHU LV WR H[SORUH LPSOLFDWLRQV RI WKH KXPDQ FDSLWDO PDUJLQ 

IRU RSWLPDO WD[ SROLFLHV DQG WR DVVHVV LWV LPSRUWDQFH 

7R VROYH WKH SUREOHP , H[WHQG WKH WRROV DQG LQVLJKWV GHYHORSHG E\ 0LUUOHHV LQWR D 

G\QDPLF IUDPHZRUN , UHIRUPXODWH WKH RSWLPDO WD[DWLRQ SUREOHP DV D GLUHFW UHYHODWLRQ JDPH 

DQG VKRZ WKH HTXLYDOHQFH EHWZHHQ WKHVH WZR IRUPXODWLRQV 7KH GLUHFW UHYHODWLRQ JDPH LV 

XVHG WR GHULYH RSWLPDO LQFRPH WD[ LQ D VWHDG\ VWDWH , DOVR DQDO\]H WKH UHODWLRQVKLS 

EHWZHHQ P\ UHVXOWV DQG RSWLPDO DOORFDWLRQV DQG WD[HV LQ D VWDWLF SUREOHP ZLWKRXW KXPDQ 

FDSLWDO , LGHQWLI\ WZR UHDVRQV ZK\ WKH RSWLPDO WD[ FRGHV ZLOO GLIIHU LI KXPDQ FDSLWDO LV 

HQGRJHQRXV , SHUIRUP QXPHULFDO VLPXODWLRQV WR FDOFXODWH WKH TXDQWLWDWLYH UHOHYDQFH RI 

WKHVH GLIIHUHQFHV 

+ROJHU 6WUXOLN 

+DPEXUJ 8QLYHUVLW\ 

7+( '

SULFH RI HQHUJ\ KDV D VWDWLVWLFDOO\ VLJQLILFDQW HFRQRPLFDOO\ LPSRUWDQW DQG UREXVW HIIHFW RQ 

D FRXQWU\V PDQXIDFWXULQJ H[SRUWV $ LQFUHDVH RI WKH UHDO ZRUOG SULFH RI HQHUJ\ LV 

HVWLPDWHG WR UHVXOW LQ D GHFUHDVH LQ PDQXIDFWXULQJ H[SRUWV 

'DQLHO 0LU]D 


7+( 52/( 2) '(0$1' ,1 7+( $'-8670(17 2) (03/2

:+< $5( )25(,*1 ),506 025( 352'8&7,9( 7+$1 '20(67,& 

),506" 

.H\ZRUGV HIILFLHQF\ 0XOWLQDWLRQDO ILUPV DQG SURGXFWLYLW\ 

-(/ &ODVVLILFDWLRQ ) / DQG 0 

,Q DQDO\]LQJ ILUP SURGXFWLYLW\ DQG HIILFLHQF\ LQ %HOJLXP WKLV SDSHU HPSLULFDOO\ VKRZV WKDW 

IRUHLJQ ILUPV DUH VLJQLILFDQWO\ PRUH SURGXFWLYH WKDQ GRPHVWLF ILUPV 7KH SURGXFWLYLW\ 

GLIIHUHQWLDO EHWZHHQ IRUHLJQ ILUPV DQG GRPHVWLF ILUPV LV H[SODLQHG E\ GLIIHUHQFHV LQ VFDOH 

DQG WHFKQLFDO HIILFLHQF\ 6WRFKDVWLF SURGXFWLRQ IURQWLHUV XVLQJ WKH WUDQVORJ IRUP LQGLFDWH 

WKDW IRUHLJQ ILUPV H[SORLW HFRQRPLHV RI VFDOH PRUH RSWLPDOO\ WKURXJK WKHLU ODUJH VFDOH DQG 

FDSLWDO LQWHQVLYH SURGXFWLRQ SURFHVVHV 7KH GLIIHUHQFHV DUH IRXQG WR EH ODUJHVW EHWZHHQ 

IRUHLJQ ILUPV DQG VLQJOH QDWLRQ %HOJLDQ ILUPV ZKLOH %HOJLDQ 01(V UHVHPEOH VWULNLQJO\ ZHOO 

WKH IRUHLJQ VXEVLGLDULHV DFWLYH LQ %HOJLXP LQ WHUPV RI UHWXUQV WR VFDOH DQG HIILFLHQF\ 

7RJHWKHU WKHVH UHVXOWV FRQILUP WKH LPSRUWDQFH RI ILUP VSHFLILF DGYDQWDJHV E\ 01(V )LUPV 

VHOI VHOHFW DQG RQO\ WKH PRVW HIILFLHQW ILUPV EHFRPH 01(V DV WKH\ NQRZ KDYH WR 

FRPSHQVDWH WKHLU OLDELOLW\ RI IRUHLJQHVV 

(;&+$1*( 5$7(6 (03,5,&$/ 

&DWHJRU\ (($ 

&KDLUSHUVRQ 5 'ULYHU 

%HUQKDUG +HU] 

8QLYHUVLW\ RI %D\UHXWK 

&R $XWKRUV & %DXHU 

$XJ 

12,6( 75$',1* $1' (;&+$1*( 5$7( 5(*,0(6 620( 

(03,5,&$/ (9,'(1&( 

5RRP ) 

.H\ZRUGV FKDUWLVWV H[FKDQJH UDWHV PRQHWDU\ SROLF\ PXOWLSOH HTXLOLEULD QRLVH QRQOLQHDU 

DQG YRODWLOLW\ 

-(/ &ODVVLILFDWLRQ ( ) ) DQG * 

7KH SDSHU H[WHQGV DQG HPSLULFDOO\ WHVWV WKH QRLVH WUDGHU H[FKDQJH UDWH PRGHO RI -HDQQH 

DQG 5RVH 4-( :H LQWURGXFH WHFKQLFDO WUDGLQJ LQ H[FKDQJH PDUNHWV DV D VRXUFH RI 

QRLVH DQG H[SOLFLWO\ LQFRUSRUDWH PRQHWDU\ DQG H[FKDQJH UDWH SROLF\ :LWK WKHVH 

PRGLILFDWLRQV LW LV SRVVLEOH WR GLUHFWO\ WHVW WKH PRGHO V SUHGLFWLRQ RI DQ 8 VKDSHG UHODWLRQ 

EHWZHHQ H[FKDQJH WUHQG DQG YRODWLOLW\ :H ILQG VWURQJ HPSLULFDO HYLGHQFH VXSSRUWLQJ WKH 

LPSOLFDWLRQV RI WKH PRGHO $V D FRUROODU\ ZH GHYHORS D PHDVXUH RI H[FHVV H[FKDQJH UDWH 

YRODWLOLW\ DQG FDWHJRUL]H H[FKDQJH UDWH UHJLPHV EDVHG RQ WKH GH IDFWR EHKDYLRU RI WKH 

H[FKDQJH UDWHV 

6HEDVWLDQR 0DQ]DQ 


&R $XWKRUV ) :HVWHUKRII

+(7(52*(1(286 (;3(&7$7,216 (;&+$1*( 5$7( '

%$1. &203(7,7,21 $*(1&< &2676 $1' 7+( 3(5)250$1&( 

2) 7+( 021(7$5< 32/,&< 

.H\ZRUGV DJHQF\ FRVWV EDQN FRPSHWLWLRQ DQG PRQHWDU\ SROLF\ 


7KLV SDSHU H[WHQGV WKH JHQHUDO HTXLOLEULXP OLWHUDWXUH RQ EDQN FRPSHWLWLRQ WR HYDOXDWH LWV 

UROH RQ WKH SHUIRUPDQFH RI PRQHWDU\ SROLF\ $ QHZ IRUPXODWLRQ RI D ILQDQFLDO FRQWUDFW 

FRQVLGHULQJ PDUNHW SRZHU E\ EDQNV DQG FRVWO\ VWDWH YHULILFDWLRQ LV SURSRVHG 1XPHULFDO 

VLPXODWLRQV SDUDPHWHUL]HG WR %UD]LO DUH SHUIRUPHG 7KH PDLQ FRQFOXVLRQV DUH *UHDWHU 

EDQN FRPSHWLWLRQ RU EHWWHU YHULILFDWLRQ WHFKQRORJ\ HQKDQFH WKH UHVSRQVH RI WKH UHDO 

HFRQRP\ DQG UHGXFH WKH UHDFWLRQ RI ERWK WKH GHIDXOW UDWH DQG WKH EDQN LQWHUHVW VSUHDG WR 

DQ LQWHUHVW UDWH VKRFN DQG 7KH LQIOXHQFH RI WKH YHULILFDWLRQ WHFKQRORJ\ LV JUHDWHU ZKHQ 

EDQNV RSHUDWH XQGHU SHUIHFW FRPSHWLWLRQ 

-DQ %RXFNDHUW 

8QLYHUVLW\ RI $QWZHUS 

&R $XWKRUV + 'HJU\VH 

62)7(1,1* &203(7,7,21 %< (1+$1&,1* (175< $1 (;$03/( 

)520 7+( %$1.,1* ,1'8675< 

.H\ZRUGV DV\PPHWULF LQIRUPDWLRQ EDQNLQJ FRPSHWLWLRQ EDUULHUV WR HQWU\ DQG VZLWFKLQJ 

FRVWV 

-(/ &ODVVLILFDWLRQ ' * DQG / 

:H VKRZ WKDW FRPSHWLQJ ILUPV UHOD[ RYHUDOO FRPSHWLWLRQ E\ ORZHULQJ IXWXUH EDUULHUV WR 

HQWU\ :H LOOXVWUDWH RXU ILQGLQJV LQ D WZR SHULRG PRGHO ZLWK DGYHUVH VHOHFWLRQ ZKHUH EDQNV 

VWUDWHJLFDOO\ FRPPLW WR GLVFORVH ERUURZHU LQIRUPDWLRQ %\ GRLQJ WKLV WKH\ LQYLWH ULYDOV WR 

HQWHU WKHLU PDUNHW 'LVFORVXUH RI ERUURZHU LQIRUPDWLRQ LQFUHDVHV DQ HQWUDQW V VHFRQG 

SHULRG SURILWV 7KLV GDPSHQV FRPSHWLWLRQ IRU VHUYLQJ WKH ILUVW SHULRG PDUNHW 

621-$ '$/781* 

5HVHDUFK 'HSDUWPHQW 6YHULJHV 5LNVEDQN 

&R $XWKRUV ( &$5/(77, DQG 9 &HUDVL 

08/7,3/( %$1. /(1',1* ',9(56,),&$7,21 $1' )5(( 5,',1* ,1 

021,725,1* 

.H\ZRUGV )LQDQFLDO LQWHUPHGLDWLRQ 0XOWLSOH EDQN OHQGLQJ 'LYHUVLILFDWLRQ 0RQLWRULQJ 


7KLV SDSHU DQDO\VHV WKH LQFHQWLYHV RI D EDQNHU WR HQWHU LQWR PXOWLSOH OHQGLQJ UHODWLRQVKLSV 

0XOWLSOH EDQN OHQGLQJ HQWDLOV VKDULQJ RI ORDQV ZLWK RWKHU EDQNV :KHQ PRQLWRULQJ LV FUXFLDO 

IRU WKH JRRG SHUIRUPDQFH RI ORDQV JLYHQ WKDW WKH RXWFRPH RI PRQLWRULQJ LV D SXEOLF JRRG 

IRU WKH SRRO RI OHQGHUV ZKLOH WKH FRVW RI PRQLWRULQJ LV SULYDWH VKDULQJ OHQGLQJ ZLWK RWKHU 

EDQNV LV FRVWO\ GXH WR IUHH ULGLQJ DQG GXSOLFDWLRQ RI HIIRUWV 1HYHUWKHOHVV WKHUH LV DQ 

LPSRUWDQW EHQHILW RI PXOWLSOH EDQN OHQGLQJ WKDW LV LW PLJKW LQFUHDVH WKH GHJUHH RI

GLYHUVLILFDWLRQ E\ VSOLWWLQJ ILQLWH UHVRXUFHV DPRQJ VHYHUDO LQGHSHQGHQW SURMHFWV %\ OHQGLQJ 

WR PDQ\ PRUH HQWUHSUHQHXUV WKH EDQN LV DEOH WR DFKLHYH D KLJKHU GHJUHH RI GLYHUVLILFDWLRQ 

WKXV FRPPLWWLQJ WR D KLJKHU OHYHO RI PRQLWRULQJ :H VKRZ WKDW WKHUH DUH FDVHV LQ ZKLFK WKLV 

EHQHILFLDO HIIHFW GRPLQDWHV WKH FRVWV RI PXOWLSOH OHQGLQJ 

,1'8675,$/ 25*$1,6$7,21 9 


&KDLUSHUVRQ - )DONLQJHU 

-RVHI )DONLQJHU 


$77(17,21 (&2120,(6 

.H\ZRUGV $XGLHQFH DOORFDWLRQ 'LYHUVLW\ 6FDUFLW\ RI DWWHQWLRQ DQG 9DOXH RI LPSDFW 


$XJ 

5RRP ( 

7KH SUHVHQWHG WKHRU\ H[SODLQV WKH EDVLF PHFKDQLVPV DW ZRUN LQ DQ HFRQRP\ LQ ZKLFK 

VHQGHUV FRPSHWH IRU DWWHQWLRQ WR LQFUHDVH WKHLU LPSDFW 7KH H[RJHQRXV IXQGDPHQWDOV DUH 

WKH VSDFH RI UHFHLYLQJ VXEMHFWV ZLWK WKHLU DWWHQWLRQ FDSDFLW\ DQG WKH SRWHQWLDO VHW RI 

FRPSHWLQJ FRPSDQLHV ZLWK WKHLU UDGLDWLRQ WHFKQRORJLHV 7KH HQGRJHQRXV YDULDEOHV 

H[SODLQHG E\ WKH WKHRU\ DUH HTXLOLEULXP DXGLHQFHV WKH FOLHQWV EHORQJLQJ WR D FRPSDQ\ 

WKHLU VLJQDO H[SRVXUH DQG DWWHQWLRQ DQG WKH HTXLOLEULXP PHDVXUH RI DFWLYH FRPSDQLHV 7KH 

WKHRU\ VXJJHVWV WKDW LQWHUQDWLRQDO LQWHJUDWLRQ RU UDQJH LQFUHDVLQJ WHFKQLFDO SURJUHVV 

GHFUHDVH JOREDO GLYHUVLW\ RI FRPSDQLHV /RFDO GLYHUVLW\ PD\ LQFUHDVH QRQHWKHOHVV 

-RUJHQ :HLEXOO 

%RVWRQ 8QLYHUVLW\ 

&R $XWKRUV 3 'XWWD DQG $ 0DWURV 

%(575$1' &203(7,7,21 :,7+ ,17(57(0325$/ '(0$1' 

.H\ZRUGV %HUWUDQG FRPSHWLWLRQ G\QDPLF ROLJRSRO\ DQG WKH &RDVH FRQMHFWXUH 

-(/ &ODVVLILFDWLRQ & ' ' ' DQG / 

,Q WKH WH[W ERRN PRGHO RI G\QDPLF ROLJRSROLVWLF FRPSHWLWLRQ ILUPV PHHW WKH VDPH GHPDQG 

IXQFWLRQ HYHU\ SHULRG %\ FRQWUDVW LI FRQVXPHUV FDQ PDNH LQWHUWHPSRUDO VXEVWLWXWLRQ 

EHWZHHQ SHULRGV WKHQ HDFK SHULRG OHDYHV VRPH UHVLGXDO GHPDQG WR IXWXUH SHULRGV DQG 

FRQVXPHUV ZKR REVHUYH GHYLDWLRQV IURP FROOXVLYH ILUP EHKDYLRU PD\ FRUUHFWO\ DQWLFLSDWH 

DQ HQVXLQJ SULFH ZDU DQG WKHUHIRUH SRVWSRQH WKHLU SXUFKDVHV $FFRUGLQJO\ WKH LQWHUDFWLRQ 

EHWZHHQ WKH ILUPV QR ORQJHU FRQVWLWXWHV D UHSHDWHG JDPH :H GHYHORS D VLPSOH PRGHO RI 

LQWHUWHPSRUDO GHPDQG DQG DQDO\]H FROOXVLYH SULFLQJ XQGHU %HUWUDQG FRPSHWLWLRQ 7KH PRUH 

SDWLHQW DQG IRUZDUG ORRNLQJ FRQVXPHUV DUH WKH HDVLHU LW LV WR FROOXGH DJDLQVW WKHP

0DUNXV 5HLVLQJHU 


7+( ())(&76 2) 352'8&7 %81'/,1* ,1 '8232/< 

.H\ZRUGV 3ULFH &RPSHWLWLRQ 3URGXFW %XQGOLQJ DQG 3URGXFW 'LIIHUHQWLDWLRQ 


7KLV SDSHU VWXGLHV WKH LQFHQWLYHV IRU PXOWLSURGXFW GXRSROLVWV WR VHOO 

WKHLU SURGXFWV DV D EXQGOH 

,W LV VKRZQ WKDW FRQWUDU\ WR WKH PRQRSRO\ FDVH EXQGOLQJ PD\ UHGXFH SURILWV DQG LQFUHDVH 

FRQVXPHU UHQW 

7KLV LV WKH FDVH LI FRQVXPHUV UHVHUYDWLRQ YDOXHV DUH 

QHJDWLYHO\ FRUUHODWHG 

7KH UHDVRQ LV WKDW EXQGOLQJ UHGXFHV FRQVXPHU KHWHURJHQHLW\ DQG PDNHV SULFH FRPSHWLWLRQ 

PRUH DJJUHVVLYH 

7KLV HIIHFW FDQ GRPLQDWH WKH SULFH GLVFULPLQDWLQJ HIIHFW )LUPV DUH LQ D SULVRQHU V GLOHPPD 

VLWXDWLRQ EHFDXVH WKH\ ZRXOG EH EHWWHU RII ZLWKRXW EXQGOLQJ 'HVSLWH WKH ORZHU SULFHV D 

ZHOIDUH ORVV RFFXUV EHFDXVH VRPH FRQVXPHUV GR QRW EX\ WKHLU SUHIHUHG SURGXFW ZKLFK 

UHVXOWV LQ GLVWULEXWLYH LQHIILFLHQF\ 

,17(51$7,21$/ (&2120,&6 ,,, 


&KDLUSHUVRQ - 1RJXHUD 

-RVH 1RJXHUD 

&HUJH (, 

&R $XWKRUV 6 /LQ] 

$ 7+(25(7,&$/ 02'(/ 2) %$57(5 ,1 5866,$ 

$XJ 

5RRP ( 

.H\ZRUGV %DUWHU LQWHUHVW UDWH PRQH\ RSSRUWXQLW\ FRVW DQG WUDQVDFWLRQ WHFKQRORJ\ 

-(/ &ODVVLILFDWLRQ ( 3 3 DQG 3 

7KLV SDSHU GHYHORSV D JHQHUDO HTXLOLEULXP PRGHO WR H[SODLQ WKH PDLQ VW\OL]HG IDFWV DERXW 

WKH JURZWK RI EDUWHU WUDQVDFWLRQV LQ 5XVVLD GXULQJ WKH V %HFDXVH RI WKH KLJK 

RSSRUWXQLW\ FRVW RI XVLQJ ILDW PRQH\ ZLWK D WLJKW HQRXJK FUHGLW PDUNHW LW PD\ EH RSWLPDO 

IRU ILUPV WR EDUWHU LI WKH\ KDYH DFFHVV WR WKDW WUDQVDFWLRQ WHFKQRORJ\ \HW WKH ULVNLHVW ILUP 

ZLOO NHHS XVLQJ PRQH\ :H DOVR FODLP WKDW LQ WKH VKRUW UXQ 5XVVLDQ PDQDJHUV PLJKW DYRLG 

UHVWUXFWXULQJ EHFDXVH LW MHRSDUGL]HV WKHLU DFFHVV WR DOWHUQDWLYH WUDQVDFWLRQ WHFKQRORJLHV 

DQG WKDW WKH SKHQRPHQRQ PLJKW WDNH SODFH LQ D ZHOO GHYHORSHG PDUNHW HFRQRP\ WRR 

5DQGDOO )LOHU 

&(5*( (, DQG &81< 

&R $XWKRUV - +DQRXVHN

(9$/8$7,1* ,03(5)(&7,216 $1' %,$6(6 ,1 35,&( ,1'(;(6 

'85,1* 75$16,7,21 

.H\ZRUGV &3, %LDV 3ULFH /LEHUDOL]DWLRQ 6XEVWLWXWLRQ %LDV DQG 7UDQVLWLRQ (FRQRPLHV 

-(/ &ODVVLILFDWLRQ & ( DQG 3 

7KH UDSLGO\ FKDQJLQJ HQYLURQPHQW RI WKH WUDQVLWLRQ PD\ FUHDWH VSHFLDO SUREOHPV IRU 

FDOFXODWLRQ RI LQGH[ QXPEHUV WKDW UHTXLUH D IL[HG EDVNHW RI JRRGV DQG UHWDLO RXWOHWV 8VLQJ 

UHIHUHQW OHYHO GDWD ZH ILQG WKDW IL[HG ZHLJKW /DVSH\UHV LQGH[ RQ DYHUDJH RYHUVWDWHG FRVW 

RI OLYLQJ LQFUHDVHV E\ DSSUR[LPDWHO\ SHU FHQW D \HDU ZKHQ FRPSDUHG ZLWK D VXSHUODWLYH 

LQGH[ LQ WKH &]HFK 5HSXEOLF 7KLV GLIIHUHQFH LV VPDOOHU WKDQ PLJKW EH H[SHFWHG JLYHQ WKH 

ODUJH FKDQJHV LQ UHODWLYH SULFHV WKDW RFFXUUHG GXULQJ WUDQVLWLRQ DQG VXJJHVWV WKDW 

FRQVXPHU VXEVWLWXWLRQ LPSDFWV PD\ KDYH EHHQ ODUJHO\ RIIVHW E\ RWKHU IDFWRUV HVSHFLDOO\ 

ULVLQJ SULFHV FRPELQHG ZLWK LQFUHDVHG FRQVXPSWLRQ RI VRPH JRRGV DV DUWLILFLDO VKRUWDJHV 

XQGHU FRPPXQLVP ZHUH UHPRYHG ,QGHHG LQ WKH SHULRG RI JUHDWHVW VXSSO\ UHVSRQVH WR 

SULFH OLEHUDOL]DWLRQ WKH /DVSH\UHV LQGH[ DSSHDUV WR XQGHUVWDWH LQFUHDVHV LQ WKH FRVW RI 

OLYLQJ 

7RU (LQDUVVRQ 

8QLYHUVLW\ RI ,FHODQG 

60$// 23(1 (&2120< 02'(/ :,7+ '20(67,& 5(6285&( 

6+2&.6 021(7$5< 81,21 25 $1 ,1'(3(1'(17 &855(1&

0DWWHR %XJDPHOOL 

%DQN RI ,WDO\ 

&R $XWKRUV 5 7('(6&+, 

35,&,1* 72 0$5.(7 $1' 0$5.(7 6758&785( 

.H\ZRUGV H[FKDQJH UDWHV H[SRUW SULFHV PDUNHW VWUXFWXUH DQG SULFLQJ WR PDUNHW 

-(/ &ODVVLILFDWLRQ ) ) DQG / 

6WLPXODWHG E\ WKH QHZ RSHQ HFRQRP\ PDFURHFRQRPLFV HPSLULFDO UHVHDUFK KDV 

UHFRQVLGHUHG WKH UROH RI H[FKDQJH UDWHV LQ LQWHUQDWLRQDO DGMXVWPHQW DQG IRXQG WKDW LW LV 

TXLWH OLPLWHG :H UHDVVHVV WKH OLQN EHWZHHQ H[FKDQJH UDWHV DQG H[SRUW SULFHV E\ 

HVWLPDWLQJ SULFLQJ WR PDUNHW HTXDWLRQV IRU D ODUJH VHW RI H[SRUWLQJ FRXQWULHV PDLQ HXUR 

DUHD FRXQWULHV 86 DQG 8. 7KH ILQH EUHDNGRZQ E\ SURGXFW DQG GHVWLQDWLRQ PDUNHW KHOS 

UHGXFH WKH DJJUHJDWLRQ ELDV DQG GLVHQWDQJOH WKH HIIHFWV RI H[SRUWHU YV GHVWLQDWLRQ PDUNHW 

YV SURGXFW FKDUDFWHULVWLFV :H FRQVLGHU VRPH WKHRUHWLFDO K\SRWKHVHV OLNH LQIODWLRQ DQG 

H[FKDQJH UDWH YRODWLOLW\ LQ GHVWLQDWLRQ FRXQWULHV H[SHFWDWLRQ RQ H[FKDQJH UDWHV PDUNHW 

VKDUHV 

021(7$5< 32/,&< ,,, 


&KDLUSHUVRQ & 0HW] 

-RDR 0DXULFLR 5RVDO 

5R\DO +ROORZD\ 8QLYHUVLW\ RI /RQGRQ 

&R $XWKRUV 0 6SDJDW 

6758&785$/ 81&(57$,17< $1' &(175$/ %$1. 

&216(59$7,60 7+( ,*125$17 6+28/' 6+87 7+(,5 (

7+( &267 &+$11(/ ,1 $ 1(: .(

IRUHFDVW YDULDWLRQ VLJQLILFDQWO\ LQIOXHQFHG WKH SUHVVXUH RQ WKH 

IL[HG 3HVR UDWH 0RUHRYHU WKH LPSDFW RI LQIRUPDWLRQ GLVSDULW\ LV 

FRQWLQJHQW RQ WKH SUHYDLOLQJ PDUNHW VHQWLPHQW )RU WKH 0H[LFDQ 

FDVH LW VHHPV WKDW WKH FHQWUDO EDQN V VWUDWHJ\ RI UHGXFLQJ 

WUDQVSDUHQF\ DERXW WKH OHYHO RI FXUUHQF\ UHVHUYHV ZDV GHWULPHQWDO 

SUHFLVHO\ EHFDXVH WKH PDUNHW ZDV JHQHUDOO\ RSWLPLVWLF ZLWK UHJDUG 

WR WKH PRQHWDU\ GHYHORSPHQW 5HJDUGLQJ LQIRUPDWLRQ DERXW WKH UHDO 

HFRQRP\ KRZHYHU ZH ILQG WKDW UDWKHU GHFUHDVLQJ XQFHUWDLQW\ 

FRPELQHG ZLWK D SHVVLPLVWLF PDUNHW VHQWLPHQW VHHPV WR KDYH 

FRQWULEXWHG WR WKH FULVLV 

(48,/,%5,80 $1$/

,55('8&,%/( (&2120,(6 $1' 67521*/< &211(&7(' *5$3+6 

.H\ZRUGV (FRQRPLHV *UDSKV DQG ,UUHGXFLELOLW\ 


,Q WKLV SDSHU ZH XVH JUDSK WKHRU\ WR GHYHORS D VXIILFLHQW FRQGLWLRQ IRU WKH H[LVWHQFH RI 

FRPSHWLWLYH HTXLOLEULD LQ HFRQRPLHV ZLWK ZHDNO\ PRQRWRQH SUHIHUHQFHV DQG ERXQGDU\ 

HQGRZPHQWV QDPHO\ & LUUHGXFLELOLW\ & LUUHGXFLELOLW\ LV ZHDNHU WKDQ 0F.HQ]LH V 

LUUHGXFLELOLW\ LQ WKDW LW JXDUDQWHHV H[LVWHQFH LQ D ZLGHU FODVV RI HFRQRPLHV 

0RUHRYHU ZKLOH 0F.HQ]LH V GHILQLWLRQ QHHGV WR EH FKHFNHG DW HDFK RI D FRQWLQXXP RI 

IHDVLEOH DOORFDWLRQV & LUUHGXFLELOLW\ QHHG RQO\ EH FKHFNHG IRU D ILQLWH VHW RI JUDSKV 

.DL 6XQ .ZRQJ 

7KH &KLQHVH 8QLYHUVLW\ RI +RQJ .RQJ 

67$%/( &203$5$7,9( 67$7,&6 

.H\ZRUGV FRUUHVSRQGHQFH SULQFLSOH ORFDO DV\PSWRWLF VWDELOLW\ DQG WDWRQQPHQW G\QDPLFV 


,W LV VKRZQ WKDW LQ D PRGHO ZLWK FRPSOHPHQWDULWHV JLYHQ DQ HTXLOLEULXP SRLQW WKDW LV 

LQWHULRU UHJXODU DQG K\SHUEROLF LI LW LV ORFDOO\ DV\PSWRWLFDOO\ VWDEOH WKHQ LW KDV ORFDO 

PRQRWRQH FRPSDUDWLYH VWDWLFV &RQYHUVHO\ JLYHQ WKDW WKH IXQFWLRQV KDYH RZQ SDUWLDO 

GHULYDWLYH OHVV WKDQ XQLW\ LI DQ LQWHULRU DQG UHJXODU IL[HG SRLQW KDV ORFDO PRQRWRQH 

FRPSDUDWLYH VWDWLFV WKHQ LW LV ORFDOO\ DV\PSWRWLFDOO\ VWDEOH ,W IROORZV WKDW DOO ORFDOO\ 

DV\PSWRWLFDOO\ VWDEOH HTXLOLEULXP SRLQWV KDYH VLPLODU FRPSDUDWLYH VWDWLFV SURSHUWLHV DQG 

YLFH YHUVD 7KHVH UHVXOWV ZKLFK DUH GHULYHG DVVXPLQJ WDWRQQHPHQW G\QDPLFV DUH 

FRQVLVWHQW ZLWK WKDW RI (FKHQLTXH ZKLFK DGRSWV DGDSWLYH G\QDPLFV LQ JDPHV ZLWK 

VWUDWHJLF FRPSOHPHQWDULWLHV 

9 )LOLSH 0DUWLQV GD 5RFKD 

&(506(0 8QLYHUVLWp 3DULV 

&R $XWKRUV & $OLSUDQWLV 0 )ORUHQ]DQR DQG 5 7RXUN\ 

(48,/,%5,80 $1$/

FRQH WKHQ (GJHZRUWK DOORFDWLRQV DQG QRQWULYLDO TXDVL HTXLOLEULD H[LVW 7KLV UHVXOW H[WHQGV 

WKH FDVH ZKHUH DV LQ $OLSUDQWLV %URZQ 3RO\UDNLV :HUQHU WKH SRVLWLYH FRQH LV D 

PRGHO )LQDOO\ FRVWV RI D GLUHFW OLQN KDYH D SRVLWLYH LPSDFW LQ 

WKH ZD\ EXW D VLJQLILFDQW QHJDWLYH LPSDFW LQ WKH ZD\ IORZ 

PRGHO :H GLVFXVV SRVVLEOH H[SODQDWLRQV IRU WKHVH UHVXOWV WKDW 

IRFXV RQ VWUDWHJLF DV\PPHWU\ DQG DV\PPHWU\ ZLWK UHVSHFW WR 

SD\RIIV 

'LUN (QJHOPDQQ 

&(5*( (, 

&R $XWKRUV $ 2UWPDQQ 

7+( 52%8671(66 2) /$%25$725< *,)7 (;&+$1*( $ 

5(&216,'(5$7,21 

.H\ZRUGV H[SHULPHQWV JLIW H[FKDQJH DQG UHFLSURFLW\ 


:H UHSRUW D JLIW H[FKDQJH H[SHULPHQW LQ ZKLFK ZH V\VWHPDWLFDOO\ YDU\ WKH IROORZLQJ 

H[SHULPHQWDO GHVLJQ DQG LPSOHPHQWDWLRQ FKDUDFWHULVWLFV WKH FKRLFH RI HTXLOLEULXP LQWHULRU 

YHUVXV FRUQHU SRLQW WKH H[WHQW RI SRWHQWLDO HIILFLHQF\ JDLQV DQG WKH FKRLFH RI IUDPHV 

DEVWUDFW YHUVXV HPSOR\HU ZRUNHU :H DOVR HPSOR\ D PDWFKLQJ PHFKDQLVP WKDW KDV EHHQ 

VKRZQ WR EHVW SUHVHUYH WKH QDWXUH RI RQH VKRW LQWHUDFWLRQV URWDWLRQ 0XFK RI WKH 

REVHUYHG SOD\ RI RXU SDUWLFLSDQWV HVSHFLDOO\ UHVSRQGHUV LV DW RU FORVH WR HTXLOLEULXP 2XU 

UHVXOWV WKHUHIRUH VWDQG LQ VWDUN FRQWUDVW WR PXFK RI ZKDW KDV EHHQ UHSRUWHG LQ WKH 

OLWHUDWXUH 6SHFLILFDOO\ ZH ILQG OLWWOH HYLGHQFH IRU SRVLWLYH UHFLSURFLW\ EXW VXEVWDQWLDO 

HYLGHQFH IRU QHJDWLYH UHFLSURFLW\ 2XU UHVXOWV VXJJHVW WKDW ODERUDWRU\ JLIW H[FKDQJH LV 

KLJKO\ VHQVLWLYH WR WKH SDUDPHWHUL]DWLRQ RI WKH PRGHO DQG LPSOHPHQWDWLRQ FKDUDFWHULVWLFV 

DQG TXHVWLRQ WKH FRPPRQ EHOLHI WKDW WUXVW DQG UHFLSURFLW\ DUH UREXVW SKHQRPHQD 

8GD\ 5DMDQ 


&R $XWKRUV & 3DUORXU DQG 9 3UDVQLNDU 

7+( :,11(5 6 &856( 7+(25< $1' (;3(5,0(176 

.H\ZRUGV &RPPRQ 9DOXH $XFWLRQ DQG ([SHULPHQWV 


:H FRQGXFW H[SHULPHQWV RQ FRPPRQ YDOXH DXFWLRQV ZLWK UDWLRQLQJ ,Q HDFK DXFWLRQ WKH 

JRRG LV UDQGRPO\ DOORFDWHG WR HDFK RI WKH N KLJKHVW ELGGHUV DW WKH N A^VW` KLJKHVW 

SULFH $V WKH GHJUHH RI UDWLRQLQJ LQFUHDVHV WKH WKHRUHWLFDO ZLQQHU V FXUVH GHFUHDVHV DQG 

WKH HTXLOLEULXP ELG IXQFWLRQ LQFUHDVHV ([SHULPHQWDOO\ ZH ILQG WKDW 

ELGGHUV VXIIHU IURP WKH ZLQQHU V FXUVH DQG ORVH PRQH\ RQ DYHUDJH +RZHYHU WKH ELGV LQ 

WKH H[SHULPHQWV GR DGMXVW LQ WKH 

DSSURSULDWH GLUHFWLRQ DV WKH GHJUHH RI UDWLRQLQJ FKDQJHV SURYLGLQJ VXSSRUW IRU WKH 

FRPSDUDWLYH VWDWLFV LPSOLFDWLRQV RI WKH WKHRU\ :H GHPRQVWUDWH WKH FRQQHFWLRQ EHWZHHQ 

WKH H[SHULPHQWDO UHVXOWV DQG D WKHRUHWLFDO PHDVXUH RI WKH ZLQQHU V FXUVH 2XU UHVXOWV DUH 

FRQVLVWHQW ZLWK VXEMHFWV KDYLQJ DQ LQWXLWLYH XQGHUVWDQGLQJ RI WKH ZLQQHU V FXUVH EXW EHLQJ 

XQDEOH WR FRPSXWH WKH HTXLOLEULXP ELG OHYHOV

,1685$1&( $1' 62&,$/ 6(&85,7< 


&KDLUSHUVRQ . 6XHO]OH 

%M|UQ 3HUVVRQ 


&R $XWKRUV - :HLEXOO 

$XJ 

$/758,60 $6 $ &$86( 2) ,1685$1&( 0$5.(7 )$,/85( 

.H\ZRUGV $OWUXLVP $V\PPHWULF LQIRUPDWLRQ DQG ,QVXUDQFH PDUNHW 


5RRP ( 

:H GHYHORS D PRGHO LQ RUGHU WR VWXG\ WKH HIIHFW RI DOWUXLVP RQ LQGLYLGXDOV LQVXUDQFH 

GHFLVLRQV 2XU PDLQ UHVXOWV LQGLFDWH WKDW DOWUXLVP FDQ KDYH D GHWULPHQWDO HIIHFW RQ 

LQVXUDQFH PDUNHWV LQ D VHWWLQJ ZKHUH WKH LQGLYLGXDOV DUH LGHQWLFDO ,I KRZHYHU LQGLYLGXDOV 

GLIIHU PXFK DV WR WKH ULVN DQG WKHVH LQGLYLGXDO ULVNV DUH REVHUYHG E\ WKH LQVXUHUV WKHQ ZH 

ILQG WKDW WKH GHJUHH RI DOWUXLVP PXVW EH SHUKDSV XQUHDOLVWLFDOO\ KLJK LQ RUGHU IRU DOWUXLVP 

WR FDXVH LQVXUDQFH PDUNHW IDLOXUH ,Q WKH FDVH RI DV\PPHWULF LQIRUPDWLRQ ORZ OHYHOV RI 

DOWUXLVP LQFUHDVHV WKH QXPEHU RI HTXLOLEULD ZKLOH KLJK OHYHOV RI DOWUXLVP NQRFNV RXW DOO 

LQVXUDQFH HTXLOLEULD 

,Q IXWXUH ZRUN ZH SODQ WR DGGUHVV WR ZKDW H[WHQW D SXEOLF LQVXUDQFH VFKHPH ZLOO DIIHFW WKH 

LQFHQWLYHV WR SXUFKDVH DGGLWLRQDO SULYDWH LQVXUDQFH 

.DL 6XHO]OH 

LIR ,QVLWXWH IRU (FRQRPLF 5HVHDUFK 0XQLFK 

&R $XWKRUV $ :DPEDFK 

,1685$1&( ,1 $ 0$5.(7 )25 &5('(1&( *22'6 

.H\ZRUGV FUHGHQFH JRRGV LQVXUDQFH IUDXG DQG VXSSOLHU LQGXFHG GHPDQG 

-(/ &ODVVLILFDWLRQ ' ' * DQG , 

:H VWXG\ WKH LPSDFW RI YDULDWLRQV LQ WKH GHJUHH RI LQVXUDQFH RQ WKH DPRXQW RI IUDXG LQ D 

SK\VLFLDQ SDWLHQW UHODWLRQVKLS ,Q D PDUNHW IRU FUHGHQFH JRRGV ZKHUH SULFHV DUH UHJXODWHG 

E\ DQ DXWKRULW\ SK\VLFLDQV DFW DV H[SHUWV 'XH WR WKHLU LQIRUPDWLRQDO DGYDQWDJH 

SK\VLFLDQV KDYH DQ LQFHQWLYH WR FKHDW E\ SUHWHQGLQJ WR SHUIRUP LQDSSURSULDWHO\ 

KLJK WUHDWPHQW OHYHOV OHDGLQJ WR RYHUFKDUJLQJ SDWLHQWV 

2XU DSSURDFK DLPV RQ WKH LPSDFW RQ FKDQJHV LQ HDFK SDWLHQWV DQG SK\VLFLDQV LQFHQWLYH 

VWUXFWXUH ZKHQ WKH SURSRUWLRQDO GHJUHH RI FRLQVXUDQFH YDULHV ,W LV VKRZQ WKDW D KLJKHU 

FRLQVXUDQFH UDWH PD\ OHDG WR HLWKHU OHVV IUDXG LQ WKH PDUNHW DQG D ORZHU 

SUREDELOLW\ RI SDWLHQWV VHDUFKLQJ IRU VHFRQG RSLQLRQV RU PRUH IUDXG DQG PRUH VHDUFKHV 

:H DOVR VKRZ WKDW D KLJKHU FRLQVXUDQFH UDWH FRUUHVSRQGV ZLWK D KLJKHU OHYHO RI SK\VLFLDQV 

VSHFLDOL]LQJ

-XDQ $QWRQLR /DFRPED 

8QLYHUVLGDG 'H *UDQDGD 

,6 ,7 %(77(5 $ 025( )/(;,%/( 5(7,5(0(17 6&+(0(" 

.H\ZRUGV HDUQLQJ UHODWHG SHQVLRQ IOH[LEOH VFKHPH DQG PDQGDWRU\ UHWLUHPHQW 


:H FRPSDUH D 6RFLDO 6HFXULW\ V\VWHP ZLWK IOH[LEOH UHWLUHPHQW ZLWK RQH ZLWK PDQGDWRU\ 

UHWLUHPHQW 7KH ILQDO UHVXOW ZLOO GHSHQG RQ WKH ZDJH GLVWULEXWLRQ DQG WKH HODVWLFLW\ RI WKH 

ODERU VXSSO\ ,I WKH IOH[LEOH VFKHPH LV UHODWHG WR D ELJJHU VL]H RI WKH SHQVLRQ V\VWHP LW ZLOO 

DOZD\V EH SUHIHUHG E\ WKH PDMRULW\ RI WKH SRSXODWLRQ ,Q WKH RSSRVLWH FDVH QRW DOZD\V 

DOWKRXJK WKHUH ZLOO EH FDVHV ZKHUH D FRDOLWLRQ LQ IDYRU RI WKH IOH[LEOH VFKHPH IRUPHG E\ 

WKH SRRUHVW DQG WKH ULFKHVW SHRSOH ZLOO FRQWDLQ PRUH WKDQ RI WKH SRSXODWLRQ HYHQ 

ZLWK ORZHU UHWLUHPHQW EHQHILWV 

3LHUUH

.H\ZRUGV KRUL]RQWDO DQG YHUWLFDO FRPSHWLWLRQ DQG WRXUQDPHQWV 

-(/ &ODVVLILFDWLRQ ' + DQG / 

:H GHYHORS D VW\OL]HG PRGHO RI KRUL]RQWDO DQG YHUWLFDO FRPSHWLWLRQ LQ WRXUQDPHQWV ZLWK WZR 

FRPSHWLQJ ILUPV 7KH VSRQVRU FDUHV DERXW WKH TXDOLW\ RI WKH GHVLJQ EXW DOVR DERXW WKH 

GHVLJQ ORFDWLRQ $ SULRUL QRW HYHQ WKH VSRQVRU NQRZV KLV SUHIHUUHG GHVLJQ ORFDWLRQ ZKLFK 

LV RQO\ GLVFRYHUHG RQFH KH KDV VHHQ WKH DFWXDO SURSRVDOV :H VKRZ WKDW WKH PRUH HIILFLHQW 

ILUP LV PRUH OLNHO\ WR EH FRQVHUYDWLYH ZKHQ FKRRVLQJ WKH GHVLJQ ORFDWLRQ $OVR WR JHW VRPH 

GLIIHUHQWLDWLRQ LQ GHVLJQ ORFDWLRQV WKH FRVW GLIIHUHQFH EHWZHHQ FRQWHVWDQWV FDQ QHLWKHU EH 

WRR VPDOO QRU WRR ELJ 7KHUHIRUH LI WKH VSRQVRU PDLQO\ FDUHV DERXW WKH GHVLJQ ORFDWLRQ 

SDUWLFLSDWLRQ LQ WKH WRXUQDPHQWV E\ WKH WZR ORZHVW FRVW FRQWHVWDQWV FDQQRW EH RSWLPDO IRU 

WKH VSRQVRU 

$OH[DQGHU .RQRYDORY 


&R $XWKRUV 6 *R\DO DQG - 0RUDJD *RQ]DOH] 

1(7:25. )2506 2) 25*$1,=$7,21 ,1 5 ' 

.H\ZRUGV FRPSOHPHQWDULW\ QHWZRUNV ROLJRSRO\ 5 DPS ' DQG VWUDWHJLF VWDELOLW\ 

-(/ &ODVVLILFDWLRQ & ' / / DQG 2 

:H FRQVLGHU D VHWWLQJ ZKHUH LQGLYLGXDO ILUPV PDNH LQYHVWPHQWV LQ FRVW UHGXFLQJ 5 ' 

7KHVH LQYHVWPHQWV FDQ EH LQ LQGHSHQGHQW SULYDWH SURMHFWV RU LQ MRLQW SURMHFWV ZLWK RWKHU 

ILUPV 2XU LQWHUHVW LV LQ WKH UHODWLRQ EHWZHHQ WKH OHYHO RI FROODERUDWLYH DFWLYLW\ DQG WKH 

LQFHQWLYHV WR FRQGXFW 5 ' :H ILQG WKDW HTXLOLEULXP 5? ' LQYHVWPHQWV LQ ERWK SULYDWH DV 

ZHOO DV MRLQW SURMHFWV DUH LQFUHDVLQJ LQ WKH OHYHO RI FROODERUDWLYH DFWLYLW\ +RZHYHU WKH 

SURSRUWLRQ RI LQYHVWPHQW LQ SULYDWH SURMHFWV LV JUHDWHU WKDQ WKH OHYHO WKDW LV FROOHFWLYHO\ 

GHVLUDEOH ERWK IRU ILUPV DV ZHOO DV VRFLDOO\ :H DOVR ILQG WKDW VRFLDO ZHOIDUH LV LQFUHDVLQJ 

EXW LQGLYLGXDO DQG DJJUHJDWH SURILWV RI ILUPV DUH GHFUHDVLQJ LQ WKH OHYHO RI FROODERUDWLYH 

DFWLYLW\ :H DOVR ILQG WKDW WKH PD[LPDO OHYHO RI FROODERUDWLRQ UHIOHFWHG LQ D FRPSOHWH 

QHWZRUN LV VWUDWHJLFDOO\ VWDEOH 

5REHUW +XQW 

)HGHUDO 5HVHUYH %DQN RI 3KLODGHOSKLD 

3$7(17$%,/,7< ,1'8675< 6758&785( $1' ,1129$7,21 

.H\ZRUGV '\QDPLF 3DWHQW 5DFHV DQG ,QWHOOHFWXDO 3URSHUW\ 


7KLV SDSHU SUHVHQWV 

D PRGHO RI VHTXHQWLDO LQQRYDWLRQ LQ ZKLFK LQGXVWU\ VWUXFWXUH LV HQGRJHQRXV DQG D VWDQGDUG 

RI 

SDWHQWDELOLW\ GHWHUPLQHV WKH SURSRUWLRQ RI DOO LQYHQWLRQV WKDW TXDOLI\ IRU SURWHFWLRQ 7KHUH LV 

D XQLTXH 

SDWHQWDELOLW\ VWDQGDUG RU LQYHQWLYH VWHS WKDW PD[LPL]HV WKH UDWH RI LQQRYDWLRQ E\ 

PD[LPL]LQJ WKH QXPEHU 

RI ILUPV HQJDJHG LQ 5 ' 6XUSULVLQJO\ WKLV VWDQGDUG LV PRUH VWULQJHQW IRU LQGXVWULHV 

GLVSRVHG WR

LQQRYDWH UDSLGO\ ,I D VLQJOH VWDQGDUG LV DSSOLHG WR KHWHURJHQHRXV LQGXVWULHV LW ZLOO 

HQFRXUDJH HQWU\ DQG 

WKHUHIRUH LQQRYDWLRQ LQ VRPH LQGXVWULHV ZKLOH GLVFRXUDJLQJ LW LQ RWKHUV 7KH PRGHO 

VXJJHVWV D QXPEHU RI 

LPSRUWDQW LPSOLFDWLRQV IRU SDWHQW SROLF\ 

,JQDFLR 3DODFLRV +XHUWD 


&R $XWKRUV 2 9ROLM 

7+( 0($685(0(17 2) ,17(//(&78$/ ,1)/8(1&( 

.H\ZRUGV $[LRPDWLF $SSURDFK ,QIOXHQFH DQG 5DQNLQJ 3UREOHP 


:H H[DPLQH WKH SUREOHP RI PHDVXULQJ LQIOXHQFH EDVHG RQ WKH LQIRUPDWLRQ FRQWDLQHG LQ 

WKH GDWD RQ FRPPXQLFDWLRQV EHWZHHQ VFKRODUO\ SXEOLFDWLRQV MXGLFLDO GHFLVLRQV SDWHQWV 

ZHE SDJHV DQG RWKHU HQWLWLHV 7KH PHDVXUHPHQW RI LQIOXHQFH LV XVHIXO WR DGGUHVV 

HPSLULFDO TXHVWLRQV VXFK DV UHSXWDWLRQ SUHVWLJH WKH GLIIXVLRQ RI NQRZOHGJH WKH PDUNHWV 

IRU VFLHQWLVWV DQG VFLHQWLILF SXEOLFDWLRQV WKH G\QDPLFV RI LQQRYDWLRQ UDQNLQJ DOJRULWKPV RI 

VHDUFK HQJLQHV LQ WKH :RUOG :LGH :HE DQG RWKHUV :H DVN ZK\ DQ\ JLYHQ PHWKRGRORJ\ 

LV UHDVRQDEOH DQG LQIRUPDWLYH DSSO\LQJ WKH D[LRPDWLF PHWKRG :H ILQG WKDW D XQLTXH 

UDQNLQJ PHWKRG FDQ EH FKDUDFWHUL]HG E\ PHDQV RI ILYH D[LRPV DQRQLPLW\ LQYDULDQFH WR 

FLWDWLRQ LQWHQVLW\ ZHDN KRPRJHQHLW\ ZHDN FRQVLVWHQF\ DQG LQYDULDQFH WR VSOLWWLQJ RI 

MRXUQDOV 7KLV PHWKRG LV HDVLO\ LPSOHPHQWDEOH DQG WXUQV RXW WR EH GLIIHUHQW IURP WKRVH 

UHJXODUO\ XVHG LQ VRFLDO DQG QDWXUDO VFLHQFHV DUWV DQG KXPDQLWLHV DQG FRPSXWHU VFLHQFH 

(;&+$1*( 5$7(6 (03,5,&$/ ,,, 


&KDLUSHUVRQ * 'XIUpQRW 

-DYLHU 2UGyxH] 

-DXPH , 8QLYHUVLW\ 'HSDUWPHQW RI (FRQRPLFV 

&R $XWKRUV 0 &DPDUHUR DQG & 7DPDULW 

7+( (852 '2//$5 (;&+$1*( 5$7( ,6 ,7 )81'$0(17$/" 

$XJ 

5RRP ) 

.H\ZRUGV FRLQWHJUDWLRQ GROODU (XUR ]RQH SDQHO UHDO H[FKDQJH UDWH DQG WLPH VHULHV 


,Q WKLV SDSHU ZH KDYH DSSOLHG WZR WHFKQLTXHV WR WKH VWXG\ RI WKH HYROXWLRQ RI WKH GROODU UHDO 

H[FKDQJH UDWH LQ UHODWLRQ ZLWK WKH (XUR DUHD FXUUHQFLHV )LUVW XVLQJ SDQHO WHFKQLTXHV IRU 

WKH ODUJHU HXUR DUHD FRXQWULHV &DQDGD WKH 8. DQG -DSDQ 6HFRQG LQ D WLPH VHULHV 

IUDPHZRUN ZH XVH (XUR DUHD DJJUHJDWH RU CCV\QWKHWLF YDULDEOHV WR VWXG\ WKH EHKDYLRU RI 

WKH GROODU (XUR UHDO H[FKDQJH UDWH 7KH VHOHFWHG VSHFLILFDWLRQ REWDLQHG XVLQJ WKH SDQHO 

DQG WKH WLPH VHULHV WHFKQLTXHV DUH ERWK TXDOLWDWLYH DQG TXDQWLWDWLYH YHU\ VLPLODU ERWK 

VXSSO\ DQG GHPDQG YDULDEOHV DUH VLJQILFDQW DOWKRXJK WKH UHDO RLO SULFH LV H[FOXGHG IURP 

WKH ORQJ UXQ HTXDWLRQ 6RPH KHWHURJHQHLW\ KRZHYHU LV GHWHFWHG LQ WKH SDQHO IRU WKH UHDO

LQWHUHVW UDWH DQG WKH SURGXFWLYLW\ GLIIHUHQWLDOV 

&KLDUD 2VEDW 

(XURSHDQ &HQWUDO %DQN DQG (XURSHDQ 8QLYHUVLW\ ,QVWLWXWH 

$1 , ? &2,17(*5$7,21 $1$/


7KLV SDSHU LQYHVWLJDWHV WKH DV\PPHWULF DQG SHUVLVWHQW DGMXVWPHQW RI WKH (XURSHDQ UHDO 

H[FKDQJH UDWHV XVLQJ WKH IUDPHZRUN RI QRQOLQHDU FRLQWHJUDWLRQ :H H[SODLQ HSLVRGHV RI 

VORZ PHDQ UHYHUVLRQ G\QDPLFV RYHU WKH SHULRG $ WHVW RI XQLW URRW DJDLQVW 

67$5 DOWHUQDWLYHV LV SURSRVHG DQG ZH SURYLGH FRPSOHWH HVWLPDWLRQ RI (67$5 PRGHOV 

&RPELQLQJ ERWK JHQHUDOL]HG LPSXOVH UHVSRQVH IXQFWLRQV DQG PLVDOLJQPHQW IXQFWLRQ ZH 

FRQFOXGH WR WKH SUHVHQFH RI HIIHFWLYH QRQOLQHDU DGMXVWPHQW DQG KLJKO\ SHUVLVWHQW G\QDPLFV 

*$5&+ 02'(/6 


&KDLUSHUVRQ 0 /DQQH 

'HQLV 3HOOHWLHU 

8QLYHUVLW\ RI 0RQWUHDO 

5(*,0( 6:,7&+,1* )25 '

XVH DQ LQILQLWH VHULHV UHSUHVHQWDWLRQ RI *$5&+ PRGHOV LQ WHUPV RI PDUWLQJDOH GLIIHUHQFHV 

LQQRYDWLRQV UHIHUUHG WR DV 0' $5&+ UHSUHVHQWDWLRQ 7KLV DOORZV IRU WKH FDVH RI 

K\SHUEROLFDOO\ GHFD\LQJ VTXDUH VXPPDEOH ZHLJKWLQJ FRHIILFLHQWV &RQGLWLRQV IRU WKH 

H[LVWHQFH QRQ QHJDWLYLW\ DQG FRYDULDQFH VWDWLRQDULW\ RI WKH 0' $5&+ VHTXHQFHV DUH 

GHULYHG DQG WKH IXQFWLRQDO OLPLW RI QRUPDOL]HG SDUWLDO VXPV RI WKH SURFHVV LV VWXGLHG 

$SSOLFDWLRQV RI ORQJ PHPRU\ 0' $5&+ SURFHVVHV LQFOXGH YRODWLOLW\ PRGHOLQJ DQG KLJK 

IUHTXHQF\ ILQDQFLDO GDWD HFRQRPHWULFV 

3HWHU /LOGKROGW 

0RQHWDU\ ,QVWUXPHQWV DQG 0DUNHWV %DQN RI (QJODQG 

(67,0$7,21 2) *$5&+ 02'(/6 %$6(' 21 23(1 &/26( +,*+ 

$1' /2: 35,&(6 

.H\ZRUGV *$5&+ *$5&+ HVWLPDWLRQ EDVHG RQ LQWUDGDLO\ GDWD RSHQ FORVH KLJK ORZ 

SULFHV DQG UDQJH EDVHG YRODWLOLW\ HVWLPDWLRQ 


:H SURSRVH D PD[LPXP OLNHOLKRRG HVWLPDWRU IRU *$5&+ PRGHOV ZKLFK LQFRUSRUDWHV 

LQWUDGDLO\ KLJK DQG ORZ SULFHV LQ DGGLWLRQ WR RSHQ DQG FORVH SULFHV 6LPXODWLRQV LQGLFDWH 

WKDW WKH LQIRUPDWLRQDO FRQWHQW RI KLJK DQG ORZ SULFHV LQGXFHV ODUJH HIILFLHQF\ JDLQV ZKLFK 

LV FRQVLVWHQW ZLWK WKHRU\ 

$Q HPSLULFDO DSSOLFDWLRQ WR WKH ); PDUNHW VXSSRUWV WKH FRPPRQ ILQGLQJ RI D KLJKO\ 

SHUVLVWHQW *$5&+ PRGHO XVLQJ RSHQ DQG FORVH SULFHV +RZHYHU LQFOXVLRQ RI KLJK ORZ 

SULFHV LQWR WKH HVWLPDWLRQ SURFHGXUH FKDQJHV WKDW SLFWXUH 3HUVLVWHQF\ RI WKH SURFHVV 

GURSV DQG D *$5&+ PRGHO LV IRXQG 7KH PRGHO FDQ EH LQWHUSUHWHG DV D WZR 

FRPSRQHQW *$5&+ PRGHO ZLWK D KLJKO\ SHUVLVWHQW FRPSRQHQW DQG D VKRUW OLYHG 

FRPSRQHQW 

0DUNNX /DQQH 

8QLYHUVLW\ RI -\YlVN\Ol DQG 8QLYHUVLW\ RI +HOVLQNL 

&R $XWKRUV 3 6DLNNRQHQ 

121/,1($5 *$5&+ 02'(/6 )25 +,*+/< 3(56,67(17 

92/$7,/,7< 

.H\ZRUGV ([FKDQJH UDWH YRODWLOLW\ DQG 1RQOLQHDU *$5&+ PRGHOV 


,Q WKLV SDSHU ZH VWXG\ D QHZ FODVV RI QRQOLQHDU *$5&+ PRGHOV 6SHFLDO LQWHUHVW LV 

GHYRWHG WR PRGHOV WKDW DUH VLPLODU WR SUHYLRXVO\ LQWURGXFHG VPRRWK WUDQVLWLRQ *$5&+ 

PRGHOV H[FHSW IRU WKH QRYHO IHDWXUH WKDW D ODJJHG YDOXH RI FRQGLWLRQDO YDULDQFH LV XVHG DV 

WKH WUDQVLWLRQ YDULDEOH $ VXLWDEOH VSHFLILFDWLRQ RI WKH QHZ PRGHO VKRXOG EH VXSHULRU WR 

SUHYLRXV PRGHOV LI KLJK SHUVLVWHQFH LQ FRQGLWLRQDO YDULDQFH LV UHODWHG WR UHODWLYHO\ 

LQIUHTXHQW FKDQJHV LQ UHJLPH 8VLQJ WKH WKHRU\ RI 0DUNRY FKDLQV ZH SURYLGH VXIILFLHQW 

FRQGLWLRQV IRU WKH VWDWLRQDULW\ DQG H[LVWHQFH RI PRPHQWV RI YDULRXV VPRRWK WUDQVLWLRQ 

*$5&+ PRGHOV DQG HYHQ PRUH JHQHUDO QRQOLQHDU *$5&+ PRGHOV (PSLULFDO DSSOLFDWLRQV 

WR WZR H[FKDQJH UDWH UHWXUQ VHULHV VKRZ WKDW RXU QHZ PRGHO FDQ EH VXSHULRU WR WKH 

FRQYHQWLRQDO *$5&+ PRGHO DQG IUDFWLRQDOO\ LQWHJUDWHG *$5&+ PRGHO HVSHFLDOO\ LQ ORQJHU 

WHUP IRUHFDVWLQJ

$%285 6833/< ,, 


&KDLUSHUVRQ 0 &RVWD 'LDV 

1DGLD -RXEHUW 

8QLYHUVLW\ RI /\RQ *$7( DQG &,53(( 

&R $XWKRUV % )RUWLQ DQG * /DFURL[ 

$XJ 

$1 (&2120(75,& 02'(/ 2) /$%285 6833/< ,1 7+( 

81'(5*5281' (&2120< 

5RRP ) 

.H\ZRUGV 'HFLVLRQV XQGHU 8QFHUWDLQW\ 6LPXODWHG )XOO ,QIRUPDWLRQ 0D[LPXP /LNHOLKRRG 

6RFLDO 7UDQVIHUV 7D[DWLRQ DQG 8QGHUJURXQG (FRQRP\ 

-(/ &ODVVLILFDWLRQ & ' + DQG - 

7KLV SDSHU SUHVHQWV D PRGHO RI ODERXU VXSSO\ LQ WKH UHJXODU DQG LUUHJXODU VHFWRUV ZKLFK 

LQFRUSRUDWHV WKH WD[ V\VWHP 7KH WKHRUHWLFDO PRGHO LV EDVHG RQ WKH VWDQGDUG WD[ HYDVLRQ 

PRGHO ZLWK HQGRJHQRXV LQFRPH 7KH SDUDPHWHUV DUH HVWLPDWHG E\ VLPXODWHG IXOO 

LQIRUPDWLRQ PD[LPXP OLNHOLKRRG RQ LQGLYLGXDO &DQDGLDQ GDWD :H FRQWURO IRU WKH 

HQGRJHQHLW\ RI DXGLWV DQG SHQDOWLHV E\ HVWLPDWLQJ D VLPXOWDQHRXV HTXDWLRQ V\VWHP WKDW 

LQFOXGHV KRXUV RI ZRUN LQ ERWK VHFWRUV YLUWXDO LQFRPH UHJXODU QHW ZDJH DQG H[SHFWHG 

LUUHJXODU ZDJH :H ILQG WKDW WD[ SROLFLHV DIIHFW WKH ODERXU VXSSO\ RQ ERWK VHFWRUV 7KH GDWD 

UHMHFW WKH DVVXPSWLRQV RI SHUIHFW VXEVWLWXWDELOLW\ EHWZHHQ KRXUV RI ZRUN DQG WKDW RI 

DGGLWLYH VHSDUDELOLW\ RI WKH XWLOLW\ IXQFWLRQ 

6DUDK %URZQ 


&R $XWKRUV / )DUUHOO DQG 0 +DUULV 

:+2 $5( 7+( 6(/) (03/2

0 'DQLHOH 3DVHUPDQ 


&R $XWKRUV 6 &RKHQ 

0$66 0,*5$7,21 72 ,65$(/ $1' 1$7,9(6 (03/2

&ODXGLR 0RUDQD 

8QLYHUVLW\ RI 3LHPRQWH 2ULHQWDOH 

)5(48(1&< '20$,1 35,1&,3$/ &20321(176 (67,0$7,21 2) 

)5$&7,21$//< &2,17(*5$7(' 352&(66(6 

.H\ZRUGV IUDFWLRQDO FRLQWHJUDWLRQ IUHTXHQF\ GRPDLQ DQG ORQJ PHPRU\ 


,Q WKLV SDSHU ZH VWXG\ WKH ]HUR IUHTXHQF\ VSHFWUDO SURSHUWLHV RI IUDFWLRQDOO\ FRLQWHJUDWHG 

ORQJ PHPRU\ SURFHVVHV DQG LQWURGXFH D QHZ IUHTXHQF\ GRPDLQ SULQFLSDO FRPSRQHQWV 

HVWLPDWRU RI WKH FRLQWHJUDWLRQ VSDFH DQG WKH IDFWRU ORDGLQJ PDWUL[ IRU WKH ORQJ PHPRU\ 

IDFWRUV :H ILQG WKDW IRU IUDFWLRQDOO\ GLIIHUHQFHG IUDFWLRQDOO\ FRLQWHJUDWHG SURFHVVHV WKH 

VTXDUHG PXOWLSOH FRKHUHQFH DW WKH ]HUR IUHTXHQF\ LV HTXDO WR RQH WKH VSHFWUDO GHQVLW\ 

PDWUL[ DW WKH ]HUR IUHTXHQF\ LV VLQJXODU DQG WKH IDFWRU ORDGLQJ DQG FRLQWHJUDWLQJ PDWULFHV 

FDQ EH REWDLQHG IURP WKH HLJHQYHFWRUV RI WKH VSHFWUDO PDWUL[ DW WKH ]HUR IUHTXHQF\ 

DVVRFLDWHG ZLWK WKH SRVLWLYH DQG ]HUR URRWV UHVSHFWLYHO\ $ 0RQWH &DUOR VLPXODWLRQ UHYHDOV 

WKDW WKH SURSRVHG SULQFLSDO FRPSRQHQWV HVWLPDWRU KDV DOUHDG\ JRRG SURSHUWLHV ZLWK 

UHODWLYHO\ VPDOO VDPSOH VL]HV 

-DYLHU +XDOGH 

8QLYHUVLGDG GH 1DYDUUD 

7(67,1* )25 7+( (48$/,7< 2) 25'(56 2) ,17(*5$7,21 

.H\ZRUGV )UDFWLRQDO GLIIHUHQFLQJ DQG 2UGHUV RI LQWHJUDWLRQ 


$ QHFHVVDU\ FRQGLWLRQ IRU WZR WLPH VHULHV SURFHVVHV WR EH FRLQWHJUDWHG LV WKDW WKHLU RUGHUV 

RI LQWHJUDWLRQ EH HTXDO 7HVWV IRU WKH HTXDOLW\ RI WKH RUGHUV DUH SDUWLFXODU FDVHV RI PRUH 

JHQHUDO WHVWV RI OLQHDU UHVWULFWLRQV DPRQJ PHPRU\ SDUDPHWHUV RI GLIIHUHQW WLPH VHULHV IRU 

ZKLFK DV\PSWRWLF WKHRU\ KDV EHHQ GHYHORSHG LQ SDUDPHWULF DQG VHPLSDUDPHWULF VHWWLQJV 

PDLQO\ XQGHU WKH DVVXPSWLRQ RI FRYDULDQFH VWDWLRQDULW\ 7KH PDLQ PRWLYDWLRQ IRU WKLV ZRUN 

UHODWHV WR WKH VLWXDWLRQ ZKHUH WZR VHULHV DUH FRLQWHJUDWHG LQ ZKLFK FDVH WKH GLIIHUHQW WHVWV 

DYDLODEOH LQ WKH OLWHUDWXUH EDVHG RQ VHPLSDUDPHWULF ORFDO DVVXPSWLRQV DSSHDU WR EH LQYDOLG 

:H SURSRVH D VLPSOH WHVWLQJ SURFHGXUH IRU WKH HTXDOLW\ RI WKH RUGHUV RI LQWHJUDWLRQ RI WZR 

WLPH VHULHV ZLWK DUELWUDU\ SRVLWLYH PHPRU\ ZKLFK GRHV QRW VXIIHU IURP WKLV VHULRXV 

OLPLWDWLRQ $ 0RQWH &DUOR VWXG\ LV LQFOXGHG 

)UDQFHVFD 'L ,RULR 

'LSDUWLPHQWR GL 6FLHQ]H 6WDWLVWLFKH 8QLYHUVLWj GL 1DSROL )HGHULFR ,, 

&R $XWKRUV * &DO]RODUL 

5(/$7,9( ()),&,(1&< 2) ,1',5(&7 ,1)(5(1&( )25 $5),0$ 

02'(/6 

.H\ZRUGV $UILPD (IILFLHQF\ DQG ,QGLUHFW ,QIHUHQFH 

-(/ &ODVVLILFDWLRQ & DQG &

,Q WKLV SDSHU ZH VWXG\ WKH UHODWLYH HIILFLHQF\ RI WKH 

,QGLUHFW ,QIHUHQFH IRU WKH $5),0$ PRGHO 

FRPSDUHG WR WKH 0D[LPXP 

/LNHOLKRRG REWDLQHG IROORZLQJ WKH :KLWWOH DSSUR[LPDWLRQ 

XVLQJ FRYDULDQFH PDWUL[ DFFRUGLQJ 

WR &DO]RODUL 'L ,RULR DQG )LRUHQWLQL 

E\ D VHW RI 0RQWH &DUOR H[SHULPHQWV 

)RU WKH $5),0$ G PRGHO WKH ,QGLUHFW ,QIHUHQFH KDV WKH 

VDPH SHUIRUPDQFH WKDW WKH 0/( IRU VPDOO DQG ODUJH VDPSOH 

ZKLOH WKH $5),0$ G PRGHO WKH ,QGLUHFW ,QIHUHQFH YDULDQFH 

SUHVHQWV VRPH GLIIHUHQFH IURP WKH 0/ YDULDQFH IRU VPDOO VDPSOH 

-DPHV 'DYLGVRQ 

8QLYHUVLW\ RI :DOHV &DUGLII 

&219(5*(1&( 72 672&+$67,& ,17(*5$/6 :,7+ )5$&7,21$//< 

,17(*5$7(' ,17(*5$725 352&(66(6 7+(25< $1' 

$33/,&$7,216 72 &2,17(*5$7,1* 5(*5(66,21 

.H\ZRUGV IUDFWLRQDO %URZQLDQ PRWLRQ IUDFWLRQDO FRLQWHJUDWLRQ IXOO\ PRGLILHG OHDVW VTXDUHV 

DQG VWRFKDVWLF LQWHJUDO 


7KH ZHDN OLPLW LV GHULYHG RI WKH VDPSOH FRYDULDQFH RI D SDLU RI IUDFWLRQDOO\ LQWHJUDWHG 

SURFHVVHV RQH , GB^


7KH SUHVHQFH RI RXWO\LQJ REVHUYDWLRQV LQ SDQHO GDWD FRXOG DIIHFW WKH FODVVLFDO HVWLPDWHV LQ 

D GUDPDWLF ZD\ 1HYHUWKHOHVV WKH FRPPRQ SUDFWLFH VHHPV WR GLVUHJDUG WKH SUREOHP 7KH 

DLP RI WKLV ZRUN LV WR VWXG\ UREXVW UHJUHVVLRQ WHFKQLTXHV LQ WKH IL[HG HIIHFWV OLQHDU SDQHO 

GDWD IUDPHZRUN 5REXVWQHVV RI WKH SURFHGXUHV LV LQYHVWLJDWHG E\ PHDQV RI EUHDNGRZQ 

SRLQW FRPSXWDWLRQV DQG VLPXODWLRQ H[SHULPHQWV $ GLVWLQFWLRQ EHWZHHQ RXWO\LQJ EORFNV DQG 

FHOOV LQ D SDQHO LV PDGH 7R VKRZ WKH SRWHQWLDO RI UREXVW SDQHO GDWD PHWKRGV DQ HPSLULFDO 

H[DPSOH RQ WKH UHVSRQVH RI WKH SULYDWH VHFWRU EHKDYLRXU WR ILVFDO SROLF\ LV SUHVHQWHG 

&ODXGH /RSH] 

8QLYHUVLW\ RI &LQFLQQDWL 

3$1(/ 81,7 5227 7(676 :,7+ */6 '(75(1',1* :,7+ $1 

$33/,&$7,21 72 385&+$6,1* 32:(5 3$5,7< 

.H\ZRUGV */6 GHWUHQGLQJ 3DQHO 8QLW 5RRW WHVW DQG 333 


:H SURSRVH WR FRPELQH UHFHQW GHYHORSPHQWV LQ XQLYDULDWH DQG PXOWLYDULDWH XQLW URRW 

WHVWLQJ LQ RUGHU WR FRQVWUXFW D PRUH SRZHUIXO SDQHO XQLW URRW WHVW :H H[WHQG WKH 

*/6GHWUHQGLQJ 

SURFHGXUH RI (OOLRWW 5RWKHQEHUJ DQG 6WRFN WR D SDQHO $XJPHQWHG 

'LFNH\ )XOOHU WHVW 9LD D 0RQWH &DUOR H[SHULPHQW ZH DUH DEOH WR VKRZ WKDW RXU QHZ 

SDQHO XQLW URRW WHVW KDV KLJKHU SRZHU WKDQ H[LVWLQJ SDQHO XQLW URRW WHVWV 7KH QHZ WHVW LV 

DSSOLHG WR D GDWD VHW ZKHUH H[LVWLQJ SDQHO DQG XQLYDULDWH XQLW URRW WHVWV KDYH 

GHPRQVWUDWHG 

OLPLWHG DELOLW\ WR UHMHFW WKH XQLW URRW QXOO K\SRWKHVLV 7KDW LV ZH LQYHVWLJDWH WKH WRSLF RI 

3XUFKDVLQJ 3RZHU 3DULW\ IRU WKH SRVW %UHWWRQ :RRGV SHULRG DQG REWDLQ VWURQJ UHMHFWLRQV 

RI WKH XQLW URRW WHVW K\SRWKHVLV XVLQJ RXU QHZ WHVW 

&KULVWHOOH 9LDXURX[ 

6WDWH 8QLYHUVLW\ RI 1HZ

0DXULFH %XQ 


&R $XWKRUV 0 &DUUHH 

%,$6 &255(&7(' (67,0$7,21 ,1 '

287&20(6 $ &$6( 678'< 2) *(50$1< :,7+ (9,'(1&( )520 

0$7&+,1* 

.H\ZRUGV FDXVDOLW\ (YDOXDWLRQ RI GLVDELOLW\ SROLFLHV KHDOWK VWDWXV ODERXU PDUNHW 

RXWFRPHV PDWFKLQJ RQ WKH SURSHQVLW\ VFRUH DQG 7UHDWPHQW (IIHFW 

-(/ &ODVVLILFDWLRQ & & , , DQG - 

,I ODERXU PDUNHW SROLFLHV DLPHG DW SHRSOH ZLWK GLVDELOLWLHV DUH HIIHFWLYH ZH VKRXOG REVHUYH 

QR VLJQLILFDQW GLIIHUHQFH LQ ODERXU PDUNHW RXWFRPH EHWZHHQ GLVDEOH DQG QRQ GLVDEOH 

LQGLYLGXDOV 7KLV SDSHU H[DPLQHV WKH HIIHFW RI WKHVH SROLFLHV XVLQJ PDWFKLQJ PHWKRGV 

DVVRFLDWHG ZLWK WUHDWPHQW HIIHFW WHFKQLTXHV IRU SURJUDP HYDOXDWLRQ 6XFK WHFKQLTXHV 

DYRLG PRGHO PLVVSHFLILFDWLRQ DQG DFFRXQW IRU WKH FRPPRQ VXSSRUW SUREOHP WKXV 

LPSURYLQJ WKH LGHQWLILFDWLRQ VWUDWHJ\ RI DOWHUQDWLYHV WHFKQLTXHV WKDW DOVR VHOHFW RQ 

REVHUYDEOHV 8VLQJ VHYHUDO ZDYHV IURP WKH *HUPDQ 6RFLR (FRQRPLF 3DQHO *62(3 

ZH HVWLPDWH WKH LPSDFW RI GLVDELOLW\ RQ ODERXU PDUNHW RXWFRPHV WR ILQG QR 

VLJQLILFDQW GLIIHUHQFH LQ HLWKHU SDUWLFLSDWLRQ UDWH RU ODERXU HDUQLQJ EHWZHHQ GLVDEOH DQG 

QRQ GLVDEOH 'XH WR WKH FRQVWUXFWLRQ RI WKH WUHDWHG DQG FRPSDULVRQ JURXSV WKH ILQGLQJ 

LPSO\ WKDW GLVDELOLW\ ODERXU SROLFLHV DUH HIIHFWLYH LQ WKHLU DLP 

7KLHUU\ .DPLRQND 

&156 DQG &5(67 

&R $XWKRUV * /DFURL[ 

$66(66,1* 7+( (;7(17 2) 7+( 5$1'20,=$7,21 %,$6 ,1 7+( 

&$1$',$1 6(/) 68)),&,(1&< (;3(5,0(17 

.H\ZRUGV ([SHULPHQWDO 'DWD 5DQGRPL]DWLRQ %LDV 7UHDWPHQW (IIHFW DQG :HOIDUH 6SHOO 

'XUDWLRQ 


,Q &DQDGD WKH 6HOI 6XIILFLHQF\ (QWU\ (IIHFWV 'HPRQVWUDWLRQ UDQGRPO\ 

VHOHFWHG D VDPSOH RI VLQJOH SDUHQWV ZKR KDG DSSOLHG IRU ZHOIDUH 

EHWZHHQ -DQXDU\ DQG 0DUFK ,W WXUQHG RXW RQO\ DJUHHG 

WR EH SDUW RI WKH H[SHULPHQW GHVSLWH D FKDQFH RI UHFHLYLQJ D 

JHQHURXV WLPH OLPLWHG HDUQLQJV VXSSOHPHQW FRQGLWLRQDO RQ ILQGLQJ D 

IXOO WLPH MREV DQG OHDYLQJ LQFRPH DVVLVWDQFH 

7KH SXUSRVH RI WKLV SDSHU LV WR GHWHUPLQH ZKHWKHU D UHIXVDO UDWH DV 

KLJK DV LV OLNHO\ WR ELDV WKH PHDVXUHPHQW RI WKH WUHDWPHQW 

HIIHFW :H FRPSDUH WKH HVWLPDWHG LPSDFW RI WKH SURJUDP XVLQJ 

H[SHULPHQWDO GDWD RQO\ WR WKRVH REWDLQHG XVLQJ DGGLWLRQDO GDWD RQ 

LQGLYLGXDOV QRW WDNLQJ SDUW LQ WKH H[SHULPHQW :H ILQG VWURQJ HYLGHQFH RI 

UDQGRPL]DWLRQ ELDV LQ WKH GDWD :KHQ ZH FRUUHFW IRU WKH ELDV ZH ILQG 

WKDW HVWLPDWHV WKDW UHO\ RQ H[SHULPHQWDO GDWD RQO\ VLJQLILFDQWO\ 

XQGHUHVWLPDWH WKH WUXH LPSDFW RI WKH SURJUDP RQ ZHOIDUH VSHOO GXUDWLRQV 

'DOH 3RLULHU 

8QLYHUVLW\ RI &DOLIRUQLD ,UYLQH 

&R $XWKRUV 0 /L DQG - 7RELDV 

'2 '5232876 68))(5 )520 '5233,1* 287" (67,0$7,21 $1'

35(',&7,21 2) 287&20( *$,16 ,1 *(1(5$/,=(' 6(/(&7,21 

02'(/6 

.H\ZRUGV %D\HVLDQ QRQ LGHQWLILHG DQG VHOHFWLRQ 


,Q WKLV SDSHU ZH GHVFULEH PHWKRGV IRU SUHGLFWLQJ GLVWULEXWLRQV RI RXWFRPH JDLQV LQ WKH 

IUDPHZRUN RI D ODWHQW YDULDEOH VHOHFWLRQ PRGHO :H GHVFULEH VXFK SURFHGXUHV IRU 6WXGHQW W 

VHOHFWLRQ PRGHOV DQG D ILQLWH PL[WXUH RI *DXVVLDQ VHOHFWLRQ PRGHOV ,PSRUWDQWO\ RXU 

PHWKRGV SHUPLW OHDUQLQJ WR WDNH SODFH DERXW WKH QRQ LGHQWLILHG FURVV UHJLPH FRUUHODWLRQ 

SDDUPHWHU 8VLQJ GDWD IURP +LJK 6FKRRO DQG %H\RQG ZH DSSO\ RXU PHWKRGV WR GHWHUPLQH 

WKH LPSDFW RI GURSSLQJ RXW RI KLJK VFKRRO RQ D PDWK WHVW VFRUH WDNHQ DW WKH VHQLRU \HDU RI 

KLJK VFKRRO 2XU UHVXOWV VKRZ JHQHUDOL]HG VHOHFWLRQ PRGHOV RIIHU DQ LPSURYHPHQW RYHU WKH 

WH[WERRN *DXVVLDQ PRGHO 

:$*(6 


&KDLUSHUVRQ $ *RVOLQJ 

1DWDOLD 0RQWHLUR 

:DUZLFN 8QLYHUVLW\ 

$XJ 

5RRP ) 

7+( ,03$&7 2) 35,9$7,6$7,21 21 :$*(6 (9,'(1&( )520 7+( 

32578*8(6( %$1.,1* ,1'8675< 

.H\ZRUGV GLIIHUHQFH LQ GLIIHUHQFHV 3RUWXJXHVH EDQNLQJ LQGXVWU\ SULYDWLVDWLRQ DQG ZDJHV 

-(/ &ODVVLILFDWLRQ - - DQG / 

7KLV SDSHU DGRSWV D GLIIHUHQFH LQ GLIIHUHQFHV HVWLPDWRU WR H[DPLQH WKH LPSDFW RI 

SULYDWLVDWLRQ RQ ZDJHV LQ WKH 3RUWXJXHVH EDQNLQJ LQGXVWU\ IRU WKH SHULRG 7KH 

GHVLJQ RI WKH UHIRUP DQG WKH QDWXUH RI GDWDVHW HPSOR\HG PDWFKHG HPSOR\HU HPSOR\HH 

SURYLGHG D SDUWLFXODUO\ LPSRUWDQW RSSRUWXQLW\ WR DQDO\VH WKH HIIHFWV RI SULYDWLVDWLRQ RQ 

GLIIHUHQW GHPRJUDSKLF JURXSV XVLQJ PXOWLSOH FRQWURO JURXSV DQG FRQVLGHULQJ WKH WLPLQJ RI 

WKH HIIHFWV 7KH HPSLULFDO HYLGHQFH VXJJHVWV D 8 VKDSHG UHODWLRQVKLS EHWZHHQ ZDJH 

YDULDWLRQ DQG WLPH SHULRG RI UHVWUXFWXULQJ UHJDUGOHVV RI WKH FKRLFH RI WKH FRPSDULVRQ 

JURXS IRU WKRVH HPSOR\HHV HLWKHU PHQ RU ZRPHQ UHWDLQHG E\ SULYDWLVHG ILUPV 

)UHGULN :XOIVEHUJ 

1RUJHV %DQN 

&R $XWKRUV 6 +ROGHQ 

120,1$/ :$*( 5,*,',7< ,1 (8523( 

.H\ZRUGV (XURSHDQ FRXQWULHV 1RPLQDO ZDJH ULJLGLW\ QRQSDUDPHWULF DQG VLPXODWLRQ 

-(/ &ODVVLILFDWLRQ & & ( DQG - 

7KLV SDSHU H[SORUHV WKH H[LVWHQFH RI GRZQZDUG QRPLQDO ZDJH ULJLGLW\ '1:5 

LQ WKH PDQXIDFWXULQJ VHFWRUV RI (XURSHDQ FRXQWULHV RYHU WKH SHULRG

XVLQJ DQ XQEDODQFHG GDWD VHW RI KRXUO\ QRPLQDO ZDJHV DW LQGXVWU\ 

OHYHO %DVHG RQ D QRYHO XQLYDULDWH VWDWLVWLFDO PHWKRG ZKLFK DOORZV IRU 

FRXQWU\ DQG \HDU VSHFLILF YDULDWLRQ LQ ERWK WKH PHDQ DQG VWDQGDUG GHYLDWLRQ 

RI LQGXVWU\ ZDJH FKDQJHV ZH UHMHFW WKH K\SRWKHVLV RI QR '1:5 6SOLWWLQJ 

LQWR VXEVDPSOHV ZH GRFXPHQW WKH H[LVWHQFH RI '1:5 IRU WKH SHULRGV 

DQG EXW QRW IRU )XUWKHUPRUH ZH GRFXPHQW '1:5 IRU 

FRXQWULHV LQ WKH 6RXWK DQG &RUH RI (XURSH EXW QRW WKH 1RUGLF DQG 

$QJOR 6D[RQ FRXQWULHV 

/DXUHQW *RELOORQ 

8&/ DQG &5(67 

&R $XWKRUV 3 &RPEHV DQG * 'XUDQWRQ 

:$*( ',))(5(1&(6 $&5266 )5(1&+ /2&$/ /$%285 0$5.(76 

(1'2:0(176 6.,//6 $1' ,17(5$&7,216 

.H\ZRUGV /RFDO ODERXU PDUNHWV 3DQHO GDWD DQDO\VLV DQG 6SDWLDO LQHTXDOLWLHV 

-(/ &ODVVLILFDWLRQ - - DQG 5 

6SDWLDO ZDJH LQHTXDOLWLHV PD\ EH WKRXJKW DV WKH RXWFRPH RI GLIIHUHQFHV LQ WKH VNLOO 

FRPSRVLWLRQ RI WKH ZRUNIRUFH LQ QRQ KXPDQ HQGRZPHQWV DQG LQ ORFDO LQWHUDFWLRQV 8VLQJ 

D YHU\ ODUJH SDQHO RI )UHQFK ZRUNHUV RYHU ZH HVWLPDWH D PRGHO RI ZDJH 

GHWHUPLQDWLRQ DFURVV ORFDO ODERXU PDUNHWV :H FRQWURO IRU SHUVRQDO FKDUDFWHULVWLFV SHUVRQ 

IL[HG HIIHFWV LQGXVWU\ IL[HG HIIHFWV FKDUDFWHULVWLFV RI WKH ORFDO ODERXU PDUNHW DQG ORFDO 

IL[HG HIIHFWV 2XU ILQGLQJV VXJJHVW WKDW LQGLYLGXDO VNLOOV DFFRXQW IRU D ODUJH IUDFWLRQ RI 

H[LVWLQJ VSDWLDO ZDJH LQHTXDOLWLHV ZLWK VWURQJ HYLGHQFH RI VSDWLDO VRUWLQJ E\ DELOLW\ 

,QWHUDFWLRQ HIIHFWV DUH PRVWO\ GULYHQ E\ WKH ORFDO GHQVLW\ RI HPSOR\PHQW :H DOVR ILQG 

HYLGHQFH RI UHYHUVH FDXVDWLRQ EHWZHHQ DJJORPHUDWLRQ DQG KLJK ZDJHV )LQDOO\ WKH 

VXJJHVWHG UROH IRU HQGRZPHQWV LV VPDOO 

$PDQGD *RVOLQJ 

'HSW (FRQRPLFV 8QLYHUVLW\ RI (VVH[ DQG ,)6 

&R $XWKRUV 5 'LVQH\ 

$ 1(: 0(7+2' )25 (67,0$7,1* 38%/,& 6(&725 3$< 35(0,$ 

(9,'(1&( )520 %5,7,$1 ,1 7+( 6 

.H\ZRUGV PHDVXUHPHQW HUURU SD\ GHWHUPLQDWLRQ DQG VHOHFWLRQ HIIHFWV 

-(/ &ODVVLILFDWLRQ - 

7KLV SDSHU ORRNV DW SXEOLF VHFWRU SD\ LQ %ULWDLQ :H SUHVHQW D QRYHO LQVWUXPHQW WKDW 

H[SORLWV WKH YDULDWLRQ LQ SXEOLF VHFWRU VWDWXV DFURVV LQGLYLGXDOV DULVLQJ IURP WKH SULYDWLVDWLRQ 

SURJUDPPH RI WKH V :H VKRZ IRUPDOO\ WKDW UHVXOWV WKDW DUH HVWLPDWHG PD\ WKHUHE\ EH 

UREXVW WR VHOI VHOHFWLRQ DQG PHDVXUHPHQW HUURU ERWK RI ZKLFK DUH LPSRUWDQW DQG ZKLFK 

ELDV FURVV VHFWLRQDO HVWLPDWHV 2XU UHVXOWV VXJJHVW WKDW ZRPHQ LQ WKH SXEOLF VHFWRU HDUQ 

PRUH WKHQ WKH\ FRXOG HOVHZKHUH ZKLOVW RQ DYHUDJH PHQ GR QRW

,1'8675,$/ 25*$1,6$7,21 9, 

&DWHJRU\ (($ 

&KDLUSHUVRQ - 6DQGRQtV 

8OULFK %HUJHU 

9LHQQD 8QLYHUVLW\ RI (FRQRPLFV DQG %$ 

$XJ 

5RRP $ 

7:2 :$< ,17(5&211(&7,21 $1' 7+( &2//86,9( 52/( 2) 7+( 

$&&(66 &+$5*( 

.H\ZRUGV $FFHVV &KDUJH &DOO ([WHUQDOLW\ 1HWZRUN &RPSHWLWLRQ DQG 7ZR :D\ 

,QWHUFRQQHFWLRQ 


, VKRZ WKDW XQGHU QHWZRUN FRPSHWLWLRQ ZLWK WHUPLQDWLRQ EDVHG SULFH GLVFULPLQDWLRQ DFFHVV 

FKDUJHV BEHORZB PDUJLQDO FRVW PD\ EH XVHG DV D FROOXVLRQ GHYLFH LI WKH XWLOLW\ RI UHFHLYLQJ 

FDOOV LV DFFRXQWHG IRU 7KLV KROGV HYHQ IRU OLQHDU SULFHV DQG VKDUSO\ FRQWUDVWV UHFHQW 

UHVXOWV LQ WKH OLWHUDWXUH VXJJHVWLQJ WKDW FROOXVLRQ RYHU WKH DFFHVV FKDUJH PLJKW UHVXOW LQ D 

PDUNXS RQ FRVW 0RUHRYHU ELOO DQG NHHS DUUDQJHPHQWV PD\ EH ZHOIDUH LPSURYLQJ 

FRPSDUHG ZLWK FRVW EDVHG DFFHVV SULFLQJ 

5RELQ $QGUHZ 1D\ORU 


7+( ())(&76 2) (175< ,1 %,/$7(5$/ 2/,*232/< 

.H\ZRUGV ILUP SURILWV 8QLRQL]HG ELODWHUDO ROLJRSRO\ DQG ZDJH EDUJDLQLQJ 

-(/ &ODVVLILFDWLRQ ' - DQG / 

:H VKRZ WKDW D ILUP V SURILWV XQGHU &RXUQRW ROLJRSRO\ FDQ EH LQFUHDVLQJ LQ WKH QXPEHU RI 

ILUPV LQ WKH LQGXVWU\ LI ZDJHV DUH GHWHUPLQHG E\ GHFHQWUDOLVHG EDUJDLQLQJ LQ XQLRQL]HG 

ELODWHUDO ROLJRSRO\ 7KH LQWXLWLRQ IRU WKH UHVXOW LV WKDW LQFUHDVHG SURGXFW PDUNHW FRPSHWLWLRQ 

IROORZLQJ DQ LQFUHDVH LQ WKH QXPEHU RI ILUPV LV PLUURUHG E\ LQFUHDVHG ODERU PDUNHW ULYDOU\ 

ZKLFK LQGXFHV SURILW HQKDQFLQJ ZDJH PRGHUDWLRQ :KHWKHU WKH SURGXFW RU ODERU PDUNHW 

HIIHFW GRPLQDWHV GHSHQGV ERWK RQ WKH H[WHQW RI XQLRQ EDUJDLQLQJ SRZHU DQG RQ WKH QDWXUH 

RI XQLRQ SUHIHUHQFHV 

-HDQ 'DQLHO 6DSKRUHV 

8QLYHUVLW\ RI &DOLIRUQLD ,UYLQH 

%$55,(56 $1' 237,0$/ ,19(670(17 58/(6 

.H\ZRUGV EDUULHUV LQYHVWPHQW LUUHYHUVLELOLW\ UHDO RSWLRQV DQG XQFHUWDLQW\ 

-(/ &ODVVLILFDWLRQ ' ' DQG ( 

7KLV SDSHU DQDO\]HV WKH LPSDFW RI EDUULHUV RQ WKH GHFLVLRQ WR LQFXU D VXQN FRVW LQ 

H[FKDQJH IRU D UDQGRP SD\RII 2SWLPDO LQYHVWPHQW UXOHV DUH GHULYHG IRU UHIOHFWLQJ 

DEVRUELQJ DQG XQDWWDLQDEOH EDUULHUV DQG LOOXVWUDWHG IRU FRPPRQ VWRFKDVWLF SURFHVVHV $Q 

H[SOLFLW VROXWLRQ IRU WKH SHUSHWXDO FDOO RSWLRQ ZLWK D ORZHU DEVRUELQJ EDUULHU LV REWDLQHG DQG 

FRQWUDVWHG ZLWK WKH VWDQGDUG VROXWLRQ WKLV VKRZV WKDW WKH VWDQGDUG SHUSHWXDO FDOO RSWLRQ

RYHUHVWLPDWHV WKH LQYHVWPHQW WKUHVKROG ZKHQ XQFHUWDLQW\ LV KLJK HQRXJK 0RUH JHQHUDOO\ 

WKLV SDSHU VKRZV WKDW WKH VWDQGDUG UHDO RSWLRQV DSSURDFK \LHOGV LQFRUUHFW UHVXOWV LQ WKH 

SUHVHQFH RI DEVRUELQJ RU DWWUDFWLQJ EXW XQDWWDLQDEOH EDUULHUV 

-RHO 6DQGRQtV 

8QLYHUVLW\ RI WKH %DVTXH &RXQWU\ 'HSDUWPHQW RI (FRQRPLFV 

&R $XWKRUV 5 )DXOt 2OOHU 

0(5*,1* 72 /,&(16( ,17(51$/ 96 (;7(51$/ 3$7(17(( 

.H\ZRUGV H[WHUQDO YV LQWHUQDO SDWHQWHH SDWHQW OLFHQVLQJ DQG WZR SDUW WDULII FRQWUDFWV 


,Q WKLV SDSHU ZH HQGRJHQL]H WKH GHFLVLRQ RI D UHVHDUFK ODERUDWRU\ WKDW RZQV D SDWHQWHG 

SURFHVV LQQRYDWLRQ RQ ZKHWKHU WR UHPDLQ LQGHSHQGHQW DV DQ H[WHUQDO SDWHQWHH RU WR PHUJH 

ZLWK D PDQXIDFWXULQJ ILUP EHFRPLQJ DQ LQWHUQDO WR WKH LQGXVWU\ SDWHQWHH :H VKRZ WKDW D 

PHUJHU LV SURILWDEOH RQO\ IRU WKH FDVH RI VPDOO LQQRYDWLRQV ZKHUHDV RQO\ ODUJH LQQRYDWLRQV 

PDNH LW ZHOIDUH LPSURYLQJ $V D FRQVHTXHQFH WKH DQWLWUXVW DXWKRULW\ VKRXOG IRUELG DOO 

SURILWDEOH PHUJHUV 

HW DEVWUDFW !-(/? &ODVVLILFDWLRQ ' ' / 

&25325$7( ),1$1&( ,,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ * :DQ]HQULHG 

-XODQ 'X 

'HSDUWPHQW RI (FRQRPLFV &KLQHVH 8QLYHUVLW\ RI +RQJ .RQJ 

$XJ 

(92/87,21 72:$5' 08/7,1$7,21$/ (17(535,6( 62)7 

%8'*(7 &21675$,17 $1' 7+( %281'$5< 2) ),50 

5RRP & 

.H\ZRUGV %RXQGDU\ RI ILUP 0XOWLQDWLRQDO HQWHUSULVHV 2ZQHUVKLS 3URSHUW\ ULJKWV DQG 

6RIW EXGJHW FRQVWUDLQW 

-(/ &ODVVLILFDWLRQ ' ' DQG ) 

7KLV SDSHU FRPELQHV WKH SURSHUW\ ULJKWV OLWHUDWXUH ZLWK WKH VRIW EXGJHW FRQVWUDLQW WKHRU\ WR 

H[SODLQ WKH HYROXWLRQ SURFHVV WRZDUG PXOWLQDWLRQDO HQWHUSULVH 2ZQHUVKLS PD\ FUHDWH VRIW 

EXGJHW FRQVWUDLQW :KHQ LQYHVWPHQW SURMHFW IDLOXUH ULVN VWDUWV KLJK WKH ILUP ZRXOG 

GHFUHDVH LWV RZQHUVKLS E\ HPSOR\LQJ LQIRUPDO DUUDQJHPHQWV VXFK DV FRQWUDFW 

PDQXIDFWXULQJ VR DV WR EXLOG XS D VWURQJ FRPPLWPHQW WR KDUGHQLQJ EXGJHW FRQVWUDLQW 

:KHQ WKH ULVN RI SURMHFW IDLOXUH LV ORZHUHG WKURXJK OHDUQLQJ E\ GRLQJ WKH ILUP ZRXOG 

LQFUHDVH LWV RZQHUVKLS VKDUH OLNH 01( WR FDWFK PRUH UHVLGXDO FRQWURO DQG LQFRPH ULJKWV

$QGUH )DULD 

7KH 8QLYHUVLW\ RI &KLFDJR 

0(5*(56 $1' 7+( 0$5.(7 )25 25*$1,=$7,21 &$3,7$/ 

.H\ZRUGV 'HUHJXODWLRQ /HDUQLQJ 0HUJHU ZDYHV 0HUJHUV 2UJDQL]DWLRQ FDSLWDO DQG 

7HFKQRORJLFDO FKDQJH 

-(/ &ODVVLILFDWLRQ * / / DQG 2 

,Q WKLV SDSHU PHUJHUV DUH DQ HTXLOLEULXP RXWFRPH LQ ZKLFK DFTXLUHUV PDUU\ WDUJHWV VR DV 

WR JDLQ DFFHVV WR WKHLU RUJDQL]DWLRQ FDSLWDO )LUPV WKDW DUH JRRG DW OHDUQLQJ DERXW D QHZ 

WHFKQRORJ\ DUH QRW QHFHVVDULO\ WKRVH WKDW FDQ PDQDJH LW ZHOO ,I WKH RUJDQL]DWLRQ FDSLWDO LV 

WUDGDEOH WKHUH VKRXOG H[LVW D PDUNHW IRU LW DV WKHUH DUH JDLQV IURP WUDGH 7KH PRGHO 

JHQHUDWHV D PHUJHU ZDYH DIWHU GHUHJXODWLRQ RU D VKRFN WR WHFKQRORJ\ , FRPSDUH WKH 

LPSOLHG ZDYH WR WKH DFWXDO PHUJHU ZDYH LQ WKH WHOHFRP VHFWRU ZKLFK ZDV GHUHJXODWHG MXVW 

EHIRUH WKH PHUJHU ZDYH WRRN SODFH 

-RVHS 7ULER 

8QLYHUVLGDG &DUORV ,,, 

&R $XWKRUV 0 *XWLHUUH] 

08/7,3/( /$5*( 6+$5(+2/'(56 ,1 &25325$7( &21752/ 

(9,'(1&( )25 63$,1 

.H\ZRUGV FRUSRUDWH RZQHUVKLS PLQRULW\ H[SURSULDWLRQ PXOWLSOH ODUJH VKDUHKROGHUV DQG 

63$&(5 

-(/ &ODVVLILFDWLRQ * DQG 63$&(5 

,Q WKLV SDSHU ZH HYDOXDWH HPSLULFDOO\ WKH UROH RI FRQFHQWUDWHG RZQHUVKLS VWUXFWXUHV ZLWK 

PXOWLSOH ODUJH VKDUHKROGHUV IRU D VDPSOH RI 6SDQLVK ILUPV IRU WKH \HDUV WR 2XU 

UHVXOWV LQGLFDWH WKDW PXOWLSOH ODUJH VKDUHKROGHUV HPHUJH LQ VLWXDWLRQV ZLWK SRWHQWLDO PLQRULW\ 

H[SURSULDWLRQ SUREOHPV DQG WKLV IHDWXUH JHQHUDWHV YDOXH &RPSHWLWLRQ IRU SULYDWH EHQHILWV 

DPRQJ WKH PHPEHUV RI WKH FRQWUROOLQJ JURXS SURWHFWV WKH PLQRULW\ IURP H[SURSULDWLRQ 

0RUHRYHU ILUPV ZKHUH FRQWURO LV QRW VKDUHG EXW WKHUH DUH QRQ FRQWUROOLQJ ODUJH 

VKDUHKROGHUV DOVR RXWSHUIRUP ILUPV ZLWK D VLQJOH ODUJH VKDUHKROGHU LQGLFDWLQJ WKDW WKH QRQ 

FRQWUROOLQJ VKDUHKROGHUV SOD\ D PRQLWRULQJ UROH 

*DEULHOOH :DQ]HQULHG 

'HSDUWPHQW RI (FRQRPLFV 8QLYHUVLW\ RI %HUQ 

&R $XWKRUV 3 )XQN 

352'8&7 0$5.(7 &203(7,7,21 $1' (;(&87,9( 

&203(16$7,21 $1 (03,5,&$/ $1$/

6FKPLGW VKRZV WKDW PDQDJHUV RXWVLGH RSWLRQV SOD\ D FUXFLDO UROH LI WKH PDUNHW IRU 

PDQDJHUV LV WRXJK PRUH FRPSHWLWLRQ OHVV OLNHO\ UHVXOWV LQ VWURQJHU LQFHQWLYH VFKHPHV WKDQ 

LI LW LV VRIW 7KLV SDSHU HPSLULFDOO\ DQDO\]HV WKH UHODWLRQVKLS EHWZHHQ SURGXFW PDUNHW 

FRPSHWLWLRQ DQG H[HFXWLYH FRPSHQVDWLRQ :LWK SDQHO GDWD RI 86 PDQXIDFWXULQJ LQGXVWULHV 

ZH LQYHVWLJDWH KRZ LQFUHDVLQJ FRPSHWLWLRQ DIIHFWV WKH XVH RI LQFHQWLYH FRQWUDFWV DQG 

ZKHWKHU WKLV UHODWLRQVKLS GHSHQGV RQ WKH PDQDJHUV RXWVLGH RSWLRQV DV SUHGLFWHG E\ 

WKHRU\ 

*52:7+ (03,5,&$/ (9,'(1&( , 

&DWHJRU\ (($ 

&KDLUSHUVRQ ( $QGUDGH 

)DELR &DVWLJOLRQHVL 

8QLYHULVGDG &DUORV ,,, GH 0DGULG 

&R $XWKRUV & 2UQDJKL 

$XJ 

5RRP ' 

(1 (03,5,&$/ $66(660(17 2) 7+( '(7(50,1$176 2) 727$/ 

)$&725 352'8&7,9,7< *52:7+ 

.H\ZRUGV FRPSHWLWLRQ KXPDQ FDSLWDO OHDUQLQJ E\ GRLQJ WHFKQLFDO FKDQJH DQG 7)3 

JURZWK 


7KLV SDSHU H[SORUHV ZKDW DUH WKH PDLQ GHWHUPLQDQWV RI SURGXFWLYLW\ JURZWK 7KH DQDO\VLV LV 

SHUIRUPHG XVLQJ PLFURHFRQRPLF GDWD DW ILUP OHYHO LQVWHDG RI JURZWK DFFRXQWLQJ 

PHDVXUHV :H GHILQH D IUDPHZRUN ZKHUH WKH UHODWLYH PDJQLWXGH RI DOWHUQDWLYH EXW QRW 

QHFHVVDULO\ H[FOXVLYH VRXUFHV RI WHFKQLFDO FKDQJH DUH VLPXOWDQHRXVO\ HVWLPDWHG 2XU 

ILQGLQJ LV WKDW DGYDQFHV LQ WHFKQRORJ\ QHHG WR EH HPERGLHG LQ QHZ FDSLWDO JRRGV RU LQ 

KXPDQ FDSLWDO 2XU UHVXOWV FRQWUDGLFW WKH H[LVWHQFH RI QHXWUDO WHFKQRORJLFDO SURJUHVV HYHQ 

LQ WKH IRUP RI ILUP VSHFLILF OHDUQLQJ E\ GRLQJ 6XSSRUW LV DOVR IRXQG RQ WKH SRVLWLYH HIIHFW RI 

FRPSHWLWLRQ RQ SURGXFWLYLW\ JURZWK 

0DLMX 3HUDOD 


(;3/$,1,1* *52:7+ )$,/85(6 $1 (03,5,&$/ ,19(67,*$7,21 

2) 1$785$/ 5(6285&( (1'2:0(17 7

WKDQ D UHVRXUFH HQGRZPHQW WKDW LV DJULFXOWXUDO 7KH UREXVWQHVV RI WKLV UHVXOW LV WHVWHG 

DFURVV D QXPEHU RI JURZWK UHJUHVVLRQ VSHFLILFDWLRQV ZLWKLQ WKH OLWHUDWXUH 

'RQ :HEEHU 

8QLYHUVLW\ RI WKH :HVW RI (QJODQG 

&R $XWKRUV ' $OOHQ DQG 3 :KLWH 

,1&20( &219(5*(1&( $&5266 86 67$7(6 $1 $1$/

.HLR 8QLYHUVLW\ 

&R $XWKRUV . .XERWD DQG 7 7RNXQDJD 

&2168037,21 %(+$9,25 $66(7 5(78516 $1' 7+( 5,6. 

$9(56,21 (9,'(1&( )520 -$3$1(6( +286(+2/' 6859(< 

.H\ZRUGV &RQVXPSWLRQ 6XUYH\ (XOHU &RQGLWLRQV DQG +HWHURJHQRXV &RQVXPHUV 

-(/ &ODVVLILFDWLRQ * * DQG * 

,Q WKLV SDSHU ZH LQYHVWLJDWH WKH FRQVXPSWLRQ EHKDYLRU RI -DSDQHVH KRXVHKROG LQ UHODWLRQ 

WR WKH DVVHW SULFH GHWHUPLQDWLRQV XVLQJ -DSDQHVH KRXVHKROG GHFLOH VXUYH\ GDWD IURP 

)HEUXDU\ WKURXJK 'HFHPEHU :H H[SHFW WKHUH H[LVW V\VWHPDWLF GLIIHUHQFHV LQ 

WKH HVWLPDWHG ULVN DYHUVLRQ FRHIILFLHQWV DW HDFK LQFRPH OHYHO DQG WKH LQYHVWPHQW GHFLVLRQ 

LQWR ULVN\ DVVHWV :H ILQG LW LV LQGHHG WKH FDVH ZLWK WKH VWDQGDUG (XOHU FRQGLWLRQ WHVW UHVXOW 

DQG WKH PRGHO UHMHFWLRQ LV ZHDNHU DW KLJKHU LQFRPH OHYHO KRXVHKROGV :H DOVR WHVW IRU WKH 

KHWHURJHQHRXV LQYHVWRU LPSHUIHFW PDUNHW PRGHO GHYHORSHG E\ &RQVWDQWLQLGHV DQG 'XIILH 

ZLWK RXU GHFLOH LQFRPH GDWD DQG ILQG WKDW WKH HVWLPDWH ULVN DYHUVLRQ FRHIILFLHQWV DUH 

PRUH UHDVRQDEOH WKDQ WKH RQH HVWLPDWHG IURP WKH DJJUHJDWH GDWD 

6LPRQ 3ULFH 


&R $XWKRUV $ %ODNH $ %ODNH DQG ( )HUQDQGH] &RUXJHGR 

7+( '

SURSHQVLW\ WR FRQVXPH RXW RI ILQDQFLDO ZHDOWK DQG WR WKH PRGHVW VKDUH RI HTXLW\ LQ 

KRXVHKROG SRUWIROLRV )XUWKHU RYHU WKH SHULRG KRXVHKROGV KDYH EHHQ QHW EX\HUV RI 

ILQDQFLDO DVVHWV DQG DSSHDU WR KDYH FDVKHG LQ YHU\ OLWWOH RI WKHLU FDSLWDO JDLQV +RXVLQJ 

PDUNHW HIIHFWV WXUQ RXW WR EH DOVR VPDOO DOWKRXJK ODUJHU WKDQ VWRFN PDUNHW HIIHFWV 

/RUHQ]R 3R]]L 

*KHQW 8QLYHUVLW\ 

&R $XWKRUV 0 'RVVFKH DQG ) +H\OHQ 

*29(510(17 '(%7 $1' 7+( (;&(66 6(16,7,9,7< 2) 35,9$7( 

&2168037,21 72 &855(17 ,1&20( $1 (03,5,&$/ $1$/

LGLRV\QFUDWLF VKRFNV :H YHULI\ WKDW D VSHFLILFDWLRQ FRQVLVWHQW 

ZLWK UHFHQW FKDQJHV LQ 86 ZDJH LQHTXDOLW\ FDQ 

UHSURGXFH WUHQGV LQ HGXFDWLRQ HQUROPHQW :H XVH PDFUR DQG 

PLFUR OHYHO GDWD WR HVWLPDWH WKH SDUDPHWHUV RI D SURGXFWLRQ 

IXQFWLRQ ZLWK WKUHH GLIIHUHQW NLQGV RI KXPDQ FDSLWDO :H WKHQ XVH WKHVH 

HVWLPDWHV WR VLPXODWH WKH PRGHO DQG DVVHVV WKH HIIHFWV 

RI DOWHUQDWLYH HGXFDWLRQ SROLFLHV RQ LQHTXDOLW\ SURGXFWLYLW\ DQG 

+& DFFXPXODWLRQ :H DOVR SUHVHQW JHQHUDO UHVXOWV RQ 

QRQ FRQFDYH YDOXH IXQFWLRQV 

6DOYDWRUH %DUEDUR 

8QLYHUVLW\ RI *RHWWLQJHQ 

7+( &20%,1(' ())(&7 2) 7$;$7,21 $1' 68%6,',=$7,21 21 

+80$1 &$3,7$/ ,19(670(17 

.H\ZRUGV HGXFDWLRQ VXEVLG\ KXPDQ FDSLWDO LQYHVWPHQW LQFRPH WD[ SURJUHVVLRQ DQG WD[ 

QHXWUDOLW\ 


7KH LPSDFW RI ILVFDO DFWLYLW\ RQ KXPDQ FDSLWDO IRUPDWLRQ KDV RIWHQ EHHQ DQDO\]HG ZLWK 

UHJDUG WR WKH H[SHQGLWXUH VLGH RI WKH EXGJHW L H WKH VXEVLGL]DWLRQ RI KLJKHU HGXFDWLRQ 

5HFHQW FRQWULEXWLRQV KDYH LQFUHDVLQJO\ IRFXVHG RQ WKH HIIHFW RI WD[DWLRQ RQ KXPDQ FDSLWDO 

DFFXPXODWLRQ /HVV DWWHQWLRQ LV JLYHQ WR WKH VLPXOWDQHRXV HIIHFW RI ERWK VXEVLGL]DWLRQ DQG 

WD[DWLRQ RQ KXPDQ FDSLWDO DFFXPXODWLRQ 6LQFH VXEVLGLHV WR KLJKHU HGXFDWLRQ PD\ RIIVHW 

WKH GLVWRUWLRQDU\ HIIHFWV RI WD[DWLRQ WKH SDSHU DLPV WR DQDO\]H WKH DPRXQW RI VXEVLGL]DWLRQ 

ZKLFK LV QHFHVVDU\ WR FRXQWHUDFW WKH GLVFRXUDJLQJ HIIHFW RI YDULRXV NLQGV RI RQ KXPDQ 

FDSLWDO PHDVXUHG DV WKH JUDGXDWLRQ UDWHV 

8OULFK +DQJH 

&(6LIR 

('8&$7,21 32/,&< $1' 02%,/,7< 620( %$6,& 5(68/76 

.H\ZRUGV (GXFDWLRQ SROLF\ DQG PRELOLW\ 


7KLV SDSHU DQDO\]HV UHJLRQDO SXEOLF HGXFDWLRQ SROLF\ LQ WKH SUHVHQFH RI PRELOH ZRUNHUV 

/DERU PDUNHW LQWHJUDWLRQ OHDGV WR ILVFDO FRPSHWLWLRQ VKLIWLQJ WKH ZKROH EXUGHQ RI WD[DWLRQ 

WR LPPRELOH ZRUNHUV ,Q WKH FDVH RI PRELOH VNLOOHG ZRUNHUV WKLV UHVXOWV LQ LQFRPH LQHTXDOLW\ 

DQG LQHIILFLHQW ORZ LQYHVWPHQW LQ KXPDQ FDSLWDO 7KLV LV HYHQ PRUH SURQRXQFHG LI 

SROLWLFLDQV DUH SDUWO\ VHOI LQWHUHVWHG ,Q FRQWUDVW LI XQVNLOOHG ZRUNHUV DUH PRELOH DOO 

KRXVHKROGV UHFHLYH WKH VDPH QHW HDUQLQJV ,Q WKLV VFHQDULR D EHQHYROHQW JRYHUQPHQW 

HQVXUHV DQ HIILFLHQW OHYHO RI KXPDQ FDSLWDO LQYHVWPHQW ZKLOH SDUWO\ VHOILVK SROLWLFLDQV 

FKRRVH WR LQYHVW WRR OLWWOH LQ HGXFDWLRQ 

/XFD 0DQFLQL 


&R $XWKRUV 0 %UDWWL

',))(5(1&(6 ,1 7+( 2&&83$7,21$/ ($51,1*6 2) 8. 

*5$'8$7(6 %< '(*5(( 68%-(&7 (9,'(1&( )520 7+( 865 

.H\ZRUGV 'HJUHH VXEMHFW RFFXSDWLRQDO HDUQLQJV DQG VHOI VHOHFWLRQ 


,Q WKLV SDSHU ZH HVWLPDWH GLIIHUHQFHV LQ 8. JUDGXDWH RFFXSDWLRQDO HDUQLQJV E\ GHJUHH 

VXEMHFW 6FLHQFH +L 7HFK (FRQRPLFV %XVLQHVV +XPDQLWLHV RWKHU 6RFLDO 6FLHQFHV 

DQG 2WKHU XVLQJ 8QLYHUVLWLHV 6WDWLVWLFDO 5HFRUG 865 GDWD IRU WKH SHULRG 7KH 

LVVXH RI WKH SRWHQWLDO VHOI VHOHFWLRQ RI VWXGHQWV DFURVV GHJUHH VXEMHFWV LV DGGUHVVHG E\ 

HVWLPDWLQJ VLPXOWDQHRXVO\ DQ 2/6 0XOWLQRPLDO /RJLW PRGHO 2XU DQDO\VLV VKRZV WKDW WKH 

UHODWLYH HDUQLQJV SUHPLD E\ VXEMHFW HVWLPDWHG E\ 2/6 VXIIHU IURP D VLJQLILFDQW VHOHFWLRQ 

ELDV :H ILQG VWDWLVWLFDOO\ VLJQLILFDQW GLIIHUHQFHV LQ RFFXSDWLRQDO HDUQLQJV E\ GHJUHH 

VXEMHFW 0RUHRYHU WKH HUUDWLF SDWWHUQ RI WKH UHODWLYH HDUQLQJV SUHPLD RYHU WLPH GRHV QRW 

OHQG LWVHOI WR DQ\ V\VWHPDWLF UDQNLQJ RI VXEMHFWV LQ WKH SHULRG FRQVLGHUHG 

),1$1&,$/ &2175$&76 

&DWHJRU\ (($ 

&KDLUSHUVRQ ' 0DOWULW] 

6RILD /XQGEHUJ 

&(580 8PHn 8QLYHUVLW\ 

&R $XWKRUV . &DUOLQJ 

$XJ 

5RRP ' 

%$1. /('1,1* *(2*5$3+,&$/ ',67$1&( $1' &5(',7 5,6. (1 

(03,5,&$/ $66(660(17 2) 7+( &+85&+ 72:(5 35,1&,3/( 

.H\ZRUGV $V\PPHWULF LQIRUPDWLRQ FUHGLW UDWLRQLQJ DQG GXUDWLRQ PRGHO 


'RHV WKH &KXUFK 7RZHU 3ULQFLSOH L H JHRJUDSKLFDO SUR[LPLW\ EHWZHHQ ERUURZLQJ ILUP DQG 

OHQGLQJ EDQN PDWWHU LQ FUHGLW ULVN PDQDJHPHQW" ,I VR WKH EDQN PLJKW H[SRVH LWVHOI WR D 

JUHDWHU ULVN E\ OHQGLQJ WR GLVWDQW ILUPV DQG VKRXOG WKHUHIRUH UHVSRQG E\ UDWLRQLQJ WKHP 

KDUGHU ,Q WKLV SDSHU ZH LQFRUSRUDWH WKH &KXUFK 7RZHU 3ULQFLSOH LQ D VLPSOH WKHRUHWLFDO 

PRGHO DQG GHULYH LPSOLFDWLRQV WKDW DUH HPSLULFDOO\ WHVWDEOH :H XVH GDWD RQ FRUSRUDWH 

ORDQV JUDQWHG WR E\ D OHDGLQJ 6ZHGLVK EDQN DQG ILQG QR HYLGHQFH WKDW WKH 

SULQFLSOH DSSOLHV 

$QGUHD $WWDU 

&25( &DWKROLF 8QLYHUVLW\ RI /RXYDLQ 

),1$1&,$/ &2175$&7,1* $/21* 7+( %86,1(66 &

7KLV SDSHU VXJJHVWV WKH H[LVWHQFH RI D UHODWLRQVKLS EHWZHHQ EXVLQHVV IOXFWXDWLRQV DQG 

ILUPV FDSLWDO VWUXFWXUH 

([LVWHQFH RI DV\PPHWULF LQIRUPDWLRQ LQ WKH ORDQ PDUNHW LV UHVSRQVLEOH IRU HQGRJHQRXV 

IOXFWXDWLRQV WR WDNH SODFH DW HTXLOLEULXP :H EXLOG RQ D WUDGLWLRQDO HQGRJHQRXV F\FOHV 

VFKHPH LQWURGXFLQJ D UHSHDWHG OHQGHU ERUURZHU LQWHUDFWLRQ WKDW DOORZV IRU GHEW DQG HTXLW\ 

ILQDQFLQJ WR FRH[LVW LQ HYHU\ SHULRG 7KLV FRH[LVWHQFH LV WKH PDLQ LPSOLFDWLRQ RI WKH VHFXULW\ 

GHVLJQ SUREOHP 

:H GHILQH FRQGLWLRQV IRU WKH RYHUDOO HFRQRP\ GHEW HTXLW\ UDWLR WR H[KLELW D FRXQWHUF\FOLFDO 

EHKDYLRU 7KLV UHVXOW DOVR VXJJHVWV D SRWHQWLDO GHSDUWXUH IURP WKH SHFNLQJ RUGHU RI 

ILQDQFLQJ WKHRU\ 

-HQV (LVHQVFKPLGW 

8QLYHUVLW\ RI 'UHVGHQ &KDLU IRU ,QWHUQDWLRQDO (FRQRPLFV 

&R $XWKRUV . :DHOGH 

+('*,1* $1' 7+( '(0$1' )25 )25:$5' &2175$&76 ,1 

*(1(5$/ (48,/,%5,80 

.H\ZRUGV )RUZDUG &RQWUDFWV *HQHUDO (TXLOLEULXP +HGJLQJ 7UDGH DQG 8QFHUWDLQW\ 


7KHUH LV D KXJH OLWHUDWXUH RQ WKH HIIHFWV RI XQFHUWDLQW\ RQ WUDGH 2QH VWURQJ UHVXOW RI WKDW 

OLWHUDWXUH LV WKDW XQFHUWDLQW\ VKRXOG QRW PDWWHU DV ORQJ DV ZHOO GHYHORSHG IRUZDUG PDUNHWV 

H[LVW 7KH HPSLULFDO LPSOLFDWLRQV RI WKLV UHVXOW KRZHYHU DUH KDUG WR ILQG LQ WKH GDWD :H 

PRGHO WHUPV RI WUDGH XQFHUWDLQW\ LQ D VPDOO RSHQ HFRQRP\ ZLWK XQFHUWDLQW\ VWHPPLQJ IURP 

DEURDG DQG GHULYH WKH HTXLOLEULXP GHPDQG IRU IRUZDUGV $V D UHVXOW ULVN DYHUVH DJHQWV ZLOO 

QRW EX\ IRUZDUGV DW DQ DFWXDULOO\ IDLU SULFH WKXV UHQGHULQJ ERWK WKH IXOO KHGJH WKHRUHP DQG 

WKH VHSDUDWLRQ WKHRUHP RI WKH DIRUHPHQWLRQHG OLWHUDWXUH REVROHWH 8VLQJ UHDO ZRUOG GDWD IRU 

*HUPDQ\ WR FDOLEUDWH WKH PRGHO ZH ILQG WKDW ULVN DYHUVH DJHQWV ZLOO EX\ IRUZDUGV IRU 

VSHFXODWLYH UHDVRQV RQO\ 7KH DPRXQW RI IRUZDUGV SXUFKDVHG LV DURXQG RI HTXLOLEULXP 

LPSRUWV 7KLV LV LQ DFFRUGDQFH ZLWK HPSLULFDO ILQGLQJV 

'RPLQLN 0DOWULW] 

QR 

&R $XWKRUV $ .DUPDQQ 

629(5(,*1 5,6. ,1 $ 6758&785$/ $3352$&+ (9$/8$7,1* 

629(5(,*1 $%,/,7< 72 3$< $1' 352%$%,/,7< 2) '()$8/7 

.H\ZRUGV 3UREDELOLW\ RI 'HIDXOW DQG 6RYHUHLJQ 5LVN 


:H TXDQWLI\ WKH SUREDELOLW\ WKDW D VRYHUHLJQ GHIDXOWV RQ UHSD\PHQW REOLJDWLRQV LQ IRUHLJQ 

FXUUHQF\ $GRSWLQJ WKH VWUXFWXUDO DSSURDFK DV ILUVW LQWURGXFHG E\ 0HUWRQ ZH FRQVLGHU WKH 

VRYHUHLJQV DELOLW\ WR SD\ FKDUDFWHULVHG E\ WKH VXP RI GLVFRXQWHG IXWXUH SD\PHQW 

VXUSOXVHV DV WKH XQGHUO\LQJ SURFHVV ,WV LPSOLFLW YRODWLOLW\ LV LQIHUUHG IURP PDUNHW VSUHDGV 

:H GHPRQVWUDWH IRU WKH FDVH RI /DWLQ $PHULFD DQG 5XVVLD WKDW RXU DSSURDFK LQGLFDWHV 

GHIDXOW HYHQWV ZHOO LQ DGYDQFH RI DJHQFLHV DQG PDUNHWV

,1(48$/,7< , 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 2HFKVOLQ 

0LTXHO 3HOOLFHU 

(8, 

$XJ 

5RRP ' 

),1$1&,$/ 0$5.(7 $&&(66 $1' 7+( &2175,%87,21 2) &$3,7$/ 

,1&20( 72 ,1(48$/,7< 

.H\ZRUGV )LQDQFLDO 0DUNHW 3DUWLFLSDWLRQ DQG ,QHTXDOLW\ 


7HFKQLFDO FKDQJH DIIHFWV WKH GLVWULEXWLRQ RI FDSLWDO LQFRPH E\ ORZHULQJ ILQDQFLDO PDUNHW 

SDUWLFLSDWLRQ FRVWV , VWXG\ KRZ WKH FRQWULEXWLRQ RI FDSLWDO LQFRPH WR LQHTXDOLW\ &., 

GHSHQGV SDUWLFLSDWLRQ FRVWV $V SDUWLFLSDWLRQ FRVWV GHFUHDVH WKH &., ULVHV ZKHQ WKHVH 

FRVWV DUH KLJK DQG IDOOV ZKHQ WKH\ DUH ORZ , LOOXVWUDWH WKH PHFKDQLVP ZLWK D VLPSOH PRGHO 

2(&' GDWD RQ WKH &., LQ FRXQWULHV LV SUHVHQWHG DJDLQVW D PHDVXUH RI HTXLW\ WUDGLQJ 

FRVWV ,Q FRXQWULHV ZKHUH WUDGLQJ FRVWV DUH ORZ WKH &., KDV GHFUHDVHG DQG YLFHYHUVD 7KH 

OLPLWV RI WKH HTXDOL]LQJ UROH RI WHFKQLFDO FKDQJH DUH FRQVLGHUHG 

(XJHQLR 3HOXVR 

7+(0$ 8QLYHUVLWp GH &HUJ\ 3RQWRLVH 

&R $XWKRUV $ 7UDQQR\ 

,1(48$/,7< $1' :(/)$5( &203$5,6216 $021* ,1',9,'8$/6 

81'(5 6$08(/621 6 02'(/ 2) +286(+2/'6 

.H\ZRUGV ,QHTXDOLW\ &RPSDULVRQV ,QWUD KRXVHKROG GLVWULEXWLRQ /RUHQ] 'RPLQDQFH DQG 

:HOIDUH &RPSDULVRQV 

-(/ &ODVVLILFDWLRQ ' ' ' DQG ' 

7KH SDSHU LQYHVWLJDWHV WKH UHODWLRQ EHWZHHQ ZHOIDUH DPRQJ KRXVHKROGV DQG ZHOIDUH 

DPRQJ LQGLYLGXDOV ,W LV DVVXPHG WKDW IDPLO\ PHPEHUV VKDUH WKH KRXVHKROG LQFRPH E\ 

PD[LPL]LQJ D ZHLJKWHG VXP RI LQGLYLGXDO XWLOLW\ IXQFWLRQV :KLOH WKH LQGLYLGXDO SRSXODWLRQ LV 

FRQVLGHUHG DV KRPRJHQHRXV IURP WKH SRLQW RI YLHZ RI D VRFLDO SODQQHU LQGLYLGXDOV DUH 

WUHDWHG XQHTXDOO\ ZLWKLQ HDFK KRXVHKROG ? :H DVVXPH D VWURQJ UHJXODULW\ LQ WKLV XQIDLU 

WUHDWPHQW E\ DVVLJQLQJ D JLYHQ ZHLJKW WR HDFK W\SH RI LQGLYLGXDOV 7KH PDLQ UHVXOW VKRZV 

WKDW WKH ZHOIDUH UDQNLQJ DPRQJ KRXVHKROGV LV SUHVHUYHG DW WKH LQGLYLGXDO OHYHO LI DQG RQO\ LI 

WKH XWLOLW\ IXQFWLRQ LV LQFUHDVLQJ FRQFDYH DQG VDWLVILHV DGGLWLRQDO DVVXPSWLRQV H[SUHVVHG 

LQ WHUPV RI WKH DEVROXWH LQHTXDOLW\ DYHUVLRQ DQG WKH DEVROXWH SUXGHQFH FRHIILFLHQW 

$GGLWLRQDO FRQGLWLRQV LQ RUGHU WR H[WHQG WKLV UHVXOW WR WKH PDLQ LQHTXDOLW\ UDQNLQJV EDVHG RQ 

/RUHQ] FXUYHV DUH H[SORUHG

7ULGLS 5D\ 

+RQJ .RQJ 8QLYHUVLW\ RI 6FLHQFH 7HFKQRORJ\ 

&R $XWKRUV 6 &KDNUDERUW\ 

,1(48$/,7< ,1'8675,$/,=$7,21 $1' ),1$1&,$/ 6758&785( 

.H\ZRUGV )LQDQFLDO 'HYHORSPHQW )LQDQFLDO 6WUXFWXUH ,QGXVWULDOL]DWLRQ DQG ,QHTXDOLW\ 

-(/ &ODVVLILFDWLRQ ( * * 2 DQG 2 

:H LQWURGXFH PRQLWRUHG EDQN ORDQV DQG QRQ PRQLWRUHG WUDGHDEOH VHFXULWLHV DV 

VRXUFHV RI H[WHUQDO ILQDQFH IRU ILUPV LQ D G\QDPLF JHQHUDO HTXLOLEULXP PRGHO 'XH FUHGLW 

IULFWLRQV DFFHVV WR FUHGLW DQG HDFK W\SH RI ILQDQFLDO LQVWUXPHQW DUH GHWHUPLQHG E\ WKH 

ZHDOWK GLVWULEXWLRQ :H VWXG\ WKH GHSWK RI FUHGLW PDUNHWV ILQDQFLDO GHYHORSPHQW DQG 

FRQGLWLRQV XQGHU ZKLFK WKH ILQDQFLDO V\VWHP UHOLHV 

PRUH RQ HLWKHU W\SH RI H[WHUQDO ILQDQFH ILQDQFLDO VWUXFWXUH ,QLWLDO LQHTXDOLW\ GHWHUPLQHV 

ILQDQFLDO GHYHORSPHQW ZLWK KLJK LQHTXDOLW\ SUHYHQWLQJ GHYHORSHG V\VWHPV 

IURP HPHUJLQJ $ PRUH HTXLWDEOH LQFRPH GLVWULEXWLRQ DQG ODUJHU FDSLWDO UHTXLUHPHQWV RI 

LQGXVWU\ SURPRWH EDQN EDVHG V\VWHPV ,QYHVWPHQW ULVN SURPRWHV 

QRQ PRQLWRUHG ERUURZLQJ ZKLOH LQVWLWXWLRQDO SDUDPHWHUV DIIHFW 

ILQDQFLDO VWUXFWXUH LQ LQWXLWLYHO\ SODXVLEOH ZD\V 7KH PRGHOV SUHGLFWLRQV DUH FRQVLVWHQW 

ZLWK KLVWRULFDO DQG UHFHQW GHYHORSPHQW H[SHULHQFH 

0DQXHO 2HFKVOLQ 


&R $XWKRUV 5 )RHOOPL 

:+2 *$,16 )520 121 &2//86,9( &255837,21 

.H\ZRUGV FRUUXSWLRQ GHYHORSPHQW DQG LQFRPH LQHTXDOLW\ 


:H H[SORUH WKH LPSDFW RI QRQ FROOXVLYH FRUUXSWLRQ RQ WKH ZHDOWK GLVWULEXWLRQ :H VKRZ WKDW 

WKH GLVWULEXWLRQDO FRQVHTXHQFHV GHSHQG FUXFLDOO\ RQ WKH GHJUHH RI FDSLWDO PDUNHW 

LPSHUIHFWLRQV :LWK SHUIHFW FDSLWDO PDUNHWV FRUUXSWLRQ GRHV QRW UHGLVWULEXWH ZHDOWK ZLWKLQ 

WKH SULYDWH VHFWRU +RZHYHU LI ERUURZLQJ LV OLPLWHG PHPEHUV RI WKH PLGGOH FODVV VXIIHU 

PRVW VLQFH EULEHU\ GULYHV WKHP RXW RI WKH FDSLWDO PDUNHW 7KLV LQ WXUQ PDNHV DFFHVV WR 

FUHGLW HDVLHU IRU ZHDOWK\ LQGLYLGXDOV VXFK WKDW D JURXS RI WKHP HYHQ ZLQV ,Q WKH HPSLULFDO 

VHFWLRQ ZH SURYLGH HYLGHQFH VKRZLQJ WKDW PRUH FRUUXSWLRQ DQG D SRODUL]DWLRQ LQ WKH 

GLVWULEXWLRQ JR LQGHHG KDQG LQ KDQG 

,1129$7,21 $1' 352'8&7,9,7< 

&DWHJRU\ (($ 

&KDLUSHUVRQ 6 $KQ 

&DUO -RKDQ 'DOJDDUG 


,'/( &$3,7$/ $1' /21* 581 352'8&7,9,7< 

$XJ 

5RRP '

.H\ZRUGV &DSLWDO XWLOL]DWLRQ &RQYHUJHQFH DQG 7RWDO )DFWRU 3URGXFWLYLW\ 


7KLV SDSHU H[DPLQHV WKH MRLQW GHWHUPLQDWLRQ RI ORQJ UXQ LQFRPH SHU ZRUNHU DQG FDSLWDO 

XWLOL]DWLRQ &RPSDUDWLYHO\ ORZ RSWLPDO UDWHV RI FDSLWDO XWLOL]DWLRQ PD\ DULVH LQ SRRU 

HFRQRPLHV LQ UHVSRQVH WR ZHDN XQGHUO\LQJ VWUXFWXUDO FKDUDFWHULVWLFV 7KH TXDQWLWDWLYH 

LPSOLFDWLRQV RI YDULDEOH FDSLWDO XWLOL]DWLRQ DUH DOVR H[SORUHG ,W LV GHPRQVWUDWHG WKDW DGGLQJ 

HQGRJHQRXV FDSLWDO XWLOL]DWLRQ WR WKH 6RORZ PRGHO LPSOLHV D UDWH RI FRQYHUJHQFH LQ OLQH 

ZLWK HPSLULFDO HVWLPDWHV DQG WKDW FRQWUROOLQJ IRU FDSLWDO XWLOL]DWLRQ OHDGV WR LQWHUHVWLQJ 

PRGLILFDWLRQV RI WKH UHVXOWV VWHPPLQJ IURP RIW FLWHG H[HUFLVHV LQ FURVV FRXQWU\ JURZWK DQG 

OHYHOV DFFRXQWLQJ 

6WHQ +DQVHQ 

0LQLVWU\ RI )LQDQFH 

&R $XWKRUV 7 /LQGVWU|P 

,6 5,6,1* 5(78516 72 6&$/( $ ),*0(17 2) 3225 $&&2817,1* 

'$7$" 

.H\ZRUGV $JJUHJDWLRQ RYHU ILUPV ([WHUQDO HFRQRPLHV )DFWRU KRDUGLQJ )LUP OHYHO GDWD 

0HDVXUHPHQW HUURUV DQG 5HWXUQV WR VFDOH 


8VLQJ GHWDLOHG ILUP OHYHO GDWD IURP WKH 6ZHGLVK SULYDWH EXVLQHVV VHFWRU WKLV 

VWXG\ LGHQWLILHV WZR HPSLULFDO SX]]OHV L UHWXUQV WR VFDOH SDUDPHWHU HVWLPDWHV ULVH DW 

KLJKHU OHYHOV RI GDWD DJJUHJDWLRQ DQG LL HVWLPDWHV IURP WKH ILUP OHYHO DUH VPDOOHU WKDQ 

RQH 7KH DQDO\VLV VKRZV WKDW DOWKRXJK FRQVLVWHQW ZLWK ULVLQJ UHWXUQV WR VFDOH SDUDPHWHU 

HVWLPDWHV WKH %DVX )HUQDOG DJJUHJDWLRQ ELDV HIIHFW LV QRW LPSRUWDQW LQ WKH GDWD 

5DWKHU ULVLQJ DQG WRR ORZ UHWXUQV WR VFDOH HVWLPDWHV VHHP WR UHIOHFW D FRPELQDWLRQ RI 

UDQGRP PHDVXUHPHQW HUURUV RQ IDFWRU LQSXWV ± LW WXUQV RXW LQ IDFW WKDW D SHUFHQW 

UDQGRP HUURU RQ ZRUNLQJ KRXUV FDQ H[SODLQ ERWK SX]]OHV 

5DLQHU $QGHUJDVVHQ 

'HSDUWPHQW RI (FRQRPLFV 8QLYHUVLW\ RI %RORJQD 

&R $XWKRUV ) 1DUGLQL 

(1'2*(1286 ,1129$7,21 :$9(6 $1' (&2120,& *52:7+ 

.H\ZRUGV DJJUHJDWH IOXFWXDWLRQV EDODQFHG JURZWK UDWH HQGRJHQRXV JURZWK LQQRYDWLRQ 

ZDYHV DQG WHFKQRORJ\ GLIIXVLRQ 

-(/ &ODVVLILFDWLRQ ' ( ( 2 DQG 2 

:H SURSRVH D VLPSOH PRGHO ZKHUH ODUJH LQQRYDWLRQ ZDYHV DULVH IURP WKH HQGRJHQRXV 

SURSDJDWLRQ RI LQIRUPDWLRQ DURXQG LQGXVWULHV ,QQRYDWRUV RI HDFK LQGXVWU\ LQYHVW LQ LQWHUQDO 

5? ' DQG HYHQWXDOO\ LQ ORFDO VHDUFK IRU LQIRUPDWLRQ :H VKRZ WKDW GHSHQGLQJ RQ WKH 

VWUXFWXUDO SDUDPHWHUV RI WKH VLQJOH LQGXVWULHV VRPH HQJDJH LQ ORFDO VHDUFK ZKLOH RWKHUV GR 

QRW 7KURXJK ORFDOLVHG VHDUFK IRU LQIRUPDWLRQ D WHFKQRORJ\ LQWURGXFHG E\ D VLQJOH LQGXVWU\ 

FDQ EH LQWURGXFHG DOVR LQ RWKHU LQGXVWULHV OHDGLQJ WR D ODUJH WHFKQRORJLFDO FRUUHODWLRQ DQG

HYHQWXDOO\ WR ORQJ UDQJHG LQQRYDWLRQ ZDYHV :H FKDUDFWHULVH WKH HQGRJHQRXV EDODQFHG 

JURZWK SDWK RI WKH HFRQRP\ DQG WKH VKRUW UXQ IOXFWXDWLRQV DURXQG LW 

6DQJKRRQ $KQ 

+RQJ .RQJ 8QLYHUVLW\ RI 6FLHQFH DQG 7HFKQRORJ\ 

7(&+12/2*< 83*5$',1* ,7 &$3,7$/ $1' 0$5.(7 9$/8( 

.H\ZRUGV ,7 FDSLWDO /HDUQLQJ 0DUNHW YDOXH 6WRFN PDUNHW DQG 7HFKQRORJ\ 

-(/ &ODVVLILFDWLRQ ' * 2 DQG 2 

$GRSWLRQ RI QHZ WHFKQRORJ\ UHTXLUHV GLYHUVLRQ RI KXPDQ DQG SK\VLFDO UHVRXUFHV WR 

OHDUQLQJ DGMXVWLQJ DFWLYLWLHV )RFXVLQJ RQ VXFK ³OHDUQLQJ FRVW´ ZH GHULYH D VLPSOH PRGHO 

RQ WKH RSWLPDO WLPLQJ IRU WHFKQRORJ\ XSJUDGLQJ 7KLV PRGHO VXJJHVWV WKDW D ILUP SHUFHLYHG 

WR KDYH EHWWHU OHDUQLQJ DELOLW\ ZLOO VKRZ PRUH IUHTXHQW WHFKQRORJ\ XSJUDGLQJ DQG KLJKHU 

PDUNHW YDOXH HYHQ ZLWK SRVVLEO\ ORZHU FXUUHQW SURILWDELOLW\ 5HJUHVVLRQ UHVXOWV IURP SDQHO 

GDWD RQ PRUH WKDQ ILUPV VXSSRUW WKH PRGHO SUHGLFWLRQV 7KLV SDSHU WULHV WR H[SODLQ 

WKH ODUJH VZLQJ LQ WKH VWRFN PDUNHW LQ WKH ODWH V DV D UDWLRQDO UHVSRQVH WR QHZ 

LQIRUPDWLRQ DIIHFWLQJ SHUFHLYHG OHDUQLQJ FRVW 

/$%285 0$5.(7 0$7&+,1* 

&DWHJRU\ (($ 

&KDLUSHUVRQ 3 *DXWLHU 

0iULR &HQWHQR 

%DQFR GH 3RUWXJDO 

&R $XWKRUV $ $QWXQHV 

$XJ 

6(/) (03/2

&R $XWKRUV * -RVHSK DQG + 6QHHVVHQV 

-2% 785129(5 81(03/2

FDQ DSSO\ IRU PXOWLSOH MREV :H VKRZ WKDW WKHUH H[LVWV D XQLTXH V\PPHWULF HTXLOLEULXP 

ZKHUH ILUPV SRVW WKH VDPH ZDJH DQG ZRUNHUV UDQGRPL]H WKHLU DSSOLFDWLRQV :KHQ ZRUNHUV 

DSSO\ WR RQH MRE RQO\ WKH UHVXOWLQJ HTXLOLEULXP LV HIILFLHQW EXW ZKHQ WKH\ DSSO\ WR PXOWLSOH 

MREV WKHUH DUH WRR PDQ\ YDFDQFLHV LQ HTXLOLEULXP 

/$%285 0$5.(76 (03,5,&$/ (9,'(1&( ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 6 3HUHLUD 

0DXUHHQ 3DXO 


$XJ 

$ &5266 6(&7,21 $1$/


&R $XWKRUV - 6FKZDU]H 

'2(6 )8785( 3& 86( '(7(50,1( 285 :$*(6 72'$

'2 :+(1 $1' :+(5( 0$77(5" ,1,7,$/ /$%25 0$5.(7 

&21',7,216 $1' ,00,*5$17 ($51,1*6 

.H\ZRUGV (DUQLQJV ,PPLJUDWLRQ DQG /DERU PDUNHW FRQGLWLRQV 

-(/ &ODVVLILFDWLRQ ) - - DQG 5 

7KLV SDSHU LQYHVWLJDWHV WKH ORQJ WHUP HIIHFWV RQ LPPLJUDQW HDUQLQJV DQG HPSOR\PHQW IURP 

ODERU PDUNHW FRQGLWLRQV HQFRXQWHUHG DW DUULYDO :H ILQG VXEVWDQWLDO HIIHFWV ERWK RI WKH VWDWH 

RI WKH QDWLRQDO ODERU PDUNHW DQG RI ORFDO XQHPSOR\PHQW UDWHV &RPSDULQJ UHIXJHHV 

HQWHULQJ 6ZHGHQ LQ D VHYHUH DQG XQH[SHFWHG UHFHVVLRQ WR UHIXJHHV DUULYLQJ LQ D SUHFHGLQJ 

HFRQRPLF ERRP ZH DWWHPSW WR KDQGOH WKH LVVXH RI VHOHFWLYH PLJUDWLRQ 7KH DQDO\VLV RI 

HIIHFWV DW WKH ORFDO OHYHO H[SORLWV D JRYHUQPHQWDO UHIXJHH VHWWOHPHQW SROLF\ WR JHW 

H[RJHQRXV YDULDWLRQ LQ ORFDO ODERU PDUNHW FRQGLWLRQV 

&KLVDWR

0LFKDHO %XUGD 

+XPEROGW 8QLYHUVLWlW ]X %HUOLQ 

)$&725 02%,/,7< ,1&20( ',))(5(17,$/6 $1' 5(*,21$/ 

(&2120,& ,17(*5$7,21 

.H\ZRUGV FDSLWDO PRELOLW\ FRVWV RI DGMXVWPHQW (FRQRPLF LQWHJUDWLRQ DQG ODERU PRELOLW\ 

-(/ &ODVVLILFDWLRQ ) ) DQG 5 

7KLV SDSHU H[DPLQHV UHJLRQDO LQWHJUDWLRQ ZKHQ PRELOLW\ RU DGMXVWPHQW FRVWV DUH UHOHYDQW 

IRU WKH GHSOR\PHQW RI SURGXFWLRQ IDFWRUV DFURVV VSDFH 1RW RQO\ DUH WKHVH 

FRVWV D FHQWUDO GHWHUPLQDQW RI ERWK G\QDPLF DQG VWHDG\ VWDWH DOORFDWLRQ RI IDFWRUV DFURVV 

UHJLRQV EXW WKH\ DOVR GULYH REVHUYDEOH IDFWRU LQFRPH GLIIHUHQWLDOV DORQJ WKH HTXLOLEULXP 

SDWK WR WKH QHZ VWHDG\ VWDWH 7KH PRGHO SUHGLFWV WKDW XQGHU FRPSHWLWLYH FRQGLWLRQV 

REVHUYHG GLIIHUHQWLDOV FDQ EH XVHG WR LQIHU LQIRUPDWLRQ DERXW WKHVH FRVWV 3URSHU 

FRQVLGHUDWLRQ RI DGMXVWPHQW FRVWV LV HVVHQWLDO IRU FRUUHFWO\ DVVHVVLQJ IXWXUH PLJUDWLRQ DQG 

FDSLWDO PRELOLW\ HVSHFLDOO\ LQ WKH FDVH RI HDVWHUQ HQODUJHPHQW RI WKH (XURSHDQ 8QLRQ 

),1$1&,$/ 0$5.(76 (03,5,&$/ 

(9,'(1&( 

&DWHJRU\ (($ 

&KDLUSHUVRQ - *UDPPLJ 

1RUEHUW )XQNH 


&R $XWKRUV $ 0DWVXGD 

$XJ 

5RRP ) 

0$&52(&2120,& 1(:6 $1' 672&. 5(78516 ,1 7+( 817(' 

67$7(6 $1' *(50$1< 

.H\ZRUGV PDFURHFRQRPLF QHZV DQG 6WRFN PDUNHW 

-(/ &ODVVLILFDWLRQ ( ) DQG * 

8VLQJ GDLO\ GDWD IRU WKH -DQXDU\ WR -XQH SHULRG ZH DQDO\]H WKH LPSDFW RI D 

EURDG VHW RI PDFURHFRQRPLF QHZV RQ VWRFN SULFHV LQ WKH 8QLWHG 6WDWHV DQG *HUPDQ\ 

:LWK *$5&+ VSHFLILFDWLRQV ZH WHVW ILYH K\SRWKHVHV DQG ILQG WKDW QHZV RQ UHDO HFRQRPLF 

DFWLYLW\ KDV D VLJQLILFDQW LPSDFW RQ VWRFN SULFHV 7KH HIIHFWV YDU\ EHWZHHQ GLIIHUHQW W\SHV 

RI VWRFNV DQG GHSHQG RQ WKH VWDWH RI WKH HFRQRP\ ,Q D ERRP SHULRG EDG HFRQRPLF QHZV 

PD\ EH JRRG QHZV IRU VWRFN SULFHV )RU *HUPDQ VWRFN SULFHV LQWHUQDWLRQDO QHZV LV DW OHDVW 

DV LPSRUWDQW DV GRPHVWLF QHZV 7KH DQDO\VLV RI ELKRXUO\ GDWD VXJJHVWV WKDW WKH PDLQ 

HIIHFW RFFXUV ZLWKLQ D VKRUW SHULRG RI WLPH 

*HRUJ 6WDGWPDQQ 

:+8

$1 (03,5,&$/ (;$0,1$7,21 2) 7+( 1(:6 02'(/ 7+( &$6( 2) 

%25866,$ '257081' *0%+ &2 .*$$ 

.H\ZRUGV %HWWLQJ 2GGV )RRWEDOO ,QGXVWU\ 1HZV 0RGHO DQG 6WRFN 0DUNHW 


:H XVH VWRFN PDUNHW GDWD IRU %RUXVVLD 'RUWPXQG *PE+ &R .*D$ WR WHVW WKH QHZV 

PRGHO RI DVVHW SULFH GHWHUPLQDWLRQ 'XH WR WKH VSHFLILF FKDUDFWHULVWLFV 

RI WKH QHZV JHQHUDWLQJ SURFHVV WKH FDVH RI D SXEOLFO\ WUDGHG 

VSRUW FOXE LV D YHU\ DSSURSULDWH FDQGLGDWH IRU WHVWLQJ WKLV PRGHO 

:H HODERUDWH ZKHWKHU QHZ LQIRUPDWLRQ UHJDUGLQJ WKH VSRUWLQJ 

VXFFHVV KHOS WR SUHGLFW VXEVHTXHQW FKDQJHV LQ WKH VWRFN SULFH RI 

%RUXVVLD 'RUWPXQG :H GHYHORS DQ LQGXVWU\ PRGHO WKDW OLQNV WKH VSRUWLQJ VXFFHVV WR WKH 

HFRQRPLF VXFFHVV $GGLWLRQDOO\ ZH WHVW WKLV PRGHO HPSLULFDOO\ DQG TXDQWLI\ WKH 

HIIHFW RI PDWFK RXWFRPHV LQ WKH GLIIHUHQW FRPSHWLWLRQV RQ WKH 

VXEVHTXHQW FKDQJH LQ VWRFN SULFHV 

7XUJXW .LVLQED\ 

0F*LOO 8QLYHUVLW\ DQG ,0) 

35(',&7,9( $%,/,7< 2) $6

KDV WR EH LQIHUUHG E\ DSSO\LQJ WUDGH FODVVLILFDWLRQ DOJRULWKPV OLNH WKH RQH SXW IRUWK E\ /HH 

5HDG\ 7KHVH DOJRULWKPV DUH NQRZQ WR EH LQDFFXUDWH ,Q WKLV SDSHU ZH SHUIRUP 

H[WHQVLYH VLPXODWLRQV WR VKRZ WKDW LQDFFXUDWH WUDGH FODVVLILFDWLRQ OHDGV WR ELDVHG 

HVWLPDWLRQ RI WKH SUREDELOLW\ RI LQIRUPHG WUDGLQJ ZKHQ DSSO\LQJ WKH (.23 PHWKRGRORJ\ 

7KH HVWLPDWH LV ELDVHG GRZQZDUG DQG WKH PDJQLWXGH RI WKH ELDV LV UHODWHG WR WKH WUDGLQJ 

LQWHQVLW\ RI WKH VWRFN LQ TXHVWLRQ 6FUXWLQL]LQJ SULRU HPSLULFDO VWXGLHV XVLQJ WKH (.23 

PHWKRGRORJ\ ZH FRQFOXGH WKDW WKH ELDV PD\ VHYHUHO\ DIIHFW WKH UHVXOWV RI HPSLULFDO 

PLFURVWUXFWXUH VWXGLHV 

021(7$5< 32/,&< 9, 

&DWHJRU\ (($ 

&KDLUSHUVRQ - 6DKXF 

2OLYLHU %UXQR 

/DWDSVHV &QUV 

&R $XWKRUV 0 3UXQLHU 

$XJ 

5RRP ) 

&5(',7 $//2&$7,21 $1' 021(7$5< 32/,&< ,1 $ 02'(/ :,7+ 

+(7(52*(1(286 /(1'(56 

.H\ZRUGV %DQN &DSLWDO &UHGLW $OORFDWLRQ )LQDQFLDO ,QWHUPHGLDULHV DQG 0RQLWRULQJ 


:H FRQVLGHU D PRGHO ZLWK WKUHH FODVVHV RI DJHQWV ILUPV LQGLYLGXDO LQYHVWRUV DQG EDQNV 

%DQNV GLIIHU DFFRUGLQJ WR WKHLU OHYHO RI FDSLWDO DQG PRQLWRULQJ WHFKQRORJ\ )LUPV DELOLW\ WR 

REWDLQ H[WHUQDO IXQGV LV GHWHUPLQHG E\ WKHLU RZQ ZHDOWK EDQN FDSLWDO DQG PRQLWRULQJ 

WHFKQRORJ\ VPDOO PHGLXP ILUPV LQYHVW ZLWK WKH VPDOO ODUJH EDQN ZKHUHDV ODUJH ILUPV 

DUH ILQDQFHG E\ WKH ILQDQFLDO PDUNHW )LQDOO\ UHVWULFWLYH PRQHWDU\ SROLF\ OHDGV WR D 

FRQWUDFWLRQ LQ DJJUHJDWH LQYHVWPHQW DQG WR D FUHGLW UHDOORFDWLRQ PHFKDQLVP VLPLODU WR D 

IOLJKW WR TXDOLW\ HIIHFW 7KLV UHVWULFWLYH SROLF\ KDV D VWURQJ HIIHFW QRW RQ EDQN GHSHQGHQW 

ILUPV EXW RQ VPDOO EDQN GHSHQGHQW ILUPV 

0DWWLDV (UODQGVVRQ 

*|WHERUJ 8QLYHUVLW\ 

(&2120,& '(7(50,1$176 2) 38%/,& 23,1,21 $%287 -2,1,1* 

7+( (08 ,1 6:('(1 $1' ,1 7+( 8. 

.H\ZRUGV PRQHWDU\ XQLRQ 3XEOLF RSLQLRQ DQG UHIHUHQGD 


3RWHQWLDO %ULWLVK DQG RU 6ZHGLVK PHPEHUVKLSV LQ WKH WKLUG VWDJH RI WKH (08 ZLOO EH 

GHWHUPLQHG LQ UHIHUHQGD 7KH RSLQLRQ SROOV WKDW SUHFHGH WKHVH UHIHUHQGD VKRZ VWURQJ 

YDULDELOLW\ LQ SDUWLFXODU LQ WKH 6ZHGLVK SXEOLF RSLQLRQ RYHU WKH ODVW IRXU \HDUV +HUH , 

GHULYH D WKHRUHWLFDO PRGHO DQG WHVW LW ZLWK RSLQLRQ SROO GDWD WR HVWDEOLVK WKH HFRQRPLF 

IDFWRUV GULYLQJ WKH RSLQLRQV )RU 6ZHGHQ DQ LQFUHDVHG QRPLQDO H[FKDQJH UDWH XQFHUWDLQW\ 

PDNHV WKH RSLQLRQ PRUH LQ IDYRU RI PHPEHUVKLS ZKLOH WKH RSSRVLWH LV WUXH IRU HPSOR\PHQW 

XQFHUWDLQW\ ,Q OLQH ZLWK WKH WKHRUHWLFDO PRGHO WKH HPSLULFDO UHVXOWV IRU WKH 8. DUH ZHDNHU 

7KH H[SODQDWLRQ LV WKDW WKH OHVV H[SRVHG D FRXQWU\ LV WR IRUHLJQ WUDGH WKH OHVV GHFLVLYH LV

FXUUHQF\ YDULDELOLW\ IRU PRYHPHQWV LQ SXEOLF VXSSRUW IRU PHPEHUVKLS 6LPLODUO\ WKH OHVV 

ULJLG DQ HFRQRP\ LV WKH OHVV GHFLVLYH LV WKH UHDO XQFHUWDLQW\ 

0LFKDHO %HUJPDQ 

'HSDUWPHQW RI (FRQRPLFV /XQG 8QLYHUVLW\ 

&R $XWKRUV - +DQVHQ 

),1$1&,$/ ,167$%,/,7< $1' 021(7$5< 32/,&< 7+( 6:(',6+ 

(9,'(1&( 

.H\ZRUGV )LQDQFLDO LQVWDELOLW\ PRQHWDU\ SROLF\ VWUXFWXUDO VFKRFNV DQG 9$5 PRGHO 


7KLV SDSHU H[DPLQHV WKH UHODWLRQVKLS EHWZHHQ ILQDQFLDO LQVWDELOLW\ DQG PRQHWDU\ SROLF\ 

ZLWKLQ WKH 6ZHGLVK HFRQRP\ %DVHG RQ D VWDQGDUG 9$5 PRGHO RI PRQHWDU\ SROLF\ 

H[WHQGHG WR LQFOXGH PHDVXUHV RI ILQDQFLDO LQVWDELOLW\ DQG FUHGLW H[SDQVLRQV ZH H[DPLQH 

WKH LQWHUDFWLRQ EHWZHHQ PRQHWDU\ DQG ILQDQFLDO VWDELOLW\ :H ILQG WKDW ERWK KLJKHU LQWHUHVW 

UDWHV KLJKHU SULFHV DQG OHQGLQJ H[SDQVLRQV FRQWULEXWH WR ILQDQFLDO LQVWDELOLW\ $V WKH HIIHFWV 

IURP ERWK SULFH VKRFNV DUH VWURQJ DQG SHUVLVWHQW FRPSDUHG WR RWKHU VKRFNV RXU 

FRQFOXVLRQ LV WKDW ZH FDQQRW UHMHFW WKDW SULFH VWDELOLW\ DQG ILQDQFLDO VWDELOLW\ DUH PXWXDOO\ 

FRQVLVWHQW JRDOV IRU PRQHWDU\ SROLF\ 

-HDQ *XLOODXPH 6DKXF 

%DQTXH GH )UDQFH DQG 8QLYHUVLWp G (YU\ 

&R $XWKRUV 6 0R\HQ 

,1&25325$7,1* /$%285 0$5.(7 )5,&7,216 ,172 $1 

237,0,=,1* %$6(' 021(7$5< 32/,&< 02'(/ 

.H\ZRUGV '6*( PRGHOV HQGRJHQRXV SHUVLVWHQFH (XUR DUHD ODERXU PDUNHW VHDUFK 

QRPLQDO ULJLGLWLHV DQG UHDO ULJLGLWLHV 

-(/ &ODVVLILFDWLRQ & ( DQG ( 

7KLV SDSHU H[DPLQHV WKH HIIHFW RI LQWURGXFLQJ D QRQ ZDOUDVLDQ ODERXU PDUNHW LQWR WKH 

CC1HZ 1HRFODVVLFDO 6\QWKHVLV IUDPHZRUN $ G\QDPLF VWRFKDVWLF JHQHUDO HTXLOLEULXP 

PRGHO LV IRUPXODWHG VROYHG DQG FDOLEUDWHG WR HYDOXDWH LWV DELOLWLHV WR UHSOLFDWH WKH PDLQ 

IHDWXUHV RI WKH (XUR DUHD HFRQRP\ 7KLV IUDPHZRUN DOORZV WKH UHVSHFWLYH UROHV RI ODERXU 

PDUNHW ULJLGLWLHV QRPLQDO ULJLGLWLHV DQG SROLF\ LQHUWLD LQ DFFRXQWLQJ IRU WKH LPSDFW RI 

PRQHWDU\ SROLF\ WHFKQRORJ\ SXEOLF VSHQGLQJ DQG SUHIHUHQFH VKRFNV WR EH VWXGLHG 2XU 

VLPXODWLRQV VKRZ WKDW L UHDO ULJLGLWLHV FRPSOHPHQW EXW QRW VXSSODQW QRPLQDO ULJLGLWLHV LL 

WKH %HYHULGJH DQG 3KLOOLSV UHODWLRQV DUH UHSURGXFHG LLL KRXUV ZRUNHG DUH D WRR PXFK 

FUXFLDO DGMXVWPHQW YDULDEOH DQG LY WKH UHDO ZDJH G\QDPLF LV VWLOO SURF\FOLFDO 

&25325$7( ),1$1&( , 

&DWHJRU\ (($ 

&KDLUSHUVRQ 9 /DX[ 

$XJ 

5RRP )

6HUJXHL 6WHSDQRY 

(&$5(6 8/% 

,19(6725 3527(&7,21 *2,1* 38%/,& $1' 6(3$5$7,1* 

&21752/ )520 &$6+ )/2: 5,*+76 

.H\ZRUGV FRUSRUDWH JRYHUQDQFH LQYHVWRU SURWHFWLRQ ODZ HQIRUFHPHQW RQH VKDUH RQH 

YRWH DQG RZQHUVKLS VWUXFWXUH 

-(/ &ODVVLILFDWLRQ * . DQG . 

'ULYHQ E\ WKH QHHG WR DWWUDFW IXQGV D PDQDJHU RI D ILUP WULHV WR UHGXFH DJHQF\ FRVWV E\ 

HVWDEOLVKLQJ FRPPLWPHQW GHYLFHV OLPLWLQJ LQHIILFLHQW SULYDWH EHQHILWV H[WUDFWLRQ ,Q WKLV 

IUDPHZRUN ZH H[DPLQH KRZ OHJDO HQYLURQPHQW DIIHFWV WKH PDQDJHUV GHFLVLRQ WR JR SXEOLF 

WKH GLVWULEXWLRQ RI RZQHUVKLS DQG YRWLQJ ULJKWV LQ ILUPV DQG WKH VWRFN PDUNHW VL]H 

'LVWLQJXLVKLQJ EHWZHHQ ODZ RQ WKH ERRNV DQG ODZ HQIRUFHPHQW ZH ILUVW REWDLQ D QXPEHU 

UHVXOWV FRQVLVWHQW ZLWK UHFHQW HPSLULFDO ILQGLQJV +RZHYHU ZH ILQG WKDW FRQWUDU\ WR WKH 

ZLGHVSUHDG YLHZ LQVLGH RZQHUVKLS LQ SXEOLF FRPSDQLHV PD\ LQFUHDVH DV OHJDO SURWHFWLRQ 

LPSURYHV 6HFRQG ZH DUJXH WKDW LQ FRXQWULHV ZLWK ZHDN ODZ HQIRUFHPHQW WKH XVH RI 

VKDUHV ZLWK GLIIHUHQWLDO YRWLQJ ULJKWV FDQ UHVXOW LQ PRUH GLYHUVLILHG ILQDQFLQJ DQG IDFLOLWDWH 

JRLQJ SXEOLF 7KLV SRVLWLYH HIIHFW LQFUHDVHV ZLWK WKH TXDOLW\ RI RWKHU ODZV JLYHQ WKH SRRU 

TXDOLW\ RI HQIRUFHPHQW 

/LQGD 7RROVHPD 


+$9,1* 025( 327(17,$/ 5$,'(56 :($.(16 7+( 7$.(29(5 

7+5($7 

.H\ZRUGV &RPSHWLWLRQ 0DQDJHULDO LQFHQWLYHV DQG 7DNHRYHU WKUHDWV 

-(/ &ODVVLILFDWLRQ * * DQG / 

:H DUJXH LQ WKLV SDSHU WKDW D PRUH DFWLYH PDUNHW IRU FRUSRUDWH FRQWURO PD\ ZHDNHQ WKH 

WDNHRYHU WKUHDW :H VKRZ WKDW DQ LQFUHDVH LQ WKH QXPEHU RI SRWHQWLDO UDLGHUV WHQGV WR 

GHFUHDVH WKH SUREDELOLW\ RI D WDNHRYHU 7KLV LQ WXUQ ZHDNHQV PDQDJHULDO LQFHQWLYHV 7KH 

ORZHU PDQDJHULDO HIIRUW OHYHO WKDW UHVXOWV LQ HTXLOLEULXP QHJDWLYHO\ DIIHFWV WKH H[ DQWH YDOXH 

RI WKH ILUP 

.DL 5XGROSK 

8QLYHUVLW\ RI 0XHQVWHU *HUPDQ\ 

35( &2175$&7 %$5*$,1,1* $1' &25325$7( ),1$1&( 

.H\ZRUGV $V\PPHWULF ,QIRUPDWLRQ %LODWHUDO %DUJDLQLQJ &DSLWDO 6WUXFWXUH &RUSRUDWH 

)LQDQFH DQG 0RUDO +D]DUG 

-(/ &ODVVLILFDWLRQ & ' ' DQG * 

$Q DVSHFW QHJOHFWHG ZKHQ DQDO\]LQJ UDLVLQJ FDSLWDO GHFLVLRQV VR 

IDU LV WKDW QRW DOZD\V WKH ERUURZHU HQWUHSUHQHXU KDV WKH SRZHU WR 

GHWHUPLQH WKH SUHIHUUHG FRQWUDFW W\SH DQG RU WKH WUDQVDFWLRQ 

ZD\ 7KHUHIRUH D ILUPV ILQDQFLQJ GHFLVLRQ GHSHQGV RQ WKH

LQLWLDO ?HPSKÊDUJDLQLQJ SRZHU` RI WKH FRQWUDFWLQJ SDUWLHV ,Q D 

VLPSOH WZR DJHQW VHWWLQJ ZKHUH LQIRUPDWLRQDO DV\PPHWULHV FDXVH 

PRUDO KD]DUG SUREOHPV ZH VKRZ IRU ILUPV KDYLQJ DFFHVV WR SULYDWH 

DV ZHOO DV SXEOLF GHEW DQG HTXLW\ PDUNHWV WKDW WKH RSWLPDO 

FRQWUDFW W\SH DQG WUDQVDFWLRQ ZD\ GHSHQG RQ µSUH FRQWUDFW 

EDUJDLQLQJ SRZHU ( J GHSHQGLQJ RQ WKH DVVXPHG XQGHUO\LQJ 

WUDGH RIIV LQ WKLV FDVH GHEWV YHULILFDWLRQ DGYDQWDJH YV LW V 

GHIDXOW GLVDGYDQWDJH GHEWV HTXLW\ GRPLQDWLRQ GHFUHDVHV ZKHQ WKH 

ERUURZHU ORVHV SRZHU 

9RONHU /DX[ 

*RHWKH 8QLYHUVLW\ RI )UDQNIXUW 

7+( ,*125(' 3(5)250$1&( 0($685( 

.H\ZRUGV 0XOWL WDVN SULQ]LSDO DJHQW SUREOHP 2SWLPDO FRQWUDFW DQG 3HUIRUPDQFH 

PHDVXUHV 

-(/ &ODVVLILFDWLRQ ' - DQG 0 

,Q WKLV SDSHU , VWXG\ D VHWWLQJ LQ ZKLFK D ULVN DYHUVH PDQDJHU LV KLUHG WR SXUVXH WZR WDVNV 

WR HYDOXDWH DQG PDQDJH D SURMHFW , SURYLGH D VXIILFLHQW FRQGLWLRQ XQGHU ZKLFK D 

SHUIRUPDQFH PHDVXUH WKDW LV SHUIHFWO\ LQIRUPDWLYH RI WKH VHFRQG WDVN LV ZRUWKOHVV IRU 

FRQWUDFWLQJ ZLWK WKH PDQDJHU +HQFH LQIRUPDWLRQ FRQWHQW LV D QHFHVVDU\ EXW QRW D 

VXIILFLHQW FRQGLWLRQ IRU D SHUIRUPDQFH PHDVXUH WR EH YDOXDEOH ,Q DGGLWLRQ , VKRZ WKDW 

KHDGTXDUWHUV VWULFWO\ SUHIHUV WR DVVLJQ ERWK WKH HYDOXDWLRQ DQG WKH PDQDJHULDO WDVN WR RQH 

PDQDJHU UDWKHU WKDQ WR WZR GLVWLQFW PDQDJHUV 

,17(51$7,21$/ ),1$1&( 

&DWHJRU\ (($ 

&KDLUSHUVRQ & .DQW 

:HUQHU 5RHJHU 

(XURSHDQ &RPPLVVLRQ '* (&),1 

$XJ 

(;3/$,1,1* /21* 7(50 ,17(51$7,21$/ &$3,7$/ )/2:6 

.H\ZRUGV &DSLWDO PRELOLW\ ,QWHUQDWLRQDO &DSLWDO IORZV DQG 2YHUODSSLQJ JHQHUDWLRQV 

PRGHOV 


5RRP % 

7KLV SDSHU GHYHORSV D VLPSOH ILYH UHJLRQ OLIH F\FOH PRGHO DQG ORRNV DW LWV DELOLW\ WR UHSOLFDWH 

LQWHUQDWLRQDO FDSLWDO IORZV XQGHU DOWHUQDWLYH DVVXPSWLRQV RQ WKH GHJUHH RI LQWHUQDWLRQDO 

FDSLWDO PRELOLW\ :H LGHQWLI\ LGLRV\QFUDWLF UHJLRQDO WUHQGV WR WHFKQRORJ\ JRYHUQPHQW GHEW 

ODERXU IRUFH SDUWLFLSDWLRQ DQG GHPRJUDSK\ VLQFH DQG ILQG WKDW WKH GLUHFWLRQ DQG 

PDJQLWXGH RI QHW IRUHLJQ DVVHW HYROXWLRQV LV FRQVLVWHQW ZLWK WKH PRGHO SURYLGHG VXIILFLHQW 

UHVWULFWLRQV DUH LPSRVHG RQ FDSLWDO IORZV WR VORZ DJHLQJ UHVW RI WKH ZRUOG FRXQWULHV $ 

GHFRPSRVLWLRQ RI WKH VRXUFHV RI LQWHUQDWLRQDO FDSLWDO IORZV LQWR WKH IRXU W\SHV RI VKRFNV 

DOVR UHYHDOV WKDW GHPRJUDSKLF WUHQGV WHQG WR EH WKH GRPLQDQW GULYHUV RI LQWHUQDWLRQDO QHW 

ILQDQFLDO IORZV %HFDXVH RI WKH SHUVLVWHQFH RI GHPRJUDSKLF WUHQGV LW LV XQOLNHO\ WKDW D PDMRU

UHYHUVDO RI FXUUHQW WUHQGV ZLOO RFFXU LQ WKH LPPHGLDWH IXWXUH 


8QLYHUVLW\ RI 'RUWPXQG 

),1$1&,$/ ,17(*5$7,21 63(&,$/,=$7,21 $1' 75$'( 025( 25 

/(66 %86,1(66 &

.H\ZRUGV 'HYHORSLQJ &RXQWULHV 'LUHFW ,QYHVWPHQW DQG 3RUWIROLR ,QYHVWPHQW 

-(/ &ODVVLILFDWLRQ ) ) ) DQG * 

3ULYDWH FDSLWDO IORZV QRZ FRQVWLWXWH RI DOO H[WHUQDO ILQDQFH IORZV WR GHYHORSLQJ 

FRXQWULHV 7KLV SDSHU LQYHVWLJDWHV ZKHWKHU 8 6 SRUWIROLR DQG GLUHFW LQYHVWPHQW LQ VXFK 

FRXQWULHV DUH SHUIHFW VXEVWLWXWHV DV ZDV IRXQG HDUOLHU IRU WRWDO 8 6 FDSLWDO RXWIORZV :H 

ILQG WKDW WKH\ DUH QRW SHUIHFW VXEVWLWXWHV DQG FRXOG KDYH GLIIHUHQW HIIHFWV 7KH IRUPHU LV 

FRPSOHPHQWDU\ WR WKH ODWWHU RQH GROODU LQFUHDVH LQ 8 6 GLUHFW LQYHVWPHQW LQ GHYHORSLQJ 

FRXQWULHV LQFUHDVHV SRUWIROLR LQYHVWPHQW WKHUH E\ FHQWV (LWKHU GHYHORSLQJ FRXQWULHV 

FDSLWDO PDUNHWV DUH QRW JOREDOO\ ZHOO LQWHJUDWHG DQG RU UHFHQW GLUHFW DQG SRUWIROLR IORZV WR 

GHYHORSLQJ FRXQWULHV DUH SUHGRPLQDQWO\ H[SODLQHG E\ WKH VDPH IDFWRUV 

&(175$/ %$1. ,17(59(17,21 , 

&DWHJRU\ (($ 

&KDLUSHUVRQ % 3DFKO 

+DQV 3HWHU *UXHQHU 


6+28/' &(175$/ %$1.6 5($//< %( )/(;,%/(" 

$XJ 

5RRP % 

.H\ZRUGV &HQWUDO EDQN FUHGLELOLW\ &HQWUDO EDQN IOH[LELOLW\ DQG &RPPRQ FXUUHQF\ DUHDV 


,Q WKLV SDSHU , VKRZ WKDW FHQWUDO EDQN IOH[LELOLW\ PD\ QRW EH GHVLUDEOH ZKHQ LW HQFRXUDJHV 

WUDGH XQLRQV WR EHKDYH PRUH DJJUHVVLYHO\ 7KH DUJXPHQW LV EDVHG RQ D PRGHO ZKHUH ULVN 

DYHVH WUDGH XQLRQV LQWHUDFW ZLWK D FHQWUDO EDQN $ IOH[LEOH FHQWUDO EDQN DFFRPPRGDWHV 

HFRQRPLF VKRFNV DQG UHGXFHV RXWSXW YRODWLOLW\ 7KLV HQDEOHV WUDGH XQLRQV WR UHDOL]H KLJKHU 

UHDO ZDJHV ZLWKRXW ULVNLQJ WKH XQHPSOR\PHQW RI VRPH LQVLGHU ZRUNHUV 5LVN DYHUVH 

LQVLGHUV GHPDQG KLJKHU UHDO ZDJHV JHQHUDWH PRUH LQIODWLRQ DQG PRUH XQHPSOR\PHQW 7KH 

RYHUDOO HIIHFW RQ ZHOIDUH PD\ EH QHJDWLYH 7KH DUJXPHQW DOVR VKHGV QHZ OLJKW RQ WKH LVVXH 

RI RSWLPXP FXUUHQF\ DUHDV :DJH FODLPV DUH ORZHU DQG HPSOR\PHQW LV KLJKHU LQ D 

FXUUHQF\ XQLRQ LI QDWLRQDO WUDGH XQLRQV H[SHFW WKH FHQWUDO EDQN WR GR OHVV WR VHFXUH 

HPSOR\PHQW RI LQVLGHU ZRUNHUV LQ WKHLU RZQ FRXQWU\ 

(IUHP &DVWHOQXRYR 

%RFFRQL 8QLYHUVLW\ 

648((=,1* 7+( ,17(5(67 5$7( 60227+,1* :(,*+7 :,7+ $ 

+

WKLV SDSHU ZH SHUIRUP DQ HPSLULFDO H[HUFLVH WR HYDOXDWH WKH UHODWLRQVKLS H[LVWLQJ EHWZHHQ 

SULYDWH VHFWRU V UDWLRQDO H[SHFWDWLRQV DQG LQWHUHVW UDWH JUDGXDOLVP 2XU ILQGLQJV VWURQJO\ 

VXSSRUW UDWLRQDO H[SHFWDWLRQV DV DQ HOHPHQW FDSDEOH WR UHPDUNDEO\ UHGXFH WKH LPSRUWDQFH 

RI WKH LQWHUHVW UDWH VPRRWKLQJ ZHLJKW LQ UHSOLFDWLQJ WKH REVHUYHG SDWK RI WKH IHGHUDO IXQGV 

UDWH +RZHYHU ZH ILQG D SUHGRPLQDQFH RI DGDSWLYH H[SHFWDWLRQV LQ VKDSLQJ WKH SDWKV RI 

LQIODWLRQ DG RXWSXW JDS 

(ULF /H %RUJQH 

,0) 

&R $XWKRUV * (JJHUWVVRQ 

$ 32/,7,&$/ $*(1&< 7+(25< 2) &(175$/ %$1. 

,1'(3(1'(1&( 

.H\ZRUGV &DUHHU &RQFHUQV &HQWUDO %DQN ,QGHSHQGHQFH (OHFWLRQV DQG ([SHULPHQWDWLRQ 

-(/ &ODVVLILFDWLRQ ( ( + DQG - 

:H SURSRVH D WKHRU\ WR H[SODLQ ZK\ DQG XQGHU ZKDW FLUFXPVWDQFHV D SROLWLFLDQ JLYHV XS 

UHQW DQG GHOHJDWHV SROLF\ WDVNV WR DQ LQGHSHQGHQW DJHQF\ :H DSSO\ WKLV WKHRU\ WR 

PRQHWDU\ SROLF\ E\ H[WHQGLQJ D VWDQGDUG G\QDPLF 1HZ .H\QHVLDQ VWRFKDVWLF JHQHUDO 

HTXLOLEULXP PRGHO 7KLV PRGHO JLYHV D QHZ WKHRU\ RI FHQWUDO EDQN LQGHSHQGHQFH WKDW LV 

XQUHODWHG WR WKH VWDQGDUG WLPH LQFRQVLVWHQF\ SUREOHP :H GHULYH WKUHH NH\ SUHGLFWLRQV RI 

WKH PRGHO DQG VKRZ WKDW WKH\ DUH EURDGO\ FRQVLVWHQW ZLWK GDWD )LQDOO\ ZH VKRZ WKDW ZKLOH 

LQVWUXPHQW LQGHSHQGHQFH RI WKH FHQWUDO EDQN LV RSWLPDO JRDO LQGHSHQGHQFH LV QRW 

%HUQKDUG 3DFKO 


&R $XWKRUV + *HUVEDFK 

)/(;,%/( 0$-25,7< 58/(6 )25 &(175$/ %$1.6 

.H\ZRUGV &HQWUDO %DQN IOH[LEOH PDMRULW\ UXOH PDMRULW\ UXOH DQG YRWLQJ 

-(/ &ODVVLILFDWLRQ ' ( ( DQG ) 

:H SURSRVH D IOH[LEOH PDMRULW\ UXOH IRU FHQWUDO EDQN FRXQFLOV ZKHUH WKH VL]H RI WKH PDMRULW\ 

GHSHQGV PRQRWRQLFDOO\ RQ WKH FKDQJH LQ LQWHUHVW UDWH ZLWKLQ D SDUWLFXODU WLPH IUDPH 6PDOO 

FKDQJHV LQ LQWHUHVW UDWH UHTXLUH D VPDOO VKDUH RI VXSSRUWLQJ YRWHV HYHQ OHVV WKDQ 

:H VKRZ WKDW IOH[LEOH PDMRULW\ UXOHV DUH VXSHULRU WR VLPSOH PDMRULW\ UXOHV DQG FDQ 

LPSOHPHQW WKH RSWLPDO PRQHWDU\ SROLF\ XQGHU D YDULHW\ RI FLUFXPVWDQFHV 

$66(7 35,&,1* 

&DWHJRU\ (($ 

&KDLUSHUVRQ 6 $QDWRO\HY 

-RVHS 3LMRDQ 0DV 

$XJ 

5RRP %

&(0), 

35,&,1* 5,6. ,1 (&2120,(6 :,7+ +(7(52*(1(286 $*(176 

$1' ,1&203/(7( 0$5.(76 

.H\ZRUGV (TXLW\ 3UHPLXP +DELW )RUPDWLRQ DQG ,QFRPSOHWH 0DUNHWV 

-(/ &ODVVLILFDWLRQ & ' ( DQG * 

+DELW IRUPDWLRQ KDV EHHQ SURSRVHG DV D SRVVLEOH VROXWLRQ IRU H[SODLQLQJ WKH HTXLW\ 

SUHPLXP SX]]OH 7KLV SDSHU H[WHQGV WKH FODVV RI PRGHOV WKDW VXSSRUW WKH KDELWV 

H[SODQDWLRQ LQ RUGHU WR DFFRXQW IRU KHWHURJHQHLW\ LQ HDUQLQJV ZHDOWK KDELWV DQG 

FRQVXPSWLRQ , ILQG WKDW KDELW IRUPDWLRQ LQFUHDVHV WKH HTXLW\ SUHPLXP +RZHYHU FRQWUDU\ 

WR WKH HDUOLHU UHVXOWV LQ WKH OLWHUDWXUH WKH KDELW K\SRWKHVLV GRHV QRW LPSO\ D SULFH IRU 

ULVN DV ELJ DV WKH RQH PHDVXUHG LQ GDWD 7KH PDLQ UHDVRQ IRU WKLV LV WKDW JHQHUDO 

HTXLOLEULXP HIIHFWV LQGXFH FKDQJHV LQ ERWK WKH FRQVXPSWLRQ VDYLQJV DQG WKH SRUWIROLR 

FKRLFH GHFLVLRQV 

2UHVWH 7ULVWDQL 


02'(/ 0,663(&,),&$7,21 7+( 1$785$/ 5$7( 2) ,17(5(67 

$1' 7+( (48,7< 35(0,80 

.H\ZRUGV (TXLW\ SUHPLXP SX]]OH 1DWXUDO UDWH RI LQWHUHVW 5LVN IUHH UDWH SX]]OH DQG 

5REXVW FRQWURO 


7KLV SDSHU VWXGLHV WKH GHWHUPLQDQWV RI WKH QDWXUDO UDWH RI LQWHUHVW LQ D VWRFKDVWLF JURZLQJ 

HFRQRP\ ZKHUH DJHQWV XVH UREXVW UXOHV WR GHDO ZLWK WKH SRVVLELOLW\ RI PRGHO 

PLVVSHFLILFDWLRQ 7KH SDSHU VKRZV WKDW LI FHUWDLQW\ HTXLYDOHQFH LV QRW LPSRVHG LQ WKH 

PRGHO WKH QDWXUDO UDWH FDQ EH VLJQLILFDQWO\ GLIIHUHQW IURP WKH ³UDWH RI WLPH SUHIHUHQFH´ 7KH 

QDWXUDO UDWH LV DOVR GLIIHUHQW IURP WKH ³ULVN IUHH UDWH´ HYHQ LI ERWK WKHVH UDWHV FRUUHVSRQG WR 

D QRWLRQ RI ³HTXLOLEULXP UHDO LQWHUHVW UDWH XQGHU IOH[LEOH SULFHV´ $FNQRZOHGJLQJ WKH 

GLVFUHSDQF\ EHWZHHQ WKH QDWXUDO UDWH DQG WKH ULVN IUHH UDWH UHGXFHV WKH HTXLW\ SUHPLXP 

SX]]OH 

&KHROEHRP 3DUN 

1DWLRQDO 8QLYHUVLW\ RI 6LQJDSRUH 

5$7,21$/ %(/,()6 25 ',67257(' %(/,()6 (48,7< 35(0,80 

38==/( $1' 0,&52 6859(< '$7$ 

.H\ZRUGV %LDV WHVWV HTXLW\ SUHPLXP SX]]OH 6WUXFWXUDO EUHDN WHVWV VXUYH\ IRUHFDVWV DQG 

7 WHVWV 


7KLV SDSHU GHULYHV LPSOLFDWLRQV RQ H[SHFWDWLRQV IURP WKH UDWLRQDO DSSURDFK DQG LUUDWLRQDO 

DSSURDFK WR H[SODLQ WKH HTXLW\ SUHPLXP SX]]OH DQG H[DPLQHV WR ZKLFK LPSOLFDWLRQV 

VXUYH\ IRUHFDVWV DUH PRUH IDYRUDEOH 7 WHVWV ELDV WHVWV DQG VWUXFWXUDO EUHDN WHVWV IRU WKH 

ELDV DUH FRQGXFWHG IRU WKH H[DPLQDWLRQ 7KH UHVXOWV DUH QRW IDYRUDEOH WR WKH UDWLRQDO 

DSSURDFK 7KH 6KDUSH UDWLR FRQVWUXFWHG IURP WKH /LYLQJVWRQ VXUYH\ IRUHFDVWV LV RQ

DYHUDJH QRW JUHDWHU WKDQ WKH ERXQG IURP FRQVXPSWLRQ WKHRU\ $OPRVW DOO LQGLYLGXDO 

HFRQRPLVWV KDYH VLJQLILFDQW ELDVHV LQ IRUHFDVWV )XUWKHUPRUH WKRVH ELDVHV YDULHV RYHU 

EXVLQHVV F\FOHV ZKLFK LV FRQVLVWHQW ZLWK GLVWRUWHG EHOLHIV LQ WKH LUUDWLRQDO DSSURDFK 

6WDQLVODY $QDWRO\HY 

1HZ (FRQRPLF 6FKRRO 5XVVLD 

(03,5,&$/ /,.(/,+22' *00 6(5,$/ &255(/$7,21 $1' 

$6

(ZD 0HQG\V .DPSKRUVW 


23(1 6285&( &203/(0(17$5,7,(6 $1' 62)7:$5( 48$/,7< 

.H\ZRUGV FRPSDWLELOLW\ RSHQ VRXUFH VRIWZDUH TXDOLW\ DQG VRIWZDUH PDUNHWV 


2SHQ VRXUFH VRIWZDUH LV GLVWULEXWHG IRU IUHH WRJHWKHU ZLWK LWV VRXUFH FRGH ZKLFK PDNHV LW 

SRVVLEOH IRU HYHU\RQH WR PRGLI\ LW ,W LV GHYHORSHG ZLWK YROXQWDU\ FRQWULEXWLRQV RI XVHUV DQG 

ILUPV , VKRZ WKDW LI XVHUV GHULYH XWLOLW\ IURP V\VWHPV FRQVLVWLQJ RI FRPSOHPHQWDU\ 

FRPSRQHQWV PDNLQJ RQH RI WKH FRPSRQHQWV RSHQ VRXUFH LQFUHDVHV FRPSHWLWLRQ LQ WKH 

PDUNHW IRU WKH VHFRQG FRPSRQHQW LQYHVWPHQW LQ TXDOLW\ DQG VRFLDO ZHOIDUH , DOVR VKRZ 

WKDW LI DQ RSHQ VRXUFH SURJUDP FRPSHWHV DJDLQVW D FRPPHUFLDO RQH IRU FRPSOHPHQWDU\ 

LQYHVWPHQWV RI ILUPV RSHQ VRXUFH DOZD\V VXUYLYHV DQG VRPHWLPHV LW EHFRPHV WKH RQO\ 

SURJUDP LQ WKH PDUNHW 

*HUDUG /OREHW 

&(0), 

&R $XWKRUV 0 0DQRYH 

6(48(17,$/ ,1129$7,21 1(7:25. ())(&76 $1' 7+( &+2,&( 

2) &203$7,%,/,7< 

.H\ZRUGV &RPSDWLELOLW\ 1HWZRUN ([WHUQDOLWLHV DQG 6HTXHQWLDO ,QQRYDWLRQ 


,W LV FRPPRQO\ DUJXHG WKDW ZKHQ LQQRYDWLRQ LV VHTXHQWLDO DQG WKH SURGXFW KDV QHWZRUN 

H[WHUQDOLWLHV LQFXPEHQWV EXLOG D ODUJH QHWZRUN WKDW LQHIILFLHQWO\ EORFNV WKH HQWU\ RI IXWXUH 

LQQRYDWRUV XQOHVV HQRXJK FRPSDWLELOLW\ LV SURYLGHG 

7KLV SDSHU VKRZV WKDW QHWZRUN VL]H LV QRW QHFHVVDULO\ D GHWHUUHQW DQG LQ VRPH FDVHV DQ 

LQFXPEHQW PLJKW ZDQW D VPDOO QHWZRUN WR PDNH LWV FDSWXUH E\ DQ HQWUDQW OHVV DSSHDOLQJ 

8VLQJ WKH VDPH UHDVRQLQJ WKH WKUHDW RI HQWU\ LQGXFHV WKH LQFXPEHQW WR XQGHULQYHVW LQ WKH 

TXDOLW\ RI KLV SURGXFW 

)LQDOO\ ZH VKRZ WKDW IXOO FRPSDWLELOLW\ LV LQ JHQHUDO VXERSWLPDO HVSHFLDOO\ ZKHQ WKH 

SUREDELOLW\ RI IXWXUH HQWU\ LV VPDOO 0RUHRYHU FRPSDWLELOLW\ GHFUHDVHV FXUUHQW ZHOIDUH E\ 

UHGXFLQJ WKH LQFHQWLYHV WR FUHDWH D ELJ QHWZRUN LQ WKH ILUVW SODFH 

,Q PRVW FDVHV D VXEVLG\ RI WKH FRVW RI 5 ' RI IXWXUH LQQRYDWRUV WXUQV RXW WR EH PRUH 

HIILFLHQW WKDQ KLJK FRPSDWLELOLW\ UHTXLUHPHQWV 

0 GHO 3LODU 6RFRUUR 

8QLYHUVLWDW $XWzQRPD GH %DUFHORQD 

237,0$/ 7(&+12/2*< 32/,&< 68%6,',(6 9(5686 021,725,1* 

.H\ZRUGV DGYHUVH VHOHFWLRQ PRQLWRULQJ PRUDO KD]DUG 5-9 DQG VXEVLGLHV 

-(/ &ODVVLILFDWLRQ ' 2 DQG 2 

:H DQDO\]H WKH RSWLPDO WHFKQRORJ\ SROLF\ WR VROYH D IUHH ULGLQJ SUREOHP EHWZHHQ WKH 

PHPEHUV RI D 5-9 :H DVVXPH WKDW ZKHQ LQWHUYHQLQJ WKH *RYHUQPHQW VXIIHUV DQ

DGGLWLRQDO DGYHUVH VHOHFWLRQ SUREOHP EHFDXVH LW LV QRW DEOH WR GLVWLQJXLVK WKH YDOXH RI WKH 

SRWHQWLDO LQQRYDWLRQ $OWKRXJK VXEVLGLHV DQG PRQLWRULQJ PD\ EH HTXLYDOHQW SROLF\ WRROV WR 

VROYH ILUPV IUHH ULGLQJ SUREOHP WKH\ LPSO\ GLIIHUHQW VRFLDO ORVVHV LI WKH *RYHUQPHQW LV QRW 

DEOH WR SHUIHFWO\ GLVWLQJXLVK WKH YDOXH RI WKH SRWHQWLDO LQQRYDWLRQ ,Q SDUWLFXODU VXEVLGLHV 

VRFLDOO\ GRPLQDWH PRQLWRULQJ LI RQO\ SDUWLDO UHVXOWV DUH REVHUYDEOH WKRXJK PRQLWRULQJ LV 

VRFLDOO\ GRPLQDQW LI UHVHDUFK HIIRUWV EHFRPH YHULILDEOH 7KHUHIRUH WKH VXSUHPDF\ RI 

PRQLWRULQJ WRROV RYHU VXEVLGLHV LV FOHDUO\ GHSHQGHQW RQ WKH LQIRUPDWLRQ WKH *RYHUQPHQW LV 

DEOH WR REWDLQ DERXW ILUPV 5 ' SHUIRUPDQFH 

),6+(5 6&+8/7= /(&785( 


&KDLUSHUVRQ 5 %OXQGHOO 

&KDUOHV 0DQVNL 


,1)(5(1&( 21 (;3(&7$7,216 $1' '(&,6,216 




$XJ 

(FRQRPLVWV KDYH ORQJ VRXJKW WR SUHGLFW FKRLFH EHKDYLRU LQ XQUHDOL]HG VFHQDULRV 7KH 

SUHYDLOLQJ SUDFWLFH KLVWRULFDOO\ FDOOHG UHYHDOHG SUHIHUHQFH DQDO\VLV KDV EHHQ WR LQIHU 

GHFLVLRQ SURFHVVHV IURP GDWD RQ REVHUYHG FKRLFHV 7KHVH LQIHUHQFHV DUH WKHQ XVHG WR 

SUHGLFW EHKDYLRU LQ RWKHU VHWWLQJV $OWKRXJK GHFLVLRQ PDNHUV PD\ VRPHWLPHV KDYH IXOO 

NQRZOHGJH RI WKH FRQVHTXHQFHV RI FKRRVLQJ DOWHUQDWLYH DFWLRQV WKH\ XVXDOO\ DFW ZLWK 

SDUWLDO LQIRUPDWLRQ 6WDQGDUG HFRQRPLF WKLQNLQJ DERXW GHFLVLRQ PDNLQJ ZLWK SDUWLDO 

LQIRUPDWLRQ VXSSRVHV WKDW SHUVRQV IRUP H[SHFWDWLRQV IRU XQNQRZQ VWDWHV RI QDWXUH DQG 

PDNH GHFLVLRQV WKDW GHSHQG MRLQWO\ RQ WKHLU SUHIHUHQFHV DQG H[SHFWDWLRQV +HQFH 

HPSLULFDO DQDO\VLV RI FKRLFH GDWD FDQQRW DLP VLPSO\ WR UHYHDO SUHIHUHQFHV ,W PXVW VHHN WR 

MRLQWO\ UHYHDO SUHIHUHQFHV H[SHFWDWLRQV DQG WKH GHFLVLRQ UXOHV WKURXJK ZKLFK SHUVRQV 

FRPELQH WKHP 7KH GLIILFXOW\ LV WKDW REVHUYHG SRSXODWLRQ FKRLFH EHKDYLRU PD\ EH 

FRQVLVWHQW ZLWK PDQ\ D SULRUL SODXVLEOH GLVWULEXWLRQV RI SUHIHUHQFHV H[SHFWDWLRQV DQG 

GHFLVLRQ UXOHV +HQFH LQIHUHQFH RQ GHFLVLRQ SURFHVVHV IURP FKRLFH GDWD W\SLFDOO\ UHVWV RQ 

D PDVV RI VWURQJ XQVXEVWDQWLDWHG DVVXPSWLRQV 7KLV IDFW KDV JHQHUDWHG D FULVLV RI 

FUHGLELOLW\ 6RPH HPSLULFDO HFRQRPLVWV KDYH JLYHQ XS HQWLUHO\ RQ WKH HQWHUSULVH RI 

VWUXFWXUDO HFRQRPHWULFV 

(FRQRPHWULF DQDO\VLV RI GHFLVLRQ PDNLQJ ZLWK SDUWLDO LQIRUPDWLRQ FDQQRW SURVSHU RQ FKRLFH 

GDWD DORQH (OLFLWDWLRQ RI H[SHFWDWLRQV DQG VWXG\ RI H[SHFWDWLRQV IRUPDWLRQ PD\ LPSURYH 

RXU DELOLW\ WR SUHGLFW EHKDYLRU :LWK WKLV LQ PLQG HFRQRPLVWV KDYH LQFUHDVLQJO\ XQGHUWDNHQ 

WR HOLFLW IURP VXUYH\ UHVSRQGHQWV SUREDELOLVWLF H[SHFWDWLRQV RI VLJQLILFDQW SHUVRQDO HYHQWV , 

GHVFULEH VRPH RI ZKDW KDV EHHQ OHDUQHG DQG FDOO IRU EURDGHU DQG GHHSHU HIIRUWV WR OHDUQ 

DERXW GHFLVLRQ SURFHVVHV WKURXJK HPSLULFDO VWXG\ RI H[SHFWDWLRQV 

),6+(5 6&+8/7= /(&785( 


&KDLUSHUVRQ 5 %OXQGHOO 


$XJ

&KDUOHV 0DQVNL 


,1)(5(1&( 21 (;3(&7$7,216 $1' '(&,6,216 



(FRQRPLVWV KDYH ORQJ VRXJKW WR SUHGLFW FKRLFH EHKDYLRU LQ XQUHDOL]HG VFHQDULRV 7KH 

SUHYDLOLQJ SUDFWLFH KLVWRULFDOO\ FDOOHG UHYHDOHG SUHIHUHQFH DQDO\VLV KDV EHHQ WR LQIHU 

GHFLVLRQ SURFHVVHV IURP GDWD RQ REVHUYHG FKRLFHV 7KHVH LQIHUHQFHV DUH WKHQ XVHG WR 

SUHGLFW EHKDYLRU LQ RWKHU VHWWLQJV $OWKRXJK GHFLVLRQ PDNHUV PD\ VRPHWLPHV KDYH IXOO 

NQRZOHGJH RI WKH FRQVHTXHQFHV RI FKRRVLQJ DOWHUQDWLYH DFWLRQV WKH\ XVXDOO\ DFW ZLWK 

SDUWLDO LQIRUPDWLRQ 6WDQGDUG HFRQRPLF WKLQNLQJ DERXW GHFLVLRQ PDNLQJ ZLWK SDUWLDO 

LQIRUPDWLRQ VXSSRVHV WKDW SHUVRQV IRUP H[SHFWDWLRQV IRU XQNQRZQ VWDWHV RI QDWXUH DQG 

PDNH GHFLVLRQV WKDW GHSHQG MRLQWO\ RQ WKHLU SUHIHUHQFHV DQG H[SHFWDWLRQV +HQFH 

HPSLULFDO DQDO\VLV RI FKRLFH GDWD FDQQRW DLP VLPSO\ WR UHYHDO SUHIHUHQFHV ,W PXVW VHHN WR 

MRLQWO\ UHYHDO SUHIHUHQFHV H[SHFWDWLRQV DQG WKH GHFLVLRQ UXOHV WKURXJK ZKLFK SHUVRQV 

FRPELQH WKHP 7KH GLIILFXOW\ LV WKDW REVHUYHG SRSXODWLRQ FKRLFH EHKDYLRU PD\ EH 

FRQVLVWHQW ZLWK PDQ\ D SULRUL SODXVLEOH GLVWULEXWLRQV RI SUHIHUHQFHV H[SHFWDWLRQV DQG 

GHFLVLRQ UXOHV +HQFH LQIHUHQFH RQ GHFLVLRQ SURFHVVHV IURP FKRLFH GDWD W\SLFDOO\ UHVWV RQ 

D PDVV RI VWURQJ XQVXEVWDQWLDWHG DVVXPSWLRQV 7KLV IDFW KDV JHQHUDWHG D FULVLV RI 

FUHGLELOLW\ 6RPH HPSLULFDO HFRQRPLVWV KDYH JLYHQ XS HQWLUHO\ RQ WKH HQWHUSULVH RI 

VWUXFWXUDO HFRQRPHWULFV 

(FRQRPHWULF DQDO\VLV RI GHFLVLRQ PDNLQJ ZLWK SDUWLDO LQIRUPDWLRQ FDQQRW SURVSHU RQ FKRLFH 

GDWD DORQH (OLFLWDWLRQ RI H[SHFWDWLRQV DQG VWXG\ RI H[SHFWDWLRQV IRUPDWLRQ PD\ LPSURYH 

RXU DELOLW\ WR SUHGLFW EHKDYLRU :LWK WKLV LQ PLQG HFRQRPLVWV KDYH LQFUHDVLQJO\ XQGHUWDNHQ 

WR HOLFLW IURP VXUYH\ UHVSRQGHQWV SUREDELOLVWLF H[SHFWDWLRQV RI VLJQLILFDQW SHUVRQDO HYHQWV , 

GHVFULEH VRPH RI ZKDW KDV EHHQ OHDUQHG DQG FDOO IRU EURDGHU DQG GHHSHU HIIRUWV WR OHDUQ 

DERXW GHFLVLRQ SURFHVVHV WKURXJK HPSLULFDO VWXG\ RI H[SHFWDWLRQV 

681'$< 7+ $8*867 

&5(',7 0$5.(76 


&KDLUSHUVRQ - 5RFKHW 

-DQ :HQ]HOEXUJHU 


&R $XWKRUV + *HUVEDFK 

%$1.,1* $1' 7+( 0$&52(&2120< 

$XJ 

.H\ZRUGV %DQNLQJ UHJXODWLRQ %DQNLQJ FULVHV )LQDQFLDO LQWHUPHGLDWLRQ DQG 

PDFURHFRQRPLF ULVNV 


5RRP ' 

:H LQYHVWLJDWH D EDQNLQJ V\VWHP VXEMHFW WR UHSHDWHG PDFURHFRQRPLF VKRFNV DQG VKRZ

WKDW ZLWKRXW GHSRVLW UDWH 

FRQWURO WKH EDQNLQJ V\VWHP FROODSVHV ZLWK FHUWDLQW\ :KHQ LQWHUYHQWLRQ UXOHV DLP RQO\ DW 

DYRLGLQJ D FROODSVH 

WKH HFRQRP\ VWLOO FRQYHUJHV WR D FRQVXPSWLRQ WUDS ZLWK SRVLWLYH SUREDELOLW\ 

6DYLQJV DW EDQNV DUH PD[LPDO LQ WKH FRQVXPSWLRQ WUDS EXW DUH XVHG HQWLUHO\ WR SD\ EDFN 

REOLJDWLRQV RI EDQNV DQG *'3 LV PLQLPDO 

6WURQJHU LQWHUYHQWLRQ UXOHV WKDW DYRLG ERWK D FROODSVH DQG WKH FRQVXPSWLRQ WUDS DUH 

GLVFXVVHG LQGLFDWLQJ WKDW 

FDSLWDO UHTXLUHPHQWV PD\ VHUYH DV DQ LQGLFDWRU VLJQDOLQJ ZKHQ LQWHUYHQWLRQ EHFRPHV 

QHFHVVDU\ 

:H SURYLGH DQ H[SODQDWLRQ ZK\ HFRQRPLHV H[SHULHQFLQJ D EDQNLQJ FULVLV VXFK DV -DSDQ 

PD\ HQGXUH 

ORQJ ODVWLQJ HFRQRPLF GRZQWXUQV 

5DIDHO 5HSXOOR 

&(0), 

&R $XWKRUV - 6XDUH] 

/2$1 35,&,1* 81'(5 %$6(/ &$3,7$/ 5(48,5(0(176 

.H\ZRUGV %DQN UHJXODWLRQ &DSLWDO UHTXLUHPHQWV &UHGLW ULVN ,QWHUQDO UDWLQJV /RDQ 

GHIDXOWV /RDQ LQWHUHVW UDWHV DQG 0DUJLQ LQFRPH 

-(/ &ODVVLILFDWLRQ ( * DQG * 

:H DQDO\]H WKH LPSOLFDWLRQV IRU WKH SULFLQJ RI EDQN ORDQV RI WKH UHIRUP RI FDSLWDO UHJXODWLRQ 

NQRZQ DV %DVHO ,, :H FRQVLGHU D SHUIHFWO\ FRPSHWLWLYH PDUNHW IRU EXVLQHVV ORDQV ZKHUH 

DV LQ WKH PRGHO XQGHUO\LQJ WKH LQWHUQDO UDWLQJV EDVHG ,5% DSSURDFK RI %DVHO ,, D VLQJOH 

ULVN IDFWRU H[SODLQV WKH FRUUHODWLRQ LQ GHIDXOWV DFURVV ILUPV 2XU ORDQ SULFLQJ HTXDWLRQ 

LPSOLHV WKDW ORZ ULVN ILUPV ZLOO DFKLHYH UHGXFWLRQV LQ WKHLU ORDQ UDWHV E\ ERUURZLQJ IURP 

EDQNV DGRSWLQJ WKH ,5% DSSURDFK ZKLOH KLJK ULVN ILUPV ZLOO DYRLG LQFUHDVHV LQ WKHLU ORDQ 

UDWHV E\ ERUURZLQJ IURP EDQNV WKDW DGRSW WKH OHVV ULVN VHQVLWLYH VWDQGDUGL]HG DSSURDFK RI 

%DVHO ,, :H DOVR VKRZ WKDW RQO\ DQ H[WUHPHO\ KLJK VRFLDO FRVW RI EDQN IDLOXUH PLJKW MXVWLI\ 

WKH SURSRVHG ,5% FDSLWDO FKDUJHV IRU KLJK ULVN ORDQV SDUWO\ EHFDXVH WKH PDUJLQ LQFRPH 

IRUP SHUIRUPLQJ ORDQV LV QRW FRXQWHG DV D EXIIHU DJDLQVW FUHGLW ORVVHV DQG ZH SURSRVH D 

PDUJLQ LQFRPH FRUUHFWLRQ IRU ,5% FDSLWDO UHTXLUHPHQWV 

-HDQ &KDUOHV 5RFKHW 

7RXORXVH 8QLYHUVLW\ 

&R $XWKRUV 5 %HQRLW DQG - 'HFDPSV 

7+( 7+5(( 3,//$56 2) %$6(/ 237,0,=,1* 7+( 0,; 

.H\ZRUGV EDQN UHJXODWLRQV PDUNHW GLVFLSOLQH DQG VROYHQF\ UHTXLUHPHQWV 


7KH RQ JRLQJ UHIRUP RI WKH %DVHO DFFRUG UHOLHV RQ WKUHH SLOODUV FDSLWDO DGHTXDF\ 

UHTXLUHPHQWV VXSHUYLVRU\ UHYLHZ DQG PDUNHW GLVFLSOLQH 7KLV DUWLFOH GHYHORSV D VLPSOH 

FRQWLQXRXV WLPH PRGHO RI FRPPHUFLDO EDQNV EHKDYLRU ZKHUH WKH DUWLFXODWLRQ EHWZHHQ 

WKHVH WKUHH LQVWUXPHQWV FDQ EH DQDO\]HG :H VWXG\ WKH FRQGLWLRQV XQGHU ZKLFK PDUNHW 

GLVFLSOLQH FDQ UHGXFH WKH PLQLPXP FDSLWDO UHTXLUHPHQWV QHHGHG WR SUHYHQW PRUDO KD]DUG

:H DOVR GLVFXVV UHJXODWRU\ IRUEHDUDQFH LVVXHV 

),1$1&,$/ 0$5.(76 ,, 


&KDLUSHUVRQ / =RX 

/LDQJ =RX 


$66(7 35,&,1* :,7+ &203281' 87,/,7< 

$XJ 

5RRP ( 

.H\ZRUGV DVVHW SULFLQJ FRPSRXQG XWLOLW\ FRQVXPSWLRQ GLVXWLOLW\ DYHUVLRQ LQYHVWPHQW 

ORZHU PDUNHW EHWD UHIHUHQFH SRLQW DQG XSSHU PDUNHW EHWD 


&RPSRXQG XWLOLW\ PD[LPL]DWLRQ LPSOLHV D JHQHUDO DVVHW SULFLQJ PRGHO WKDW XQLILHV H[LVWLQJ 

PRGHOV DQG VHSDUDWHO\ SUHGLFWV DVVHW UHWXUQV XQGHU XSSHU PDUNHW DQG ORZHU PDUNHW 

FRQGLWLRQV :H VKRZ WKH RSWLPDOLW\ RI FKRRVLQJ WKH ULVN IUHH LQWHUHVW UDWH DV WKH UHIHUHQFH 

SRLQW DQG WKH UHODWLRQVKLS EHWZHHQ WKH PDUNHW ULVN SUHPLXP DQG WKH LQYHVWRU V GHJUHH RI 

GLVXWLOLW\ DYHUVLRQ 7KH PRGHO UHVROYHV WKH HTXLW\ ULVN SUHPLXP SX]]OH H[SODLQV WKH FURVV 

VHFWLRQ RI DYHUDJH UHWXUQV ZLWK UHPDUNDEOH DFFXUDF\ DQG RIIHUV QHZ LQVLJKWV LQWR WKH 

VWUXFWXUH DQG EHKDYLRU RI VWRFKDVWLF GLVFRXQW IDFWRUV 

;DYLHU *DEDL[ 

0DVVDFKXVVHWV ,QVWLWXWH RI 7HFKQRORJ\ 

81'(567$1',1* /$5*( 029(0(176 ,1 672&. 0$5.(7 

$&7,9,7< 

.H\ZRUGV %HKDYLRUDO ILQDQFH &UDVKHV (FRQRSK\VLFV DQG 3RZHU /DZV 

-(/ &ODVVLILFDWLRQ * * DQG = 

:H SURSRVH D WKHRU\ RI WKH ODUJH PRYHPHQWV LQ VWRFN PDUNHW DFWLYLW\ :H H[SODLQ WKH 

IROORZLQJ IDFWV L WKH FXELF ODZ RI UHWXUQV UHWXUQV IROORZ D SRZHU ODZ GLVWULEXWLRQ ZLWK 

H[SRQHQW 6WRFN PDUNHW FUDVKHV DUH QRW RXWOLHUV WR WKLV ODZ LL YROXPHV IROORZ D SRZHU 

ODZ GLVWULEXWLRQ ZLWK H[SRQHQW LLL WKH SULFH LPSDFW RI D YROXPH 9 LV SURSRUWLRQDO WR 

9A^ ` LY =LSI V ODZ IRU PXWXDO IXQGV PXWXDO IXQGV VL]H IROORZ D SRZHU ODZ ZLWK 

H[SRQHQW 7KH PRGHO DOVR PDNHV SUHGLFWLRQV DERXW WKH FURVV FRQGLWLRQDO UHODWLRQVKLSV 

EHWZHHQ YDULRXV WUDGLQJ YDULDEOHV 7KH\ DOO DSSHDU WR EH YHULILHG HPSLULFDOO\ 

5RQDOG *RHWWOHU 


&R $XWKRUV & 3DUORXU DQG 8 5DMDQ 

:(/)$5( ,1 $ '

.H\ZRUGV GRXEOH DXFWLRQ OLPLW RUGHU PDUNHW PDUNHW PLFURVWUXFWXUH DQG VLPXODWLRQ 

PHWKRGV 


:H SURYLGH DQ DOJRULWKP IRU VROYLQJ IRU HTXLOLEULXP LQ D G\QDPLF 

OLPLW RUGHU PDUNHW 2XU PRGHO UHOD[HV 

PDQ\ RI WKH UHVWULFWLYH DVVXPSWLRQV LQ WKH SULRU OLWHUDWXUH OHDGLQJ 

WR D PRUH UHDOLVWLF IUDPHZRUN IRU SROLF\ 

H[SHULPHQWV RQ PDUNHW GHVLJQ :H 

IRUPXODWH D OLPLW RUGHU PDUNHW DV D VWRFKDVWLF 

VHTXHQWLDO JDPH DQG XVH D VLPXODWLRQ WHFKQLTXH EDVHG RQ 3DNHV DQG 

0F*XLUH WR ILQG D VWDWLRQDU\ HTXLOLEULXP *LYHQ WKH VWDWLRQDU\ 

HTXLOLEULXP ZH JHQHUDWH DUWLILFLDO WLPH VHULHV DQG SHUIRUP 

FRPSDUDWLYH G\QDPLFV :H VKRZ WKDW FRPPRQO\ XVHG PHDVXUHV IRU 

WUDQVDFWLRQV FRVWV DUH LQ IDFW SRRU SUR[LHV ,Q DGGLWLRQ ZH 

H[SOLFLWO\ GHWHUPLQH LQYHVWRU ZHOIDUH LQ RXU QXPHULFDO VROXWLRQ 

:H ILQG WKDW WKH HIIHFWLYH VSUHDG LV QHJDWLYHO\ FRUUHODWHG ZLWK 

WUDQVDFWLRQV FRVWV DQG XQFRUUHODWHG ZLWK ZHOIDUH $V RQH SROLF\ 

H[SHULPHQW ZH HYDOXDWH WKH HIIHFW RI FKDQJLQJ WLFN VL]H 

*$0( (;3(5,0(176 , 


&KDLUSHUVRQ 0 (UOHL 

-RUGL %UDQGWV 

,QVWLWXW G $QjOLVL (FRQzPLFD &6,& 

&R $XWKRUV . $EELQN 

$XJ 

5RRP ( 

.H\ZRUGV FRRUGLQDWLRQ JDPHV LQGXVWULDO RUJDQL]DWLRQ /DERUDWRU\ H[SHULPHQWV OHDUQLQJ 

ROLJRSRO\ DQG SULFH FRPSHWLWLRQ 

-(/ &ODVVLILFDWLRQ & & ' ' DQG / 

:H VWXG\ WKH UHODWLRQ EHWZHHQ WKH QXPEHU RI ILUPV DQG PDUNHW SRZHU LQ H[SHULPHQWDO 

ROLJRSROLHV 3ULFH FRPSHWLWLRQ XQGHU GHFUHDVLQJ UHWXUQV LQYROYHV D ZLGH LQWHUYDO RI SXUH 

VWUDWHJ\ HTXLOLEULXP SULFHV :H SUHVHQW UHVXOWV RI DQ H[SHULPHQW LQ ZKLFK WZR WKUHH DQG 

IRXU LGHQWLFDO ILUPV UHSHDWHGO\ LQWHUDFW LQ WKLV HQYLURQPHQW /HVV FROOXVLRQ ZLWK PRUH ILUPV 

OHDGV WR ORZHU DYHUDJH SULFHV :LWK PRUH WKDQ WZR ILUPV WKH SUHGRPLQDQW SULFH LV $ 

VLPSOH LPLWDWLRQ PRGHO FDSWXUHV WKLV SKHQRPHQRQ )RU WKH ORQJ UXQ WKH PRGHO SUHGLFWV 

WKDW SULFHV FRQYHUJH WR WKH :DOUDVLDQ RXWFRPH EXW IRU WKH LQWHUPHGLDWH WHUP WKH PRGDO 

SULFH LV 

0LJXHO $ 0HOHQGH] -LPHQH] 

8QLYHUVLW\ RI $OLFDQWH DQG 8QLYHUVLW\ RI 0DODJD 

&R $XWKRUV ) )HUL * 3RQWL DQG ) 9HJD 5HGRQGR 

$1 (;3(5,0(17$/ 678'< 21 7+( &+,126 *$0(

.H\ZRUGV LQIRUPDWLRQDO FDVFDGHV DQG VHTXHQWLDO GHFLVLRQ PDNLQJ 


7KLV SDSHU UHSRUWV RQ DQ H[SHULPHQW GHVLJQHG WR VKHG OLJKW RQ WKH WHQVLRQ EHWZHHQ 

LQGLYLGXDO LQFHQWLYHV DQG LQIRUPDWLRQ UHYHODWLRQ LQ D WUDGLWLRQDO SDUORXU JDPH SOD\HG LQ 

PDQ\ FRXQWULHV ZKLFK LQ 6SDLQ LV NQRZQ DV &KLQRV :H FRQVLGHU WKUHH DOWHUQDWLYHV SD\RII 

IXQFWLRQV ZKRVH HTXLOLEULD GLIIHU LQ WKH DPRXQW RI LQIRUPDWLRQ SOD\HUV RWSLPDOO\ UHYHDO 

WKURXJK WKHLU FKRLFHV :H REVHUYH D UHPDUNDEOH IUHTXHQF\ RI HTXLOLEULXP RXWFRPHV HYHQ 

ZKHQ RQO\ VRSKLVWLFDWHG SRROLQJ VXVWDLQV RSWLPDO EHKDYLRU 

0DWKLDV (UOHL 

&ODXVWKDO 8QLYHUVLW\ RI 7HFKQRORJ\ 

+(7(52*(1(286 62&,$/ 35()(5(1&(6 

.H\ZRUGV ([SHULPHQWDO (FRQRPLFV +HWHURJHQHLW\ DQG 6RFLDO 3UHIHUHQFHV 


7KLV SDSHU GHPRQVWUDWHV WKDW PRGHOV RI VRFLDO SUHIHUHQFHV DUH SDUWLFXODUO\ SRZHUIXO LQ 

H[SODLQLQJ EHKDYLRU LI WKH\ DUH HPEHGGHG LQ D VHWWLQJ RI KHWHURJHQHRXV DFWRUV ZLWK 

KHWHURJHQHRXV VRFLDO SUHIHUHQFHV )RU WKLV SXUSRVH D VLPSOH PRGHO LV LQ WURGXFHG WKDW 

FRPELQHV WKH EDVLF LGHDV RI LQHTXLW\ DYHUVLRQ VRFLDO ZHOIDUH SUHIHUHQFHV UHFLSURFLW\ DQG 

KHWHURJHQHLW\ 7KLV PRGHO LV DSSOLHG WR JDPHV DQG LW FDQ EH VKRZQ WKDW LWV SUHGLFWLYH 

DFFXUDF\ LV FOHDUO\ KLJKHU WKDQ WKDW RI WKH LVRODWHG DSSURDFKHV )XUWKHUPRUH LW FDQ H[SODLQ 

PDQ\WKH ³DQRPDOLHV´ WKDW DUH GLVFXVVHG LQ *RHUHH DQG +ROW 

*$0( 7+(25< ,9 


&KDLUSHUVRQ ) %ORFK 

)UDQFLV %ORFK 

*5(4$0 0DUVHLOOH 

$XJ 

&2$/,7,21$/ %$5*$,1,1* :,7+ (;7(51$/,7,(6 $1' 

(1'2*(1286 (;,7 

5RRP ( 

.H\ZRUGV FRDOLWLRQ IRUPDWLRQ FRDOLWLRQDO EDUJDLQLQJ H[WHUQDOLWLHV DQG RXWVLGH RSWLRQV 


7KLV SDSHU SURSRVHV D PRGHO RI FRDOLWLRQDO EDUJDLQLQJ EDVHG RQ VWUDWHJLF LQWHUDFWLRQ 

DFURVV FRDOLWLRQV ZKHUH SOD\HUV HQGRJHQRXVO\ FKRRVH ZKHWKHU WR H[LW 7KLV IRUPXODWLRQ LV 

JHQHUDO HQRXJK WR VWXG\ WKH IRUPDWLRQ RI FRDOLWLRQV LQ D ZLGH YDULHW\ RI HFRQRPLF PRGHOV 

:H VKRZ WKDW ZKHQ RXWVLGH RSWLRQV DUH LQGHSHQGHQW RI WKH DFWLRQV RI RWKHU SOD\HUV WKH 

0DUNRY 3HUIHFW (TXLOLEULD RI WKH FRDOLWLRQDO EDUJDLQLQJ JDPH FRQYHUJH WR HIILFLHQW 

RXWFRPHV ZKHQ WKH SOD\HUV EHFRPH SHUIHFWO\ SDWLHQW :KHQ SOD\HUV RXWVLGH RSWLRQV 

GHSHQG RQ WKH DFWLRQ RI RWKHU SOD\HUV WKH RXWFRPH PD\ EH LQHIILFLHQW DV SOD\HUV H[LW 

EHIRUH WKH\ H[WUDFW DOO JDLQV IURP FRRSHUDWLRQ

5DQ 6SLHJOHU 

6FKRRO RI (FRQRPLFV 7HO $YLY 8QLYHUVLW\ 

6,03/,&,7< 2) %(/,()6 $1' '(/$< 7$&7,&6 ,1 $ &21&(66,21 

*$0( 

.H\ZRUGV EDUJDLQLQJ ERXQGHG UDWLRQDOLW\ FRPSOH[LW\ FRQVLGHUDWLRQV GHOD\ WDFWLFV 

HTXLOLEULXP UHILQHPHQWV DQG MXVWLILDELOLW\ 


, H[SORUH WKH LGHD RI VLPSOLFLW\ DV D EHOLHI VHOHFWLRQ FULWHULRQ LQ JDPHV SURILOH RI VWUDWHJLHV 

LQ ILQLWH DXWRPDWD UHSUHVHQWDWLRQ LV D 6LPSOH 1DVK (TXLOLEULXP LI ,W LV D 1DVK 

HTXLOLEULXP (DFK SOD\HU V DXWRPDWRQ LV WKH OHDVW FRPSOH[ DXWRPDWRQ WKDW JHQHUDWHV 

WKH VDPH SDWK JLYH WKH RSSQHQWV DXWRPDWD $Q DXWRPDWRQ V FRPSOH[LW\ LV PHDVXUHG E\ 

LWV QXPEHU RI VWDWHV , DSSO\ WKLV FRQFHSW WR D ELODWHUDO FRQFHVVLRQ JDPH DQG VKRZ WKDW LW 

FDSWXUHV D UHDOLVWLF DVSHFW RI EDUJDLQLQJ EHKDYLRU SOD\HUV HPSOR\ GHOD\ WDFWLFV LQ RUGHU WR 

MXVWLI\ WKHLU FRQFHVVLRQV 'HOD\ WDFWLFV DUH PXWXDOO\ UHLQIRUFLQJ DQG WKLV PD\ SUHYHQW 

SOD\HUV IURP UHDFKLQJ DQ LQWHULRU DJUHHPHQW 

+DDJ 0DWWKHZ 


&R $XWKRUV 5 /DJXQRII 

21 7+( 6,=( $1' 6758&785( 2) *5283 &223(5$7,21 

.H\ZRUGV KHWHURJHQHRXV GLVFRXQW IDFWRUV PD[LPDO DYHUDJH FRRSHUDWLRQ OLNHOLKRRG 

5HSHDWHG *DPHV DQG UHWXUQV WR VFDOH 


7KLV SDSHU H[DPLQHV FKDUDFWHULVWLFV RI FRRSHUDWLYH EHKDYLRU LQ D UHSHDWHG Q SHUVRQ 

FRQWLQXRXV DFWLRQ JHQHUDOL]DWLRQ RI D 3ULVRQHU V 'LOHPPD JDPH :KHQ WLPH SUHIHUHQFHV 

DUH KHWHURJHQHRXV DQG ERXQGHG DZD\ IURP RQH KRZ PXFK FRRSHUDWLRQ FDQ EH 

DFKLHYHG E\ DQ RQJRLQJ JURXS" +RZ GRHV JURXS FRRSHUDWLRQ YDU\ ZLWK WKH JURXS V VL]H 

DQG VWUXFWXUH" )RU DQ DUELWUDU\ GLVWULEXWLRQ RI GLVFRXQW IDFWRUV ZH FKDUDFWHUL]H WKH 

PD[LPDO DYHUDJH FRRSHUDWLRQ OLNHOLKRRG 0$& RI WKLV JDPH 7KH 0$& OLNHOLKRRG LV WKH 

KLJKHVW DYHUDJH OHYHO RI FRRSHUDWLRQ RYHU DOO VWDWLRQDU\ VXEJDPH SHUIHFW HTXLOLEULXP 

SDWKV WKDW WKH JURXS FDQ DFKLHYH 7KH 0$& OLNHOLKRRG LV VKRZQ WR EH LQFUHDVLQJ LQ 

PRQRWRQH VKLIWV DQG GHFUHDVLQJ LQ PHDQ SUHVHUYLQJ VSUHDGV RI WKH GLVWULEXWLRQ RI 

GLVFRXQW IDFWRUV 

021(7$5< 7+(25< 


&KDLUSHUVRQ 2 7ULVWDQL 

$OHNVDQGHU %HUHQWVHQ 

8QLYHUVLW\ RI %DVHO 

$XJ 

5RRP (

&R $XWKRUV 5 *XLOODXPH 

021(< $1' ,1)250$7,21 

.H\ZRUGV $GYHUVH 6HOHFWLRQ ,QIRUPDWLRQ 0RQH\ 0RUDO +D]DUG DQG 6HDUFK 


7KLV SDSHU LQYHVWLJDWHV WKH UROH RI PRQH\ LQ PDUNHWV ZKHUH SURGXFHUV KDYH SULYDWH 

LQIRUPDWLRQ DERXW WKH TXDOLW\ RI WKH JRRGV WKH\ VXSSO\ :KHQ WKH IUDFWLRQ RI KLJK TXDOLW\ 

SURGXFHUV LQ WKH HFRQRP\ LV JLYHQ PRQH\ SURPRWHV WKH SURGXFWLRQ RI KLJK TXDOLW\ JRRGV 

ZKLFK LPSURYHV WKH TXDOLW\ PL[ DQG ZHOIDUH XQDPELJXRXVO\ :KHQ WKLV IUDFWLRQ LV 

HQGRJHQRXV KRZHYHU ZH ILQG WKDW PRQH\ FDQ EH YDOXHG HYHQ WKRXJK LW GHFUHDVHV 

ZHOIDUH UHODWLYH WR WKH EDUWHU HTXLOLEULXP 7KH RULJLQ RI WKLV LQHIILFLHQF\ LV WKDW PRQH\ 

SURYLGHV FRQVXPSWLRQ LQVXUDQFH WR ORZ TXDOLW\ SURGXFHUV ZKLFK FDQ UHVXOW LQ D KLJKHU 

IUDFWLRQ RI ORZ TXDOLW\ SURGXFHUV LQ WKH PRQHWDU\ HTXLOLEULXP )LQDOO\ ZH ILQG WKDW PRVW 

RIWHQ DJHQWV DFTXLUH PRUH FRVWO\ LQIRUPDWLRQ LQ WKH PRQHWDU\ HTXLOLEULXP WKDQ LQ WKH EDUWHU 

HTXLOLEULXP &RQVHTXHQWO\ PRQH\ LV ZHOIDUH HQKDQFLQJ EHFDXVH LW SURPRWHV XVHIXO 

SURGXFWLRQ DQG H[FKDQJH EXW QRW EHFDXVH LW VDYHV LQIRUPDWLRQ FRVWV 

$DURQ 7RUQHOO 

8&/$ 

&R $XWKRUV I ZHVWHUPDQQ 

7+( &5(',7 &+$11(/ ,1 0,''/( ,1&20( &28175,(6 

.H\ZRUGV FUHGLW FDQQHO FUHGLW PDUNHW LPSHUIHFWLRQV DQG UHDO H[FKDQJH UDWH 

-(/ &ODVVLILFDWLRQ ( ) * DQG 2 

&UHGLW PDUNHW FRQGLWLRQV SOD\ D NH\ UROH LQ SURSDJDWLQJ VKRFNV LQ PLGGOH LQFRPH FRXQWULHV 

0,&V ,Q SDUWLFXODU VKRFNV WR WKH VSUHDG EHWZHHQ GRPHVWLF DQG LQWHUQDWLRQDO LQWHUHVW 

UDWHV KDYH D VWURQJ HIIHFW RQ *'3 DQG DQ HYHQ VWURQJHU HIIHFW RQ GRPHVWLF FUHGLW 7KLV 

FUHGLW FKDQQHO LV DVVRFLDWHG ZLWK D VHFWRULDO DV\PPHWU\ WKH RXWSXW RI WKH EDQN GHSHQGHQW 

QRQWUDGDEOHV 1 VHFWRU UHDFWV PRUH VWURQJO\ WKDQ WUDGDEOHV 7 RXWSXW 7KLV DV\PPHWU\ LQ 

WXUQ LV DVVRFLDWHG ZLWK D VWURQJ UHDFWLRQ RI WKH UHDO H[FKDQJH UDWH :H SUHVHQW D PRGHO 

WKDW UHFRQFLOHV WKHVH IDFWV DQG OHDGV WR D ZHOO VSHFLILHG HVWLPDWLRQ IUDPHZRUN )URP WKH 

HTXLOLEULXP ZH GHULYH VWUXFWXUDO 9$5V WKDW DOORZ XV WR LGHQWLI\ VKRFNV WR FUHGLW PDUNHW 

FRQGLWLRQV DQG WUDFH WKHLU HIIHFWV RQ WKH HFRQRP\ :H HVWLPDWH WKHVH VWUXFWXUDO 9$5V IRU 

D JURXS RI 0,&V DQG ILQG HYLGHQFH RI D VWURQJ FUHGLW FKDQQHO 

2UHVWH 7ULVWDQL 


$ 7(50 6758&785( 02'(/ :,7+ 0$&52(&2120,& )$&7256 

.H\ZRUGV *HQHUDO HTXLOLEULXP PRGHOV 5LVN SUHPLD DQG 7HUP VWUXFWXUH RI QRPLQDO 

LQWHUHVW UDWHV 

-(/ &ODVVLILFDWLRQ (

7KLV SDSHU SXWV IRUZDUG D WKHRUHWLFDO PRGHO RI WKH WHUP VWUXFWXUH RI QRPLQDO LQWHUHVW UDWHV 

ZKLFK LV EXLOW RQ D VLPSOH JHQHUDO HTXLOLEULXP IUDPHZRUN LQFOXGLQJ DQ DFWLYH IHHGEDFN UXOH 

IRU PRQHWDU\ SROLF\ ([DFW VROXWLRQV DUH REWDLQHG IRU WKH VWRFKDVWLF SURFHVVHV GULYLQJ WKH 

LQVWDQWDQHRXV LQWHUHVW UDWHV DV IXQFWLRQV RI WHFKQRORJLFDO VKRFNV DQG WKH PRQHWDU\ SROLF\ 

UXOH 7KH DFWLYH QDWXUH RI WKH SROLF\ UXOH WHQGV WR LQFUHDVH WKH FRQGLWLRQDO YRODWLOLW\ RI 

LQIODWLRQ KHQFH WKH ZKROH WHUP VWUXFWXUH RI LQIODWLRQ ULVN SUHPLD 

35,1&,3$/ $*(17 02'(/6 ,, 


&KDLUSHUVRQ 0 .HUHQ 

$QQDOLVD /XSRULQL 


35,1&,3$/ 08/7,$*(17 02'(/6 81'(5 7+( ),567 25'(5 

$3352$&+ $1' 5(/$7,9( 3(5)250$1&( (9$/8$7,21 

$XJ 

5RRP ( 

.H\ZRUGV DIILOLDWLRQ DV\PPHWULF LQIRUPDWLRQ ILUVW RUGHU DSSURDFK PRQRWRQH OLNHOLKRRG 

UDWLR DQG 3ULQFLSDO PXOWLDJHQW SUREOHPV 


,Q SULQFLSDO PXOWLDJHQW VHWWLQJV WKH ILUVW RUGHU DSSURDFK FDQ EH MXVWLILHG E\ DSSURSULDWH 

H[WHQVLRQV RI WKH 0/5 DQG &') FRQGLWLRQV WKDW KDYH EHHQ HVWDEOLVKHG IRU WKH VLQJOH DJHQW 

FDVH 0RUHRYHU DIILOLDWLRQ RI WKH UDQGRP YDULDEOHV HQVXUHV WKDW WKH FRPSHQVDWLRQ RI RQH 

DJHQW GHFUHDVHV LQ WKH SHUIRUPDQFHV RI WKH RWKHUV 

0LFKDHO .HUHQ 


&R $XWKRUV ' /HYKDUL 

7($06 683(59,6,21 25 &225',1$7,21" 

.H\ZRUGV FRRUGLQDWLRQ KLHUDUFK\ VXSHUYLVLRQ DQG ZDJH VWUXFWXUH 

-(/ &ODVVLILFDWLRQ - - / DQG / 

7HDP SURGXFWLRQ²WKH WHUP ZDV FRLQHG E\ $OFKLDQ DQG 'HPVHW] ZKR DUJXH WKDW LW 

H[SODLQV WKH ELUWK RI WKH ILUP EHFDXVH LW PDNHV VXSHUYLVLRQ QHFHVVDU\ %XW WHDP SURGXFWLRQ 

DOVR PDNHV LW QHFHVVDU\ WKH FRRUGLQDWLRQ RI WKH DFWLYLWLHV RI WKH PHPEHUV RI WKH WHDP :H 

VKRZ LQ WKLV SDSHU WKDW WKH ODWWHU QHHG LV ZKDW VKDSHV WKH ILUP :H XVH %D\HVLDQ VWDWLVWLFV 

WR VKRZ WKDW WKH ORJLF RI VXSHUYLVLRQ ZRXOG UHTXLUH WKDW WKH EHVW DQG PRVW KLJKO\ SDLG 

ZRUNHUV EH SXW DW WKH ERWWRP RI WKH ILUPV KLHUDUFK\ WKH ERVV EHLQJ WKH OHDVW DEOH 7KLV 

FRXQWHUV REVHUYHG IDFW :H VKRZ WKDWLW ZRXOG OHDG WR SD\ GLIIHUHQWLDOV LQ KLHUDUFKLHV WKDW 

DUH ZLWKLQ WKH REVHUYHG UDQJH 7KLV ZH DUJXH VKRZV WKDW FRRUGLQDWLRQ LV WKH SULPDU\ WDVN 

RI KLHUDUFKLHV LQ RUJDQL]DWLRQV 

+RVHL 8QLYHUVLW\ +DUYDUG 8QLYHUVLW\ 

&200,70(17 352%/(0 237,0$/ ,1&(17,9( 6&+(0(6 $1' 

5(/$7,21$/ &2175$&76 ,1 $*(1&< :,7+ %,/$7(5$/ 025$/ 

+$=$5' 

.H\ZRUGV %LODWHUDO 0RUDO +D]DUG &RPPLWPHQW 3UREOHP /LQHDU &RQWUDFWV 5HSHDWHG 

*DPHV DQG 7HDP 3URGXFWLRQ 


,Q D ELODWHUDO PRUDO KD]DUG IUDPHZRUN ZKHUH WKH SULQFLSDO LV DOVR D SURGXFWLYH DJHQW WKH 

WZR UHTXLUHPHQWV RQ ERWK WKH DJHQW V DQG WKH SULQFLSDO V LQFHQWLYH SURYLVLRQV VKRXOG EH 

VDWLVILHG LQ GHVLJQLQJ RSWLPDO LQFHQWLYH FRQWUDFWV ,Q WKH VWDWLF IUDPHZRUN RQO\ WKH VHFRQG 

EHVW LV REWDLQDEOH LI WKH LQFHQWLYH FRQWUDFW VKRXOG EH EDVHG RQO\ RQ WKH WRWDO RXWSXW $Q 

H[DPSOH LV WKH VLPSOH OLQHDU VKDULQJ UXOH RIWHQ REVHUYHG 1H[W LW LV VKRZQ WKDW LQ D 

UHSHDWHG JDPH YHUVLRQ VXFK FRPPLWPHQW SUREOHP FRXOG EH VROYHG DQG D ILUVW EHVW 

RXWFRPH FRXOG EH DFKLHYHG WKURXJK ERWK SDUWLHV WDNLQJ WULJJHU VWUDWHJLHV GHSHQGLQJ RQ D 

SXEOLF VLJQDO :H JLYH DQ LQWHUSUHWDWLRQ LQ WKH YLHZSRLQW RI 5HSXWDWLRQ PHFKDQLVP DQG D 

TXDOLWDWLYH FKDUDFWHUL]DWLRQ RQ WKH RSWLPDO VROXWLRQ LQGXFHG LQ HTXLOLEULXP IRU DOO SRVVLEOH 

GLVFRXQW IDFWRUV 

,1&20( ',675,%87,21 


&KDLUSHUVRQ 3 0R\HV 

3DWULFN 0R\HV 

&156 ,'(3 DQG *5$3( 

3DWULFN 0R\HV 

&156 ,'(3 DQG *5$3( 

&R $XWKRUV $ &KDWHDXQHXI 

'2(6 7+( /25(1= &859( 5($//< 0($685( ,1(48$/,7

8QLYHUVLW\ RI =XULFK ,QVWLWXWH IRU (PSLULFDO 5HVHDUFK LQ (FRQRPLFV 

&R $XWKRUV - =ZHLPXHOOHU 

,1&20( ',675,%87,21 $1' 0$&52(&2120,&6 7+( 52/( 2) 

352'8&7 0$5.(7 32:(5 

.H\ZRUGV ([FOXVLRQ ,QFRPH 'LVWULEXWLRQ 0DUN XSV DQG 0RQRSROLVWLF &RPSHWLWLRQ 

-(/ &ODVVLILFDWLRQ ' ' ( ( DQG / 

:H SUHVHQW D PDFURHFRQRPLF PRGHO RI PRQRSROLVWLF FRPSHWLWLRQ LQ ZKLFK LQFRPH 

GLVWULEXWLRQ DIIHFWV LQGXVWU\ VWUXFWXUH DQG SRVVLEO\ XQHPSOR\PHQW +LJK LQHTXDOLW\ PD\ 

OHDG WR D VLWXDWLRQ ZKHUH WKH SRRU DUH H[FOXGHG IURP FHUWDLQ PDUNHWV EHFDXVH VRPH ILUPV 

VHW YHU\ KLJK SULFHV 0RUHRYHU WKHUH PD\ EH XQHPSOR\PHQW HYHQ LI WKH ODERU PDUNHW LV 

FRPSHWLWLYH DQG ZDJHV PD\ IDOO WR ]HUR :H VKRZ WKDW VXFK DQ XQHPSOR\PHQW UHJLPH LV 

PRUH OLNHO\ ZLWK D PRUH XHTXDO GLVWULEXWLRQ 

-RKDQ )HOOPDQ 

6ZHGLVK 6FKRRO RI (FRQRPLFV 

:+(1 $5( /25(1= &859(6 *(1(5$7(' %< $ *,9(1 &/$66 2) 

75$16)(5 )81&7,216" 

.H\ZRUGV *LQL LQGH[ ,QFRPH LQHTXDOLW\ /RUHQ] FXUYH DQG 6WRFKDVWLF GRPLQDQFH 


&RQVLGHU D FODVV RI WUDQVIHU SROLFLHV ZKLFK DUH FRQVWUDLQHG WR NHHS WKH LQWHUQDO RUGHU RI 

LQFRPHV LQWDFW DQG GLVWULEXWH D JLYHQ DPRXQW RI EHQHILW (YHU\ SROLF\ JHQHUDWHV D 

WUDQVIRUPHG LQFRPH GLVWULEXWLRQ ZKLFK ILUVW RUGHU VWRFKDVWLFDOO\ GRPLQDWHV WKH LQLWLDO 

LQFRPH GLVWULEXWLRQ D WUDQVIRUPHG /RUHQ] FXUYH DQG WUDQVIRUPHG *LQL DQG ZHOIDUH LQGLFHV 

:H SUHVHQW WKH H[WUHPHV RI WKH WUDQVIRUPHG /RUHQ] FXUYHV DQG WKH UDQJHV RI WKH 

WUDQVIRUPHG LQGLFHV :H SURYH WKDW D JLYHQ /RUHQ] FXUYH LV DWWDLQDEOH E\ D WUDQVIHU SROLF\ 

EHORQJLQJ WR WKH JLYHQ FODVV LI DQG RQO\ LI WKH FRUUHVSRQGLQJ GLVWULEXWLRQ VWRFKDVWLFDOO\ 

GRPLQDWHV WKH LQLWLDO LQFRPH GLVWULEXWLRQ 

/$: $1' (&2120,&6 


&KDLUSHUVRQ : (PRQV 

/RXLV +RWWH 

8QLYHUVLW\ RI 1DPXU 

&R $XWKRUV ) 9DORJQHV 

$XJ 

5RRP ) 

3523(57< &5,0( :,7+ 35,9$7( 3527(&7,21 $ 0$5.(7 )25 

2))(16(6 $3352$&+ 

.H\ZRUGV FULPH HFRQRPLF GHYHORSPHQW LQHTXDOLW\ SULYDWH SURWHFWLRQ SXEOLF 

HQIRUFHPHQW DQG UHGLVWULEXWLRQ

-(/ &ODVVLILFDWLRQ ' ' . DQG 2 

:H SURSRVH D PDUNHW IRU RIIHQVHV PRGHO RI SURSHUW\ FULPH ZKLFK H[SOLFLWO\ DFFRXQWV IRU 

SURWHFWLRQ H[SHQGLWXUHV DPRQJ KHWHURJHQHRXV LQGLYLGXDOV 7KH FULPH HTXLOLEULXP LV 

PRGHOOHG DV D IUHH DFFHVV HTXLOLEULXP LQ ZKLFK WKH PDWFK EHWZHHQ FULPLQDOV DQG YLFWLPV 

HTXDWHV WKH DYHUDJH UHWXUQV WR FULPH :H ERUURZ IURP WKH OLWHUDWXUH RQ WKH HFRQRPLFV RI 

FRQIOLFWV LQ RUGHU WR GHILQH DQ DSSURSULDWLRQ IXQFWLRQ ZKLFK FRPELQHV WKH HIIRUWV RI 

FULPLQDOV ZLWK WKH SURWHFWLRQ HIIRUWV RI WKH YLFWLPV 7KH VXSSO\ DQG GHPDQG IRU FULPH DUH 

HQGRJHQL]HG WDNLQJ LQWR DFFRXQW LQFHQWLYHV WR SDUWLFLSDWH LQ FULPLQDO DFWLYLWLHV DQG 

LQGLYLGXDO SURWHFWLRQ GHFLVLRQV 7KH HIIHFWV RI FKDQJHV LQ SXEOLF HQIRUFHPHQW UHGLVWULEXWLRQ 

SROLFLHV DQG HFRQRPLF GHYHORSPHQW DUH DQDO\]HG DV ZHOO DV WKH GLVWULEXWLRQ RI WKH EXUGHQ 

RI FULPH DPRQJ KHWHURJHQHRXV LQGLYLGXDOV 

:LQDQG (PRQV 

8QLYHUVLW\ RI %HUQ 

68%*$0( 3(5)(&7 381,6+0(17 )25 5(3($7 2))(1'(56 

.H\ZRUGV FULPH DQG SXQLVKPHQW UHSHDW RIIHQGHUV DQG VXEJDPH SHUIHFWLRQ 

-(/ &ODVVLILFDWLRQ ' . DQG . 

)LUVW ZH VKRZ WKDW IRU ZHDOWK FRQVWUDLQHG DJHQWV ZKR PD\ 

FRPPLW DQ DFW WZLFH WKH RSWLPDO VDQFWLRQV DUH WKH RIIHQGHU V 

HQWLUH ZHDOWK IRU WKH ILUVW DQG ]HUR IRU WKH VHFRQG FULPH 7KHQ ZH 

DVN WKH TXHVWLRQ ZKHWKHU WKLV GHFUHDVLQJ VDQFWLRQ VFKHPH LV 

VXEJDPH SHUIHFW WLPH FRQVLVWHQW L H GRHV D UHQW VHHNLQJ 

JRYHUQPHQW VWLFN WR WKLV VDQFWLRQ VFKHPH DIWHU WKH ILUVW FULPH KDV 

RFFXUUHG ,I WKH EHQHILW DQG RU WKH KDUP IURP WKH FULPH DUH QRW 

WRR ODUJH WKLV LV LQGHHG WKH FDVH RWKHUZLVH HTXDO VDQFWLRQV IRU 

ERWK FULPHV DUH RSWLPDO 

%86,1(66 &

SUH DQG SRV ::,, HUD XVLQJ WKUHH DOWHUQDWLYH WUHQG F\FOH GHFRPSRVLWLRQ PHWKRGV 7KH 

SRVW ::,, SHULRG LV YHU\ TXLHW ZLWK WKH ZHOIDUH FRVWV UDUHO\ H[FHHGLQJ RI 

FRQVXPSWLRQ +RZHYHU IRU WKH SUH ::,, HUD WKLV EDVLF UHVXOW LV GUDPDWLFDOO\ DOWHUHG )RU 

WKH %HYHULGJH DQG 1HOVRQ GHFRPSRVLWLRQ DQG UHDVRQDEOH SUHIHUHQFH SDUDPHWHU DQG 

GLVFRXQW YDOXHV ZH JHW D FRPSHQVDWLRQ RI DERXW RI FRQVXPSWLRQ ZKLFK LV E\ DOO 

PHDQV D VL]DEOH ZHOIDUH FRVW DERXW 86 D \HDU 

,U\QD ,YDVFKHQNR 


+2: 08&+ /(9(5$*( ,6 722 08&+ 25 '2(6 &25325$7( 5,6. 

'(7(50,1( 7+( 6(9(5,7< 2) $ 5(&(66,21" 

.H\ZRUGV FRUSRUDWH OHYHUDJH GHIDXOW SUREDELOLW\ IRUHFDVWLQJ RUGHUHG SURELW SUREDELOLW\ 

RI UHFHVVLRQ SURELW UDQNLQJ RI UHFHVVLRQV VHYHULW\ RI UHFHVVLRQ DQG VWUXFWXUDO PRGHOV RI 

FRUSRUDWH GHEW 

-(/ &ODVVLILFDWLRQ ( ( ( ( DQG * 

7KHRU\ VXJJHVWV WKDW YXOQHUDEOH ILQDQFLDO FRQGLWLRQV RI WKH FRUSRUDWH VHFWRU FDQ WULJJHU RU 

ZRUVHQ DQ HFRQRP\ ZLGH UHFHVVLRQ 7KLV SDSHU SURSRVHV D PHDVXUH RI FRUSRUDWH 

YXOQHUDELOLW\ WKH &RUSRUDWH 9XOQHUDELOLW\ ,QGH[ &9, DQG DQDO\VHV ZKHWKHU LW H[SODLQV WKH 

SUREDELOLW\ DQG VHYHULW\ RI UHFHVVLRQV 7KH &9, LV FRQVWUXFWHG DV WKH GHIDXOW SUREDELOLW\ IRU 

WKH HQWLUH FRUSRUDWH VHFWRU XVLQJ WKH VWUXFWXUDO PRGHO RI FRUSRUDWH GHEW :H ILQG WKDW WKH 

&9, LV D VLJQLILFDQW SUHGLFWRU RI WKH SUREDELOLW\ RI D UHFHVVLRQ WR TXDUWHUV DKHDG HYHQ 

FRQWUROOLQJ IRU RWKHU OHDGLQJ LQGLFDWRUV 7KH SURELW PRGHO XVLQJ WKH &9, RXWSHUIRUPV 

WUDGLWLRQDO VSHFLILFDWLRQV LQ SUHGLFWLQJ UHFHVVLRQV 6HYHULW\ RI 5HFHVVLRQ ,QGLFHV DUH WKHQ 

SURSRVHG DQG FRQVWUXFWHG 7KH HVWLPDWLRQV LQGLFDWH WKDW DQ LQFUHDVH LQ WKH &9, LV 

DVVRFLDWHG ZLWK DQ LQFUHDVH LQ WKH SUREDELOLW\ RI D PRUH VHYHUH DQG OHQJWK\ UHFHVVLRQ WR 

TXDUWHUV DKHDG 

-HDQ ,PEV 


92/$7,/,7< *52:7+ $1' $**5(*$7,21 

.H\ZRUGV *URZWK 6HFWRUV DQG 9RODWLOLW\ 

-(/ &ODVVLILFDWLRQ ( DQG 2 

, UHYLVLW WKH UHODWLRQVKLS EHWZHHQ JURZWK DQG YRODWLOLW\ XVLQJ VHFWRUDO GDWD , FRQILUP WKDW 

JURZWK DQG YRODWLOLW\ DUH QHJDWLYHO\ UHODWHG DFURVV FRXQWULHV EXW VKRZ WKDW DFURVV VHFWRUV 

WKH UHODWLRQ LV WKH RSSRVLWH 7KLV SKHQRPHQRQ VRPHWLPHV FDOOHG CC6LPSVRQ V IDOODF\ KDV 

D QDWXUDO LQWHUSUHWDWLRQ LQ WKH SUHVHQW FRQWH[W LW LV WKH FRPSRQHQW RI DJJUHJDWH YRODWLOLW\ 

WKDW LV FRPPRQ DFURVV VHFWRUV ZKLFK FRUUHODWHV QHJDWLYHO\ ZLWK DJJUHJDWH JURZWK 

)XUWKHUPRUH ZKLOH LQYHVWPHQW DQG YRODWLOLW\ DUH XQUHODWHG LQ WKH DJJUHJDWH VHFWRUDO 

LQYHVWPHQW LV VKRZQ WR EH PRUH LQWHQVH LQ YRODWLOH DFWLYLWLHV DV LI WKH UHWXUQ WR FDSLWDO ZHUH 

KLJKHU WKHUH DQG UHVRXUFHV ZHUH UHDOORFDWHG IURP VDIH ORZ \LHOG DFWLYLWLHV WR ULVN\ KLJK 

\LHOG RQHV 7KHVH UHVXOWV FDOO IRU D GLVWLQFWLRQ EHWZHHQ PDFURHFRQRPLF DQG VHFWRUDO 

YRODWLOLWLHV

&2,17(*5$7,21 ,1)(5(1&( ,, 


&KDLUSHUVRQ 3 3DUXROR 

7DNX


7KLV SDSHU LQYHVWLJDWHV WKH HIIHFWV RI ILWWLQJ DQ , 9$5 PRGHO E\ OLNHOLKRRG PHWKRGV WR 

GLIIHUHQFHG GDWD ZKLFK KDV EHHQ JHQHUDWHG E\ D 9$5 V\VWHP ZLWK , YDULDEOHV ,W LV 

IRXQG WKDW WKH QXPEHU RI FRLQWHJUDWLQJ &, UHODWLRQV GHWHFWHG LQ VXFK D V\VWHP GHSHQGV 

RQ PDQ\ QXLVDQFH SDUDPHWHUV 7KH OLPLW GLVWULEXWLRQV RI WKH HVWLPDWRUV DUH QRW LQ JHQHUDO 

PL[HG *DXVVLDQ 7KHVH UHVXOWV VKRZ WKH KHDY\ FRVW RI PLVVSHFLILFDWLRQ DVVRFLDWHG ZLWK 

GLIIHUHQFLQJ DQ , V\VWHP DQG DQDO\]LQJ LW ZLWK DQ , PRGHO 7KH PDLQ PHVVDJH LV WKDW 

D ORW RI WURXEOH FDQ EH VDYHG E\ SURSHUO\ DQDO\]LQJ , V\VWHP 

(&2120,&6 2) ('8&$7,21 ,,, 


&KDLUSHUVRQ - $GGD 

8JR 3DQL]]D 

5HVHDUFK 'HSDUWPHQW ,QWHU $PHULFDQ 'HYHORSPHQW %DQN 

&R $XWKRUV 0 +DMM 

$XJ 

5RRP ) 

,6/$0 $1' )(0$/( ('8&$7,21(9,'(1&( )520 ,1',9,'8$/ 

/(9(/ '$7$ 

.H\ZRUGV (GXFDWLRQ ,VODP DQG 5HOLJLRQ 

-(/ &ODVVLILFDWLRQ , 2 DQG = 

7KLV SDSHU XVHV LQGLYLGXDO OHYHO GDWD IURP /HEDQRQ WR WHVW ZKHWKHU WKHUH LV D GLIIHUHQFH 

EHWZHHQ WKH HGXFDWLRQ JHQGHU JDS RI 0XVOLPV DQG &KULVWLDQV 7KH SDSHU VWDUWV E\ 

REVHUYLQJ WKDW LQ /HEDQRQ WKH HGXFDWLRQ JHQGHU JDS FRPSOHWHO\ GLVDSSHDUV IRU FRKRUWV 

ERUQ DIWHU WKH PLG V 7KH SDSHU FRQMHFWXUHV WKDW WKLV ZDV UHODWHG WR WKH FLYLO ZDU WKDW 

UDWKHU WKDQ FXWWLQJ WKH VXSSO\ RI VFKRROLQJ UHGXFHG KLJK VFKRRO HQUROOPHQW RI ER\V ZKR 

ZHUH HQJDJHG LQ ILJKWLQJ RU HPLJUDWHG 1H[W WKH SDSHU XVHV GDWD IRU \RXQJ /HEDQHVH 

DQG VKRZV WKDW RWKHU WKLQJV HTXDO JLUOV ERWK 0XVOLP DQG &KULVWLDQ WHQG WR UHFHLYH PRUH 

HGXFDWLRQ WKDQ ER\V DQG WKDW WKHUH DUH QR GLIIHUHQFHV EHWZHHQ WKH JHQGHU JDS RI 0XVOLPV 

DQG &KULVWLDQV 7KHUHIRUH WKH SDSHU ILQGV QR VXSSRUW IRU WKH K\SRWKHVLV WKDW 0XVOLPV 

GLVFULPLQDWH DJDLQVW IHPDOH HGXFDWLRQ 

7RUEHUJ )DOFK 

1RUZHJLDQ 8QLYHUVLW\ RI 6FLHQFH DQG 7HFKQRORJ\ 

&R $XWKRUV % 6WURP 

7($&+(5 785129(5 $1' 121 3(&81,$5< )$&7256 

.H\ZRUGV FHQWUOL]HG ZDJH VHWWLQJ QRQ SHGXQLDU\ IDFWRUV VWXGHQW FRPSRVLWLRQ DQG 

WHDFKHU WXQRYHU 

-(/ &ODVVLILFDWLRQ , - - DQG - 

7KLV SDSHU VWXGLHV WHDFKHU PRELOLW\ XVLQJ PDWFKHG HPSOR\HH HPSOR\HU SDQHO GDWD IURP 

1RUZHJLDQ SULPDU\ DQG ORZHU VHFRQGDU\ VFKRROV 7KH 1RUZHJLDQ LQVWLWXWLRQDO VHW XS ZLWK

FRPSOHWHO\ FHQWUDOL]HG ZDJH VHWWLQJ IRU WHDFKHUV LV LGHDO WR DQDO\]H WKH HIIHFW RI QRQ 

SHFXQLDU\ MRE DWWULEXWHV RQ TXLW GHFLVLRQV :H ILQG WKDW WHDFKHUV WHQG WR OHDYH VFKRROV ZLWK 

KLJK VKDUH RI PLQRULW\ VWXGHQWV DQG KLJK VKDUH RI VWXGHQWV ZLWK VSHFLDO QHHGV ,Q DGGLWLRQ 

WKH FRPSRVLWLRQ RI WHDFKHUV DQG WKH VFKRRO VL]H DIIHFW WKH SURSHQVLW\ WR TXLW 7KHVH UHVXOWV 

DUH UREXVW DFURVV GLIIHUHQW HFRQRPHWULF VSHFLILFDWLRQV DQG VXE VDPSOHV 

-HURPH $GGD 


&R $XWKRUV & 'XVWPDQQ & 0HJKLU DQG - 5RELQ 

&$5((5 352*5(66,21 $1' )250$/ 9(5686 21 7+( -2% 

75$,1,1* 

.H\ZRUGV DSSUHQWLFHVKLS HGXFDWLRQ DQG ZDJHV 


7KLV SDSHU HYDOXDWHV WKH UHWXUQ WR IRUPDO HGXFDWLRQ RYHU WKH 

OLIH F\FOH DQG FRPSDUH LW WR LQIRUPDO RQ WKH MRE WUDLQLQJ 0RUH 

VSHFLILFDOO\ ZH DVVHVV WKH DSSUHQWLFHVKLS V\VWHP LQ *HUPDQ\ E\ 

FRPSDULQJ WKH ORQJ UXQ YDOXH RI HGXFDWLRQ FKRLFHV DQG VXEVHTXHQW 

ODERU PDUNHW RXWFRPHV IRU DSSUHQWLFHV DQG QRQ DSSUHQWLFHV :H 

GHYHORS D VWUXFWXUDO PRGHO RI FDUHHU SURJUHVVLRQ DQG HGXFDWLRQDO 

FKRLFH DOORZLQJ IRU XQREVHUYHG DELOLW\ HQGRJHQRXV MRE WR MRE 

WUDQVLWLRQ VSHFLILF ILUP ZRUNHU PDWFKHV VSHFLILF UHWXUQV WR 

WHQXUH DQG WR JHQHUDO H[SHULHQFH :H HVWLPDWH WKLV PRGHO RQ D 

ODUJH SDQHO GDWD VHW ZKLFK GHVFULEHV WKH FDUHHU SURJUHVVLRQ RI 

\RXQJ *HUPDQV :H ILQG WKDW IRUPDO HGXFDWLRQ LV PRUH LPSRUWDQW 

WKDQ LQIRUPDO WUDLQLQJ HYHQ ZKHQ WDNLQJ LQWR DFFRXQW IRU WKH 

SRVVLEOH VHOHFWLRQ LQWR HGXFDWLRQ :H XVH WKH HVWLPDWHG PRGHO WR 

HYDOXDWH WKH ORQJ UXQ LPSDFW RI ODERU PDUNHW SROLFLHV RQ 

HGXFDWLRQDO FKRLFHV DQG FDUHHU SURJUHVVLRQ 

(67,0$7,21 ,,, 


&KDLUSHUVRQ ) 7URMDQL 

1DRWR .XQLWRPR 

)DFXOW\ RI (FRQRPLFV 8QLYHUVLW\ RI 7RN\R 

,03529,1* 60$// 6$03/( 3523(57,(6 2) 7+( (03,5,&$/ 

/,.(/,+22' (67,0$7,21 

$XJ 

5RRP ) 

.H\ZRUGV $V\PSWRWLF %LDV $V\PSWRWLF 0HDQ 6TXDUHG (UURUV *00 0HWKRG DQG 0RGLILHG 

(PSLULFDO /LNHOLKRRG 


:H SURSRVH WR XVH D VLPSOH PRGLILFDWLRQ RI WKH PD[LPXP HPSLULFDO OLNHOLKRRG 

0(/ PHWKRG IRU HVWLPDWLQJ VWUXFWXUDO HTXDWLRQV LQ HFRQRPHWULFV 

7KH PRGLILHG HVWLPDWRU

LPSURYHV ERWK WKH DV\PSWRWLF ELDV DQG WKH PHDQ VTXDUHG HUURU 

RI WKH 0(/ HVWLPDWRU 

LQ WKH RUGHUV RI 2 QA^ ` DQG 2 QA^ ` 

UHVSHFWLYHO\ DW WKH VDPH WLPH 

,W DOVR LPSURYHV WKH DV\PSWRWLF ELDV RI WKH JHQHUDOL]HG PHWKRG 

RI PRPHQWV *00 HVWLPDWLRQ RU WKH HVWLPDWLQJ HTXDWLRQ (( PHWKRG 

VLJQLILFDQWO\ ZKHQ WKHUH DUH PDQ\ LQVWUXPHQWV LQ WKH HFRQRPHWULF OLWHUDWXUHV 

3DWULN *XJJHQEHUJHU 

PRGHOV 

),1$1&,$/ (&2120(75,&6 (03,5,&$/ ,,, 


&KDLUSHUVRQ 5 )U\ 

-RQ :RQJVZDQ 

)HGHUDO 5HVHUYH %RDUG 

75$160,66,21 2) ,1)250$7,21 $&5266 ,17(51$7,21$/ 

(48,7< 0$5.(76 

$XJ 

5RRP ) 

.H\ZRUGV 'LVSHUVLRQ RI ([SHFWDWLRQV +LJK )UHTXHQF\ 'DWD ,QIRUPDWLRQ 0DFURHFRQRPLF 

$QQRXFHPHQWV 7UDGLQJ 9ROXPH DQG 9RODWLOLW\ 

-(/ &ODVVLILFDWLRQ ( * DQG * 

7KLV SDSHU SURYLGHV HYLGHQFH RI WUDQVPLVVLRQ RI LQIRUPDWLRQ IURP 

WKH 8 6 DQG -DSDQ WR .RUHDQ DQG 7KDL HTXLW\ PDUNHWV GXULQJ WKH 

SHULRG IURP WKURXJK ,QIRUPDWLRQ LV GHILQHG DV 

LPSRUWDQW PDFURHFRQRPLF DQQRXQFHPHQWV LQ WKH 8 6 -DSDQ .RUHD 

DQG 7KDLODQG 8VLQJ KLJK IUHTXHQF\ LQWUDGD\ GDWD , IRFXV WKH 

VWXG\ RQ UHWXUQ YRODWLOLW\ DQG WUDGLQJ YROXPH EHFDXVH WKH 

LPSOLFDWLRQV RI QHZ LQIRUPDWLRQ DUH PXFK FOHDUHU WKDQ IRU UHWXUQV 

, ILQG D ODUJH DQG VLJQLILFDQW DVVRFLDWLRQ EHWZHHQ 

HPHUJLQJ HFRQRP\ HTXLW\ YRODWLOLW\ DQG WUDGLQJ YROXPH DQG 

GHYHORSHG HFRQRP\ PDFURHFRQRPLF DQQRXQFHPHQWV 7KLV LV WKH ILUVW 

VWURQJ HYLGHQFH RI LQWHUQDWLRQDO LQIRUPDWLRQ WUDQVPLVVLRQ 

3UHYLRXV VWXGLHV ILQGLQJV RI DW PRVW ZHDN HYLGHQFH PD\ EH GXH WR 

WKHLU XVH RI ORZHU IUHTXHQF\ GDWD DQG WKHLU IRFXV RQ 

GHYHORSHG HFRQRP\ ILQDQFLDO PDUNHW LQQRYDWLRQV DV WKH PHDVXUH RI 

LQIRUPDWLRQ 

6YHWODQD 0DNDURYD 

$VVRFLDWH 3URIHVVRU 

&R $XWKRUV : &KDUHP]D 

672&+$67,& 81,7 52276 25 '(7(50,1,67,& %5($.6" $1 

(03,5,&$/ ,19(67,*$7,21 2) :25' :,'( 672&. 0$5.(7 

,1',&(6 

.H\ZRUGV (QFRPSDVVLQJ )LQDQFLDO PDUNHWV 7HVWLQJ DQG 7LPH VHULHV HFRQRPHWULFV 

-(/ &ODVVLILFDWLRQ & & DQG * 

)RU WKH HPSLULFDO DQDO\VLV RI VWRFN SULFH LQGLFHV IRU FRXQWULHV WZR PRGHOV 

DUH DSSOLHG L WKH GHWHUPLQLVWLF XQLW URRW PRGHO ZLWK VWUXFWXUDO EUHDNV DQG LL WKH VWRFKDVWLF 

ELOLQHDU XQLW URRW PRGHO ZLWKRXW VWUXFWXUDO EUHDNV $ QHZ SDUDPHWHUV HQFRPSDVVLQJ WHVW 

LV SURSRVHG IRU GHFLGLQJ EHWZHHQ WKHVH WZR PRGHOV 7KH UHVXOWV VXSSRUW WKH FRQMHFWXUH 

WKDW WKH ELOLQHDU PRGHO HQFRPSDVVHV WKH VWUXFWXUDO EUHDN PRGHO PRUH RIWHQ WKDQ WKH RWKHU 

ZD\ DURXQG $OVR LW LV OLNHO\ WKDW WKH ELOLQHDU XQLW URRW SURFHVV PLJKW EH PLVWDNHQ IRU WKH

GHWHUPLQLVWLF XQLW URRW SURFHVV ZLWK D VWUXFWXUDO EUHDN 

5HQHH )U\ 

$XVWUDOLDQ 1DWLRQDO 8QLYHUVLW\ 

&R $XWKRUV 0 'XQJH\ DQG 9 0DUWLQ 

81$17,&,3$7(' 6+2&.6 $1' 6

(50(6 

&R $XWKRUV ) *DOLD 

5(6($5&+ $1' '(9(/230(17 ,1129$7,21 75$,1,1* 48$/,7< 

$1' 352),7$%,/,7< (&2120(75,& (9,'(1&( )520 )5$1&( 

.H\ZRUGV $V\PSWRWLF /HDVW 6TXDUH ,QQRYDWLRQ 3URILWDELOLW\ 4XDOLW\ 5HVHDUFK DQG 

7UDLQLQJ 

-(/ &ODVVLILFDWLRQ & & / 2 DQG 2 

7KLV SDSHU VWXGLHV VLPXOWDQHRXVO\ WKH UHODWLRQVKLSV EHWZHHQ 5 ' LQYHVWPHQWV 

LQQRYDWLRQ WUDLQLQJ LQYHVWPHQWV TXDOLW\ DQG ILUP SHUIRUPDQFH DW WKH ILUP OHYHO ,W RIIHUV 

VRPH HPSLULFDO HYLGHQFH RQ KRZ LQQRYDWLRQ WUDLQLQJ TXDOLW\ DIIHFW ILUP SURILWDELOLW\ 7KH 

QHZ IHDWXUH LV WKH OLQN EHWZHHQ WUDLQLQJ DQG TXDOLW\ :H EXLOG D ILYH HTXDWLRQV PRGHO 

LQFOXGLQJ FHQVRUHG GLFKRWRPRXV DQG OLQHDU YDULDEOHV ZLWK D VSHFLILF FLUFXODU VFKHPH 7R 

HVWLPDWH WKLV V\VWHP ZH DGRSW WKH DV\PSWRWLF OHDVW VTXDUH PHWKRG 7KH HPSLULFDO 

DQDO\VLV LV EDVHG RQ WKH IUHQFK LQQRYDWLRQ VXUYH\ FRPELQHG ZLWK ILUP OHYHO UHJLVWHU GDWD 

:H XVH QHJOHFWHG YDULDEOHV RQ WUDLQLQJ DQG TXDOLW\ &RQWUROOLQJ IRU WKH WUDGLWLRQDO 

GHWHUPLQDQWV WKH UHVXOWV VKRZ WKH H[LVWHQFH RI D YLUWXRXV FLUFOH 0RUHRYHU ZH ILQG 

FRQVLVWHQW UHVXOWV ZLWK PDQ\ VW\OL]HG IDFWV 

9pURQLTXH -DQRG 

(85(4XD 8QLYHUVLWp 3DULV 

&R $XWKRUV $ VDLQW 0DUWLQ 

:25. 25*$1,=$7,1 $1' 3(5)250$1&( ,668( $1 (67,0$7( 

21 )5(1&+ 0$18)$&785,1* ),506 29(5 

.H\ZRUGV &DXVDO (IIHFW (PSOR\PHQW 2UJDQL]DWLRQDO &KDQJHV 3URGXFWLYLW\ DQG 

6HOHFWLRQ %LDLV 

-(/ &ODVVLILFDWLRQ & ' ' / DQG / 

7KH DLP RI WKLV SDSHU LV WR VWXG\ WKH HIIHFW RI RUJDQL]DWLRQDO FKDQJHV RQ ILUP SHUIRUPDQFH 

:H DSSO\ WKH VWDWLVWLFDO IUDPHZRUN ILUVW SURSRVHG E\ 5XELQ > @ WR LGHQWLI\ WKH FDXVDO 

HIIHFW RI UHRUJDQL]DWLRQV RQ HPSOR\PHQW FDSLWDO YDOXH DGGHG DQG IDFWRU SURGXFWLYLW\ 2XU 

HVWLPDWHV VKRZ WKDW UHRUJDQL]DWLRQ H[HUWV D SRVLWLYH HIIHFW RQ IDFWRU SURGXFWLYLW\ ZKLOH LW 

KDV QR HIIHFW RQ WKH IDFWRUV WKHPVHOYHV LQ WHUPV RI YROXPH XVHG 5HRUJDQL]DWLRQ ZRXOG 

WKXV LPSURYH ILUP SHUIRUPDQFH WKURXJK D PRUH HIILFLHQW XVH RI ODERU DQG FDSLWDO ZLWKRXW 

UHTXLULQJ DQ\ LQFUHDVH RI WKHVH SURGXFWLRQ IDFWRUV 

,1)/$7,21 ,, 


&KDLUSHUVRQ 1 (ULFVVRQ 

(XULOWRQ $UDXMR 

,%0(& 

$XJ 

5RRP '

&R $XWKRUV $ )LRUHQFLR 

)5(48(1&< '20$,1 $1$/

VHOHFWLRQ KHOS REWDLQ D PRUH SDUVLPRQLRXV HPSLULFDOO\ FRQVWDQW GDWD FRKHUHQW 

HQFRPSDVVLQJ HUURU FRUUHFWLRQ PRGHO IRU LQIODWLRQ LQ $XVWUDOLD 7KH OHYHO RI FRQVXPHU 

SULFHV LV D PDUN XS RYHU GRPHVWLF DQG LPSRUW FRVWV ZLWK DGMXVWPHQWV IRU G\QDPLFV DQG 

UHODWLYH DJJUHJDWH GHPDQG 

/$%285 6833/< ,,, 


&KDLUSHUVRQ + %RQLQ 

'DYLG /H %ODQF 

&5(67 

&R $XWKRUV 3 &KRQp DQG , 5REHUW %REpH 

$XJ 

)(0$/( /$%25 6833/< $1' &+,/' &$5( ,1 )5$1&( 

.H\ZRUGV FKLOG FDUH IHPDOH ODERU VXSSO\ ILVFDO SROLF\ DQG ZHOIDUH SDUWLFLSDWLRQ 

-(/ &ODVVLILFDWLRQ + - DQG - 

:H XVH )UHQFK KRXVHKROG GDWD WR HVWLPDWH D VWUXFWXUDO PRGHO RI 

IHPDOH ODERU VXSSO\ DQG XWLOL]DWLRQ RI SDLG FKLOG FDUH RXWVLGH 

WKH KRPH &KLOG FDUH FRVWV DUH IRXQG WR KDYH OLWWOH LPSDFW RQ WKH 

SDUWLFLSDWLRQ GHFLVLRQ RI PRWKHUV +RZHYHU WKH\ LQIOXHQFH WKH 

FKRLFHV RI KRXUV RI ZRUN DV ZHOO DV WKH GHFLVLRQ WR XVH SDLG 

FDUH 7KH LQIOXHQFH RI WKH FXUUHQW WD[ FUHGLW RQ FKLOG FDUH H[SHQGLWXUHV RQ 

WKH PRWKHUV ODERU VXSSO\ LV ZHDN 7KH PRWKHUV UHVSRQVHV 

WR SROLF\ FKDQJHV DUH YHU\ KHWHURJHQRXV ,QWHQVLYH DQG H[WHQVLYH 

HIIHFWV DUH JHQHUDOO\ RI WKH VDPH RUGHU RI PDJQLWXGH 

(QULFD &URGD 

8&/$ 

&R $XWKRUV ( .\ULD]LGRX 

5RRP ) 

,17(57(0325$/ /$%25 )25&( 3$57,&,3$7,21 2) 0$55,(' 

:20(1 ,1 *(50$1< $ 3$1(/ '$7$ $1$/

.\ULD]LGRX (FRQRPHWULFD IRU G\QDPLF IL[HG HIIHFWV GLVFUHWH FKRLFH PRGHOV :H 

ILQG VWURQJ VWDWH GHSHQGHQFH DQG VXEVWDQWLDO HIIHFWV IRU IHUWLOLW\ YDULDEOHV 7UDQVLWRU\ DQG 

SHUPDQHQW QRQ ODERU LQFRPH KDYH LQ JHQHUDO VPDOO HIIHFWV 

+ROJHU %RQLQ 

,=$ 

&R $XWKRUV 5 (XZDOV 

3$57,&,3$7,21 %(+$9,25 2) ($67 *(50$1 :20(1 $)7(5 

*(50$1 81,),&$7,21 

.H\ZRUGV /DERU )RUFH 3DUWLFLSDWLRQ 3DQHO 'DWD DQG 7UDQVLWLRQDO (FRQRPLFV 


7KH SDSHU VWXGLHV WKH GHWHUPLQDQWV RI ODERU IRUFH SDUWLFLSDWLRQ E\ (DVW *HUPDQ ZRPHQ 

DIWHU XQLILFDWLRQ 7R LVRODWH WKH UROH RI SDUWLFLSDWLRQ EHKDYLRU IURP WKDW RI LQGLYLGXDO 

FKDUDFWHULVWLFV ZH GHYHORS D SDQHO GDWD PRGHO WKDW VLPXOWDQHRXVO\ H[SODLQV SDUWLFLSDWLRQ 

HPSOR\PHQW DQG ZDJHV 7KH PRGHO SDUDPHWHUV HVWLPDWHG IRU (DVW DQG :HVW *HUPDQ\ 

RQ WKH EDVLV RI WKH *HUPDQ 6RFLR (FRQRPLF 3DQHO LQGLFDWH WKDW GLVWLQFW EHKDYLRU FRXOG 

H[SODLQ WKH UHJLRQDO JDS LQ SDUWLFLSDWLRQ UDWHV DW XQLILFDWLRQ $IWHUZDUGV (DVW *HUPDQ 

ZRPHQ EHFDPH OHVV ZLOOLQJ WR SDUWLFLSDWH EXW WKH QHJDWLYH ODERU VXSSO\ WUHQG ZDV RQ WKH 

DJJUHJDWH OHYHO RIIVHW E\ FKDQJHV LQ FKDUDFWHULVWLFV DQG ZDJHV SURPRWLQJ SDUWLFLSDWLRQ 

329(57< 


&KDLUSHUVRQ $ $DVVYH 

$OHVVDQGUR 7DUR]]L 


$XJ 

5RRP ) 

&$/&8/$7,1* &203$5$%/( 67$7,67,&6 )520 ,1&203$5$%/( 

6859(

FDUULHG RXW LQ 'XH WR LPSRUWDQW FKDQJHV LQ WKH DGRSWHG TXHVWLRQQDLUH WKH 

XQDGMXVWHG ILJXUHV DUH OLNHO\ WR XQGHUVWDWH SRYHUW\ UHODWLYH WR WKH SUHYLRXV URXQGV :H 

SURYLGH HYLGHQFH VXSSRUWLQJ WKH SODXVLELOLW\ RI WKH LGHQWLI\LQJ DVVXPSWLRQV DQG ZH 

FRQFOXGH WKDW PRVW RI WKH YHU\ ODUJH UHGXFWLRQ LQ SRYHUW\ LPSOLHG E\ WKH XQDGMXVWHG ILJXUHV 

LV UHDO 

0RQLFD +HUQDQGH] 


&R $XWKRUV 5 +DQFRFN DQG 6 3XGQH\ 

7+( :(/)$5( &267 2) 0($16 7(67,1* 3(16,21(5 

3$57,&,3$7,21 ,1 ,1&20( 6833257 

.H\ZRUGV EHQHILW WDNH XS SHQVLRQV SRYHUW\ SURJUDP SDUWLFLSDWLRQ DQG ZHOIDUH 

-(/ &ODVVLILFDWLRQ & ' + , DQG , 

:H HVWLPDWH SDUDPHWULF DQG VHPL SDUDPHWULF ELQDU\ FKRLFH PRGHOV RI EHQHILW WDNH XS E\ 

%ULWLVK SHQVLRQHUV DQG XVH D UHYHDOHG SUHIHUHQFH DUJXPHQW WR LQIHU WKH FDVK HTXLYDOHQW 

YDOXH RI GLVXWLOLW\ DULVLQJ IURP VWLJPD RU FRPSOH[LW\ RI WKH FODLPV SURFHVV 7KHVH LPSOLFLW 

FRVWV WXUQ RXW WR EH UHODWLYHO\ VPDOO DYHUDJLQJ DERXW … SHU ZHHN DFURVV ,QFRPH 

6XSSRUW UHFLSLHQWV 8VLQJ WKH )RVWHU *UHHU 7KRUEHFNH PHDVXUH RI SRYHUW\ DPRQJ 

SHQVLRQHUV ZH ILQG WKDW DOORZLQJ IRU LPSOLFLW FODLP FRVWV LQFXUUHG E\ EHQHILW UHFLSLHQWV 

UDLVHV WKH PHDVXUHG GHJUHH RI SRYHUW\ E\ QRW PRUH WKDQ 

$UQVWHLQ $DVVYH 


&R $XWKRUV 6 %XUJHVV DQG & 3URSSHU 

02'(//,1* 329(57< 75$16,7,216 $6 7+( 287&20( 2) 

(03/2

32/,7,&$/ (&2120< 9, 

&DWHJRU\ (($ 

&KDLUSHUVRQ . 6WRUHVOHWWHQ 

0LNDHO 3ULNV 


$XJ 

5RRP $ 

5(17 (;75$&7,21 7+528*+ &255837 2)),&,$/6 '()$8/7 

5,6. $1' 021,725,1* &2676 

.H\ZRUGV &RUUXSWLRQ 'HIDXOW 5LVN DQG 0RQLWRULQJ &RVWV 


$W WKH WLPH RI WKH *ORULRXV 5HYROXWLRQ LQ (QJODQG FKDQJHG LWV V\VWHP RI UDLVLQJ 

UHYHQXHV IURP JUDQWLQJ PRQRSROLHV WR GLUHFW FROOHFWLRQ ZLWKLQ WKH JRYHUQPHQW 

DGPLQLVWUDWLRQ $V D UHVXOW WKH (QJOLVK SXEOLF ILQDQFHV GUDPDWLFDOO\ LPSURYHG DQG 

FRUUXSWLRQ ZDV UHGXFHG FRPSDUHG WR LWV PDMRU FRPSHWLWRU )UDQFH 

:H DQDO\]H WKH UHDVRQV IRU DQG FRQVHTXHQFHV RI WKLV UHIRUP LQ D PLFURIRXQGHG PRGHO ,Q 

WKH PRGHO WKH FHQWUDO DXWKRULW\ H[WUDFWV UHQWV IURP JRYHUQPHQW RIILFLDOV VDOHV RI 

JRYHUQPHQW JRRGV HLWKHU WKURXJK XS IURQW SD\PHQWV RU WKURXJK H[ SRVW SD\PHQWV :H ILQG 

WKDW ZKHQ ERUURZLQJ LV FRVWO\ DQG ZKHQ PRQLWRULQJ FRVWV DUH KLJK XS IURQW SD\PHQWV DUH 

UHODWLYHO\ DWWUDFWLYH DQG FRUUXSWLRQ LV ZLGHVSUHDG 7KH UHVXOWV RI WKH PRGHO DUH FRQVLVWHQW 

ZLWK KLVWRULFDO IDFWV IURP (QJODQG DQG )UDQFH 

.LUD %RHUQHU 

'HSDUWPHQW RI (FRQRPLFV 8QLYHUVLW\ RI 0XQLFK 

&R $XWKRUV ) +HUROG 

7+( &2676 $1' %(1(),76 2) 7+( 6(3$5$7,21 2) 32:(56 $1 

,1&203/(7( &2175$&76 $3352$&+ 

.H\ZRUGV FRQVWLWXWLRQ GHPRFUDF\ LQFRPSOHWH FRQWUDFWV DQG VHSDUDWLRQ RI SRZHUV 


6HSDUDWLRQ RI WKH OHJLVODWLYH H[HFXWLYH DQG MXGLFLDU\ SRZHUV LV D NH\ SULQFLSOH LQ PRVW 

GHPRFUDWLF FRQVWLWXWLRQV ,W LV WDNHQ IRU JUDQWHG WKDW RQO\ WKLV JDUDQWHHV D IXQFWLRQLQJ 

GHPRFUDF\ :H DQDO\]H FRVWV DQG EHQHILWV RI VHSDUDWLQJ OHJLVODWXUH DQG H[HFXWLYH LQ DQ 

LQFRPSOHWH FRQWUDFWV PRGHO 7KH H[HFXWLYH FDQ GHFLGH ZKHWKHU WR LPSOHPHQW SXEOLF 

SURMHFWV 8QGHU VHSDUDWLRQ RI 3RZHUV WKH OHJLVODWXUH VHWV WKH GHFLVLRQ PDNLQJ IUDPHZRUN 

WKDW OHDYHV WKH H[HFXWLYH ZLWK WKH UHVLGXDO GHFLVLRQ PDNLQJ ULJKWV 'HSHQGLQJ RQ WKH 

LQWHQVLW\ RI SULYDWH LQWHUHVWV LQ H[HFXWLYH DQG OHJLVODWXUH DQG GHSHQGLQJ RQ WKH HIILFLHQF\ RI 

HOHFWRUDO FRQWURO VHSDUDWLRQ RI SRZHUV PD\ RU PD\ QRW EH RSWLPDO 

;DYLHU 0DWHRV 3ODQDV 

'HSW (FRQRPLFV 8QLYHUVLW\ RI 6RXWKDPSWRQ 

3238/$7,21 $*,1* $1' &$3,7$/ 7$;$7,21

.H\ZRUGV FDSLWDO WD[DWLRQ SROLWLFR HFRQRPLF HTXLOLEULXP DQG SRSXODWLRQ DJLQJ 


7KLV SDSHU LQYHVWLJDWHV WKH FRQVHTXHQFHV RI FKDQJHV LQ WKH DJH 

FRPSRVLWLRQ RI WKH SRSXODWLRQ IRU WKH PL[ RI WD[ UDWHV RQ ODERU DQG FDSLWDO LQFRPH ZKHQ 

WKHVH SROLFLHV DUH GHFLGHG WKURXJK GHPRFUDWLF LQVWLWXWLRQV 7KH DQDO\VLV LV FRQGXFWHG 

ZLWKLQ D JHQHUDO HTXLOLEULXP RYHUODSSLQJ JHQHUDWLRQV PRGHO ZKHUH WD[ UDWHV DUH 

GHWHUPLQHG WKURXJK PDMRULW\ YRWLQJ E\ IRUZDUG ORRNLQJ DJHQWV &DOLEUDWHG YHUVLRQV RI WKH 

PRGHO DUH XVHG WR VWXG\ TXDQWLWDWLYHO\ WKH HIIHFWV RI WKH GHPRJUDSKLF VKLIWV SURMHFWHG IRU 

WKH 86 

3RSXODWLRQ DJLQJ PD\ RU PD\ QRW EULQJ DERXW D UHGXFWLRQ LQ WKH WD[ UDWH RQ 

FDSLWDO *HQHUDO HTXLOLEULXP HIIHFWV DUH LPSRUWDQW LQ WKLV UHVSHFW 

.MHWLO 6WRUHVOHWWHQ 


&R $XWKRUV - +DVVOHU DQG ) =LOLERWWL 

'(02&5$7,& 38%/,& *22' 3529,6,21 

.H\ZRUGV 0DUNRY HTXLOLEULXP SROLWLFDO HFRQRP\ SXEOLF JRRG 5DPVH\ DOORFDWLRQ 

UHGLVWULEXWLRQ DQG UHSHDWHG YRWLQJ 

-(/ &ODVVLILFDWLRQ ' ' ( + + DQG + 

7KLV SDSHU DQDO\]HV DQ RYHUODSSLQJ JHQHUDWLRQ PRGHO RI SXEOLF JRRG 

SURYLVLRQ XQGHU UHSHDWHG YRWLQJ 7KH SXEOLF JRRG LV ILQDQFHG WKURXJK DJH GHSHQGHQW 

WD[DWLRQ WKDW GLVWRUWV KXPDQ FDSLWDO LQYHVWPHQW 7D[HV UHGLVWULEXWH LQFRPH ERWK DFURVV 

GLIIHUHQW VNLOO JURXSV DQG DFURVV JHQHUDWLRQV :H FRQWUDVW WKH SROLWLFDO HTXLOLEULD ZLWK WKH 

5DPVH\ DOORFDWLRQ DQG DQDO\]H WKH VRXUFHV RI LQHIILFLHQF\ 7KH SROLWLFDO HTXLOLEULD FDQ 

IHDWXUH ERWK XQGHU DQG RYHU SURYLVLRQ RI SXEOLF JRRG DV ZHOO DQ LQHIILFLHQW OLIH F\FOH 

SURILOH RI WD[HV 

&25325$7( *29(51$1&( 

&DWHJRU\ (($ 

&KDLUSHUVRQ * 6SDJQROR 

'DQLHO )HUUHLUD 

*HWXOLR 9DUJDV )RXQGDWLRQ *UDGXDWH 6FKRRO RI (FRQRPLFV 

&R $XWKRUV 0 5H]HQGH 

&5(',%/( 0$1$*(5,$/ 9,6,21 

.H\ZRUGV FDUHHU FRQFHUQV PDQDJHULDO LQFHQWLYHV PLVVLRQ VWDWHPHQWV DQG YLVLRQ 


$XJ 

5RRP & 

:H GHYHORS D PRGHO LQ ZKLFK PDQDJHUV FKRRVH ZKHWKHU RU QRW WR UHYHDO WKHLU YLVLRQ IRU

WKH IXWXUH RI WKHLU FRPSDQLHV :H VKRZ WKDW FUHGLEOH PDQDJHULDO YLVLRQ ZLOO DULVH LQ 

HTXLOLEULXP ZKHQ PDQDJHUV KDYH FDUHHU FRQFHUQV ,Q RUGHU WR FUHGLEO\ LPSOHPHQW WKHLU 

YLVLRQV PDQDJHUV LVVXH SXEOLF PLVVLRQ VWDWHPHQWV WR PRWLYDWH ZRUNHUV 0LVVLRQ 

VWDWHPHQWV DUH QRW OHJDOO\ ELQGLQJ FRQWUDFWV DQG WKHLU YDOXH FRPHV VROHO\ IURP WKHLU HIIHFWV 

RQ PDQDJHULDO RSSRUWXQLWLHV RXWVLGH WKH ILUP $PRQJ WKH QHZ LPSOLFDWLRQV RI WKH PRGHO 

ZH VKRZ WKDW PDQDJHULDO YLVLRQ LV PRUH OLNHO\ WR EH FUHGLEOH LQ LQGXVWULHV LQ ZKLFK 

PDQDJHULDO WXUQRYHU LV KLJK DQG LQ ZKLFK WKH PDQDJHULDO VNLOO SUHPLXP LV KLJK :H VKRZ 

QRW RQO\ WKDW ELDVHV LQFUHDVH ZRUNHUV LQFHQWLYHV EXW DOVR WKDW WKH QHHG WR SURYLGH 

LQFHQWLYHV WR ZRUNHUV LQFUHDVHV PDQDJHUV LQFHQWLYHV WR EHFRPH FUHGLEOH YLVLRQDULHV 

0DULDVVXQWD *LDQQHWWL 

6WRFNKROP 6FKRRO RI (FRQRPLFV DQG &(35 

&R $XWKRUV $ 6LPRQRY 

:+,&+ ,19(67256 )($5 (;35235,$7,21" (9,'(1&( )520 

,19(67256 672&. 3,&.,1* 

.H\ZRUGV &RUSRUDWH *RYHUQDQFH ,QYHVWRU EHKDYLRU SRUWIROLR FKRLFH 3ULYDWH EHQHILWV DQG 

6HFXULW\ %HQHILWV 

-(/ &ODVVLILFDWLRQ ) * DQG * 

:H DQDO\]H ZKHWKHU LQYHVWRUV WDNH LQWR DFFRXQW FRUSRUDWH JRYHUQDQFH ZKHQ WKH\ VHOHFW 

VWRFNV $IWHU FRQWUROOLQJ IRU WKH VXSSO\ HIIHFW YLD IUHH IORDW DQG RWKHU ILUP FKDUDFWHULVWLFV ZH 

ILQG WKDW DOO WKH FDWHJRULHV RI LQYHVWRUV ZKR JHQHUDOO\ HQMR\ RQO\ VHFXULW\ EHQHILWV 

GRPHVWLF DQG IRUHLJQ LQVWLWXWLRQDO DQG VPDOO LQGLYLGXDO LQYHVWRUV DUH UHOXFWDQW WR LQYHVW LQ 

FRPSDQLHV ZKHUH WKH UDWLR RI FRQWURO WR FDVK IORZ ULJKWV LV ODUJHU ,Q FRQWUDVW LQGLYLGXDOV 

ZKR KDYH VWURQJ FRQQHFWLRQV ZLWK WKH ORFDO ILQDQFLDO FRPPXQLW\ EHFDXVH WKH\ DUH ERDUG 

PHPEHUV RU KROG ODUJH EORFNV RI DW OHDVW VRPH OLVWHG FRPSDQLHV EHKDYH GLIIHUHQWO\ 7KH\ 

GR QRW FDUH DERXW WKH H[SHFWHG H[WUDFWLRQ RI SULYDWH EHQHILWV RU HYHQ SUHIHU WR LQYHVW LQ 

ILUPV ZKHUH WKHUH LV PRUH URRP IRU LW 

,JQDFLR 3DODFLRV +XHUWD 


&R $XWKRUV $ 6DUDFKR 

7+( 3529,6,21 2) ,1&(17,9(6 ,1 '85$%/( *22'6 ),506 

.H\ZRUGV $JHQF\ 3UREOHPV &RPSHQVDWLRQ 'XUDEOH *RRGV DQG ,QFHQWLYH FRQWUDFWV 

-(/ &ODVVLILFDWLRQ * - DQG / 

7KLV SDSHU H[DPLQHV WKH LPSRUWDQFH RI WKH WLPH FRQVLVWHQF\ SUREOHP LQGXFHG E\ GXUDELOLW\ 

RQ WKH GHPDQG VLGH IRU WKH GHWHUPLQDWLRQ RI LQWHUQDO FRQWUDFWXDO UHODWLRQVKLSV LQ WKH ILUP 

7KH WKHRUHWLFDO DQDO\VLV LQGLFDWHV WKDW GHOHJDWLRQ RI FRQWURO DQG WKH DSSURSULDWH FKRLFH RI 

PDQDJHULDO LQFHQWLYH FRQWUDFWV FDQ KHOS SURYLGH FRPPLWPHQW WR D IXWXUH VFKHGXOH RI 

SURGXFWLRQ IRU VHOOHUV RI GXUDEOH JRRGV LQ LPSHUIHFWO\ FRPSHWLWLYH PDUNHWV 7KH HPSLULFDO 

LPSOLFDWLRQV IRU LQFHQWLYH FRPSHQVDWLRQ FRQWUDFWV DUH WKHQ WHVWHG XVLQJ GDWD RQ 

FRPSHQVDWLRQ RI WRS H[HFXWLYHV DW ODUJH FRUSRUDWLRQV &RQVLVWHQW ZLWK WKH SUHGLFWLRQV ZH 

ILQG WKDW WKH WLPH FRQVLVWHQF\ SUREOHP RI GXUDEOH JRRGV ILUPV LQGXFHV FHUWDLQ 

FRPSHQVDWLRQ SUDFWLFHV DZD\ IURP VWULFW SURILW PD[LPL]DWLRQ ,Q SDUWLFXODU LW LQGXFHV 

LQGH[LQJ WR ERWK SURILWV DQG VDOHV ORZHU UHVSQVLYHQHVV RI FRPSHQVDWLRQ WR VDOHV ORQJHU

WHUP FRPSHQVDWLRQ LQFHQWLYHV H J UHVWULFWHG VWRFN DQG VWRFN RSWLRQV JUHDWHU SD\ 

SHUIRUPDQFH VHQVLWLYLW\ DQG JUHDWHU UHODWLYH SHUIRUPDQFH HYDOXDWLRQ 

*LDQFDUOR 6SDJQROR 

8QLYHUVLW\ RI 0DQQKHLP DQG &(35 

&R $XWKRUV & *URK 

(;&/86,9( &2175$&76 /266 72 '(/$< $1' ,1&(17,9(6 72 

,19(67 

.H\ZRUGV %DUJDLQLQJ ([FOXVLYLW\ ,QFRPSOHWH &RQWUDFWV DQG 6SHFLILF ,QYHVWPHQWV 


:H WDNH WKH YLHZ WKDW DOWHUQDWLYH WUDGLQJ RSSRUWXQLWLHV PD\ LQIOXHQFH WKH ORVV WR GHOD\ LQ D 

EDUJDLQLQJ VLWXDWLRQ DQG VKRZ WKDW FRQWUDFWXDO H[FOXVLYLW\ PD\ WKHQ EH UHOHYDQW HYHQ IRU 

µLQWHUQDO LQYHVWPHQWV FRQWUDGLFWLQJ D UHFHQW ILQGLQJ E\ 6HJDO 

DQG :KLQVWRQ :KHQ D EX\HU LV DQ RQJRLQJ FRQFHUQ H[FOXVLYLW\ LQ VXSSO\ 

LQFUHDVHV KLV FRVW RI KDJJOLQJ EDUJDLQLQJ ZLWK WKH VXSSOLHU E\ SUHYHQWLQJ KLP WR 

EX\ VXEVWLWXWH LQSXWV SURGXFH DQG FRYHU UXQQLQJ FRVWV GXULQJ UHQHJRWLDWLRQV 

7KLV PD\ LPSO\ D ODUJHU EDUJDLQLQJ VKDUH IRU WKH VHOOHU DQG LQFUHDVH KLV LQYHVWPHQW 

LQFHQWLYHV :H PRGHO WKLV HIIHFW XVLQJ 5XELQVWHLQV EDUJDLQLQJ PRGHO ZLWK FRQVWDQW 

EXW HQGRJHQRXV WLPH FRVW 

23(1 (&2120< 0$&52(&2120,&6 

&DWHJRU\ (($ 

&KDLUSHUVRQ * )HPPLQLV 

5DRXO 0LQHWWL 

0LFKLJDQ 6WDWH 8QLYHUVLW\ 

&R $XWKRUV 0 ,DFRYLHOOR 

$XJ 

'20(67,& $1' )25(,*1 /(1'(56 $1' ,17(51$7,21$/ 

%86,1(66 &



),;(' 9(5686 )/(;,%/( (;&+$1*( 5$7(6 7+(25< $1' 

(9,'(1&( )520 39$5 

.H\ZRUGV ([FKDQJH 5DWH 5HJLPHV 3DQHO 9$5 DQG 6PDOO 2SHQ (FRQRPLHV 


7KLV SDSHU WKHRUHWLFDOO\ DQG HPSLULFDOO\ LQYHVWLJDWHV 0XQGHOO V IRUPDOLVDWLRQ WKDW LQ 

D VPDOO RSHQ HFRQRP\ IOH[LEOH H[FKDQJH UDWHV DFW DV D CVKRFN DEVRUEHU $Q LQWHUWHPSRUDO 

VPDOO RSHQ HFRQRP\ PRGHO ZLWK QRPLQDO ULJLGLWLHV LQ ZKLFK UHDO VKRFNV JHQHUDWH LQWHUQDO 

LPEDODQFHV XQGHU IL[HG DQG IOH[LEOH H[FKDQJH UDWHV LV ODLG RXW 7KH UROH RI ZRUOG LQWHUHVW 

UDWH DQG ZRUOG RXWSXW VKRFNV LQ GULYLQJ RXWSXW WUDGH LPEDODQFHV DQG UHDO H[FKDQJH UDWH 

IOXFWXDWLRQV XQGHU GLIIHUHQW H[FKDQJH UDWH UHJLPHV LQ D 3DQHO 9$5 XVLQJ HFRQRPLF WKHRU\ 

IRU LGHQWLILFDWLRQ LV HPSLULFDOO\ LQYHVWLJDWHG 

.DQGD 1DNQRL 

'HSDUWPHQW RI (FRQPLFV 6WDQIRUG 8QLYHUVLW\ 

&R $XWKRUV $ %UXQQHU 

75$'( &2676 0$5.(7 ,17(*5$7,21 $1' 0$&52(&2120,& 

92/$7,/,7< 

.H\ZRUGV JOREDOL]DWLRQ UHODWLYH SULFHV WDULIIV DQG WUDQVSRUW FRUWV 

-(/ &ODVVLILFDWLRQ ( ) ) DQG ) 

7KLV SDSHU H[DPLQHV WKH HIIHFWV RI WUDGH FRVWV RQ PDFURHFRQRPLF YRODWLOLW\ :H FRQVWUXFW 

D G\QDPLF JHQHUDO HTXLOLEULXP WZR FRXQWU\ PRGHO ZKHUH WKH GHJUHH RI PDUNHW LQWHJUDWLRQ 

GHSHQGV GLUHFWO\ RQ WUDGH FRVWV 1DWXUDOO\ D UHGXFWLRQ LQ WUDGH FRVWV OHDGV WR PRUH PDUNHW 

LQWHJUDWLRQ DV WKH UHODWLYH SULFH RI IRUHLJQ JRRGV IDOOV DQG KRXVHKROGV LQFUHDVH WKHLU 

FRQVXPSWLRQ RI LPSRUWV 7KH PRGHO SUHGLFWV WKDW ZLWK PRUH PDUNHW LQWHJUDWLRQ WKH 

YDULDELOLW\ RI WKH UHDO H[FKDQJH UDWH VKRXOG IDOO ZKLOH WKH YDULDELOLW\ RI WKH WUDGH EDODQFH 

VKRXOG LQFUHDVH 7UDGH FRVWV KDYH DPELJXRXV HIIHFWV RQ WKH YRODWLOLW\ RI RWKHU PDFUR 

YDULDEOHV VXFK DV LQFRPH DQG FRQVXPSWLRQ )LQDOO\ ZH SUHVHQW VRPH HPSLULFDO ILQGLQJV 

WKDW SURYLGH PL[HG VXSSRUW IRU WKH SUHGLFWLRQV 

*LDQOXFD )HPPLQLV 

8QLYHUVLWD &DWWROLFD GL 0LODQR DQG &(35 

&855(1&< $77$&.6 :,7+ 08/7,3/( (48,/,%5,$ $1' 

,03(5)(&7 ,1)250$7,21 7+( 52/( 2) :$*( 6(77(56 

.H\ZRUGV &XUUHQF\ DWWDFN *OREDO JDPHV ,PSHUIHFW LQIRUPDWLRQ DQG 0XOWLSOH HTXLOLEULD 

-(/ &ODVVLILFDWLRQ )

:H FRQVLGHU D G\QDPLF VWRFKDVWLF PRGHO RI FXUUHQF\ DWWDFNV FKDUDFWHULVHG E\ LPSHUIHFW 

LQIRUPDWLRQ DERXW WKH IXQGDPHQWDO $JHQW QRW RQO\ GHFLGH ZKHWKHU WR DWWDFN WKH SHJ EXW 

DOVR IRUPXODWH H[SHFWDWLRQV FRQFHUQLQJ WKH SUREDELOLW\ RI IXWXUH GHYDOXDWLRQ 7KH 

VXEMHFWLYH GHYDOXDWLRQ SUREDELOLWLHV LQIOXHQFH WKH LQIODWLRQ H[SHFWDWLRQV ZKLFK LQ WKHLU WXUQ 

DIIHFWV WKH VHFRQG SHULRG ZDJH OHYHO DQG KHQFH XQHPSOR\PHQW ,Q WKLV ZD\ ILUVW SHULRG 

H[SHFWDWLRQV DIIHFW WKH SROLF\PDNHUV DELOLW\ WR UHVLVW WR DQ DWWDFN :H VKRZ WKDW 

HTXLOLEULXP H[SHFWDWLRQV PD\ EH HLWKHU ³RSWLPLVWLF´ RU ³SHVVLPLVWLF´ ,Q IDFW DJHQWV GHFLGH 

XSRQ QH[W SHULRG ZDJH KDYLQJ REVHUYHG ZKHWKHU WKH FXUUHQW SHULRG FXUUHQF\ DWWDFN KDV 

EHHQ VXFFHVVIXO RU QRW 7KLV SXEOLFO\ DYDLODEOH LQIRUPDWLRQ LV VXIILFLHQW WR DOORZ IRU D 

FRRUGLQDWLRQ HIIHFW DPRQJ DJHQWV 2XU UHVXOWV LPSO\ DOVR WKDW DQ ³RSDTXH SROLF\´ GXULQJ D 

FXUUHQF\ FULVLV PD\ EH LQ WKH SROLF\PDNHUV LQWHUHVW 

*52:7+ ,167,787,216 $1' 75$16,7,21 

&DWHJRU\ (($ 

&KDLUSHUVRQ = %HQKDPRXFKH 

'P\WUR %R\DUFKXN 

((5& .\LY±0RK\OD $FDGHP\ 

&R $XWKRUV / 0DOLDU DQG 6 0DOLDU 

:$*( $55($56 ,1 75$16,7,21$/ (&2120,(6 7+( 

,03/,&$7,216 )520 7+( 1(2&/$66,&$/ *52:7+ 02'(/ 

.H\ZRUGV $UUHDUV 1HRFODVVLFDO JURZWK PRGHO DQG 7UDQVLWLRQ 


$XJ 

5RRP ' 

7KLV SDSHU VWXGLHV WKH TXDQWLWDWLYH LPSOLFDWLRQV RI D RQH VHFWRU QHRFODVVLFDO JURZWK PRGHO 

ZLWK ZDJH DUUHDUV :H DVN WZR TXHVWLRQV )LUVW KRZ GR DUUHDUV DIIHFW WKH LQGLYLGXDO 

FRQVXPSWLRQ VDYLQJV EHKDYLRU" 6HFRQG ZKDW LV WKH DJJUHJDWH FRVW RI DUUHDUV" :H 

FDOLEUDWH WKH PRGHO WR 8NUDLQLDQ GDWD DQG ILQG WKDW DUUHDUV FDQ DFFRXQW IRU D VXEVWDQWLDO 

GHJUHH RI ZHDOWK LQHTXDOLW\ H J WKH *LQL FRHIILFLHQW RI 5HJDUGLQJ WKH DJJUHJDWH 

FRVWV ZH ILQG WKDW GXH WR UHGXFWLRQ LQ DJJUHJDWH LQFRPH ZDJH DUUHDUV FDQ LQGXFH PRUH 

WKDQ ORVV LQ DJJUHJDWH FRQVXPSWLRQ )XUWKHU GXH WR LGLRV\QFUDWLF FRQVXPSWLRQ 

IOXFWXDWLRQV ZDJH DUUHDUV FDQ JHQHUDWH D ZHOIDUH ORVV ZKLFK LV HTXLYDOHQW WR RI 

DJJUHJDWH FRQVXPSWLRQ 

8ZH 'XOOHFN 


&R $XWKRUV ' %H]HPHU DQG 3 )ULMWHUV 

62&,$/,60 &$3,7$/,60 $1' 75$16,7,21 &225',1$7,21 2) 

(&2120,& 5(/$7,216 $1' 287387 3(5)250$1&( 

.H\ZRUGV &UHDWLYH 'HVWUXFWLRQ (FRQRPLF 5HODWLRQV (FRQRPLF 6\VWHPV ,QQRYDWLRQ DQG 

7UDQVLWLRQ 

-(/ &ODVVLILFDWLRQ 2 3 3 DQG 3

7R H[SODLQ GLIIHUHQFHV LQ WKH GHYHORSPHQW RI PDUNHW DQG SODQQLQJ HFRQRPLHV DV ZHOO DV 

WKH WUDQVLWLRQ H[SHULHQFH ZH SURYLGH D VLPSOH JHQHUDO HTXLOLEULXP PRGHO ZKLFK LQWURGXFHV 

UHODWLRQV DV DQ LQSXW WR SURGXFWLRQ 

5HODWLRQDO FDSLWDO EXVLQHVV FRQWDFWV LQFUHDVHV VROG RXWSXW %HVLGHV WKH GLUHFW HIIHFW ZKLFK 

LV VLPLODU IRU ERWK V\VWHPV LQQRYDWLRQ QHHGV WKH GHVWUXFWLRQ DQG UHSODFHPHQW RI VRPH 

UHODWLRQV KHQFH LQYROYHV QHJDWLYH H[WHUQDO HIIHFWV RQ RWKHU ILUPV +HUH V\VWHPV GLIIHU 

ZKHUHDV WKH PDUNHW V\VWHPV DOORZV HYHU\ERG\ WR GHVWUR\ ROG FRQWDFWV WKH SODQQLQJ 

V\VWHP DOORZHG RQO\ WKH FHQWHU WR GR VR *LYHQ D OLPLWHG VSDQ RI FRQWURO RI WKH FHQWHU DQG 

SROLWLFDO OREE\LQJ WKH SODQQHU LV OHVV DEOH WR UHSODFH UHODWLRQV DQG KHQFH WHFKQRORJLFDO 

SURJUHVV ZDV VORZHU :H FKDUDFWHUL]H VWHDG\ VWDWHV RI WKH WZR V\VWHPV DQG SURYLGH 

VLPXODWLRQV RI RXWSXW GHYHORSPHQW IRU HDFK V\VWHP DQG WKH WUDQVLWLRQ SURFHVV 

=RXELU %HQKDPRXFKH 

&(35(0$3 

21 7+( ,17(53/$< %(7:((1 ,167,787,21$/ $1' (&2120,& 

5()2506 

.H\ZRUGV 'HYHORSPHQW 3ROLWLFDO (FRQRP\ DQG 7UDQVLWLRQ FRXQWULHV 


%LJ %DQJ GRPLQDWHV JUDGXDOLVP EHFDXVH RI WKH GHOD\LQJ FRVW LQGXFHG E\ WKH ODWHU DQG 

DOVR EHFDXVH RI FRPSOHPHQWDULWLHV EHWZHHQ UHIRUPV %XW VRFLDO FRRSHUDWLRQ EURDGO\ 

GHILQHG EHLQJ FUXFLDO IRU WKH VXFFHVV RI UHIRUPV %LJ %DQJ PD\ KDYH YHU\ SRRU UHVXOWV 

ZLWKRXW LQVWLWXWLRQDO FKDQJHV ZKLFK JLYH WKH ULJKW LQFHQWLYHV WR WKH SHRSOH DQG WKH 

JRYHUQDQWV :H VKRZ WKDW ZKHQ HLWKHU WKH FRVW RI WKHVH GHPRFUDWLF LQVWLWXWLRQV LV WR KLJK 

RU GHPRFUDWL]DWLRQ LV LQHIILFLHQW WKHQ *UDGXDOLVP PD\ EH EHWWHU EHFDXVH LW SHUPLWV WR JDLQ 

IXWXUH VRFLDO FRRSHUDWLRQ :H DOVR VKRZ WKDW IRUHLJQ DLG PD\ EH XQGHVLUDEOH LQ VRPH 

FLUFXQVWDQFHV )LQDOO\ LQ WKH SUHVHQFH RI FUHGLELOLW\ SUREOHPV RI GHPRFUDWL]DWLRQ 

*UDGXDOLVP PD\ EH D EHWWHU ZD\ RI GRLQJ UHIRUPV 

*52:7+ $1' '(9(/230(17 ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 6RWR 

2OD 2OVVRQ 

*|WHERUJ 8QLYHUVLW\ 

&21)/,&7 ',$021'6 

$XJ 

5RRP ' 

.H\ZRUGV DSSURSULDWLYH FRQIOLFW GLDPRQGV JURZWK QDWXUDO UHVRXUFHV DQG SUHGDWLRQ 


&RQIOLFW GLDPRQGV UHIHUV WR WKH IDWDO UROH WKDW GLDPRQGV DUH EHOLHYHG WR KDYH SOD\HG LQ 

VHYHUDO $IULFDQ FRQIOLFWV 7KH DUWLFOH DQDO\]HV WKH LPSDFW RI GLDPRQG DEXQGDQFH RQ 

HFRQRPLF JURZWK LQ OLJKW RI WKH EURDGHU SUHYLRXVO\ HVWDEOLVKHG HPSLULFDO ILQGLQJ RI D FXUVH 

RI QDWXUDO UHVRXUFHV %\ H[WHQGLQJ WKH WKHRU\ RI DSSURSULDWLYH FRQIOLFW D SUHGDWRU SUH\ 

JDPH LV RXWOLQHG LQ ZKLFK D UHEHO FKRRVHV EHWZHHQ SHDFHIXO SURGXFWLRQ DQG SUHGDWLRQ RQ 

QDWXUDO UHVRXUFHV FRQWUROOHG E\ WKH UXOHU ,W LV VKRZQ WKDW ZKHUHDV DQ LQFUHDVH LQ QDWXUDO 

UHVRXUFHV PLJKW LQFUHDVH WKH UXOHU V SXEOLF XWLOLW\ LQYHVWPHQWV LW PLJKW DOVR OHDG WR D

FURZGLQJ RXW LQ IDYRU RI GHIHQVH VSHQGLQJV ZKLFK GHSUHVVHV JURZWK $V SUHGLFWHG E\ WKH 

PRGHO D ODUJH FURVV FRXQWU\ UHJUHVVLRQ DQDO\VLV VKRZV WKDW GLDPRQG DEXQGDQFH KDV D 

8 VKDSHG UHODWLRQVKLS ZLWK HFRQRPLF JURZWK 

(QULFR 6DQWDUHOOL 

8QLYHUVLWj GL %RORJQD 'LSDUWLPHQWR GL 6FLHQ]H (FRQRPLFKH 

&R $XWKRUV 3 ),*,1, 

'2(6 */2%$/,=$7,21 5('8&( 329(57

0DUFHOR 6RWR 

'(/7$ 

5(',6&29(5,1* ('8&$7,21 

.H\ZRUGV *URZWK +XPDQ &DSLWDO DQG 6\VWHP *00 

-(/ &ODVVLILFDWLRQ & , DQG 2 

7KLV SDSHU VWXGLHV WKH SX]]OLQJ ODFN RI FRUUHODWLRQ EHWZHHQ LQFRPH DQG VFKRROLQJ LQ PDFUR 

UHJUHVVLRQV ,W LV DUJXHG WKDW WKH URRW RI WKH SX]]OH LV WKUHHIROG )LUVW WKHUH LV D SUREOHP RI 

D SURSHU GHILQLWLRQ RI WKH ZD\ LQ ZKLFK \HDUV RI VFKRROLQJ VKRXOG HQWHU LQ D SURGXFWLRQ 

IXQFWLRQ 6HFRQG FROOLQHDULW\ EHWZHHQ SK\VLFDO DQG KXPDQ FDSLWDO VWRFNV VHULRXVO\ 

XQGHUPLQHV WKH DELOLW\ RI HGXFDWLRQDO LQGLFDWRUV WR GLVSOD\ DQ\ VLJQLILFDQFH LQ JURZWK 

UHJUHVVLRQV $QG WKLUG IDLOXUH WR FRSH ZLWK PHDVXUHPHQW HUURU DQG HQGRJHQHLW\ SURGXFHV 

ELDVHG HVWLPDWHV $IWHU GHDOLQJ ZLWK WKHVH SUREOHPV WKH QHRFODVVLFDO DSSURDFK WR KXPDQ 

FDSLWDO LV VWURQJO\ VXSSRUWHG E\ WKH GDWD 

%86,1(66 &

7+( ,1)250$7,21$/ &217(17 2) 7+( 635($' $1' 27+(5 

),1$1&,$/ 9$5,$%/(6 ,1 (8523( &28/' 7+( /$67 

5(&(66,21 +$9( %((1 35(',&7('" 

.H\ZRUGV (XURSH ,QWHUHVW 5DWH 6SUHDG DQG 5HFHVVLRQ )RUHFDVW 


:H H[DPLQH WKH SRZHU RI WKH WHUP VSUHDG DQG RI RWKHU ILQDQFLDO YDULDEOHV DV SUHGLFWRUV RI 

HFRQRPLF UHFHVVLRQV LQ (XURSH ,Q SDUWLFXODU ZH H[DPLQH WKH SUHGLFWLYH SRZHU RI IRUHLJQ 

VSUHDGV WKRVH RI WKH 86 DQG *HUPDQ\ WR SUHGLFW UHDO HFRQRPLF DFWLYLW\ LQ RWKHU (8 

FRXQWULHV :H ILQG WKDW (XURSHDQ FRXQWULHV FDQ EH FODVVLILHG GHSHQGLQJ RQ ZKHWKHU LW LV 

WKH GRPHVWLF VSUHDG WKH *HUPDQ RU WKH 86 VSUHDG WKDW KDV WKH PRVW SUHGLFWLYH SRZHU 

:H VKRZ WKDW LQ PRVW FRXQWULHV WKH UHFHVVLRQ FRXOG KDYH EHHQ DFFXUDWHO\ SUHGLFWHG 

IDU LQ DGYDQFH $GGLWLRQDOO\ WKHUH LV HYLGHQFH WKDW FHQWUDO EDQN LQGHSHQGHQFH LV UHODWHG WR 

WKH LQIRUPDWLRQDO FRQWHQW RI WKH GRPHVWLF VSUHDG 

‘\YLQG (LWUKHLP 

1RUJHV %DQN 7KH &HQWUDO %DQN RI 1RUZD\ 

7(67,1* 7+( 52/( 2) 021(< ,1 7+( ,1)/$7,21 352&(66 

.H\ZRUGV HQFRPSDVVLQJ HTXLOLEULXP FRUUHFWLRQ IRUHFDVW HQFRPSDVVLQJ ,PSHUIHFW 

&RPSHWLWLRQ PRGHO ,QIODWLRQ PRQH\ GHPDQG 1HZ .H\QHVLDQ 3KLOOLSV &XUYH PRGHO DQG 3 

6WDU PRGHO 

-(/ &ODVVLILFDWLRQ & & & ( ( DQG ( 

7KLV SDSHU DGGUHVVHV WKH UROH RI PRQH\ LQ WKH LQIODWLRQ SURFHVV LQ SDUWLFXODU WKH 

UHODWLRQVKLS 

EHWZHHQ LQIODWLRQ DQG PRQHWDU\ DJJUHJDWHV :H FRPSDUH LQIODWLRQ PRGHOV ZLWK GLUHFW 

HIIHFWV 

IURP PRQHWDU\ PHDVXUHV OLNH H J PRQH\ JURZWK H[FHVV PRQH\ RU WKH UHDO PRQH\ JDS 

ZLWK LQIODWLRQ PRGHOV 

ZLWKRXW VXFK HIIHFWV :H GLVFXVV WKH VWDELOLW\ RI PRQH\ GHPDQG UHODWLRQVKLSV IRU 1RUZD\ 

DQG WKH (XUR DUHD 

LQ OLJKW RI QRQ LQYHUWLELOLW\ FULWHULD 'LIIHUHQW PRQHWDU\ PRGHOV RI LQIODWLRQ DUH FRPSDUHG ZLWK 

RWKHU 

HPSLULFDO PRGHOV RI LQIODWLRQ HVWLPDWHG RQ 1RUZHJLDQ GDWD IURP WR VXFK DV WKH 

,PSHUIHFW &RPSHWLWLRQ 

0RGHO ,&0 DQG 1HZ .H\QHVLDQ 3KLOOLSV &XUYHV 13& 0RGHO FRPSDULVRQ LV EDVHG RQ 

WHVWV IRU HQFRPSDVVLQJ 

DQG IRUHFDVW HQFRPSDVVLQJ 7KH UHVXOWV LQGLFDWH WKDW PRQHWDU\ PHDVXUHV GR QRW SOD\ D 

VLJQLILFDQW UROH DV 

SUHGLFWRUV RI IXWXUH LQIODWLRQ DQG WKH ,&0 PRGHO VHHPV RYHUDOO WR SHUIRUP EHWWHU WKDQ LWV 

ULYDOV 

5LFKDUG )ULEHUJ 

6WRFNKROP VFKRRO RI HFRQRPLFV 

&R $XWKRUV 0 $SHO DQG . +DOOVWHQ 

0,&52 )281'$7,216 2) 0$&52(&2120,& 35,&( $'-8670(17

6859(< (9,'(1&( )520 6:(',6+ ),506 

.H\ZRUGV 1RPLQDO ULJLGLW\ 3ULFH ULJLGLW\ 3ULFH VHWWLQJ 5HDO ULJLGLW\ 7LPH GHSHQGHQW 

SULFLQJ 6WDWH GHSHQGHQW SULFLQJ 

-(/ &ODVVLILFDWLRQ ' ( DQG / 

7KLV SDSHU UHSRUWV WKH UHVXOWV IURP D VXUYH\ RQ SULFH VHWWLQJ EHKDYLRU RI D ODUJH UDQGRP 

VDPSOH RI 6ZHGLVK ILUPV 7KH PHGLDQ ILUP DGMXVWV WKH SULFH RQFH D \HDU 6WDWH GHSHQGHQW 

DQG WLPH GHSHQGHQW SULFH VHWWLQJ DUH DERXW HTXDOO\ LPSRUWDQW 7KH SDSHU VXPV XS WKH 

HYLGHQFH IURP WKLV DQG WZR VLPLODU ODUJH VFDOH VXUYH\V RQ 8. DQG 86 GDWD 7KH IRXU 

KLJKHVW UDQNHG H[SODQDWLRQV IRU SULFH ULJLGLW\ LQ WKLV VWXG\ LPSOLFLW FRQWUDFWV VOXJJLVK 

FRVWV H[SOLFLW FRQWUDFWV DQG NLQNHG GHPDQG FXUYH KDYH FORVH FRUUHVSRQGHQWV DPRQJ WKH 

WRS ILYH SODFHV LQ ERWK WKH RWKHU VWXGLHV DV ZHOO 7KH UHVXOWV SRLQW WR WKH LPSRUWDQFH RI 

ORQJ WHUP UHODWLRQV WR FXVWRPHUV DV D EDVLV IRU ULJLG SULFHV WKH HVWLPDWHG VKDUH RI VDOHV 

WKDW JR WR UHJXODU FXVWRPHUV LV PRUH WKDQ SHUFHQW 

&203(7,7,21 32/,&< 

&DWHJRU\ (($ 

&KDLUSHUVRQ 0 6FKLQNHO 

6RQLD )DOFRQLHUL 


&R $XWKRUV ) 3DORPLQR DQG - 6DNRYLFV 

&2//(&7,9( 96 ,1',9,'8$/ 6$/( 2) 79 5,*7+6 ,1 /($*8( 

632576 

$XJ 

.H\ZRUGV EURDGFDVWLQJ ULJKWV FRPSHWLWLYH EDODQFH UHYHQXH VKDULQJ DQG WDOHQW 


5RRP ' 

,Q PDQ\ FRXQWULHV WKH FROOHFWLYH VDOH RI 79 ULJKWV E\ VSRUWV OHDJXHV KDV EHHQ FKDOOHQJHG 

E\ WKH DQWLWUXVW DXWKRULWLHV ,Q VHYHUDO FDVHV KRZHYHU OHDJXHV ZRQ LQ FRXUW RQ WKH JURXQG 

WKDW VSRUW FDQQRW EH FRQVLGHUHG D VWDQGDUG JRRG ,Q WKLV SDSHU ZH LQYHVWLJDWH WKH 

FRQGLWLRQV XQGHU ZKLFK WKH VDOH RI 79 ULJKWV FROOHFWLYHO\ E\ VSRUWV OHDJXHV UDWKHU WKDQ 

LQGLYLGXDOO\ E\ WHDPV LV SUHIHUUHG IURP D VRFLDO ZHOIDUH YLHZSRLQW :H ILQG WKDW FROOHFWLYH 

VDOH LV VRFLDOO\ SUHIHUDEOH ZKHQ OHDJXHV DUH VPDOO UHODWLYHO\ KRPRJHQHRXV LQ WHUPV RI 

FORXW DQG ZKHUH WHDPV JHW OLWWOH SHUIRUPDQFH UHODWHG UHYHQXHV 

)UpGpULF /RVV 

7RXORXVH %XVLQHVV 6FKRRO 

&R $XWKRUV ) %HUJqV 6HQQRX ( 0DODYROWL *ULPDO DQG 7 9HUJp 

7+( 02'(51,6$7,21 2) (8523($1 &203(7,7,21 32/,&< 

81'(567$1',1* 7+( 6+,)7 )520 (; $17( 72 (; 3267 $8',7 

.H\ZRUGV FRPSHWLWLRQ SROLF\ DQG LPSHUIHFW DXGLW 

-(/ &ODVVLILFDWLRQ ' DQG /

7KH (XURSHDQ &RPPLVVLRQ UHFHQWO\ GHFLGHG WR UHSODFH WKH FXUUHQW QRWLILFDWLRQ V\VWHP RI 

DJUHHPHQWV EHWZHHQ ILUPV E\ DQ H[ SRVW FRQWURO 7KLV SDSHU SURYLGHV D WKHRUHWLFDO 

MXVWLILFDWLRQ IRU WKLV VKLIW EDVHG RQ WKH FRPSHWLWLRQ DXWKRULW\ DFFXUDF\ RI MXGJHPHQW :H 

VKRZ WKDW DQ H[ SRVW PRQLWRULQJ GRPLQDWHV ZKHQ WKH FRPSHWLWLRQ DXWKRULW\ TXDOLW\ RI 

HYDOXDWLRQ LV KLJK HQRXJK :H DOVR LQYHVWLJDWH WKH WZR RWKHU H[LVWLQJ OHJDO V\VWHPV L H 

%ORFN ([HPSWLRQ DQG %ODFN /LVW DQG VKRZ WKDW WKH\ VKRXOG EH SUHIHUUHG ZKHQ WKH 

FRPSHWLWLRQ DXWKRULW\ EHOLHYHV WKDW DJUHHPHQWV DUH UHVSHFWLYHO\ YHU\ EHQHILFLDO RU YHU\ 

KDUPIXO WR WKH VRFLHW\ 

0DDUWHQ 3LHWHU 6FKLQNHO 

8QLYHUVLWHLW 0DDVWULFKW 

&R $XWKRUV - 7XLQVWUD 

,03(5)(&7 $17,75867 (1)25&(0(17 

.H\ZRUGV $QWLWUXVW (QIRUFHPHQW &RPSHWLWLRQ 3ROLF\ DQG ,PSHUIHFW ,QIRUPDWLRQ 


$QWLWUXVW DXWKRULWLHV VHHNLQJ WR EDWWOH DQWLFRPSHWLWLYH EHKDYLRU LQ FRPSOH[ FDVHV WR WKH 

EHVW RI WKHLU DELOLWLHV RIWHQ ILQG WKHPVHOYHV DGYLVHG E\ ULYDO HFRQRPLF WKHRULHV DQG 

HPSLULFDO DQDO\VHV $V D FRQVHTXHQFH WKHUH LV D UHDO SRVVLELOLW\ WKDW DXWKRULWLHV PD\ 

RFFDVLRQDOO\ HUU PLVVLQJ WUXH YLRODWLRQV RI FRPSHWLWLRQ ODZ RU ILQGLQJ ILUPV OLDEOH WKDW KDYH 

LQGHHG GRQH QRWKLQJ EXW JRRG FRPSHWLWLRQ ,Q WKLV SDSHU VRPH FRQVHTXHQFHV RI VXFK 

LPSHUIHFW DQWLWUXVW HQIRUFHPHQW RQ ILUPV VWUDWHJLHV DUH FRQVLGHUHG ,W LV IRXQG WKDW WKH 

LQFLGHQFH RI DQWL FRPSHWLWLYH EHKDYLRU LQFUHDVHV LQ WKH HQIRUFHPHQW HUURU 7KLV LV GXH WR D 

GHFUHDVH LQ H[SHFWHG ILQHV EXW SDUWLFXODUO\ WR LQGXVWULHV FROOXGLQJ SUHFDXWLRQDU\ ZKHQ WKH\ 

IDFH WKH ULVN RI IDOVH DOOHJDWLRQV 0RUHRYHU WKH ODUJHU WKH HQIRUFHPHQW HUURU WKH PRUH 

OLNHO\ LW LV WKDW DXWKRULWLHV DUH RYHU ]HDORXV PHDQLQJ WKDW ZHOIDUH LV EHWWHU VHUYHG E\ DQ 

DQWLWUXVW DXWKRULW\ WKDW LV OHQLHQW 

),1$1&,$/ 0$5.(76 (03,5,&$/ 

(9,'(1&( ,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ - *UDPPLJ 

LV WKDW WKH VPDOOHU FDOHQGDU GD\ HIIHFWV RQ WKH RYHUQLJKW (XURGROODU UDWH DUH PDLQO\ GXH WR 

PDUNHW GLIIHUHQFHV EHWZHHQ WKH )HG IXQGV PDUNHW DQG WKH RYHUQLJKW (XURGROODU PDUNHW 

(YHQ LI WKH RYHUQLJKW (XURGROODU UDWH LV DIIHFWHG E\ )HGHUDO 5HVHUYH UHJXODWLRQV DQG 8 6 

UHVHUYH DFFRXQWLQJ FRQYHQWLRQV WKH RYHUQLJKW (XURGROODU PDUNHW LV QRW SHUIHFWO\ LQWHJUDWHG 

ZLWK WKH )HG IXQGV PDUNHW 

0DUFHO )UDW]VFKHU 


&R $XWKRUV 0 (KUPDQQ 

,17(5'(3(1'(1&( %(7:((1 7+( (852 $5($ $1' 7+( 81,7(' 

67$7(6 :+$7 52/( )25 (08" 

.H\ZRUGV DQQRXQFHPHQWV HXUR DUHD LQWHUGHSHQGHQFH PRQHWDU\ SROLF\ PRQH\ 

PDUNHWV QHZV UHDO WLPH GDWD DQG 8QLWHG 6WDWHV 

-(/ &ODVVLILFDWLRQ ( ( DQG ) 

7KLV SDSHU LQYHVWLJDWHV ZKHWKHU WKH GHJUHH DQG QDWXUH RI HFRQRPLF DQG PRQHWDU\ SROLF\ 

LQWHUGHSHQGHQFH EHWZHHQ WKH 8QLWHG 6WDWHV DQG WKH HXUR DUHD KDYH FKDQJHG ZLWK WKH 

DGYHQW RI (08 8VLQJ UHDO WLPH GDWD LW DGGUHVVHV WKLV LVVXH IURP WKH SHUVSHFWLYH RI 

ILQDQFLDO PDUNHWV E\ DQDO\VLQJ WKH HIIHFWV RI PRQHWDU\ SROLF\ DQQRXQFHPHQWV DQG 

PDFURHFRQRPLF QHZV RQ GDLO\ LQWHUHVW UDWHV LQ WKH 8QLWHG 6WDWHV DQG WKH HXUR DUHD 7KH 

SDSHU ILQGV WKDW WKH LQWHUGHSHQGHQFH RI PRQH\ PDUNHWV KDV VWHDGLO\ LQFUHDVHG RYHU WLPH 

ZLWK WKH VSLOORYHU HIIHFWV IURP WKH 8QLWHG 6WDWHV WR WKH HXUR DUHD EHLQJ VRPHZKDW VWURQJHU 

WKDQ LQ WKH RSSRVLWH GLUHFWLRQ 0RUHRYHU IRU WKH HDUO\ VWDJHV RI (08 ZH ILQG HYLGHQFH 

WKDW WKH PDUNHWV ZHUH JRLQJ WKURXJK D OHDUQLQJ SURFHVV DERXW WKH (&% PRQHWDU\ SROLF\ 

-RDFKLP *UDPPLJ 


&R $XWKRUV 3 *LRW 

+2: /$5*( ,6 /,48,',7< 5,6. ,1 $1 $8720$7(' $8&7,21 

0$5.(7" 

.H\ZRUGV $XWRPDWHG DXFWLRQ /LTXLGLW\ ULVN 2UGHU ERRN 9DOXH DW 5LVN DQG ;(75$ 

-(/ &ODVVLILFDWLRQ & & * * DQG * 

:H LQWURGXFH D QHZ HPSLULFDO PHWKRGRORJ\ WKDW WDNHV DFFRXQW RI OLTXLGLW\ ULVN LQ D 9DOXH 

DW 5LVN IUDPHZRUN DQG TXDQWLI\ OLTXLGLW\ ULVN SUHPLXPV IRU SRUWIROLRV DQG LQGLYLGXDO VWRFNV 

WUDGHG RQ WKH DXWRPDWHG DXFWLRQ PDUNHW ;HWUD ZKLFK RSHUDWHV DW YDULRXV (XURSHDQ 

H[FKDQJHV :KHQ FRQVWUXFWLQJ OLTXLGLW\ ULVN PHDVXUHV ZH DOORZ IRU WKH SRWHQWLDO SULFH 

LPSDFW LQFXUUHG E\ WKH OLTXLGDWLRQ RI D SRUWIROLR :H VWXG\ WKH VHQVLWLYLW\ RI OLTXLGLW\ ULVN 

WRZDUGV SRUWIROLR VL]H DQG 9D5 WLPH KRUL]RQ DQG LQWHUSUHW LWV GLXUQDO YDULDWLRQ LQ WKH OLJKW RI 

PDUNHW PLFURVWUXFWXUH WKHRU\ 

,17(51$7,21$/ 75$'( (03,5,&$/ 

(9,'(1&( ,,, 

$XJ 

5RRP %

(9,'(1&( ,,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ $ 'UHKHU 

0DJGDOHQD 3RODQ 

.8 /HXYHQ 

&R $XWKRUV 3 '( *5$8:( 

*/2%$/,6$7,21 $1' 62&,$/ 63(1',1* 

.H\ZRUGV HFRQRPLF LQWHJUDWLRQ JOREDOLVDWLRQ LQWHUQDWLRQDO WUDGH DQG WHUPV RI WUDGH 

YDULDELOLW\ 


:H SURYLGH HYLGHQFH LQGLFDWLQJ WKDW FRXQWULHV ZLWK ZHOO GHYHORSHG VRFLDO VHFXULW\ V\VWHPV 

GRQ W QHFHVVDULO\ IDFH WUDGH RII EHWZHHQ VRFLDO VSHQGLQJ DQG FRPSHWLWLYHQHVV &RXQWULHV 

WKDW VSHQG D ORW RQ VRFLDO QHHGV VFRUH ZHOO LQ FRPSHWLWLYHQHVV OHDJXH :H LQYHVWLJDWH WKH 

LPSRUWDQFH RI UHYHUVH FDXVDOLW\ IURP FRPSHWLWLYHQHVV WR VRFLDO VSHQGLQJ DQG ILQG WKDW LW LV 

ZHDN :H DOVR SUHVHQW SRVVLEOH H[SODQDWLRQV IRU RXU HPSLULFDO ILQGLQJ )LQDOO\ ZH LQWHUSUHW 

RXU ILQGLQJV LQ WKH IUDPHZRUN RI D WKHRUHWLFDO PRGHO LQ ZKLFK WHUPV RI WUDGH ULVN DIIHFWV WKH 

VL]H RI VRFLDO VHFWRU DQG LQ ZKLFK VRFLDO VSHQGLQJ DIIHFWV WKH SURGXFWLRQ IXQFWLRQ RI WKH 

SULYDWH VHFWRU 

)UDQF .ODDVVHQ 


&R $XWKRUV 0 %XQ 

+$6 7+( (852 ,1&5($6(' 75$'(" 

.H\ZRUGV FXUUHQF\ XQLRQ G\QDPLF SDQHO GDWD PRGHO (08 H[SRUWV DQG LPSHUIHFW 

VXEVWLWXWHV PRGHO 


$ PDMRU HFRQRPLF UHDVRQ IRU WKH LQWURGXFWLRQ RI WKH HXUR ZDV LWV VXSSRVHGO\ SRVLWLYH HIIHFW 

RQ LQWUD (08 WUDGH ([LVWLQJ VWXGLHV H[DPLQH WKLV VXVSLFLRQ LQGLUHFWO\ XVLQJ QRQ (08 GDWD 

DQG UHSRUW DPELJXRXV UHVXOWV :H HVWLPDWH WKH HXUR HIIHFW GLUHFWO\ IURP GDWD WKDW LQFOXGH 

(08 REVHUYDWLRQV 

8VLQJ D G\QDPLF SDQHO PRGHO IRU DQQXDO ELODWHUDO H[SRUWV ZH ILQG WKDW WKH HXUR KDV 

VLJQLILFDQWO\ LQFUHDVHG WUDGH ZLWK DQ HIIHFW RI LQ WKH ILUVW \HDU 

DQG FXPXODWLQJ WR DURXQG LQ WKH ORQJ UXQ 7KHVH HVWLPDWHV FDQ EH XVHIXO 

LQ WKH GHEDWHV RQ ZKHWKHU WR MRLQ WKH HXUR LQ FRXQWULHV VXFK DV WKH 8 . 

$.0 $]KDU 

*UDGXDWH 6FKRRO RI 0DQDJHPHQW 8QLYHUVLWL 3XWUD 0DOD\VLD 

&R $XWKRUV 5 (OOLRWW 

75$'( ,1'8&(' $'-8670(17 :,7+ 35,&( 6(77,1* $*(176

.H\ZRUGV DGMXVWPHQW FRVWV DQG LQWUD LQGXVWU\ WUDGH 


*OREDOLVDWLRQ DQG FORVHU UHJLRQDO LQWHJUDWLRQ KDV OHG WR VLJQLILFDQW LQFUHDVHV LQ WUDGH 

EHWZHHQ QDWLRQV WKDW LQ WXUQ LPSDFWV RQ H[LVWLQJ ORQJ VWDQGLQJ WUDGH SDUWQHUVKLSV $ 

FRQVHTXHQFH RI FKDQJLQJ WUDGH SDWWHUQV LV DQ LQFUHDVH LQ WKH SUHVVXUH IRU UHVRXUFHV WR 

UHDOORFDWH EHWZHHQ LQGXVWULHV DQG VHFWRUV 7KLV SDSHU SURYLGHV DQ LQWHJUDWHG DSSURDFK WR 

WKH DQDO\VLV RI WUDGH LQGXFHG DGMXVWPHQW WKDW FRPSOHPHQWV WKH H[LVWLQJ OLWHUDWXUH 

$GMXVWPHQW SUHVVXUHV DUH GRFXPHQWHG LQ DFFRUGDQFH ZLWK WKH WKHRUHWLFDO XQGHUSLQQLQJV RI 

WKH VPRRWK DGMXVWPHQW K\SRWKHVLV DQG VDWLVI\ D QXPEHU RI GHVLUDEOH FULWHULD PRQRWRQLFLW\ 

FRQVLVWHQF\ DQG FRXQWU\ VSHFLILFLW\ 7KH DSSOLFDELOLW\ RI RXU DSSURDFK LV H[DPLQHG XVLQJ 

8. PDQXIDFWXULQJ GDWD 

$[HO 'UHKHU 

0DQQKHLP 8QLYHUVLW\ 

'2(6 */2%$/,=$7,21 $))(&7 *52:7+" 

.H\ZRUGV *OREDOL]DWLRQ DQG *URZWK 

-(/ &ODVVLILFDWLRQ ) + DQG 2 

7KH SDSHU SUHVHQWV DQ LQGH[ RI JOREDOL]DWLRQ FRYHULQJ LWV WKUHH PDLQ GLPHQVLRQV 

HFRQRPLF 

LQWHJUDWLRQ VRFLDO LQWHJUDWLRQ DQG SROLWLFDO LQWHJUDWLRQ 8VLQJ SDQHO GDWD IRU FRXQWULHV 

LQ 

LW LV DQDO\]HG HPSLULFDOO\ ZKHWKHU WKH RYHUDOO LQGH[ RI JOREDOL]DWLRQ DV ZHOO DV 

VXE LQGH[HV FRQVWUXFWHG WR PHDVXUH WKH VLQJOH GLPHQVLRQV DIIHFW HFRQRPLF JURZWK 7KH 

UHVXOWV VKRZ WKDW JOREDOL]DWLRQ SURPRWHV JURZWK ± EXW QRW WR DQ H[WHQW QHFHVVDU\ WR UHGXFH 

SRYHUW\ RQ D ODUJH VFDOH 7KH GLPHQVLRQV PRVW UREXVWO\ UHODWHG ZLWK JURZWK UHIHU WR DFWXDO 

HFRQRPLF IORZV DQG UHVWULFWLRQV LQ GHYHORSHG FRXQWULHV $OWKRXJK OHVV UREXVWO\ LQIRUPDWLRQ 

IORZV DOVR SURPRWH JURZWK ZKHUHDV SROLWLFDO LQWHJUDWLRQ KDV QR HIIHFW 

/$%285 0$5.(7 352*5$06 

&DWHJRU\ (($ 

&KDLUSHUVRQ * *XPXV 

(YD 0|UN 

,QVWLWXWH IRU /DERXU 0DUNHW 3ROLF\ (YDOXDWLRQ 

$XJ 

7+( ,03$&7 2) $&7,9( /$%25 0$5.(7 352*5$06 21 

081,&,3$/ 6(59,&(6 

5RRP ) 

.H\ZRUGV DFWLYH ODERU PDUNHW SURJUDPV IDFWRU DQDO\VLV PHWKRGV DQG /RFDO SXEOLF 

VHUYLFHV 

-(/ &ODVVLILFDWLRQ & + DQG + 

-XVW OLNH DQ\ RWKHU HPSOR\HU WKH PXQLFLSDOLWLHV FDQ HQJDJH SDUWLFLSDQWV LQ DFWLYH ODERU 

PDUNHW SURJUDPV LQ WKHLU DFWLYLWLHV +RZ GRHV WKLV SRVVLELOLW\ DIIHFW WKH RXWSXW RI PXQLFLSDO 

VHUYLFHV" ,Q RUGHU WR DQVZHU WKLV TXHVWLRQ D PHDVXUH IRU RXWSXW RI ORFDOO\ SURYLGHG

VFKRROLQJ LV FUHDWHG XVLQJ IDFWRU DQDO\VLV PHWKRGV ,W WXUQV RXW WKDW WKLV PHDVXUH LV 

SUHIHUDEOH WR WKH WUDGLWLRQDOO\ XVHG YDULDEOH VSHQGLQJ 7KH UHVXOWV LQGLFDWH WKDW SDUWLFLSDQWV 

LQ DFWLYH ODERU PDUNHW SURJUDPV FRQWULEXWH WR SURGXFWLRQ DQG WKDW WKHVH FRQWULEXWLRQV DUH 

QRW QHXWUDOL]HG E\ GLVSODFHPHQW HIIHFWV 

'XQFDQ 0F9LFDU 

QRUWKHUQ LUHODQG HFRQRPLF UHVHDUFK FHQWUH 

&R $XWKRUV - 3RGLYLQVN\ 

81(03/2

3(5)250$1&( ,,, 

&DWHJRU\ (($ 

&KDLUSHUVRQ 7 :RUUDOO 

0DWWKLDV :HLVV 

8QLYHUVLWlW 0DQQKHLP 

68535,6,1* ())(&76 2) :25.,1* 7,0( 5('8&7,21 

.H\ZRUGV +RPH 3URGXFWLRQ 8QHPSOR\PHQW DQG :RUNLQJ 7LPH 5HGXFWLRQ 

-(/ &ODVVLILFDWLRQ ( - - DQG - 

7KLV SDSHU LQWURGXFHV D QRYHO DUJXPHQW WR WKH ROG GHEDWH RQ HPSOR\PHQW HIIHFWV RI 

ZRUNLQJ WLPH UHGXFWLRQ 

$ JHQHUDO UHGXFWLRQ LQ ZRUNLQJ KRXUV ZLWKRXW FRPSHQVDWRU\ ZDJH LQFUHDVHV KDV WZR GLUHFW 

HIIHFWV 3HRSOH KDYH ORZHU LQFRPH DQG PRUH OHLVXUH WLPH 7KLV KDV LPSOLFDWLRQV IRU WKH 

FRPSRVLWLRQ RI FRQVXPSWLRQ GHPDQG 3HRSOH VWDUW WR LQFUHDVH CCKRPH SURGXFWLRQ DQG 

GHPDQG OHVV VHUYLFHV JRRGV IURP WKH PDUNHW $V WKHVH DUH SURGXFHG PRVWO\ E\ XQVNLOOHG 

ZRUNHUV WKH GHPDQG IRU XQVNLOOHG ODERU IDOOV 

7KLV VKLIW LQ WKH UHODWLYH GHPDQG IRU XQVNLOOHG ODERU FDQ EH H[SHFWHG WR KDYH WKH VDPH 

DGYHUVH HPSOR\PHQW HIIHFWV DV VNLOO ELDVHG WHFKQLFDO FKDQJH 

-DQ YDQ 2XUV 


&R $XWKRUV - %RRQH 

&

PDUNHW SDUWLFLSDWLRQ LQ D OLIH F\FOH VHWWLQJ E\ XVLQJ WKH %ULWLVK +RXVHKROG 3DQHO 6WXG\ 

,W LV IRXQG WKDW PRUWJDJH FRPPLWPHQWV DV FDSWXUHG E\ WKH UDWLR EHWZHHQ PRQWKO\ 

PRUWJDJH SD\PHQW DQG KRXVHKROG LQFRPH H[FOXGLQJ IHPDOHV HDUQHG LQFRPH KDYH D 

SRVLWLYH HIIHFW RQ IHPDOH SDUWLFLSDWLRQ EXW \RXQJ FKLOGUHQ PD\ RIIVHW WKLV HIIHFW GHSHQGLQJ 

RQ WKH VWDJH RI WKH OLIH F\FOH LQ ZKLFK WKH\ HQWHU 

7KH SRWHQWLDO HQGRJHQHLW\ RI PRUWJDJH FRPPLWPHQWV LQ ODERXU VXSSO\ GHFLVLRQV LV JRLQJ WR 

EH DQDO\VHG E\ XVLQJ KRXVH SULFH GDWD DW ORFDO DXWKRULW\ GLVWULFW OHYHO 

7LP :RUUDOO 

.HHOH 8QLYHUVLW\ 

&R $XWKRUV - 7KRPDV 

81(03/2

-(/ &ODVVLILFDWLRQ ) ) 2 2 DQG 2 

,Q D ZRUOG ZKHUH SRRU FRXQWULHV SURYLGH ZHDN SURWHFWLRQ IRU LQWHOOHFWXDO SURSHUW\ ULJKWV 

PDUNHW LQWHJUDWLRQ ZLOO V\VWHPDWLFDOO\ VKLIW WHFKQLFDO FKDQJH LQ IDYRU RI ULFK QDWLRQV )RU WKLV 

UHDVRQ IUHH WUDGH FDQ LQFUHDVH WKH LQWHUQDWLRQDO LQFRPH JDS $W WKH VDPH WLPH LQWHJUDWLRQ 

ZLWK FRXQWULHV ZKHUH LQWHOOHFWXDO SURSHUW\ ULJKWV DUH ZHDNO\ SURWHFWHG FDQ KDYH D ODUJH 

DGYHUVH HIIHFW RQ WKH ZRUOG JURZWK UDWH 7KHVH UHVXOWV SURYLGH D VWURQJ UDWLRQDOH IRU JOREDO 

UHJXODWLRQV FULWLFDO LQ D V\VWHP RI LQWHUGHSHQGHQW HFRQRPLHV IRU VXVWDLQLQJ LQQRYDWLRQ DQG 

UHGXFLQJ LQFRPH LQHTXDOLW\ 6XSSRUWLYH HPSLULFDO HYLGHQFH LV SUHVHQWHG 

5LFKDUG %OXQGHOO 


&R $XWKRUV 3 $JKLRQ 5 *ULIILWK DQG 3 +RZLWW 

&203(7,7,21 $1' ,1129$7,21 $1 ,19(57(' 8 5(/$7,216+,3 

.H\ZRUGV &RPSHWLWLRQ ,QQRYDWLRQ DQG 0DUNHW 6WUXFWXUH 


7KLV SDSHU LQYHVWLJDWHV WKH UHODWLRQVKLS EHWZHHQ SURGXFW PDUNHW FRPSHWLWLRQ 30& DQG 

LQQRYDWLRQ $ JURZWK PRGHO LV GHYHORSHG LQ ZKLFK FRPSHWLWLRQ PD\ LQFUHDVH WKH 

LQFUHPHQWDO SURILW IURP LQQRYDWLQJ RQ WKH RWKHU KDQG FRPSHWLWLRQ PD\ DOVR UHGXFH 

LQQRYDWLRQ LQFHQWLYHV IRU ODJJDUGV 7KHUH DUH IRXU NH\ SUHGLFWLRQV )LUVW WKH UHODWLRQVKLS 

EHWZHHQ SURGXFW PDUNHW FRPSHWLWLRQ 30& DQG LQQRYDWLRQ LV DQ LQYHUWHG 8 VKDSH 

6HFRQG WKH HTXLOLEULXP GHJUHH RI WHFKQRORJLFDO CQHFN DQG QHFNQHVV DPRQJ ILUPV VKRXOG 

GHFUHDVH ZLWK 30& 7KLUG WKH KLJKHU WKH DYHUDJH GHJUHH RI CQHFN DQG QHFNQHVV LQ DQ 

LQGXVWU\ WKH VWHHSHU WKH LQYHUWHG 8 UHODWLRQVKLS )RXUWK ILUPV PD\ LQQRYDWH PRUH LI 

VXEMHFW WR KLJKHU GHEW SUHVVXUH HVSHFLDOO\ DW ORZHU OHYHOV RI 30& :H FRQIURQW WKHVH 

SUHGLFWLRQV ZLWK GDWD RQ 8. ILUPV SDWHQWLQJ DFWLYLW\ DW WKH 86 SDWHQWLQJ RIILFH 7KH\ DUH 

IRXQG WR DFFRUG ZHOO ZLWK REVHUYHG EHKDYLRU 

1LVYDQ (UNDO 


7+( '(&,6,21 72 3$7(17 &808/$7,9( ,1129$7,21 $1' 

237,0$/ 32/,&< 

.H\ZRUGV DQWLWUXVW SROLF\ FXPXODWLYH LQQRYDWLRQ SDWHQW SROLF\ DQG SDWHQWLQJ GHFLVLRQ 


7KLV SDSHU DQDO\]HV RSWLPDO SROLF\ LQ WKH FRQWH[W RI FXPXODWLYH LQQRYDWLRQ LQ D PRGHO WKDW 

HQGRJHQL]HV WKH SDWHQWLQJ GHFLVLRQV RI HDUO\ LQQRYDWRUV &XPXODWLYH LQQRYDWLRQ LPSOLHV 

WKDW LQQRYDWRUV PD\ KDYH VLJQLILFDQW LQFHQWLYHV WR NHHS WKHLU LQQRYDWLRQV VHFUHW WR JHW D 

KHDG VWDUW LQ VXEVHTXHQW 5 ' UDFHV , VKRZ WKDW LI WKH JRYHUQPHQW KDV D ZHDN WUDGH 

VHFUHW SROLF\ RU LI LQQRYDWRUV FDQQRW PRQLWRU WKH IORZ RI WKHLU SURSULHWDU\ LQIRUPDWLRQ LW LV 

RSWLPDO WR KDYH UHODWLYHO\ QDUURZ SDWHQW SURWHFWLRQ 0RUHRYHU LI LQQRYDWRUV DOZD\V SUHIHU 

VHFUHF\ WR SDWHQWLQJ LW LV RSWLPDO WR KDYH D IOH[LEOH DQWLWUXVW SROLF\ UDWKHU WKDQ D IOH[LEOH 

SDWHQW SROLF\

5REHUW ,QNODDU 


,&7 $1' 352'8&7,9,7< ,1 (8523( $1' 7+( 81,7(' 67$7(6 

:+(5( '2 7+( ',))(5(1&(6 &20( )520" 

.H\ZRUGV (XURSH ,&7 3URGXFWLYLW\ JURZWK DQG 8QLWHG 6WDWHV 

-(/ &ODVVLILFDWLRQ ( DQG 2 

7KH VXUJH LQ ODERXU SURGXFWLYLW\ JURZWK LQ WKH 8QLWHG 6WDWHV LQ WKH ODWH V KDV 

SURPSWHG PXFK VSHFXODWLRQ DERXW WKH FDSDFLW\ RI ,&7 WR HQKDQFH JURZWK SRWHQWLDO 7KH 

VLPXOWDQHRXV VORZGRZQ LQ SURGXFWLYLW\ JURZWK LQ WKH (8 VXJJHVWV (XURSH LV IDOOLQJ EHKLQG 

7KLV SDSHU DQDO\]HV ODERXU SURGXFWLYLW\ JURZWK LQ LQGXVWULHV LQ (XURSH DQG WKH 8 6 

8VLQJ VKLIW VKDUH WHFKQLTXHV ZH LGHQWLI\ WKH LQGXVWULHV ZKHUH WKH 8 6 KDV JDLQHG D OHDG 

DQG WKH XQGHUO\LQJ UHDVRQV IRU WKLV 7KH UHVXOWV VKRZ WKDW WKH 8 6 KDV JURZQ IDVWHU WKDQ 

WKH (8 EHFDXVH RI D ODUJHU ,&7 SURGXFLQJ VHFWRU DQG IDVWHU JURZWK LQ VHUYLFHV LQGXVWULHV 

WKDW PDNH LQWHQVLYH XVH RI ,&7 /DJJLQJ JURZWK LQ (XURSH LV FRQFHQWUDWHG LQ ZKROHVDOH 

DQG UHWDLO WUDGH DQG WKH VHFXULWLHV LQGXVWU\ 

67$%,/,=$7,21 32/,&< 

&DWHJRU\ (($ 

&KDLUSHUVRQ 6 -RVWHQ 

5LFFDUGR 5RYHOOL 

8QLYHUVLWj GL %RORJQD 

&R $XWKRUV / /DPEHUWLQL 

$XJ 

5RRP ' 

021(7$5< $1' ),6&$/ 32/,&< &225',1$7,21 $1' 

0$&52(&2120,& 67$%,/,=$7,21 $ 7+(25(7,&$/ $1$/

&R $XWKRUV ' +HQGHUVRQ 

35,&( /(9(/ '(7(50,1$&< 7+( =(52 /2:(5 %281' 21 7+( 

,17(5(67 5$7( $1' 7+( /,48,',7< 75$3 

.H\ZRUGV /LTXLGLW\ 7UDS 0RQHWDU\ 3ROLF\ 3ULFH /HYHO ,QGHWHUPLQDF\ DQG =HUR /RZHU 

%RXQG 


:H LOOXVWUDWH DQG H[WHQG VRPH UHFHQW UHVXOWV UHJDUGLQJ SULFH OHYHO GHWHUPLQDF\ XVLQJ D 

IOH[LEOH SULFH PRGHO ZLWK SHUIHFW IRUHVLJKW :H FRQVLGHU PRQHWDU\ SROLF\ UXOHV ZLWK WDUJHW 

LQIODWLRQ UDWHV WKDW KDYH HLWKHU WKH LQWHUHVW UDWH RU PRQH\ VXSSO\ DV LQVWUXPHQWV 7KHUH LV 

DOZD\V D WDUJHW LQIODWLRQ HTXLOLEULXP 7( WKDW LV ORFDOO\ XQLTXH +RZHYHU WKHUH PD\ DOVR 

EH EHORZ WDUJHW HTXLOLEULD %7( SDWKV DORQJ ZKLFK WKH LQIODWLRQ UDWH LV DOZD\V EHORZ 

WDUJHW $ OLTXLGLW\ WUDS DV FRQYHQWLRQDOO\ GHILQHG LV QHLWKHU QHFHVVDU\ QRU VXIILFLHQW IRU 

%7( ZKLFK PD\ DOVR DULVH LI WKH PRQHWDU\ SROLF\ UXOH NHHSV WKH LQWHUHVW UDWH DERYH D ORZHU 

ERXQG 7KHUH H[LVW ILVFDO SROLFLHV WKDW FDQ SUHFOXGH %7( IRU DQ\ PRQHWDU\ SROLF\ EXW D 

EDODQFHG EXGJHW UXOH PD\ QRW EH VXIILFLHQW :H FRQVWUXFW PRQHWDU\ SROLF\ UXOHV WKDW 

SUHFOXGH %7( ZKHQ ILVFDO SROLF\ GRHV QRW 

)LQQ ‘VWUXS 

&RSHQKDJHQ %XVLQHVV 6FKRRO 

7+( /21* 7(50 ())(&76 2) 021(7$5< 5(*,0(6 21 ),6&$/ 

32/,&< $1' 352'8&7,21 

.H\ZRUGV 0RQHWDU\ UHJLPHV ILVFDO SROLF\ PRQHWDU\ QRQ QHXWUDOLW\ 


%DVHG RQ D PRGHO ZLWK LQWHUWHPSRUDO RSWLPLVDWLRQ DQG ORQJ WHUP SULFH DQG ZDJH IOH[LELOLW\ 

WKH DQDO\VLV VKRZV WKDW WKH FKRLFH RI PRQHWDU\ UHJLPH DIIHFWV WKH OHYHO RI SURGXFWLRQ DQG 

WKH KRXVHKROGV OLIH WLPH LQ WKH VWHDG\ VWDWH HTXLOLEULXP PDNLQJ WKH DVVXPSWLRQ WKDW WKH 

DXWKRULWLHV LQ WKH VKRUW WHUP GHWHUPLQH ILVFDO SROLF\ RQ WKH EDVLV RI QRPLQDO ZDJH 

FRQWUDFWV 

6WHIDQ 'LHWULFK -RVWHQ 

,QVWLWXWH RI 3XEOLF )LQDQFH 8QLYHUVLW\ RI WKH )HGHUDO $UPHG )RUFHV +DPEXUJ 

'

WR FDSLWDO UDWLR LV DFFRPSDQLHG E\ KLJKHU WD[HV D ULVH LQ XQHPSOR\PHQW DQG ORZHU 

HFRQRPLF JURZWK 

0$56+$// /(&785( 

&DWHJRU\ (($ 

&KDLUSHUVRQ 

'DURQ $FHPRJOX 

0DVVDFKXVHWWV ,QVWLWXWH RI 7HFKQRORJ\ 

&R $XWKRUV - 5RELQVRQ DQG 7 9HUGLHU 

./(372&5$&< $1' ',9,'( $1' 58/( 





$XJ

Book of Abstracts - Eea-esem.com

Create successful ePaper yourself

Delete template?

Save as template?