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Ssrn id167570

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  • 2. Mre Fkdudfwhulvwlfv dqg wkh Irup ri Frpshqvdwlrq4 Z1 Ehqwoh| PdfOhrg Ghsduwphqw ri Hfrqrplfv dqg Wkh Odz Vfkrro Xqlyhuvlw| ri Vrxwkhuq Fdoliruqld Orv Dqjhohv/ FD/ <33;<03586/ XVD Gdqlho Sduhqw Ghsduwphqw ri Hfrqrplfv PfJloo Xqlyhuvlw| Prqwuìdo/ TF K6D 5D8 FDQDGD Pd| 4<<< Iluvw yhuvlrq Qryhpehu 4<<: Iruwkfrplqj lq Uhvhdufk lq Oderu Hfrqrplfv 4 Vshfldo wkdqnv wr Gdylg Fdug/ Mdqhw Fxuulh/ Urehuw Jleerqv/ Kdqn Iduehu/ Dodq Nuxhjhu dqg Hgzdug Od}hdu iru khosixo frpphqwv dqg vxjjhvwlrqv1 Zh dovr wkdqn vhp0 lqdu sduwlflsdqwv dw Ehunhoh|/ XFOD/ XVF/ wkh Sulqfhwrq Oderu Oxqfk/ wkh Fklfdjr 4; Hfrqrphwulf Vrflhw| phhwlqjv/ dqg wkh Dphulfdq Frpshqvdwlrq Dvvrfldwlrq Uh0 vhdufk Frqihuhqfh1 Ehqwoh| PdfOhrg*v uhvhdufk lv vxssruwhg e| Qdwlrqdo Vflhqfh Irxq0 gdwlrq/ Judqw VEU0:3666/ zkloh Gdqlho Sduhqw*v uhvhdufk lv vxssruwhg e| Txìehf*v IFDU1
  • 3. Devwudfw Lq wklv sdshu zh lqwurgxfh d zd| wr v|vwhpdwlfdoo| rujdql}h wkh fkrlfh eh0 wzhhq glhuhqw irupv ri frpshqvdwlrq edvhg xsrq revhuydeoh mre fkdudfwhulvwlfv1 Vhfrqgo|/ zh h{soruh wkh ghwhuplqdqwv ri frpshqvdwlrq edvhg xsrq txhvwlrq0 qdluh uhvsrqvhv frqfhuqlqj mre fkdudfwhulvwlfv dqg phwkrgv ri sd| frqwdlqhg lq wkh Txdolw| ri Hpsor|phqw Vxuyh| +THV,/ wkh Qdwlrqdo Orqjlwxglqdo Vxuyh| ri rxwk +QOV,/ wkh Sdqho Vwxg| ri Lqfrph G|qdplfv +SVLG,/ dqg wkh Fxuuhqw Srsxodwlrq Vxuyh|1 Wkh pdlq frqfoxvlrq lv wkdw wkhuh lv qr vlqjoh prgho ri wkh hpsor|phqw uhodwlrqvkls wkdw fdq h{sodlq wkh yduldwlrq lq frpshqvdwlrq irup1 Zh gudz xsrq erwk djhqf| dqg lqfrpsohwh frqwudfw prghov wr vwxg| wkh lqwhu0 sod| ehwzhhq mre fkdudfwhulvwlfv dqg frpshqvdwlrq1 Vshflf uhvxowv lqfoxgh d, wkh qxpehu ri wdvnv vhhpv wr eh dvvrfldwhg zlwk wkh xvh ri lqfrpsohwh frqwudfwv e, Mrev zlwk kljk srzhu lqfhqwlyhv +slhfh ru frpplvvlrq udwhv, whqg wr eh dv0 vrfldwhg zlwk pruh zrunhu dxwrqrp| dqg ihzhu wdvnv shuiruphg wkdq krxuo| sdlg ru vdodu| mrev f, wljkw oderu pdunhw frqglwlrqv whqg wr eh dvvrfldwhg zlwk lqfuhdvhg xvh ri erqxvhv dqg surprwlrqv1
  • 4. 4 Lqwurgxfwlrq Hpsor|huv xvh d ydulhw| ri frpshqvdwlrq v|vwhpv wr prwlydwh zrunhuv/ lqfoxglqj slhfh udwhv/ erqxv sd|/ surw vkdulqj/ surprwlrq dqg ghod|hg frpshqvdwlrq14 Lq dgglwlrq wr wkhvh h{solflw uhzdug phfkdqlvpv/ {hg krxuo| ru zhhno| zdjhv xvxdoo| uhtxluh wkh zrunhu wr shuirup klv ru khu gxwlhv vdwlvidfwrulo| ru idfh glv0 plvvdo1 Wkh sxusrvh ri wklv sdshu lv wr surylgh dq ryhuylhz ri wkh glhuhqw irupv ri frpshqvdwlrq revhuyhg lq wkh XV/ dqg wr h{soruh vrph h{sodqdwlrqv iru wklv yduldwlrq edvhg xsrq wkh lqwhusod| ehwzhhq mre fkdudfwhulvwlfv dqg wkh lqflghqfh ri d sduwlfxodu irup ri frpshqvdwlrq1 Gdwd frqfhuqlqj mre fkdudfwhulvwlfv dqg phwkrgv ri sd| lv edvhg xsrq txhvwlrqqdluh uhvsrqvhv lq wkh Txdolw| ri Hpsor|0 phqw Vxuyh| +THV, dqg wkh Qdwlrqdo Orqjlwxglqdo Vxuyh| ri rxwk +QOV,1 Zh dovr xvh wkh Sdqho Vwxg| ri Lqfrph G|qdplfv +SVLG, dqg wkh Fxuuhqw Srs0 xodwlrq Vxuyh| +FSV, e| phujlqj wkhvh ohv zlwk wkh dyhudjh fkdudfwhulvwlfv e| rffxsdwlrq fdwhjrulhv frpsxwhg zlwk wkh THV gdwd1 Jlyhq wkh frpsoh{lw| dqg ydulhw| ri frpshqvdwlrq v|vwhpv/ wkhuh lv qr vlq0 joh wkhruhwlfdo prgho wkdw fdq h{sodlq doo wkh yduldwlrq lq wkh gdwd1 Udwkhu/ rxu hvwlpdwlrq vwudwhj| lv edvhg xsrq frpelqlqj wkh lqvljkwv iurp d qxpehu ri wkhruhwlfdo prghov1 Gudzlqj xsrq erwk djhqf| wkhru| +Urvv +4:6,/ Kropvwurp +4:,/ Kropvwurp dqg Plojurp +44/ 47, , dqg wkh olwhudwxuh edvhg xsrq wkh lqfrpsohwh frqwudfw prgho +Jurvvpdq dqg Kduw +4;9,/ Exoo +4;:, dqg PdfOhrg dqg Pdofrpvrq +4;,, zh prgho revhuyhg frpshqvdwlrq dv d klhudu0 fklfdo fkrlfh surfhvv wkdw shuplwv xv wr hvwlpdwh wkh lpsdfw ri mre fkdudfwhulvwlfv xsrq lqflghqfh ri d sduwlfxodu frqwudfw irup xvlqj d vhtxhqfh ri elqdu| fkrlfh prghov1 Xvlqj wklv dssurdfk zh qg wkdw pdq| ri wkh suhglfwlrqv ri wkh prghov duh frqvlvwhqw zlwk rxu uhvxowv ryhu wkh irxu gdwd vhwv1 Iluvw/ zh qg wkdw mrev xvlqj kljk srzhu lqfhqwlyhv/ hlwkhu slhfh ru frpplv0 vlrq udwh frqwudfwv/ duh dvvrfldwhg zlwk pruh dxwrqrp| rq wkh mre d uhvxow wkdw lv frqvlvwhqw zlwk wkh wkhru| ri Kropvwuùp dqg Plojurp +47,1 Vhfrqgo|/ zh qg wkdw vrph mre fkdudfwhulvwlfv dhfw wkh olnholkrrg ri slhfh udwh frqwudfwv glhuhqwo| iurp erqxv sd| ru frpplvvlrq frqwudfwv1 Wklv vxjjhvwv wkdw wkhvh irupv ri frpshqvdwlrq pd| kdyh glhuhqw hfrqrplf urohv/ dqg duh qrw vlpso| glhuhqw qdphv iru d vlplodu xqghuo|lqj sd| iru shuirupdqfh uhodwlrqvkls1 Lq sduwlfxodu pruh frpsoh{ mrev duh dvvrfldwhg zlwk lqfrpsohwh frpshqvdwlrq frq0 wudfwv dqg ohvv xvh ri slhfh udwhv/ d uhvxow wkdw lv frqvlvwhqw zlwk wkh hduolhu zrun ri Eurzq +43,1 Ilqdoo|/ wkhuh lv d vwurqj qhjdwlyh uhodwlrqvkls ehwzhhq wkh xvh ri glvfuhwlrqdu| erqxv sd| ru surprwlrq/ dqg wkh orfdo xqhpsor|phqw udwh1 Wklv uhvxow lv frqvlvwhqw zlwk rqh ri wkh lpsolfdwlrqv ri lqfrpsohwh frqwudfw wkhru|/ qdpho| wkh h!flhqw surylvlrq ri lqfhqwlyhv zkhq zrunhuv duh lq vkruw vxsso| hqwdlov wkh xvh ri erqxv sd| +PdfOhrg dqg Pdofrpvrq +4;,,1 4 Vhh Jleerqv +48, dqg Suhqghujdvw +4, iru uhylhzv ri wkh odujh erg| ri hylghqfh ghprqvwudwlqj wkdw zrunhuv gr lqghhg uhvsrqg wr lqfhqwlyhv1 4
  • 5. Wklv zrun glhuv iurp wkh suhylrxv/ udwkhu h{whqvlyh/ olwhudwxuh rq frpshq0 vdwlrq wkdw iru wkh prvw sduw h{soruhv wkh lpsdfw ri frpshqvdwlrq rq zrunhu vhohfwlrq dqg ehkdylru1 Iru h{dpsoh Shqfdyho +4::,/ Vhlohu +4;7, dqg Eurzq +43, qg wkdw slhfh udwh mrev whqg wr sd| kljkhu zdjhv1 Elvkrs +4;:/ 43, Elvkrs +43,vkrzv wkdw zdjh ohyhov dqg wkh wkuhdw ri glvplvvdo kdyh d srvlwlyh hhfw rq zrunhu surgxfwlylw|1 Od}hdu +49, qgv gluhfw hylghqfh wkdw slhfh udwhv lqfuhdvh surgxfwlylw|1 Ilqdoo|/ wkh odujh olwhudwxuh rq h{hfxwlyh frpshq0 vdwlrq/ lqfoxglqj Dqwoh dqg Vplwk +4;9,/ Mhqvhq dqg Pxusk| +43,/ Jleerqv dqg Pxusk| +45, dqg pdq| rwkhuv/ qg wkdw wkhuh lv d vwurqj uhodwlrqvkls eh0 wzhhq sd| dqg shuirupdqfh1 Lq wklv sdshu zh ehjlq wkh wdvn ri wdnlqj d eurdghu ylhz ri wkh glhuhqw srvvleoh irupv ri frpshqvdwlrq/ dqg dvn krz zh fdq glv0 fulplqdwh ehwzhhq wkh glhuhqw ghwhuplqdqwv ri sd| wkdw kdyh ehhq glvfxvvhg lq wkh olwhudwxuh1 Wkh rxwolqh ri wkh sdshu lv dv iroorzv1 Vhfwlrq 5 ghvfulehv wkh irxu gdwd vhwv wkdw zh dqdo|}h1 Zh ehjlq zlwk wkh Txdolw| ri Hpsor|phqw Vxuyh| +THV, +4:604:: sdqho,/ wkdw frqwdlqv zrunhu uhvsrqvhv frqfhuqlqj erwk mre fkdudf0 whulvwlfv dqg wkh irup ri frpshqvdwlrq1 Wkhuh zh qg d juhdw ghdo ri yduldwlrq lq erwk frpshqvdwlrq irupv dqg mre fkdudfwhulvwlfv1 Wr fkhfn xsrq wkh urexvwqhvv ri wkh uhvxowv zh dovr xvh wkh Qdwlrqdo Orqjlwxglqdo Vxuyh| ri rxwk +QOV,/ wkh Sdqho Vwxg| ri Lqfrph G|qdplfv +SVLG, dqg wkh Mdqxdu| 4:: Fxuuhqw Srsxodwlrq Vxuyh| +FSV,1 Erwk wkh THV dqg QOV gdwd vhwv frqwdlq txhvwlrqv derxw wkh zrun hqylurqphqw dqg wkh irup ri frpshqvdwlrq1 Lq wkh fdvh ri wkh THV/ wkh 4:: vxuyh| kdv txhvwlrqv derxw erwk wkh irup ri wkh frqwudfw dqg mre fkdudfwhulvwlfv zkloh lq wkh fdvh ri wkh QOV/ wkh mre dwwulexwh txhvwlrqv duh dvnhg lq glhuhqw |hduv iurp wkh sd| phwkrg txhvwlrqv1 Wr flufxpyhqw wklv odwwhu gl!fxow|/ zh fdofxodwh jurxs dyhudjhv +53 rffx0 sdwlrq fdwhjrulhv, ri wkh mre fkdudfwhulvwlfv dqg phujh wkhvh jurxs dyhudjhv wr wkh fruuhvsrqglqj fhoov lq wkh |hduv zkhuh zh gr kdyh txhvwlrqv derxw sd| phwkrgv1 Lq wkh fdvh ri wkh SVLG dqg wkh FSV/ zh xvh d vlplodu phujhu0e|0fhoo surfhgxuh xvlqj wkh jurxs dyhudjhv frpsxwhg zlwk wkh THV gdwd1 Jlyhq wkh jurxs0ohyho qdwxuh ri wkhvh yduldeohv/ zh duh fduhixo wr wdnh wkdw lqwr dffrxqw lq wkh hvwlpdwlrq surfhgxuhv1 Lq vhfwlrq 6 ri wkh sdshu zh xvh wkh wkhru| wr khos xv rujdql}h wkh dqdo|vlv ri wkh gdwd1 Rqh ri wkh gl!fxowlhv zlwk wkh frqwudfw olwhudwxuh lv wkdw wkhuh lv qr dffhswhg prgho ri frqwudfw irupdwlrq wkdw lv dssursuldwh iru doo vlwxd0 wlrqv1 Udwkhu hdfk prgho whqgv wr kljkoljkw d glhuhqw vhw ri idfwruv wkdw duh lpsruwdqw iru wkh ghwhuplqdwlrq ri frpshqvdwlrq1 Zh ghdo zlwk wklv sureohp e| rujdql}lqj wkh prghov lqwr zkdw zh fdoo d frpshqvdwlrq klhudufk|1 Wklv vwuxfwxuh lv xvhg wr rujdql}h rxu uhjuhvvlrqv lqwr d vhulhv ri txdolwdwlyh fkrlfh prghov wkdw fdq khos xv lghqwli| wkh lpsdfw ri glhuhqw mre fkdudfwhulvwlfv iru hdfk ri wkh frpshqvdwlrq wudgh0rv zh frqvlghu1 Ri frxuvh/ mre fkdudfwhulvwlfv duh wkhpvhoyhv sduwldoo| hqgrjhqrxv1 Rxu lpsolflw lghqwlfdwlrq vwudwhj| lv wkdw d mre fkdudfwhulvwlf/ olnh fdslwdo/ lv {hg lq wkh vkruw uxq/ zkloh frpshqvdwlrq srolflhv duh h{leoh1 Khqfh zh pd| ylhz frpshqvdwlrq srolflhv dv fkrvhq frqgl0 wlrqdo xsrq mre fkdudfwhulvwlfv/ zkloh dq| h{rjhqrxv yduldwlrq fdxvlqj fkdqjhv lq fkrvhq mre fkdudfwhulvwlfv zloo dovr lpso| yduldwlrq lq frpshqvdwlrq irup1 5
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