我國的信用卡市場在民國八十二年全面開放以來，發展至今不過10餘年，已成為全球成長最快速的信用卡市場之一。但近年來也隨著信用卡業務已有相當顯著的成長，然而信用卡不僅只是一種支付工具，也屬於免擔保的信用融資，對發卡銀行而言，風險很高。故本文對於銀行要如何快速且正確的掌握客戶信用與還款能力，以防範呆帳發生，也變得日趨重要。 故本文利用Binary Quantile Regression可用於探討解釋變數對於被解釋變數在給定「特定分位數之下的邊際效果」，提供不同分位數的估計結果，可用於觀察被解釋變數的整個分配狀況。在實證上，二元分量迴歸模型不只可用來解釋平均的狀況，更常用來觀察分配尾端的情況。在以ROC與CAP的信用風險模型來驗證其Binary Quantile Regression的效力。

特徵價格模型是傳統常被使用於不動產大量估價的模型，由於模型將造成所有價位的不動產其特徵都具有同樣的邊際價格而無法解釋現實不動產特徵的各種可能狀況，故引發本研究利用分量迴歸建立大量估價模型之動機。研究利用台灣不動產成交行情公報的資料進行台北市大廈的實證分析，針對特徵價格法的延伸與估價準確度做檢視。嘗試應用分量迴歸建立大量估價模型，討論住宅特徵對於價格的邊際影響力於不同價位的住宅是否存在差異，並討論分量迴歸模型的估價精確度。研究採用交互驗證法與重複實驗30次討論模型的估計效果，並利用平均絕對百分比誤差（MAPE）以及命中率（Hit Rate）做為模型預測優劣程度的衡量標準，以討論分量迴歸模型是否可以較最小平方特徵價格模型有更為準確的估計表現。實證首先探討價格分量之下各住宅屬性對於價格的影響狀況，得到大部分住宅特徵對於價格的邊際影響力的確會因住宅價位的不同而有所差異。在估價準確度的部份，經測試得到利用分量迴歸建立大量估價模型的估價效果達研究的預期目標，且其估計表現優於最小平方特徵價格模型。 / 藉由分量迴歸模型，得到隨著住宅價位的增加，坪數與屋齡對於價格的影響力並非呈現一致的趨勢；坪數輪廓與屋齡輪廓出現轉折也為變數增加二次項變數的原因得到實證依據。重複實驗30次的整體表現，分量迴歸模型的MAPE較最小平方迴歸模型低了1.687％；誤差落在正負10％的Hit Rate較最小平方迴歸模型高了3.81％；誤差落在正負20％的Hit Rate較最小平方迴歸模型高了5.14％。30次的實證為分量迴歸模型的估價表現更優於最小平方迴歸模型得到較具說服力的結果。 / Hedonic pricing models are traditionally used for real estate automated valuation models. Because the conditional mean calculated by OLS does not give a complete description of the relationship between dependent variable and independent variables, which leads to the motive of this study. This study inspects the extension of hedonic pricing models and appraisal accuracy, and we attempt to apply quantile regression to real estate automated valuation models and discuss the difference of the marginal contribution in each individual characteristic under different price level. Our study adopts cross validation and repeats empirical process for 30 times, and we use MAPE and hit rate to evaluate accuracy and argue if quantile regression models have better estimation. The empirical results show that the marginal contribution of housing area and age changes with price level; the turning points of area curve and age curve show empirical evidence for including square variables. The entirety performance of repeated experiments points out that the MAPE of quantile regression model is 1.687% lower than OLS model; as error ranged between 10% to -10%, the hit rate of quantile regression model is 3.81% higher than OLS model; as error ranged between 20% to -20%, the hit rate of quantile regression model is 5.14% higher than OLS model. The 30 times experiment of quantile regression models shows a much more persuasive result than OLS models.

My dissertation consists of three essays in three different areas: international trade; agricultural markets; and nonparametric econometrics. The first and third essays are theoretical papers, while the second essay is empirical. In the first essay, I developed a political economy model of trade agreements where the set of policy instruments are endogenously determined, providing a rationale for countervailing duties (CVDs). Trade-related policy intervention is assumed to be largely shaped in response to rent seeking demand as is often shown empirically. Consequently, the uncertain circumstance during the lifetime of a trade agreement involves both economic and rent seeking conditions. The latter approximates the actual trade policy decisions more closely than the externality hypothesis and thus provides scope for empirical testing. The second essay tests whether normal mixture (NM) generalized autoregressive conditional heteroscedasticity (GARCH) models adequately capture the relevant properties of agricultural commodity prices. Volatility series were constructed for ten agricultural commodity weekly cash prices. NM-GARCH models allow for heterogeneous volatility dynamics among different market regimes. Both in-sample fit and out-of-sample forecasting tests confirm that the two-state NM-GARCH approach performs significantly better than the traditional normal GARCH model. For each commodity, it is found that an expected negative price change corresponds to a higher volatility persistence, while an expected positive price change arises in conjunction with a greater responsiveness of volatility. In the third essay, I propose an estimator for a nonparametric additive unconditional quantile regression model. Unconditional quantile regression is able to assess the possible different impacts of covariates on different unconditional quantiles of a response variable. The proposed estimator does not require d-dimensional nonparametric regression and therefore has no curse of dimensionality. In addition, the estimator has an oracle property in the sense that the asymptotic distribution of each additive component is the same as the case when all other components are known. Both numerical simulations and an empirical application suggest that the new estimator performs much better than alternatives. / the Canadian Agricultural Trade Policy and Competitiveness Research Network, the Structure and Performance of Agriculture and Agri-products Industry Network, and the Institute for the Advanced Study of Food and Agricultural Policy.

本文利用分量迴歸方法探討經濟成長和經濟波動間的關係，使用亞洲10個主要經濟體的實質GDP季資料來進行分析。從實證結果發現，大部分國家在大多數分量下產出波動對實質GDP成長率有正向影響，唯有在某些國家當經濟成長率低時產出波動對經濟成長會有負面影響。另外，進一步考慮了產出波動結構性改變因素之後，基本上仍然不會改變波動性對經濟成長率的影響，產出波動變數同樣在大多數國家的大部分分量對GDP成長率有顯著影響，其中高所得國家在高低分量皆為正相關；中低所得國家在低分量下為負相關，高分量下為正相關。此結果顯示，即使在同一個國家資料中，經濟波動的影響也會隨著經濟成長率的高低而有所不同；此外，因為不同國家有不同所得水準，所受到的正、反向影響也會不一樣。 / This thesis employs the quantile regression model to investigate the link between economic growth and its volatility, using quarterly real GDP data for ten main Asian economies. Our empirical results show that the output growth volatility positively affects real GDP growth rate at most quantiles for most nations. Only when some countries are at a period of low economic growth, does output volatility negatively affect economic growth. In addition, after considering possible structural breaks in the GDP growth volatility, the relation between volatility and output growth rate stays qualitatively the same. That is, the output volatility still has significant impact on real GDP growth rate at most quantiles for most nations. For high income countries, volatility and economic growth are positively correlated at higher and lower quantiles; while for low and middle income countries, these two factors are negatively correlated at lower quantiles, and positively correlated at higher quantiles. Our empirical evidence indicates that even in the same country, the impact of volatility varies according to the country’s economic growth rate. Besides, due to different income levels, the volatility impact on economic growth rate will differ in different countries.

The thesis has for objective to study new statistical methods to correct temperature predictionsthat may be implemented on the ensemble prediction system (EPS) of Meteo France so toimprove its use for the electric system management, at EDF France. The EPS of Meteo Francewe are working on contains 51 members (forecasts by time-step) and gives the temperaturepredictions for 14 days. The thesis contains three parts: in the first one we present the EPSand we implement two statistical methods improving the accuracy or the spread of the EPS andwe introduce criteria for comparing results. In the second part we introduce the extreme valuetheory and the mixture models we use to combine the model we build in the first part withmodels for fitting the distributions tails. In the third part we introduce the quantile regressionas another way of studying the tails of the distribution.

本研究主要是應用二元分量迴歸BQR（Binary Quantile Regression）模型的方法估計銀行對中小企業授信之信用評等，以期提早偵測出可能會有違約還款的企業，達到授信時的預警效果。信用評等目的為協助金融機構在貸放前更明確的瞭解企業的信用風險，並具以衡量是否核准貸款的重要依據。在過去的研究中最廣為應用的計量方法主要為有母數（parametric）區別迴歸模型，包括Logit Model和Probit Model等區別迴歸模型，這二種模型在正確的條件設定之下，模型的預測結果可以說相當的好，但若是估計資料的分配並未符合所設定的條件，或者是資料具有無法觀察到的異質變異（heteroskedastic），則估計結果會有顯著的偏誤。傳統區別模型的一般設定如下，假設發生違約的機率給定為： ，此處 表示實際上是否真的發生違約逾期還款的情形。 為了在估計時更能控制風險，最近許多有關信用評等的研究方法傾向使用半無母數（semiparametric）單一指數模型以及無母數（nonparametric）的估計方法，如類神經網路與歸納樹（classification trees）分析方法。 而本文主要是將半無母數的分量迴歸區別模型和過去以有母數為主的Probit及Logit區別迴歸模型做比較。Koenker和Bassett（1978）提出分量迴歸估計方法（Quantile Regression Methods），分量迴歸可以更完整的反應出共變異效果對被解釋變數的影響，除此之外，分量迴歸模式提供使用上較多的彈性，在估計時無需對母體的分配做假設，另外，和傳統的最小平方（OLS）估計法不同在於OLS給予估計參數的分量為50%，因此OLS估計出的迴歸線只有一條，因此分析解釋變數對被解釋變數的影響是平均效果；分量迴歸區別模型則給予估計參數不同百分比的分量，從而可在相同樣本下得到不同的分量迴歸線，觀察解釋變數對於被解釋變數影響程度的變化，因此藉由不同分量估計出不同的迴歸係數 ，可以更加瞭解整體分配的全貌。

A tese abordou questões relacionadas à economia da saúde, particularmente à visão econômica dos transplantes renais. Foi conduzida uma análise de custo-utilidade para verificar qual tratamento, transplante renal ou hemodiálise, possui menor razão de custo por anos de vida ajustados por qualidade. O resultado obtido corrobora as evidências internacionais, as quais indicam o transplante renal como estratégia mais custo-efetiva. No caso deste estudo, a razão de custo-utilidade para o transplante renal e hemodiálise foi de R$ 18.161,00/AVAQ e R$ 40.872,00/AVAQ, respectivamente. Apesar de o transplante renal ser uma estratégia dominante, a escassez de órgãos impede que essa estratégia seja amplamente utilizada, reduzindo, assim, os ganhos de eficiência na alocação dos recursos escassos. Nesse contexto, também foi alvo desta tese a questão da escassez de órgãos. Pelo levantamento feito, há tendência de aumento do desequilíbrio entre demanda e oferta de órgãos, visto que a primeira cresce rapidamente, enquanto a segunda mostra pequena tendência de crescimento. Assim, alternativas para contornar esse problema foram analisadas, especialmente as relacionadas a mudanças institucionais na lei de doação de órgãos. Entre elas, foi argüido que a lei de consentimento presumido seria a opção mais factível, por não ferir o pressuposto do altruísmo. Objetivando estimar quanto seria o eventual incremento na doação de órgãos por doador cadáver devido à lei de consentimento presumido, fez-se uso do ferramental da econometria da saúde, aplicando, para uma amostra de 34 países ao longo de cinco anos, o método de regressão quantílica para dados de painel. Os resultados obtidos nessa aplicação indicam que há benefício na adoção da lei de consentimento presumido, que tem um efeito positivo sobre a taxa de doação de órgãos, em torno de 21-26%, comparada à lei de consentimento informado. / The thesis broaches questions related to health economics, particularly the economic vision of renal transplants. A cost-utility analysis was conducted to assess which treatment, renal transplant or hemodialysis, has a lower cost rate per quality-adjusted life years. The result obtained corroborates the international evidence, which indicates renal transplant as the most cost effective strategy. In the case of this study, the cost-utility ratio for renal transplant and hemodialysis was US$ 11,157/QALY and US$ 25,110/QALY, respectively. In spite of renal transplant being the dominant strategy, the scarcity of organs hinders this strategy to be widely used, reducing in this way, the efficiency gain in the allocation of scarce resources. Within this context, the organ shortage was also a target issue of this thesis. Through the survey performed, there is a tendency towards the increase of unbalance between the demand and supply of organs, being that the first grows rapidly while the second shows small tendency towards growth. Within this context, the investigation target of this thesis was to look into possible alternatives to by-pass this problem, especially those related to institutional changes in the organ donation law. Among them, it was argued that the law of presumed consent would be the most feasible option, since it does not harm the presupposition of altruism. With the object of estimating what would be the eventual increase in organ donation, per cadaveric donor, due to the law of presumed consent, the health econometric tool of quantile regression method for panel data was used, applied to a sample of 34 countries during a five-year period. The results obtained in this application indicate that there is benefit in adopting the law of presumed consent, which has a positive effect on the organ donation rate, around 21 – 26%, compared to the law of informed consent.

Made available in DSpace on 2008-05-13T13:17:11Z (GMT). No. of bitstreams: 0 Previous issue date: 2006-06-12 / This Thesis is the result of my Master Degree studies at the Graduate School of Economics, Getúlio Vargas Foundation, from January 2004 to August 2006. am indebted to my Thesis Advisor, Professor Luiz Renato Lima, who introduced me to the Econometrics' world. In this Thesis, we study time-varying quantile process and we develop two applications, which are presented here as Part and Part II. Each of these parts was transformed in paper. Both papers were submitted. Part shows that asymmetric persistence induces ARCH effects, but the LMARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence of ARCH errors. These results suggest that the LM-ARCH and the Koenker-Xiao tests may be used in applied research as complementary tools. In the Part II, we compare four different Value-at-Risk (VaR) methodologies through Monte Cario experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that require distributional assumption. In particular, we show that the non-robust method ologies have higher probability to predict VaRs with too many violations. We illustrate our findings with an empirical exercise in which we estimate VaR for returns of São Paulo stock exchange index, IBOVESPA, during periods of market turmoil. Our results indicate that the robust method based on quantile regression presents the least number of violations.

Submitted by Thiago Corrêa (thiago.strava.correa@gmail.com) on 2017-06-27T00:53:21Z No. of bitstreams: 1 Dissertacao Thiago Strava Correa.pdf: 2528557 bytes, checksum: 43d7258add4d6a8bd0ae8469e0948e7c (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2017-06-27T12:04:57Z (GMT) No. of bitstreams: 1 Dissertacao Thiago Strava Correa.pdf: 2528557 bytes, checksum: 43d7258add4d6a8bd0ae8469e0948e7c (MD5) / Made available in DSpace on 2017-06-27T12:56:20Z (GMT). No. of bitstreams: 1 Dissertacao Thiago Strava Correa.pdf: 2528557 bytes, checksum: 43d7258add4d6a8bd0ae8469e0948e7c (MD5) Previous issue date: 2017-05-29 / Esta dissertação propõe o uso de modelos de análise de estilo para a previsão da distribuição dos retornos de carteiras condicionais a cenários estressados de fatores de risco como uma alternativa aos tradicionais modelos de avaliação total. Dentre os seis modelos de análise de estilo cuja capacidade preditiva é testada, destacam-se os modelos quantílico composto e não-linear, que além de obterem os melhores resultados são ainda pouco explorados pela literatura de gestão de risco. / This dissertation suggests the use of style analysis models for the forecasting of portfolio returns’ distribution conditional to stressed scenarios of risk factors. Among the six style analysis models which had their forecasting capacity tested, the composite quantile and the non-linear quantile models stand out by their quality and lack of documentation in the risk management literature.

A tese abordou questões relacionadas à economia da saúde, particularmente à visão econômica dos transplantes renais. Foi conduzida uma análise de custo-utilidade para verificar qual tratamento, transplante renal ou hemodiálise, possui menor razão de custo por anos de vida ajustados por qualidade. O resultado obtido corrobora as evidências internacionais, as quais indicam o transplante renal como estratégia mais custo-efetiva. No caso deste estudo, a razão de custo-utilidade para o transplante renal e hemodiálise foi de R$ 18.161,00/AVAQ e R$ 40.872,00/AVAQ, respectivamente. Apesar de o transplante renal ser uma estratégia dominante, a escassez de órgãos impede que essa estratégia seja amplamente utilizada, reduzindo, assim, os ganhos de eficiência na alocação dos recursos escassos. Nesse contexto, também foi alvo desta tese a questão da escassez de órgãos. Pelo levantamento feito, há tendência de aumento do desequilíbrio entre demanda e oferta de órgãos, visto que a primeira cresce rapidamente, enquanto a segunda mostra pequena tendência de crescimento. Assim, alternativas para contornar esse problema foram analisadas, especialmente as relacionadas a mudanças institucionais na lei de doação de órgãos. Entre elas, foi argüido que a lei de consentimento presumido seria a opção mais factível, por não ferir o pressuposto do altruísmo. Objetivando estimar quanto seria o eventual incremento na doação de órgãos por doador cadáver devido à lei de consentimento presumido, fez-se uso do ferramental da econometria da saúde, aplicando, para uma amostra de 34 países ao longo de cinco anos, o método de regressão quantílica para dados de painel. Os resultados obtidos nessa aplicação indicam que há benefício na adoção da lei de consentimento presumido, que tem um efeito positivo sobre a taxa de doação de órgãos, em torno de 21-26%, comparada à lei de consentimento informado. / The thesis broaches questions related to health economics, particularly the economic vision of renal transplants. A cost-utility analysis was conducted to assess which treatment, renal transplant or hemodialysis, has a lower cost rate per quality-adjusted life years. The result obtained corroborates the international evidence, which indicates renal transplant as the most cost effective strategy. In the case of this study, the cost-utility ratio for renal transplant and hemodialysis was US$ 11,157/QALY and US$ 25,110/QALY, respectively. In spite of renal transplant being the dominant strategy, the scarcity of organs hinders this strategy to be widely used, reducing in this way, the efficiency gain in the allocation of scarce resources. Within this context, the organ shortage was also a target issue of this thesis. Through the survey performed, there is a tendency towards the increase of unbalance between the demand and supply of organs, being that the first grows rapidly while the second shows small tendency towards growth. Within this context, the investigation target of this thesis was to look into possible alternatives to by-pass this problem, especially those related to institutional changes in the organ donation law. Among them, it was argued that the law of presumed consent would be the most feasible option, since it does not harm the presupposition of altruism. With the object of estimating what would be the eventual increase in organ donation, per cadaveric donor, due to the law of presumed consent, the health econometric tool of quantile regression method for panel data was used, applied to a sample of 34 countries during a five-year period. The results obtained in this application indicate that there is benefit in adopting the law of presumed consent, which has a positive effect on the organ donation rate, around 21 – 26%, compared to the law of informed consent.