Random scaling factors in Bayesian distributional regression models with an application to real estate data

Distributional structured additive regression provides a flexible framework for modeling each parameter of a potentially complex response distribution in dependence of covariates. Structured additive predictors allow for an additive decomposition of covariate effects with nonlinear effects and time trends, unit- or cluster- specific heterogeneity, spatial heterogeneity and complex interactions between co- variates of different type. Within this framework, we present a simultaneous estimation approach for multiplicative random effects that allow for cluster-specific heterogeneity with respect to the scaling of a covariate's effect. More specifically, a possibly nonlinear function f (z) of a covariate z may be scaled by a multiplicative cluster-specific random effect (1 + ac). Inference is fully Bayesian and is based on highly efficient Markov Chain Monte Carlo (MCMC) algorithms. We investigate the statistical properties of our approach within extensive simulation experiments for different response distributions. Furthermore, we apply the methodology to German real estate data where we identify significant district- specific scaling factors. According to the deviance information criterion, the models incorporating these factors perform significantly better than standard models with- out random scaling factors

Greed: Taking a deadly sin to the lab

The term greed has become very popular in the public debate. It is regularly argued, for instance, that greed is one of the deep rooted reasons for the financial crisis, numerous incidents of fraud and growing inequalities in wealth. Despite its prominent role in the current debates, however, empirical research on greed is rather sparse. We argue that the major impediment for empirical studies is the difficulty to distinguish greed from selfishness. To overcome this methodological problem, we propose a modified version of the classic dictator game which allows us to unambiguously distinguish greed from other forms of self-centered behavior in an experimental environment. Building on the notion of greed as a selfish and excessive desire for more than is needed, we introduce an artificial point of material satiation. We find that greed is indeed observable under laboratory conditions and that it is even one of the predominant behavioral motives. We also find that feelings of entitlement significantly increase the frequency of greedy behavior. Further, our results indicate that feelings of social obligation have no impact on the proportion of greedy behavior

Cash inflow and trading horizon in asset markets

It is conjectured that one of the major ingredients of historic financial bubbles was the inflow of money in various forms. We run 36 laboratory asset markets and investigate the joint effect of cash inflow and trading horizon on price efficiency. We show that only markets with cash inflow and long trading horizon exhibit bubbles and crashes. We also observe that markets with extended trading horizon but without cash inflow and markets with shorter trading horizon do not trigger bubbles. Finally, we report that beliefs about prices and, importantly, about (constant) fundamentals follow bubble patterns as well

Estimation of spatially correlated random scaling factors based on Markov random field priors

Multiplicative random effects allow for cluster-specific scaling of covariate effects. In many applications with spatial clustering, however, the random effects additionally show some geographical pattern, which usually can not sufficiently be captured with existing estimation techniques. Relying on Markov random fields, we present a fully Bayesian inference procedure for spatially correlated scaling factors. The estimation is based on highly efficient Markov Chain Monte Carlo (MCMC) algorithms and is smoothly incorporated into the framework of distributional regression. We run a comprehensive simulation study for different response distributions to examine the statistical properties of our approach. We also compare our results to those of a general estimation procedure for independent random scaling factors. Furthermore, we apply the method to German real estate data and show that exploiting the spatial correlation of the scaling factors further improves the performance of the model

The inflow-effect: Trader inflow and bubble formation in asset markets

We investigate the impact of trader and cash inflow on bubble formation in asset markets with a novel design featuring heterogeneous information and a constant fundamental value. Implementing seven treatments we find that (i) only the joint inflow of traders and cash triggers bubbles ("inflow-effect"). (ii) In treatments with trader and cash inflow only in the first half of the market, prices converge to fundamentals towards maturity of the asset. This inflow-effect is very robust as we observe bubbles in almost all of the 24 markets with trader inflow. The analysis of traders' beliefs reveals that (iii) despite fundamentals staying constant, beliefs about fundamentals co-move with upwardly trending prices. Finally, we report a speculative motive only among the optimists in treatments where we observe bubbles

Who wants to be Madame Satã? Race and sexuality in the legal medical discourse in the first half of the XXth century

O texto investiga as formas de disciplinamento da homossexualidade e da raça no espaço urbano do Rio de Janeiro a partir da reflexão sobre o filme “Madame Satã” (2002), que retrata a vida de João Francisco dos Santos. Ele foi um personagem real e mítico da malandragem carioca, representou o alvo preferencial das práticas repressivas e de higienização desse espaço onde conviviam os excluídos da cidadania (os negros marginalizados pela “abolição sem inclusão racial”, os segregados espacialmente pelas reformas urbanas do início do século e os desviantes da heteronormatividade e perseguidos pelo moralismo conservador). Busca-se desvendar o modo como práticas legislativas, institucionais e ilegais, além do discurso científico, vincularam raça e sexualidade desviante. Defende-se que raça e punição, desde a formação do colonialismo, compõem um dispositivo, nos termos de Michel Foucault, implicando num intercâmbio constitutivo de sentidos e práticas sociais. Logo, o sistema penal brasileiro não seria apenas eventualmente discriminatório, pois o racismo estruturaria as relações de poder que especificam as formas de punição e a punição compõe a estrutura da raça como construção social em seu sentido negativo. Para além da perspectiva essencializante, propõe-se que o personagem exemplifica o desencontro entre a complexidade de papéis sociais e as formas dominantes de demarcação da masculinidade.The paper investigates the ways of disciplining of homosexuality and race in the urban area of Rio de Janeiro from the reflection on the film "Madame Satã" (2002). It shows the life of João Francisco dos Santos, real and mythical character of Rio’s trickster culture, who represented the primary target of repressive practices and the “cleansing” of urban spaces, where the ones marginalized by the abolition without racial inclusion, the populations especially excluded by urban reforms of the beginning of the century and the deviants from the heteronormativity lived together. We want to show how legislative, institutional and even illegal practices, alongside with the scientific discourse, linked race and deviant sexuality. It is argued that race and punishment, since the formation of colonialism, compose a "device", in the terms of Michel Foucault, implying an exchange constitutive of meanings and social practices. Therefore, the criminal justice system would not be just accidentally discriminatory. As racism is fundamental to the power relations that specify the forms of punishment, the structure of punishment itself composes the race as a social construct in its negative sense. Finally, beyond the essentializing perspective, it is proposed that the character exemplifies the disagreement between the complexity of social roles and the dominant forms of demarcation of masculinity

Statistical risk analysis for real estate collateral valuation using Bayesian distributional and quantile regression

The Basel II framework strictly defines the conditions under which financial institutions are authorized to accept real estate as collateral in order to decrease their credit risk. A widely used concept for its valuation is the hedonic approach. It assumes, that a property can be characterized by a bundle of covariates that involves both individual attributes of the building itself and locational attributes of the region where the building is located in. Each of these attributes can be assigned an implicit price, summing up to the value of the entire property. With respect to value-at-risk concepts financial institutions are often not only interested in the expected value but also in different quantiles of the distribution of real estate prices. To meet these requirements, we develop and compare multilevel structured additive regression models based on GAMLSS type approaches and quantile regression, respectively. Our models involve linear, nonlinear and spatial effects. Nonlinear effects are modeled with P-splines, spatial effects are represented by Gaussian Markov random fields. Due to the high complexity of the models statistical inference is fully Bayesian and based on highly efficient Markov chain Monte Carlo simulation techniques

The Impact of Job Satisfaction on Job Performance of Generation Z Employees in DKI Jakarta After the COVID-19 Pandemic

The COVID-19 pandemic has had a wide impact on the psychological condition and well-being of employees. This is pertinent, especially to Generation Z employees, as the second largest generation in Jakarta. Conditions during the pandemic resulted in a host of problems for Generation Z employees, which will lead to a fall in their job performance. In the”happy worker hypothesis”, job performance is directly influenced by job satisfaction. Therefore, this study aimed to explore the influence of job satisfaction on the job performance of Generation Z employees after the COVID-19 pandemic. The study used a causal associative model. The sampling technique used was purposive sampling with several criteria that needed to be fulfilled, which finally resulted in 389 respondents. This study used two psychological instruments: the Minnesota Satisfaction Questionnaire (MSQ) developed by Weiss et al. (1967) to measure job satisfaction and the Individual Work Performance Questionnaire (IWPQ) developed by Koopmans (2014) to measure job performance. The hypothesis test used was a simple linear analysis. The results discovered that job satisfaction affects job performance significantly and positively. This means that higher job satisfaction is followed by an increase in job performance in Generation Z employees after the COVID-19 pandemic (t = 0.684; p=0.000<0.05; R2=0.504). Job satisfaction had a 50.4% influence on job performance. Keywords: Job satisfaction, Job performance, generation