A fair level of provisions on bad and doubtful loans is an essential input in mark-to-market accounting, and in the calculation of bank profitability, capital and solvency. Loan-loss provisioning is directly related to estimates of loan-loss given default (LGD). A literature on LGD on bank loans is developing but, surprisingly, it has not been exploited to address, at the micro level, the issue of provisioning at the time of default, and after the default date. For example, in Portugal, the central bank imposes a mandatory provisioning schedule based on the time period since a loan is declared ‘non-performing’. The dynamic schedule is ‘ad hoc’, not based on empirical studies. The purpose of the paper is to present an empirical methodology to calculate a fair level of loan-loss provisions, at the time of default and after the default date. To illustrate, a dynamic provisioning schedule is estimated with micro-data provided by a Portuguese bank on recoveries on non-performing loans. This schedule is then compared to the regulatory provisioning schedule imposed by the central bank.

Journal Article The Compatibility of Any Behaviour of the Price Level with Equilibrium Get access J. C. Gilbert J. C. Gilbert Sheffield Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 24, Issue 3, June 1957, Pages 177–184, https://doi.org/10.2307/2296066 Published: 01 June 1957

Anglo-French Financial Co-operation during the War, 1914–18 J. C. Gilbert J. C. Gilbert Dundee Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 7, Issue 3, June 1940, Pages 159–168, https://doi.org/10.2307/2967403 Published: 01 June 1940

Journal Article The Mechanism of Interregional Redistributions of Money Get access J. C. Gilbert J. C. Gilbert Dundee Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 5, Issue 3, June 1938, Pages 187–194, https://doi.org/10.2307/2967446 Published: 01 June 1938

Journal Article The Present Position of the Theory of International Trade Get access J. C. Gilbert J. C. Gilbert Dundee Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 3, Issue 1, October 1935, Pages 18–34, https://doi.org/10.2307/2967568 Published: 01 October 1935

To investigate how a fixed exchange rate affects monetary policy, this paper classifies countries as pegged or non-pegged and examines whether a pegged country must follow the interest rate changes in the base country. Despite recent research which hints that all countries, not just pegged countries, lack monetary freedom, the evidence shows that pegs follow base country interest rates more than non-pegs. This study uses actual behavior, not declared status, for regime classification; expands the sample including base currencies other than the dollar; examines the impact of capital controls, as well as other control variables; considers the time series properties of the data carefully; and uses cointegration and other levels-relationship analysis to provide additional insights.

The Pure Expectations Hypothesis (PEH) serves as the benchmark model for the relationship between yields on bonds of different maturities. When coupled with rational expectations, however, empirical renderings of the model fail miserably. I explore the possibility that failure to account for changes in monetary policy regime explains much of the failure of the PEH. Estimating changing monetary regimes in conjunction with the PEH significantly improves its performance. The predicted spread between the long and short rates is highly correlated with the actual spread. The standard deviation of the theoretical spread is nearly identical to that of the actual spread.

This paper presents a simple model of trade in the housing market. The crucial feature is that a minimum down payment is required for the purchase of a new home. The model has direct implications for the volatility of house prices, as well as for the correlation between prices and trading volume. The model can also be extended to address the correlation between prices and time-to-sale, as well as certain aspects of the cyclical behavior of housing starts.

Journal Article The Marginal and Average Propensities to Consume: Reply Get access J. C. Hubbard J. C. Hubbard Bryn Mawr College Search for other works by this author on: Oxford Academic Google Scholar The Quarterly Journal of Economics, Volume 69, Issue 4, November 1955, Page 647, https://doi.org/10.2307/1882005 Published: 01 November 1955

Journal Article Imperfect Competition with Unknown Demand Get access J. Hadar, J. Hadar Case Western Reserve Search for other works by this author on: Oxford Academic Google Scholar C. Hillinger C. Hillinger University, Cleveland Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 36, Issue 4, October 1969, Pages 519–525, https://doi.org/10.2307/2296474 Published: 01 October 1969 Article history Received: 15 September 1967 Revision received: 15 April 1969 Published: 01 October 1969