Search results for: generalized autoregressive conditional heteroskedasticity model

Authors: Ju Peng Poh, Jun Yu Charles Lee, Jonathan Chew Hoe Khoo

Abstract:

The emergence of digital twin technology, a digital replica of physical world, has improved the real-time access to data from sensors about the performance of buildings. This digital transformation has opened up many opportunities to improve the management of the building by using the data collected to help monitor consumption patterns and energy leakages. One example is the integration of predictive models for anomaly detection. In this paper, we use the GAM (Generalised Additive Model) for the anomaly detection of Air Handling Units (AHU) power consumption pattern. There is ample research work on the use of GAM for the prediction of power consumption at the office building and nation-wide level. However, there is limited illustration of its anomaly detection capabilities, prescriptive analytics case study, and its integration with the latest development of digital twin technology. In this paper, we applied the general GAM modelling framework on the historical data of the AHU power consumption and cooling load of the building between Jan 2018 to Aug 2019 from an education campus in Singapore to train prediction models that, in turn, yield predicted values and ranges. The historical data are seamlessly extracted from the digital twin for modelling purposes. We enhanced the utility of the GAM model by using it to power a real-time anomaly detection system based on the forward predicted ranges. The magnitude of deviation from the upper and lower bounds of the uncertainty intervals is used to inform and identify anomalous data points, all based on historical data, without explicit intervention from domain experts. Notwithstanding, the domain expert fits in through an optional feedback loop through which iterative data cleansing is performed. After an anomalously high or low level of power consumption detected, a set of rule-based conditions are evaluated in real-time to help determine the next course of action for the facilities manager. The performance of GAM is then compared with other approaches to evaluate its effectiveness. Lastly, we discuss the successfully deployment of this approach for the detection of anomalous power consumption pattern and illustrated with real-world use cases.

Keywords: anomaly detection, digital twin, generalised additive model, GAM, power consumption, supervised learning

Procedia PDF Downloads 134

Authors: H. Namazi, H. T. N. Kuan

Abstract:

It is known that in humans, the adaptation to a given odor occurs within a quite short span of time (typically one minute) after the odor is presented to the brain. Different models of human olfaction have been developed by scientists but none of these models consider the diffusion phenomenon in olfaction. A novel microscopic model of the human olfaction is presented in this paper. We develop this model by incorporating the transient diffusivity. In fact, the mathematical model is written based on diffusion of the odorant within the mucus layer. By the use of the model developed in this paper, it becomes possible to provide quantification of the objective strength of odor.

Keywords: diffusion, microscopic model, mucus layer, olfaction

Procedia PDF Downloads 491

Authors: Bernadette F. De La Cruz, Susan Marie R. Dela Cruz, Georgia D. Demavibas

Abstract:

Pantawid Pamilyang Pilipino Program (4P) is a conditional cash transfer program in the Philippines pay extremely poor household-beneficiaries in order to fulfill the country’s commitment to the number one of the Millennium Development Goals (MDG). 4P's send 10,235,256 school children aged 6-18 from a total of 4,353,597 registered households with an average of two to three children. We analyze this program in Iloilo, Philippines. We show that this program can be made efficient by selecting beneficiaries and calibrating transfer for a maximum breaking of intergenerational poverty cycle of hunger, health and achieve higher education.

Keywords: ESGP-PA, millennium development goals, house hold beneficiaries, cash transfer

Procedia PDF Downloads 385

Authors: Yanshuang Zhang, Byungho Jeong

Abstract:

There exists some time lag between the consumption of inputs and the production of outputs. This time lag effect should be considered in calculating efficiency of decision making units (DMU). Recently, a couple of DEA models were developed for considering time lag effect in efficiency evaluation of research activities. However, these models can’t discriminate efficient DMUs because of the nature of basic DEA model in which efficiency scores are limited to ‘1’. This problem can be resolved a super-efficiency model. However, a super efficiency model sometimes causes infeasibility problem. This paper suggests an output oriented super-efficiency model for efficiency evaluation under the consideration of time lag effect. A case example using a long term research project is given to compare the suggested model with the MpO model

Keywords: DEA, Super-efficiency, Time Lag, research activities

Procedia PDF Downloads 638

Authors: Zainab Magaji Musa, Nordin M. A. Rahman, Julaily Aida Jusoh

Abstract:

The web services applications for digital reference service (WSDRS) of LIS model is an informal model that claims to reduce the problems of digital reference services in libraries. It uses web services technology to provide efficient way of satisfying users’ needs in the reference section of libraries. The formal WSDRS model consists of the Z specifications of all the informal specifications of the model. This paper discusses the formal validation of the Z specifications of WSDRS model. The authors formally verify and thus validate the properties of the model using Z/EVES theorem prover.

Keywords: validation, verification, formal, theorem prover

Procedia PDF Downloads 496

Authors: Matthew C. Best

Abstract:

Linear Multi-Input Multi-Output (MIMO) dynamic models can be identified, with no a priori knowledge of model structure or order, using a new Generalised Identifying Filter (GIF). Based on an Extended Kalman Filter, the new filter identifies the model iteratively, in a continuous modal canonical form, using only input and output time histories. The filter’s self-propagating state error covariance matrix allows easy determination of convergence and conditioning, and by progressively increasing model order, the best fitting reduced-order model can be identified. The method is shown to be resistant to noise and can easily be extended to identification of smoothly nonlinear systems.

Keywords: system identification, Kalman filter, linear model, MIMO, model order reduction

Procedia PDF Downloads 577

Authors: Tejush Badal, Sanaa Alwidian

Abstract:

Class diagrams are useful tools within the Unified Modelling Language (UML) to model and visualize the relationships between, and properties of objects within a system. As a system evolves over time and space (e.g., products), a series of models with several commonalities and variabilities create what is known as a model family. In circumstances where there are several versions of a model, examining each model individually, becomes expensive in terms of computation resources. To avoid performing redundant operations, this paper proposes an approach for representing a family of class diagrams into Union Models to represent model families using a single generic model. The paper aims to analyze and reason about a family of class diagrams using union models as opposed to individual analysis of each member model in the family. The union algorithm provides a holistic view of the model family, where the latter cannot be otherwise obtained from an individual analysis approach, this in turn, enhances the analysis performed in terms of speeding up the time needed to analyze a family of models together as opposed to analyzing individual models, one model at a time.

Keywords: analysis, class diagram, model family, unified modeling language, union model

Procedia PDF Downloads 56

Authors: Boopen Seetanah, R. V. Sannassee, Sheereen Fauzel, Robin Nunkoo

Abstract:

The bulk of research on the impact of research and development (R&D) has been carried out in developed economies where the intensity of R&D expenditure has been relatively high and stable for many years. However, there is a paucity of similar studies in developing countries. In this paper, we provide empirical estimates of the impact of R&D investment on economic growth in a developing African economy (Mauritius) where R&D expenditure intensity has been low initially, but rising, albeit moderately in recent years. Using a dynamic time series analysis over the period 1980 to 2014 in a Vector Autoregressive framework, R & D is shown to have a positive and significant effect on the economic progress of the island, although the impact is considerably less when compared to both other ingredients of growth and also to reported elasticities fromdeveloped economies . Interestingly, there is evidence of bicausality between R & D and growth. furthermore, R & D positively impacts on both domestic and foreign investment, suggesting the possibilities of indirect effects.

Keywords: R & D, VECM, Africa, Mauritius

Procedia PDF Downloads 414

Authors: Eduardo Costa

Abstract:

Hospital strikes in the Portuguese National Health Service (NHS) are becoming increasingly frequent, raising concerns in what respects patient safety. In fact, data shows that mortality rates for patients admitted during strikes are up to 30% higher than for patients admitted in other days. This paper analyses the effects of hospital strikes on patients’ outcomes. Specifically, it analyzes the impact of different strikes (physicians, nurses and other health professionals), on in-hospital mortality rates, readmission rates and length of stay. The paper uses patient-level data containing all NHS hospital admissions in mainland Portugal from 2012 to 2017, together with a comprehensive strike dataset comprising over 250 strike days (19 physicians-strike days, 150 nurses-strike days and 50 other health professionals-strike days) from 135 different strikes. The paper uses a linear probability model and controls for hospital and regional characteristics, time trends, and changes in patients’ composition and diagnoses. Preliminary results suggest a 6-7% increase in in-hospital mortality rates for patients exposed to physicians’ strikes. The effect is smaller for patients exposed to nurses’ strikes (2-5%). Patients exposed to nurses strikes during their stay have, on average, higher 30-days urgent readmission rates (4%). Length of stay also seems to increase for patients exposed to any strike. Results – conditional on further testing, namely on non-linear models - suggest that hospital operations and service levels are partially disrupted during strikes.

Keywords: health sector strikes, in-hospital mortality rate, length of stay, readmission rate

Procedia PDF Downloads 124

Authors: Nasser Y. Mahamoud, Pierre Dehombreux, Hassan E. Robleh

Abstract:

Industrial companies may be confronted with questions about their choice of maintenance policy. This choice must be guided by several numbers of decision criteria or objectives related to their production or service activities but also to their level of development and their investment prospects. A decision-support methodology to choose a maintenance policy (corrective, systematic or conditional preventive, predictive, opportunistic or not) is proposed to facilitate this choice using the main categories of the most important decision criteria. The different steps of this methodology are illustrated using theoretical case: identification of the different maintenance alternatives, determining the structure of the most important categories of the decision criteria, assessing the different maintenance policies on to the criteria by using an ordinal preference relation, and finally ranking the different maintenance policies.

Keywords: maintenance policy, decision criteria, decision-making process, AHP

Procedia PDF Downloads 314

Authors: D. Thawinkarn, S. Wongbutlee

Abstract:

The Social Change Leadership model is strongly aligned with administration’s mission. This research aims to examine the elements of social change leadership, build and develop leadership for social change, and evaluate effectiveness of leadership development model for social change. The research operation has 3 phases: model studies by in-depth interviews and survey research; drafting and creating model which verified by the experts; and trial of model in schools. The results showed that administrators and teachers have the elements of leadership for social change in moderate level. These elements are ranged descending from consciousness of self, common purpose, congruence, collaboration, commitment, citizenship, and controversy with civility. Model of leadership for social change is included the principles, objectives, content, process. Workshop process: Results show that the model of leadership development for social change in administrators and teachers leads to higher score in leadership evaluation prior to administering the operation.

Keywords: leadership, social change model, organization, administrators

Procedia PDF Downloads 401

Authors: Louati Salma, Louhichi Awatef, Boujelbene Younes

Abstract:

Analysis of the trade-off between competition and financial stability has been at the center of academic and policy debate for over two decades and especially since the 2007-2008 global financial crises. We use information on 10 OIC countries from 2005 to 2014 to investigate the influence of bank competition on individual bank stability and risk-taking. Alternatively, we explore whether the quality of prudential regulation may affect the nexus between competition and banking stability/risk-taking. We provide a particular attention to the Islamic banking system which principally involves with the Riba-free instruments as compared to the conventional interest-based system. We first run a dynamic panel regression (GMM), and then we apply a panel vector autoregressive (PVAR) methodology to compare both banking business models.

Keywords: Lerner index, Islamic banks, non-performing loans, prudential regulations, z-score

Procedia PDF Downloads 280

Authors: A. Lakrim, D. Tahri

Abstract:

This paper sets out a behavioral macro-model of a Merged PiN and Schottky (MPS) diode based on silicon carbide (SiC). This model holds good for both static and dynamic electrothermal simulations for industrial applications. Its parameters have been worked out from datasheets curves by drawing on the optimization method: Simulated Annealing (SA) for the SiC MPS diodes made available in the industry. The model also adopts the Analog Behavioral Model (ABM) of PSPICE in which it has been implemented. The thermal behavior of the devices was also taken into consideration by making use of Foster’ canonical network as figured out from electro-thermal measurement provided by the manufacturer of the device.

Keywords: SiC MPS diode, electro-thermal, SPICE model, behavioral macro-model

Procedia PDF Downloads 395

Authors: Funda Kul, İsmail Gür

Abstract:

Pension scheme providers have to price mortality risk by accurate mortality forecasting method. There are many mortality-forecasting methods constructed and used in literature. The Lee-Carter model is the first model to consider stochastic improvement trends in life expectancy. It is still precisely used. Mortality forecasting is done by mortality index in the Lee-Carter model. It is assumed that mortality index fits ARIMA time series model. In this paper, we propose and use dynamic normal inverse gaussian distribution to modeling mortality indes in the Lee-Carter model. Using population mortality data for Italy, France, and Turkey, the model is forecasting capability is investigated, and a comparative analysis with other models is ensured by some well-known benchmarking criterions.

Keywords: mortality, forecasting, lee-carter model, normal inverse gaussian distribution

Procedia PDF Downloads 344

Authors: Youness Laaroussi, Zine Elabidine Guennoun, Amine Amar

Abstract:

Modeling and forecasting dynamics of rainfall occurrences constitute one of the major topics, which have been largely treated by statisticians, hydrologists, climatologists and many other groups of scientists. In the same issue, we propose in the present paper a new hybrid method, which combines Extreme Values and fractal theories. We illustrate the use of our methodology for transformed Emberger Index series, constructed basing on data recorded in Oujda (Morocco). The index is treated at first by Peaks Over Threshold (POT) approach, to identify excess observations over an optimal threshold u. In the second step, we consider the resulting excess as a fractal object included in one dimensional space of time. We identify fractal dimension by the box counting. We discuss the prospect descriptions of rainfall data sets under Generalized Pareto Distribution, assured by Extreme Values Theory (EVT). We show that, despite of the appropriateness of return periods given by POT approach, the introduction of fractal dimension provides accurate interpretation results, which can ameliorate apprehension of rainfall occurrences.

Keywords: extreme values theory, fractals dimensions, peaks Over threshold, rainfall occurrences

Procedia PDF Downloads 347

Authors: C. Shih, J. R. Wang, H. C. Chang, S. W. Chen, S. C. Chiang, T. Y. Yu

Abstract:

After the measurement uncertainty recapture (MUR) power uprates, Kuosheng nuclear power plant (NPP) was uprated the power from 2894 MWt to 2943 MWt. For power upgrade, several codes (e.g., TRACE, RELAP5, etc.) were applied to assess the safety of Kuosheng NPP. Hence, the main work of this research is to establish a RELAP5/MOD3.3 model of Kuosheng NPP with SNAP interface. The establishment of RELAP5/SNAP model was referred to the FSAR, training documents, and TRACE model which has been developed and verified before. After completing the model establishment, the startup test scenarios would be applied to the RELAP5/SNAP model. With comparing the startup test data and TRACE analysis results, the applicability of RELAP5/SNAP model would be assessed.

Keywords: RELAP5, TRACE, SNAP, BWR

Procedia PDF Downloads 414

Authors: Hoda Ghavamipoor, S. Alireza Hashemi Golpayegani

Abstract:

An approach to model the customer interaction with e-commerce websites is presented. Considering the service quality level as a predictive feature, we offer an improved method based on the Customer Behavior Model Graph (CBMG), a state-transition graph model. To derive the Quality of Service sensitive-CBMG (QoS-CBMG) model, process-mining techniques is applied to pre-processed website server logs which are categorized as ‘buy’ or ‘visit’. Experimental results on an e-commerce website data confirmed that the proposed method outperforms CBMG based method.

Keywords: customer behavior model, electronic commerce, quality of service, customer behavior model graph, process mining

Procedia PDF Downloads 395

Authors: Jolanta Tamošaitienė

Abstract:

The article focuses on a developed comprehensive model to be used in an agile environment for the risk assessment and selection based on multi-attribute methods. The model is based on a multi-attribute evaluation of risk in construction, and the determination of their optimality criterion values are calculated using complex Multiple Criteria Decision-Making methods. The model may be further applied to risk assessment in an agile construction environment. The attributes of risk in a construction project are selected by applying the risk assessment condition to the construction sector, and the construction process efficiency in the construction industry accounts for the agile environment. The paper presents the comprehensive risk assessment model in an agile construction environment. It provides a background and a description of the proposed model and the developed analysis of the comprehensive risk assessment model in an agile construction environment with the criteria.

Keywords: assessment, environment, agile, model, risk

Procedia PDF Downloads 237

Authors: Guowei Hou, Lixin Yu, Wei Zhuang, Hui Qin, Xue Yang

Abstract:

Formal verification is proposed to ensure the correctness of the design and make functional verification more efficient. As cache plays a vital role in the design of System on Chip (SoC), and cache with Memory Management Unit (MMU) and cache memory unit makes the state space too large for simulation to verify, then a formal verification is presented for such system design. In the paper, a formal model checking verification flow is suggested and a new cache memory model which is called “exhaustive search model” is proposed. Instead of using large size ram to denote the whole cache memory, exhaustive search model employs just two cache blocks. For cache system contains data cache (Dcache) and instruction cache (Icache), Dcache memory model and Icache memory model are established separately using the same mechanism. At last, the novel model is employed to the verification of a cache which is module of a custom-built SoC system that has been applied in practical, and the result shows that the cache system is verified correctly using the exhaustive search model, and it makes the verification much more manageable and flexible.

Keywords: cache system, formal verification, novel model, system on chip (SoC)

Procedia PDF Downloads 479

Authors: Owamah Hilary, O. C. Izinyon

Abstract:

Many existing biogas kinetic models are difficult to apply to substrates they were not developed for, as they are substrate specific. Biodegradability kinetic (BIK) model and maximum biogas production potential and stability assessment (MBPPSA) model were therefore developed in this study for the anaerobic co-digestion of food waste and maize husk. Biodegradability constant (k) was estimated as 0.11d-1 using the BIK model. The results of maximum biogas production potential (A) obtained using the MBPPSA model corresponded well with the results obtained using the popular but complex modified Gompertz model for digesters B-1, B-2, B-3, B-4, and B-5. The (If) value of MBPPSA model also showed that digesters B-3, B-4, and B-5 were stable, while B-1 and B-2 were unstable. Similar stability observation was also obtained using the modified Gompertz model. The MBPPSA model can therefore be used as alternative model for anaerobic digestion feasibility studies and plant design.

Keywords: biogas, inoculum, model development, stability assessment

Procedia PDF Downloads 408

Authors: Chui Ka Shing

Abstract:

This case study research attempts to examine the use of the Bar Model Method approach in learning and teaching mathematics in a primary school in Hong Kong. The objectives of the study are to find out to what extent (a) the Bar Model Method approach enhances the construction of students’ mathematics concepts, and (b) the school-based mathematics curriculum development with adopting the Bar Model Method approach. This case study illuminates the effectiveness of using the Bar Model Method to solve mathematics problems from Primary 1 to Primary 6. Some effective pedagogies and assessments were developed to strengthen the use of the Bar Model Method across year levels. Suggestions including school-based curriculum development for using Bar Model Method and further study were discussed.

Keywords: bar model method, curriculum development, mathematics education, problem solving

Procedia PDF Downloads 205

Authors: Fatemeh Valizadeh Gamchi, Edward L. Boone

Abstract:

This research focuses on Lyme disease, a widespread infectious condition in the United States caused by the bacterium Borrelia burgdorferi sensu stricto. It is critical to identify environmental and economic elements that are contributing to the spread of the disease. This study examined data from Virginia to identify a subset of explanatory variables significant for Lyme disease case numbers. To identify relevant variables and avoid overfitting, linear poisson, and regularization regression methods such as a ridge, lasso, and elastic net penalty were employed. Cross-validation was performed to acquire tuning parameters. The methods proposed can automatically identify relevant disease count covariates. The efficacy of the techniques was assessed using four criteria on three simulated datasets. Finally, using the Virginia Department of Health’s Lyme disease data set, the study successfully identified key factors, and the results were consistent with previous studies.

Keywords: lyme disease, Poisson generalized linear model, ridge regression, lasso regression, elastic net regression

Procedia PDF Downloads 110

Authors: Irtaza M. Syed, Kaamran Raahemifar

Abstract:

This paper presents modeling of a Alternating Current (AC) Photovoltaic (PV) module using Matlab/Simulink. The proposed AC-PV module model is simple, realistic, and application oriented. The model is derived on module level as compared to cell level directly from the information provided by the manufacturer data sheet. DC-PV module, MPPT control, BC, VSI and LC filter, all were treated as a single unit. The model accounts for changes in variations of both irradiance and temperature. The AC-PV module proposed model is simulated and the results are compared with the datasheet projected numbers to validate model’s accuracy and effectiveness. Implementation and results demonstrate simplicity and accuracy, as well as reliability of the model.

Keywords: PV modeling, AC PV Module, datasheet, VI curves irradiance, temperature, MPPT, Matlab/Simulink

Procedia PDF Downloads 555

Authors: Pham Van Nha, Le Cam Binh

Abstract:

Particle swarm optimization (PSO) is a population-based stochastic optimization algorithm. PSO was inspired by the natural behavior of birds and fish in migration and foraging for food. PSO is considered as a multidisciplinary optimization model that can be applied in various optimization problems. PSO’s ideas are simple and easy to understand but PSO is only applied in simple model problems. We think that in order to expand the applicability of PSO in complex problems, PSO should be described more explicitly in the form of a mathematical model. In this paper, we represent PSO in a mathematical model and apply in the multivariate data classification. First, PSOs general mathematical model (MPSO) is analyzed as a universal optimization model. Then, Model of Optimal Centroids (MOC) is proposed for the multivariate data classification. Experiments were conducted on some benchmark data sets to prove the effectiveness of MOC compared with several proposed schemes.

Keywords: analysis of optimization, artificial intelligence based optimization, optimization for learning and data analysis, global optimization

Procedia PDF Downloads 193

Authors: Catherine Maware, Olufemi Adetunji

Abstract:

The paper is aimed at developing a model to measure the impact of Lean manufacturing deployment on organizational performance. The model will help industry practitioners to assess the impact of implementing Lean constructs on organizational performance. It will also harmonize the measurement models of Lean performance with the house of Lean that seems to have become the industry standard. The sheer number of measurement models for impact assessment of Lean implementation makes it difficult for new adopters to select an appropriate assessment model or deployment methodology. A literature review is conducted to classify the Lean performance model. Pareto analysis is used to select the Lean constructs for the development of the model. The model is further formalized through the use of Structural Equation Modeling (SEM) in defining the underlying latent structure of a Lean system. An impact assessment measurement model developed can be used to measure Lean performance and can be adopted by different industries.

Keywords: impact measurement model, lean bundles, lean manufacturing, organizational performance

Procedia PDF Downloads 465

Authors: Dmitry Yu. Korulkin, Raissa A. Muzychkina

Abstract:

In review the generalized data about different methods of extraction, separation and purification of natural and modify anthraquinones is presented. The basic regularity of an isolation process is analyzed. Action of temperature, pH, and polarity of extragent, catalysts and other factors on an isolation process is revealed.

Keywords: anthraquinones; isolation; extraction; polarity; chromatography; precipitation; bioactivity; phytopreparation; chrysophanol; aloe-emodin; emodin; physcion.

Procedia PDF Downloads 327

Authors: T. Sahbani, M. Bouteraa, R. Wamkeue

Abstract:

Wind Turbine are considered to be one of the more efficient system of energy production nowadays, a reason that leads the main industrial companies in wind turbine construction and researchers in over the world to look for better performance and one of the ways for that is the use of the synchronous permanent magnet generator. In this context, this work is about developing an analytical model that could simulate different situation in which the synchronous generator may go through, and of course this model match perfectly with the numerical and experimental model.

Keywords: MATLAB, synchronous permanent magnet generator, wind turbine, analytical model

Procedia PDF Downloads 534

Authors: Hui Hsin Huang

Abstract:

The downstream manufactures will order their materials from different upstream suppliers to maintain a certain level of the demand. This paper proposes a bivariate model to portray this phenomenon of material demand. We use empirical data to estimate the parameters of model and evaluate the RMSD of model calibration. The results show that the model has better fitness.

Keywords: recency, ordering time, materials demand quantity, multi-source ordering

Procedia PDF Downloads 517

Authors: Paul Han, Jun-Geol Baek

Abstract:

In the flat panel display industry, the scheduler and dispatching system to meet production target quantities and the deadline of production are the major production management system which controls each facility production order and distribution of WIP (Work in Process). In dispatching system, delivery time is a key factor for the time when a lot can be supplied to the facility. In this paper, we use survival analysis methods to identify main factors and a forecasting model of delivery time. Of survival analysis techniques to select important explanatory variables, the cox proportional hazard model is used to. To make a prediction model, the Accelerated Failure Time (AFT) model was used. Performance comparisons were conducted with two other models, which are the technical statistics model based on transfer history and the linear regression model using same explanatory variables with AFT model. As a result, the Mean Square Error (MSE) criteria, the AFT model decreased by 33.8% compared to the existing prediction model, decreased by 5.3% compared to the linear regression model. This survival analysis approach is applicable to implementing a delivery time estimator in display manufacturing. And it can contribute to improve the productivity and reliability of production management system.

Keywords: delivery time, survival analysis, Cox PH model, accelerated failure time model

Procedia PDF Downloads 523

Authors: Karolína Vozková, Matěj Kuc

Abstract:

Net fee and commission income is one of the key elements of a bank’s core income. In the current low-interest rate environment, this type of income is gaining importance relative to net interest income. This paper analyses the effects of bank and country specific determinants of net fee and commission income on a set of cooperative banks from European countries in the 2007-2014 period. In order to do that, dynamic panel data methods (system Generalized Methods of Moments) were employed. Subsequently, alternative panel data methods were run as robustness checks of the analysis. Strong positive impact of bank concentration on the share of net fee and commission income was found, which proves that cooperative banks tend to display a higher share of fee income in less competitive markets. This is probably connected with the fact that they stick with their traditional deposit-taking and loan-providing model and fees on these services are driven down by the competitors. Moreover, compared to commercial banks, cooperatives do not expand heavily into non-traditional fee bearing services under competition and their overall fee income share is therefore decreasing with the increased competitiveness of the sector.

Keywords: cooperative banking, dynamic panel data models, net fee and commission income, system GMM

Procedia PDF Downloads 308