APPLICATION REGRESSION METHOD IN THE CALCULATION OF INDICATORS ECONOMIC RISK

Transcription

1 APPLICATIO REGRESSIO METHOD I THE CALCULATIO OF IDICATORS ECOOMIC RISK Ec. PhD Flor ROMA STA Asrc The ojecve of hs Arcle s o show h ecoomc rsk s flueced mulple fcors, d regresso mehod c eslsh he ee of fluece of ech fcor. For hs purpose hve ee crred ou clculos d ess for dffere umer of commercl compes, d herefore for seres smller or gger, usg umer s less h or greer h depede vrles h c fluece ecoomc rsk, s vrle depede o hese les, s well s regresso mehod, m fcle he process mgeme from he po of vew of oh correcess decsos ke, s well s how m of hose decsos. Ke words: rsk ecoomc, regresso mehod, esmor, depede vrle, depede vrle, smple. Alsg processes he ecoom, lrge umer of cses, mkes ecessr o oservo processes for ll cses or ems populo, whch s ver epesve, eher for smple of cses, whch mples he rsk devo from he rel vlues of he prmeers suded. To mme hs rsk d o o effecve resuls usg low umer of cses, resuls h c e geerled o he whole cses whch he ecoomc lss, he heor esme proposes deermg se for prmeer some og smple, sed o fuco of he oservo(s), whch descres specfc ehvor of he dcor, so s o e ppromo of he projec s precse prmeer. The fuco(s) s cosdered esmor, d he vlue ke hs, esme. If esmorul s defed s formul or mehod whch s cosdered prmeer ukow, esm wll e umerc vlue h resul from pplg he formul o he smple of d h chrcerse he process eg led. For deermo of hose prmeers whch epress o wh ee oe or severl fcors fluece ecoomc process, sscl mehodolog focuses o he regresso fuco. As resul, he esmo fuco prmeers descrg cremel depedece of effec () d fcors () shll e mde usg regresso mehod. Revs Româă de Sscă r. 8 / 03 57

2 I hs respec, sscll, ecoomc rsk sds for vrle reulv depede o oe, wo or more depede vrles fcor comes shll e descred. If o deerme he rsk ecoomcll depede vrle Y, regresso mehod s used, wll uld regresso fuco f(,, ----) o he ss of whch wll eslsh he lk ewee reulv vrle Y d depede vrles,, ---, gvg he regresso equo: Y=f(,, ---). umer depede vrles,, 59,0 ----, m e more or less, depedg o he fcors fluece cosdered. The regresso model ufcorl s used whe he vrle Y operes sgle X, he oher fcors hvg co cos d eglgle. I hs cse, he regresso equo s: Y=f()+ε. Ufcorl regresso model used s: Y=++ε, Where:,=prmeers, he coeffces o e clculed. The prmeers, s esmed usg he mehod of les squres (MCMMP), ccordg o whch, mou of he squres dscrepces ewee pos oserved (cul vlues) d he vlues of o e mml,.e. : mmum = mmum If we cosder ecoomc rsk (RE) he vrle depedece for umer of fve ecoomc u s eg flueced sgle depede vrle, mel he degree of rsk de urde (GR), we wll clcule he prmeers, s follows from Tle : 58 Rom Sscl Revew r. 8 / 03

3 Ecoomc Rsk Suo De Burde d he Degree Of Rsk o umer Of 5 Compes Tle S.C. GR= RE=., 5,5. 0,9 5 3.,5 6 4.,8 6,3 5., 5, 6. 0,3 4, 7. 0,8 5,7 8. 0,6 4,9 9., 6,3 0.,37 6,4.,55 6,75.,8 7,0 3.,95 7, 4.,3 7,46 5.,49 7,63 ^,57 4,06,57 ; ; 5 ^ The coeffce 4, 06 shll e he level of rsk, whch s o deermed he degree of rsk de urde, u lso oher fcors, d he coeffce ^,57 dces h ewee he wo vrles here s drec coeco; o verge, o crese oe u of he degree de urde of rsk, ecoomc rsk creses.57 creds. AOVA d coeffces Revs Româă de Sscă r. 8 / 03 59

4 I he ssem of orml equos: + = + = =5 umer of us oserved =+ or = - Ths mes h he regresso rgh-hd psses hrough he po evrome ( ; ) = ( ) = ; If he vrle depedece o s flueced m vrles, he wll e usg regresso model dsorder wh mulple eologes, ler model whose epresso s gve he relo : Y= 0 p Where : 0 =coeffce epressg fluece of fcors whch re o cluded he model, c e cosdered wh cos co., ; p mulple regresso coeffces, whch shows he shre wh h fluece ech rue fcorl reulve feure o. p, 60 Rom Sscl Revew r. 8 / 03

5 Prmeers,,, 0 p re clculed o he ss of he mehod of les squres. Cosderg re dcors fcl uoom (Rf), d he re of fudg of he socks (Rfs) s wo depede vrles he se whch depeds o he se ecoomc rsk, c e deermed ecoomc rsk mes of ler regresso fuco of wo vrles, usg SPSS. msllce So, for 8 commercl compes hvg s s ojec of cv cosruco merls we hve clculed he wo dcors, fer I hve processed. Relos for he deermo of he wo res shll e: EquCpl Rf EquCpl BorrowedCpl Rf epress he shre ow fcg sources ol cpl vlle. WorkgCpl R fs Socks R fs epress possl of fcg socks of workg cpl. The resuls oed c e see followg lous: Dsefor he purpose of pplg ler regresso Revs Româă de Sscă r. 8 / 03 6

6 The processg of he d ler regresso mehod The ler regresso fuco resulg s: Y= Fuco of he regresso oed s oserved h 0,45 represes he ecoomc rsk whch s o deermed he self-fcg re or he re of fudg of he socks, u lso oher fcors. Bewee re ecoomc rsk d fcl uoom here s drec coeco. So, o crese oe u of he re fcl uoom, ecoomc rsk creses verge of 5,69 creds. Bewee ecoomc rsk d re of fudg of he socks here s coeco reverse order; he cresg re of fudg of he socks wh drve, ecoomc rsk decreses verge of.57 creds. I s foud h he resuls oed re chrcersc of ecoom rso, whch re specfc d cos of oher fcors ecoroll whch m cuse dsurce he opero s usess. 6 Rom Sscl Revew r. 8 / 03

7 Cosderg he dcors : Rf= FR Rfs= S Kpr Kmpr Kpr Where : Rf=re fcl uoom Rfs=re of fudg of S=socks socks, I c e clculed ecoomc rsk mes of ler fuco of wo vrles. Ths fuco wll e wre s follows: ( )+ ( ) Where : ; ; The prmeers, m e deermed he followg ssem of wo equos wh wo ukows : The wo dcors, he re fcl uoom (Rf), d he re of fudg of he socks (Rfs), depede vrles cosdered for egh compes, hve led o deerme he prmeers d s resul of successve ppromos, s s cler from he clculos mde ove. Whe hree depede vrles fluece ecoomc rsk, ler fuco of hree vrles wll e wre s follows : c. Revs Româă de Sscă r. 8 / 03 63

8 Rom Sscl Revew r. 8 / Esmle prmeers,,c he mehod of les squres shll e crred ou he ssem of hree ler equos: c c c I deermg he vlues mmum mmum vrle reulve, usg he mehod ler progrmmg. Geerl form of ler progrmmg prolem s gve fr (mmum or mmum ) of ler fuco of vrles, of he form: f= c c c, Provded h he vrles o ssf ssem of m ler equos ecu or he form: m m m j j ; ; ; 0 m(m)[f]=m(m) j c j j j j j (S): m j ; ; ; 0 Geerl procedure for he resoluo, specfc mehod s ler progrmmg smple, u m e ppled d oher mehods such s:

9 -The mehod grphcs (geomerc), f he vrle reulv s flueced mmum of wo depede vrles; -lgerc mehod, where wo depede vrles c e wre s fuco of he hrd. As pplco of regresso model, I dd for he cosruco of regresso model, for he purpose of llusrg depedece o - ecoomc rsk d dffere res ecoomc, depede vrles. These depede vrles re: Tol fcl A= Curre gross lles, prof Tol fcl lles B= Tol gross prof Ieres epese C= Curre gross prof, Ieres epese D= Tol gross prof, Fcl epeses Fclllesmur er E=, Tol gross prof F= Ieres epese, Turover Ieres epese G=. Fcl lles Afer selecg vrles we dd he cosruco of he regresso fuco. The regresso fuco ecomes: f()=, where: A, B, C, D, E, F, G Revs Româă de Sscă r. 8 / 03 65

10 Ths fuco epresses how he vrle reulv evolves uder he fluece vrle. The vlues of dcors cosdered chrcersed he suo of 6 compes from he po of vew of erlkges ewee cred scorg d dcors ecoomc rsk; do o reflec suos del, u suo frequec curre ecoom codos. Thus, he fcg coss d fcl lles wh mur of less h oe er m o e covered lws from ol gross prof. Cocluso o e drw s h should e crred ou regresso lss for hree versos: vr whch he vlues of dcors fcl eposure re del d sgfc o group of compes effecve, vr whch he re grouped compes hvg regrd suos ecoomc-fcl wek from he po of vew of fcl rsk dcors d he oher vr whch he re represeed compes wh suos he cse of some fvorle o ufvourle dcors d oher dcors of cred scorg. Vlues for he vrle depede o ecoomc rsk (ml. Le) d depede vrles coeffces o he 6 compes re le o.. The Idepede Ad Depede Vrles To A umer Of 6 Compes, ecessr For The Deermo Of The Regresso Fuco Tle r. cr. A B C D E F G RISCEC Rom Sscl Revew r. 8 / 03

11 Usg he progrm SPSS hs ee oed from he followg suo coeffces d of he fuco show he regresso lou o. 4 : The Regresso Coeffces Fuco ^ Ths mes h he regresso fuco s: = A+7.43B C-3.99D+0.753E+4.85F+6.4G B pssg over hs sge of he esme model prmeers, wll follow sgfcce es prmeers esme. I h w, he regresso fuco d shows h : - he coeffce^ =3,99 represes he ecoomc rsk whch s o deermed he 7 depede vrles cosdered, u oher fcors; - he coeffce ^ = -0,094 specfes h ewee ecoomc rsk d he vrle pr of reverse here s coeco: he hgher he coeffce vrle A, he ecoomc rsk s less; - he coeffce c^ = 7,43, whch dces h ewee ecoomc rsk d vrle B here s drec coeco,.e. he hgher he coeffce vrle B wh greer ecoomc rsk; - reverse coeco lso ess ewee ecoomc rsk d vrle D, d ewee rsk d oher vrles C, E, F d G here s drec coeco. The cofdece ervl s deermed for prol of 95 %, resulg he le d he me lms wh whch fll wh he vlues Revs Româă de Sscă r. 8 / 03 67

12 of he coeffces, u lso her vlues whe ccou s ke of spred (he coeffces sdrde). Model vldo s crred ou usg es F, respecvel wh lss dspersole. Model Regresso Resdul Tol AOVA. Predcors: (Cos), G, F, C, E, B, A, D. Depede Vrle: RISCEC Sum of Me Squres df Squre F Sg F clc =7,65 F =4,6 0,05;; 4 F clc F 0,05;; 4 THE MODEL IS VALIDATED AS BEIG ACCEPTABLE. I he followg le shows h properes re me he ler regresso coeffce, whch cofrms he vld ler regresso model. Model Correlos Covrces. Depede Vrle: RISCEC F A F A Coeffce Correlos G F C E B A D Tle r Rom Sscl Revew r. 8 / 03

13 Coclusos Bsc des semmg from delg wh hs opc o he use ler regresso mehod he defco of he fcors fluece ecoomc rsk d of he ee o whch mfes hemselves fluece ech fcor re: - lss relevce requres smple cossg of s m commercl compes; -fcors of fluece of ecoomc rsk c vr re of cv of he comp; -here s o perfec models of rsk lss; -hese models re eses kg o ccou ecoomc coe ol d erol. - usg hs formo ceer compug, processg, erpreo, m e possle o mke esm of he prmeers cosdered d c e performed for predcos. Dowsrem from upsrem, from he resuls o he fcors of fluece, predcos would hve pplcl more h sock records. I s ecessr o mprove he d se for he purposes of use of dcors h rele o us of me less h oe er (qurers, mohs) o cpure more refed, deled effecs. Mus e elrged he referece frmework roducg o greer ee dcors he feld fcl d kg. Bu, s well s hs oel, Fem, s mpor for he upur o recoge prl gorce d leve room dou... o o s s ever ee h we ve come o kow everhg. Blogrph: - Adrew T. Sscs d Ecoomercs, Ecoomc Pulshg House, Buchres, Begu L. S., Mr E. heorecl d ecoomc Sscs, www. dgl-lrr. - The Chr of polcl ecoom, Polcl ecoom, Ecoomc Pulshg House, Buchres, Doroă,. Polcl ecoom - ufed reme of he ssues of people-vl, Ecoomc Pulshg House, Buchres, Isc-M, Al., Mruţ, C., Voegu, V. Sscs for usess mgeme ; Ecoomc Pulshg House, Buchres, Pecc, S. E. Ecoomer... ecoomss Ecoomercs heor d pplcos, Ecoomc Pulshg House, Buchres, 005. Revs Româă de Sscă r. 8 / 03 69