英文标题：
《The Interrupted Power Law and The Size of Shadow Banking》
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作者：
Davide Fiaschi, Imre Kondor, Matteo Marsili, Valerio Volpati
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最新提交年份：
2014
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英文摘要：
  Using public data (Forbes Global 2000) we show that the asset sizes for the largest global firms follow a Pareto distribution in an intermediate range, that is ``interrupted\'\' by a sharp cut-off in its upper tail, where it is totally dominated by financial firms. This flattening of the distribution contrasts with a large body of empirical literature which finds a Pareto distribution for firm sizes both across countries and over time. Pareto distributions are generally traced back to a mechanism of proportional random growth, based on a regime of constant returns to scale. This makes our findings of an ``interrupted\'\' Pareto distribution all the more puzzling, because we provide evidence that financial firms in our sample should operate in such a regime. We claim that the missing mass from the upper tail of the asset size distribution is a consequence of shadow banking activity and that it provides an (upper) estimate of the size of the shadow banking system. This estimate -- which we propose as a shadow banking index -- compares well with estimates of the Financial Stability Board until 2009, but it shows a sharper rise in shadow banking activity after 2010. Finally, we propose a proportional random growth model that reproduces the observed distribution, thereby providing a quantitative estimate of the intensity of shadow banking activity.
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中文摘要：
使用公共数据（福布斯全球2000），我们表明，全球最大企业的资产规模在中等范围内遵循帕累托分布，即被其上尾部的一个尖锐截止线“打断”，在这里，它完全由金融企业主导。这种分布的扁平化与大量实证文献形成对比，这些文献发现企业规模在不同国家和不同时期都存在帕累托分布。帕累托分布通常可以追溯到一种比例随机增长机制，该机制基于规模收益不变的制度。这使得我们关于“中断”帕累托分布的发现更加令人困惑，因为我们提供的证据表明，样本中的金融公司应该在这样一种制度下运作。我们声称，资产规模分布上尾缺失的质量是影子银行活动的结果，它提供了影子银行系统规模的（上）估计。这一估计——我们建议将其作为影子银行指数——与金融稳定委员会（Financial Stability Board）在2009年之前的估计值进行了很好的比较，但它表明，2010年之后，影子银行活动将大幅上升。最后，我们提出了一个比例随机增长模型，该模型再现了观察到的分布，从而提供了影子银行活动强度的定量估计。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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