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How Integrated are the Local U.S. Markets for Natural Gas? — New Evidence Using Rolling Cointegration 美国本土天然气市场整合程度如何?-使用滚动协整的新证据
Q4 Economics, Econometrics and Finance Pub Date : 2015-11-18 DOI: 10.3790/AEQ.61.2.175
Tim Böker, Albrecht Michler
In this paper we investigate the degree of market integration for natural gas in the USA. We perform a rolling cointegration estimation of the city gate gas price and the overall gas price in the USA. The long run adjustment coefficients of all states are reported over a rolling window of 60 month from 1989 to 2013. We can identify eight distinct clusters. Clusters are characterized by a different level adjustment on average. Estimates suggest half-life times ranging from 3 weeks to 6 month. Several regulatory actions in order to liberalize the market of natural gas have an effect in terms of the level relationship. These effects are limited. However, we cannot find these structural breaks in all states. The latest change in exploration technologies, hydraulic fracturing and horizontal drilling, does not yet seem to play an important role to explain price dynamics and market integration.
本文对美国天然气市场一体化程度进行了研究。我们执行滚动协整估计的城市大门天然气价格和整体天然气价格在美国。所有州的长期调整系数都是在1989年至2013年60个月的滚动窗口内报告的。我们可以识别出八个不同的集群。集群的特点是平均调整水平不同。估计半衰期在3周到6个月之间。为了开放天然气市场而采取的一些管制行动在水平关系方面产生了影响。这些影响是有限的。然而,我们并不是在所有的州都能找到这些结构性断裂。勘探技术的最新变化,水力压裂和水平钻井,似乎还没有在解释价格动态和市场整合方面发挥重要作用。
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引用次数: 0
Panel Causality and Cointegration between Productivity and Unemployment 生产率和失业率的面板因果关系和协整关系
Q4 Economics, Econometrics and Finance Pub Date : 2015-11-18 DOI: 10.3790/AEQ.61.2.141
J. Jalles
This paper empirically investigates the link between productivity and unemployment in a panel of 19 OECD countries between 1970 and 2010. By means of recently developed panel data econometric methods, we find that unemployment and productivity are non-stationary in levels and they are cointegrated for the panel as a whole. In terms of causality, the stronger directional relationship runs from unemployment to productivity. Furthermore, the long-run effect seems to be generally positive, therefore favouring of those theories which suggest that prolonged recessions foster long-run productivity improvements.
本文对1970年至2010年间19个经合组织国家的生产率与失业率之间的关系进行了实证研究。通过最近发展的面板数据计量方法,我们发现失业率和生产率在水平上是非平稳的,并且它们在面板上作为一个整体是协整的。在因果关系上,从失业到生产率之间存在较强的方向性关系。此外,长期效应似乎总体上是积极的,因此有利于那些认为长期衰退促进长期生产率提高的理论。
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引用次数: 2
Are There Business Cycles "beyond GDP"? Alternative Measures to GDP at Business Cycle Frequencies 是否存在“超越GDP”的商业周期?经济周期频率下GDP的替代测量方法
Q4 Economics, Econometrics and Finance Pub Date : 2015-11-18 DOI: 10.3790/AEQ.61.2.115
Jörg Döpke, Philip Maschke
We discuss properties of alternatives or complements to GDP as a measure of welfare at business cycle frequencies. Our results imply that the suggested indicators show practically no cycle at all and their methodologies can be questioned. First, data are not available at an appropriate quality and frequency. Second, the suggested time series sometimes correlate negatively with each other. Third, cross-section and quasi-panel evidence based on different samples of countries reveals no impact of the stance of the business cycle on some suggested welfare measures. Therefore, alternative welfare measures do not show an equal picture on business cycle frequencies compared to GDP-based measures.
我们讨论了在商业周期频率下作为福利度量的替代或补充GDP的性质。我们的结果表明,所建议的指标实际上根本没有周期,其方法可以受到质疑。首先,数据的质量和频率不合适。其次,建议的时间序列有时彼此负相关。第三,基于不同国家样本的横截面和准面板证据表明,经济周期的立场对某些建议的福利措施没有影响。因此,与基于gdp的措施相比,替代福利措施在商业周期频率上并没有显示出相同的画面。
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引用次数: 0
Developing Countries and Economies in Transition: The Nexus between Economic Growth and Income Inequality 发展中国家与转型经济体:经济增长与收入不平等之间的关系
Q4 Economics, Econometrics and Finance Pub Date : 2015-11-18 DOI: 10.3790/AEQ.61.2.155
Fadi Fawaz, Masha Rahnama, Victor J. Valcarcel
The relationship between economic growth and income inequality has been extensively investigated by previous studies. However, the studies have produced mixed evidences about the relationship. Previous studied have either exclusively focused on developed countries or on large panels with a larger share of developed than developing economies. In what we believe to be a first effort, in this study we have focused on low-income and high-income developing countries and the economies in transition to ascertain the relationship between economic growth and income inequality. The classification of the countries into the low-income and high-income developing countries and economies in transition are based on the classification of the World Bank as well as our own classification based on an income threshold that is endogenously estimated by our model. The classifications of countries according to their national incomes and stage of their development generate homogeneous samples leading to more robust inference about the relationship between economic growth and income inequality. We have used fixed-effects and dynamic panel technique such as system GMM estimation in our analysis to mitigate endogeneity problem. We have found strong evidence of a negative relationship between economic growth and income inequality in low-income developing countries and strong evidence of a positive relationship between economic growth and income inequality in high-income developing countries and in economies in transition.
经济增长与收入不平等之间的关系在以往的研究中得到了广泛的探讨。然而,这些研究提供了关于这种关系的混合证据。以前的研究要么完全集中在发达国家,要么集中在发达经济体比发展中经济体所占份额更大的大型面板上。在这项研究中,我们将重点放在低收入和高收入发展中国家以及转型经济体上,以确定经济增长与收入不平等之间的关系,我们认为这是第一次努力。将这些国家分为低收入和高收入发展中国家以及转型经济体的分类是基于世界银行的分类以及我们自己基于收入阈值的分类,该阈值是由我们的模型内生估计的。根据国家的国民收入和发展阶段对国家进行分类,产生同质样本,从而对经济增长与收入不平等之间的关系作出更有力的推断。我们在分析中使用了固定效应和动态面板技术,如系统GMM估计来缓解内生性问题。我们发现了强有力的证据表明,低收入发展中国家的经济增长与收入不平等之间存在负相关,而高收入发展中国家和转型经济体的经济增长与收入不平等之间存在正相关。
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引用次数: 1
Analyzing BRIC Competitiveness in the EU-14, Japan, US and Norway 分析金砖四国在欧盟14国、日本、美国和挪威的竞争力
Q4 Economics, Econometrics and Finance Pub Date : 2015-09-01 DOI: 10.3790/AEQ.61.3.229
Thannaletchimy Thanagopal
Constant Market Shares Analysis is useful in explaining the gain in export market shares of a country through two terms – structural and competitive effect. However, the model fails to define the type of competitiveness – whether a country is competitive in terms of prices (price competitiveness) or in terms of non-price factors such as quality and variety (non-price competitiveness). This article attempts to improve this analysis by estimating individual price and non-price competitive effect using an export share equation. Our article is original in representing product quality with a ‘knowledge’ variable that reflects the technological know-how of the country including knowledge spillovers from other countries and industries. Using a highly disaggregated industrial trade data over a period of 16 years (1996 to 2011), we find evidence of competitive effects in BRIC exports towards major industrialized countries namely EU-14 (excluding Luxembourg), Japan, United States and Norway. We also find that this gain in export market share is largely attributed to better price competition rather than non-price competition. The industrial results, however, indicate the presence of non-price competitiveness in selected homogeneous product sectors during this period, suggesting the beginning of a shift in BRIC export competitiveness.
恒定市场份额分析可以通过结构效应和竞争效应两个术语来解释一国出口市场份额的增加。然而,该模型未能定义竞争力的类型-一个国家是在价格方面具有竞争力(价格竞争力)还是在质量和品种等非价格因素方面具有竞争力(非价格竞争力)。本文试图通过使用出口份额方程来估计个体价格和非价格竞争效应来改进这一分析。我们的文章在用“知识”变量表示产品质量方面具有独创性,该变量反映了一个国家的技术知识,包括来自其他国家和行业的知识溢出。利用16年(1996年至2011年)的高度分类的工业贸易数据,我们发现了金砖四国对主要工业化国家即欧盟14国(不包括卢森堡)、日本、美国和挪威出口的竞争效应的证据。我们还发现,这种出口市场份额的增加在很大程度上归因于更好的价格竞争,而不是非价格竞争。然而,工业结果表明,在此期间,在选定的同质产品部门中存在非价格竞争力,这表明金砖四国出口竞争力开始转变。
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引用次数: 3
Simple Analytics of the Dynamic Laffer Curve Under Alternative Financing Schemes 备选融资方案下动态Laffer曲线的简单分析
Q4 Economics, Econometrics and Finance Pub Date : 2015-09-01 DOI: 10.3790/AEQ.61.3.199
Y. Tsuchiya
In this study, we investigate self-financing tax cuts, which are also known as dynamic Laffer effects. By proposing alternative definitions for dynamic Laffer effects, a policy option that features a tax cut should be chosen primarily on the basis of the relative magnitude of government transfers. The simple analytical condition under an alternative financing scheme that leaves current deficits unchanged reduces to a simple comparison between tax revenues and government transfers. Empirical examination of those conditions indicates that whereas countries in Northern and Western Europe, Australia, Canada, New Zealand, Korea, and Mexico show the most potential for experiencing dynamic Laffer effects, countries in Eastern Europe, France, the Netherlands and Portugal were not very susceptible.
在本研究中,我们研究了自筹资金减税,这也被称为动态拉弗效应。通过对动态拉弗效应提出不同的定义,应该主要根据政府转移支付的相对规模来选择以减税为特征的政策方案。在保持当前赤字不变的另一种融资方案下,简单的分析条件可以简化为税收收入与政府转移支付之间的简单比较。对这些条件的实证研究表明,北欧和西欧国家、澳大利亚、加拿大、新西兰、韩国和墨西哥最有可能经历动态的拉弗效应,而东欧国家、法国、荷兰和葡萄牙则不太容易受到影响。
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引用次数: 1
Do Swedish Consumer Confidence Indicators Do What They Are Intended to Do 瑞典消费者信心指数达到预期效果了吗
Q4 Economics, Econometrics and Finance Pub Date : 2015-09-01 DOI: 10.3790/AEQ.61.4.391
Bengt Assarsson, Pär Österholm
In this paper, we investigate whether the two main consumer confidence indicators available for Sweden – that of the National Institute of Economic Research and that of the European Commission – can nowcast Swedish household consumption expenditure. In a simulated out-of sample nowcast exercise, we find that the consumer confidence indicator of the National Institute of Economic Research appears most useful for this purpose. The root mean square error of the nowcast from the model employing this indicator is the lowest of all the studied models which rely on survey data. The nowcasting performance of the model using the consumer confidence indicator of the European Commission is less impressive; while it outperforms the simplest possible benchmark model, its root mean square error is considerably higher than that of the model relying on the consumer confidence indicator of the National Institute of Economic Research. An implication of our findings is that while the European Commission’s survey programme may have been successful in creating a set of harmonised data for the member countries of the European Union, it is not obvious that the harmonised indicators are the most relevant ones for analysis, nowcasting or forecasting in each country.
在本文中,我们研究了瑞典的两个主要消费者信心指标——国家经济研究所和欧盟委员会的消费者信心指标——是否可以预测瑞典家庭消费支出。在模拟的样本外临近预测练习中,我们发现美国国家经济研究所(National Institute of Economic Research)的消费者信心指标似乎对这一目的最有用。采用该指标的临近预报模型的均方根误差是所有依赖调查数据的模型中最低的。使用欧盟委员会(European Commission)消费者信心指标的模型的临近预测表现不那么令人印象深刻;虽然它优于最简单的基准模型,但其均方根误差远远高于依靠美国国家经济研究所消费者信心指标的模型。我们的发现的一个含义是,虽然欧盟委员会的调查计划可能已经成功地为欧盟成员国创建了一套统一的数据,但统一的指标对于每个国家的分析、临近预测或预测是最相关的,这一点并不明显。
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引用次数: 3
Tax Composition and its Impact on Growth in Israel: A Narrative Approach 以色列税收构成及其对经济增长的影响:一种叙事方法
Q4 Economics, Econometrics and Finance Pub Date : 2015-09-01 DOI: 10.3790/AEQ.61.3.293
Yaron Zelekha, Hadas Altit, Vered Baram
This study is unique in using a narrative approach framework to examine whether the very high ratio of indirect to direct taxes in Israel has affected growth in the short term. Indeed, the results suggest that a high ratio of indirect to direct taxes can create a unique environment in which the negative effect of indirect tax increase reaches the negative effect of direct tax increase. The results were stable and robust for both OLS and 2SLS analysis and numerous control variables. Furthermore, the negative effect of indirect tax was achieved in full in the short term, almost exactly as the well-known effect of direct tax documented in many studies. Our interactions analysis suggests that the negative effect of the direct tax is transmitted through both the labor and the capital channels while the negative effect of the indirect tax is transmitted mainly through the capital channel. The results contradict findings on developing countries as well as older results reported in papers on developed countries. Therefore, questions may arise regarding the aims of tax policy in developed countries which usually prefer to raise indirect taxes in order to minimize the negative effects of contractionary fiscal policy.
这项研究的独特之处在于,它使用叙事方法框架来考察以色列非常高的间接税与直接税比率是否在短期内影响了经济增长。事实上,研究结果表明,间接税与直接税的高比率可以创造一种独特的环境,在这种环境中,间接税增加的负面影响达到直接税增加的负面影响。结果对OLS和2SLS分析以及许多控制变量都是稳定和稳健的。此外,间接税的负面影响在短期内完全实现,几乎与许多研究记录的直接税众所周知的影响完全相同。我们的相互作用分析表明,直接税的负面效应通过劳动力和资本渠道传导,而间接税的负面效应主要通过资本渠道传导。这一结果与发展中国家的研究结果以及有关发达国家的论文中较早的研究结果相矛盾。因此,发达国家的税收政策目标可能会出现问题,这些国家通常倾向于提高间接税,以尽量减少紧缩财政政策的负面影响。
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引用次数: 0
EXPLAINING THE DETERMINANTS OF THE FREQUENCY OF EXCHANGE RATE INTERVENTIONS IN PERU USING COUNT MODELS 用计数模型解释秘鲁汇率干预频率的决定因素
Q4 Economics, Econometrics and Finance Pub Date : 2015-09-01 DOI: 10.3790/AEQ.61.3.261
Edgar Neyra, G. Rodríguez
The determinants of the frequency of Central Bank interventions (purchases and sales) in the Peruvian exchange rate market are analyzed using weekly data for the period from January 2001 to December 2010 using count data models (Poisson, Negative Binomial and Zero Inflated). Findings show that the deviations of the logarithm of the exchange rate with respect to a long term trend, previous week’s interventions (persistency), the Embig spread, the spread between interbank interest rates, and the spread of prime corporate interest rates are important determinants. In terms of the models used, the Zero Inflated models allow a better fit and performance in predicting the number of interventions (purchases and sales).
利用2001年1月至2010年12月期间的每周数据,利用计数数据模型(泊松、负二项和零膨胀)分析了中央银行在秘鲁汇率市场干预(购买和销售)频率的决定因素。研究结果表明,汇率的对数相对于长期趋势的偏差、前一周的干预(持久性)、Embig利差、银行间利率息差和主要公司利率息差是重要的决定因素。就所使用的模型而言,零膨胀模型在预测干预(购买和销售)的数量方面具有更好的拟合和性能。
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引用次数: 0
Should Governments Subsidize Agricultural Insurances 政府应该补贴农业保险吗
Q4 Economics, Econometrics and Finance Pub Date : 2015-07-21 DOI: 10.3790/AEQ.61.1.65
G. Regos
The aim of this study is to investigate the macroeconomic effects of state subsidies for agricultural insurance. From the policy’s point of view, the issue is important as this subsidy is a common and widely applied practice in many countries, though it does not exist in others; so the welfare effects of the subsidy need to be investigated—which investigation is the main contribution of the paper. A possible reason for this subsidy’s existence might be that agricultural insurances by themselves attain only a low penetration rate due to several factors, for example low-risk sensitivity, high premiums, and governments’ ad hoc subsidy policies. Thus, an enabling of risk management is an advantage of the subsidy. According to our results, agricultural insurance subsidizing does not have any significant welfare effect for the user and does not influence the economy’s output significantly; however, it is beneficial for agricultural producers, so one might wish to recommend such a policy if seeking to promote agriculture.
本研究的目的是探讨国家补贴农业保险的宏观经济效应。从政策的角度来看,这个问题很重要,因为这种补贴在许多国家是一种普遍和广泛应用的做法,尽管在其他国家并不存在;因此,需要对补贴的福利效应进行调查,这一调查是本文的主要贡献。这种补贴存在的一个可能原因是,农业保险本身由于风险敏感性低、保费高、政府特别补贴政策等因素,只能实现较低的渗透率。因此,使风险管理成为可能是补贴的一个优势。研究结果表明,农业保险补贴对使用者没有显著的福利效应,对经济产出也没有显著影响;然而,这对农业生产者是有益的,所以如果寻求促进农业,人们可能希望推荐这样的政策。
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引用次数: 2
期刊
Applied Economics Quarterly
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