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The Three-factor Model and China’s Multiple Stock Markets 三因素模型与中国多元股市
IF 0.7 Q3 ECONOMICS Pub Date : 2019-12-04 DOI: 10.1142/s1793993319500169
Shi-Zhuan Han, Li Zhang, Guangjie Han, Lei Wang
This paper aims at discussing the applicability of the three-factor model in China’s multiple security markets. The monthly returns of Shenzhen Main Board Market, Shanghai Stock Market, GEM Securities Market and Small and Medium Board Securities Market from January 2012 to December 2016 are selected as samples. The following conclusions are drawn: the three-factor model is applicable in Shenzhen Main Board Market, that is, the change of stock return is proportional to market factor, book-to-market ratio factor, and inversely proportional to scale factor. Moreover, in terms of the explanatory power of the change of stock return, the market factor is the highest, the scale factor is the second, and the book-to-market ratio factor is the lowest. But in the other three markets, the two-factors model that excludes the ratio of book market value can explain the change of stock return better. In addition, the explanatory power of market factor is better than scale factor.
本文旨在探讨三因素模型在中国多重证券市场中的适用性。选取2012年1月至2016年12月深圳主板市场、上海股票市场、创业板证券市场和中小板证券市场的月度收益作为样本。得出以下结论:三因素模型适用于深圳主板市场,即股票收益的变化与市场因素成正比,与账面市值比因素成正比,与规模因素成反比。此外,在股票收益变化的解释力方面,市场因子最高,规模因子次之,账面市值比因子最低。而在其他三个市场中,排除账面市值比例的双因素模型可以更好地解释股票收益的变化。此外,市场因素的解释力优于规模因素。
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引用次数: 1
Export Sophistication and Outward FDI in Developing Countries 发展中国家的出口成熟度与对外直接投资
IF 0.7 Q3 ECONOMICS Pub Date : 2019-12-04 DOI: 10.1142/s1793993319500170
Jie Li
Using panel data of Brazil, Russia, India, China and South Africa (BRICS) from 1990 to 2010, we find strong evidence that outward FDI from BRICS is significantly associated with “better exports, measured by EXPY, an index developed by Hausmann et al. (2007). Every 1% increase in outward FDI leads to around 0.1% improvement in export sophistication (EXPY). Meanwhile, inward FDI does not seem to improve BRICS’ export sophistication.
利用1990年至2010年巴西、俄罗斯、印度、中国和南非(金砖国家)的面板数据,我们发现强有力的证据表明,金砖国家的对外直接投资与“更好的出口”(由Hausmann等人(2007)开发的指数EXPY衡量)显著相关。对外直接投资每增加1%,出口成熟度(EXPY)就会提高0.1%左右。与此同时,流入的FDI似乎并没有提高金砖国家的出口成熟度。
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引用次数: 2
Sector-Level Competition and Export: Evidence from Exporter Dynamics Database 行业层面的竞争与出口:来自出口商动态数据库的证据
IF 0.7 Q3 ECONOMICS Pub Date : 2019-12-04 DOI: 10.1142/s1793993319500133
Ş. Babuşcu, Adalet Hazar, M. N. Solakoğlu, Cengiz Tunç
We study the effect of sector-level competition on export by utilizing the Exporter Dynamics Database of the World Bank that provides sector-level competition measure along with destination-specific detailed export data. The results of the analysis show a nonlinear effect of sector-level competition on export. While at less competitive sectors, an increase in competition depresses export, at highly competitive sectors, an increase in competition generates a trade-promoting effect on export. The observed nonlinear effect is robust across sectors and countries. Therefore, productivity of peer firms could generate negative effect on a firm’s export performance contrary to the usual positive effect of a firm’s own productivity.
我们利用世界银行的出口商动态数据库来研究行业层面竞争对出口的影响,该数据库提供了行业层面的竞争指标以及特定目的地的详细出口数据。分析结果表明,行业竞争对出口的影响是非线性的。在竞争较弱的部门,竞争的增加会抑制出口,而在竞争较强的部门,竞争的增加会对出口产生促进贸易的作用。所观察到的非线性效应是跨部门和国家的。因此,同行企业的生产率可能会对企业的出口绩效产生负面影响,而不是企业自身生产率通常的积极影响。
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引用次数: 1
Effect of Export Upgrading on Financial Development 出口升级对金融发展的影响
IF 0.7 Q3 ECONOMICS Pub Date : 2019-12-04 DOI: 10.1142/S1793993319500121
S. Gnangnon
Using a panel dataset comprising 137 countries (both developed and developing countries) over the period 1970–2010, this paper has examined the effect of export upgrading (i.e., export product diversification and export product quality improvement) on financial development. The findings suggest that export product diversification and export product quality improvement influence positively and significantly financial development in high income countries (HICs) and developing countries alike. However, for least developed countries (LDCs), export product diversification promotes financial development, but export product quality improvement exerts a negative effect on financial development.
本文使用一个包含137个国家(包括发达国家和发展中国家)1970-2010年的面板数据集,研究了出口升级(即出口产品多样化和出口产品质量改善)对金融发展的影响。研究结果表明,出口产品多样化和出口产品质量改善对高收入国家和发展中国家的金融发展都有积极而显著的影响。然而,对于最不发达国家而言,出口产品多样化促进了金融发展,但出口产品质量的提高对金融发展产生了负面影响。
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引用次数: 8
The “China Miracle”: Thinking on Economic Theory Innovation “中国奇迹”:关于经济理论创新的思考
IF 0.7 Q3 ECONOMICS Pub Date : 2019-10-01 DOI: 10.1142/s1793993319500145
Bin Xia
Starting with explaining the differences between theory and experience, based on various schools of economic theories, this paper sorts out and evaluates different views of Chinese Economists’ theoretical summaries of the “economic miracle” for 40 years since reform and opening-up, and then analyses four fundamental reasons behind the divergence among the economists. The paper expresses the understanding of Chinese Economics, the School of Chinese Economics and the Socialist Political Economy with Chinese Characteristics and puts forward several issues for further improvement on innovations of economic theory.
本文从解释理论与经验的差异入手,以不同的经济理论流派为基础,对中国经济学家对改革开放40年来“经济奇迹”的理论总结的不同观点进行梳理和评价,并分析了经济学家分歧背后的四个根本原因。本文阐述了对中国经济学、中国经济学派和中国特色社会主义政治经济学的认识,提出了进一步完善经济理论创新的几个问题。
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引用次数: 0
Cross-Border Shopping and Employment Patterns in the Southwestern United States 美国西南部的跨境购物与就业模式
IF 0.7 Q3 ECONOMICS Pub Date : 2019-10-01 DOI: 10.1142/s1793993319500157
T. Fullerton, A. Walke
Price differentials, among other factors, persuade many residents of Northern Mexico to shop in the Southwestern United States border region. Employment patterns in the latter region are studied using a set of control variables and two indicators that are likely to influence cross-border shopping patterns. The first is a real exchange rate index, which captures changes in relative prices in the United States and Mexico. The second is real per capita gross state product in Mexican states adjacent to the international boundary. Both of these variables are found to impact retail and restaurant employment in the United States border zone, confirming that cross-border shopping influences labor market conditions in that region. Furthermore, the estimated elasticities vary across retail sub-sectors in ways that are generally consistent with prior research. Overall, the results suggest that economic setbacks in Northern Mexico and real peso depreciations are likely to have adverse consequences for important sectors of border economies in the United States.
价格差异和其他因素促使墨西哥北部的许多居民到美国西南部边境地区购物。后一区域的就业模式是用一套可能影响跨境购物模式的控制变量和两个指标来研究的。第一个是实际汇率指数,它反映了美国和墨西哥相对价格的变化。第二个是毗邻国际边界的墨西哥各州的实际人均州生产总值。这两个变量都影响了美国边境地区的零售和餐馆就业,证实了跨境购物影响了该地区的劳动力市场状况。此外,估计的弹性在零售子行业之间的差异与先前的研究大致一致。总体而言,结果表明,墨西哥北部的经济挫折和实际比索贬值可能对美国边境经济的重要部门产生不利影响。
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引用次数: 3
Unconventional Monetary Policy in Japan: Empirical Evidence from Estimated Shadow Rate DSGE Model 日本非常规货币政策:来自影子利率DSGE模型的经验证据
IF 0.7 Q3 ECONOMICS Pub Date : 2019-07-31 DOI: 10.1142/S1793993319500078
Rui Wang
The Zero Lower Bound (ZLB) on short nominal interest rates has imposed serious constraint on stimulating and stabilizing economy of major central banks. Analysis of monetary policy by Dynamic Stochastic General Equilibrium (DSGE) models under the existence of ZLB has also been an important issue from both practical and academic views for central banks and macroeconomists. However, the nonlinearity of ZLB constraint makes linear solution and estimation techniques of DSGE models unreliable and impractical. In many recent empirical works, it has been proved that the shadow rate can be used as an accurate proxy to represent the stance of unconventional monetary policy in the ZLB environment. We use shadow rate to estimate a medium-scale DSGE model based on the theoretical foundation proposed by Wu and Zhang (2016). A shadow rate New Keynesian model (No. w22856). National Bureau of Economic Research, and conduct counterfactual simulation exercises to quantify the macroeconomic effects of unconventional monetary policy implemented by Bank of Japan (BoJ). Compared with the estimation results of pre-ZLB sub-sample (1980Q1–1998Q4), the structural parameters estimated from full-sample (1980Q1–2016Q3) with the shadow rate still have very reasonable values that are consistent with most related medium-scale DSGE literature. The statistical properties of model dynamics implied by two groups of estimation are also very close. Counterfactual simulation shows that without the unconventional monetary policy, macroeconomic variables would have worse performance than their actual realizations.
短期名义利率零下限对各国央行刺激和稳定经济产生了严重的制约作用。利用动态随机一般均衡(DSGE)模型分析ZLB存在下的货币政策,也一直是央行和宏观经济学家在实践和学术上关注的重要问题。然而,ZLB约束的非线性使得DSGE模型的线性求解和估计技术不可靠且不实用。在最近的许多实证工作中,已经证明影子利率可以作为代表ZLB环境下非常规货币政策立场的准确代理。在Wu和Zhang(2016)提出的理论基础上,我们使用阴影率来估计中尺度DSGE模型。新凯恩斯主义模型(No。w22856)。并进行反事实模拟练习,以量化日本银行(BoJ)实施的非常规货币政策的宏观经济影响。与pre-ZLB子样本(1980Q1-1998Q4)的估计结果相比,基于阴影率的全样本(1980Q1-2016Q3)估计的结构参数仍然具有非常合理的值,与大多数相关的中尺度DSGE文献一致。两组估计所暗示的模型动力学的统计性质也非常接近。反事实模拟表明,如果没有非常规货币政策,宏观经济变量的表现将比它们的实际实现更差。
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引用次数: 5
Environmental Pollution, Income Inequality, and Household Energy Consumption: Evidence from the United Kingdom 环境污染、收入不平等与家庭能源消耗:来自英国的证据
IF 0.7 Q3 ECONOMICS Pub Date : 2019-07-31 DOI: 10.1142/S179399331950008X
Sudeshna Ghosh
This study explored the impact of income inequality, household energy consumption, government expenditure, and investment on carbon dioxide emissions at the household level over the period 1970–2015 in the United Kingdom. The study applied Clemente–Montanes–Reyes unit root test to identify structural break in the time series. Further, the cointegrating relationship of the time series observations was explored by applying the autoregressive distributed lag model (ARDL) (linear) bounds test approach along with the nonlinear ARDL for making fruitful comparisons in the long-run relationship among the variables. The paper used Bayer–Hanck combined cointegration method for robustness test in the cointegrating methods. In addition, the causality analysis was explored using the Toda–Yamato (1995) method of Granger causality. The results confirmed the existence of cointegration among the variables.The estimated NARDL results show that in the long run the negative asymmetric impact of the income inequality is stronger than the positive impact. The paper concludes that there is an urgent need to reduce income inequality in the United Kingdom to improve equitable consumption of energy at the household level. Last the causality test shows that there exists unidirectional causality from inequality transmission to carbon emissions.
本研究探讨了1970-2015年期间英国收入不平等、家庭能源消费、政府支出和投资对家庭二氧化碳排放的影响。本研究采用Clemente-Montanes-Reyes单位根检验来识别时间序列中的结构性断裂。进一步,利用自回归分布滞后模型(ARDL)(线性)界检验方法和非线性ARDL对时间序列观测的协整关系进行了探讨,对变量之间的长期关系进行了富有成效的比较。在协整方法中,本文采用bayer - hank组合协整法进行稳健性检验。此外,利用Toda-Yamato(1995)的Granger因果关系方法对因果关系进行了探讨。结果证实了变量之间存在协整。估计的NARDL结果表明,从长期来看,收入不平等的负面不对称影响强于积极影响。本文的结论是,迫切需要减少英国的收入不平等,以提高家庭层面的公平能源消费。最后,因果关系检验表明,不平等传导与碳排放之间存在单向因果关系。
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引用次数: 6
Labor Market and Household Debt in Asia Pacific Countries: Dynamic Heterogeneous Panel Data Analysis 亚太国家劳动力市场与家庭债务:动态异质性面板数据分析
IF 0.7 Q3 ECONOMICS Pub Date : 2019-07-31 DOI: 10.1142/S179399331950011X
Suhal Kusairi, S. Muhamad, M. Musdholifah, Shu-Chen Chang
An overwhelming increase in household debt in the last decade has stirred researchers to explore the determinants of this phenomena, especially the role of the labor market. This paper comes to identify these determinants using the macro panel data from Asia Pacific countries for 1994–2016 and dynamic heterogeneous panel data analysis. The empirical results found that household consumption, housing price index, and labor force have a long-run positive relationship with household debt. In contrast, the unemployment rate and dependency ratio have a long-run negative relationship with household debt. This implies that when consumption, housing price, and labor force increase, then the household debt will increase, and when the unemployment rate and dependency ratio increase, the household debt will decrease. Also, in the short-run, public debt does affect private consumption, and it is not different among countries. The labor market, as represented by the unemployment rate, dependency ratio, and labor force, has a strong effect on the household debt in the long-run. Based on these findings, the government should pay more attention to the household debt related to property and commodity markets because they expose the short-run volatility and create problems for the long-term.
在过去十年中,家庭债务的压倒性增长促使研究人员探索这一现象的决定因素,特别是劳动力市场的作用。本文利用1994-2016年亚太国家的宏观面板数据和动态异质性面板数据分析来确定这些决定因素。实证结果发现,家庭消费、房价指数和劳动力与家庭债务存在长期正相关关系。相反,失业率和抚养比与家庭债务呈长期负相关。这意味着,当消费、房价和劳动力增加时,家庭债务就会增加,当失业率和抚养比增加时,家庭债务就会减少。此外,在短期内,公共债务确实会影响私人消费,而且各国之间也没有什么不同。从长期来看,以失业率、抚养比和劳动力为代表的劳动力市场对家庭债务有很强的影响。基于这些发现,政府应该更加关注与房地产和大宗商品市场相关的家庭债务,因为它们暴露了短期的波动,并为长期带来了问题。
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引用次数: 9
Interest Groups, Policy Responses to Global Shocks, and the Relative Likelihood of Currency Crashes Versus Banking Crises 利益集团,对全球冲击的政策反应,货币崩溃与银行危机的相对可能性
IF 0.7 Q3 ECONOMICS Pub Date : 2019-07-31 DOI: 10.1142/S1793993319500108
Jacob M. Meyer, Nicholas R. Jenkins
Shocks to global interest rates or risk cause capital outflows for countries outside the core of the global financial system. These outflows lead to downward pressure on exchange rates and financial sector stress, in addition to having general contractionary effects. To defend the exchange rate, the appropriate internal response is a fiscal/monetary contraction. To maintain full employment and financial stability, the appropriate internal response is fiscal/monetary expansion. The contradiction in these policy responses implies policymakers prioritize hitting either internal or external targets after these shocks; but how do they decide? Using a fixed effects model and data from 100 emerging market and developing economies from 1990 to 2012, we show that the relative sensitivity of interest groups to these policy responses influences which response occurs. We find some evidence that this effect is stronger in the presence of more political-institutional constraints. Using a strategic probit model, we also find some evidence that this policy response influences the relative likelihood of banking crises versus currency crashes after these global shocks.
全球利率或风险的冲击导致全球金融体系核心以外的国家出现资本外流。这些资金外流除了产生普遍的收缩效应外,还会给汇率带来下行压力,给金融部门带来压力。为了捍卫汇率,适当的内部应对措施是财政/货币紧缩。为了保持充分就业和金融稳定,适当的内部应对措施是财政/货币扩张。这些政策反应的矛盾意味着,在这些冲击之后,政策制定者优先考虑实现内部或外部目标;但是他们是如何决定的呢?使用固定效应模型和1990年至2012年100个新兴市场和发展中经济体的数据,我们表明利益集团对这些政策反应的相对敏感性影响了哪种反应发生。我们发现一些证据表明,在存在更多政治制度约束的情况下,这种效应会更强。使用战略概率模型,我们还发现了一些证据,表明在这些全球冲击之后,这种政策反应会影响银行危机与货币崩溃的相对可能性。
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引用次数: 0
期刊
Journal of International Commerce Economics and Policy
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