Abstract The world will experience dramatic demographic change over this century. This paper examines the impacts of the global demographic change on the Australian economy at both aggregate and sectoral levels in a global multi-region and multi-sector general equilibrium model. Using a detailed structural model, we simulate demographic shocks of six regions in the world economy as well as Australia's own demographic shock to investigate their impacts on Australian macroeconomic conditions, economic structure, and trade patterns. The results suggest that demographic change in different regions of the world economy will have different impacts on sectors in Australia depending on trade patterns between Australia and other regions. The energy, mining, and durable manufacturing sectors in Australia are the most affected. Demographic change in China, Japan, and Korea has significant negative impacts on Australia, but partly offsetting these shocks are positive demographic shocks from emerging Asia. The overall impact of the rest of the world on Australian GDP is quantitatively negligible, but the impacts on the real interest rate and trade balances are significant. Global demographic change increases Australian real interest rates in the next two decades on the assumption that emerging countries can access global capital markets and take advantage of their demographic dividends.
{"title":"Macroeconomic Impacts of Global Demographic Change: The Case of Australia*","authors":"Weifeng Liu, Warwick McKibbin","doi":"10.1162/asep_a_00857","DOIUrl":"https://doi.org/10.1162/asep_a_00857","url":null,"abstract":"Abstract The world will experience dramatic demographic change over this century. This paper examines the impacts of the global demographic change on the Australian economy at both aggregate and sectoral levels in a global multi-region and multi-sector general equilibrium model. Using a detailed structural model, we simulate demographic shocks of six regions in the world economy as well as Australia's own demographic shock to investigate their impacts on Australian macroeconomic conditions, economic structure, and trade patterns. The results suggest that demographic change in different regions of the world economy will have different impacts on sectors in Australia depending on trade patterns between Australia and other regions. The energy, mining, and durable manufacturing sectors in Australia are the most affected. Demographic change in China, Japan, and Korea has significant negative impacts on Australia, but partly offsetting these shocks are positive demographic shocks from emerging Asia. The overall impact of the rest of the world on Australian GDP is quantitatively negligible, but the impacts on the real interest rate and trade balances are significant. Global demographic change increases Australian real interest rates in the next two decades on the assumption that emerging countries can access global capital markets and take advantage of their demographic dividends.","PeriodicalId":52020,"journal":{"name":"Asian Economic Papers","volume":"21 1","pages":"78-111"},"PeriodicalIF":9.7,"publicationDate":"2022-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43619701","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract This paper studies the impact of digital transformation on the ex post risk differentiation of large and small banks, measured by nonperforming loan (NPL) ratios. It uses the Digital Transformation Index of Commercial Banks compiled by the Institute of Digital Finance of Peking University, which contains data on three dimensions—cognition, organization and products—for 97 banks from 2011 to 2018. The three main findings are: (1) the digital transformation of cognition and organization only affects the NPL ratio through the digital transformation of products; (2) the digital transformation of products only increases the NPL ratio of small banks, but not large banks; and (3) the reason for the above results is that, in fulfillment of the mandatory requirement of lending to the micro-, small, and medium-sized enterprises (MSMEs), digital transformation makes it easier for large banks to discount commercial bills held by MSMEs, thereby pushing small banks to extend corporate loans to MSMEs, which have higher risks.
{"title":"Digital Transformation and Risk Differentiation in the Banking Industry: Evidence from Chinese Commercial Banks","authors":"Xinran Cao, Boyu Han, Yiping Huang, Xuanli Xie","doi":"10.1162/asep_a_00853","DOIUrl":"https://doi.org/10.1162/asep_a_00853","url":null,"abstract":"Abstract This paper studies the impact of digital transformation on the ex post risk differentiation of large and small banks, measured by nonperforming loan (NPL) ratios. It uses the Digital Transformation Index of Commercial Banks compiled by the Institute of Digital Finance of Peking University, which contains data on three dimensions—cognition, organization and products—for 97 banks from 2011 to 2018. The three main findings are: (1) the digital transformation of cognition and organization only affects the NPL ratio through the digital transformation of products; (2) the digital transformation of products only increases the NPL ratio of small banks, but not large banks; and (3) the reason for the above results is that, in fulfillment of the mandatory requirement of lending to the micro-, small, and medium-sized enterprises (MSMEs), digital transformation makes it easier for large banks to discount commercial bills held by MSMEs, thereby pushing small banks to extend corporate loans to MSMEs, which have higher risks.","PeriodicalId":52020,"journal":{"name":"Asian Economic Papers","volume":"21 1","pages":"1-21"},"PeriodicalIF":9.7,"publicationDate":"2022-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44353476","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract Although entrepreneurship plays a key role in economic development, its precise effect remains largely unknown. This is because it is challenging to objectively measure entrepreneurship and identify its determinants. In this paper, we analyze the effect of a particular feature of the institutional landscape, namely, corruption, on entrepreneurship. It is expected that corruption discourages entrepreneurship because it undermines fair competition. We use two proxies for entrepreneurship that are widely used in the literature: (1) nascent entrepreneurship collected from Global Entrepreneurship Monitor, and (2) entry rate defined as the number of new firms divided by the total number of previous year's registered businesses, collected from World Bank Group Entrepreneurship Survey. We find that better control of corruption promotes entrepreneurship. Our evidence is stronger when we use entry rate as a proxy of entrepreneurship. Our findings are preserved when we add other determinants of entrepreneurship drawn from the literature. When we use legal origins as instruments for corruption, our results remain essentially the same. The size of population, a proxy for market size, is positively associated with entrepreneurship while corporate taxes are negatively associated.
{"title":"Does Corruption Discourage Entrepreneurship?*","authors":"Donghyun Park, Kwanho Shin","doi":"10.1162/asep_a_00855","DOIUrl":"https://doi.org/10.1162/asep_a_00855","url":null,"abstract":"Abstract Although entrepreneurship plays a key role in economic development, its precise effect remains largely unknown. This is because it is challenging to objectively measure entrepreneurship and identify its determinants. In this paper, we analyze the effect of a particular feature of the institutional landscape, namely, corruption, on entrepreneurship. It is expected that corruption discourages entrepreneurship because it undermines fair competition. We use two proxies for entrepreneurship that are widely used in the literature: (1) nascent entrepreneurship collected from Global Entrepreneurship Monitor, and (2) entry rate defined as the number of new firms divided by the total number of previous year's registered businesses, collected from World Bank Group Entrepreneurship Survey. We find that better control of corruption promotes entrepreneurship. Our evidence is stronger when we use entry rate as a proxy of entrepreneurship. Our findings are preserved when we add other determinants of entrepreneurship drawn from the literature. When we use legal origins as instruments for corruption, our results remain essentially the same. The size of population, a proxy for market size, is positively associated with entrepreneurship while corporate taxes are negatively associated.","PeriodicalId":52020,"journal":{"name":"Asian Economic Papers","volume":"21 1","pages":"40-59"},"PeriodicalIF":9.7,"publicationDate":"2022-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49635398","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract In this note, we review recent data concerning Russia's economic integration with other countries. We first analyze the general picture of Russia's economic integration with the rest of the world and the importance of foreign economic relations for the country. We then turn to China, an increasingly significant economic partner for Russia. The European Union remains Russia's most important trading partner and is by far the most important source of foreign direct investment to Russia as well as source of other financing. China's importance to Russia has also increased, especially with respect to merchandise trade.
{"title":"How Important Are Russia's External Economic Links?","authors":"I. Korhonen, H. Simola","doi":"10.1162/asep_a_00848","DOIUrl":"https://doi.org/10.1162/asep_a_00848","url":null,"abstract":"Abstract In this note, we review recent data concerning Russia's economic integration with other countries. We first analyze the general picture of Russia's economic integration with the rest of the world and the importance of foreign economic relations for the country. We then turn to China, an increasingly significant economic partner for Russia. The European Union remains Russia's most important trading partner and is by far the most important source of foreign direct investment to Russia as well as source of other financing. China's importance to Russia has also increased, especially with respect to merchandise trade.","PeriodicalId":52020,"journal":{"name":"Asian Economic Papers","volume":"21 1","pages":"1-13"},"PeriodicalIF":9.7,"publicationDate":"2022-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45664500","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract This paper provides empirical evidence that supports the continuing importance of machinery international production networks (IPNs) in East Asia. We first confirm their robustness and resilience, even during the coronavirus disease (COVID-19) pandemic, as well as the significance of East Asian countries as suppliers of machinery final products and parts and components for the world. Then, we demonstrate how deeply East Asian countries are committed to machinery IPNs by applying a gravity equation to pre-pandemic bilateral machinery trade and comparing actual values with fitted values of the estimated equation. The gravity estimation exercise indicates that machinery trade is basically regional—within Factory Asia, Factory North America, and Factory Europe—but Factory Asia also has strong inter-regional linkages. It also verifies that ASEAN has played an important role in Factory Asia, going far beyond the gravity prediction, for the development of machinery IPNs.
{"title":"East Asian Production Networks Go Beyond the Gravity Prediction","authors":"M. Ando, F. Kimura, Kenta Yamanouchi","doi":"10.1162/asep_a_00852","DOIUrl":"https://doi.org/10.1162/asep_a_00852","url":null,"abstract":"Abstract This paper provides empirical evidence that supports the continuing importance of machinery international production networks (IPNs) in East Asia. We first confirm their robustness and resilience, even during the coronavirus disease (COVID-19) pandemic, as well as the significance of East Asian countries as suppliers of machinery final products and parts and components for the world. Then, we demonstrate how deeply East Asian countries are committed to machinery IPNs by applying a gravity equation to pre-pandemic bilateral machinery trade and comparing actual values with fitted values of the estimated equation. The gravity estimation exercise indicates that machinery trade is basically regional—within Factory Asia, Factory North America, and Factory Europe—but Factory Asia also has strong inter-regional linkages. It also verifies that ASEAN has played an important role in Factory Asia, going far beyond the gravity prediction, for the development of machinery IPNs.","PeriodicalId":52020,"journal":{"name":"Asian Economic Papers","volume":"14 1","pages":"78-101"},"PeriodicalIF":9.7,"publicationDate":"2022-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41296837","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract The purpose of this paper is to contribute to the contemporary policy debate on the industrialization strategy in developing countries by analyzing policy regime shifts and outcomes in Sri Lanka during the post-independence era. The analysis is guided by the received body of knowledge relating to the challenges faced by a small economy that takes world prices as given and is unable to affect world demand and supply in designing national industrialization strategy in this era of economic globalization. The findings demonstrate that the backlash against liberalization reforms in the contemporary Sri Lankan policy debate is largely based on ideological predilections rather than factual analysis. The comparative analysis of Sri Lanka's industrialization experience during the state-led import-substitution era and that of the post-reform era (in particular during the first two decades) makes a strong case for reconsidering the merit of the emerging emphasis on combining import substitution with export orientation with a sector specific focus. Selective policies to promote import substitution essentially impose a “tax” on export producers.
{"title":"Rethinking Sri Lanka's Industrialization Strategy: Achievements, Lost Opportunities and Prospects","authors":"P. Athukorala","doi":"10.1162/asep_a_00849","DOIUrl":"https://doi.org/10.1162/asep_a_00849","url":null,"abstract":"Abstract The purpose of this paper is to contribute to the contemporary policy debate on the industrialization strategy in developing countries by analyzing policy regime shifts and outcomes in Sri Lanka during the post-independence era. The analysis is guided by the received body of knowledge relating to the challenges faced by a small economy that takes world prices as given and is unable to affect world demand and supply in designing national industrialization strategy in this era of economic globalization. The findings demonstrate that the backlash against liberalization reforms in the contemporary Sri Lankan policy debate is largely based on ideological predilections rather than factual analysis. The comparative analysis of Sri Lanka's industrialization experience during the state-led import-substitution era and that of the post-reform era (in particular during the first two decades) makes a strong case for reconsidering the merit of the emerging emphasis on combining import substitution with export orientation with a sector specific focus. Selective policies to promote import substitution essentially impose a “tax” on export producers.","PeriodicalId":52020,"journal":{"name":"Asian Economic Papers","volume":"21 1","pages":"14-37"},"PeriodicalIF":9.7,"publicationDate":"2022-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41910216","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract This study examines the risk of premature deindustrialization in latecomer developing countries in Asia, focusing on their manufacturing output ratio. Diverging from the literature that treats Asian economies as a group with comparative advantages in manufacturing, this empirical analysis adopts the latecomer index to demonstrate downward shifts in the latecomers’ manufacturing–income relationship, implying a premature deindustrialization risk. Furthermore, it shows that the risk is higher for manufacturing trade-deficit countries (compared with trade-surplus countries) and for South Asian countries (compared with Southeast Asian countries). Therefore, Asian economies should improve their logistics performance for greater global value chain participation to avoid premature deindustrialization.
{"title":"Premature Deindustrialization Risk in Asian Latecomer Developing Economies","authors":"Hiroyuki Taguchi, Yuta Tsukada","doi":"10.1162/asep_a_00851","DOIUrl":"https://doi.org/10.1162/asep_a_00851","url":null,"abstract":"Abstract This study examines the risk of premature deindustrialization in latecomer developing countries in Asia, focusing on their manufacturing output ratio. Diverging from the literature that treats Asian economies as a group with comparative advantages in manufacturing, this empirical analysis adopts the latecomer index to demonstrate downward shifts in the latecomers’ manufacturing–income relationship, implying a premature deindustrialization risk. Furthermore, it shows that the risk is higher for manufacturing trade-deficit countries (compared with trade-surplus countries) and for South Asian countries (compared with Southeast Asian countries). Therefore, Asian economies should improve their logistics performance for greater global value chain participation to avoid premature deindustrialization.","PeriodicalId":52020,"journal":{"name":"Asian Economic Papers","volume":"21 1","pages":"61-77"},"PeriodicalIF":9.7,"publicationDate":"2022-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45682485","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract This paper evaluates the minimum living standard guarantee program (Dibao) in rural China using several methods including the income approach, the multidimensional poverty approach, and a proxy means test approach. We find that the targeting accuracy of the program appears greater the more comprehensive the evaluation method used—but all these methods find low levels of targeting accuracy. Because Dibao fund allocation is largely decided by the villagers, who take a more holistic view in selecting “poor” households than the various evaluation methods, we argue that the low targeting efficacy may be due to the lack of comprehensive evaluation method, as opposed to the low targeting of the program itself. This paper argues that the community-based targeting used by the Dibao program may be a better way to combat poverty in many developing countries, as it requires less administrative capacity and overcomes the difficulties of identifying poor households that qualify for assistance.
{"title":"When Poverty Reduction Meets Democracy: An Investigation into the Use of Different Evaluation Methods for Assessing the Effectiveness of a Social Program*","authors":"Peng Zhan, Shi Li, Yangyang Shen, Xiaobing Wang","doi":"10.1162/asep_a_00850","DOIUrl":"https://doi.org/10.1162/asep_a_00850","url":null,"abstract":"Abstract This paper evaluates the minimum living standard guarantee program (Dibao) in rural China using several methods including the income approach, the multidimensional poverty approach, and a proxy means test approach. We find that the targeting accuracy of the program appears greater the more comprehensive the evaluation method used—but all these methods find low levels of targeting accuracy. Because Dibao fund allocation is largely decided by the villagers, who take a more holistic view in selecting “poor” households than the various evaluation methods, we argue that the low targeting efficacy may be due to the lack of comprehensive evaluation method, as opposed to the low targeting of the program itself. This paper argues that the community-based targeting used by the Dibao program may be a better way to combat poverty in many developing countries, as it requires less administrative capacity and overcomes the difficulties of identifying poor households that qualify for assistance.","PeriodicalId":52020,"journal":{"name":"Asian Economic Papers","volume":"21 1","pages":"38-60"},"PeriodicalIF":9.7,"publicationDate":"2022-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46265672","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-03-29DOI: 10.1007/s11356-022-19790-y
Ning Li, Yingshuai Liu, Junzhi Zhang, Chao Li, Yuan Ji, Weilong Liu
This paper presents an energy consumption evaluation method for electric vehicles under different cooling and heating conditions. First, using the actual driving test data of electric vehicles, the weight coefficient of the energy consumption value per 100 km of the electric vehicle undercooling, heating, and non-cooling heating is obtained by the least-square method in the comprehensive energy consumption value of the electric vehicle per 100 km throughout the year. Then, the above weight coefficients are combined with the test results of the bench test to obtain the comprehensive energy consumption per 100 km of the electric vehicle in the whole year. The relevant vehicles are tested, and the simulation and experimental results show that the obtained weight coefficients of the least-squares method can better reflect the real energy consumption of the entire vehicle, and the energy consumption of 100 km is an evaluation method for electric vehicles. A feasible evaluation method is proposed in this paper.
{"title":"Research on energy consumption evaluation of electric vehicles for thermal comfort.","authors":"Ning Li, Yingshuai Liu, Junzhi Zhang, Chao Li, Yuan Ji, Weilong Liu","doi":"10.1007/s11356-022-19790-y","DOIUrl":"10.1007/s11356-022-19790-y","url":null,"abstract":"<p><p>This paper presents an energy consumption evaluation method for electric vehicles under different cooling and heating conditions. First, using the actual driving test data of electric vehicles, the weight coefficient of the energy consumption value per 100 km of the electric vehicle undercooling, heating, and non-cooling heating is obtained by the least-square method in the comprehensive energy consumption value of the electric vehicle per 100 km throughout the year. Then, the above weight coefficients are combined with the test results of the bench test to obtain the comprehensive energy consumption per 100 km of the electric vehicle in the whole year. The relevant vehicles are tested, and the simulation and experimental results show that the obtained weight coefficients of the least-squares method can better reflect the real energy consumption of the entire vehicle, and the energy consumption of 100 km is an evaluation method for electric vehicles. A feasible evaluation method is proposed in this paper.</p>","PeriodicalId":52020,"journal":{"name":"Asian Economic Papers","volume":"8 1","pages":""},"PeriodicalIF":5.8,"publicationDate":"2022-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86529908","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-03-01DOI: 10.1162/asep.2005.4.2.128
Kathryn J. Edin, H. L. Shaefer, D. Schanzenbach
Willim Poole: Mislikin's paper provides a thorough examination of efficient-markets theory and many useful ideas on its implications for macro models and monetary policy. His empirical results replicate and extend previous work on efficient markets. His work is careful and thorough. As far as I can see from reading the paper, he has been extremely careful in his treatment of the data and in his statistical analysis. Mishkin's empirical work uncovers only one puzzle. In equation 29, when he regresses the return from holding common stocks on the threemonth treasury bill rate, he finds a negative coefficient rather than the positive one predicted by the theory. The efficient-markets model, of course, predicts that, except for differences in returns due to risk and liquidity premiums, returns should be equalized on all assets; but Mishkin's equation comes up with the result that when the treasury bill rate is high, the rate of return expected on stocks is low. To understand that equation, suppose that the bill rate is relatively high at 8 percent. The quarterly rate of return on bills in decimal form is then 0.02. A bill rate of 0.02 times the regression coefficient of about -5.0 is -0.10. Add to this figure the constant term in the equation of 0.08, and a per quarter expected return is obtained from holding common stocks of -0.02, or -8 percent per year. Similarly, when the bill rate is relatively low-say 4 percent per year or 0.01 per quarter-the expected return on common stock is 0.03 per quarter or 12 percent at an annual rate. The puzzle is how the expected return on common stocks can be negative when treasury bills earing a positive rate of return can always be held. A possible explanation for this result depends on the existence of transactions costs. The time series of changes in the bill rate displays
{"title":"Comments and Discussion","authors":"Kathryn J. Edin, H. L. Shaefer, D. Schanzenbach","doi":"10.1162/asep.2005.4.2.128","DOIUrl":"https://doi.org/10.1162/asep.2005.4.2.128","url":null,"abstract":"Willim Poole: Mislikin's paper provides a thorough examination of efficient-markets theory and many useful ideas on its implications for macro models and monetary policy. His empirical results replicate and extend previous work on efficient markets. His work is careful and thorough. As far as I can see from reading the paper, he has been extremely careful in his treatment of the data and in his statistical analysis. Mishkin's empirical work uncovers only one puzzle. In equation 29, when he regresses the return from holding common stocks on the threemonth treasury bill rate, he finds a negative coefficient rather than the positive one predicted by the theory. The efficient-markets model, of course, predicts that, except for differences in returns due to risk and liquidity premiums, returns should be equalized on all assets; but Mishkin's equation comes up with the result that when the treasury bill rate is high, the rate of return expected on stocks is low. To understand that equation, suppose that the bill rate is relatively high at 8 percent. The quarterly rate of return on bills in decimal form is then 0.02. A bill rate of 0.02 times the regression coefficient of about -5.0 is -0.10. Add to this figure the constant term in the equation of 0.08, and a per quarter expected return is obtained from holding common stocks of -0.02, or -8 percent per year. Similarly, when the bill rate is relatively low-say 4 percent per year or 0.01 per quarter-the expected return on common stock is 0.03 per quarter or 12 percent at an annual rate. The puzzle is how the expected return on common stocks can be negative when treasury bills earing a positive rate of return can always be held. A possible explanation for this result depends on the existence of transactions costs. The time series of changes in the bill rate displays","PeriodicalId":52020,"journal":{"name":"Asian Economic Papers","volume":"4 1","pages":"128-131"},"PeriodicalIF":9.7,"publicationDate":"2022-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1162/asep.2005.4.2.128","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49240626","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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