Modeling changes in monetary policy regimes

Following the work of Poole and others, changes in monetary policy regimes are hypothesized to be the result of the reaction of policymakers to changes in the distribution of shocks buffeting the economy. First, a time-varying estimation procedure is employed to parameterize the degree to which the policy rule has changed over time. Second, estimated changes in the policy rule are modeled explicitly, utilizing proxies for the disturbances which theory and practice suggest are relevant determinants of such variations. The results suggest changes in monetary policy regimes do not appear to be exogenous events.     

The household demand for energy and fuels in OECD countries

This paper estimates the household demand for energy and fuels. The linear expenditure model is estimated using data from eight OECD countries over a period of sixteen years. The basic similarities in household demand for fuels and the differences among OECD countries are discussed. The results indicate that household demand for energy is highly income dependent. With regard to four basic fuels, the income and price elasticities for gasoline and gas are higher than for either coal or oil. The demand patterns are shown to differ significantly among groups of OECD countries. Coal has been gradually replaced by oil as the major household fuel in OECD countries, whereas the demand pattern for gas has changed only a little during the fifties and sixties.     

EMU and the Lucas Critique

This paper attempts to provide a systematic review of the implications of EMU for the Lucas Critique. It asks how well cointegrating vector autoregressions estimated on pre-Euro data forecast post-Euro data, relative to their pre-Euro standard error. This is done for the Euro area as a whole, 3 countries that joined and 3 European countries that did not join. If the Lucas Critique is important, the forecasts should be much worse, because the policy change, EMU which changed exchange rate and interest rate determination processes, should have changed the parameters of the estimated models. The models appear to forecast very well and EMU does not appear to have induced structural change, indicating that the Lucas Critique does not seem to be important in this case.     

FDI Contribution to Technical Efficiency in the Tunisian Manufacturing Sector: Evidence from Micro-panel Data

This paper investigates the contribution of FDI to firms’ technical efficiency based on a two-stage empirical method. Using panel data for 674 firms belonging to the Tunisian manufacturing sector and observed over the period 1997–2001, a bootstrap procedure is applied to correct for serial correlation affecting DEA technical efficiency scores estimated in a first stage. Results obtained from second-stage regressions show that FDI presence at the firm level has a positive effect on its technical efficiency. However, horizontal FDI spillovers are not evidenced while sectoral export activity represents a potential source of technology spillovers for local firms.     

The long run relationship between openness and government size: evidence from bounds test

The bounds test is applied to determine the existence of a level relationship between government size, openness, terms of trade volatility, and external risk using time series data from Australia, Canada, England, Norway, Sweden, and the USA. Bounds test results show that the existence of a long run relationship in the USA and Canada, but not in any of the other countries. Long run parameters are estimated using both autoregressive distributed lag and FM-OLS procedures. Results vary from country to country, with some evidence that government size is significantly affected by openness and terms of trade volatility. However, contrary to argument and evidence developed using cross-section data, empirical evidence presented in this paper show that the size of the government has not changed to mitigate the effect of increased income risks associated with greater openness.     

Household demand for fats and oils: two-step estimation of a censored demand system

A censored system of household fat and oil demand equations is estimated with a two-step procedure, using cross-sectional data from the 1987–1988 US Nationwide Food Consumption Survey. Own price and total expenditure elasticities are close to unity and there is no evidence of gross substitutability. Compensated elasticities suggest net substitution among the products considered.     

Advanced technology,innovation, wages and productivity in the Canadian manufacturing sector

In this article, we used a two-step estimation procedure, where in the first stage, the number of advanced manufacturing technologies used in the firm was estimated using a negative binomial regression, and the expenditure on process and product innovation was estimated using a type II Tobit procedure. In the second stage, we used the predicted values from the first stage in wage and labour productivity equations. The data were from the 2009 Survey of Innovation and Business Strategy which was linked to the General Index of Financial Information (2004–2009) and the Longitudinal Employment Analysis Program (2004–2009). The implications for policy are that we should not expect large aggregate effects of innovation on productivity and employment. We should expect wage increases and productivity increases, with process innovation. We should also expect moderate wage increases with product innovation, and contrary to process innovation, the effect on productivity of product innovation was negative.     

浙江省区域块状经济和城市化的关系

针对浙江省城市化进程是否与高速发展的区域块状经济适应的问题,用空间自相关的方法,从区域块状经济类型(城市化和本地化集聚经济)着手进行解答。结果表明,浙江省1998年和2001年批发零售贸易和餐饮业拥有城市化和本地化集聚经济,且后者比前者的程度更高。随着时间的推移,两者都有不同程度的减弱。其次,同期制造业仅有本地化集聚经济,且水平随时间而增加。     

Trade Liberalisation, Closer Economic Relations and Intra-Industry Specialisation

Abstract
Much of the growth in trade among the industrialised countries, and more recently among countries in the Asia-Pacific region, has taken the form of intra-industry trade (HT). Australia has historically had one of the lowest shares of IIT among OECD countries. This article examines how Australia's IIT has changed in the 1980s in response to the process of trade liberalisation and completion of the Closer Economic Relations (CER) pact with New Zealand. HT indexes are estimated for Australia's multilateral and trans-Tasman trade for 1981 and 1991 for 132 industries using data at the 3 and 4-digit level of the Standard International Trade Classification (SITC). The results point to a sharp increase in the share of IIT for both multilateral and trans-Tasman trade. Industries that have undergone the largest reductions in protection levels have increased their shares of IIT quite considerably. Increased intra-industry specialisation suggests that the short-run adjustment costs associated with trade liberalisation are likely to be lower. If IIT continues to grow in response to the ongoing process of internationalisation of the Australian economy, then Australia's prospects for expanding its share of world trade are good.     

中国区域环境效率及其影响因素

本文基于DEA方法运用2000—2008年省级面板数据计算了我国30个省市的环境效率,同时使用Tobit模型分析了该环境效率的影响因素。研究表明:(1)2000—2008年,中国30个省区的环境效率基本保持在0.7～1之间波动,各省区平均环境效率刚开始时呈下降趋势,但在2004年或2005年出现明显拐点。(2)我国环境效率地区差异明显,东部发达地区在效率水平上优于中西部地区,中西部地区环境效率的敏感性高。另外,2005年以来西部与东部的效率差距趋于缩小,而中部的情况则不乐观。(3)加大对从业人员、能源、用水等投入要素的利用程度,能有效提高环境效率。(4)经济水平、外贸依存度、人口密度都会对我国环境效率产生显著的正面影响,其中人均GDP和进出口贸易额对环境效率影响较大,而工业污染治理投资占GDP比重对环境效率影响不显著。     

The Trade Effects of Indian Antidumping Actions

Antidumping (AD) has emerged as the most widespread policy impediment to trade in the last 25 years. One of the surprise proliferators of AD in the lesser developed world has been India, which has filed an outstanding number of 285 cases between 1992 and 2002. In this paper, I study empirically the effect of Indian AD cases on trade flows from other countries. I also look at the effect of AD cases on trade diversion from countries subject to or “named” in AD investigations to non‐subject or “non‐named” countries and conclude that Indian AD policy is effective. I use a unique dataset combining AD data from the World Trade Organization with trade data from Comtrade. The empirical model is estimated via the Arellano–Bond procedure.     

POVERTY COMPARISONS WITH ABSOLUTE POVERTY LINES ESTIMATED FROM SURVEY DATA

The objective of measuring poverty is usually to make comparisons over time or between two or more groups. Common statistical inference methods are used to determine whether an apparent difference in measured poverty is statistically significant. Studies of relative poverty have long recognized that when the poverty line is calculated from sample survey data, both the variance of the poverty line and the variance of the welfare metric contribute to the variance of the poverty estimate. In contrast, studies using absolute poverty lines have ignored the poverty line variance, even when the poverty lines are estimated from sample survey data. Including the poverty line variance could either reduce or increase the precision of poverty estimates, depending on the specific characteristics of the data. This paper presents a general procedure for estimating the standard error of poverty measures when the poverty line is estimated from survey data. Based on bootstrap methods, the approach can be used for a wide range of poverty measures and methods for estimating poverty lines. The method is applied to recent household survey data from Mozambique. When the sampling variance of the poverty line is taken into account, the estimated standard errors of Foster–Greer–Thorbecke and Watts poverty measures increase by 15–30 percent at the national level, with considerable variability at lower levels of aggregation.     

Oil market share dynamics: A Markov chain analysis of consumer and producer adjustments

We develop an “optimal market share rule” model of cartel behavior which when applied to the OPEC cartel appears capable of explaining its stability and responses to changed market events. In particular, by attaching importance to market shares based approximately on costs, OPEC members can by maintaining optimal shares deter deviant member attempts to break cartel rules. After a thorough discussion of the theory, the model is tested empirically using a Markov probability model. The estimated Markov transition matrix is further decomposed into what Theil has called the exchange matrix and the mean passage matrix. Dynamic adjustment processes in the market are revealed by the latter while an emerging pattern of OPEC member surveillance of consumers is revealed by the former which facilitates cartel stability. Inspection of these matrixes further suggests that after the formation of OPEC there is evidence of less potential for producer conflict while there appears more evidence for consumer conflict. While these results must be tentative in view of the fact that they have been estimated using a simplified two consumer — two producer model and limited data, it is argued that the results are highly suggestive and the approach in this study can be extended to cover all producer and consumers, and can be integrated into a complete model of the world oil market.     

Cointegration modeling of interrelated factor demands: With an application to labor–import substitution in the European Union

In this paper we present techniques for cointegration modeling of interrelated factor demands. These techniques respect the non-stationary character of the price and quantity data, and permit specification of general, dynamic factor demand models based on error correction forms derived from cointegration. Therefore, we do not have to assume ad hoc dynamic forms. Moreover, we ensure that estimated relations are structural, and not spurious. Cointegrating vectors are estimated subject to all standard economic theory restrictions by using a procedure, which we call dynamic SUR. We show how consistent error correction models can be specified and estimated. In addition, we test the neoclassical restrictions both in the short- and the long run. The new methods are used to shed light on the major problem of the European Union (unemployment) and its relationship with imports. The empirical analysis is conducted for five countries of the European Union with an emphasis to the south: The UK, France, Greece, Italy, and Spain.     

The negativity condition in consumer demand

The study stresses the importance of one relatively neglected restriction on demand equations: the negativity condition (i.e., the necessity of a negative semidefinite substitution matrix). That condition is implemented by using the Cholesky decomposition. It implies nonlinear combinations of the parameters which are estimated by a maximum likelihood procedure. The method, applied to Dutch and German data, leads to an acceptance of the theoretical restrictions stemming from consumer theory.     

The Effect of Protest Votes on the Estimates of WTP for Use Values of Recreational Sites

Contingent valuation studies are often characterized by a considerable number of protest responses, which may cause selectivity bias on the final estimates for WTP. Sample selection models can detect and – if necessary – correct selectivity bias. In economic applications where the relevant dependent variable is continuous, sample selection models are generally estimated using Heckman's 2-step method rather than the FIML estimator. Either method has its own drawback: computational complexity for the FIML method, susceptibility to collinearity problems for the 2-step method. Using data on valuation of forest resources for recreational use, we analyse the performance of the two estimators. In this application, given the presence of some collinearity, the FIML is preferred to the 2-step method. A procedure is outlined to deal with selectivity problems in similar settings.     

Estimating Housing Price: Kriging the Mean

The price of houses and its evolution in recent years is one of the issues that citizens and, of course, political and economic authorities are worried about. In most of the developed countries the mean price (per square meter) of houses in an area is estimated by a simple average of single prices from a sample of houses that does not take into account the spatial correlation among the prices. As an alternative to this classic procedure, in this paper we propose a linear estimator of the mean price of houses, using the kriging estimator, which has been specially designed for the case of spatially correlated data in a given domain. This estimator is the best unbiased linear one and provides a more realistic estimate of the mean price of houses in the urban area we are interested in. Obviously, the modelling of the variogram function is a central point in the global estimation process.     

R & D intensity with endogenous concentration evidence for finland

This paper presents a simultaneous equation model of industrial structure and research and development expenditure based on propositions put forward in recent theoretical work primarily by Dasgupta and Stiglitz. The model is estimated from Finnish cross-sectional data using both a standard 2SLS-procedure and a procedure allowing for dichotomous endogenous variables. The results support the main hypotheses concerning the relationships between market structure and R & D-intensity. R & D activity is clearly more intense where markets are concentrated and products are differentiated. Moreover, this activity, far from destroying the foundations of market power, seems to enhance it.     

Contemporary Monetary Policy in China: An Empirical Assessment

This paper focuses on monetary policy in China. A set of different specifications for the monetary policy reaction function are empirically evaluated using monthly data for 1998–2014. Overall, the performance of the estimated policy rules is surprisingly good. Chinese monetary policy displays countercyclical reactions to inflation and leaning‐against‐the‐wind behaviour. The paper shows a notable increase in the overall responsiveness of Chinese monetary policy over the course of the estimation period. The central bank interest rate is unresponsive to economic conditions during the earlier years of the sample, but response becomes significant in later years. This finding comports with the view that the monetary policy of the People's Bank of China has come to place greater weight on price‐based instruments. A time‐varying estimation procedure suggests that the two monetary policy objectives are generally assigned to different instruments. The money supply instrument continues to be utilized to control the price level. Since 2008, the interest rate instrument has been mainly used to achieve the targeted output growth.     

中原经济区城市发展效率及其时空分异特征研究

中原经济区是实施区域协调发展国家战略的重要组成部分,基于5省30个地级市的面板数据,构建考虑非期望产出的SBM-DEA超效率模型,测算了中原经济区城市发展效率,探讨了中原经济区城市发展效率的Malmquist-Luenberger指数及其分解特征,研究了总体空间分异状态。结果表明:各个城市发展效率存在明显的异质性,Malmquist-Luenberger指数及其分解值整体不高,发展方式仍未发生根本性转变,资源环境压力过大。中原经济区城市发展效率只在个别年份显现非常弱的集聚分布空间格局,郑州和洛阳等中心城市功能不强,难以通过“涓滴效应”成为带动中原经济区发展的动力源。