Technology-based ventures and sustainable development: Cointegrating and causal relationships with a panel data approach

The aim of this article is to provide new empirical evidence on the causality between proxy variables of technology entrepreneurship and proxy variable of sustainable economic performance in a vector error correction model. It covers a sample of 13 countries participated to Global Entrepreneurship Monitor studies under the period 2002–2013. Building on a theoretical background that considers the adoption of new technologies through a dynamic process of creative destruction based on innovation as the most important factor for achieving long-term economic growth, the empirical investigation uses robust econometric techniques that are capable of estimating long-run cointegrating relationships in panel data.

Our results support the idea that total entrepreneurship activity related to the technology sector leads to improve the sustainability of a nation in the long run. More importantly, our paper helps understand the nature of liaison between the creation of innovative and high-technology business and the presence of favorable social and environmental conditions for the well-being of a population.     

Modeling Mexican agricultural production

Results of time series tests (including unit root and deterministic and stochastic cointegration tests) imply that a mixture of differenced and cointegrated model specifications are warranted for econometric models of Mexican agricultural supplies and input demands. Test results are sensitive to choice of functional form and the set of regressors. For example, share equations should be estimated using differenced data, but output supply and input demand equations generally should not. Generalized Leontief and quadratic functional forms are preferred over the translog. Symmetry and curvature of a restricted profit function are rejected. Short-run output supplies and input demands are generally inelastic. First version received: February 1998/Final version received: November 1998     

Detecting jumps from Lévy jump diffusion processes

Recent asset-pricing models incorporate jump risk through Lévy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of small and big Lévy jumps with new nonparametric tests. The tests allow for robust analysis of their separate characteristics and facilitate better estimation of return dynamics. Empirical evidence of both small and big jumps based on these tests suggests that models for individual equities and overall market indices require incorporating Lévy-type jumps. The evidence of small jumps also helps explain why jumps in the market index are uncorrelated with jumps in its component equities.     

Testing the CAPM revisited

This paper re-examines the tests of the Sharpe–Lintner Capital Asset Pricing Model (CAPM). The null that the CAPM intercepts are zero is tested for ten size-based stock portfolios and for twenty five book-to-market sorted portfolios using five-year, ten-year and longer sub-periods during 1965–2004. The paper shows that the evidence for rejecting the CAPM on statistical grounds is weaker than the consensus view suggests, and highlights the pitfalls of testing multiple hypotheses with the conventional heteroskedasticity and autocorrelation robust (HAR) test with asymptotic P-values. The conventional test rejects the null for almost all sub-periods, which is consistent with the evidence in the literature. By contrast, the null is not rejected for most of the sub-periods by the new HAR tests developed by Kiefer et al. (2000), Kiefer and Vogelsang (2005), and Sun et al. (2008).     

Exports-led growth or growth-led exports in the case of China and Pakistan: An empirical investigation from the ARDL and Granger causality approach

There are various factors that determine and influence economic growth. From these, one of the most significant factors is exports, which play a vital role in the economic growth and development of a country. Trade theory states that exports enhance the growth of a domestic economy in various ways. This study attempts to empirically investigate the existence of the exports-led-growth (ELG) or growth-led-exports (GLE) hypotheses by adopting comparatively more contemporary techniques as compared to earlier classical approaches for China and Pakistan for the period of 1980 to 2015. The study found the existence of ELG for both China and Pakistan.     

Policy uncertainty and international financial markets: the case of Brexit

ABSTRACT

This study assesses the impact of the Brexit probability on both the UK and on international financial markets, for the first and the second statistical moments. As financial markets are by nature highly interlinked, one might expect that the uncertainty engendered by Brexit also has an impact on financial markets in several other countries. We first estimate the time-varying interactions between UK policy uncertainty, which to a large extent is attributed to uncertainty about Brexit and UK financial market volatilities. Second, we use two other measures of the perceived probability of Brexit before the referendum, namely daily data released by Betfair and results of polls published by Bloomberg. Based on these data sets, and using both panel and single-country SUR estimation methods, we analyse the Brexit effect on levels of stock returns, sovereign CDS, 10-year interest rates in 19 predominantly European countries, and those of the British pound and the euro. We show that Brexit-induced policy uncertainty will continue to cause instability in key financial markets and has the potential to damage the real economy in both the UK and other European countries. The main losers outside the UK are the ‘GIIPS’ economies: Greece, Ireland, Italy, Portugal and Spain.     

有效且经济的汽车可靠性试验方法探讨

文章介绍了汽车可靠性试验的定义和汽车可靠性试验方法种类,通过实际的汽车开发项目,探讨了进行经济有效的汽车可靠性试验的方法。     

The Stability of the Demand for Money in Monetary Unions: Some Empirical Evidence from WAEMU

Previous studies of the stability of the demand for money have been largely conducted in the context of individual countries. To the extent that these countries have control over their monetary policies, such an approach is well justified. However, for monetary unions, where the control over monetary policy is usually vested in a central or outside authority, it is more appropriate to examine the stability of the money demand for the union as a collective entity. This paper follows this approach with respect to a West African monetary union, the WAEMU, whose monetary policies are largely dictated by the French authorities. Using cointegration theory and CUSUM stability tests, we find evidence that the demand for broad money is stable in this union. Given the empirical results, the paper draws inferences regarding their implications for the formulation of optimal monetary policy for the WAEMU.     

The robustness of modified unit root tests in the presence of GARCH

We consider the valuation of energy storage facilities within the framework of stochastic control. Our two main examples are natural gas dome storage and hydroelectric pumped storage. Focusing on the timing flexibility aspect of the problem we construct an optimal switching model with inventory. Thus, the manager has a constrained compound American option on the inter-temporal spread of the commodity prices. Extending the methodology from Carmona and Ludkovski [Appl. Math. Finance, 2008], we then construct a robust numerical scheme based on Monte Carlo regressions. Our simulation method can handle a generic Markovian price model and easily incorporates many operational features and constraints. To overcome the main challenge of the path-dependent storage levels, two numerical approaches are proposed. The resulting scheme is compared with the traditional quasi-variational framework and illustrated with several concrete examples. We also consider related problems of interest, such as supply guarantees and mines management.     

The Sustainability of Indian Fiscal Policy: A Reassessment of the Empirical Evidence

This paper reassesses the sustainability of fiscal policy in India from 1950 to 2010. Overall, the evidence broadly supports the hypothesis that the fiscal policy is "weakly" sustainable and documents a higher speed of adjustment to the intertemporal budget constraint than earlier papers do. Notwithstanding this improvement in the fiscal outlook, the author suggests that India should pursue a policy of fiscal consolidation in the years ahead, both because the ratio of public debt to the gross domestic product is still high compared to other emerging market countries and because "weak" fiscal solvency implies potential adverse consequences on the management of public debt.