Measuring benefits from spatially-explicit surface water quality improvements: The roles of distance,scope, scale,and size

Programs to improve water quality do not improve all water bodies equally. Evaluation of the benefits of such programs must account for where improvements occur and the relative magnitude of improvements that occur in different places. This study uses a choice experiment survey to explore how the value to a household of a surface water quality improvement varies as a function of (i) the distance between the household and the affected streams and rivers, (ii) the degree to which the quality of the water has been improved, (iii) how many stream and river miles have been improved, and (iv) the sizes of the affected streams and rivers. Results show evidence that value declines with distance in an approximately linear way, weak evidence that large rivers are worth more than small rivers, and no evidence that willingness-to-pay is nonlinear in either the degree of water quality improvement or the number of stream miles improved. These results indicate that it may be defensible in applied work to value small, spatially-explicit water quality improvement projects independently and then sum over projects.     

突发公共事件对电影行业影响的量化研究

人工收集和整理2012—2018年在中国市场上映的首轮院线电影信息数据，构建电影需求的嵌套logit回归模型，以新冠肺炎疫情为准自然实验，来量化突发公共事件对电影行业复产复工的影响。结果显示：第一，关于上映时间选择，在恢复营业后，如果所有因为疫情尚未上映的电影选择顺延上映能有效避免过度竞争的局面。第二，关于上映节奏控制，控制好未定档电影的上映节奏，保持适当的竞争能促进经济效益提升。其中，从11月份开始以每周两部的频率上映未定档电影的经济效益最佳。第三，关于上映方式选择，与线下播放相比，疫情期间选择线上播放能及时收回成本并有利于经济收益最大化的实现。研究结论为电影行业制定复产复工策略提供依据，为未来应对突发公共卫生事件提供参考。     

Do Energy Prices Affect U.S. Investor Sentiment?

The current literature has examined the effect of investor sentiment on energy prices, but no study ever has explored the validity of the reverse question. Therefore, this article explore whether energy prices (i.e., crude oil and natural gas prices) affect U.S. investor sentiment, using the methodology of quantile regression. The empirical results document that controlling for a number of U.S. macroeconomic and financial factors, there exists a statistically significant association between oil and natural gas prices and investor sentiment. However, only natural gas prices appear to retain their statistical significance over the majority of quantiles. These findings received robust support under alternative measures of the investor sentiment index.     

Re-testing Prebisch–Singer hypothesis: new evidence using Fourier quantile unit root test

The Prebisch–Singer hypothesis in economics asserts that over time the relative price of primary goods relative to manufactured goods should experience a downward trend. To test the hypothesis, we must first establish the unit root properties of the relative price term and then regress the stationary series on a trend term. We use the quantile unit root test which allows for both smooth unknown numbers and the form of breaks in the trend function through a Fourier function to show that the relative price of 23 out of 24 primary goods is stationary. However, the Prebisch–Singer hypothesis is supported only in half of the primary commodities.     

Testing hysteresis effect in U.S. state unemployment: new evidence using a nonlinear quantile unit root test

We revisit hysteresis effect in the unemployment rate of each of the 52 states of the United States using nonlinear quantile unit root test over the period 1976M1–2016M7. Our results indicate that unemployment rate of the U.S. economy as a whole displays hysteresis effect over recessionary periods. Nineteen out of 52 states display hysteresis behaviour over the period 1976–2016. For the remaining 33 states, we find four types of behaviours. Some states display stationarity behaviour almost in all quantiles. Some display hysteresis over recessionary periods and in contrast some display hysteresis over expansion period.     

Panel LM unit root tests with level and trend shifts

This paper considers a Lagrange multiplier (LM) based panel unit root test that allows for heterogeneous structural breaks in both the intercepts and slopes of a series. We note that many popular time series variables are likely to exhibit changing means and/or trends over time. Given that the usual tests will depend on the nuisance parameters indicating the locations of the trend breaks, we adopt a transformation procedure that makes our new panel unit root tests invariant to the nuisance parameters. To illustrate the importance of the power gain provided by our test, we examine the convergence hypothesis using relative ratios of per capita health care expenditures in 20 OECD countries. Our results provide evidence that the convergence hypothesis is supported.     

单位劳动力成本、汇率变动与出口的互动关联研究——基于面板向量自回归(PVAR)模型的分析

基于我国34个工业行业的面板数据，采用面板向量自回归模型（PVAR）对单位劳动力成本、汇率风险与我国出口之间的互动关系进行研究。结果显示，单位劳动力成本与出口存在双向抑制作用，即工资上涨不利于出口规模的扩张，出口也无法促进工资增长率的上升，但出口显著地提升了劳动生产率；汇率变动对出口脉冲响应函数值正负交替，呈现出不确定性，出口对汇率变动产生了超调现象；我国存在"进口引致出口"机制，且出口也能通过收入效应和汇率两条路径影响进口；产出对出口的影响关系呈现不确定性，但出口可以带动产出。在方差分解中，单位劳动力成本变量对出口具有较强的解释能力，是导致我国出口变动的主要因素，汇率变动对出口的短期解释能力较强，进口在长期解释能力较强，产出在三个不同时期解释能力基本一致，但出口对其他变量的解释能力普遍较低。     

社保基金持股与企业盈余质量:A股上市公司的证据

本文利用中国A股上市公司2006-2015年的数据,研究社保基金持股对上市公司盈余质量的影响。我们用上市公司财务重述作为测度盈余质量的指标,发现社保基金持股能够显著降低企业发布财务重述的概率,这表明社保基金对上市公司盈余质量的提高具有促进作用。并且,社保基金的这一治理作用在国有企业、内部治理水平较差以及市场化程度较低地区的上市公司中更加显著。通过双重差分模型和安慰剂检验等方法弱化了内生性问题之后,以上结论依然成立,说明社保基金持股和盈余质量提升之间存在因果关系,我们称之为社保基金的公司治理作用。进一步研究发现,社保基金可以通过抑制控股股东资金占用、增加机构调研次数等途径提升被持股公司的盈余质量。本文有助于认识和评估社保基金持股对于上市公司的监督与治理作用。     

‘Whatever it takes’ and the role of Eurozone news

This letter shows that the ‘Whatever it takes’ speech by ECB President Draghi on 26 July 2012 and the ensuing installation of the Outright Monetary Transactions’ framework are associated with a reduction in the domestic and cross-border effect of Eurozone news on absolute yield changes in Eurozone sovereign debt. These results are consistent with the popular view that these actions helped to avoid a collapse of the Eurozone.     

Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms

In this paper, we consider portmanteau tests for testing the adequacy of multiplicative seasonal autoregressive moving‐average models under the assumption that the errors are uncorrelated but not necessarily independent. We relax the standard independence assumption on the error terms in order to extend the range of applications of the seasonal autoregressive moving‐average models. We study the asymptotic distributions of residual and normalized residual empirical autocovariances and autocorrelations under weak assumptions on noise. We establish the asymptotic behavior of the proposed statistics. A set of Monte Carlo experiments and an application to monthly mean total sunspot number are presented.