新基建发展对产业升级的影响机制研究

新基建作为现代化基础设施体系的重要组成部分，已经成为中国经济高质量发展的重要支撑。基于2015—2021年中国71个城市的面板数据，构建双向固定效应、中介效应和调节效应三种回归模型，实证检验新基建发展对城市产业结构水平的影响及内在机制。研究发现：新基建发展能促进产业高级化水平，改善不合理的产业结构状态，提升产业合理化水平；新基建通过发展物联网和激励城市研发创新两种间接路径对产业结构转型升级产生积极影响；新基建对产业结构水平的影响受到地方政府干预行为的调节作用，在地方政府合理的行政管理下，新基建对产业转型升级的积极作用更为明显；新基建发展对产业结构水平的提升作用具有区域异质性和城市规模异质性，在中西部地区和大城市地区的作用效果更为明显。     

Trade liberalization and wage inequality: Evidence from Korea

This paper investigates the heterogeneous income distribution effects of trade liberalization using Korean survey data from years of 2000–2015. Following the Stolper-Samuelson theorem most of previous research studying the effects of trade liberalization on wage differences focus on workers’ characteristics (e.g., skilled or unskilled) while heterogeneity within the same worker group has not been yet substantially investigated. To fill this gap, this paper provides empirical evidence of wage inequality across firms within the same group of workers caused by trade liberalization, potentially implied in the new-new trade models with firm heterogeneity. Employing a difference-in-differences (DID) specification, we find that the wages of unskilled workers in Korea have increased since its FTAs with more advanced countries, such as members of EU and the US, came into effect, while the effects on the wages of skilled workers are negative but not statistically significant. We also show that wage effects are heterogeneous across firms within unskilled and skilled worker groups, while the positive effects are statistically significant and largest for unskilled workers in medium-large sized firms. These findings are in line with both traditional and new-new trade models.     

Factor Heterogeneity,Factor Market Imperfection and Trade

This paper develops a tractable model of examining how factor heterogeneity and imperfect factor market interact for determining a pattern of trade. Institution plays a crucial role for the interaction. In my work, firm productivity is defined as a composition of factor productivity and technology. Thus, input selection should affect the pattern of Melitz’s intra-industry allocation due to the incurring transaction cost. For a simple model, I assume two factors (labor and capital) and two sectors, which are relatively less institution-dependent and relatively more institution-dependent. When the economy is open, effect of the transaction cost on income distribution is more drastic for an institutionally underdeveloped country. Depending on institutional quality, the economic openness reallocates resource across countries through job creation or job destruction. The job turnovers redistribute income between heterogeneous labors within countries. The income redistribution is catalyzed by international mobility of capital. As a result, income disparity is widened between the institutionally developed country and the institutionally underdeveloped country. This paper can contribute to the literature of institution and international trade.     

隐性杠杆约束、流动性风险和投资者情绪

本文以2003—2019年间开放式主动管理型的股票型和偏股型基金为样本,以持仓占比为权重估算基金投组中A股的总市场风险暴露,检验结果表明,该序列上升反映了基金面临的隐性杠杆约束收紧,刻画了市场的弱流动性。内在逻辑在于,流动性收紧时,投资者难以通过融资直接增加杠杆,更倾向于重仓持有高市场风险头寸的股票而间接实现杠杆。本文发现隐性杠杆约束所刻画的风险在股票或基金收益截面上的无条件定价基本失效,而条件定价则依赖于低市场情绪与弱流动性。分解基金持股的敞口,进一步发现,因中小盘基金在流动性收紧时具有更强的流动性偏好,其持股的市场风险头寸能够更敏锐地捕捉到弱流动性风险。     

Investor Pessimism and the German Stock Market: Exploring Google Search Queries

We analyze the relationship of retail investor sentiment and the German stock market by introducing four distinct investor pessimism indices (IPIs) based on selected aggregate Google search queries. We assess the predictive power of weekly changes in sentiment captured by the IPIs for contemporaneous and future DAX returns, volatility and trading volume. The indices are found to have individually varying, but overall remarkably high explanatory power. An increase in retail investor pessimism is accompanied by decreasing contemporaneous market returns and an increase in volatility and trading volume. Future returns tend to increase while future volatility and trading volume decrease. The outcome is in line with the conjecture of correction effects. Overall, the results are well in line with modern investor sentiment theory.     

Determinants of Current Account Imbalances in 16 OECD Countries: An Out-Of-Sample Perspective

We employ panel data as well as country-specific models to uncover empirically the determinants of current account imbalances. We find evidence of slope heterogeneity likely rendering the fixed-effect estimator inconsistent. Mean group estimation is followed to overcome the latter difficulty. Both estimation techniques are evaluated by means of in- and out-of-sample criteria. The mean group estimator outperforms the fixed-effect approach and, moreover, only three economic variables are found to impact on the current account balance significantly. These are the government budget balance, the domestic output gap and the changes of the terms of trade. We finally propose a parsimonious dynamic model of the current account, including only these variables and illustrate that it has similar predictive accuracy as country-specific benchmark models. JEL no. F32, C23, C53     

投资者结构与股价波动关系——基于理论的思考

长期以来，人们认为机构投资者可以稳定股市。本文从更广的视角研究了投资者结构与股价波动的关系。本文结论如下：（1）在市场产品机构、交易制度和规则体系等要素给定的情况下，股价波动是投资者结构参数的函数。（2）机构投资者与稳定股市没有必然的联系。即使在市场的产品结构和交易制度等要素给定的情况下．不同的投资者结构中机构投资者比例的增加既可以增加股价波动，也可以减少股价波动。（3）在一些投资者结构中，股价波动反而随着理性机构投资者比例的增加而增加。即使在投资者结构中其他参数相同的情况下，理，比机构投资者的比例过多或过少均有可能增加波动。（4）即使在上市公司不分红且没有重大利好消息支持股价的情况下，在一定的投资者结构中，机构投资者仍能通过买入来制造股价波动。并从中获利。但这种策略能够成功依赖于市场中其他类型投资者的结构。（5）适度的羊群行为会使股价波动最小，而过强或者过弱的羊群行为都使股价波动增加。     

结构异质性对中国能源高质量发展的影响研究

基于结构异质性对能源高质量发展影响的理论分析,使用稀疏主成分分析方法测度中国能源高质量发展水平,构建中国和八大经济区域面板分位数回归模型,实证研究了结构异质性对中国能源高质量发展的影响。结果表明：2003—2020年中国能源高质量发展水平有所提升,但仍存在明显的区域发展不平衡问题,西部地区和北部沿海地区的能源高质量发展水平更高。产业结构与能源高质量发展水平呈负相关关系,能源消费结构、资本配置结构与能源高质量发展水平呈正相关关系。     

Terrorism activities and long-term annual management forecasts

We study the effects of terrorist attacks on firms’ long-term annual management earnings forecasts bias. We find that the managers of firms located closer to the epicenters of attacks are more likely to issue optimistic long-term annual earnings forecasts relative to the managers of a control group of unaffected firms. The exposure effect is stronger for more severe terrorist events, and firms with more uncertain fundamentals and less geographic diversification. In addition, we document that managers’ forecast optimism intensifies for firms with stronger negative stock market reaction to the terrorist event, for CEOs with higher ability and for companies that are more likely to issue equity or engage in acquisitions following the terrorist event. Overall, our results are consistent with the idea that long-term annual earnings forecasts are used by managers to counterbalance the short-term pessimistic response to terrorist attacks.