沪深股市波动的多重分形结构分析

利用多重分形消除趋势分析方法,以1991年5月3日至2006年4月20日的上证综指和深成指数日收盘价的收益率序列为样本,研究了我国沪深股市的波动特征。结果表明我国沪深股市均具有多重分形结构,小幅波动具有长程相关性,大幅波动具有反持续性,且上证综指的波动程度比深成指数收益率的波动程度强烈。     

An empirical analysis of occupational expectations

Empirical research on the subject area of occupational choice has generally focused upon outcomes; that is, in terms of occupational attainment, gender and racial segmentation, and male–female earnings differentials. But individual preferences, in terms of which occupation to pursue, are likely to be of equal importance in considering many of these issues. Therefore, this paper is concerned with an empirical analysis of the occupational expectations of minimum-aged school-leavers. A logit analysis is performed to establish what independent variables are more important in determining which labour queue school-leavers join. This is followed by the implications of the analysis for policy makers and practitioners concerned with the youth labour market. The evidence shows that there are clear differences in the occupational expectations of males and females. For instance, female school-leavers are more likely to seek entry to clerical and other non-manual occupations, such as retailing and catering. Males, on the other hand, have a higher probability of seeking entry to craft occupations like engineering and construction. However, account must also be taken of other personal characteristics when considering occupational choice in this context. Indeed, both human capital and other ‘personality’ variables are shown to have a statistically significant influence upon the occupational expectations of minimumaged school-leavers.     

An empirical analysis of margin debt

Despite the extensive literature on margin requirements and stock market volatility, few articles consider the determinants of margin borrowing. Our trivariate autoregressive model of margin debt, stock returns, and the broker call rate shows that margin debt responds positively to stock returns and negatively to interest rate changes over the period 1951–2001. We also document an asymmetry, with margin debt responding quickly to stock market downturns and more gradually to market upswings.     

An empirical analysis of euro cash payments

If the denominational structure of the euro is used in an optimal way, there should be no preferences for certain coins and notes when making cash payments. In Kippers et al. [2003. An empirical study of cash payments. Statistica Neerlandica 57, 484-508] it is documented that the Dutch public did have certain preferences concerning the Dutch guilder in the sense that a few notes and coins were used less often than they should have been. With the advent of the euro, which changed the denominational structure from 1--5 (guilder) to 1-2-5 (euro), it is of interest to examine whether there are any preferences for euro coins and notes. In this paper we use a unique dataset for the Netherlands to empirically examine if the euro range is used in an optimal way. We find that there are no preferences for certain euro denominations.     

Financial development and growth: An empirical analysis

Over the last two decades several countries experienced currency crises. These were characterized both by a huge disruption of economic activity and an extreme speed of diffusion within countries. The financial turmoil happened in a period of very high degree of international financial integration. As a result financial liberalization was associated with greater incidence of crises and this brought an intense debate in both academic and policy circles about the consequences of free capital movements.     

An empirical analysis of the demand for houses durables and nondurables

A standard neoclassical model of intertemporal choice is applied to households' demand for nondurables, durables and houses, so that particularly the role of credit rationing is stressed. Empirical analysis is performed with Finnish quarterly data. The main result of the study is that relative prices are of little significance, whereas credit rationing is found to play an important role, affecting both the desired levels of demand and the speed of adjustment.     

An empirical analysis of habit and addiction to antibiotics

Because of bacterial resistance, current antibiotic consumption is reinforced by past use, and future utility is lower. The purpose of this article is to provide evidence on habit and addictive behavior toward antibiotics by exploring variations in the average consumption of antibiotics across 20 Italian regions. Using a balanced panel data set (2000–2009), we estimate myopic and rational addiction models, in which antibiotic consumption depends upon demographic and socioeconomic characteristics of the population, the supply of health care in the community, antibiotic price, and the “capital stock” of endogenous bacterial resistance measured by past and future consumption. Our empirical evidence shows that past antibiotic consumption stimulates current consumption and is also consistent with the rational addiction hypothesis. The low price elasticity of antibiotic demand suggests that policy measures targeted at antibiotic co-payments may not be effective in controlling antibiotic consumption. There is scope for other policy interventions, such as incentives and information campaigns targeted at doctors.     

An empirical analysis of firm process and product patenting

This paper presents an empriical study of the determinants of firm patenting. Since industrial research and development (R&D) encompasses a variety of activities, this study distinguishes between patents on process innovations and patents on product innovations. The property rights provided by a patent may differ between process and product patents, which suggests that the determinants of process innovations and product innovations may difer as well.

Several recent studies have distinguished between research directed toward process innovations and research directed toward product innovations. Scherer (1983a) included measures of process R&D spending and product R&D spending in regressions for inter-industry differences in productivity growth. Link and Lunn (1984) found that the returns to process-related R&D activity exceed the returns to product-related R&D activity. Link (1982) found inter-firm differences in the allocation of R&D spending for process innovations and product innovations. Lunn (1986) found differences in the determinants, as well as the effects, of process patenting and product patenting at the industry level. This paper examines whether the determinants of product and process patenting differ at the firm level.     

中国制造业竞争力实证分析

一国制造业的竞争力直接表现在制造业的出口竞争力、劳动生产率以及高科技含量三方面,本文分别从这三方面对中国制造业竞争力的演变进行了分析。分析表明,我国制造业的竞争力总体上呈上升态势,但是制造业内部各行业的竞争力存在着两极分化现象。     

Household financial vulnerability: An empirical analysis

Using survey data, we investigate household financial distress. Specifically, we propose an indicator of financial vulnerability to jointly analyse different features of household financial distress, analysing its socio-demographic and economic determinants. A total number of 3102 Italian households make up the sample.The empirical analysis highlights that for the median level of the financial vulnerability index households already exhibit some important symptoms of financial vulnerability, such as problems in getting to the end of the month or an inability to face unexpected expenses. As regards the determinants of the financial vulnerability index, three findings need to be pointed out. First, the level of debt servicing is positively related to financial vulnerability and the effect is stronger for households holding unsecured debt, i.e. consumer credit. Second, financial vulnerability also increases for impulsive individuals, who may adopt impatient, short-sighted behaviour patterns which make it difficult for them to be fully aware of the consequences of their financial and spending decisions. Third, a higher level of education helps to reduce financial fragility.     

An empirical analysis of the 2014 Major League Baseball season

An econometric analysis of the 2014 Major League Baseball season is conducted with respect to regular season victories. Results obtained confirm many, but not all, results reported in prior research. The importance of solid team pitching and offence is underscored. Team defence did not vary sufficiently to play a statistically significant role in team victory differences. Outcomes for total payrolls and salary disparities differ substantially from prior seasons. History may serve as a guide to what occurs on the field, but it does not always replicate the patterns of bygone years. Ultimately, 2014 represents another departure from the standard baseball norm.     

Multinational companies and indigenous development: An empirical analysis

This paper presents an empirical study of the effect of foreign multinational companies on the development of indigenous firms in the host country. Our starting point is a recent paper by Markusen and Venables (European Economic Review 43 (1999) 335-356) that shows formally that multinationals, through the creation of linkages with indigenous suppliers, can exert positive effects on the development of indigenous firms. Based on the literature on entry in industrial organisation, we estimate empirically a model describing the entry of indigenous firms using data for the Irish manufacturing sector. Our results indicate that there is a positive effect of multinational companies on the entry of indigenous firms for a variety of alternative specifications.     

Income,distance and amenities. An empirical analysis

This paper analyses the income distribution of households in Barcelona metropolitan area. For this purpose we use the monocentric model. As the basic model does not have direct implications for this distribution, we survey the extensions of the model that have been used in empirical literature. One of the most promising ways is to introduce externalities in the decision process; they can result directly from exogenous amenities (given traits of urban area) or be created by other agents’ decisions. We first test the simple model relating income to distance. Then we introduce and test the model with exogenous amenities; recreational areas, transportation systems, health, educational and cultural infrastructure. In the third stage we test the model with spatial effects. We present evidence that any model with spatial effects improves significantly the empirical results.     

An empirical analysis on the determinants of overweight and obesity in China

Overweight and obesity in adult populations is considered to be a growing epidemic worldwide, and appears to be rapidly increasing in China. From 1992 to 2002, the incidence of overweight in adults increased by 39.0%, while that of obesity doubled. To identify the determinants of adult overweight and obesity in China, micro-level data from a questionnaire survey entitled the ‘Preference Parameters Study,’ which was conducted by the Global Centers of Excellence programme at Osaka University, were analysed. In addition to the entire sample, data from urban and rural subsamples were also analysed in order to investigate whether the determinants of overweight and obesity differed. The results suggested that body mass index (BMI) is correlated with subjective well-being, gender, age, labour intensity and drinking and eating habits among urban respondents, and with age, monthly income, number of siblings and eating habits among rural respondents.     

Income taxes and the income velocity of money: An empirical analysis

From 1981iv to 1983ii, the growth rate of the income velocity of money declined sharoly. Almost all forecasts of this rate based on standard models overpredicted the velocity growth rate over this period. In this paper it is argued that income taxes exert a direct and discernible influence on velocity of money which has not been recognized by these models. As a result, most models failed to capture the 1981–1983 Reagan tax cuts and, consequently, overpredicted the velocity growth rate in this period. It is shown that the tax-velocity hypothesis is supported by the results of an empirical test. It is also shown that the inclusion of taxes in a model of velocity helps alleviate the overprediction of the velocity growth rate in the 1981–1983 period.     

An empirical analysis of income disparity and consumption in China

Using China’s provincial data from 1991 to 2005, this paper analyzes the impact of urban income disparity on their consumption based on static and dynamic panel data models and state space model. The GMM and Kalman Filter methods are used in the estimation and the variables such as income and price are controlled. The empirical results show that the elasticity of permanent income to consumption is much higher than that of temporary income; and the impact of income disparity on consumption is negative and substantial. A rise of 0.01 in the absolute value of Gini coefficient will cause a reduction of 0.35% in consumption on average. The effects fluctuate with the change of economic structure, consumption expectation and economic cycle. In the beginning years of 1990s, it is positive to enlarge income disparity moderately for consumption. It is the year of 1996 that the negative effect first appears in China. During 1998–2004, an increase of 0.01 to the absolute value of Gini coefficient will result in the reduction of consumption to fluctuate between 0.37% and 0.54%. In order to enlarge domestic demand and promote consumption, the focus should be the improvement of permanent income instead of temporary income, and the vigorous policies to reduce income disparity.     

沪深股市与香港股市一体化趋势的实证研究

沪深股市与香港股市的一体化趋势是当前理论界和证券界研究的热点问题。本文以股改为转折点,将2003年1月2日-2007年12月28日分为两个阶段,运用Johansen协整关系检验和Granger因果检验对沪深股市和香港股市的日股指收盘数据的协整关系进行了实证研究,结果发现,经过股改的冲击,恒生指数、红筹股指数、H股指数与上证指数、深成指数之间的协整关系和因果关系发生了显著变化,内地股市与香港股市之间的一体化趋势更加明显。