资本结构调整速度估计方法比较研究——基于上市公司财务数据的Monte Carlo模拟分析

资本结构调整速度的衡量是公司财务研究的核心问题之一,衡量方法普遍使用动态面板估计方法,但基于不同理论假设的各种动态面板估计方法在实证研究中的表现大相径庭,导致前期学者估计出的调整速度存在较大差异。本文通过Monte Carlo模拟分析发现,采用不同的估计方法得到的调整速度存在很大的差异,在这些方法中,优化系统GMM估计量的表现最佳,而一阶差分GMM估计量则存在较大的偏误。以此为基础,我们重新估算了中国上市公司的资本结构调整速度。结果表明,在1999-2008年样本区间内,平均调整速度为21.6%,对应的调整半周期为2.85年。     

我国省际研发投入溢出效应的实证分析

文章利用中国2000-2011年30个省际面板数据,将研发投入变量引入增长回归模型,实证分析了自主研发投入对经济增长的影响以及邻省研发投入的溢出效应。文章的估计结果显示,不论是全样本,还是分区域,在样本期间,自主研发对区域经济均具有推动作用,但不同经济区域自主研发的增长效应存在较大差异;邻省的研发投入对本地区的经济增长存在显著的溢出效应,其溢出效应的大小因地区差异而不同。     

中国电信服务省际外溢效应空间面板模型的平稳性分析

文章将针对横截面回归空间平稳性的two—stepLM检验方法拓展到空间面板情形,用以对空间面板的虚假回归和面板模型的空间单位根和空间协整进行检验,该检验的突出优点是具有灵活性和稳健性;能够将空间面板模型中单个变量空间单位根检验和整个模型的非平稳性检验统一起来,最后,文章采用two—stepLM法对我国电信服务外溢性的相关计量模型进行了空间平稳性分析。     

动态面板数据的估计和检验——中国二十九个省市消费函数的探讨

参数相异的动态面板数据研究已经引起广泛关注,Pesaran and Smith(1995)、Pesaran,Shin,and Smith(1997,1999)提出的MG和PMG估计量被认为是重要的新方法,PMG估计量在一定的约束条件成立的情形下,能得到一致且有效的估计量。MG和PMG估计被广泛地应用到动态的面板数据的误差修正模型的实证分析中,具体应用这些方法时,可以执行t检验对参数进行检验,也可以应用Hausman检验来选择较优的估计量。对中国二十九个省市的消费、收入、消费价格指数的误差修正模型应用MG和PMG估计量进行检验和估计,指出PMG估计量是一致且有效的。实证分析结果表明二十九个省市的长期关系是相同的,但误差修正调整速度是不同的,收入弹性显著不等于1,与持久收入假说不一致,而消费价格指数弹性显著为正值,对这种异常,应引起足够的重视。     

高新技术企业认证是否促进了企业创新?——基于A股上市公司数据的断点回归分析北大核心CSSCISSCI

文章基于A股2006-2015年上市公司的微观数据,以研发资金投入与固定资产投资之比衡量企业创新投入,运用断点回归方法考察了我国企业实施的高新技术企业认证是否激励了企业创新。对所有样本、制造业样本和分不同性质最终控制人、分年份、分地区样本进行的简单断点回归与加入不同类型协变量的回归结果均显示高新技术企业认证并没有显著激励我国企业的创新活动。据此,从政策制定、执行及扶持力度等方面提出了相应的政策建议。     

起始时间对亚热带森林凋落物分解速率的影响

运用分解袋法研究了不同布置时间的凋落物在亚热带森林分解的初期过程,探讨了不同布置时间的凋落物经过相同时间分解的差异及环境因子对其分解速率特别是分解速率常数k的影响。结果表明：在凋落物分解较快的鼎湖山季风常绿阔叶林,不同时间布置的凋落物经过12个月的分解,其残留率及k均存在较大的差异。不同布置时间的凋落物的分解率在前期(0-6个月)与其相应阶段的环境因子呈显著相关关系,但与后期的环境因子相关性并不显著。不同布置时间的k值的变化范围为0.78-1.30,起始于雨季的k值较大,起始于旱季的较小(p＜0.001),其大小与分解前期的环境因子相关性较高,与整个分解过程中的环境因子相关性较低。因此,凋落物的凋落时间可能影响其分解速率,由于布置时间不同而导致k值估算的不准确将对森林生态系统的养分循环及其碳平衡的评估产生很大影响。     

联合谐波小波与递归神经网络的股市时间序列预测

为了提高神经网络对股市时间序列的预测精度，首先利用谐波小波对股票市场数据进行多尺度分解，将其分解为不同尺度且具有平移不变特征的谐波小波分量；然后根据股市时间序列的特点，构建递归神经网络模型进行短期预测，以不同尺度的谐波小波分量为输入数据，对股市数据进行多尺度预测；最后对不同尺度的预测结果进行谐波小波重构，得到最终的股市预测数据。对我国股票市场进行了实验分析，结果表明：股市时间序列经谐波小波分解后，股市数据中不同投资时间水平的价格波动可以被较好的分离，有效地提高了股票市场数据的预测精度。     

我国经济波动对经济增长影响的门槛效应：假设与实证

本文基于改革开放以来全国加总时序和地区、工业行业分解面板数据，在考虑到处于不同波动状态的经济周期性波动对长期增长可能存在非线性影响的假设下，运用门槛回归模型，研究了我国经济波动对经济增长的影响。研究结果表明我国经济周期性波动对经济增长的影响存在波动门槛效应，总体上，在低波动时期，经济波动对经济增长的影响有减损效应，在高波动时期，波动对增长的影响正向不显著，但分不同工业行业性质下，竞争性行业在低波动期波动对增长有负影响，垄断性行业则有正影响。     

中国环保型上市公司人员学历水平与可持续增长力实证研究

本文从公司金融的角度出发,以部分有代表性的环保型上市公司为样本,应用可持续增长模型(SGM)考察了样本公司2000-2005年多项财务数据与人力资本数据,分析其可持续发展能力,并以2005年的相关数据,对人力资本和可持续发展能力两项指标进行了实证回归研究。     

上市公司对地区经济增长影响的区域差异研究——基于江苏沿海三市面板数据的分析

上市公司对地区经济发展起着重要的推动作用,但是不同地区的这种推动作用是否存在显著差异?针对这个问题,本文以江苏沿海地区为样本,在研究连云港、盐城和南通三市上市公司现状及区域和行业分布差异的基础上,利用1996—2010年江苏沿海三市上市公司的相关数据建立面板数据回归模型,分析得出上市公司的发展水平和数量扩张对三个城市的经济增长产生了不同影响的结论,进而提出相关的政策建议。     

The Global Financial Crisis and Sub‐Saharan Africa: The Effects of Slowing Private Capital Inflows on Growth*

Abstract: This paper uses the bias‐corrected least‐squares dummy variable (LSDV) estimator to examine the relationship between economic growth and four different types of private capital inflows (cross‐border bank lending, foreign direct investment (FDI), bonds flows and portfolio equity flows) on a sample of 15 selected sub‐Saharan African countries over the period 1980–2008. Our results show that FDI and cross‐border bank lending exert a significant and positive impact on sub‐Saharan Africa's growth, whereas portfolio equity flows and bonds flows have no growth impact. Our estimates suggest that a drop by 10 per cent in FDI inflows may lead to a 3 per cent decrease of income per capita growth in sub‐Saharan Africa, and a 10 per cent decrease in cross‐border bank lending may reduce growth by up to 1.5 per cent. Therefore, the global financial crisis is likely to have an important effect on sub‐Saharan Africa's growth through the private capital inflows channel.     

Aid and economic growth in LDCs: Evidence from Sub-Saharan Africa

This paper uses a disaggregated cross-national time-series aid data and a Least Squares Dummy Variables (LSDV) model to investigate the effects of aid on economic growth in Sub-Saharan Africa. We find that, contrary to what some critics of aid argue, aid has a small but positive and significant effect on economic growth in Sub-Saharan Africa. A simultaneous equation specification of the model shows that aid affects economic growth in Sub-Saharan Africa directly and indirectly through increased domestic savings and investment.     

Nonparametric test of long-term memory of financial time series： Analysis of exchange rate volatility based on Hurst Exponents

At present, when we analyze the financial time series, we often use the ARCH model or SV model to reveal its changing regulations. But due to the congenital limitation, they can only analyze and judge the short-term memory of time series and its cycle, while massive experiences show that long-term time series often has super long-term memory character, which makes the traditional ADF inspection ineffective. We can say that the time series proved to be stable by ADF test may not be so in the long run. And this consequence will directly affect many inspection methods based on ADF test, such as co-integration judgment. Hurst Exponents is a nonparametric method describing time series non-function long-term memory. With this target we can well reveal the long-term cycle of time series. However, this target is so complicated that it directly affects its appliance. On the basis of introducing the definition and appliance of Hurst Exponents, this paper uses VBA of macro linguistics in Excel to compose macro program which makes the calculation of Hurst Exponents work out easily, and also have an analysis of Hurst Exponents for rate fluctuation.     

Estimating the Effect of Individual Time Preferences on the Use of Disease Screening

Economists have long been interested in evaluating the role that time preferences play in a wide range of economic decisions. In the health care arena, time preferences may be an especially important determinant of many decisions—particularly the use of preventative health care. One potential barrier to patient adoption of preventative screening regimens is that they impose current costs on consumers with the hope of lower costs in the future. Using data from a national survey, we jointly estimate latent discount rate and preventative service demand models using a limited information maximum likelihood estimator (iterated M‐estimator). The results suggest that discount rates are generally inversely related to the likelihood of most screening tests.     

城市化对二氧化碳排放的影响——来自中国时间序列和省际面板数据的经验证据

本文以中国为研究对象,同时考虑城市化对二氧化碳排放的影响的动态变化和地区差异,利用时间序列数据(1952-2009年)和省际面板数据(1995-2009年),分别以排放总量、人均排放量和碳强度等三类二氧化碳排放指标,使用多种估计方法实证检验了城市化对二氧化碳排放的影响。研究结论如下:(1)时间序列数据的经验估计表明,城市化对二氧化碳排放存在显著地正的影响,弹性在0.10%-0.12左右。(2)静态面板数据的经验估计表明,城市化与二氧化碳排放之间存在U型的非线性关系;而动态面板数据的经验估计表明,城市化对二氧化碳排放总量存在显著地负的影响,弹性为0.19%,而城市化对人均二氧化碳排放量和碳强度尽管存在负的影响,但在统计上并不显著。(3)时间序列数据和面板数据的经验估计均表明,城市化并非影响二氧化碳排放的关键因素,而人均GDP、能源强度、人口等对二氧化碳排放存在显著地正的影响。     

Explaining Nigeria’s Economic Growth: Balance of Payments Constrained Growth Approach With External and Internal Imbalances

This study employs a system estimator to examine the validity of balance of payment constrained growth model in the case of Nigeria. We modified a version of Thirlwall’s model developed by Soukiazis et al. (2014) to incorporate the role of foreign contents in growth process. The new version of the model improves significantly explaining the growth in Nigeria. The outcome of this study shows that imported intermediate and capital goods significantly contribute to manufacturing export and domestic investment growth. However, high reliance on the imports of intermediate goods constrains economic growth. World real income exerts significant effect on aggregate exports, similar arguments could not be established when the manufacturing export sector is considered in isolation. Our results reveal that economic growth in Nigeria is constrained by internal and external imbalances. The study recommends among others increasing the manufactured export share, efficient use of oil rents as well as containing budget deficit within acceptable threshold to position the economy on a viable growth path.     

货币政策与汇率关联的实证研究

本文从五个方面对国内外货币政策与汇率关联的实证研究方面的文献进行了回顾。借鉴国外的研究方法,利用较高频、更长、更新的时间序列数据,并考虑变量之间存在的联立关系,对我国情况做进一步的研究。     

ON MEASURING THE EFFECT OF INFLATION UNCERTAINTY ON REAL GNP GROWTH

In this paper we re-examine the relationship between inflationuncertainty and total output. To properly specify an estimatingequation, we investigate the time series properties of two frequentlyused measures of inflation uncertainty. We fail to reject thehypothysis that each series has a unit root. However, the uncertaintymeasures are not cointegrated with output and relative oil prices.This means that the proper specification is in terms of differences.With this specification we find that an increase in inflationuncertainty growth reduces real GNP growth but, unlike earlierwork, we find that this effect is temporary. It is also unlikelythat an inflation uncertainty shock on its own could producea recession.     

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     

International Evidence on the Matching Between Revenues and Expenses

This study investigates the time‐series trend and determinants of matching between revenues and expenses in a sample of 42 countries. We find that the decline in matching documented by Dichev and Tang ( 2008 ) is not unique to the United States, but is a worldwide phenomenon. Our results show that matching is weaker in countries with (i) wider use of accrual accounting; (ii) a larger proportion of firms reporting significant special items; (iii) slower economic growth; (iv) more research and development activities; (v) larger service sectors; and (vi) stronger investor protection. We find no evidence that mandatory adoption of International Financial Reporting Standards affects matching. Changes in accounting and economic factors collectively explain the downward trend in matching. Overall, the results suggest that both accounting and economic factors are important determinants of matching over time and across countries.