Stochastic Growth Models and Their Econometric Implications

This article considers the consequences of explicitly allowing for stochastic technological progress and stochastic labor input in the discrete-time Solow-Swan and AK growth models. It shows that the capital-output ratio, but not output per capita, is ergodic irrespective of whether there is a unit root in technology, and thus is the more appropriate measure to use in the cross-sectional analysis of the growth process. Furthermore, the article derives the cross-sectional and time-series implications of the stochastic Solow-Swan model and contrasts these to those of its deterministic counterpart. Among these implications are that the mean of the capital-output ratio depends in a precise way not only on the saving rate and the growth rate of labor input, but also on the variance and higher-order cumulants of the capital-output ratio. Using the Summers-Heston data for seventy-two countries from 1960 to 1992, strong support is found for the predictions of the stochastic Solow-Swan model as compared to those of its deterministic counterpart (as well as those of the AK model), including a significant negative cross-sectional relationship between the mean and the variance of the capital-output ratio.     

Modelling Winners and Losers in Contingent Valuation of Public Goods: Appropriate Welfare Measures and Econometric Analysis

Contingent valuation is now the most widely used method for valuing non-marketed goods in cost-benefit analysis. Yet, despite the fact that many externalities manifest themselves as costs to some and benefits to others, most studies restrict willingness to pay to being non-negative. This can result in significant errors in policymaking. This paper examines the importance of this, explores appropriate welfare measures for assessing losses and gains, demonstrates how these can be elicited explicitly, highlights the sensitivity of the results of such studies to the econometric specification employed and suggests ways of dealing with it. Finally, the implications for policy are examined.     

计量经济学应用研究的可信性革命

可信性是计量经济学应用研究的重要问题,其核心在于实现经济理论、统计学、数学在实证研究中的科学结合。本文基于国际计量经济学界对可信性问题的三次大讨论取得的重要进展,厘清了计量经济学探索客观经济世界过程的本质特征;进而针对应用研究中存在的滥用和错用现象,从计量经济模型的随机性设定、经济变量之间的因果关系识别以及模型的统计适切性评价等三个方面阐述计量经济学应用研究的可靠性来源。我国计量经济学的应用研究面临进一步提高可信性的重要问题,需要全面吸收和借鉴国际计量经济学界对于可信性问题的成果,改变研究模式和教学模式。     

论计量经济模型与方法的改进创新趋势

本文阐述了中国计量经济学的若干前沿问题,浅设了中国计量经济学发展的新方向,并对各个发展方向中的重点问题进行了探讨;还结合中国的实际情况对计量经济学在我国的应用前景进行了展望。     

证券投资风险计量理论评述

证券投资是一种高风险高收益的金融投资。自Markowitz创立投资组合理论以来，对证券投资风险计量的研究一直是金融投资研究的热点问题之一。本文对现有计量理论进行评述，并对它们之间的关系进行分析，为证券投资风险计量的进一步研究提供基础。     

The Implications of Uncertainty for Monetary Policy

This paper uses a simple model of the Australian economy to empirically examine the consequences of parameter uncertainty for optimal monetary policy. Optimal policy responses are derived for a monetary authority that targets inflation and output stability. Parameter uncertainty is characterised by the estimated distribution of the model coefficient estimates. Learning is ruled out, so the monetary authority can commit to its ex ante policy response. For certain shocks, taking account of parameter uncertainty can recommend more, rather than less, activist use of the policy instrument. While this finding is specific to the model specification, parameter estimates and the shocks analysed, it contrasts with the widely held belief that the generic implication of parameter uncertainty is more conservative policy.     

人力资本与区域经济发展的计量分析

基于1990年与2000年人口普查数据,运用回归分析研究了区域人力资本指标10年间的差异及其变化趋势对地区经济发展水平变动的影响.结果表明,对人均GDP的增长率有显著影响的因素,按其影响程度由大到小依次为:平均受教育年限增长率、识字率提高率、教育投资占GDP 的比例变动和每千人医生数增长率,但它们对人均GDP影响的方向不同,这一结论不同于许多学者的总量研究结果.本文还利用因子分析进一步解释了人力资本各指标的层次结构对经济作用的影响.这对于在经济转型期深刻认识人力资本在促进区域经济发展中的作用有参考价值.     

An Econometric analysis of IBRD creditworthiness

This paper finds that one can econometrically ascertain the determinants of default to the International Bank for Reconstruction and Development (IBRD) through panel logit analysis. Creditworthiness is found to be determined by political and external factors in addition to economic variables. Default to the IBRD is seen to fall into a graduated hierarchy of default, whereby default occurs first to Paris Club and Commercial Bank creditors, with subsequent default to the IBRD being triggered by a high proportion of IBRD and short-term debt in the portfolio and other economic and political factors.     

中国区域碳排放空间计量研究

如何从空间视角实现经济发展与碳减排双赢,是建设“美国中国”的重要推手,也是生态文明建设的必然要求。基于STIRPAT模型,从区域层面构建碳排放驱动因素扩展STIRPAT模型,并运用空间杜宾模型实证考察各驱动因素对碳排放规模和碳排放强度的影响。结果显示：地区间碳排放存在显著的示范和带头作用,驱动因素通过直接和间接途径影响碳排放,除能源价格外,其他影响因素均表现出显著性。因此,实现碳减排需要充分考虑空间相关性、异质性和外溢性,稳步推进城镇化进程,加大技术创新步伐,优化产业结构升级和能源消费结构,适度提高能源价格,在扩大对外开放的同时加大对外商投资的甄别。     

Accounting for South Korean GDP Growth: Index-Number and Econometric Estimates

The paper estimates the contribution of each one of the major determinants of South-Korean nominal GDP growth: technological change, movements in the terms of trade, increases in the endowments of labor and capital, and changes in domestic output prices. An index-number technique is used as well as an econometric approach. Both have a tight theoretical foundation, being based on the GDP function approach to modeling the production sector of an open economy.     

中国地区工资水平差异的影响因素分析

本文运用模块数据和空间计量学的方法考察了中国改革开放以来影响地区工资水平及地区工资非均衡的各种政策体制因素和经济因素。实证结果表明,中国的地区工资水平及其差异既受制度变迁的影响又受市场机制的作用,具有典型的转型特征。具体而言,工资体制、对外开放、所有制改革、地方保护、教育水平和资本投入等因素对地区工资水平及其差异都有不同程度的影响作用。     

我国上市公司可持续发展的计量模型与实证分析

随着我国对稳定发展资本市场的日益重视 ,如何客观评价上市公司自身的竞争优势、长期绩效和成长能力 ,从而科学认识其持续发展的内在规律已成为一个亟待研究和解决的重要问题。为此 ,本文构建出一个新颖的上市公司可持续发展计量模型 ,并首次运用屏面数据计量方法进行实证研究 ,通过使用数理统计工具 ,如Mahalanobis广义距离、计算机集约法和刀切法 ,深入剖析我国上市公司长期绩效的形成机制 ,发现动态累积效益模型能深刻揭示出各类可持续发展指标之间错综复杂的内在关系、真实体现上市公司可持续发展的本质特征并客观评价上市公司的综合素质。     

国有资本经营预算的收支预测

国有资本经营预算体系构建是我国当前国有资产管理领域的热点和难点问题,影响着新型国有资产管理体制的构建和运行。国有资本经营预算收支项目及其金额的确定对于国有资本经营预算的体系构建至关重要。本文以身处老工业基地的某省为例,运用经济计量方法研究国有资本经营预算收益和支出的影响因素,在此基础上,测算分析五年期间的国有资本预算收益和支出金额,以期为地方国有资本经营预算的编制实践提供技术基础。     

The Spanish Tomato Export Sector of the Almeria Region: An Econometric Approach

This article analyzes the current situation of the tomato export sector of Almeria, the principal exporting province of Spain. First, a critical view is presented relating to the internal organization of this sector; the most important problem observed is the marketing system which is atomized, heterogeneous and significantly difficult for raising funds from the individual partners in order to begin innovative projects. Second, to establish whether this area is losing market share, the sector is compared to the other principal tomato suppliers of the European Union (the Netherlands, Morocco, and other areas of Spain). The analysis shows Almeria has defended its market share in the most recent years. Finally, the most influential variables in the commercial process are analyzed by a tomato export model that shows there are substitution effects of the Almerian tomato for products from others origins, mostly the Netherlands.

Econometric modelling in the presence of evolutionary change

A methodology is offered which can be used to construct an econometricmodel in the presence of structural change of an evolutionarytype. The theoretical basis for such modelling is drawn fromthe self-organisation approach and operationalised in the contextof the logistic diffusion growth model. The latter is augmentedto allow for the impact of exogenous effects upon both the diffusionrate and boundary limit. We show how the hypothesis of augmentedlogistic diffusion can be falsified using econometric methods.An illustrative case study is used, namely the growth and declineof Australian Building Society Deposits. With the aid of thisexample, it is shown how the approach could be of use to botheconomic forecasters and regulators in conditions of structuralchange where conventional econometric methods are often inappropriate.