Resource Price,Macroeconomic Distortions,and Public Outlay: Evidence from Oil-Exporting Countries

This study examines the repercussions of oil price and macroeconomic distortions on government expenditure in 15 oil-exporting countries. Adapting the Pooled Mean Group analytical approach, the long-run findings are indicative of a blend of the Dutch disease and rent-seeking hypothesis of the resource curse theory in oil-exporting countries. These effects crucially impact on the poor growth of the real sector in these countries, needed for diversification of their revenue base. Furthermore, both resource curses account for one of the reasons why fiscal deficits in oil-exporting countries have been on the rise. The country short-run coefficient for the balance of payment, economic growth, and exchange rate also supports the Dutch disease and rent-seeking hypothesis mix found in the long run. Also, the significant negative impact of oil rents in most countries shows that oil-exporting countries have been making attempts at diversifying their income sources; this is because proceeds from oil cannot be relied upon to adequately finance growing government expenditure, due to the volatile nature of oil prices, thus suggesting also that the volatility hypothesis is valid for most oil-exporting countries in the short run.     

Pricing in Segmented Markets, Arbitrage Barriers, and the Law of One Price: Evidence from the European Car Market

The paper uses micro‐level price data from the European car market to examine why there are deviations from the law of one price. The absolute law of one price is strongly rejected, but there is convergence to its relative version. Two sets of explanations are considered: (i) price‐setting in segmented markets, and (ii) arbitrage barriers. Overall, the determinants of arbitrage costs have more explanatory power. The single most important factor is the distance between markets. Evidence for Belgium and Luxembourg suggests that a single currency lowers price differences significantly.     

我国粮食价格与居民消费价格关系研究

本文从因果关系和协整关系两方面研究我国粮食价格与居民消费价格之间的相互关系,因果关系检验发现两者之间存在双向Granger因果关系,协整检验认为两者之间存在协整关系.本文进一步使用可以揭示协整变量非线性调整过程的门限协整模型进行检验和分析,实证结果支持粮食价格和居民消费价格之间存在非线性的协整关系,并且当出现短期偏离时,主要是通过粮食价格的调整以趋实现均衡.     

Intranational Price Convergence and Price Stickiness: Evidence from Denmark

We show that estimates of the half‐life of deviations from the law of one price are biased when their precision is not taken into account when aggregating data for different types of goods. Using a comprehensive dataset with monthly price data for 124 homogeneous products across regions in Denmark over the period 1997–2010, we find a large positive aggregation bias. On average, we find that the half‐life is 8.4 months when taking the bias into account, compared with 28.7 months when applying the standard method. The heterogeneity in the estimated half‐life can be explained by price stickiness, distance between regions, and whether the good is traded or non‐traded.     

Inflation and Relative Price Variability in a Low Inflation Country: Empirical Evidence for Germany

Abstract. The recent literature on the welfare cost of inflation emphasizes inflation's effect on the variability of relative prices. Expected and unexpected inflation have both been proposed to increase relative price variability (RPV) and, thereby, to distort the information content of nominal prices. This paper presents new evidence on the impact of inflation on RPV in Germany. Our results indicate that the influence of expected inflation disappears if a credible monetary policy stabilizes inflationary expectations on a low level. Yet the significant impact of unexpected inflation suggests that even low inflation rates can lead to welfare losses by raising RPV above its efficient level.     

Competition and Participation in Religious Markets: Evidence from Victorian Scotland

In 1885, the largest churches in Scotland were engaged in a dispute about state funding. We use data generated in the course of that dispute to test two related hypotheses. First, as market size (proxied by population) increases, the competitiveness (or complexity) of the religious market structure will not decrease. Second, religious activity, as measured by giving per member, church income and participation, will not decrease as market competitiveness (or complexity) increases. Empirical evidence lends support to the first hypothesis, but casts doubt on the second, and the supply-side theories underpinning it, which posit a causal link between increased competitiveness (complexity) and higher levels of religious activity. In interpreting the results the importance of a rich understanding of institutional arrangements—particularly market structure, governance and financing—is underlined.     

The Link between Domestic Investment and Domestic Savings in Open Economies: Evidence from Balanced Stochastic Growth

What relationship between domestic and foreign variables could explain the observed high correlation between domestic savings and investment in OECD countries with perfect capital mobility? Is such an explanation empirically supportable? This paper constructs a stochastic continuous-time optimizing model of a small open country. It finds the formula for the implied theoretical correlation between domestic savings and investment—of interest in its own right—and calibrates the model using regression coefficients and stock market data from the US and Canada. The model accounts quite well for the observed investment-savings correlation, even in the presence of perfect capital mobility.     

Entry and Exit in International Markets: Evidence from Chilean Data*

Several studies examine the patterns and determinants of entry and exit in manufacturing industries. Not much work exists on entry and exit in international markets. This paper uses Chilean data to analyze the industry‐level determinants of entry and exit in export markets. First, we show as stylized facts that entry and exit rates differ across industries, vary over time, and are positively correlated. Then, we study the main determinants of these patterns. Our econometric analysis shows that within‐industry heterogeneity, measured by differences in productivity or other firm characteristics, has a significant effect on plant turnover in international markets. Our findings reveal that trade costs, factor intensities, and fluctuations in the real exchange rate play a minor role explaining entry and exit. This last result is consistent with hysteresis in international markets.     

Market Power in Emission Permit Markets: Theory and Evidence from the EU ETS

A well-known result about market power in emission permit markets is that efficiency can be achieved by full free allocation to the dominant firm. I show that this result breaks down when taking the interaction between input and output markets into account, even if the dominant firm perceives market power in the permit market alone. I then examine the empirical evidence for price manipulation by the ten largest electricity firms during phase I of the EU ETS. I find that some firms’ excess allowance holdings are consistent with strategic price manipulation, and that they cannot be explained by price speculation or by precautionary purchases to insure against uncertain future emissions. My results suggest that market power is likely to be an empirically relevant concern during the early years of emission permit markets.     

基于经济波动的控股股东与股利政策关系研究——来自中国证券市场的经验证据

文章考察了控股股东和经济波动对上市公司股利政策的影响.结果表明,从控股股东的角度来看,第一大股东持股比例越高,公司越愿意支付股利,尤其是现金股利.当考虑了经济波动的影响时我们发现,在经济下降期,公司不再愿意支付股利,即使支付股利,公司也偏向于支付股票股利.此外,不同股权性质的公司在经济波动期的股利政策也不一样.在经济下降期,非国有控股公司第一大股东比例越高,股票股利支付数量越少,现金股利支付数量越多,但是,国有控股公司这种变化并不显著,说明相对于国有控股公司,非国有企业的股利政策更容易受到经济波动的影响.     

Testing the regulatory threat hypothesis: Evidence from Sweden

This study examines whether threat of stricter regulation influences the pricing behavior of firms. Using data on unregulated Swedish local district heating monopolists, we measure the threat level by the number of customer complaints about prices received by a national board. Exploiting a natural experiment, we find that firms reduce prices when customer complaints increase.     

流动性、股票定价及时变性：来自我国沪深股市的经验证据

本文在经流动性风险调整的资产定价模型的基础上,通过引进四个工具变量,构建了一个检验模型,于时间序列上对中国股票市场进行了实证分析。实证结果显示：我国的股市流动性单位风险溢价于时间序列上存在显著的时变性。从而证实了投资者之内生流动性风险对股票收益率之影响效应,进而揭示了一个货币供给量影响股市的一个作用机制,即股票价格的涨跌由于流动性水平的不同和由前者导致的流动性风险溢价要求的不同而受到影响。     

Informal Credit Markets and the Transmission of Monetary Policy: Evidence from South Korea

This paper is an empirical investigation of the transmission of monetary policy in South Korea. It combines modern mainstream macroeconomics with aspects of a developing economy with financial dualism through a simple IS-LM type model that explicitly incorporates an informal credit market. Vector autoregression analysis, with both semistructural and structural identifications, confirms the importance of a credit variable as a policy tool. The results show direct credit allocation by the central bank had a significant impact on output, prices, and the interest rate in the informal sector. Previous theoretical and empirical findings of "stagflationary" effects of monetary policy are refuted.     

公共服务的覆盖面管制：价格与质量的社会权衡

文章讨论了同质单一公共服务覆盖面的管制问题。不同消费者存在异质的偏好,这种差异会影响公共服务的管制方式和目标,此时管制不仅是协调消费者剩余和经营者利润,而且还涉及到服务价格和质量的权衡。本文分析了公共服务最优覆盖面的决定因素,并考察了垄断和不同管制方式对公共服务覆盖面的影响。     

Employment and Capital Accumulation in Unionised Labour Markets: Evidence from five south-European countries

This paper analyses the link between employment and capital accumulation in unionised labour markets by using a dynamic monopoly union model. The role of wage setting is also explored within the above context. The empirical analysis is based on annual data from the manufacturing sector of five European countries (France, Greece, Italy, Portugal and Spain). It verifies that capital accumulation has a positive influence on employment. Concerning wages, there is evidence that, in most countries, income opportunities in the public sector play an important role in wage determination. A larger public sector crowds out private investment and employment by serving as a safety net that allows wage setters to push for higher wage demands.     

Concentration and Liquidity in Mature Markets: Evidence from the US Dollar/Yen Futures Market

The cost of liquidity is the major cost of transacting on organised futures exchanges. Liquidity has value both to traders and to exchanges. This paper argues that liquidity varies directly with market development, and that this relationship provides a major incentive for mergers among exchanges. While previous research on liquidity has focused on spot markets for a range of securities, this paper employs data from the US dollar/Yen futures contract to investigate the relationship between liquidity and volume, between liquidity, volume and volatility, and between liquidity and the speculation ratio. The paper tests for non–linearity in these relationships, and explores the presence of Granger causality between pairs of key variables.
The results include inter alia the presence of a significant negative relationship between the cost of liquidity and volume, and evidence of a significant non–linear relationship in which the cost of liquidity varies directly with volatility and negatively with the conditional fourth moment about the mean of daily prices (a measure of kurtosis). Moreover, there is evidence that liquidity Granger causes volume, that volatility Granger causes volume, and that liquidity Granger causes the speculation ratio.     

Discriminatory Price Auctions in Electricity Markets: Low Volatility at the Expense of High Price Levels

A pay-as-offered or discriminatory price auction (DPA) has been proposed to solve the problem of inflated and volatile wholesale electricity prices. Using the experimental method we compare the DPA with a uniform price auction (UPA), strictly controlling for unilateral market power. We find that a DPA indeed substantially reduces price volatility. However, in a no market power design, prices in a DPA converge to the high prices of a uniform price auction with structural market power. That is, the DPA in a no market power environment is as anti-competitive as a UPA with structurally introduced market power.