The Empirical Distribution of UK and US Stock Returns

There is now substantial evidence that daily equity returns are not normally distributed but instead display significant leptokurtosis and, in many cases, skewness. Considerable effort has been made in order to capture these empirical characteristics using a range of ad hoc statistical distributions. In this paper, we investigate the distribution of daily, weekly and monthly equity returns in the UK and US using two very flexible families of distributions that have been recently introduced: the exponential generalised beta (EGB) and the skewed generalised- t (SGT). These distributions permit very diverse levels of skewness and kurtosis and, between them, nest many of the distributions previously considered in the literature. Both the EGB and the SGT provide a very substantial improvement over the normal distribution in both markets. Moreover, for daily returns, we strongly reject the restrictions on the EGB and SGT implied by most of the distributions that are commonly used for modelling equity returns, including the student- t , the power exponential and the logistic distributions. Instead, our preferred distributions for daily returns are the generalised- t for the US and the skewed- t for the UK, both of which are members of the SGT family. For weekly returns, our preferred distributions are the student- t for the UK and the skewed- t for the US, while for monthly returns, our preferred distributions are the EBR12 for the UK and the logistic for the US. We consider the implications of our findings for the implementation of value-at-risk, a risk management methodology that rests heavily on the distributional characteristics of returns.     

Expenditure on healthcare in the UK: A review of the issues

This review examines the performance of the UK healthcare system. After presenting data on the level and distribution of resources, three topics are examined. The first is the lessons from international comparisons of evidence on expenditure, equity and healthcare outcomes. The second is the lessons from the recent internal market reforms. The third is the lessons from an analysis of the role for private finance in UK healthcare. The review concludes that economists and policymakers need to focus more attention on the relationship between healthcare inputs — expenditure — and health outcomes, and, within this, on the incentives facing suppliers and demanders of healthcare.     

Getting the Smaller Picture: Small‐Area Analysis of Public Expenditure Incidence and Deprivation in Three English Cities

This paper examines public expenditure incidence at small‐area level in cities. The motivations for such research are briefly reviewed. The article reports on an attempt at measuring public expenditure across the majority of programmes down to the level of Census wards and the actual results obtained for three urban local authorities in England. The relationship between spending, income and deprivation is examined overall and for particular spending programmes, using a number of approaches including regression‐based expenditure models. The conclusions suggest that spending is indeed targetted on poorer areas but raise questions about both the strength of this relationship and how best to measure deprivation and the need to spend.     

The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds

This paper provides estimates of the extent to which corporate and personal income taxes are capitalized in bond prices. The methodology yields estimates of the degree of tax capitalization, rather than an implied tax rate. This makes it straightforward to identify the marginal investor and test for changes in tax capitalization. The empirical approach also makes it unnecessary to jointly estimate the degree of tax capitalization and the entire yield curve. Corporate taxes are found to have been fully capitalized in pre-tax Government of Canada bond yields during the period 1986–1993. Since 1994, taxes have not been capitalized in yields. These results are consistent with the existence of a marginal investor, but the identity of the marginal investor changed from a financial sector firm to a non-taxed entity in the early 1990s.     

An open-economy macro-finance model of international interdependence: The OECD,US and the UK

This paper develops a multi-country macro-finance model to study international economic and financial linkages. This approach models the economy and financial markets jointly using both types of data to throw light on such issues. The world economy is modelled using data for the US and aggregate OECD economies as well as the US Treasury bond market using latent variables to represent a common inflation trend and a US real interest rate factor. We find strong evidence of global effects on both the US and UK, calling into question the standard closed economy macro-finance specification. These economic linkages also help to explain the co-movement of yields in the US and UK Treasury bond markets.     

An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000

This paper seeks to characterise the distribution of extreme returns for a UK share index over the years 1975 to 2000. In particular, the suitability of the following distributions is investigated: Gumbel, Frechet, Weibull, Generalised Extreme Value, Generalised Pareto, Log‐Normal and Generalised Logistic. Daily returns for the FT All Share index were obtained from Datastream, and the maxima and minima of these daily returns over a variety of selection intervals were calculated. Plots of summary statistics for the weekly maxima and minima on statistical distribution maps suggested that the best fitting distribution would be either the Generalised Extreme Value or the Generalised Logistic. The results from fitting each of these two distributions to extremes of a series of UK share returns support the conclusion that the Generalised Logistic distribution best fits the UK data for extremes over the period of the study. The Generalised Logistic distribution has fatter tails than either the log‐normal or the Generalised Extreme Value distribution, hence this finding is of importance to investors who are concerned with assessing the risk of a portfolio.     

The Arrival Rate of Initial Public Offers in the UK

The Initial Public Offer (IPO) is an important event in the development of a firm yet there is little evidence regarding why firms choose certain times to come to the market. This paper extends the available evidence, concentrating on UK data and addressing a number of econometric problems with earlier papers. These advances include acknowledging the non-negative integer characteristics of count data, compensating for non-stationarity in the data, and explicitly testing for causality. The paper examines the incentives to conduct an IPO and the results suggest that both the value and number of IPOs are positively and significantly associated with the level of the stock market, with the introduction of the USM, and, in the case of the number of IPOs, positively and significantly associated with a business cycle indicator. Tests of causality suggest that the stock index predicts both the value and number of IPOs.     

Will Private Health Insurance Make the Distribution of Public Health Subsidies More Equal? The Case of India

This paper assesses the impact of the entry of private players in the health insurance market on the size of the insurance market and the distribution of public health subsidies on health care provision in India. Simulation results presented in the paper suggest that the redistributive effect is small when richer groups have privileged access to public facilities.     

Long‐Term Effects of Fiscal Policy on the Size and Distribution of the Pie in the UK*

This paper provides a joint analysis of the output and distributional long‐term effects of various fiscal policies in the UK, using a vector autoregression (VAR) approach. Our findings suggest that the long‐term impact on GDP of increasing public spending and taxes is negative, and especially strong in the case of current expenditure. We also find significant distributional effects associated with fiscal policies, indicating that an increase in public spending reduces inequality while a rise in indirect taxes increases income inequality.     

The increasing default risk of US Treasury securities due to the financial crisis

This paper examines the impact of the current financial crisis on long-term US Treasury yields by testing the impact of a series of events from December 2007 to March 2009 on the spread between 10-year USD LIBOR swap and 10-year US Treasury (constant maturity) rates to measure risk associated with Treasuries. Controlling for the liquidity of the two markets, the default risk of the swap, and the net foreign purchases of Treasury securities, we find that 13 of the tested 20 events have significantly negative coefficients. We conclude that the lower spread is consistent with greater default risk for US Treasury securities.     

我国省际产业集聚与经济收敛性特征及其相互关系的经验研究

采用变异系数和β收敛模型等经济敛散性度量工具,对1992～2004年期间我国省际经济收敛性的阶段性特征进行了定量分析和检验;采用产业集聚度指标和聚类分析方法对这段时期省际经济的产业集聚状况进行了详细分析;在此基础上,对产业集聚与经济收敛的关系,即产业集聚是否会影响到地区间经济差距的扩大与缩小以及影响程度如何进行了实证检验。结果表明,在1992～2004年间。我国省际之间经济存在先条件收敛、后绝对发散、再到敛散状况不明显三个阶段,并且其敛散性与产业集聚状况存在显著的相关关系;在不同的时期,产业集聚对区域经济敛散性的影响也不同。     

The Displacement Effect of Public Pensions on the Accumulation of Financial Assets*

The generosity of public pensions may depress private savings and provide incentives to retire early. While there is plenty of evidence supporting the latter effect, there remains considerable controversy over whether public pensions crowd out private savings. This paper uses international micro‐data sets collected over recent years to investigate whether public pensions displace private savings. The identification strategy relies not only on cross‐country differences in generosity but also on differences in the progressivity or non‐linearity of pension formulas across countries. We estimate that an extra dollar of pension wealth depresses accumulated financial assets around the time of retirement by 22 cents. An extra 10,000 dollars in public pension wealth reduces the average retirement age by roughly one month, which implies an elasticity of years of retirement with respect to pension wealth of 0.15.     

公共品单向外溢下地方政府间演化博弈——以跨区域水资源生态补偿为例

水资源作为典型的公共品具有很强的外溢性,而且其外溢性具有单向流动的特征,围绕水资源生态补偿引发的流域上下游地方政府间矛盾日益突显.基于演化博弈理论,分析我国跨区域上下游地方政府的博弈过程以及影响因素.研究表明,流域上下游地方政府达成合作的局面长期内主要受上游地方政府惩罚值、下游地方政府惩罚值、下游地方政府对上游地方政府的补偿收益以及上游地方政府保护水资源的成本等四个方面因素影响,而与下游地方政府因水资源受到保护而获得生态收益无关.高层级政府解决水资源补偿问题时,不能仅考虑下游地方政府获得生态收益,而应该综合考虑上游地方政府惩罚值、下游地方政府惩罚值、下游地方政府对上游地方政府的补偿收益以及上游地方政府保护水资源的成本等多方面因素.     

Dynamic of foreign direct investment in the states of Mexico: An analysis of Markov's spatial chains

The aim of this investigation is to analyze the evolution of the spatio-temporal distribution of foreign direct investment (FDI) across Mexican states. The literature that analyzes foreign direct investment in Mexico is numerous and diverse; however, it is argued that the analysis of the spatio-temporal distribution of FDI conditioned to spatial interaction effects in Mexico is still absent. In this sense, by applying the spatial Markov chain approach as proposed by Rey (2001), we found a divergence process in the FDI inflows among Mexican states that seem to get stronger over time. In particular, during the period from 2006 to 2013, the process of divergence toward higher-FDI inflows quantiles occurs among states spatially associated with neighbors in lower-FDI quantiles.     

The side effects of quantitative easing: Evidence from the UK bond market

We examine the returns to UK government bonds before, during and between the phases of quantitative easing to identify the side effects for the market itself. We show that the onset of QE led to a sustained reduction in the costs of trading and removed some return regularities. However, controlling for a wide range of market activity, including issuance and QE announcements, we find evidence that investors could have earned excess returns after costs by trading in response to the purchase auction calendar. Drawing on economic theory, we explore the implications of these findings for both the efficiency of the market and the costs of government debt management in both the short and long run.     

The income elasticity of mortgage loan demand

One explanation for the emergence of the housing market bubble and the subprime crisis is that increases in individuals’ income led to higher increases in the amount of mortgage loans demanded, especially for the middle class. This hypothesis translates to an increase in the income elasticity of mortgage loan demand before 2007. Using applicant‐level data, we test this hypothesis and find that the income elasticity of mortgage loan demand in fact declines in the years before 2007, especially for the mid‐ and lower‐middle income groups. Our finding implies that increases in house prices were not matched by increases in loan applicants’ income.     

我国保险营销渠道低碳发展问题探讨

我国保险营销渠道的高投入、高成本、高消耗、低效率、粗放式的发展方式不利于保险业可持续发展。当前保险专业中介渠道发展不足,营销效率不高,营销员队伍建设存在制度瓶颈,兼业代理市场不规范的问题依然突出。随着技术创新日新月异,制度创新的时机和条件日益成熟,国内各大险企充分发挥行业优势探索营销渠道低碳发展之路。本文从新制度经济学的角度探讨我国保险营销渠道的低碳发展的具体对策,即以低碳理念为指引,以完善的法律法规为保障,以技术创新为依托,以制度创新为切入点,以人才培养为核心。     

我国集体土地收益分配制度的缺陷及重构思路

我国现行集体土地收益分配制度存在以下缺陷：农民集体和农民未能分享土地征收过程中产生的发展性利益;失地农民土地权利受到侵害;土地征收过程中政府所获收益比重过大。造成土地征收收益分配制度出现缺陷的原因是土地的动态发展性收益、农民的土地权利保障缺失及地方政府对土地财政的依赖性。针对我国现行土地征收收益分配制度存在的缺陷,本文提出以下对策建议：针对土地发展权建立合理制度;切实开展确权登记,赋予农民分享土地增值收益的法律凭证;增加中央参与土地收益的分配比例。     

生产要素按贡献分配:先进生产力发展的内在要求

生产力是一个历史范畴,劳动过程中的要素也是历史的、变化的,生产力的变化发展是先由其内部某些生产要素变化的发展开始的。因此,先进的生产力要靠先进生产要素支撑,稀缺生产要素要靠合理的分配机制吸引,生产要素按贡献分配是先进生产力发展的内在要求。     

损有余而补不足——从老子的哲学观论社会财富分配机制

老子认为“损有余而补不足”是一种自然法则;“道法自然”是老子哲学的最终归宿。人类社会要和谐,就必须在社会财富分配上遵循“损有余而补不足”这一自然法则,不要使社会出现“损不足以奉有余”的两极分化状态,以免付出沉重的代价。以老子的哲学观审视现实的社会财富分配,一个良性的社会财富分配机制应当是以市场经济手段为基础,以国家福利手段为保障,以社会慈善手段为补充。在这种机制的作用下,社会财富分配两极分化的张力得到有效的消减,社会各阶层对财富的占有达到相对均衡,从而使社会的和谐状态得以持久的保持。