Price Clustering of Chinese IPOs: The Impact of Regulation,Cultural Factors,and Negotiation

During June 2009–May 2012, the China Securities Regulatory Commission (CSRC) suspended window guidance that limits issue prices. Using this regime change as a natural experiment, we test the combined effects of regulation, culture, and negotiation on price clustering of Chinese IPOs. The proportion of IPOs priced on round number 0 increases from 42.58% during sample periods with window guidance to 79.81% during sample period without window guidance, a level similar to that reported in developed markets . Moreover, we document a connection between whole CNY pricing of Chinese IPOs and several uncertainty measures including a unique uncertainty proxy defined as the time gap between the IPO date and the listing date. Second to the round number 0, issuing firms favour number 8 that associates with fortune, particularly during sample periods with window guidance. Our findings that price restrictions limit the power of negotiations but not the influence of cultural factors contributing to the understanding of price formation process.     

Calculating the real return on a sovereign wealth fund

We present a new methodology for calculating the real return on sovereign wealth funds (SWF) that share the investment objective of maximizing international purchasing power in terms of goods and services. Specifically, we modify the traditional approach for deflating the nominal return along three dimensions: the aggregator formula, the measure of international prices and the weighting scheme. We argue that a geometric average of price levels is an appropriate aggregator formula for capturing the deflationary effects of imports increasingly originating from low‐cost countries, and that import prices paid by the SWF owner and weights reflecting the owner's import pattern are consistent with the investment objective. Our proposed approach, using the Norwegian Government Pension Fund Global as an illustration, raises the estimated average annual real rate of return over the sample period of 1998–2012 from 3.1% to 4.9%.     

Testing the relative purchasing power parity hypothesis: the case of Korea

This study examines the relative purchasing power parity (PPP) hypothesis using the data from the Korean won–US dollar and the Korean won–Japanese yen foreign exchange markets. We extract proxies for inflation from stock market returns of Korea, the United States and Japan based on the method used by Chowdhry, Roll and Xia in 2005. We explicitly test the relative PPP hypothesis in light of the short-run price volatility using monthly, bimonthly and quarterly data from 1 January 1998 to 31 December 2012. Our findings suggest that the empirical test results from the entire sample period do not support the relative PPP hypothesis. However, the results from the sample period excluding the Asian Financial Crisis period show that the relative PPP hypothesis holds for the Korean won–US dollar market with a moderate magnitude of inflation impact, but not for the Korean won–Japanese yen market. Abrupt changes in exchange rates during the crisis period may have affected the relationship between inflation and exchange rates. This result also suggests that factors other than inflation might have affected the Korean won–Japanese yen exchange rate.     

终极控股股东的盈余管理影响股价同步性的实证研究

以2008—2012年中国沪深两市A股上市公司为研究样本,通过回归分析研究了在中国资本市场发展不完善、股权集中的条件下终极控股股东的盈余管理对公司股价同步性的影响。研究结果表明:终极控股股东有强烈动机影响公司的盈余信息披露,导致噪音信息增多、公司的股价同步性下降,股价同步性更多体现市场噪音量而非信息效率;非国有控股的上市公司通过操纵盈余来影响股价进而影响股价同步性的能力强于国有控股的上市公司。     

Household Response to Optional Peak-Load Pricing of Electricity

I investigate the impacts of voluntary time-of-day (TOD) rates on residential demand for electricity. My analysis is based on a sample of a survey, which provides cross-sectional data on electricity consumption and economic/demographic features for both TOD and non-TOD households in Japan. This information is used to develop an almost ideal demand system for the TOD electricity consumption during the summer. The results show that (1) household response to the high price of the peak period is relatively modest, and (2) the relative magnitudes of the price and selection effects depend on the ownership of water heaters.     

Convergence and spillover of house prices in Chinese cities

The issue of house price convergence in 34 Chinese cities is investigated. We augmented the convergence model with contemporaneous spatial dependence in house prices and found that price convergence and positive spatial spillover are both present. We explicitly addressed the endogeneity problem by introducing a Bayesian instrumental variable setup, which was estimated with particle filtering techniques. From a growth poles perspective, the empirical evidence indicates that the spread effect in regional house prices outweighs the backwash effect. The identified positive spatial spillover has two effects on the growth of house prices in Chinese cities. First, the spillover elevates the trajectories of the steady-state growth paths of house prices. Second, the spillover narrows the gaps between the growth paths of house prices in neighbouring cities. Shocks to the socio-economic variables of a city generate their own effects on domestic house prices that dominate the effects arising from cross-city price feedbacks, thus mitigating the prospect of level convergence. Our findings also suggest a collaborating role between time and spatial dependence parameters. The identification of inter-city spillover, which is a conditioning factor for regional house price convergence, offers implications to policies that are most likely to be effective in reducing regional disparity.     

Economic liberalization and price response of aggregate private investment: time series evidence from India

Abstract.  This paper presents evidence on the effects of economic liberalization of 1991 on the price responsiveness of aggregate private investment in India. The wide ranging reforms are expected to increase the price response of private investment due to (i) the Le Chatelier effect, (ii) a higher price elasticity of demand for final goods, and (iii) possible relaxation of the credit constraint. The empirical results, based on alternative specifications, estimation methods, and sample periods, show a dramatic increase in the price response; the elasticity of investment with respect to the relative cost of capital has increased five times after the dismantling of the 'Licence Raj.'     

Tobacco and alcohol: complements or substitutes?

The question of whether alcohol and tobacco are consumed as complements or substitutes is crucial for determining the side-effects of anti-smoking policies. Numerous papers have empirically addressed this issue by estimating demand systems for alcohol and tobacco, and subsequently calculating cross-price effects. However, this traditional approach is often seriously hampered by insufficient price variation observed in survey data. We, therefore, suggest an alternative instrumental variables approach that statistically mimics an experimental study and does not rely on prices as explanatory variables. This approach is applied by means of German survey data. Our estimation results suggest that a reduction in tobacco consumption results in a moderate reduction in alcohol consumption. It is demonstrated that this implies that alcohol and tobacco are complements. Hence, we conclude that successful anti-smoking policies will not result in the unintended side-effect of an increased (ab)use of alcohol.     

住房价格、消费与中国货币政策最优选择:基于异质性房价预期的视角

在异质性房价预期和流动性约束条件下,本文构建了包括家庭消费决策、企业生产决策以及中央银行货币政策决策的理论模型。在此基础上,本文采用混合的RBC-VAR方法和1998年1季度至2010年3季度的数据模拟分析了住房价格、消费和货币政策选择之间的关系。结果表明:预期房价上涨的家庭越多,住房价格波动对消费波动的影响越大;贷款价值比越高,住房价格波动对消费波动的放大效应越强,但经验证据并没有支持这种放大效应;盯住住房价格的货币政策获益很少,其在减少产出波动的同时增加了通货膨胀波动。因此,中国人民银行应遏制房价偏离均衡的上涨,尤其是房价上涨预期,但货币政策不宜盯住住房价格。     

MEASURING THE EFFECTS OF OIL PRICES ON CHINA'S ECONOMY: A FACTOR-AUGMENTED VECTOR AUTOREGRESSIVE APPROACH

Abstract.  The aim of this paper is to investigate the impacts of oil prices on the Chinese economy. To this end, we rely on the factor-augmented vector autoregressive methodology, which allows us to evaluate the response of various macroeconomic variables to an oil price shock. Our results suggest that an oil price shock leads to: (i) a contemporaneous increase in consumer and producer price indexes, inducing a rise in interest rates; (ii) a delayed negative impact on GDP, investment and consumption; and (iii) a postponed increase in coal and power prices.     

高送转与股价崩盘风险:抑制还是加重

本文以我国2003—2015年A股公司为样本,考察了公司“高送转”与股价崩盘风险之间的关系。研究发现,公司“高送转”能够有效抑制股价崩盘风险,相对于创业板,主板公司“高送转”抑制股价崩盘风险的作用更为显著。而且,“高送转”对于股价崩盘风险的抑制作用并不受公司财务状况和减持情况的影响,该抑制作用的期限超过了我国投资者平均持股时间。本文有助于加深人们对于“高送转”经济后果的认识。     

Regional price levels in Germany

Cross-sectional evidence on price levels is scarce for all countries. However, several studies suggest that there might exist considerable differences in price levels within countries, which has obvious welfare implications. A sample of price levels in 50 German cities in 1993 is used to analyse the determinants of inter-city price level differentials. The most important explanatory variables for price level differentials are population size and density and the average wage level. Using this information, the price levels are predicted in all 440 German districts and aggregated to the state level. At the state level convergence of the price levels to a common mean is found, but at a very low speed. The estimated half-life is about 19 years.     

Quantifying Bias and Inaccuracy of Upper-Level Aggregation in the Harmonised Index of Consumer Prices for Germany and the Euro Area

Current measurement practices of the Harmonised Index of Consumer Prices (HICP) produce an upward bias of about one-ninth of a percentage point in German inflation due to changing consumption being disregarded and preliminary data being used in the compilation of expenditure weights. The statistical uncertainty produced by these sources of mismeasurement can be illustrated by an interdecile range of about one-quarter of a percentage point. The annual updating of the quantity component of the weights, implemented in 2012, has reduced the substitution component, making the disregard of changing consumption virtually a non-issue for the euro area HICP. The measurement of the German HICP is impaired by the extrapolation of expenditure weights. The use of preliminary national accounts data since 2012 has not led to an improvement. This source of mismeasurement is likely to be relevant for the euro area HICP as well but cannot be quantified due to data constraints.     

AN INDEX NUMBER APPROACH TO THE INTERNATIONAL COMPARISON OF CONSUMPTION: WESTERN EUROPE AND THE UNITED STATES*

The quantity index comparing the per capita consumption of one country vis-à-vis the other often gives widely different figures, depending on which country's prices are used as “weights”. In this paper, this gap between two quantity indexes is divided into a substitution effect and an income effect by assuming common tastes between nations. For this division, we estimate the points of over-compensated variation and under-compensated variation in income from Gilbert and Kravis’data. The results of our estimation show that the income effect is smaller than the substitution effect. But the sign of the income effect indicates that this effect is generally in the same direction as the difference between two quantity indexes. Translated into the Bortkiewicz covariance, this means that the income elasticities are inversely related to the relative prices; the higher the income elasticity of a good, the lower is its price in the high income country relative to the low income country. Since we only approximate the points of exactly compensated variation in income, we cannot estimate “true” quantity indexes. However, our result implies that the two indexes in Gilbert and Kravis’data do form the upper and lower boundaries to the true index-numbers.     

The role of price risk in China’s agricultural and fisheries exports to the US

This article explores the effect of price risk on the US importers’ optimal allocation of agriculture imports between the major supplier, China, and other competing countries. We first modify a demand system to account for the impacts of own-price risk and cross-price risk, and then apply the model to 16 agricultural and fisheries commodities exported to the US. The estimation results show that importers are sensitive to price risks of 14 Chinese commodities. Comparisons between price risk–trade relations of agricultural and fisheries products and between trade effects of cross-price risk on Chinese goods and substitutes provide strong evidence for explaining the observed trade patterns. Our study highlights the importance of price stability in promoting international trade, especially from developing countries to developed countries.     

Meat and fish consumption patterns in Saudi Arabia

This study analyses the demand for meat (beef, chicken and lamb) and fish in Saudi Arabia in a system-wide framework using data for the period 1985–2010. A preliminary data analysis reveals that, in Saudi Arabia, the relative consumption of beef, chicken and fish has a positive growth, while lamb has a negative growth. The average relative price growth rates of beef, chicken and fish are negative, while that of lamb is positive. The expenditure shares of beef, chicken and fish have increased while that of lamb has fallen. The estimation results of the demand system reveal that there is an autonomous trend out of lamb into beef, chicken and fish. The implied income elasticities indicate that beef, lamb and fish are considered to be luxuries, while chicken is a necessity. The demand for all meat products and fish are price inelastic. These elasticities are key inputs for policy analysts in terms of devising policies in relation to meat production, meat imports, taxation and food security issues in Saudi Arabia. The usefulness of the implied elasticities is demonstrated by simulating the consumption of beef, chicken, lamb and fish under various policy scenarios.     

Energy demand and interfuel substitution in India

This paper applies a translog price possibility frontier to a pooled sample in order to measure the extent of energy substitution effects in the commercial sector in India. The results indicate that relative changes in energy prices have significant effects on energy consumption.     

Global Ex-vessel Fish Price Database Revisited: A New Approach for Estimating ‘Missing’ Prices

The Global Ex-vessel Fish Price Database (Ex-vessel DB) reported in Sumaila et al. (J Bioecon 9(1):39–51, 2007) was the first comprehensive database that presents average annual ex-vessel prices for all commercially exploited marine fish stocks by nationality of the fishing fleet. It contained over 30,000 reported price items, covering the period from 1950 to the present, and supplemented missing prices with estimates based on prices from a different year, species group or fleet nationality. This paper describes a revised missing price estimation approach, focused on the computation of annual average international prices for each species group, adjusted to domestic prices using the real exchange rate based on national purchasing power parity. Key advantages of the new approach are that it allows a larger number of reported prices to be used in the price estimation, and accounts for relative price level differences that exist between countries. Our new approach should improve the estimates in regions where reported prices are scarce or non-existent by linking domestic prices to the trends in international prices. Our analysis, based on the revised ex-vessel price estimates (in real 2005 USD), shows that the global marine fisheries landings have generated total value of USD 4.2 trillion since 1950, including USD 100 billion in 2005.     

Cointegration, Government Spending and Private Consumption: Evidence from Japan

Assuming a CRRA preference, this paper shows that there is a cointegration restriction implied by the intra-temporal first-order condition in the consumption function. This restriction predicts a cointegrated system of government consumption, private consumption, and their relative price. Our analysis indicates that, first, Johansen's VECM confirms the theoretical prediction that is supported by the data of Japan; moreover, Bierens' (1997) nonparametric estimator severely contradicts with the theoretical model and fits the data poorly; second, Japanese people have increasing willingness to rearrange their consumption over time. Besides, the intratemporal relationship between private and government consumption remains relatively stable over time.     

The impact of Chinese monetary policy shocks on East and South‐East Asia1

We study the effects of Chinese monetary policy shocks on China's major trading partners in East and South‐East Asia by estimating structural vector autoregressive (SVAR) models for six economies in the region. We find that a monetary expansion in Mainland China leads to an increase in real GDP (temporary) and the price level (permanent) in a number of economies in our sample, most notably in Hong Kong and the Philippines. The impact could result from intertemporal substitution present in a general equilibrium framework, which allows for positive domestic impacts of foreign monetary expansions. Our results emphasize the growing importance of China for its neighbouring economies and the significance of Chinese shocks for the design of monetary policy in Asian economies.