世界股市低迷及其对我国的影响

世界股市全面退潮2000—2001年，持续走强多年的世界股市大起大落。1999年，全球上市公司总市值超过全球总产值；2000年上半年，各主要股市纷纷攀上历史最高峰，但从下半年开始便急转直下，至今没有根本改观。股市退潮在世界最大资本市场———美国资本市场表现得极为充分。美股牛市几乎纵贯整个90年代，2000年第一季度登峰造极，三大指数的最高纪录都是那时创造的：2000年1月14日，道-琼斯30种工业股票平均价格指数为11722.98点；2000年3月10日，纳斯达克指数为5048.62点；2000年3月24日，标准-普尔500种股票综合指数为1527.46点。2000年4…     

The impact from changes in stock market valuations on investment: new economy versus old economy

This paper investigates whether there is a different impact from changes in ‘new’ and ‘old’ economy stock valuations on private investment for seven OECD economies. A vector autoregressive model is estimated for each individual country, using quarterly data over the period 1990–2000. It is found that the impact from changes in valuations of new economy stocks to investment is roughly the same in North America and in the United Kingdom as in continental Europe. By contrast, the impact from changes in old economy stock valuations on investment is, in general, larger in North America and in the United Kingdom than in continental Europe. Finally, the results suggest that in continental Europe the impact on investment from changes in the valuation of new economy stocks is bigger than for old economy stocks, whereas for North America and the United Kingdom, the impact is more similar.     

The stock market and investment in the small and open Norwegian economy

The relationship between the stock market and investment is analyzed by utilizing a multivariate vector autoregressive model, which also includes fundamentals represented by production and the bank interest rate. Two important results appear on the basis of data from the small, open economy of Norway. The financial market has no lead effect on real activity, as neither the stock market nor the credit market can predict future investment or production. On the contrary, current stock returns correlate negatively with lagged growth in investment, and positively with current growth in production. In addition, changes in the bank interest rate have a positive effect on future stock returns, production leads investment positively, and both production and the bank interest rate become exogenous variables in our model. First version received: November 1997/Final version received: October 2000     

Labour market effects of public capital stock: evidence for the Spanish private sector

This paper provides a new rationale for the positive effect of public capital stock on employment and wages. We show that higher levels of public capital reduce wages along the wage equation and enhance employment due to the resulting larger elasticity of labour demand with respect to wages. The estimation of a structural model for the Spanish private sector reveals that this wage channel is empirically relevant. We use the estimated parameters to simulate the recent incidence of the ratio of public to private capital stock on the private sector economic performance. We find (i) sizeable effects on employment, capital stock and gross domestic product, and (ii) that the wage channel is particularly important for employment.     

Business groups in a market economy

The purpose of this paper is to examine the nature and significance of the interfirm relationship called the business group. First, the nature of the Japanese business group is discussed. It is then pointed out that the business group is not a phenomenon unique to Japan, and an effort is made to explain the significance of the business group in the context of a market economy, using the Williamsonian approach to questions of internal organization and the market. Finally, the relationship between the input-output relationship of the firms and their group affiliation is tested.     

Labour market institutions in open economy: Sectoral reallocations,aggregate adjustments,and spillovers

We introduce frictional unemployment in a multiworker heterogeneous firm model with a dynamic matching process, one‐ and two‐sector equilibria, and international markets. A change in labour market policies transforms the share of exporters and affects average productivity. The closure of equilibrium with or without sectoral arbitrage plays an important role in generating macro‐level outcomes for employment subsidies. Unemployment benefits, on the other hand, make unemployment and openness rise, independently of sectoral reallocations. We also find that simultaneous implementation of labour market policies remove potential gain in the trade share, and, when it comes to unemployment benefits, may even be detrimental.     

Labour market institutions and labour market performance

This paper studies the relationship between labour market institutions and policies and labour market performance using a new and unique dataset that covers the countries of Eastern Europe and Central Asia, which in the last two decades experienced radical economic and institutional transformations. We document a clear trend towards liberalization of labour markets, especially in the countries of the former Soviet Union, but also substantial differences across the countries studied. Our econometric analysis implies that institutions matter for labour market outcomes, and that deregulation of labour markets improves their performance. The analysis also suggests several significant interactions between different institutions, which are in line with the idea of beneficial effects of reform complementarity and broad reform packages.     

Labour market consequences of a high school diploma

This article compares the labour market outcomes of high school dropouts to high school graduates who did not enrol into higher education, but immediately entered the labour market. Using parental educational background as an instrument on a rich administrative dataset in the Flemish Region of Belgium, we find no returns to a high school diploma on average. However, these results hide considerable heterogeneity by gender and educational track. While females and individuals in vocational education may benefit from a diploma, male graduates and students holding a general education diploma may even be worse off on the labour market than dropouts. We show that sectoral heterogeneity acts as an underlying mechanism in the returns to a high school diploma.     

An equilibrium model of a second economy market in a centrally planned economy

We study a CPE in which an identical good is sold on the official market (OM) and a “second economy” market (SEM ). Planners set parameters. Managers divide inputs between markets to maximize expected utility of wealth. Consumers are expected utility maximizers who purchase the good on the OM or SEM. On the OM, excess demand exists at the non-Walrasian price; delivery date is stochastic. The SEM offers immediate availability. Our solution concept involves the rational expectations of managers, the consistency of consumers' decisions, and a market-clearing SEM. We solve for SEM price and supply and investigate various comparative statics.     

The market for surrogate motherhood contracts

Surrogate motherhood is a controversial subject, and has not previously been formally modelled by economists. In this paper, a neoclassical model of the market for surrogate motherhood contracts is developed, based on the utility maximizing decisions of potential surrogate mothers and commissioning parties. The presence of both altruistic and self-interested behaviour generates unusual market outcomes.     

Foreign exchange controls in a black market economy

An investigation of the impact of foreign exchange controls in a black market economy is undertaken within the context of a choice-theoretic cash-in-advance general equilibrium model. While such controls may improve a ‘distortion-free’ economy's trade balance and balance of payments they are found to increase the domestic price of imports and lower the country's welfare. The ramifications of black market for economic welfare turn out to be ambiguous, depending crucially on the government's reaction to the leakage of foreign exchange into the economy via illegal activity.     

Labour market implications of EU product market integration

European labour markets are in a state of flux due to the changing market situation induced by international integration. This process affects wage formation through more fierce product market competition and increased mobility of jobs. This development is by some observers taken to enforce labour market flexibility, while for others it signals an erosion of social standards and in turn possibly the welfare society. Since labour is not very mobile in Europe, the effects of international integration on labour markets are mostly indirect via product market integration. We review the channels through which product market integration affects labour markets and perform an empirical analysis of the convergence and interdependencies in wage formation among EU countries. We find that integration is changing labour market structures and inducing wage convergences as well as stronger wage interdependencies, but it is a gradual process. Moreover, the present study does not support the view that international integration will lead to a 'race to the bottom' and rapidly erode domestic labour markets standards, nor that it will relieve politicians of the need to consider labour market reforms to improve labour market performance.     

German stock market dynamics

This article estimates generalized ARCH (GARCH) models for German stock market indices returns, using weekly and monthly data, various GARCH specifications and (non)normal error densities, and a variety of diagnostic checks. German stock return series exhibit significant levels of second-order dependence. Our results clearly demonstrate that for both weekly as well as monthly return series the Student-t distribution is superior to the standard normal distribution. In particular, the estimated GARCH-t models appear to be reasonably successful in accounting for both observed leptokurtosis and conditional heteroskedasticity from German stock return movements.     

Foreign exchange market regularities in a developing economy

The purpose of this paper is to demonstrate that the ‘empirical regularities’ observed for exchange rates in the major foreign exchange markets apply equally to the case of a developing economy such as Singapore.     

Bond market and stock market integration in Europe: a smooth transition approach

This article investigates whether there has been a structural increase in financial market integration in nine European countries and the US in the period 1980 to 2003. We employ a GARCH model with a smoothly time-varying correlation to estimate the date of change and the speed of the transition between the low and high correlation regimes. Our test produces strong evidence of greater comovement across the board for both stock markets and government bond markets. Dates of change and speeds of adjustment vary widely across country linkages. Stock market integration is a more gradual process than bond market integration. The impact of European monetary union (EMU) is rather limited, as it has mainly affected the timing of bond market correlation gains (but hardly their size) and has had little discernible effect on stock market integration.     

Stock market cycles and stock market development in Spain

In this paper we use Spanish stock market data to identify the bull and bear phases of the market and to analyze its characteristics during the period 1941-2002. We compare these characteristics with those of the US and of two other European countries (Germany and the UK). Our sample is divided in two subperiods in order to account for differences induced by the process of development undergone by Spanish capital markets in the late 1980s and early 1990s. We find that the Spanish stock market has become increasingly more similar to those of the more developed countries, although some differences still persist. Additionally, we show that concordance of the Spanish stock market with other developed markets has increased quite significantly.JEL Classification: C22, G15An earlier version of the paper circulated under the title Bulls and bears: lessons from some European countries. Comments from seminar participants at the Universidad de Navarra, at the IX Meeting of the Spanish Finance Association (Pamplona 2001) and at the Royal Econonomic Society Conference (Warwick 2002) are gratefully acknowledged. We are very grateful to J.M. Campa, G. Llorente and two anonymous referees for helpful comments and suggestions. We also thank D. Garcia and the Research Department of the Madrid Stock Exchange for generously providing the data of the Spanish case. Financial assistance from the Spanish Ministry of Science and Technology (SEC2002-01839) is gratefully acknowledged. The usual disclaimer applies.