长三角外商直接投资对工业经济增长影响的实证分析

文章利用长三角地区2004年经济普查中类行业的截面数据,采用普通最小二乘法（OLS）和分位数回归法（Quantile Regress）研究了该地区外商直接投资对于工业经济增长的影响,在控制人力资本和市场竞争度之后,实证结果表明外商直接投资对于长三角地区的工业经济增长显著正相关,即FDI总的溢出效应为正,同时更富有竞争力的市场也有利于工业总产值的提高。通过长三角地区内部的比较分析得出,上海利用FDI的溢出效应为负,江苏利用FDI的溢出效应为正且不显著,浙江的FDI则具有显著正的溢出效应。     

上市公司规模效应、节日效应与投资者交易时机

利用1996~2010年沪深A股按流通市值分组数据,实证研究了公司规模与节日效应的关系。结果表明:仅大规模组存在节前效应,任何一个规模组都存在节后效应;所有规模组的节前或节后收益率不存在显著差异,但最大和最小规模组的收益率差异存在节前效应,而非节后效应;星期效应、月度更替效应和风险不能完全解释节日效应。这说明规模因素仅能为节前效应提供一定的解释。     

股票换手率与收益率关系研究

收益率是衡量股票价格水平的重要标准之一,也是投资者在选择股票时所需考虑的重要因素。本文选取创业板上的701只股票2017年的财务数据,将换手率作为解释变量,选择流通市值、流通股比率和净资产收益率作为控制变量,建立线性回归模型。检验其对个股收益率的影响,以及是否存在流动性溢价、规模效应。最后,基于模型回归分析的结果,提出一些政策建议和参考。     

中日韩贸易开放对碳排放的影响机制研究

基于中日韩1979—2021年的面板数据，通过传统回归、面板分位数回归和中介效应模型，研究贸易开放对二氧化碳排放的影响及作用机制，研究结果表明：贸易开放显著促进碳排放，高碳排放区受贸易开放影响较大，低碳排放区受贸易开放影响较小；贸易开放的规模效应、技术效应和结构效应均为正，贸易开放通过技术效应和结构效应间接作用于规模效应，从而促进碳排放；经济增长对碳排放的影响最为显著，现阶段仍表现为促进作用。中日韩应当加强新能源领域合作，加快改善贸易结构，提高能源效率和绿色技术转化率，尽快实现产业转型，助推亚太地区实现“碳中和”。     

研发能力、规模与高新技术企业绩效

本文实证模式采用Cobb-Douglas生产函数,利用2002-2006年度国家统计局江西省高新技术企业统计数据,探讨研发能力、规模对高新技术企业绩效的影响.普通最小二乘结果显示,以存量观点定义的研发能力对高新技术企业绩效有着显著正向影响;分位数回归分析显示,随着企业规模的提高,研发能力对高新技术企业绩效的影响大致呈上升趋势,且存在U型形态.实证结果指出:研发能力是高新技术企业价值创造的主要来源,也是其经营之本;政府应加大国内自主研发投入,提高人力资本水平,加大知识产权保护力度,诱导更多的自主创新.     

基于分位数回归的油轮运价指数VaR风险研究

原油是全球最主要的贸易商品,对于油轮运输市场来说,了解油轮运价与原油价格之间的关系有助于企业的决策和在实践中的操作和管理。为了用数量描述市场投资的风险,用VaR值表示,文章采用分位数自回归模型对油轮运价指数的风险价值进行研究,得出油价确实对运价指数有着显著影响,并与最小二乘估计比较,将国际油价考虑在内的分位数自回归模型对油轮运输市场风险控制具有良好的表现,并计算出VaR。最后,将模型预测值与实际值比较,发现分位数自回归模型有着较低的失误率,为测度油轮运价指数的投资风险提供了新方法。     

股市的节日效应探源:基于上证综指和深证成指收益率

采用上证综指和深证成指收益率数据,运用加权最小二乘法,对我国股票市场的节日效应进行研究,发现中国股市存在显著的节日效应。在研究中国股市的节日效应与周内效应的关系时,发现考虑了周内效应后,沪深两市的节日效应依然显著存在,节日效应并不是由周内效应引起的。通过结合不休市的传统节日研究发现,传统节日也存在显著的节日效应,因此,节日效应不是闭市效应的一种体现。     

中国市场中股票间领先-滞后关系的规模与交易量效应

本文检验了中国市场中股票间收益率领先 -滞后关系的规模效应与交易量效应。结果表明 ,控制了交易量后 ,基于规模领先 -滞后关系整体表现不明显。当市场上升时 ,小市值股票领先大市值股票 ;而当市场下跌时 ,大市值股票领先小市值股票。控制了规模后 ,基于交易量的领先-滞后关系十分显著 ,高交易量的股票收益对低交易量股票收益有较强的预测力。但这种关系主要表现在市场上升的状态中 ,市场下跌时领先 -滞后关系不明显。中国市场股票信息的来源、投资者结构及其信息扩散模式与成熟市场的差异决定了股票间领先 -滞后关系的特征。     

浮动佣金制度下证券市场投资者需求的实证研究

本文应用最小二乘回归和分位回归封实行浮动佣金制度後的中国股市进行实证研究，通过投资者需求这一市场发展的内在决定因素剖析中国股市。通过对比发现，传统的最小二乘回归与分位回归存在着明显的差异，後者给出了更细致、更有参考价值的结果。我们得出：浮动佣金下，中小户的需求对交易费率的变化并不敏感，机构投资者和50万元以上的大户需求也只有小部分受交易费率变化的影响。我们认为现阶段价格策略作用有限。     

Scaledt分布、杠杆效应和上证综指的VaR风险

与正态分布相比,上证指数收益率的经验分布具有尖峰厚尾特征,但用Scaled t-分布比正态分布可以更好地拟合上证指数收益率的经验分布。本文以Scaled t-分布假设下的GJR模型为基础,测量了上证指数收益率波动性的杠杆效应,即信息对波动性的不对称影响：并根据GJR模型应用Monte Carlo模拟方法,测定上证指数日收益率和持有期收益率的风险价值（VaR）。根据GJR模型提供的结果,上证指数30天、60天和90天持有期收益率的风险值分别为12．1％、17．8％、22．0％。用GJR模型比均值-方差模型和历史模拟方法计算的5％显著性水平VaR值更接近实际收益率。     

IMPLEMENTING A ROBUST RISK MODEL FOR SOUTH AFRICAN EQUITY MARKETS: A PEAK‐OVER‐THRESHOLD APPROACH

This paper implements a market risk model for the South African equity market using daily returns of the Johannesburg Stock Exchange All Share Index. Firstly, we separate positive returns from negative returns and model them using the peak‐over‐threshold (POT) method in order to compute the downside as well as upside risk measures separately. We thereafter compute the value‐at‐risk (VAR) and the expected shortfall (ES) estimates corresponding to upside and downside risks. We bootstrap these risk measures and compute their standard errors and confidence intervals (CIs) to see whether they fall inside these CIs. Secondly, we compute out‐sample forecasts of VAR estimates using the POT method and the generalised autogressive conditional heteroscedasticity process. Three backtesting methodologies are employed: the unconditional and conditional coverage tests and the counting of number of exceptions according to Basel II green zone. We find that all our VAR and ES estimates are well inside their CIs and that at lower quantiles, parametric ES estimates are equal to POT‐ES estimates, although the difference between the two is more pronounced at higher quantiles (99% or higher). Furthermore, our market risk model falls into the Basel II green zone, as it produces fewer exceptions in out‐sample space.     

“关系”和教育对中国居民收入的影响——基于CGSS调查数据的实证分析

文章基于全国综合社会调查数据（CGSS）,利用OLS回归和分位数回归方法分析“关系”和教育对中国居民收入的影响。研究发现：“关系”和教育对中国居民的收入有正向促进作用,在选取有效的工具变量克服了“关系”和教育的内生性之后,上述结果依然稳健,并且“关系”和教育存在负向交叉效应。“关系”的回报率随着收入的增加而上升,而教育的回报率却随收入的增加而下降。比较“关系”和教育在不同的分位点对城镇居民和农村居民收入的影响后发现,农村居民“关系”的回报率随收入的增加而上升,而城镇居民“关系”的回报率呈“u”型,并且对在各个分位点上,城镇居民的教育回报率要高于农村居民的教育回报率。     

Economic returns to schooling for China's Korean minority

This paper examines economic returns to schooling for China's Korean minority in the urban labour market using ordinary least squares (OLS) and two-stage least squares. The OLS estimates of the returns to schooling are similar to findings from recent studies for the Chinese urban labour market. We use parents’ education and spouse's education to instrument for education as well as exploit heteroskedasticity to aid in identification. The two-stage least squares estimates using parents’ and spouse's education are considerably higher than the OLS estimates for returns to schooling, while the estimates which exploit heteroskedasticity for identification lie between the OLS and conventional two-stage least squares estimates. The economic returns to schooling reported in this study assist in explaining why private demand for education is strong among the ethnic Koreans in China. It also provides a justification for the Korean minority's focus on educational attainment.     

Technological Change and Returns to Education: The Implications for the S&E Labor Market

Abstract

This paper analyzes the earnings effect of skill-biased technological change (SBTC), focusing on the comparison of science and engineering (S&E) and non-S&E occupations. In the analysis, we assert that S&E occupations and non-S&E occupations differ in the nature of skill requirements and their susceptibility to technological change; and consequently the earnings effects of SBTC also demonstrate a similar impact. For the empirical analysis, the modified Mincerian earnings equations are estimated by quantile regressions as well as the ordinary least squares (OLS) and two-stage estimation method.

Fitted to Korean panel data, the earning-enhancing effect of SBTC is observed for male workers, not only for those in S&E occupations but also for those in non-S&E occupations. Such an effect is not observed for women in S&E occupations, and rather turns even negative for women in non-S&E occupations; envisaging a relatively large occurrence of work interruption of married women in Korea, we conjecture that this may reflect women workers’ skill deterioration taking place during a work interruption. The earnings effect of SBTC is most apparent for male workers in the higher quantiles of earnings distribution, implying that those who are highly educated and have high unobserved ability gain most from SBTC.     

Economic returns to schooling in urban China: OLS and the instrumental variables approach

This paper examines economic returns to schooling in urban China using ordinary least square (OLS) and instrumental variable (IV) methodologies. First, we find that OLS estimates of the returns to education are lower in China than in other transition economies, whereas IV estimates are higher in China. Second, we find that OLS, a method for estimating the returns to education without control for endogeneity bias, may underestimate the true rates of return for men. In addition, if we do not control for endogeneity bias and the sample selection bias, we may further underestimate the true rates of return for women. Finally, we find that OLS estimates of the returns to education for men are slightly higher than for women. The IV estimates for women are higher than those for men, and this difference increases after correcting for selectivity biases.     

业绩期望落差、市场竞争与企业开放式创新

基于业绩反馈理论和企业行为理论,以2015—2022年中国沪深A股上市公司为样本,运用OLS基准回归模型探讨市场竞争调节下,业绩期望落差持续性与范围性对企业开放式创新的影响。结果表明,业绩期望落差持续时间与涉及范围逐增致使企业创新开放动机与能力失衡,一致降低开放式创新绩效,强烈的外部市场竞争能够有效抑制其负向作用。机制分析发现,研发投入在业绩期望落差持续性和范围性对企业开放式创新的作用关系中发挥显著遮掩效应,主效应的部分影响被抵消。以上结论为推动业绩困境企业进行科学创新开放决策,打破“无知开放、盲目开放”陷阱提供经验借鉴。     

城市外来劳动力的性别收入差距与工资歧视———基于非条件分位数回归的分解方法

内容文章利用非条件分位数回归的分解方法对2011年城市外来劳动力群体的性别工资差距进行了分析.研究发现:(1)城市外来劳动力群体中,性别间受教育程度的差异已经变得不太显著,但在职业方面针对女性外来劳动力的“粘性地板”现象仍然十分突出.(2)人力资本禀赋和就业职业特征对男性与女性外来劳动力工资的影响程度有所不同,不同收入分位数上的影响系数也有明显的差异.(3)性别歧视是造成外来劳动力性别间收入差距的主要原因,而男性与女性劳动者工作经验的差距以及工作经验收益率的差异已经取代教育因素成为了性别收入差距中的突出问题     

Distributional Effects of Freedom and Income on Life Satisfaction: Evidence from East Asian Chinese Societies

We estimate the distributional effects of freedom and income on life satisfaction (LS) for East Asian Chinese societies through an ordinal parametric quantile regression approach. The results show that freedom and income exhibit positive and mostly significant effects across societies and LS levels. The freedom effects generally become larger for those at higher LS quantiles. However, the income effects decline as the LS quantile level increases. Thus, one may have a trade-off between freedom and income without compromising individual LS. The trade-off of freedom (income) for income (freedom) is more pronounced for people at a lower (higher) LS level.     

Firm size-specific trade effects of regional trade agreements: Estimating extensive and intensive margins of trade

We estimate the impacts of Korean firms’ participation in regional trade agreements (RTAs) on the extensive and intensive export margins by identifying exporting firms based on their firm size—small and medium-sized enterprises (SMEs) and large enterprises (LEs) at the 5 399 HS six-digit commodity level—and specifying characteristics of RTAs from 2004 to 2015. We apply the EK Tobit estimation technique to control zero trade and the OLS estimation with importer-product and time fixed effects to alleviate the endogeneity problem. We find that firm size, product type, and depth of RTA significantly matter. Specifically, we find that deeper RTAs with larger, developing, and closer members significantly enhance the export creation effects of SMEs and LEs. Regarding the firm size-specific effects, we find that SMEs are less sensitive to exploiting RTA participation but more sensitive to the import market size, bilateral and relative trade costs, and the RTA characteristics. LEs’ export creation is mainly driven by the intensive margin, while SMEs’ export creation is driven by extensive and intensive margins (slightly more by the extensive margin). For the product-specific effects, we find that Korea's major exportable products such as chemicals, basic metals, motor vehicles, and transport equipment generate significantly strong export creation effects for both LEs and SMEs through their participation in RTAs.