The US real GNP is trend-stationary after all

This article applies the Fractional Frequency Flexible Fourier Form (FFFFF) Dickey–Fuller (DF)-type unit root test on the natural logarithm of US real GNP over the quarterly period of 1875:1–2015:2, to determine whether the same is trend- or difference-stationary. While standard and Integer Frequency Flexible Fourier Form DF-type test fails to reject the null of unit root, the relatively more powerful FFFFF DF-type test provides strong evidence of the real GNP as being trend-stationary, i.e. US output returns to a deterministic log-nonlinear trend in the long run.     

US stock market sensitivity to interest and inflation rates: a quantile regression approach

This article studies the sensitivity of the US stock market to nominal and real interest rates and inflation during the 2003–2013 period using quantile regression (QR). The empirical results show that the stock market has a significant sensitivity to changes in interest rates and inflation and finds differences across sectors and over time. Moreover, the effect of changes in both interest rates and inflation tends to be more pronounced during extreme market conditions, thus distinguishing expansion periods from recession periods.     

A DSGE model of China

We use available methods for testing macro models to evaluate a model of China over the period from Deng Xiaoping’s reforms up until the crisis period. Bayesian ranking methods are heavily influenced by controversial priors on the degree of price/wage rigidity. When the overall models are tested by Likelihood or Indirect Inference methods, the New Keynesian model is rejected in favour of one with a fair-sized competitive product market sector. This model behaves quite a lot more ‘flexibly’ than the New Keynesian.     

The federal reserve board MPS quarterly econometric model of the US economy

This paper describes the structure and properties of the Federal Reserve Board's (MPS) econometric model of the US economy. The theoretical underpinnings are developed using a small growth model that is a simplified version of the steady-state structure of the full model. Short-run dynamic properties, which are Keynesian, are discussed and quantified with simulation results. The largest part of the paper consists of a discussion of the theoretical basis and empirical properties of the key behavioural equations. A complete list of equations is included.     

A COHORT ANALYSIS OF US AGE–EARNINGS PROFILES

Aggregate data on US earnings, classified by period and by age, are decomposed into age, period and cohort effects, using the Bayesian cohort models, which were developed to overcome the identification problem in cohort analysis. The main findings, obtained by comparing college and high school graduates, are threefold. First, the age effects show a downward trend for the age group of 45–49 onwards for high school graduates but do not show any such trend for college graduates. Second, the period effects show a downward trend for high school graduates but reveal no such trend for college graduates. Third, the cohort effects are negligible for both college and high school graduates.     

Price convergence in US cities: a cointegration approach with two structural breaks

This article investigates how the price indices of major cities of the US respond to the shock from a city and from monetary policy. We find that the crisis of Bretton Woods system in 1968 and the oil crisis in 1974 should be incorporated as structural breaks in monetary policy variables and price indices. Using cointegration technique with structural break in our aggregated data, we find that the average half-life is 1.75 years, which is closer to what some of others found in disaggregated data, and that the interest rate is an effective tool for controlling cities’ price in short run.     

The absolute health income hypothesis revisited: a semiparametric quantile regression approach

This paper uses the 1998–1999 Canadian National Population Health Survey data to examine the health–income relationship that underlies the absolute income hypothesis. To allow for nonlinearity and data heterogeneity, we use a partially linear semiparametric quantile regression model. The “absolute income hypothesis” is partially true; the negative aging effects appear more pronounced for the ill-healthy population than for the healthy population and when annual income is below 40,000 Canadian dollars. We would like to thank two anonymous referees and Baldev Raj, the editor, for useful and constructive comments and suggestions. The views expressed in this article are those of the authors and do not necessarily reflect the views of Statistics Canada. Both authors would also like to acknowledge financial support from SSHRC of Canada.     

The future of foresight—A US perspective

The growing interest in business, government, and other organizations and users of futures research in the next ten to thirty years implies that the interest is largely to promote better strategic thinking and planning. Popular in the current futures lexicon is ‘strategic foresight’. This article characterizes, as best the author can, the key characteristics of strategic foresight, under whatever name it occurs, by American futurists. The most central characteristic of American futurists and their approach as practiced around the world is eclectic flexibility in methods and techniques. The American approach is illustrated by the author's own decades of work for organizational clients.     

A Bayesian approach to misclassified binary response: female employment and intimate partner violence in urban India

We examine the effect of female employment on the odds of physical spousal violence using a Bayesian misclassification model combined with propensity score regression estimation. While a classical propensity score model finds a significant violence-provoking effect of female employment, our model finds no evidence of a significant effect. This suggests that misleading inferences are caused by falsely small standard errors in a model that does not account for uncertainties around propensity scores. Further, we confirm our misclassification model as a preferred specification using Deviance Information Criterion (DIC).     

Monetary environments and stock returns revisited: A quantile regression approach

We investigate the impact of monetary conditions on stock market returns at different points on the return distributions. Our results reveal no association between stock returns and monetary environments at the lower quantiles. At the upper quantiles, however, we find that expansive monetary conditions lead to significantly larger stock returns. The relationship between returns and monetary conditions at the upper quantiles is also found to be asymmetric, exhibiting a monotonic increase in responsiveness at successive quantiles.     

The spillover effect of the US uncertainty on emerging economies: a panel VAR approach

The article quantifies the spillover effects of the United States’ (US) uncertainty shocks on emerging economies, using a panel VAR model. We find that the US uncertainty shocks are the risks, and hence drop the capital inflow, investment, consumption, export and output of emerging economies. This also induces a depreciation of emerging market currencies. As a result, our model predicts a fall in short-term interest rate of emerging economies to react against the US uncertainty shocks. Our findings partly help explain the slow recovery of the world economy after the 2008–2009 global financial crisis.     

美国新移民法案人才政策及其对我国的潜在影响

2013年4月,美国参议院‘八人党"正式向国会提交《2013年边境安全、经济机遇及移民现代化法案》。目前该法案已在参议院获得通过,进入众议院审议阶段。该法案重点制定了一系列吸引高技术移民和创业人才的措施,内容涉及:取消对美急需人才移民签证的配额限制,增加高级人才在移民签证中的比例,设立创业移民签证,实施绩效评分的移民签证制度,大幅提高专业技能工作签证配额等。新法案一旦获得通过实施,会对美国带来积极影响,但对我国发展会造成潜在的负面影响,因此,我们应积极跟踪发达国家的人才政策,学习其先进经验和做法。     

Housing prices,stock prices and the US economy

This paper studies the relationship between housing prices, stock prices, interest rates and aggregate output in the US using monthly data from 1993 to 2014. Evidence from causality tests and a variance decomposition procedure suggest that stock prices have a much larger effect on aggregate output in the US economy than do either housing prices or interest rates. Instead, the wealth effect created by changes in stock prices has a relatively large impact on US aggregate output. Separate estimations and variance decompositions for the sample periods 1993–2001, 2002–2008 and 2009–2014 show that the impact of housing prices relative to stock prices has been waning over time.     

The effect of foreign aid on corruption: A quantile regression approach

This paper investigates the effect of foreign aid on corruption using a quantile regression method. We show that foreign aid generally reduces corruption, and its reduction effect is greater in less corrupt countries. Moreover, this effect is different by different donor countries.     

A quantile regression approach for estimating panel data models using instrumental variables

We introduce a quantile regression approach to panel data models with endogenous variables and individual effects correlated with the independent variables. We find newly developed quantile regression methods can be easily adapted to estimate this class of models efficiently.     

Institutional quality and public spending in Europe: A quantile regression approach

We appraise the effects of institutional quality on public spending for a set of 27 European countries and 18 Euro-area economies over the 1996–2017 period. While institutions play a weak role in affecting spending once the fixed-effects model is employed, the application of the quantile regression indicates that improved institutional quality mitigates public spending, although the effects crucially depend on the distribution of public expenditure and the sample examined. For both the Euro-area sample and the full sample, we show that better quality of institutions reduces public spending, although the effects become less significant the higher the levels of public spending. Further, for the Euro-area sample, institutions appear to have a stronger role in mitigating public spending. Several robustness tests confirm our findings.     

Equity market information and credit risk signaling: A quantile cointegrating regression approach

Investigating linkages between credit and equity markets, we consider daily aggregate U.S. CDS spreads as well as well-chosen equity market and implied volatility indexes over ten years. We describe such robust (to spurious correlation) relationship with the quantile cointegrating regression approach. Such approach handles extreme quantiles/CDS values and their behavior with respect to the equity market's influence. Heteroskedastic patterns such as time-varying variance, but also autocorrelation, skewness and leptokurtosis are captured. Thus, the sensitivity of aggregate CDS spreads to equity market price and volatility channels is accurately measured across quantiles and spreads. Such quantile-dependent sensitivity exhibits asymmetric responses to equity market shocks. A sub-period analysis investigates potential regime shifts in estimated quantile cointegrating regressions. Quantile cointegrating coefficients vary over time and quantiles, and exhibit different magnitudes across sub-periods and spreads. Therefore, the relationship is unstable over time. We also propose a scenario analysis and risk signaling application for credit risk management prospects. Under specific risk levels, credit risky situations are described conditional on the equity market's information over time, and related expected aggregate CDS spreads are computed. Estimated conditional quantiles/CDS spreads act as credit alert triggers.     

The road to innovation vs. the role of globalization: A dynamic quantile investigation

This paper investigates the distributional effects of globalization on innovation using 86 countries data from 1986 to 2016. Our results derived from the dynamic panel quantile regression technique show that overall globalization has a positive influence on national innovation in the least innovative countries. Similar evidences are found when utilizing globalization (de jure) and social globalization indices. Subsample analysis shows that globalization leads to better innovation performance in the medium innovative countries among OECD countries. Therefore, our findings contribute to the existing literature in identifying the changing effect of globalization on innovation.     

US inflation and consumption: A long-term perspective with a level shift

This article examines the existence and stability of the consumption function in the United States of America (US) beginning in the 1950s. In order to obtain a stable long run relationship, we have introduced two innovative elements into the analysis of the life-cycle of the consumption function with wealth effects: 1) a shift level break in the cointegrating relationship, and 2) using inflation as an additional explanatory variable. By implementing a well structured estimation strategy, we found that after taking the level shift into account, a cointegrating equation, including inflation, exists and is more stable for the critical sub-samples than traditional consumption function models.     

QARMA-Beta-t-EGARCH versus ARMA-GARCH: an application to S&P 500

Statistical performance and out-of-sample forecast precision of ARMA-GARCH and QARMA-Beta-t-EGARCH are compared. We study daily returns on the Standard and Poor’s 500 (S&P 500) index and a random sample of 50 stocks from the S&P 500 for period May 2006 to July 2010. Competing models are estimated for periods before and during the US financial crisis of 2008. Out-of-sample point and density forecasts are performed for periods during and after the US financial crisis. The results provide evidence of the superior in-sample statistical and out-of-sample predictive performance of QARMA-Beta-t-EGARCH.