What are returns outside trading hours capturing for volatility of individual stocks?

This study is the first to harness the negative returns and squared returns outside trading hours, trading volume and leverage effects in an augmented heterogeneous autoregressive model for forecasting volatility of individual stocks. Besides significant leverage effects and trading volume impact, we find that an increase in the negative returns is associated with a decline in volatility, but an increase in the squared returns is associated with a rise in volatility. This new finding suggests that the negative returns and squared returns outside trading hours are capturing additional leverage effects and additional volatilities, respectively. Moreover, the relations display differences amongst various firm categories which arise from firm heterogeneity.     

Like father like son? Revisiting the role of parental education in estimating returns to education in China

Parental education has been used as an instrument in the earnings equation to deal with the endogeneity problem of education. Recently, however, many have found that parental education can be a proxy for unobservable networking, which directly affects wages. This article revisits the role of parental education in estimating returns to education by introducing the “geographical isolation” theory. For migrant workers who receive an education and move around to work, parental education affects their education but otherwise is unrelated to their wages, which makes parental education a good instrument in the instrumental variable approach. For local residents who stay in the same place during childhood and adulthood, parental education can directly affect their wages, and is better introduced as a proxy variable using the control variable method. This article identifies the heterogeneous effect of parental education on wages for different Chinese cohorts and contributes to the debate between the control variable and instrumental variable methods in returns to education studies. Moreover, the idea of geographic isolation can help in the search for good instrumental variables for migrant workers, which is valuable when studying the large migrant population in developing countries such as Mexico, China, India, Vietnam, and many African countries.     

What drives investment in the telecommunications sector? Some lessons from the OECD countries

Regulation of telecommunications sector plays a crucial role in the political and economic agenda for both industrial and developing countries. The regulatory efforts of more developing countries in order to attract investments and enhance the level of effective competition in the industry are hindered by the absence of a sound legal framework, the weak level of regulation and the extended state interventionism. The main aim of this study is to examine the regulatory process in the telecommunications industry within the OECD countries and determine the extent to which it has affected the level of investment and economic growth. For this purpose, we use an updated data set for thirty OECD countries covering the period 1988–2010 and panel data econometric techniques. Our analysis reveals that there is a strong and positive relationship between effective regulation and investment.     

Does the higher education expansion in the UK reduce the returns to education? A comparison of returning-from-work versus fresh out-of-school graduates

Using the Quarterly Labour Force Survey, we examine the effect of the higher education expansion following the Education Reform Act 1988 on the returns to education in the United Kingdom. Compared to previous studies, we make the distinction between fresh out-of-school students and returning-from-work students who typically have rather lower prior educational attainment but more work experience. We find that fresh university students have experienced larger declines in lower secondary-school educational attainment while the returning university students have grown significantly in shares as a result of the expansion. After accounting for the compositional changes, the Matching Difference-in-Differences results suggest that the expansion has significantly reduced the returns to education for fresh students, but not for returning students. Our findings imply that government policy to enrol increasingly academically weaker students into universities could be misleading. On the other hand, university education might continue to be an efficient pathway for some low school-achievers to obtain more education and enhance their productivity, provided they have some relevant work experience and favourable non-cognitive skills.     

Proximity,networking and knowledge production in Europe: What lessons for innovation policy?

This paper aims at investigating the role of different types of proximity on the technological activity of a region within the context of a knowledge production function, where R&D expenditure and human capital are the main internal inputs. We thus assess to what extent the creation of new ideas in a certain region is enhanced by knowledge flows coming from proximate regions. In particular, we examine in detail different kinds of proximity by combining the usual geographical dimension with the institutional, technological, social and organizational proximity. The analysis is implemented for an ample dataset referring to 276 regions in 29 European countries (EU27 plus Norway, Switzerland) over the last decade. Results show that human capital and R&D are clearly essential for innovative activity with the former being much more effective in driving the production of knowledge. As for the proximity and network effects, we find that technological proximity outperforms the geographic one, whilst a limited role is played by social and organizational networks. As a result, the first policy message is that European regions still need to focus on policies aimed at increasing the endowments of well-educated labour force and therefore their knowledge base. Furthermore, we need innovation policies based on each region's specific innovation potential, due to the existing differences in geographical, cognitive, institutional, social and organizational structures and networks.     

Have the returns to education really increased in Vietnam? Wage versus employment effect

Many studies have analyzed changes in the returns to education in globalizing economies using the Mincerian framework. These studies have typically estimated the returns to education in terms of changes in wages rather than employment, effectively ignoring the fact that during globalization not only wages but also employment patterns are affected. In this paper we use four large-scale representative household surveys from the transition economy Vietnam for the period 1998–2006 to estimate the returns to education taking into account both changes in wages and employment. The results show that the estimated increases in returns to education are lower once changes in employment patterns are taken into account.     

What drives the high moments of hedge fund returns?

We study the high-moment distribution of hedge fund returns and identify factors that drive high-moment risk. Using hedge fund monthly returns, we find a strong correlation between the first four moments of returns (i.e. mean, standard deviation (SD), skewness, and kurtosis) and different characteristics of the funds such as leverage, liquidity, incentives, and strategy-related factors. We find that after controlling for other factors, incentives-related factors and a hedge fund’s specific strategy have the greatest impact on the distribution of fund returns. Our evidence also suggests investors allocate across hedge fund characteristics while placing greater emphasis on fund strategies and incentive factors.     

Back to Engel? Some evidence for the hierarchy of needs

Using UK household expenditure data spanning over four decades (1960–2000), this paper employs Engel’s needs-based approach to analyzing household expenditure patterns and finds evidence for the existence of a stable hierarchy of expenditure patterns at low levels of household income. Second, we investigate how rising household income influences the manner in which total expenditure is distributed across Engel’s expenditure categories. Our results suggest that i) total household expenditure is distributed across Engel’s expenditure categories in an increasingly even manner as household income increases and ii) over time, there has been an acceleration in the rate at which household expenditure patterns become diversified as household income rises. Finally, we consider how the shape of Engel Curves may help shed light on the relationship between goods and the underlying needs they serve.     

What (if any) are the returns to computer use?

Using North American data, we revisit the question first broached by Krueger (1993 Krueger, AB. 1993. How computers have changed the wage structure: evidence from microdata. Quarterly Journal of Economics, 108: 33–60. [Crossref], [Web of Science ®] , [Google Scholar]) and re-examined by DiNardo and Pischke (1997 DiNardo, JE and Pischke, J-S. 1997. The returns to computer use revisited: have pencils changed the wage structure too?. Quarterly Journal of Economics, 112: 291–303. [Crossref], [Web of Science ®] , [Google Scholar]) of whether there exists a real wage differential associated with computer use. Employing a mixed effects model with matched employer–employee data to correct for the fact that workers and workplaces that use computers are self-selected, we find that computer users enjoy an almost 4% wage premium over nonusers. Failure to correct for worker and workplace selection effect leads to a more than twofold overestimate of this premium.     

What are the effects of fiscal policy on asset markets?

We investigate the link between fiscal policy shocks and asset markets. Our results show that spending shocks have: a positive and persistent effect on GDP in the U.S. and in the U.K., while for Germany and Italy, such impact is temporary; a positive and persistent effect on housing prices; a negative effect on stock prices; and mixed effects on the price level. A VAR counter-factual exercise suggests that fiscal shocks play a minor role in the asset markets of the U.S. and Germany, and substantially increase the variability of housing and stock prices in the U.K., while government revenue shocks have increased volatility in Italy.     

What do schools produce? Implications of multiple outputs in education

This article introduces the hypothesis that secondary schools create at least two competing 'outputs' standardized test scores and high school completion - which may be seen as substitutes. This hypothesis provides an explanation for the decrease in standardized test scores that occurred over the last 40 years along with an often overlooked increase in high school graduation rates. The article presents evidence supporting this hypothesis as well as evidence that different schools face different tradeoffs and discusses the policy implications of such trade-offs.     

Is emigration of workers contributing to better schooling outcomes in Nepal?

This paper presents evidence on how emigration for work affects schooling outcomes for primary and secondary school‐age children in Nepal. Using an instrumental variable strategy exploiting past migration network, we show that the identified effects critically depend on how schooling outcomes are measured. While conventional measures of school attendance indicate no impact, our new set of schooling status and schooling gap measures reveals significant impacts. Schooling status measures reveal favorable impacts for girls, and for emigration to India. Schooling gap measures reveal favorable effects of all emigration on schooling outcomes for girls and of emigration to other countries for boys.     

What Accounts for the Rising Share of Women in the Top 1 percent?

The share of women in the top 1 percent of the UK’s income distribution has been growing over the last two decades (as in several other countries). Our first contribution is to account for this trend using regressions of the probability of being in the top 1 percent, fitted separately for men and women, in order to contrast between the sexes the role of changes in characteristics and changes in returns to characteristics. We show that the rise of women in the top 1 percent is primarily accounted for by their greater increases in the number of years spent in full-time education. Although most top income analysis uses tax return data, we derive our findings taking advantage of the much more extensive information about personal characteristics that is available in survey data. Our use of survey data requires justification given survey under-coverage of top incomes. Providing this justification is our second contribution.     

What drives the reversal of the gender education gap? Evidence from Germany

We study the mechanisms that are associated with the gender education gap and its reversal in Germany. We focus on three outcomes, graduation from upper secondary school, any tertiary education and tertiary degree. Neither individual and family background nor labour market characteristics appear to be strongly associated with the gender education gap. There is some evidence that the gender gap in upper secondary education reflects the rising share of single parent households which impacts boys’ attainment more than girls’. The gender education gap in tertiary education is correlated with the development of class sizes and social norms.     

What drives inequality and poverty in the EU? Exploring the impact of macroeconomic and institutional factors

Employing panel data techniques, we investigate the macroeconomic and institutional determinants of inequality and poverty in the EU over the period 1994–2008. We pay particular attention to the effects of macroeconomic environment, social protection and labour market institutions. The empirical analysis shows that the social transfers in cash, and principally the transfers that do not include pensions, exert a prominent impact on inequality and poverty. Also significant is the effect of the GDP per capita. The impact of employment on inequality and poverty is not empirically sound. The same holds for the labour market institutions; an exception is the union density, which appears conducive to a less dispersed personal income distribution. Importantly, the results support the view that the social protection system acts as a catalyst in determining the effectiveness of social spending and the distributive role of economic growth and employment.     

What labelling policy for consumer choice? The case of genetically modified food in Canada and Europe

Abstract. Faced with divergent opinions among consumers on the use of genetically modified (GM) foods, Canada has adopted a voluntary labelling approach for non‐GM foods, whereas the European Union has a mandatory labelling policy for GM foods. Interestingly, both labelling systems have resulted in very little, if any, additional consumer choice. Using an analytical model, we show that the coexistence of GM and non‐GM products at the retail level depends on the labelling policy, consumer perceptions, and the type of product. Although voluntary labelling tends to favour the use of GM products, it is more likely to provide consumer choice.     

What Weight Should be Given to Asset Prices in the Measurement of Inflation?

Besides the theoretical (Alchian/Klein, 1973) case for including asset prices in measures of inflation, there is also a practical case, that some asset prices, notably housing, are closely associated with the main trends in inflation, and via 'bubbles and busts' with output disturbances. Attempts to use the pure Alchian/Klein methodology in practice give excessive weight to unstable asset prices, but there are more appropriate weighting schemes, derived either from econometrically measured relationships or from final expenditures. Either way, the statistical treatment of housing is crucial, and is being discussed in Eurostat.     

What Role for Multinationals in the New Theories of International Trade and Location?

The paper starts with a summary of the way the new theories of international trade have incorporated the role of multinational companies (MNCs) in the location of production. The main, specific assumptions used to incorporate MNCs' activities relate to joint inputs at the company's level combined with assumptions regarding costs at the plant level and spatial transaction costs. It is claimed that this approach explains multi-plant location, although it cannot discriminate between inter-regional and the inter-national multi-plant location. It is argued that nation-states should be distinguished by their regulatory regimes. The MNCs' ability to plan and organize across different regulatory regimes may give them special advantages linked to distributional issues and spread-ofactivities strategies. These strategies may lead to a pattern of industrial location not fully congruent with the one emerging from the new trade and location theories.     

How important is the credit channel in the transmission of monetary policy in Mexico?

This article empirically examines the importance of the credit channel of monetary policy in Mexico for the period 2004–2013. We estimate a vector autoregressive (VAR) model to analyse the effects of a monetary policy shock on real output, and we also use a threshold VAR model to investigate asymmetric effects of contractionary and expansionary policies. The empirical results suggest that a contractionary monetary policy results in a fall in the supply of loans together with an increase in the spread between the lending and deposit rate. To the extent that some borrowers are dependent on bank loans for credit, the reduced supply of loans amplifies the effects of monetary policy on output associated with the traditional interest rate channel. Our results also suggest that the importance of the credit channel is larger for contractionary shocks than for expansionary shocks.