中国房地产投资与经济增长的计量分析

在20世纪90年代后期我国颁布了一系列的建设住房商品化以及建设住房规范的政策和措施,以深化我国的住房制度。从此,房地产业开始了良性的大发展,并逐渐成为了一些大中型城市的支柱产业和主要产业。本文运用时间序列计量经济模型从量化角度对二者的关系进行实证研究。     

ECONOMETRIC MODELS OF ASYMMETRIC PRICE TRANSMISSION

Abstract In this paper, we review the existing empirical literature on price asymmetries in commodities, providing a way to classify and compare different studies that are highly heterogeneous in terms of econometric models, type of asymmetries and empirical findings. Relative to the previous literature, this paper is novel in several respects. First, it presents a detailed and updated survey of the existing empirical contributions on price asymmetries in the transmission mechanism linking input prices to output prices. Second, this paper presents an extension of the traditional distinction between long‐run and short‐run asymmetries to new categories of asymmetries, such as: contemporaneous impact, distributed lag effect, cumulated impact, reaction time, equilibrium and momentum equilibrium adjustment path, regime effect, regime equilibrium adjustment path. Each empirical study is then critically discussed in the light of this new classification of asymmetries. Third, this paper evaluates the relative merits of the most popular econometric models for price asymmetries, namely autoregressive distributed lags, partial adjustments, error correction models, regime switching and vector autoregressive models. Finally, we use the meta‐regression analysis to investigate whether the results of asymmetry tests are not model‐invariant and find which additional factors systematically influence the rejection of the null hypothesis of symmetric price adjustment. The main results of our survey can be summarized as follows: (i) each econometric model is specialized to capture a subset of asymmetries; (ii) each asymmetry is better investigated by a subset of econometric models; (iii) the general significance of the F test for asymmetric price transmission depends mainly on characteristics of the data, dynamic specification of the econometric model, and market characteristics. Overall, our empirical findings confirm that asymmetry, in all its forms, is very likely to occur in a wide range of markets and econometric models.     

Temporary Equilibrium,Full Equilibrium,and Elasticity of Cost

The result by Morrison (1985) and Morrison and Schwarzt (1994) that there is an one-to-one relationship between the rate of economic capacity utilization and ratio of cost elasticities at the temporary and the full equilibrium has been instrumental in past studies on measuring economic capacity utilization and on adjusting indexes of productivity growth for temporary equilibrium. In this paper, dynamic duality and comparative dynamics are employed to assess the behavior of cost elasticity along an optimal path to the steady state. The analysis suggests that no a priori relationship exists between economic capacity utilization and elasticity of cost. The absence of an a priori relationship between these two economic variables implies that theoretical and empirical results based on past notions about the dynamic behavior of cost elasticity may have to be reconsidered.     

Disruptive technology adoption,particularities of clustered firms

ABSTRACT

This article explores to what extent the internal attributes of a clustered firm influence its capacity to adopt disruptive innovations. A multidimensional approach to the absorptive capacity (ACAP) model is used to distinguish between potential (acquisition and assimilation domains) and realized (transformation and exploitation domains) internal firm capabilities. Our evidence comes from an empirical analysis of the population of firms belonging to the Spanish ceramic tile cluster which have adopted a disruptive innovation – the so-called digital printing technology – on a massive scale. The econometric estimations suggest the relevance of the Exploitation dimension of ACAP for early adoption of a new technology. In contrast, the other dimensions do not seem to play a decisive role when it comes to adopting one novelty earlier than others. In conclusion, and contrary to what was expected for non-clustered firms, the results revealed an uneven effect of the potential and realized domains of ACAP of clustered firms regarding the rate of adoption of distant technologies.     

Decisionmetrics: A decision-based approach to econometric modelling

An approach to developing a possibly misspecified econometric model that will be used as the beliefs of an expected utility maximiser is proposed. This approach builds on a novel objective function that measures the value of predictive distributions in decision-making and is used in model estimation, selection and evaluation. The methods proposed also provide an econometric approach for developing arbitrary parametric action rules such as technical trading rules. The approach is compared in detail with existing methods and is applied in the context of a CARA investor's decision problem where analytical and empirical results suggest it is very effective.     

Analyzing the underlying dimensions of firm profitability

In this paper we decompose a traditional measure for firm's performance, return on sales, into four components that capture the impact of productivity, price recovery, product mix and capacity utilization, respectively, on a firm's profitability. The new measures are used as an illustration to explain changes in the performance of firms in the US telecommunications industry following deregulation. Changes in the overall profitability margin of these firms are explained by substantial but offsetting changes in their productivity, price recovery ability, product-mix maximization and capacity utilization, that have occurred as a consequence of deregulation. The new measures enable us not only to illustrate relative differences between firms in a given cross-section but also to shed light on how changes take place over time in the different components that underlie firms' profitability.     

Excess capacity: a permanent characteristic of US airlines?

This paper examines the permanence of excess capacity in the US airline industry. To avoid the problems with the standard engineering measure of capacity utilization, load factor, we define and measure capacity as an economic concept. Two measures of economic capacity utilization are then computed—one, a demand-based measure and the other an output-based measure of capacity utilization. Both measures share little in common with the standard engineering measure (load factor) and reveal some interesting attributes of airline travel demand. This paper also provides interesting new insights into the role of deregulation and the costs of excess capacity during regulation. Specifically, it is found that deregulation with the concomitant rationalization of route structures enabled airlines to move closer to their optimal levels of capacity and facilitated substantial improvements in capacity utilization and cost reductions over the period considered. © 1998 John Wiley & Sons, Ltd.     

城市地下空间开发利用容量评估指标体系的研究

地下空间是城市开发的重要自然资源,城市地下空间开发利用容量评估的目的旨在把握城市所具有的地下空间可开发利用的总量和潜力,建立科学的评估指标体系是地下空间开发利用容量评估的基础.本文分析了城市地下空间开发利用容量的主要影响因素,提出了城市地下空间开发利用容量评估指标体系构建的原则.基于层次分析法建立了城市地下空间开发利用容量评估的层次结构模型,依据该层次结构模型构造了各层次判断矩阵,并进行了层次单排序、层次总排序及其一致性检验.经研究分析得到:地面空间类型、受已开发地下空间的影响程度、地震烈度、滑坡及崩塌、对工程有影响的地下水层数、受影响的地下水赋存类型及活断层等是城市地下空间开发利用容量评估的主要指标.     

环境规制、技术创新与产能过剩

以2010—2015年沪深A股上市公司数据为样本,利用数据包络分析法计算出企业的产能利用率,用来衡量其产能过剩程度,实证分析环境规制对企业技术创新和产能过剩的影响,结果表明：环境规制与技术创新和产能利用率之间均存在“U”型关系,即较低的环境规制会约束企业的技术创新能力、加剧产能过剩,较高的环境规制会提高企业的技术创新能力、缓解产能过剩,技术创新在环境规制与产能利用率的“U”型关系中具有显著的中介效应。     

城市化进程与服务业发展对经济拉动作用的实证分析

文章通过对计量模型的分析,使用1983～2009年城市化、服务业综合发展以及人均GDP等的数据,运用Johansen协整、Granger因果检验,脉冲响应函数等计量方法对三个指标之间的关系进行实证检验。实证结果表明服务业发展和经济增长之间相互促进,经济增长带动城市化水平提高,但城市化水平对经济增长作用不明显,并进一步分析了在长期过程中经济增长对城市化水平、服务业发展的冲击响应。最后针对我国现状,提出相应的政策建议。     

Forecasting automobile insurance paid claim costs using econometric and ARIMA models

Automobile insurance companies in the United States currently utilize simple exponential trend models to forecast paid claim costs, an important variable in ratemaking. This paper tests the performance of econometric and ARIMA models, as well as the current insurance industry method, in forecasting two paid claim cost series. The experiments encompass eight forecast periods ranging from 1974 through early 1983. The results indicate that automobile insurers could significantly improve their forecasts of property damage liability claim costs by adopting econometric models. For bodily injury liability claim costs, the accuracy of the econometric and insurance industry methods is approximately the same, and both outperform the ARIMA models. Overall, a net gain in accuracy could be achieved by adopting econometric models.     

Diagnosing housing fever with an econometric thermometer

Housing fever is a popular term to describe an overheated housing market or housing price bubble. Like other financial asset bubbles, housing fever can inflict harm on the real economy, as indeed the U.S. housing bubble did in the period following 2006 leading up to the general financial crisis and great recession. One contribution that econometricians can make to minimize the harm created by a housing bubble is to provide a quantitative “thermometer” for diagnosing ongoing housing fever. Early diagnosis can enable prompt and effective policy action that reduces long-term damage to the real economy. This paper provides a selective review of the relevant literature on econometric methods for identifying housing bubbles together with some new methods of research and an empirical application. We first present a technical definition of a housing bubble that facilitates empirical work and discuss significant difficulties encountered in practical work and the solutions that have been proposed in the past literature. A major challenge in all econometric identification procedures is to assess prices in relation to fundamentals, which requires measurement of fundamentals. One solution to address this challenge is to estimate the fundamental component from an underlying structural relationship involving measurable variables. A second aim of the paper is to improve the estimation accuracy of fundamentals by means of an easy-to-implement reduced-form approach. Since many of the relevant variables that determine fundamentals are nonstationary and interdependent we use the endogenous instrumental variable based method (IVX) to estimate the reduced-form model to reduce the finite sample bias which arises from highly persistent regressors and endogeneity. The recursive evolving test proposed by Phillips, Shi, and Yu (PSY) is applied to the estimated nonfundamental component for the identification of speculative bubbles. The new bubble test developed here is referred to as PSY-IVX. An empirical application to the eight Australian capital city housing markets over the period 1999–2017 shows that bubble testing results are sensitive to different ways of controlling for fundamentals and highlights the importance of accurate estimation of these housing market fundamentals.     

A panel data approach to economic forecasting: The bias-corrected average forecast

In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the (feasible) bias-corrected average forecast. Using panel-data sequential asymptotics we show that it is potentially superior to other techniques in several contexts. In particular, it is asymptotically equivalent to the conditional expectation, i.e., has an optimal limiting mean-squared error. We also develop a zero-mean test for the average bias and discuss the forecast-combination puzzle in small and large samples. Monte-Carlo simulations are conducted to evaluate the performance of the feasible bias-corrected average forecast in finite samples. An empirical exercise, based upon data from a well known survey is also presented. Overall, these results show promise for the feasible bias-corrected average forecast.     

TESTING ASSUMPTIONS MADE IN THE CONSTRUCTION OF INPUT–OUTPUT TABLES

Product input–output (IO) tables are mainly constructed on the basis of product and/or industry technology assumptions. The choice is not trivial and deserves empirical analysis using input and output data at the level of establishments. This paper offers input–output compilers econometric tests to facilitate the construction of tailored hybrid technology-based product IO tables. We provide weighted likelihood ratios of the product and industry technology assumptions. Although the proposed econometric tests are aimed to be used ex ante, we construct four variants of hybrid technology-based product IO tables using establishment data from Andalusia (Spain) and contrast them to the official product IO table and the pure product and industry technology-based tables. Our econometric tests are not valid for industry IO tables.     

MEASUREMENT,EVOLUTION, DETERMINANTS,AND CONSEQUENCES OF STATE CAPACITY: A REVIEW OF RECENT RESEARCH

There is increasing realization that state capacity is a fundamental ingredient for effective governance, and is a crucial element of long‐run economic development. This paper offers an overview of the strengths and limitations in current empirical research on the measurement of state capacity. The paper also surveys the fast emerging literature on the determinants and effects of state capacity. We argue that existing measures on governance quality used in cross‐national research can be usefully exploited to capture different aspects of state capacity, and show that post the end of the Cold War, developing economies have experienced improvements in legal, administrative and bureaucratic capacity, but the gap with advanced economies is still wide. Future research should address the short temporal coverage of available measures of state capacity, as well as providing a systematic quantitative assessment of the determinants of capacity and of its effects on development outcomes, such as health and education, which have not received sufficient scrutiny.     

Growth and convergence in a multi-country empirical stochastic Solow model

The paper considers international per capita output and its growth using a panel of data for 102 countries between 1960 and 1989. It sets out an explicitly stochastic Solow growth model and shows that this has quite different properties from the standard approach where the output equation is obtained by adding an error term to the linearized solution of a deterministic Solow model. It examines the econometric properties of estimates of beta convergence as traditionally defined in the literature and shows that all these estimates are subject to substantial biases. Our empirical estimates clearly reflect the nature and the magnitude of these biases as predicted by econometric theory. Steady state growth rates differ significantly across countries and once this heterogeneity is allowed for the estimates of beta are substantially higher than the consensus in the literature. But they are very imprecisely estimated and difficult to interpret. The paper also discusses the economic implications of these results for sigma convergence. © 1997 John Wiley & Sons, Ltd.     

SUCCESSFUL IN THE LONG RUN: A META‐REGRESSION ANALYSIS OF PERSISTENT FIRM PROFITS

We study the profit persistence literature by applying meta‐regression analysis (MRA) to a set of 36 empirical papers, which analyze the persistence of abnormal firm profits over time. The analyzed literature provides evidence for a mediocre degree of persistence in abnormal profits. An initial analysis of the distribution of reported profit persistence estimates reveals some degree of excess variation. This points toward publication bias that favors significant results independent of their algebraic sign. The MRA, however, reveals that publication bias is particularly favoring results that indicate profit persistence and thus contradict the neoclassical model of perfect competition. Moreover, the MRA enables to control for heterogeneity driven by the study design. We find that the analyzed country (developing vs. developed), the applied econometric approach, as well as the analyzed period of time are significant drivers of heterogeneity in reported persistence estimates.     

ECONOMETRIC ANALYSIS OF EUROPEAN CARBON DIOXIDE EMISSIONS BASED ON RECTANGULAR SUPPLY-USE TABLES

This paper formalises the so-called Supply-Use Based Econometric (SUBE) approach that allows for the introduction of econometric analysis in the calculation of backward input–output multipliers of the Leontief-type quantity model, using rectangular supply and use tables. The SUBE approach does not require any kind of inverse matrix and incorporates the traditional approach (with square supply-use tables) as a particular case. The empirical analysis shows that the SUBE carbon dioxide multipliers for the EU27 are considerably lower than those obtained by the traditional Leontief inverse. In an application of the SUBE approach, the European economy appears to emit about 10% less carbon dioxide than in a situation in which it would not import any intermediate inputs from outside the EU27.     

Productivity,price recovery,capacity constraints and their financial consequences

Mining and fishing are both extractive industries, although one resource is renewable and the other is not. Miners and fishers pursue financial objectives, although their objectives may differ. In both industries financial performance is influenced by productivity and prices. Finally, in both industries capacity constraints influence financial performance, perhaps but not necessarily through their impact on productivity, and both industries encounter external as well as internal capacity constraints. In this study we develop an analytical framework that links all four phenomena. We use return on assets to measure financial performance, and our analytical framework is provided by the duPont triangle. We measure productivity change in two ways, with a theoretical technology-based index and with empirical price-based indexes. We measure price change with empirical quantity-based indexes. We measure internal capacity utilization by relating a pair of output quantity vectors representing actual output and full capacity output, and we develop physical and economic measures of internal capacity utilization. We also show how external capacity constraints can restrict the ability to reach full capacity output. The analytical framework has productivity change, price change and change in capacity utilization influencing change in return on assets.     

Model Selection for Monetary Policy Analysis: How Important is Empirical Validity?*

We investigate the economic significance of trading off empirical validity of models against other desirable model properties. Our investigation is based on three alternative econometric systems of the supply side, in a model that can be used to discuss optimal monetary policy in Norway. Our results caution against compromising empirical validity when selecting a model for policy analysis. We also find large costs from basing policies on the robust model, or on a suite of models, even when it contains the valid model. This confirms an important role for econometric modelling and evaluation in model choice for policy analysis.