外商直接投资与中国进出口贸易的区域差异研究——基于省级面板数据的单位根、协整与Granger因果检验

本文基于1987～2004年的省级面板数据,通过面板单位根、协整和Granger因果检验,对国内东、中、西三大地区的外商直接投资与进出口之间的关系进行了系统考察。研究发现:东、中部地区的FDI与进出口之间存在长期均衡的关系,但在西部地区却并不存在协整关系;三大地区的进口均是FDI的Granger原因,但出口并不是FDI的Granger原因;东部地区的FDI很显著地构成了进出口的Granger原因,但这种Granger因果关系在中、西部地区却并不存在。文章结合区域差异结论,从技术溢出的角度重新解释了中国区域经济发展的"马太效应"。     

The Money-prices Nexus for Malaysia: New Empirical Evidence from the Time-varying Cointegration and Causality Tests

Abstract

The main objective of this study is to empirically re-investigate the money-prices nexus for Malaysia through the Johansen multivariate cointegration and the modified Wald (MWALD) causality techniques. This study covered the monthly dataset from 1971:M1 to 2008:M11. The Johansen cointegration test suggests that the variables under investigation are co-move in the long run. Furthermore, the MWALD causality test shows a bidirectional causal relationship between money supply (M2) and aggregate prices, meaning that both the monetarist's and also the structuralists' views are vindicated in the Malaysian economy. However, the time-varying cointegration and causality tests indicate that the cointegrating and also the causal relationships are not stable over the analysis period. These results suggest that inflation in Malaysia is not purely a monetary phenomenon. Therefore, implementing a tighter monetary policy may not be an effective macro-economic instrument in managing the inflationary behaviour in the Malaysian economy.     

对费雪效应的重新考察:来自面板协整的国际新证据

本文利用50个国家1981～2007年的面板数据重新考察了费雪效应.面板单位根检验发现,利率和通货膨胀率均存在单位根;异质面板协整检验的结论认为,弱费雪效应显著成立;利用完全修正的OLS和动态OLS方法对发达国家和发展中国家分别进行估计和检验,发现发展中国家存在弱费雪效应,而发达国家存在严格费雪效应;文章最后讨论了本文研究结论的货币政策含义,分析了中国利率政策实施中的问题并提出了建议.     

Are Real GDP Levels Nonstationary? Evidence from Panel Data Tests

Ever since the seminal paper of Nelson and Plosser (1982), researchers have focused on the potential nonstationarity of important macroeconomic variables, and unit root tests are now a standard procedure in empirical analyses. While there are many findings of unit roots in macroeconomic variables using the popular augmented Dickey and Fuller (1979) test, this test has low power against near-unit-root alternatives. Recently, panel data procedures have been proposed as an avenue to increased power. This paper applies panel unit root tests to international real GDP and real GDP per capita data. The results overwhelmingly indicate that international real GDP and real GDP per capita levels are nonstationary.     

Portfolio Implications of Cointegration Between Labor Income and Dividends

This paper analyzes the implications of cointegration between labor income and dividends for the optimal portfolio weight for stocks. In a recent paper, Benzoni et al. (J Finance 62:2123–2167, 2007) claim that, as a result of cointegration, the optimal weight in stocks may be smaller for young investors than for older investors. This contradicts the traditional life-cycle models which typically imply portfolio weights that decrease with age. This paper shows that when stock returns are affected by other factors than dividend growth, for example due to time-varying discount rates, the portfolio implications of cointegration are much less severe. In a realistically calibrated model, the life-cycle pattern for the portfolio weight of stocks is flat, except for very young investors.     

Reconsidering Consumption Risk Sharing among OECD Countries: Some Evidence Based on Panel Cointegration

In this paper we provide a characterization of international consumption risk sharing among a sample of OECD countries based on panel cointegration and error-correction techniques. Our results indicate that around 30% of idiosyncratic consumption risks are shared in the short run. In the long run, however, only about 10% of idiosyncratic consumption risks are shared internationally. In addition, we find that countries characterized by relatively high foreign asset and liability positions are less exposed to shocks. Moreover, the time it takes until idiosyncratic shocks exert their full impact on consumption crucially depends on the foreign asset and liability position.

The Unit Root Hypothesis for Aggregate Output May Not Hold after All: New Evidence from a Panel Stationarity Test with Multiple Breaks

This paper investigates the hypothesis of a unit root in output for four panels of real gross domestic product (GDP) and real GDP per capita series in the Organization for Economic Cooperation and Development (OECD). For that purpose, a panel stationarity test is employed that assumes a highly flexible trend function by incorporating an unknown number of breaks in level and slope. This analysis renders clear-cut evidence in favor of regime-wise trend stationarity in OECD output for the three data sets of annual data, while evidence of nonstationarity is found for the data set based on quarterly data, which is composed of only seven countries over the shortest time span. Overall, the results herein stand in stark contrast to previously published results that do not control for the existence of structural change in the trend function, but accord well with those that employ panel unit root tests that allow for a single homogeneous break in the trend function.     

Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests

Recent literature reported conflicting results about the cointegration relationship between the spot and forward exchange rates. Applying rolling cointegration tests to the mark, yen, and Swiss franc with respect to the U.S. dollar for the post-80 period, we find that the relationship between the two rates broke down in the late 1980s. Although they became cointegrated again during the mid-90s, they no longer co-moved proportionally. It is argued that failure to account for such significant structural changes in the data generating process explains, at least partially, the conflicting findings reported in the literature.     

Health and Productivity: Panel Data Evidence from Ethiopia

Abstract: Neoclassical growth models and endogenous growth theories show the positive contribution of human capital to growth. Using household panel data (1994–2000) on individuals who reported their wages in urban Ethiopia, we estimated a relationship between health measures (i.e. proxied by height and BMI) and wages (which proxies productivity/growth). Our findings from the IV quantile regression estimates indicate that productivity is positively and significantly affected by education, height and BMI. The return to BMI is important both at the lower and upper end of the wage distribution. The return to height is significant only at the end of the wage distribution. The substantive content of the results (i.e. the high‐nutrition and high‐productivity equilibrium story) does not change even if we did not control for endogeneity of schooling. Non‐parametric evidence also supports the strong and positive relationship between productivity and our indicators of human capital.     

Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks

We investigate the stationarity of real exchange rates using a panel of Asian and South and Latin American countries by applying a new panel unit root test that is robust to structural breaks due to currency crises. It turns out that the long-run PPP relationship is relevant for the Asian countries, which experienced a flexible exchange rate, whereas for the South and Latin American countries, for which the exchange rate has been pegged to the U.S. dollar for a long time, the PPP relationship breaks down. In Asian countries PPP appears to hold before the 1997 crisis, which is not the case for the South and Latin American countries. This suggests that the Asian flu corresponds to a second-generation type of crises, whereas the 1995 Mexican tequila fits the first-generation models better. JEL no. C13, C33, E41     

Earnings,Book Values,and Dividends in Equity Valuation*

Abstract. The paper develops and analyzes a model of a firm's market value as it relates to contemporaneous and future earnings, book values, and dividends. Two owners' equity accounting constructs provide the underpinnings of the model: the clean surplus relation applies, and dividends reduce current book value but do not affect current earnings. The model satisfies many appealing properties, and it provides a useful benchmark when one conceptualizes how market value relates to accounting data and other information. Résumé. L'auteur élabore et analyse un modèle dans lequel il conceptualise la relation entre la valeur marchande d'une entreprise et ses bénéfices, ses valeurs comptables et ses dividendes actuels et futurs. Deux postulats de la comptabilisation des capitaux propres servent de charpente au modèle: a) la relation du résultat global s'applique et b) les dividendes réduisent la valeur comptable actuelle sans influer, cependant, sur les bénéfices actuels. Le modèle présente de nombreuses propriétés intéressantes et il peut, fort utilement, servir de repère dans la conceptualisation de la relation entre la valeur marchande et les données comptables et autres renseignements.     

Electricity Consumption–Economic Growth–CO2 Emissions Nexus in Sub‐Saharan Africa: Evidence from Panel Cointegration

This study explores the causal relationship among electricity consumption, economic growth and CO₂ emissions for a group of 14 sub‐Sahara African (SSA) countries from 1980 to 2009 using panel cointegration and panel vector error correction modelling methods. The findings demonstrate that in the long run electricity consumption has a statistically significant positive impact on CO₂ emissions. The results also reveal that the inverted U‐shaped Environmental Kuznets Curve (EKC) hypothesis exists in the SSA countries' case. The panel causality tests indicate that there is short‐run unidirectional causality running from economic growth to CO₂ emissions and electricity consumption respectively. Simultaneously, there is long‐run bidirectional causality between electricity consumption and economic growth, electricity consumption and CO₂ emissions, economic growth and CO₂ emissions. Depending on the results, relevant policies can be initiated without negatively affecting economic growth.     

Linear and Nonlinear Cointegration of Purchasing Power Parity: Further Evidence from Developing Countries

Abstract

The last quarter of the twentieth century was characterized by economic reforms in many formerly state-dominated economies. Among them, the reform attempts by China and India have attracted increasing attention in the popular media and academic research. This paper contribute to this research by using institutional theory to analyse the reforms in China and India and develop a framework to explain how reforms evolve. This study contributes to the theoretical understanding of the dynamics of reform, helps policy-makers to formulate reform strategy, and international business executives to project the developmental trends in two of the world's largest emerging markets.     

Dynamic Linkages between FDI Inflows and Domestic Investment: A Panel Cointegration Approach

This paper analyzes the dynamic relationship between FDI inflows and domestic investment for a panel of selected countries by means of panel cointegration and causality techniques. Specifically, the paper provides empirical evidence regarding the existence of possible crowding in or crowding out effects between FDI inflows and domestic investment, accounting for the location and the level of development of the host countries.The paper was presented at the International Atlantic Economic Conference in London, March 9–13, 2005. The authors wish to thank the participants of the Macroeconomic Topics session for their valuable comments on an earlier draft. We would also like to express our gratitude to G. Chortareas and G. Konteos for helpful comments and suggestions. Nevertheless, the usual disclaimer applies.     

Earnings,Book Values,and Dividends in Equity Valuation: An Empirical Perspective*

This paper revisits Ohlson 1995 to make a number of points not generally appreciated in the literature. First, the residual income valuation (RIV) model does not serve as a crucial centerpiece in the analysis. Instead, RIV plays the role of condensing and streamlining the analysis, but without any effect on the substantive empirical conclusions. Second, the concept of “other information” in the model can be given concrete empirical content if one presumes that next‐period expected earnings are observable.     

Economic Growth and Income Inequality: Evidence from Dynamic Panel Investigation

This paper empirically investigates the effect of income inequality on economic growth using extended panel data covering a broad range of developing and developed countries. We use system generalized method of moments (GMM) techniques in a dynamic panel analysis, which alleviates the possible positive bias in difference GMM due to the persistence of lagged dependent variables as instruments. We find strong evidence of a negative effect on growth from income inequality, which contradicts the findings of Forbes [2000, September. A reassessment of the relationship between inequality and growth, American Economic Review, 90(4), pp. 869–887] and Li and Zou [1998, October. Income inequality is not harmful for growth: Theory and evidence, Review of Development Economics, 2(3), pp. 318–34]. Further analyses using combined Gini coefficients show that the difference can be overall attributed to the problem of omitted control variables and the differences in how the variations in inequality across countries are reflected. We also find that the negative effects of inequality on economic growth can be of great significance when using a sample of less developed countries or more recent inequality data set.     

Reputational Penalties in Japan: Evidence from Corporate Scandals

We examine incidents in which Japanese businesses are implicated in corporate scandals. Such firms suffer statistically significant losses in their market values. Given the negligible legal and regulatory penalties for Japanese companies, we interpret the results as convincing evidence on the magnitude of reputational losses. We also compare our results to those found in US studies. The average negative abnormal stock price reaction is larger in Japan than in the USA. Moreover, they are negative and statistically significant even when it is not obvious that the firm violated an implicit or explicit contract with the damaged party.     

中国高技术产业R&D效率及其影响因素——基于面板单位根及面板协整的实证检验

运用1995—2008年数据对我国高技术产业R&D效率及其影响因素进行了面板单位根和面板协整研究。结果发现:R&D资本和R&D人力对R&D产出都具有显著贡献,但其贡献表现出规模报酬不变或规模报酬递减的特征;此外,市场势力与R&D效率具有倒U型特征,企业规模对R&D效率具有显著的正向影响,但国有产权比重却具有显著的负影响。政府为此应该采取相关措施,促进我国高技术产业R&D效率的提高。