Capital mobility in the Caucasus

This paper examines the degree of capital mobility in the countries of the Caucasus. I estimate a simple model developed in the seminal paper by Feldstein and Horioka (1980). I construct a panel of 6 countries of the Caucasus – Armenia, Azerbaijan, Georgia, Kazakhstan, Russia, and Turkey – and employ a panel cointegration approach. To that end, I make use of the Dynamic OLS (DOLS), Fully Modified OLS (FMOLS), and Pooled Mean Group (PMG) techniques for heterogeneous panels. Preliminary cross-dependency tests reject the presence of cross-sectional dependence. Panel unit root and cointegration tests confirm that investment and saving are non-stationary and cointegrated. The estimated long-run saving retention ratios using DOLS, FMOLS, and PMG are 0.90, 0.73, and 0.83, respectively. These results suggest that capital mobility in the Caucasus is very low. I put these findings in an international context and confirm that the Caucasus is considerably financially restrained compared to other regions. I also look at the country ratings of the Index of Economic Freedom (IEF) and find that my results work well in predicting the IEF rank. Finally, I discuss some implications for the region's policy-relevant issues such as financial integration, human capital mobility, cross-border trading, fiscal and monetary policy, solvency management, responsive consumption smoothing, and recession resistance.     

Does the stock market really cause unemployment? A cross-country analysis

This study examines the relationship between the stock market and unemployment in 30 advanced and 11 developing and emerging countries. The results show that the unemployment rate and stock prices are cointegrated in all country groups; further, the causality between stock prices and unemployment appears in all country groups. Specifically, I found a particularly strong and one-way causal direction from stock prices to the unemployment rate in G7 countries. There is a strong bilateral causal relationship between stock prices and unemployment for other advanced countries. However, in the 11 developing and emerging countries, the causality test results indicate a strong Granger causality from unemployment to stock prices. The results for developing and emerging countries suggest that the unemployment rate can help forecast stock prices, but not vice versa. These findings complement existing studies and deliver useful implications for investors and policymakers, and suggest some new lines for future research.     

中国区域资本配置效率及区域资本形成影响因素的实证分析

本文构建了32组包含中国各行业近11万个数据的大型面板数据集,分行业系统测算了我国各区域的资本配置效率,并对区域和省际资本形成影响因素进行了系统的比较分析。研究发现:从短期来看,我国各地区的资本形成更加依赖于金融机构贷款的支持;绝大多数省份的资本形成存在自我约束、收敛的机制;不同省份间金融要素对固定资本形成的影响存在较大差异,说明我国地区之间存在一定程度的资本流动障碍。     

Public education under capital mobility

The paper considers a two-country model of overlapping generations economies with intergenerational transfers motivated by altruism and investment in human capital. We examine in a non-stationary competitive equilibrium the optimal provision of education with and without capital market integration. First, we explore how regimes of education provision—public, private or mixed—arise and how they affect the dynamics of autarkic economies. Second, we study the effects of capital market integration, in equilibrium, on the optimal provision of education. Third, we show that capital market integration enhances government intervention in the provision of public education (to improve the welfare of its constituents) and consider various solutions to such a competition.     

The Feldstein–Horioka puzzle in Latin American and Caribbean countries: a panel cointegration analysis

In this paper, the recently developed panel unit root and the Pedroni cointegration tests are applied to empirically examine the validity of the Feldstein–Horioka puzzle (F–H puzzle) for a heterogeneous panel of 14 Latin American and five Caribbean countries over the period, 1960–2002. The findings indicate that in these countries, the long-run solvency condition is maintained. Finally, employing the Pedroni panel group FM-OLS estimator (2000, 2001), it is found that the statistically significant estimated savings-retention coefficient for the panel is relatively small indicating that the F–H Puzzle is not valid and thus implying the prevalence of a moderate degree of capital mobility.

资产流动性与公司资本结构——来自中国A股上市公司的经验证据

本文以中国A股上市公司2001-2005年的公开财务报表数据为样本,采用面板回归模型对我国上市公司资产流动性与公司资本结构的关系进行了实证检验。结果发现：公司资本结构与公司资产流动性显著负相关;公司资本结构与其盈利能力以及公司规模显著负相关;公司资本结构与企业所得税费用显著正相关;股权集中度与公司资本结构之间的关系不显著。     

中国工业行业的面板数据构造及资本深化评估:1985～2003

本文通过比较分析以前的研究，在对指标的选取、数据折算和数据衔接做了详细说明的基础上，构造了中国39个工业行业的投入产出面板数据。数据分析发现，工业行业的增加值、资本存量、劳动生产率和资本装备率都有大幅增长，但职工人数和资本生产率有不同程度的下降。GDP增长的加速与工业部门产出份额增加有显著的正相关关系。1994～1999年间，中国工业部门确实发生了“不利的”资本深化，但这一趋势并没有在1999年后延续。中国在1991～1995年和1999～2003年两个阶段有工业重化化趋势，而且到2003年重化化趋势并没有停止的迹象。     

Foreign capital inflows and poverty linkages in South Asia: Do the forms of capital inflows matter?

The relationship between foreign direct investment and poverty reduction has received modest attention in the empirical literature. However, little is known about the relative significant impact of different forms of capital inflows on poverty reduction. This study attempts to investigate the impact of different forms of capital inflows (foreign direct inflows, portfolio equity and portfolio debt inflows) on poverty reduction in major South Asian economies during the post-reform period. The capital inflows-poverty nexus is explored using panel econometric methods robust to cross-sectional dependence. Our empirical results show that while portfolio equity inflows exert a favorable impact on poverty reduction, foreign direct inflows and debt inflows fail to influence poverty. The panel causality results demonstrate that portfolio equity inflows also support poverty alleviation via stimulating economic growth and trade openness. The findings of our study highlight the importance of considering the differential welfare impacts of different forms of capital inflows while implementing capital account liberalization.     

IPO投资在我国资本市场的应用分析

本文通过企业IPO筹资方式分析我国资本市场,发现其存在的问题和不足,并提出相应的建议和对策。笔者认为中国资本市场应以规范和发展为主基调,在改革和创新中不断成熟和完善。     

风险投资在我国的应用分析

随着我国经济发展步伐加快及经济全球化的形成，风险投资在我国的应用将会越来越广泛，但目前尚属初级发展阶段，不仅面临体制风险而且受到政策性等其他相关因素制约，影响了风险投资业健康发展。本文试图在对风险投资现状分析的基础上，提出建立有效防范我国投资风险的对策。     

美国资本市场信息披露制度监管体系研究

本文重点研究了美国资本市场信息披露监管体系,认为严密完善的法律制度,严谨详尽的披露规则以及严厉明确的法律约束,是美国资本市场发展的重要保障。结合我国资本市场,笔者提出了健全信息披露法律法规体系,提高法规层次;充分发挥交易所信息披露的特有功能,尽早赋予交易所IPO发审权;强化法律责任约束,增强法律的威慑力,加大违规成本等建议。     

我国上市公司融资偏好多角度分析

我国上市公司强股权融资偏好动因一直是学术界研究的重点。本文拟另辟蹊径,从上市公司股权结构、资本市场不完善等制度性缺陷方面探讨我国上市公司的股权融资偏好动因,最后提出纠正这种不正常融资偏好行为的对策及建议。     

Coordination of capital taxation among asymmetric countries

This paper studies international fiscal coordination in a world of integrated markets and sovereign national governments. Mobile capital and immobile labor are taxed in order to finance a fixed budget. This generates productive inefficiency. Two fiscal reforms are considered: a minimum capital tax level and a tax range, i.e., a minimum plus a maximum capital tax level. It is shown that the introduction of a lower bound to the capital tax level is never preferred to fiscal competition by all countries while there always exists a combination of both a lower and an upper bound (i.e., a tax range) which is unanimously accepted.     

人力资本对经济增长影响的结构分析

研究经济增长中人力资本作用机制仅考虑数量因素是不够的,结构因素不容忽视。本文尝试把结构因素引入人力资本分析框架,认为人力资本投资本质也是投资主体的需求决策过程,存在着类似于马斯洛式层次结构关系,提出了基于不同投资层次下的4种人力资本结构类型的理论假说。在此基础上运用1992～2003年省面板数据进行了实证检验,结果表明,人力资本的投入对我国经济增长虽具显著意义,但作用机制并不很强,人力资本存量不足和结构层次低下是其直接因素,而人力资本结构因素对沿海与内地发展差距更具深层解释力。     

Savings and investments in the OECD, 1970–2007: A test of panel cointegration with regime changes

In this paper we test for the existence of a long-run relationship between investment and savings (the Feldstein–Horioka puzzle) in a panel of 18 OECD countries, 1970–2007, allowing for heterogenous breaks in the coefficients. For this purpose we develop a bootstrap panel cointegration with breaks robust to cross-section dependence, shown by simulation to enjoy good size and power properties provided that some care is applied in its use. The tests suggest that, even allowing for parameter shifts in the countries where capital control regulations changed in the sample period, there is no evidence of an investment–savings long-run relationship for the panel as a whole.     

Globalization and insurance activity: Evidence on the industrial and emerging countries

This study applies panel cointegration with cross-country dependence and causality tests to uncover the extent and the magnitude of the relationship between insurance penetration and globalization. The results first confirm evidence of the long-run relationship between insurance market activities and globalization. Second, we find positive impacts of all three globalization indices on life and non-life insurance penetrations, and globalization has a larger impact on insurance market activities in the industrial countries than in the emerging countries. Finally, the results of panel causality tests roughly show bidirectional causality between insurance market activities and globalization in the long run.     

Time to build capital: Revisiting investment-cash-flow sensitivities

A large body of empirical work has established the significance of cash flow in explaining investment dynamics. This finding is further taken as evidence of capital market imperfections. We show, using a perfect capital markets model, that time-to-build for capital projects creates an investment-cash-flow sensitivity as found in empirical studies that may not be indicative of capital market frictions. The result is due to mis-specification present in empirical investment-q equations under time-to-build investment. In addition, time aggregation error can give rise to cash-flow effects independently of the time-to-build effect. Importantly, both errors arise independently of potential measurement error in q. Evidence from a large panel of U.K. manufacturing firms confirms the validity of the time-to-build investment channel.     

鲜活农产品拍卖市场品类价格波动的相关性分析与检验

协整与Granger因果检验被广泛应用于宏观经济领域经济变量间的关系分析中,但是,将协整与Granger因果检验应用于企业微观市场结构经济变量之间的分析的文献还鲜见报道。论文选择昆明国际花卉拍卖市场2009年2月16日至2010年2月12日间玫瑰的交易数据,分析鲜活农产品拍卖市场品类价格波动的相关性及其影响。实证结果表明:价格与供货量存在长期的均衡关系,供货量是价格的内生变量;价格对滞后一期的供货量产生影响,供货量则影响滞后三期的价格;此外,价格对滞后三期的流拍率产生影响,但流拍率的变化不会对价格产生影响。