Under Performers and Over Achievers: A Quantile Regression Analysis of Growth

Numerous papers have searched for empirical linkages between long run economic growth and a myriad of economic, socio-political and environmental factors. Most of these studies use ordinary least-squares regression or panel regression analysis on a sample of countries and therefore consider the behaviour of growth around the mean of the conditional distribution. We extend the literature by using quantile regression to analyse long-term growth at a variety of points in the conditional distribution. By using this approach, we identify the determinants of growth for under performing countries relative to those for over achieving countries.     

Wage Inequality and Returns to Education in Turkey: A Quantile Regression Analysis

This paper investigates the male wage inequality and its evolution over the 1994–2002 period in Turkey by estimating Mincerian wage equations using ordinary least squares and quantile regression techniques. Male wage inequality is high in Turkey. While it declined at the lower end of the wage distribution it increased at the top end of wage distribution. Education contributed to higher wage inequality through both within and between dimensions. The within‐groups inequality increased and between‐groups inequality decreased over the study period. The latter factor may have dominated the former contributing to the observed decline in the male wage inequality over the 1994–2002. Further results are provided for the wage effects of experience, public sector employment, geographic location, firm size, industry of employment and their contribution to wage inequality. Recent increases in foreign direct investiment inflows, openness to trade and global technological developments are discussed as contributing factors to the recent rising within‐groups wage inequality.     

百分位数回归及应用研究

在进行定量分析时,最小二乘法已经成为一种可信赖的工具。但是运用最小二乘法的条件比较高,在实际问题中,完全满足条件的情况并不多见,那么在应用时就难以得到无偏的、有效的参数估计量。针对上述问题,以OILPLUS公司取暖用燃油消耗的分布为主要研究对象,在进行参数估计时,应用百分位数回归方法,既可以看到采用百分位数回归方法与采用最小二乘法得到的模型显著不同,又可以得到比最小二乘法更为丰富的信息。     

Herding Behavior in CEE Stock Markets Under Asymmetric Conditions: A Quantile Regression Analysis

This article investigates herding behavior in ten Central and East European (CEE) stock markets by using daily data on stock prices for 384 companies from January 2, 2003, to December 31, 2013. Our study is based on the methodology developed by Chang, Cheng, and Khorana [2000 Chang, Eric, Joseph Cheng, and Ajay Khorana. “An Examination of Herd Behavior in Equity Markets: An International Perspective.” Journal of Banking and Finance, 24, (2000), pp. 1651–1679.[Crossref], [Web of Science ®] , [Google Scholar]], adapted to detect herding behavior under different market conditions. The authors use quantile regression analysis as an estimation method and find evidence of herding behavior in all CEE countries, except for Poland and Romania. When the market is up and the trading volume increases, investors become enthusiastic and optimistic, neglecting their own information and following each other in buying transactions. Conversely, when the market declines, driven by panic and fear, investors follow the market consensus and engage in overselling transactions.     

Inter-Industry Wage Differentials in Greece: Evidence from Quantile Regression Analysis

Using a consistent estimator of the covariance matrix of the asymptotic distribution of the quantile regression estimator with intra-cluster correlation of the error terms, the paper investigates whether and to what extent inter-industry wage differentials derive from worker heterogeneity in the form of unobserved quality. To conduct this study, we pioneer in utilizing a unique data set, the European Union Structure of Earnings Survey for Greece, which follows a two-stage random sampling approach of employees clustered within firms. Data refer to 2010 when the first elements of the economic adjustment programme to deal with the chronic deficiencies of the Greek economy and restore sustainable public finances, competitiveness and set the foundation for long-term growth, gained visibility. Results point to high wage dispersion across industries at the mean of the conditional wage distribution, even after controlling for personal and workplace characteristics. However, evidence for the unobserved heterogeneity hypothesis is rather scant. Therefore, there is room for efficiency wage or rent-sharing theories in accounting for a large part of inter-industry wage differentials tentatively implying that firm heterogeneity in the ability to pay matters more than employee unobservable attributes in the wage determination process.     

基于分位数回归的我国R & D支出影响因素分析

通过建立分位数回归模型,对R&D支出的影响因素进行了具体分析。结果显示,高新技术产品进出口额对R&D支出的影响较小,FDI对R&D支出的影响显著,并在中分位点达到最大,地方财政科技拨款也是重要的影响因素。该研究为加大我国R&D支出,推进创新型国家建设提供了重要的决策依据。     

基于分位数回归的股票市场规模效应分析

本文运用2009年7月至2012年6月的数据对我国上证A股市场的规模效应进行分析。选择在次贷危机冲击过程中我国企业面临调整与革新的这一特殊阶段,研究规模效应是否存在。通过描述性统计分析和相关分析验证了规模效应的存在性;通过引入分位数回归模型,进一步验证了规模效应的存在性;同时揭示了A股规模边际收益的变化规律,即随着规模的减小,边际收益先变大后变小,且规模边际收益都为负值。     

Tobin Tax and Volatility: A Threshold Quantile Autoregressive Regression Framework

From an original data set on the euro–dollar and on the won–dollar currency pairs (2008–2010), we conduct a threshold quantile autoregressive model to explain the role of a Tobin tax (TT) on the exchange rate volatility, taking into account two types of nonlinearity (regimes and quantiles). We find evidence that the impact of a TT would not be monotonic. A TT may be a good instrument to stabilize foreign exchange volatility only in normal times and/or in efficient markets. In contrast, a TT could be counterproductive in turbulent periods by increasing the volatility. In addition, by comparing a major currency pair (euro/dollar) and a minor currency pair (won/dollar), it appears that the potential stabilizing effect of a TT would be more clear‐cut in the low volatility regime of a major currency pair, similar to the euro/dollar. Our results do not corroborate the previous studies that derived a monotonic and positive impact of a TT on volatility.     

基于门限分位点回归的条件VaR风险度量

门限分位点回归模型是线性分位点回归模型的改进,是一种更加客观实际的非线性估计方法。利用该模型实证分析了单只股票(民生银行)的条件VaR。选择一种流动性风险指标作为条件,经过分析发现,由门限分位点回归模型得到结果能够更好地描述市场,也能更好地预测市场风险。     

基于分位数回归的贫困地区脆弱性影响因素分析——以吕梁山区13个贫困县为例

文章在分析整理已有研究的基础上,将脆弱性定义为未来陷入贫困的概率,利用13个县域2017年的数据,对吕梁山区的13个贫困县的脆弱度进行测量,并运用分位数回归方法对影响贫困脆弱性的因素进行分析。研究发现:学生人数、参加农村医保人数、农村居民人均纯收入、城镇化率、财政总收入这五个因素对地区脆弱性的影响最为显著;而且还表现出在不同贫困程度下,这些因素对贫困脆弱性的影响存在一定的差异,并非越贫困,每个因素对脆弱性的影响越大。并在此基础上,结合吕梁山区的实际情况,提出合理有效的扶贫政策和建议。     

Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach

This paper presents a capital asset pricing model‐based threshold quantile regression model with a generalized autoregressive conditional heteroscedastic specification to examine relations between excess stock returns and “abnormal trading volume”. We employ an adaptive Bayesian Markov chain Monte Carlo method with asymmetric Laplace distribution to study six daily Dow Jones Industrial stocks. The proposed model captures asymmetric risk through market beta and volume coefficients, which change discretely between regimes. Moreover, they are driven by market information and various quantile levels. This study finds that abnormal volume has significantly negative effects on excess stock returns under low quantile levels; however, there are significantly positive effects under high quantile levels. The evidence indicates that each market beta varies with different quantile levels, capturing different states of market conditions.     

Quantile Regression Analysis of Predictors of Calorie Demand in India: An Implication for Sustainable Development Goals

This study examined predictors of households’ calorie demand using consumer expenditure survey data during the time frame of millennium development goals. It draws suggestions for achieving sustainable development goals to eliminate calorie-poverty. We used the log of per-capita calorie intake as the calorie demand. Endogeneity corrected quantile regression was applied to examine the distributional effect of predictors. Findings revealed calorie-monthly per-capita consumption expenditure (MPCE) elasticities were positively statistically significant across quantiles in rural-and urban-areas, but, contrary to traditional wisdom, elasticities are lower for calorie-poor than calorie-rich households. Dietary diversification of food items, relative food price, and share of medical-and education-expenditure were the main adverse drivers of calorie demand. Our results are robust to the under-reporting and measurement error. The policy implications are: (a) only focusing on pro-poor income enhancing strategies will not able to reduce calorie deprivation, it should be backed by imparting awareness about food choice and nutritional value of low price food items, (b) to implement necessary policy to maintain stable food inflation and effectively targeted food subsidy for calorie poor, (c) to adopt forward-looking medical-and education-policy such as free health and education facilities to all by enhancing public spending to revive the quality of public hospitals and educational institutions.

     

The Idiosyncratic Risk-Return Relation: A Quantile Regression Approach Based on the Prospect Theory

Given some debate on the empirical idiosyncratic risk-return relation in the literature, we reexamine the relation using a quantile regression approach based on the prospect theory developed by Kahneman and Tversky [1979]. The quantile regression approach allows the coefficient on the independent variable (idiosyncratic risk) to vary across the distribution of the dependent variable (return). Our sample consists of stocks traded on the NYSE, AMEX, and NASDAQ during 1980–2010: 80,324 firm-year observations and 8,123 firms in total. The quantile regression results show that idiosyncratic risk is positively (negatively) related to returns at the high (low) quantiles of returns. The findings are consistent with the prospect theory that investors have a tendency to be less (more) willing to gamble with profits (losses). The results also demonstrate that the least-squares and least-sum optimization methods commonly used in prior research do not capture the relations between idiosyncratic risk and returns at the tail parts of the distribution of returns. Therefore, our empirical results provide new insights into the idiosyncratic risk-return relation in the literature.     

基于分位数回归商业银行系统性风险研究

在宏观审慎监管框架下,对系统重要性银行的识别并对其提出更高监管要求是金融危机后的监管重点。文章选取代表不同类型的8家上市商业银行为样本银行,采用CoVaR模型和分位数回归技术对2007-2011年实体经济和金融数据进行实证分析。实证表明:从流动性方面看,资产规模较大的银行反而面临更高的流动性风险,其风险溢出效应更容易导致系统性风险的聚集,发生危机时对系统性风险贡献较大;在宏观经济周期逆转时,中小型银行相对大型银行更容易出现风险溢出效应导致系统性风险聚集;因此政策建议:银行业监管当局的监管重点在传统的资产规模庞大的银行,同时也要关注银行业务增长过快的中小银行,这些银行往往也是系统性风险聚集和金融危机爆发的始作俑者。     

The Impact of Unemployment Insurance on the Job Match Quality: A Quantile Regression Approach

This paper investigates the impact of unemployment insurance (UI) generosity on the distribution of the match starting wage and tenure. We show evidence of a positive shift in the location (mean) and scale (variance) of both variables: more generous UI increases expected starting wage and tenure, and this impact is greater at the highest quantiles. In this sense, more generous UI reduces the thickness of the lower tail of match quality (shorter and lower paid jobs), and, at the same time, increases the quality of matches available to all workers (the location effect on match duration and wages). These results can be seen as favorable evidence of match quality gains from UI generosity.The authors would like to thank Pedro Portugal, José A. F. Machado, Francisco Lima and an anonymous referee for helpful comments and discussions, as well as participants at the following conferences: ESPE – Paris, EEA – Amsterdam, LACEA – Paris and IV Brucchi Luchino – Milan. We are also grateful to Marianne Bertrand for providing a file used to construct the simulated unemployment insurance benefits. Opinions expressed herein do not necessarily reflect the views of the Banco de Portugal.     

基于分位数回归的经济增长与城乡差距的关系研究

以人均地区生产总值的对数增长幅度来衡量经济增长,以城镇居民消费水平与农村居民消费水平的比例作为城乡收入差距衡量指标,通过建立不同分位数下的分位数回归模型,揭示在经济增长的不同水平下,经济增长对城乡差距影响的变化。结果表明：当经济的水平比较快速时,经济增长的幅度变大,从而导致贫富差距加大,财富集中到城市中,城乡差距的扩大。政府必须防止经济增长由偏快转为过热,对通货膨胀进行严格的控制,使城乡收入差距的缩小与经济增长和谐一致发展。     

政策改革、公共开支与居民消费——基于省际面板数据的分位数回归研究

以1998年前后教育、医疗、社会保障及住房等政策改革为分界点,利用其前后省际面板数据,采用分位数技术分析了公共开支对居民消费的影响。研究发现:教育、医疗、行政管理费以及公共投资开支在改革前后,对居民消费的影响无论从方向上还是从变动趋势上都有显著差异;教育、医疗公共开支在改革后一直是抑制居民消费,而且抑制作用明显大于改革之前;行政管理费开支在改革前一些年份抑制居民消费,在改革后却较大地促进了居民消费;公共投资支出在改革前后对居民消费一直有拉动作用,但是效果在逐步减弱,改革后比改革前波动性更大。     

Decomposing Gender Wage Differentials Using Quantile Regression: Evidence from the Lebanese Banking Sector

This paper investigates gender pay inequality in the labor market of a developing country. Our empirical investigation uses data derived from a sample of employees in the Lebanese banking sector for the years 2008 and 2014. Using Blinder-Oaxaca decomposition, the results reveal that the unexplained component of the gender wage gap, attributed to discrimination, represents a substantial share of the total gap. A surprising result is that the contribution of human capital to the gender wage gap is negative, suggesting that wage discrimination is the main explanation for the gap. Utilizing the Machado-Mata methodology to decompose the wage gap across the entire wage distribution, our findings indicate that the unexplained component of the raw gender wage gap is more pronounced at the low and middle ranges of the distribution. However, the explained component dominates at the top of the distribution, suggesting that earnings gaps are fully explained by observed characteristics.