EXAMINING THE ASYMMETRIC BEHAVIOUR OF MACROECONOMIC AGGREGATES IN ASIAN ECONOMIES

Abstract. The goal of this paper is to test for asymmetric behaviour of macroeconomic aggregates for three Asian economies; namely, Malaysia, Hong Kong and Korea. Whether macroeconomic aggregates can be characterised as asymmetric has important implications for policy‐making and econometric modelling including forecasting. We examine two forms of asymmetries; specifically deepness, which arises when a detrended time series contains an asymmetric distribution, and steepness, which arises when the first difference of a series contains an asymmetric distribution. Overall, our findings suggest that for all three countries, the bulk of the series display asymmetry behaviour.     

ANALYSIS OF THE POSSIBILITIES FOR EXPANSION OF SERVICES IN TANZANIAN SAVINGS AND CREDITS CO‐OPERATIVE SOCIETIES: LEARNING FROM ECONOMIES OF SCALE

Savings and Credit Co‐operative Societies (SACCOS) increasingly recognized as the valuable tool for economic development in low‐income countries. However, recently researchers reported that one of their primary challenges to their expansion is the high level of inefficient. In this study, we analyzed the relationship between growth and efficiency of SACCOS using economies of scale concept. Then we address the role of management of the capital structure and allocation of resources in the expansion of SACCOS. The study used financial statement data from 60 SACCOS in Tanzania for the period of 2004–2011. The findings supports that most of SACCOS are small and cost inefficient because the industry is young, but, the efficiency increases as SACCOS expand. Second the allocation of resources in liquid, financial and non‐financial investment leads to no expansion in SACCOS. Thus, the growth of SACCOS via increasing loan to members, members’ savings, shares, and institutional capital should be encouraged as it increases the efficiency of SACCOS. Also, SACCOS should minimize the allocation of assets in other investments which are different from credit to members.     

THE INF‐T TEST FOR A UNIT ROOT AGAINST ASYMMETRIC EXPONENTIAL SMOOTH TRANSITION AUTOREGRESSIVE MODELS

This paper proposes a new test for a unit root against an alternative of asymmetric exponential smooth transition autoregressive models, by extending the infimum test developed by Park and Shintani. Simulation results suggest that the test performs reasonably well in finite samples. The proposed test is also applied to real exchange rates to examine their asymmetric and nonlinear mean‐reverting properties.     

THE IMPORTANCE OF PUNISHMENT SUBSTITUTABILITY IN CRIMINOMETRIC STUDIES

This study investigates the role of punishment substitutability in the empirical estimation of the economic model of crime. Using a dynamic panel data model fitted to a panel of Local Government Areas in New South Wales, Australia, we evaluate the effects of financial penalties and imprisonment on the crime rate. Our results show that crime is clearly a dynamic phenomenon, and that failure to incorporate both financial penalties and imprisonment can lead to a misspecified model. Furthermore, our results vary significantly for different crime categories, highlighting the importance of analysing specific crime categories separately.     

SCALE ECONOMIES AND HETEROGENEITY IN BUSINESS MONEY DEMAND: THE ITALIAN EXPERIENCE

This paper investigates the demand for money by firms and the existence of economies of scale in the Italian manufacturing industry. We estimate a model for cash elaborated by Fujiki and Mulligan using a different estimation procedure from the previous literature. We then introduce an iterative procedure based on backward exclusion of firms from model estimation which points out the high heterogeneity of Italian companies in money demand. Our estimates show that the Italian manufacturing industry, considered as a whole, does not enjoy scale economies in money demand. However, our iterative procedure points out that the cause of this result has to be ascribed to small firms which are characterized by thin cash money holdings and a consequent very modest opportunity cost.     

TRADING VOLUME,VOLATILITY, AND GARCH EFFECTS IN THE SOUTH KOREAN WON/US DOLLAR EXCHANGE MARKET: EVIDENCE FROM CONDITIONAL QUANTILE ESTIMATION*

Under the MDH, this paper investigates the asymmetry in the positive relationship between unexpected volume and volatility, and whether the unexpected volume series as a proxy for the rate of information arrival absorbs the GARCH effects. This is achieved by applying a quantile regression approach to the won/dollar exchange market with reliable data on trading volumes. Interestingly, the results show that in a freely floating exchange rate system, the positive relationship increases as exchange rate returns are higher. Contrary to previous studies, despite a significantly positive relationship, the inclusion of volumes alone does not reduce volatility persistence at medium or high levels of returns. In addition, the reform of the South Korean exchange rate system had an impact on the relationship, which occurred in response to a financial crisis.     

ECONOMIES OF SCALE AND SCOPE IN POSTAL OUTLETS UNDER CONSIDERATION OF UNOBSERVED HETEROGENEITY

ABSTRACT: We analyze economies of scale and scope in Swiss Post's post offices and franchised postal agencies under consideration of different underlying production technologies and unobserved factors using a latent class model. The results confirm the existence of unobserved heterogeneity and of increasing economies of scale and scope in the Swiss Post's outlet network.     

A REVISIT TO THE STATIONARITY OF OECD INFLATION: EVIDENCE FROM PANEL UNIT‐ROOT TESTS AND THE COVARIATE POINT OPTIMAL TEST*

This paper re‐examines the stationarity of inflation rates in 19 Organisation for Economic Cooperation and Development countries with the use of cross‐sectional information. We employ the panel unit‐root tests that allow for cross‐sectional dependency and the covariate point optimal test. These tests have high power in common due to the exploitation of cross‐sectional information, and they can assist mutually to draw a concrete conclusion on inflation dynamics for all series in the panel. Our empirical results show that allowing for cross‐sectional dependency rejects the null hypothesis that all series in the panel have a unit root, implying that there is at least one stationary series in the panel. With the help of the results of the covariate test, we can distinguish the panel into a group of stationary and a group of non‐stationary series. For robustness, the two groups of series are re‐confirmed by the panel tests. Our results reveal evidence of mean reversion in inflation for 15 of 19 countries, which is significantly stronger as compared to that obtained by the state‐of‐the‐art univariate unit‐root tests.     

TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION

This paper investigates the performance of the tests proposed by Hadri and by Hadri and Larsson for testing for stationarity in heterogeneous panel data under model misspecification. The panel tests are based on the well known KPSS test (cf. Kwiatkowski et al.) which considers two models: stationarity around a deterministic level and stationarity around a deterministic trend. There is no study, as far as we know, on the statistical properties of the test when the wrong model is used. We also consider the case of the simultaneous presence of the two types of models in a panel. We employ two asymptotics: joint asymptotic, T, N →∞ simultaneously, and T fixed and N allowed to grow indefinitely. We use Monte Carlo experiments to investigate the effects of misspecification in sample sizes usually used in practice. The results indicate that the assumption that T is fixed rather than asymptotic leads to tests that have less size distortions, particularly for relatively small T with large N panels (micro‐panels) than the tests derived under the joint asymptotics. We also find that choosing a deterministic trend when a deterministic level is true does not significantly affect the properties of the test. But, choosing a deterministic level when a deterministic trend is true leads to extreme over‐rejections. Therefore, when unsure about which model has generated the data, it is suggested to use the model with a trend. We also propose a new statistic for testing for stationarity in mixed panel data where the mixture is known. The performance of this new test is very good for both cases of T asymptotic and T fixed. The statistic for T asymptotic is slightly undersized when T is very small (≤10).     

RESEARCH AND DEVELOPMENT IN SMALL AND MEDIUM-SIZED ENTERPRISES: THE ROLE OF FINANCIAL CONSTRAINTS AND PUBLIC FUNDING

This paper presents microeconometric evidence on financing constraints for research and development activities in German small‐ and medium‐sized firms (SME). Special attention is paid to the role of public research and development (R&D) subsidies. For this purpose SMEs in West and East Germany are compared because these regions are very different in their supply of public R&D funding. The empirical evidence suggests that West German SMEs are financially constrained in their R&D activities by both internal and external resources. In East Germany, firms are not sensitive to external constraints, possibly due to high public R&D subsidies. The results show that R&D in East Germany is to a large extent driven by public subsidies and that the usual financial market mechanisms are dysfunctional with respect to R&D in this region.     

基于异质面板模型的我国省际旅游业发展与经济增长研究

利用1999—2007年中国31个省市的入境旅游人次、国际旅游(外汇)收入、国内旅游人次和国内旅游收入四个指标的面板数据衡量旅游业发展水平,并运用异质面板协整方法检验中国省际旅游业发展与经济增长之间的关系。研究发现:国内旅游与入境旅游的发展对全国及所有省市的经济增长均有显著的正效应,其中,入境旅游对经济增长的促进作用更显著;与此同时,经济增长和入境旅游人次、国际旅游(外汇)收入和国内旅游收入存在长期单向Granger因果关系,表明经济增长也推动着入境旅游和国内旅游的发展。     

INEQUALITY COMPARISONS IN A MULTI‐PERIOD FRAMEWORK: THE ROLE OF ALTERNATIVE WELFARE METRICS

This paper considers the use of alternative welfare metrics in evaluations of income inequality in a multi‐period context. Using Norwegian longitudinal income data, it is found, as in many studies, that inequality is lower when each individual's annual average income is used as welfare metric, compared with the use of a single‐period accounting framework. However, this result does not necessarily hold when aversion to income fluctuations is introduced. Furthermore, when actual incomes are replaced by expected incomes (conditional on an initial period), using a model of income dynamics, higher values of inequality over longer periods are typically found, although comparisons depend on inequality and variability aversion parameters. The results are strongly influenced by the observed high degree of systematic regression toward the (geometric) mean, combined with a large extent of individual unexpected effects.     

THE DYNAMIC PROPERTIES OF ALTERNATIVE ASSUMPTIONS ON PRICE ADJUSTMENT IN NEW KEYNESIAN MODELS

This paper presents a classification of the different new Phillips curves existing in the literature as a set of choices based on three assumptions: the choice of the structure of price adjustments (Calvo or Taylor), the presence of backward indexation and the type of price contracts (fixed prices or predetermined prices). The paper suggests study of the dynamic properties of each specification, following different monetary shocks on the growth rate of the money stock. We develop the analytical form of the price dynamics, and we display graphics for the responses of prices, output and inflation. We show that the choice made for each of the three assumptions has a strong influence on the dynamic properties. Notably, the choice of the price structure, while often considered as unimportant, is indeed the most influential choice concerning the dynamic responses of output and inflation.     

ON THE USE OF FIRM FIXED EFFECTS AS A PRODUCTIVITY MEASURE FOR ANALYZING LABOR MARKET MATCHING

The present note evaluates the performance of firm fixed effects as a productivity measure when identified from wage regressions with two‐way fixed effects in matched employer‐employee data. This setting is frequently applied to study the matching between workers and firms. Exploiting wage and production data from a large administrative German data set, I find that the correlation between firm fixed effects (FFE) and total factor productivity is close to zero. Once TFP is used, the matching pattern is positive assortative, whereas the two‐way fixed effect technique yields the opposite result.     

POST‐PRIVATIZATION OWNERSHIP AND FIRM PERFORMANCE: A LARGE META‐ANALYSIS OF THE TRANSITION LITERATURE

This paper aims to perform a large‐scale meta‐analysis of the relationship between post‐privatization ownership and firm performance in Central and Eastern Europe and the former Soviet Union. Baseline estimation of a meta‐regression model that employs a total of 2,894 estimates drawn from 121 previous studies indicated the superior impact of foreign ownership on firm performance in comparison with state and domestic private entities. Furthermore, the estimation of an extended meta‐regression model that explicitly controls for the idiosyncrasies of transition economies and privatization policies strongly suggested that differences between countries in location, privatization method, and speed of policy implementation strongly influence the link between post‐privatization ownership structure and firm performance. We also found that these factors not only cause a remarkable gap between countries in terms of ex post improvement in firm performance but also significantly affect the interrelationship between foreign investors, domestic outsider owners, and firm managers, and the relative superiority of various domestic outsiders. Conclusive evidence of the harm caused to ex post firm performance by voucher privatization is one of the most noteworthy empirical findings in this paper.