我国物价水平的非线性调整分析

在前人对我国物价水平与货币量、产出间的协整关系研究的基础上,本文重新审视了线性调整模型中不变调整速度的假设,并利用非线性调整模型进一步研究了它们之间短期偏离向长期均衡调整的速度问题。否定了不变调整速度的假定,肯定了短期偏离的非线性调整性,并解释了我国货币政策对物价水平影响差异的原因。     

On Markov error‐correction models,with an application to stock prices and dividends

This paper considers Markov error‐correction (MEC) models in which deviations from the long‐run equilibrium are characterized by different rates of adjustment. To motivate our analysis and illustrate the various issues involved, our discussion is structured around the analysis of the long‐run properties of US stock prices and dividends. It is shown that the MEC model is flexible enough to account for situations where deviations from the long‐run equilibrium are nonstationary in one of the states of nature and allows us to test for such a possibility. An empirical specification procedure to establish the existence of MEC adjustment in practice is also presented. This is based on a multi‐step test procedure that exploits the differences between the global and local characteristics of systems with MEC adjustment. Copyright © 2004 John Wiley & Sons, Ltd.     

Cointegration of price measures: Evidence from the G-7

This study addresses index-dependency of empirical results associated with the purchasing power parity (PPP) relationship. Using four key price indices involving the G-7 nations, empirical tests for long-run co-movement are conducted. A test for linear restrictions is imposed. The speeds of adjustment are calculated for statistically significant linear combinations. The speed of the short-run response to disequilibrium differs both within and across countries. The seven-country average reveals that the CPI has the quickest recovery response to a one-time disturbance. The findings suggest that PPP results are not dependent upon the choice of index when an explicit set of indices is cointegrated.(JEL F3)     

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.     

金融发展与企业资本结构调整

为考察金融发展与资本结构调整速度的内在联系,构建一个反映区域金融发展指标,并结合沪深A股2007—2015年上市公司财务数据进行实证研究,实证结果表明：金融发展可以缓解企业融资约束,降低企业资本结构调整成本,最终加快资本结构调整速度,因此金融发展对企业资本结构调整的促进作用在融资约束企业更加显著,同时产权性质对金融发展与企业资本结构调整速度之间的关系存在显著影响。     

高铁时代的城市经济增长路径与效益机制研究

本文基于综合的分析框架,探讨高铁对城市经济增长的影响及内在机制,并在不同规模城市之间进行比较;使用列车数作为城市高铁建设与运营水平的指标具体考察两种连接方式的不同影响,结合随机森林方法和样本划分进行了机制验证。结果显示,高铁的城市经济效益主要是一种间接影响,作用路径的不同解释了高铁对不同规模城市影响程度的差异性;随着城市规模的扩大,高铁在提高服务业生产效率和促进产业升级方面作用显著,而对于规模较小的城市,高铁的影响主要在于加速产业结构调整;从连接方式看,外向型交通网络的发展能够从多个方面提升大城市的经济绩效,而与邻近城市联系的加强对于中、小城市的发展显示出了积极的影响。     

Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS*

Two different approaches intend to resolve the ‘puzzling’ slow convergence to purchasing power parity (PPP) reported in the literature [see Rogoff (1996) , Journal of Economic Literature, Vol. 34.] On the one hand, there are models that consider a non‐linear adjustment of real exchange rate to PPP induced by transaction costs. Such costs imply the presence of a certain transaction band where adjustment is too costly to be undertaken. On the other hand, there are models that relax the ‘classical’ PPP assumption of constant equilibrium real exchange rates. A prominent theory put together by Balassa (1964, Journal of Political Economy, Vol. 72) and Samuelson (1964 Review of Economics and Statistics, Vol. 46) , the BS effect, suggests that a non‐constant real exchange rate equilibrium is induced by different productivity growth rates between countries. This paper reconciles those two approaches by considering an exponential smooth transition‐in‐deviation non‐linear adjustment mechanism towards non‐constant equilibrium real exchange rates within the EMS (European Monetary System) and effective rates. The equilibrium is proxied, in a theoretically appealing manner, using deterministic trends and the relative price of non‐tradables to proxy for BS effects. The empirical results provide further support for the hypothesis that real exchange rates are well described by symmetric, nonlinear processes. Furthermore, the half‐life of shocks in such models is found to be dramatically shorter than that obtained in linear models.     

中小企业资本结构的动态变化及其目标调整研究

本文借助资本结构部分调整模型,运用我国中小企业板186家企业2007-2010年的平衡面板数据对中小企业资本结构的动态调整行为进行研究,从企业自身特质角度分析了最优资本结构变化及调整速度的影响因素。实证结果表明:企业规模与调整速度显著正相关,偏离最优资本结构的程度和盈利能力与调整速度显著负相关,成长性与调整速度负相关但不显著。企业调整速度较慢,调整成本较高,并且调整速度具有明显的行业差异。     

Disaggregate Wealth and Aggregate Consumption: an Investigation of Empirical Relationships for the G7*

To date, studies of wealth effects on consumption have mainly used aggregate wealth definitions on a single‐country basis. This study seeks to break new ground by analysing disaggregated financial wealth in consumption functions for G7 countries. Contrary to earlier empirical work, we find that illiquid financial wealth (i.e. securities, pensions and mortgage debt) tends to be a more important long‐run determinant of consumption than liquid financial wealth. These results imply potential instability in consumption functions employing aggregate wealth. Our results are robust using SURE; when testing with a nested specification; and when using a linear model.     

The non‐linear dynamics of output and unemployment in the U.S.

This paper studies the joint dynamics of U.S. output and unemployment rate in a non‐linear VAR model. The non‐linearity is introduced through a feedback variable that endogenously augments the output lags of the VAR in recessionary phases. Sufficient conditions for the ergodicity of the model, potentially applying to a larger class of threshold models, are provided. The linear specification is rejected in favour of our threshold VAR. However, in the estimation the feedback is found to be statistically significant only on unemployment, while it transmits to output through its cross‐correlation. This feedback effect from recessions generates important asymmetries in the propagation of shocks, a possible key to interpret the divergence in the measures of persistence in the literature. The regime‐dependent persistence also explains the finding that the feedback from recession exerts a positive effect on the long‐run growth rate of the economy, an empirical validation of the Schumpeterian macroeconomic theories. Copyright © 2001 John Wiley & Sons, Ltd.     

Rating and capital structure: How do the signs affect the speed of adjustment?

Standard and Poor's ratings can be modified by the addition of a plus (+) or minus (?) sign to show the relative standing within each major rating category. In this paper, we analyze the influence of these signs on the speed of leverage adjustment for listed European companies in the 2004–2014 period. Our results indicate that (a) when a qualification is accompanied by a minus sign, it adjusts more slowly than qualifications either with a plus sign or without a sign; (b) when a rating has a plus sign, the adjustment is slower than when it has no sign; and (c) when a qualification is BBB‐, the speed of its leverage adjustment is close to zero. These results suggest that companies with signs in their ratings decrease their speed of adjustment to the target leverage ratio. In addition, such companies are especially concerned about a credit rating downgrade when it implies a possible loss of the degree of investment (BBB‐).     

Innovation speed under uncertainty and competition

Innovation speed is widely considered to be a key factor for a firm's ability to maintain competitive advantage. Primarily, empirical evidence has found contradictory interdependencies regarding the role of innovation speed. The prevailing proposition of “the faster the better” has been challenged by results of empirical studies heavily depending on the methodological setup used. In contrast, we propose a model of the complete innovation process to study innovation speed under uncertainty and competition. We find that higher market uncertainty speeds up innovation and encourages firms to innovate incrementally. Strong competition tends to reduce innovation speed and encourages rather radical innovation.     

Executive compensation and firm performance: adjustment dynamics,non‐linearity and asymmetry

The relationship between executive compensation and firm performance is a field of intense theoretical and empirical research. The purpose of this study is to gain additional insights into the nature of this relationship by examining empirically the relatively unexplored areas of its dynamics of adjustment, as well as its non‐linearity. The findings of this study show strong evidence in support of the view that (a) executive compensation is characterized by a dynamic process of adjustment, and (b) the relationship between executive compensation and firm performance is non‐linear and asymmetric. Additionally, the structure of asymmetry is found to be dependent on the measure of performance. Convexity characterizes the asymmetry of the relationship between executive compensation and market returns, while concavity distinguishes the asymmetry of the relationship between executive compensation and accounting returns. Copyright © 2008 John Wiley & Sons, Ltd.     

Long‐term economic consequences of corporate environmental responsibility: Evidence from heavily polluting listed companies in China

In this study, we aim to investigate the long‐term economic consequences of corporate environmental responsibility (CER) by companies from the perspective of earnings persistence and investors' response. Based on firm‐level data of 1,010 heavily polluting listed companies in China, the empirical results are as follows. First, the CER of China's heavily polluting listed companies has significantly improved their earnings persistence, that is, earnings quality. Second, the positive long‐term economic effect of CER has been achieved through two paths: improving companies' operational efficiency and reducing their credit costs. Third, CER increases investors' response to heavily polluting companies' accounting earnings. Moreover, state‐owned listed companies achieve more significant positive long‐term economic effects from CER than others. The results suggest that heavily polluting companies should correctly identify the long‐term value of CER rather than pay excessive attention to the impact of CER on their current costs and benefits.     

Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective

This paper studies the long‐term asset allocation problem of an investor with different risk aversion attitudes to the short and the long term. We characterize investor's preferences with a utility function exhibiting a regime shift in risk aversion at some point of the multiperiod investment horizon that is estimated using threshold nonlinearity methods. Our empirical results for a portfolio of cash, bonds and stocks suggest that long‐term risk aversion is higher than short‐term risk aversion and increases with the investment horizon. The exposure of the investment portfolio from stocks to bonds and cash increases with the degree of risk aversion.     

The effect of seasonal adjustment on the properties of business cycle regimes

We study the impact of seasonal adjustment on the properties of business cycle expansion and recession regimes using analytical, simulation and empirical methods. Analytically, we show that the X‐11 adjustment filter both reduces the magnitude of change at turning points and reduces the depth of recessions, with specific effects depending on the length of the recession. A Monte Carlo analysis using Markov‐switching models confirms these properties, with particularly undesirable effects in delaying the recognition of the end of a recession. However, seasonal adjustment can help to clarify the true regime when this is well underway. These results continue to hold when a seasonally non‐stationary process with regime‐dependent mean is misspecified as one with deterministic seasonal effects. The empirical findings, based on four coincident US business cycle indicators, reinforce the analytical and simulation results by showing that seasonal adjustment leads to the identification of longer and shallower recessions than obtained using unadjusted data. Copyright © 2008 John Wiley & Sons, Ltd.     

基于动态调整模型的最优资本结构影响因素实证研究

本文引入调整成本这一概念,构建了资本结构的动态调整模型。并基于面板数据分析方法,采用我国上市公司的最新财务数据和宏观经济指标,对动态调整模型进行了实证分析。实证结果表明,我国上市公司的资本结构的确存在向最优值部分调整的现象,在动态调整过程中的交易成本较小,这使得我国上市公司的资本结构调整到最优资本结构的比例较高。     

It is merely a matter of time: A meta‐analysis of the causality between environmental performance and financial performance

Research on the relationship between corporate environmental performance (CEP) and financial performance (CFP) continuously receives high attention in both general media and academic publications. One central issue concerns the causal effects between the two constructs. Because existing primary literature is characterized by its heterogeneous study designs and mixed empirical evidence, the aim of this paper is to explicitly shed light on the causality effects between CEP and CFP by means of a meta‐analysis of 893 empirical estimates from 142 CEP–CFP studies. Our findings suggest that in the short run (1 year), financial resources can increase a firm's environmental performance as proposed by the slack resources hypothesis; however, the effects disappear in the long run (after more than 1 year). Conversely, increasing environmental performance has no short‐term effect on a corporate financial performance, whereas a firm significantly benefits in the long term, which is in accordance with the Porter hypothesis. Overall, our results show that the causality between environmental performance and financial performance depends on the time horizon.     

Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy*

Nonlinear time series models have become fashionable tools to describe and forecast a variety of economic time series. A closer look at reported empirical studies, however, reveals that these models apparently fit well in‐sample, but rarely show a substantial improvement in out‐of‐sample forecasts, at least over linear models. One of the many possible reasons for this finding is the use of inappropriate model selection criteria and forecast evaluation criteria. In this paper we therefore propose a novel criterion, which we believe does more justice to the very nature of nonlinear models. Simulations show that this criterion outperforms those criteria currently in use, in the sense that the true nonlinear model is more often found to perform better in out‐of‐sample forecasting than a benchmark linear model. An empirical illustration for US GDP emphasizes its relevance.     

产品市场竞争与现金持有动态调整

本文采用中国上市公司2005～2008年812家公司3248个样本的平衡面板数据,对产品市场竞争及其变化与企业现金持有动态调整之间的关系进行研究。实证研究的结果表明,从静态角度看,产品市场竞争对现金持有调整速度的影响不显著;但是从动态角度看,企业的现金持有水平将随着产品市场竞争的动态变化做出调整,产品市场竞争越趋向激烈,企业现金持有调整的速度越快。进一步研究发现,产品市场竞争的动态变化与现金持有调整速度之间的上述关系在非国有企业和高成长企业更为明显。