The profitability of momentum trading strategies: Empirical evidence from Hong Kong

This paper investigates whether momentum trading strategies are profitable in the Hong Kong stock market, and examines the sources of such profitability. Momentum portfolios are significantly profitable in the intermediate term in Hong Kong, but the profits become insignificant after risk adjustment by the Chordia and Shivakumar (2001) model. The stock-specific return strategy and factor-related return strategy are analyzed to examine which portion of the total return causes stocks to enter extreme portfolios. The Chordia and Shivakumar factor-related return strategy obtains profits with a magnitude that is close to that which is attained by the total return momentum strategy. Additional evidence further supports the view that the Chordia and Shivakumar model captures momentum profits.     

THE TIME‐SERIES PROPERTIES OF UK INFLATION: EVIDENCE FROM AGGREGATE AND DISAGGREGATE DATA

This paper contrasts the time‐series properties of aggregate and disaggregate UK inflation. While aggregate inflation is found to be non‐stationary, unit root rejection frequencies are increasing when we use more disaggregate data. Structural break analysis suggests that structural shifts in monetary policy could alter inflation persistence. Additionally, panel evidence indicates that the unit root hypothesis can be rejected for sectoral inflation rates. Finally, we compare the persistence properties of UK inflation, finding statistically significant differences between aggregate and disaggregate series. Our analysis suggests that aggregation matters, which has important implications for econometric analysis and the conduct of monetary policy.     

Eurosystem monetary targeting: Lessons from U.S. data

Using a small empirical model of inflation, output, and money estimated on U.S. data, we compare the relative performance of monetary targeting and inflation targeting. The results show monetary targeting to be quite inefficient, yielding both higher inflation and output variability. This is true even with a nonstochastic money demand formulation. Our results are also robust to using a P∗ model of inflation. Therefore, in these popular frameworks, there is no support for the prominent role given to money growth in the Eurosystem's monetary policy strategy.     

Means-Testing the Child Benefit

Improving the distributional impact of transfers may be costly if it reduces labor supply. In this paper we show how effects of changes in the design of the child benefit program can be examined by employing information from behavioral and non-behavioral simulations on micro data. The direct distributional effects are assessed by tax-benefit model calculations, while female labor supply responses to alternative child benefit schemes are simulated under the assumption that choices are discrete. Distributional effects after labor supply responses are also shown. The study confirms that greater targeting of the child benefit is traded against reductions in female labor supply.     

Measuring the Impact of Various Income Sources on the Link between Inequality and Development: Implications for the Kuznets Curve

To understand the link between inequality and development, a decomposition of the Gini index by income sources is used that emphasizes the role of three components measuring the impact of the shares of the sources, the degree to which they are unequally distributed, and their correlation with total income. Such a breakdown explains why the rising section of the Kuznets curve is mainly the consequence of the increasing share of wages while its declining section reflects the decreasing share of entrepreneurial income and the negative correlation between transfers and total income. The data sources were provided by the International Labour Office.     

EVIDENCE ON THE RELATIONSHIP BETWEEN ECONOMICS AND CRITICAL THINKING SKILLS

This research provides empirical support for the hypothesis that learning economics increases a student's critical thinking skills. Using the short form of the Watson-Glaser Critical Thinking Appraisal (WGCTA-S) as our measure of critical thinking skills, we find that students who gain a high level of economic understanding in their introductory economics class, as measured by the Test of Understanding College Economics (TUCE), have statistically significant gains in their WGCTA-S scores. Students who spend more time taking classes and are more fully engaged in the university experience also have greater gains in critical thinking. These results lend support to the idea that introductory economics courses can work in concert with other university level courses, especially within the context of a full-time curriculum, to enhance critical thinking skills. ( JEL A22)     

Charges in the Industrial Water Sector: Comparison Between Ireland and Spain

The European Treaty supports the application of the polluter pays principle in all environmental policies including the Water Framework Directive. This paper assesses the efficiency of water-charging systems in two European regions. The regions examined are the South west region of Ireland and the Navarre region in Spain which were selected because they are similar in terms of economic indicators but different in terms of water pricing structures. The paper describes the development and application of a simple model to analyse data on water-charging systems from these two regions. We present the results of a detailed scenario-based investigation illustrating the differences between experience, composition and basis, impact and constraints on the application of water charges for both regions. The key findings are that existing water charges do not provide incentives for users to use water efficiently and thereby do not contribute effectively to the environmental objectives of the Water Framework Directive.     

The legal challenge to ERISA preemptions

Managed care, once celebrated as a vehicle to halt the increasing cost of health care, has come under increasing fire from patients and health care providers, accused of cutting costs and managing care at the expense of patients. The Employee Retirement Income Security Act of 1974 (ERISA) has been a shield for managed care organizations (MCOs), buffeting them from liability for quality-of-care issues. Lawsuits and legislation are chipping away at the protective shield of ERISA as MCOs find themselves more liable for their decisions and for the care provided by physicians with whom the MCO contracts and provides financial incentives for controlling cost of medical care.     

Sudden stops, banking crises and investment collapses in emerging markets

We evaluate whether financial openness leaves emerging market economies vulnerable to the adverse effects of capital reversals (“sudden stops”) on domestic investment. We investigate this claim in a broad sample of emerging markets during the period 1976–2002. If the banking sector does not experience a systemic crisis, sudden stop events fail to have a significant impact on investment. Bank crises, on the other hand, have a significant negative effect on investment even in the absence of a contemporaneous sudden stop crisis. We also find that openness to capital flows worsens the adverse impact of banking crises on investment. Our results provide statistical support for the policy view that a strong banking sector which can withstand the negative fallout of capital flight is essential for countries that open their economies to international financial flows.     

Functions of innovation systems as a framework to understand sustainable technological change: Empirical evidence for earlier claims

Understanding the emergence of innovation systems is recently put central in research analysing the process of technological change. Especially the key activities that are important for the build up of an innovation system receive much attention. These are labelled ‘functions of innovation systems’. This paper builds on five empirical studies, related to renewable energy technologies, to test whether the functions of innovation systems framework is a valid framework to analyse processes of technological change. We test the claim that a specific set of functions is suitable. We also test the claim made in previous publications that the interactions between system functions accelerate innovation system emergence and growth. Both claims are confirmed.