Changes in volatility of credit spread and market efficiency during rapid growth of credit-related securities

This paper investigates the changes in credit spread volatility during 1993–2001. We find that the credit spreads between junk-grade corporate bonds and Treasury bonds were significantly more volatile in the second half of this period when credit-related securities became popular. In contrast, investment-grade bonds exhibited no significant change in volatility. The junk bonds variance ratios changed from being less than one to greater than one. Using the GJR-Garch model, the conditional volatilities of junk bonds increased in the second half of the period and the mean reversion speeds slowed, suggesting a longer time for mean reversion to occur. Our analysis rules out treasury volatility, credit spread level, equity market return, T-bill rate, curvature of the Treasury curve, financial crisis, quantity of defaults and standard deviation of defaults as explanations for the increase in junk bond volatility. In contrast, volatility of equity returns provides a partial explanation of junk bond spread volatility in the later period.     

Past price ‘memory’ in the housing market: testing the performance of different spatio-temporal specifications

Recent methodological developments provide a way to incorporate the temporal dimension when accounting for spatial effects in hedonic pricing. Weight matrices should decompose the spatial effects into two distinct components: bidirectional contemporaneous spatial connections; and unidirectional spatio-temporal effects from past transactions. Our iterative estimation approach explicitly analyses the role of time in price determination. The results show that both spatio-temporal components should be included in model specification; past transaction information stops contributing to price determination after eight months; and limited temporal friction is exhibited within this period. These findings highlight the decidedly non-linear temporal patterns of such information effects.     

中部地区发展目标的计量分析

中部崛起是新世纪我国战略性发展的一项重要内容。确定经济发展目标是实现中部地区战略性发展的第一步。本文首先根据以往的统计数据分析了农业、工业、金融等产业及教育对中部地区GDP总值的不同贡献,进而确定未来经济发展目标,从而使中部地区能更快更好地发展。     

Fiscal harmonization in the European Union with public inputs

Fiscal harmonization among the European Union member states is a goal involving major difficulties for its implementation. Each country faces a particular trade-off between fiscal revenues generated by taxation and the productive efficiency loss induced by their respective tax code. This paper provides a quantitative analysis of these trade-offs for a number of the European Union (EU-15) member states using a dynamic general equilibrium model with public inputs. Calibration of the model for the EU-15 member states provides the following results: i) the maximum tax revenue level is relatively far from the current tax levels for most countries; ii) the cases of Sweden, Denmark and Finland are anomalous, as productive efficiency can be gained by lowering tax rates without affecting fiscal revenues; iii) in general, countries would obtain efficiency gains without changing fiscal revenues by reducing the capital tax and increasing the labor tax; and iv) capital tax harmonization to the average capital tax rate can be done with quite small changes in both fiscal revenues and output for most countries.     

Econometric Analysis of Managers' Judgements on the Determinants of the Financial Situation in Russia

The paper presents an econometric analysis of the determinants of the financial situation in Russian manufacturing. Official statistics in Russia are not reliable. This is why the analysis is based on business opinion surveys carried out within `The Russian Economic Barometer' long-term research programme for monitoring and investigation of the transition to the market in Russia. The new adaptive approach elaborated by the author of the paper is used to form a correct set of explanatory variables in regression equations. This approach is based on the comparison of the forecast abilities of alternative models with different sets of explanatory variables. Two periods are considered and compared: January 1993 to January 1995 and February 1995 to January 1998. Two variables, the diffusion index of output and the average order-book level, provide the best explanation of the managers' judgement regarding the financial situation in Russia for the first period. It was found that for the second period, the influence of the `output index' diminished. The main factors with which managers related a `good' financial situation in their enterprises were the sample average of order-book level, the stocks of finished goods, the index of order-book level, the index of output prices ratio, and the indebtedness to banks. All relationships are presented in the context of linear probability and logit models.     

The Black Enterprise Magazine Ranking of Colleges for African Americans: A Structural Analysis

This paper assesses the Black Enterprise Magazine (BE) ranking of the “top 50 colleges for African Americans,” which it publishes biennially. Its principal objective is to evaluate the statistical consistency in the ranking over the distribution of institutions that compose it. The paper attempts to address two-related questions. Does the BE report provide an unbiased and consistent assessment of the educational value associated with the institutions included in their listing? Is the ranking method internally consistent? Two experiments were used to evaluate the consistency of the BE ranking. First, structural difference in the model used to rank the institutions in the upper and lower half of the distribution is tested. Second, structural difference in the model used to rank HBCU and non-HBCU institutions included in the BE listed ranking is tested. In both cases the null hypothesis of the same structure is rejected.     

Spatial Economic Analysis in Data‐Rich Environments

Controlling for spatial effects in micro‐level studies of consumer and producer behaviour necessitates a range of analytical modifications. These range from modest changes in data collection and the definition of variables to dramatic changes in the modelling of consumer and producer decision‐making. This paper discusses conceptual, empirical and data issues involved in modelling the spatial aspects of economic behaviour in data‐rich environments. Attention is given to established and emerging agricultural economic applications of spatial data and spatial econometric methods at the micro‐scale. Recent applications of individual and household data are featured, including models of land‐use change at the urban–rural interface, agricultural land values, and technological change and technology adoption.     

Analyst following and count-data econometrics

This paper reexamines the determinants of the number of analysts following a firm using econometric models based on count distributions. We replicate Bhushan's (1989) analyst-following study to demonstrate the effects of using count-data econometrics, in lieu of OLS, in studying phenomena where the dependent variable ranges among nonnegative integers. In contrast with the original paper, our findings indicate the number of institutional investors is inversely related with analyst following. We also provide econometric evidence to support the preferred use of the negative binomial model in estimating cross-sectional, analyst-following regressions.     

国际贸易应用型人才培养问题探讨

地方应用型本科院校如何针对自身实际,突出专业特色,培养应用型人才,是目前有关方面人士着力探讨的问题。文中从国际贸易人才培养的角度,提出以"模拟实验"、"外贸单证实务操作"、"校企互动"等为特色的专业规划,成为应用型人才培养过程中的重要环节和现实手段的观点,以此带动整体专业建设水平的提高。     

认清应用型本科教育特点把握独立学院教学方法改革走向

掌握应用型本科教育的特点是独立学院深化教学方法改革的基础。在《教育部关于全面提高高等教育质量的若干意见》中,又再次强调：＂创新教育教学方法,倡导启发式、探究式、讨论式、参与式。＂做为我国高等教育的重要组成部分——独立学院认真贯彻落实教育部的这一指导意见,责无旁贷。那么独立学院如何进一步创新教育教学方法？笔者认为要研究和解决的问题很多,但是,认真掌握应用型本科教育的特点包括教育对象的特点,是深化教学方法改革需要解决的一项重要的基础性课题。