Foreign direct investment and its determinants: A regional panel causality analysis

Moving beyond traditional one- or possibly two-way causality involving foreign direct investment (FDI), a systematic approach is implemented for delineating both short- and long-run flows of causality involving FDI and a comprehensive set of FDI's possible determinants. Granger causality procedures incorporating error correction terms are implemented, using provincial panel data from China. In both the short and long run, growth in GDP directly influences FDI, while growth in local infrastructure and local investment provide indirect but not direct influence.     

Spread determinants and the day-of-the-week effect

In this paper, we examine the determinants of the dollar bid–ask spread for each day of the week over the period 1998–2008. Using a panel cointegration approach, we estimate the determinants of the spread in both the short-run and long-run. Our main findings suggest that: (1) there are day-of-the-week effects for certain groups of firms; (2) the panel error correction model also reveals day-of-the-week effects, and the speed of adjustment to equilibrium following a shock is faster on Fridays; and (3) the effects of volume and volatility on the spread are mixed, with only some sectors experiencing the day-of-the-week effect.     

Testing for heteroskedasticity and serial correlation in a random effects panel data model

This paper considers a panel data regression model with heteroskedastic as well as serially correlated disturbances, and derives a joint LM test for homoskedasticity and no first order serial correlation. The restricted model is the standard random individual error component model. It also derives a conditional LM test for homoskedasticity given serial correlation, as well as, a conditional LM test for no first order serial correlation given heteroskedasticity, all in the context of a random effects panel data model. Monte Carlo results show that these tests along with their likelihood ratio alternatives have good size and power under various forms of heteroskedasticity including exponential and quadratic functional forms.     

Globalization and insurance activity: Evidence on the industrial and emerging countries

This study applies panel cointegration with cross-country dependence and causality tests to uncover the extent and the magnitude of the relationship between insurance penetration and globalization. The results first confirm evidence of the long-run relationship between insurance market activities and globalization. Second, we find positive impacts of all three globalization indices on life and non-life insurance penetrations, and globalization has a larger impact on insurance market activities in the industrial countries than in the emerging countries. Finally, the results of panel causality tests roughly show bidirectional causality between insurance market activities and globalization in the long run.     

Inflation volatility: A Bayesian approach

The ongoing trend of high inflation across much of the world has reignited interest in inflation volatility with varying foci and methods. In this paper, we employ a Bayesian framework to estimate inflation volatility using a sample of G20 countries. Estimation results suggest persistent heterogeneity in price volatility across time and countries. Furthermore, we use the Bayesian estimates of volatility to conduct several empirical analyses on the implications of interdependence of economies, development status for uncertainty. Further analyses on the determinants of price volatility suggest that trade openness, COVID-19, and the Ukraine crisis have positive impacts on volatility. Additionally, the nature of the political institutions and the share of manufacturing in total national output are also found to affect volatility to some extent.     

经济适用住房挤出效应研究——基于2006-2010年29个大中城市的面板数据分析

国内学者在经济适用房对商品住房的挤出效应问题上一直存有争议。基于2006-2010年29个大中城市面板数据回归,对经济适用房的挤出效应进行实证检验,结果表明：（1）经济适用房销售量的系数显著不为0,说明经济适用房对商品住房的挤出效应存在;（2）挤出效应的值为-0．86,即经济适用房销售量每增加1个单位量,商品住房销售量将会减少0．86个单位量。结果表明,经济适用房政策存在较大的挤出效应。     

Production Risk and Productivity Growth: Some Findings for Norwegian Salmon Aquaculture

This paper deals with estimation of primal panel data models of production risk, focusing on measurement of risk properties of inputs and productivity growth. Under production risk one should estimate technical change separately for the deterministic part and risk part of the technology, since risk averse producers will take into account both the mean and variance of output when they rank alternative technologies. For a panel of Norwegian salmon farms fish feed and fish input are found to increase output risk, while labor has a risk-decreasing effect on output. In the analysis of technical change by the first order stochastic dominance criterion the increase in mean output dominates the increase in output risk.     

我国居民杠杆率现状及影响因素研究

近年来,我国居民部门杠杆率的快速上升引起社会各界关注。本文使用货币信贷和城镇储户调查数据,对我国居民部门杠杆率和偿债能力现状进行了分析,并运用各省住户贷款数据计算各省的居民杠杆率,使用面板数据模型对居民杠杆率上升的原因进行了实证分析。结果表明,房价的快速上涨和住房销售的增长都对居民部门杠杆率的上升有显著正向影响,其中房价上涨的影响程度更大。此外,金融发展水平和老年人抚养比对居民杠杆率有正向影响,少年人抚养比对居民杠杆率有负向影响。     

Takeover prediction using forecast combinations

The ability to identify likely takeover targets at an early stage should provide investors with valuable information, enabling them to profit by investing in potential target firms. In this paper we contribute to the takeover forecasting literature by suggesting the combination of probability forecasts as an alternative method of improving the forecast accuracy in takeover prediction and realizing improved economic returns from portfolios made up of predicted targets. Forecasts from several non-linear forecasting models, such as logistic and neural network models and a combination of them, are used to determine the methodology that best reduces the out-of-sample misclassification error. We draw two general conclusions from our results. First, the forecast combination method outperforms the single models, and should therefore be used to improve the accuracy of takeover target predictions. Second, we demonstrate that an investment in a portfolio of the combined predicted targets results in significant abnormal returns being made by an investor, in the order of up to double the market benchmark return when using a portfolio of manageable size.     

Capital mobility in the Caucasus

This paper examines the degree of capital mobility in the countries of the Caucasus. I estimate a simple model developed in the seminal paper by Feldstein and Horioka (1980). I construct a panel of 6 countries of the Caucasus – Armenia, Azerbaijan, Georgia, Kazakhstan, Russia, and Turkey – and employ a panel cointegration approach. To that end, I make use of the Dynamic OLS (DOLS), Fully Modified OLS (FMOLS), and Pooled Mean Group (PMG) techniques for heterogeneous panels. Preliminary cross-dependency tests reject the presence of cross-sectional dependence. Panel unit root and cointegration tests confirm that investment and saving are non-stationary and cointegrated. The estimated long-run saving retention ratios using DOLS, FMOLS, and PMG are 0.90, 0.73, and 0.83, respectively. These results suggest that capital mobility in the Caucasus is very low. I put these findings in an international context and confirm that the Caucasus is considerably financially restrained compared to other regions. I also look at the country ratings of the Index of Economic Freedom (IEF) and find that my results work well in predicting the IEF rank. Finally, I discuss some implications for the region's policy-relevant issues such as financial integration, human capital mobility, cross-border trading, fiscal and monetary policy, solvency management, responsive consumption smoothing, and recession resistance.