Trade‐led growth hypothesis in Cuban commercial regimes since 19601,2

This study examines the impact of trade on Cuban growth during different commercial policy regimes spanning the period from 1960 up to 2004, encompassing two essential economic structural transformations: the Cuban revolution and the fall of the Berlin Wall. For this purpose, the Granger causality is used by means of the modified Wald test for augmented‐level vector autoregressive model with integrated and cointegrated processes introduced by Toda and Yamamoto (1995) and Dolado and Lutekepohl (1996) . We show an import‐led growth hypothesis during the Soviet‐oriented pattern that is rejected after 1990, when exports are not only responsive to growth expansion but also to imports’ behaviour.     

中国服务业扩张模式：平推化还是立体化？

本文从经济结构优化视角出发,提出并论证“服务业平推化与立体化扩张模式选择”的重要论题,通过构造最优服务业比重理论模型分析了服务业立体化扩张模式的内在特征,对1998 ~ 2010年中国服务业扩张的空间面板计量分析发现,服务业扩张存在显著的空间正相关性;要素禀赋越高,立体化扩张越显著,技术采纳策略促进了服务业的平推化扩张; 中国服务业立体化扩张模式滞后。从结构优化维度来讲,服务业立体化扩张模式显著优于平推化模式。     

Measuring the liquidity part of volume

Based on the concept that the presence of liquidity frictions can increase the daily traded volume, we develop an extended version of the mixture of distribution hypothesis model (MDH) along the lines of Tauchen and Pitts (1983) to measure the liquidity portion of volume. Our approach relies on a structural definition of liquidity frictions arising from the theoretical framework of Grossman and Miller (1988), which explains how liquidity shocks affect the way in which information is incorporated into daily trading characteristics. In addition, we propose an econometric setup exploiting the volatility–volume relationship to filter the liquidity portion of volume and infer the presence of liquidity frictions using daily data. Finally, based on FTSE 100 stocks, we show that the extended MDH model proposed here outperforms that of Andersen (1996) and that the liquidity frictions are priced in the cross-section of stock returns.     

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。     

Generalized runs tests to detect randomness in hedge funds returns

The major contribution of this paper is to make use of generalized runs tests (Cho and White, 2011) to analyze the randomness, i.e. the lack of persistence, in both absolute and relative returns of hedge funds. We find that about 42% of the HFR universe exhibit iid absolute returns over the period spanning 2000 to 2012. These funds are mainly found in proportions within the Macro and Equity Hedge strategies. A similar result holds for relative returns. We also find that funds having non-iid returns often exhibit ARCH effects and structural breaks, with largest breaks located within financial crises. Also, only a small percentage displays persistence in their relative performance, 8.2% to 16.7% of the universe, mainly found in proportions within the Relative Value and Event-Driven strategies. The robustness of results is challenged by implementing the tests on a crisis-free period. We find similar results for absolute returns. For relative ones, differences appear across strategies and benchmarks, but still both ARCH and breaks are present. Our work contributes to the hedge fund literature in terms of methodology, portfolio allocation, and performance measurement.     

制度、增长与收敛——一个基于索洛模型的分析框架

标准的经济增长理论把制度看作是既定不变的并且不存在交易费用的,所以无法认识到制度对经济增长的重要性.将制度作为一个变量引入索洛模型,可以构造一个包含制度的、技术内生的增长模型.通过模型的推导可以得出这样的结论:制度质量越好,人均产出增长率越高;人均产出存在关于制度的条件收敛.并进一步得出这样的推论:欠发达国家想获得"后发优势"赶超发达国家,前提条件是具备良好的制度或能够持续改善其制度.     

Disaggregate Real Exchange Rate Behaviour

In this paper, we re-examine the “PPP Puzzle” using sectoral disaggregated data. Specifically, we first analyse the mean reversion speeds of real exchange rates for a number of different sectors in 11 industrial economies and then focus on relating these rates to variables identified in the literature as key determinants of CPI-based real exchange rates, namely: the trade balance, productivity and the mark up. In particular, we seek to understand to what extent the relationships existing at the aggregate level are borne out at the disaggregate level. We believe that this analysis can help shed light on the PPP puzzle.

我国农用化肥施用的影响因素——基于省际面板数据的实证分析

我国农用化肥施用量不断提高带来的环境污染问题日益严重。研究化肥施用的影响因素及其影响程度,为防止化肥滥施、保护生态环境提供依据意义重大。文章采用1999～2008年我国31个省(市、区)的面板数据,通过面板单位根检验、协整关系检验和多元回归方法分别对国内东、中、西三大区域化肥施用密度与其影响因素之间的关系进行了实证分析。研究结果表明,三大区域农民人均纯收入、人口规模对化肥施用密度具有显著的正向影响,三大区域化肥价格增长率、粮食种植面积比重、化肥产出效率对化肥施用密度具有显著的负向影响,三大区域种植产品生产价格、种植业劳动力数量、农产品国际贸易对化肥施用密度具有不同的影响效果或显著性。     

新型农村养老保险试点调查分析——以某市农村为例

中国农村地区由于受经济发展水平的限制以及政策因素的影响,养老保险事业长期处于停滞状态。为解决农村地区养老问题,中国于2009年开展新型农村养老保险试点。在制度实施的过程中,不论是制度设计本身还是制度运行都存在着一定的问题。根据湖北省某市试点村的抽样调查结果显示,在新农保实施过程中进一步加大政策宣传、加大财政补贴力度、加强监督管理、完善养老保险立法是完善新型农村养老保险制度的关键所在。