基于Markov区制转移模型的财政政策通胀效应检验

价格水平如何决定以及通货膨胀如何治理历来都是经济学家和政府决策部门关心的问题,新近提出的价格水平决定的财政理论强调财政政策变动对价格水平的影响。基于该理论,选取1998-2012年间国债发行和价格水平的季度数据,采取马尔科夫区制转移模型从一个侧面对我国财政政策的通货膨胀效应进行了实证检验,研究发现,积极财政政策对价格水平的影响并不一致,2008年第4季度之前的大部分时间里,积极财政政策所引致的通胀风险并不显著,但2008年之后,积极财政政策则具有显著通胀效应。因此,在治理通货膨胀的政策选择上,改善当前的财政状况,合理地运用财政政策可能是一个更好的选择。     

互联网使用对专业苹果种植户农地转入的影响研究 ——基于信息搜寻、社会资本和信贷获得中介效应视角

研究目的：从信息技术使用视角探究互联网使用对专业苹果种植户农地转入的影响及其机制,进而探索互联网能否成为激活农地流转市场的重要媒介。研究方法：内生转换Probit模型和中介效应模型。研究结果：（1）互联网使用对专业苹果种植户农地转入具有显著正向影响。基于反事实假设,使用互联网的专业苹果种植户若未使用互联网,其农地转入概率下降17.6%。（2）互联网使用主要通过提高信息搜寻能力、增加社会资本、提升信贷获得水平三条路径影响专业苹果种植户农地转入。（3）互联网使用对低收入组和自有地面积为小规模的专业苹果种植户的农地转入作用更大。研究结论：要重视以互联网为代表的信息技术对农地流转的促进作用,不断提升农村地区的互联网覆盖率,加快农地流转市场化进程。     

Loss given default of residential mortgages in a low LTV regime: Role of foreclosure auction process and housing market cycles

Using loan-level foreclosure auction data we study the loss given default (LGD) of defaulted residential mortgages originated in Korea, a low LTV regime. We find that senior mortgages generate very low loss rates (5–10%) while losses of subordinated claims are in 30–50% range. We document the effects of housing market cycles on loss severity by showing that collateral characteristics that are overvalued during the boom increase loss severity during the market downturn. We also investigate how a broad set of time-of-origination and post-origination information on loan, collateral and borrower characteristics and foreclosure auction process influence the LGD of residential mortgages.     

Corporate social responsibility disclosure: The case of international shipping

Based on practices and legislation in the shipping industry, we construct a corporate social responsibility (CSR) disclosure index for listed shipping companies. We use Markov Chain Monte Carlo (MCMC) techniques for Bayesian inference, and we estimate the marginal effects of firm characteristics on CSR disclosure for each firm. Our results show a positive relationship between CSR disclosure and financial performance for each firm in our international sample. Firm size, financial leverage, and ownership structure are also associated with CSR disclosure. Our findings suggest that a majority of listed shipping companies have integrated CSR practices into their strategic planning and operations.     

Time-varying expected momentum profits

This paper examines the time variations of expected momentum profits using a two-state Markov switching model with time-varying transition probabilities to evaluate the empirical relevance of recent rational theories of momentum profits. We find that in the expansion state the expected returns of winner stocks are more affected by aggregate economic conditions than those of loser stocks, while in the recession state the expected returns of loser stocks are more affected than those of winner stocks. Consequently, expected momentum profits display strong procyclical variations. We argue that the observed momentum profits are the realization of such expected returns and can be interpreted as the procyclicality premium. We provide a plausible explanation for time-varying momentum profits through the differential effect of leverage and growth options across business cycles.     

Rising Powers in Complex Regimes: South African Norm Shopping in the Governance of Cross-Border Investment

ABSTRACT

This article offers a critical engagement with the literature on contemporary global power shifts and the phenomenon of ‘regime complexity’. It does so by focusing on South Africa's role in the governance of cross-border investment, and using this case to explore the strategies used by rising powers to pursue their strategic aims in institutionally complex and fragmented global governance regimes. This article situates an understanding of regime complexity within a critical constructivist literature that highlights the ambiguity of international norms and the relationship between power and strategic rhetorical action. It argues that complex regimes create space for agency and strategic action by states and highlights one specific strategy – norm shopping – that rising powers can use to legitimate their actions and challenge dominant norms in complex regimes.     

The Divergent “Loyalty” Behaviors of a Captive Consumer

This research investigates situations where consumers display divergent loyalty behaviors. Study I qualitatively identifies and classifies word-of-mouth spreading behaviors of captive loyalists. The results reveal that, despite repurchase behaviors, captive loyalists spread mostly negative word-of-mouth. Study II quantitatively investigates four separate loyalty behaviors of captive loyalists. The results confirm that these consumers are likely to stay when dissatisfied, and allocate a significant share of their wallet to the provider whilst spreading negative word-of-mouth. The simultaneous existence of opposing loyalty behaviors has significant implications for erecting switching barriers and for applying customer loyalty metrics.     

一种基于马尔可夫链的随机预测模型——以日本地方经济为例

本文通过分析研究,提出一种基于马尔可夫链的随机预测模型,该模型在预测日本地方经济时可以取得较好的效果。该模型可以预测2020年及之前日本各地方县市经济的变化情况。虽然本文提出的模型比较简单,但通过扩展,该模型在预测日本地方县市经济时可以提供更准确的信息。     

A regime-switching approach to estimating the nonlinear quantity-based monetary policy rule in China

This article focuses on the quantity-based monetary policy rule in China. The article applies a Markov regime-switching approach to estimate the nonlinear policy rule using quarterly data from 1997Q1 to 2015Q2. Overall, the performance of the estimated two-state rule is significantly better than the performance of the linear rule. The regime-switching estimation suggests that the quantity-based policy tool displays a countercyclical response to the inflation gap but a pro-cyclical response to the output gap during recessions. In addition, this article provides notable evidence of the fact that China’s central bank has been targeting inflation over the gradual course of financial liberalization.