Dynamics of sectoral business cycle comovement

Sectoral comovement accounts for a considerable share of the variance of aggregate variables. However, little is known about its time-varying aspects by now. In this article, a multivariate DCC- GARCH framework is employed to study dynamics of sectoral comovement across manufacturing sectors both in the United States and in Germany. To account for possible nonlinearities, asymmetric effects in conditional volatilities as well as in conditional correlations are being assessed. We find that comovement across sectors is not stable but shows irregular movements. Particularly, contractions tend to be more synchronized than expansions in manufacturing sector. Moreover, we examine the role of various aggregate factors for the fluctuations in conditional correlations. Our findings reveal that both the non-constant variability of common factors and the changes in the effects of these factors play role for the fluctuations in sectoral comovement.     

我国高校科研“投入产出最小化”现象成因与对策研究

高校虽是我国三大科研主体之一,但其科研活动却广受诟病。在已有研究的基础上,深入分析我国高校科技成果转化率较低的主客观原因,发现高校科研系统存在着“投入产出最大化”悖论。基于“外部性”与“零和博弈”等经典理论,提出了“投入产出最小化”概念。根据“投入产出最小化”现象的本质和成因,从强化激励、加强监管、改善环境3个方面提出了系统性对策与建议。“投入产出最小化”现象的提出,为分析当前高校科研活动绩效提供了新的研究视角,对相关问题的进一步探讨具有借鉴意义。     

高校扩招与教育回报率的城乡差异——基于断点回归的设计

文章基于中国家庭收入调查项目数据（2007年与2013年）,在断点回归设计的框架下分析1999年实施的高校扩招政策对城乡居民受教育年限、收入及教育回报率的影响。结果表明：第一,高校扩招政策的实施使农村居民的平均受教育年限提高了0.59年左右,使城镇居民的平均受教育年限提高了0.85年左右。第二,在断点回归的设计下,农村居民的教育回报率大约为11%,城镇居民的教育回报率大约为8%,高于OLS的估计。虽然实证结果显示教育回报并不存在城乡间的马太效应,但并不意味者城乡间教育发展与收入差距缩小。第三,高校扩招政策一方面显著促进了城镇居民低收入群体教育回报的提升,有效抑制了城镇居民中可能出现的收入差异扩大的"马太效应"。另一方面,高校扩招政策使得农村居民高收入群体教育回报高于低收入群体,在一定程度上导致了农村居民收入差异扩大的"马太效应"。     

Common dynamics of nonenergy commodity prices and their relation to uncertainty

The purpose of this article is to improve the empirical evidence on commodity prices in various dimensions. First, we attempt to identify the extent of comovements in 44 monthly nonenergy commodity price series in order to ascertain whether the increase in comovement is a recent term phenomenon. Second, we attempt to determine the role of uncertainty in determining comovements among nonenergy prices in the short run. We diagnose the overall comovement using a dynamic factor model estimated by principal components. A factor-augmented vector autoregressive approach is used to assess the relationship of fundamentals, financial and uncertainty variables with the comovement in commodity prices. We find a greater synchronization among raw materials since December 2003. Since that date, uncertainty has played an important role in determining short-run fluctuations in nonenergy raw material prices.     

Keynes on the nature of capital: a note on the origin of The General Theory's chapter 16

In The General Theory, unlike Keynes's previous works, we find a chapter explicitly devoted to a discussion of capital. It's title, however, does not accurately reflect the actual content of the chapter itself; and the text, which contains a discussion of the concept of roundaboutness, may leave the reader uncertain about Keynes' attitude towards that concept and on the actual focus of the chapter. In this paper a study of the surviving drafts of The General Theory and of other sources relevant to the purpose of elucidating the process of composition of the chapter allows us to show how and why those peculiarities emerged and helps to cast light on their meaning.     

Decision usefulness of whole-asset operating lease capitalizations

Monson (2001) and Hepp and Scoles (2012) argue that some leased assets should be capitalized at the assets' purchase price (whole-asset value) rather than at the present value of future minimum lease payments (right-of-use asset value). The argument is based in part on the notion that the assets under lease generate future income not the obligation related to future lease payments. To test the notion we compare associations between capitalizations representing whole asset values and current and future return on assets (ROA) and return on equity (ROE) with capitalizations representing right-of-use asset values and current and future ROA and ROE. Our results indicate that the whole-asset annuity values are incrementally associated with future ROA and ROE over right-of-use asset values. We interpret our results to suggest that the current practice of capitalizing future lease payments does not fully reflect the income generation provided by leased assets.     

北美自由贸易区经济周期协动性的实证研究

自《北关自由贸易协议》签订并实施以来,美国、加拿大、墨西哥三国间的经贸联系日益密切。三国间经贸投资联系的加强必然会作用于三国宏观经济波动的传导,并改变北美自由贸易区内美、加、墨三国经济周期协同的特点。本文首先探讨了《北美自由贸易协议》对美国、加拿大、墨西哥三国间贸易与投资的积极效应,然后对三国在北美自由贸易区成立前后的经济周期协动性变化的特征事实进行了分析,最后考察并检验了《北美自由贸易协议》对三国间经济周期协动性的影响。     

A statistical equilibrium model of competitive firms

We find that the empirical density of firm profit rates, measured as returns on assets, is markedly non-Gaussian and reasonably well described by an exponential power (or Subbotin) distribution. We start from a statistical equilibrium model that leads to a stationary Subbotin density in the presence of complex interactions among competitive heterogeneous firms. To investigate the dynamics of firm profitability, we construct a diffusion process that has the Subbotin distribution as its stationary probability density. This leads to a phenomenologically inspired interpretation of variations in the shape parameter of the Subbotin distribution, which essentially measures the competitive pressure in and across industries. Our findings have profound implications both for the previous literature on the ‘persistence of profits’ as well as for understanding competition as a dynamic process. Our main formal finding is that firms' idiosyncratic efforts and the tendency for competition to equalize profit rates are two sides of the same coin, and that a ratio of these two effects ultimately determines the dispersion of the equilibrium distribution.     

劳动力转移对资本回报率影响的机制分析与实证研究

在新一届政府提出大力发展城镇化的背景下,我国资本回报率是否可以支撑城镇化将带来的大量固定资本投资？本文构造了一个两部门模型,并结合中国的省际数据和多重代理变量方法从理论机制和实证研究两方面证明了：由于劳动力从农村部门向现代部门转移,资本回报率有可能出现随资本存量增加而先递增后递减的趋势。即如果城镇化可以拉动劳动力的持续转移,那么固定资本投资在一段时期内将有较高的资本回报率作为支持。研究结果还表明,制造业规模、存贷比指标、非国有企业所占的比重以及产品市场的发育程度也会对资本回报率的产生一定的影响。     

The CRM process in retail and service sector firms in Japan: Loyalty development and financial return

Research on customer relationship management (CRM) in general has focused on the effects of customer satisfaction with CRM, customer retention and profit management, and the effects of CRM technique on performance. Conceptually, however, a sequence of effects of CRM is expected, from CRM implementation to financial performance, but this sequence has not been explored. Whilst several definitions of CRM have been proposed, this article defines CRM as relationship-development programmes based on IT. CRM is regarded as the integration of relationship technology (i.e. data consolidating and data mining) with loyalty schemes. Survey research was conducted in Japan in the retail and service industries to test three hypotheses: (1) a firm's relationship orientation has a positive effect on CRM implementation (data warehousing, data mining, using customer data for decision making); (2) CRM implementation has a positive effect on return on equity; and (3) CRM implementation has an indirect effect on return on equity, mediated by customisation. Using a structural equation model the first hypothesis was supported, but the third hypothesis was only partially supported. In these analyses a direct effect of CRM implementation on return on equity (ROE) was supported; however, a negative impact of customisation on ROE was found.