The impact of transaction duration,volume and direction on price dynamics and volatility

We explore the role of trade volume, trade direction, and the duration between trades in explaining price dynamics and volatility using an Asymmetric Autoregressive Conditional Duration model applied to intraday transactions data. Our results suggest that volume, direction and duration are important determinants of price dynamics, while duration is also an important determinant of volatility. However, the impact of volume and direction on volatility is marginal after controlling for duration, and the impact of volume on volatility appears to be confined to periods of infrequent trading.     

空间加权矩阵设置与空间面板参数估计效率

总结了常用的空间加权矩阵的一般构建方法和研究领域内新提出的空间加权矩阵的构建方法,从宏观与微观层面,量化分析了空间加权矩阵设置对于空间面板参数估计效率、空间效应识别的影响效应。结论表明：宏观数据层面,随着空间加权矩阵复杂程度的提高,无论是空间面板固定效应模型还是空间面板随机效应模型,参数估计的有效性与一致性都显著提高并且广义矩参数估计方法优于拟极大似然估计方法,复合的空间加权矩阵条件下,拉格朗日乘子检验方法的功效更高;微观数据层面,回归结果表明四种不同类型的空间加权矩阵的设置,对于聚集外部性引致的企业全要素生产率增长的空间边界的识别具有显著影响,复合的空间加权矩阵更有效。     

中国城市经济增长的效率与差异

本文在利用Malmquist指数和一系列反映地区差异的统计指标对中国216个地级市1990~2004年经济增长的效率和差异进行描述的基础上,针对2000年以来中国城市经济表现出的新特点,采用因子分析和空间计量方法分析了影响中国城市经济增长的主要因素,结果表明216个地级市TFP整体呈现增长趋势,城市经济的地区差异明显且呈扩大趋势。2000年以来影响中国城市经济增长的因子强度依次为:地理位置、产业结构与市场化水平和要素投入等。     

中国居民货币需求结构及其对货币需求函数的影响

失业率对中国居民货币需求量存在显著性关系,证券收益率与改革的市场化进程对货币需求存在不同层次的影响。M2的动态模型显示,失业率、利率及市场化率一期滞后值对M2有显著性影响,当期居民收入及其一期滞后值也对M2有显著性影响。因此,中国货币当局应充分关注利率、失业率以及中国市场经济改革进程对微观主体——居民货币需求的影响,以使货币政策更好地促进经济发展。     

ECONOMETRICS FOR GRUMBLERS: A NEW LOOK AT THE LITERATURE ON CROSS‐COUNTRY GROWTH EMPIRICS

Abstract Since the seminal contribution of N. Gregory Mankiw, David Romer and David N. Weil in 1992 the growth empirics literature has used increasingly sophisticated methods to select relevant growth determinants in estimating cross‐section growth regressions. The vast majority of empirical approaches, however, limit cross‐country heterogeneity in production technology to the specification of total factor productivity, the ‘measure of our ignorance’. In this survey, we present two general empirical frameworks for cross‐country growth and productivity analysis and demonstrate that they encompass the various approaches in the growth empirics literature of the past two decades. We then develop our central argument, that cross‐country heterogeneity in the impact of observables and unobservables on output as well as the time‐series properties of the data are important for reliable empirical analysis.     

Chaos and the exchange rate

Chaotic exchange rate models are structural models built in discrete time (difference equations), and show that with orthodox assumptions (PPP, interest parity, etc) and introducing plausible nonlinearities in the dynamic equations, it is possible to obtain a model capable of giving rise to chaotic motion. However, none of these models is estimated, and the conclusions are based on simulations: the empirical validity of these models is not tested. In this paper, a continuous time (the exchange rate is obviously a continuous variable) exchange rate model is built as a non-linear set of three differential equations and its theoretical properties (steady state, stability, etc,) analysed. The model is then econometrically estimated in continuous time with Italian data and examined for the possible presence of chaotic motion. This paper also shows that the continuous time estimation of economic models built as systems of nonlinear differential equations is a very powerful tool in the hands of the profession.     

地方政府竞争与环境政策——来自中国省份数据的证据

市场化改革带来了经济领域的分权,在既定的政府管理体制下,这种分权导致地方政府间围绕流动性要素展开竞争。本文从环境政策的角度对我国省份间的竞争和博弈行为进行了实证检验。研究结果显示,我国的财政分权和基于经济增长的政绩考核体制,使地方政府当前的环境政策之间存在着相互攀比式的竞争,其目的在于争夺流动性要素和固化本地资源,而不是旨在解决本地区的环境问题,这是导致我国环境状况逐年恶化的主要原因之一。但与此同时,这种竞争也呈现出从单一控制目标的粗放型策略向多元控制目标的集约型策略转化的动态特点,这表明我国地方政府在制定环境政策时的自我约束机制正在加强。为此,本文认为,为发挥地方政府竞争的良性效应,促进地区间经济社会协调发展,应当改善现行的政绩考核体制,隔断政绩与经济数量型增长间的联系,在保持地方政府的适度积极性的基础上建立公共服务导向型的地方职能部门。     

地市级地区间基本建设公共支出的相互影响

本文考察中国地市级地区间基本建设公共支出相互影响的机制和特征,主要包括溢出效应和竞争效应。由于地市级基本建设支出的正外部性,溢出效应使得相邻地区基本建设支出间负相关;由于中国特有的地方官员激励结构,地区间经济增长的竞争会导致基本建设公共支出正相关。本文使用中国地市级地区2002—2005年数据检验这两个影响渠道。经验分析发现了溢出效应和竞争效应存在的证据。     

The econometric challenge to Keynes: arguments and contradictions in the early debates about a late issue *

The paper investigates the discussions between Keynesians and ‘reconcilers’ about the interpretation of the ‘General Theory’, and the effect of the transformation of economics during the thirties as the outcome of that discussion. It highlights the contribution of some of the first econometriians, who argued for a new view of economics as an exact science based on mechanical models and mathematically defined theories, while supporting planning rather than the indirect steering devices suggested by Keynes.

The inroduction of this type of mathematical models in the framework of Keynesian macro–policies is related to two major events: the Oxford meeting of the Econometric Society in which the IS-LM model emerged, and the Cambridge meeting dedicated to the discussion of Tinbergen's work on business cycles.

The framework, antecedents and consequences of Keynes-Tinbergen debate on the role of econometrics is here assessed on the basis of unpublished documental evidence. Although most of the econometricians took sides with tinbergen against Keynes's scepticism on the use of formal models and simple representations in macroeconomics, several of them, including the more influential of the then young mathematically inclined economists, shared some of the basic elements of the critique. These discussions among Frisch, Tinbergen, Lange, Divisia, Roos, Marschak and others are reviewed in the paper and related to the evolution of the Cambridge group itself.     

Economics as progress: the LSE approach to econometric modelling and critical realism as programmes for research

In the face of claims that economics is increasingly drivenmerely by fashion, this paper draws out certain similaritiesand differences between two self-consciously progressive anddevelopmental research programmes—namely the LSE approachto econometric modelling and critical realism in economics.The argument is that, while these two programmes of researchshare a common point of departure and possess many common elements,what at root distinguishes them is their adoption of opposingphilosophical orientations. The comparison enables both thenature of each programme, and the relevance of their commonconcerns, to be more easily appreciated and helps clarify thesort of evidence that would provide a basis for selecting oneproject over the other.