Efficient choice set designs for estimating availability cross-effects models

Batsell and Polking proposed a discrete choice model which incorporates the availability (presence or absence) of competing brands into the utility of each brand under study. The information on relative impacts of adding or deleting brands is of strategic interest, and models that do not incorporate such effects may be misleading. The designs suggested by Batsell and Polking have 2^m–m–1 choice sets. Even with as few as 10=m brands, this requires over 1000 choice sets. In this paper we provide a catalog of designs for estimating cross effects models in as few as 2m–1 choice sets. This will make cross effects modelling practical in a wide range of academic and commercial settings.     

Modeling the dependence structure between default risk premium,equity return volatility and the jump risk: Evidence from a financial crisis

This paper investigates the dependence structure between default risk premium, equity return volatility and jump risk in the equity market before and during the subprime crisis. Using iTraxx CDS index spreads from Japanese and Australian markets, the paper models the different relationships that can exist in different ranges of behavior. We consider several Archimedean copula models with different tail dependence structures, namely, Gumbel, Clayton, Frank, AMH and Joe copulas. Although the dramatic change in the levels of the iTraxx CDS index, we find strong evidence that the dependence structure between CDS and stock market conditions is asymmetric and orienting toward the upper side. In addition, we find that the Japanese CDS market is more sensitive to the stock return volatility than the jump risk and the magnitude of this sensitivity is related to the market circumstances. However, Australian CDS market is more sensitive to the jump risk than stock return volatility before and during the financial crisis. This result has important implications for both global financial stability and default risk management. Specifically, the heterogeneity of markets, coupled with the diversity in the risk exposures cause the default risk premium and equity markets to exhibit different levels of sensitivity.     

Coping with drought with innovative pricing systems: the case of two irrigation water management companies in France

In recent years, France has been facing particularly severe drought periods especially in summer. In a country where agriculture is the largest water user, some irrigation management companies have implemented innovative pricing systems to handle this situation. The objective of this article is to analyze the impact of these new management systems on farmers’ incomes, the revenue of the management companies, and the amount of water used. To do that, we develop a methodology using a stochastic model that simulates the representative farmer's optimal behavior in a context of climatic variability. An empirical application is made with a crop growth model and data collected from the Midi‐Pyrenees region. The results show that using these specific nonlinear pricing systems allow irrigation water managers to reduce the impact of drought on production. Moreover, the type of pricing implemented depends on the characteristics and capabilities of the water company. More particularly, these pricing systems can be used to anticipate agricultural water demand in order to avoid imbalance with water availability.     

房产税对宏观经济的影响效应研究

本文扩展Dong et al.(2019)通过企业家对住房地产和实体经济投资进行资产组合决策,把房价、投资、消费和产出等重要经济指标纳入主流新凯恩斯框架,考虑银行能否区分贷款是投入实体经济还是房地产业两种情形,分析了房产税引入住房市场前后对宏观经济的影响效应。研究结果表明:开征房产税对房地产开发投资、房价和新住房生产具有明显的抑制作用,对实体经济投资则具有正挤入效应增加和负抵押效应减少的双重效应。从短期看,当银行无法区分企业贷款是投入实体经济还是房地产业时,因前期的负抵押效应大于正挤入效应,总实物资本减少,产出下降;当可清晰区分二者时,负抵押效应变为小于正挤入效应,总实物资本增加,产出上升。鉴于推出房产税对宏观经济影响较为复杂,应充分权衡利弊,采取必要辅助措施趋利避害。     

房产税对宏观经济的影响效应研究

本文扩展Dong et al.(2019)通过企业家对住房地产和实体经济投资进行资产组合决策,把房价、投资、消费和产出等重要经济指标纳入主流新凯恩斯框架,考虑银行能否区分贷款是投入实体经济还是房地产业两种情形,分析了房产税引入住房市场前后对宏观经济的影响效应。研究结果表明:开征房产税对房地产开发投资、房价和新住房生产具有明显的抑制作用,对实体经济投资则具有正挤入效应增加和负抵押效应减少的双重效应。从短期看,当银行无法区分企业贷款是投入实体经济还是房地产业时,因前期的负抵押效应大于正挤入效应,总实物资本减少,产出下降;当可清晰区分二者时,负抵押效应变为小于正挤入效应,总实物资本增加,产出上升。鉴于推出房产税对宏观经济影响较为复杂,应充分权衡利弊,采取必要辅助措施趋利避害。     

非等间隔动态面板数据模型：估计方法与应用实例

非等间隔动态面板数据模型由于相邻两期观测之间的时间长度不尽相同使得传统动态面板数据模型的估计方法失效,本文提出使用非线性最小二乘、最短距离以及它们的一步估计量对该模型进行估计,证明了这四个估计量的一致性和渐进正态性,同时借助蒙特卡洛模拟的方法验证了它们在有限样本中的估计精度,并且进一步使用所提出的估计量讨论了以往文献由于缺乏相应的估计方法而没有被研究或者充分讨论的问题,得到了一些新的结论。     

技术并购能够带来技术创新效应吗 ——收购公司成长潜力视角

选择2009—2017年我国A股高科技产业上市公司并购事件作为研究对象，考察技术并购能否给收购公司带来技术创新效应，以及收购公司成长潜力水平对技术并购与技术创新效应的调节作用，并进一步从两维度区分不同类型技术并购以检验其技术创新效应差异。结果发现：技术并购能够显著带来技术创新产出效应和技术创新促进效应；收购公司成长潜力越大，技术并购带来的技术创新效应越显著。此外，相对技术进入型并购，技术巩固型并购更能给收购公司带来显著技术创新效应，而国内技术并购与跨境技术并购带来的技术创新效应不存在显著差异。     

美元周期性波动对我国跨境资本流动的非对称效应研究

有效应对和防范跨境资本流动冲击，维护外汇市场稳定是贯彻落实习总书记“打好防范化解重大风险攻坚战”的重要举措。目前，美元已进入强周期，我国正面临着由强势美元引发的货币贬值、资本外流等风险，当前背景下研究美元周期性波动特征、区制划分及其对跨境资本流动的影响具有重要的理论和现实意义。本文基于2006年10月至2018年6月的月度数据，运用理论模型和MSVAR模型分析美元周期性波动对我国跨境资本流动的非对称效应。研究表明，中美利差对跨境资本流动的影响存在非对称效应，当投资者不存在恐慌避险情绪时，利差的变化将不会引起大规模的跨国资本流动。美元指数对跨境资本流动的冲击效应具有一定的时滞性，美元升值将引发跨境资本流出，且冲击效应持续时间明显长于利差冲击。VIX指数和人民币汇率对跨境资本流动影响较弱，但呈现非对称性特征。加息和缩表后美元升值对资本外流的推动作用明显强于加息和缩表前，表明第三轮强周期下美元升值对我国跨境资本流动的影响更大。     

Effects of monetary policy on the REIT returns: Evidence from the United Kingdom

In this paper, we analyze whether a monetary policy based on three main variables (inflation, money supply, and output gap) has a nonlinear impact on real estate investment trust (REIT) markets. In addition, we extend our analysis to examine whether these monetary policy components impact the possibility of boom and bust regimes occurring in the market. Empirically, we propose different Markov-switching model variants to determine the nonlinear time-varying impact of monetary policy on the REIT market. Our results show the monetary policy environment is supposed to affect, on one hand, the REIT returns and, on the other hand, the possibility of boom and bust markets. We prove that expansionary monetary policy has an impact only in the case of boom market. However, an increase in the inflation rate decreases the probability of remaining in the bust regime. As a consequence, we have already outlined several monetary transmission mechanisms that show house prices to have important effects on aggregate demand. Our results confirm that REIT markets are not efficient.     

集权式股权结构会影响信息技术企业创新吗——非执行董事的中介效应

中国企业普遍具有高股权集中度。基于双重委托代理理论，以Osiris和CSMAR数据库中国信息技术类全球上市公司为样本，研究不同集权式股权结构对企业创新的差异化影响，以及非执行董事在二者关系中的作用机制。结果显示，绝对集权式股权结构更易形成控股股东的“支持效应”和大股东间“同舟共济”，体现为保守的创新投入和较高的创新产出；相对集权式股权结构更易形成控股股东的“掏空效应”和大股东间“同床异梦”，体现为较高的创新投入和较低的产出。基于中介效应机制的研究表明，非执行董事对创新投入的决策效应不显著，但对创新产出的“监督效应”显著，且非执行董事具有显著中介效应。进一步分析表明，两职分离能够抑制相对集权式企业控股股东的“掏空”行为；家族企业在相对集权式股权结构下的“掏空效应”和“同床异梦”更明显。