Political Variables in Cross-country Growth Analysis

The recent boom in cross-country growth analysis has renewed the empirical interest in political sources of economic growth. A large number of studies have tested political variables in growth regressions and a very heterogenous set of variables has been proposed to measure economically relevant differences in the political systems of countries. This paper distinguishes five categories of relevant political variables: democracy, government stability, political violence, policy volatility, and subjective perception of politics. For each of these categories, the specification, testing method, and results of the most relevant studies are presented and are critically discussed. The paper concludes that measures of democracy are least successful and measures of policy volatility and subjective perception of politics most successful as explanatory variables in cross-country growth regressions.     

DIFFUSION COEFFICIENT ESTIMATION AND ASSET PRICING WHEN RISK PREMIA AND SENSITIVITIES ARE TIME VARYING: A COMMENT

The purpose of this note is to analyze the diffusion coefficient estimator suggested by Chesney, Elliott, Madan, and Yang (1993). I start by correcting their formula (4.1), and by showing that their procedure is a member of a class of estimators sharing the same Milstein approximation. I then show how to select the minimum variance estimator (for constant μσ) within a two-parameter subclass of procedures which do not depend on the current realization of the process. I also show that if μ is small the best procedure only allows moderate reduction in variance with respect to the classical quadratic variation estimator (which is a member of the same class). the note concludes by highlighting the fact that the empirical use of the filtered volatilities poses an error in variables problem which can be addressed using instrumental variables methods.     

Does Macro‐Prudential Regulation Leak? Evidence from a UK Policy Experiment

The regulation of bank capital as a means of smoothing the credit cycle is a central element of forthcoming macro‐prudential regimes internationally. For such regulation to be effective in controlling the aggregate supply of credit it must be the case that: (i) changes in capital requirements affect loan supply by regulated banks, and (ii) unregulated substitute sources of credit are unable to offset changes in credit supply by affected banks. This paper examines micro evidence—lacking to date—on both questions, using a unique data set. In the UK, regulators have imposed time‐varying, bank‐specific minimum capital requirements since Basel I. It is found that regulated banks (UK‐owned banks and resident foreign subsidiaries) reduce lending in response to tighter capital requirements. But unregulated banks (resident foreign branches) increase lending in response to tighter capital requirements on a relevant reference group of regulated banks. This “leakage” is substantial, amounting to about one‐third of the initial impulse from the regulatory change.     

Competitive pressure and economic integration: an illustration for Spain, 1983–1996

This paper estimates sectoral mark-ups in the Spanish economy during the period 1983–1996. The data consists of a large firm level data set that encompasses all sectors of economic activity apart from financial institutions. The time period considered is well suited to assess the pro-competitive effect of economic integration, as Spain’s economy became fully integrated in the EU, which was itself embarking on a massive liberalisation exercise. I find that sectors most exposed to international competition witnessed a significant drop in margins, while those more sheltered from competitive pressures did not. Finally, comparing estimated mark-ups to accounting margins indicates that the latter are a reasonable proxy for margins obtained econometrically.     

A nonparametric test for equality of distributions with mixed categorical and continuous data

In this paper we consider the problem of testing for equality of two density or two conditional density functions defined over mixed discrete and continuous variables. We smooth both the discrete and continuous variables, with the smoothing parameters chosen via least-squares cross-validation. The test statistics are shown to have (asymptotic) normal null distributions. However, we advocate the use of bootstrap methods in order to better approximate their null distribution in finite-sample settings and we provide asymptotic validity of the proposed bootstrap method. Simulations show that the proposed tests have better power than both conventional frequency-based tests and smoothing tests based on ad hoc smoothing parameter selection, while a demonstrative empirical application to the joint distribution of earnings and educational attainment underscores the utility of the proposed approach in mixed data settings.     

我国FCI的构建及对宏观经济变量影响的非对称性

本文首先选取我国多个金融变量,利用动态因子模型提取其共同因子,并对这些因子基于总需求方程缩减式构建了我国金融状况指数(FCI)。接着,基于互谱分析,从频域角度测度了FCI与产出和价格的关联性。最后,以FCI作为转移变量,建立了包含FCI、产出和价格的因子扩展的logistic平滑转移向量自回归(FALSTVAR)模型,基于不同金融状况视角,分析了金融状况指数代表的金融市场对产出和价格影响的非对称性。实证结果表明:第一,金融状况指数不仅与宏观经济具有相同的主周期,而且领先于产出和价格的变动;第二,在金融市场运行良好情形下,金融市场发展能有效地促进实体经济的增长,而在金融市场状况恶化情形下,金融市场会严重阻碍实体经济的增长。     

On decompositions of some random variables

The aim of this paper is to present several stochastic analogs of classical formulas for the gamma function. The obtained results provide representation of some random variables as finite or infinite products of independent random variables. Examples include generalized gamma, normal, beta and other distributions.