Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China

This study explores the spillovers between economic policy uncertainty (EPU) and stock market realized volatility (RV). The monthly index of Chinese and US EPU and RV are used to analyze the pairwise directional spillovers. We find that RV is a net receiver that is more vulnerable to shocks from U.S. EPU than to shocks from Chinese EPU. We further decompose the RV into good and bad volatility to test the asymmetric spillover effect between the stock market and EPU. The results suggest that EPU has a bigger effect on bad volatility in the stock market throughout most of the sample period. However, we find that good volatility spillovers become larger during periods of stimulated reform, whereas bad volatility spillovers become larger during periods of international disputes. We show that Chinese stock market volatility is sensitive to both U.S. and Chinese EPU and that the spillover is asymmetric in different periods.     

Quantile spillovers and dependence between Bitcoin,equities and strategic commodities

This paper has two aims. We first examine the dynamic spillovers between Bitcoin and 12 developed equities, gold, and crude oil for different market conditions using a Bayesian Time-Varying Parameter Vector Autoregressive (TVP-VAR) model with daily spot prices. Our econometric approach enables us to capture the left and right tails as well as the shoulders of the return distribution corresponding to volatility spillovers under the bear, normal, and bull market states among these financial assets. We quantify and trace the dependence and directional predictability from Bitcoin to other assets using the sample cross-quantilogram. Our key findings offer convincing evidence of time variation in the level of volatility. Spillovers between Bitcoin and other financial assets intensify during extreme global market conditions. Secondly, results from the cross-quantilogram indicate strong dependence and positive directional predictability between Bitcoin and most equities and crude oil when market returns are bullish. However, during the bearish market period, there is negative dependence and predictability from Bitcoin to stocks in Finland, the Netherlands, the U.S.A, and the crude oil market only. This implies that Bitcoin can act as a hedge to stocks in Finland, the Netherlands, the U.S.A, and the crude oil market. However, insignificant dependence and directional predictability from Bitcoin to the remaining assets indicate that Bitcoin may act as a safe-haven to these assets during bearish markets. Our findings hold important implications for both international investors and portfolio managers who consider Bitcoin as part of their portfolio diversification and other investment strategies.     

Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network

This paper investigates the systemic risk spillovers and connectedness in the sectoral tail risk network of Chinese stock market, and explores the transmission mechanism of systemic risk spillovers by block models. Based on conditional value at risk (CoVaR) and single index model (SIM) quantile regression technique, we analyse the tail risk connectedness and find that during market crashes, stock market exposes to more systemic risk and more connectedness. Further, the orthogonal pulse function shows that Herfindahl-Hirschman Index (HHI) of edges has a significant positive effect on systemic risk, but the impact shows a certain lagging feature. Besides, the directional connectedness of sectors shows that systemic risk receivers and transmitters vary across time, and we adopt PageRank index to identify systemically important sector released by utilities and financial sectors. Finally, by block model we find that the tail risk network of Chinese sectors can be divided into four different spillover function blocks. The role of blocks and the spatial spillover transmission path between risk blocks are time-varying. Our results provide useful and positive implications for market participants and policy makers dealing with investment diversification and tracing the paths of risk shock transmission.     

跨国公司研发投资技术外溢效应探究:浙江案例

近年来,浙江吸收的跨国投资在促进产业结构升级、推动经济增长方式转型方面具有独特的优势。本文综合运用相关理论,通过实证研究,对跨国公司研发投资的技术外溢效应进行了实证分析。本文创新点在于,外溢效应的大小,更多地取决于本土企业竞争力的强弱,只有不断增强本地企业的技术创新能力,才能吸收跨国企业的技术外溢效应。     

集群企业间知识溢出、研发竞争与集群主导设计形成的关系

考察了产业集群企业间的研发竞争和知识溢出对集群企业采纳潜在主导设计的影响。通过数理分析和实证检验,得到如下结论:集群企业间的研发竞争有利于主导设计的形成;集群企业间的知识溢出对主导设计的形成也有正向影响;企业间的研发竞争正向调节知识溢出与主导设计形成的关系。     

Macroeconomic Effects of Asset‐Price Shocks in a Globalized Financial Market

In this paper, I study a model in which shocks to asset prices affect the real sector of the economy through a credit channel. As financial markets become internationally integrated, the economy becomes less vulnerable to domestic asset‐price shocks, but more vulnerable to foreign asset‐price shocks. To the extent that monetary policy stabilization is feasible and desirable, the globalization of financial markets shifts the focus of monetary policy from domestic asset prices to worldwide asset prices.     

R&D Spillovers for Public R&D Productivity

ABSTRACT

This paper empirically investigates whether the productivity of a public (government-funded) R&D project improves when the aggregate R&D investment in the same technology field increases. Based on the unique project level data that cover almost entire public R&D projects in Korea, this paper shows that aggregate investment in other public R&D projects in the same technology field increases a public R&D project’s outputs both independent of its project expenditure (additive spillover effects) and interactive with its project expenditure (multiplicative spillover effects). The spillover effects from the aggregate private R&D investment in the same technology field also exist, but to a much lesser extent.     

对外直接投资逆向技术溢出的行业内与行业间路径检验——基于对空间计量方法的嫁接

创造性地对空间计量经济学中的空间相关性思想进行嫁接利用,在思路方法上进行开拓,构建反映同行业内企业间相互联系与各行业间相互关联的空间权重矩阵,建立空间杜宾模型,并以制造业为例,对ODI逆向技术溢出效应的行业内和行业间路径进行实证检验。对行业内路径的检验表明,企业全要素生产率受到同行业内其它企业ODI活动的影响,行业内企业通过ODI促进自身技术进步之后,又通过企业间各种竞争合作关系促进同行业其它企业生产率提高,行业内路径由此得以验证。对行业间路径的检验表明,各行业通过ODI促进本行业技术进步之后,又通过行业间前向与后向产业关联,对其它关联行业的技术进步和生产率提高起到促进作用,且产业完全关联下的促进作用大于直接关联,由此行业间路径得以验证。     

我国吸引外国直接投资对技术创新的影响

引进技术不等于引进技术创新能力,技术和技术能力是两个有本质区别的概念。在一定条件下,技术可以引进,但技术创新能力不可能引进。我国的产业体系要消化吸收国外先进技术并使之转化为自主的知识资产,就必须建立以企业为主的自主开发平台,培养锻炼自己的技术开发队伍,进行技术创新的实践。     

技术溢出、利益分配不均和双方决策——综述与评论

在梳理现有国际技术溢出研究文献的基础上,分析了技术溢出对溢出方和接收方之间关系的影响以及双方可能采取的策略。研究发现:技术溢出通常会影响溢出方和接收方的利益分配;国外市场采取技术联盟政策分享技术溢出,而非采取保护政策阻碍技术溢出;我国政府会通过采取知识产权保护、补贴等政策获得技术溢出,我国企业也会主动"走出去"来获得技术溢出等。