Monetary policy shocks and productivity measures in the G-7 countries

An implication of two-country international real business cycle models is that total factor productivity should be an exogenous stochastic process. Economic theories which feature labor hoarding, variable capacity utilization, and increasing returns predict that measured productivity shifts are not exogenous; instead, expansionary aggregate demand shocks should lead to an increase in measured productivity. For each of the G-7 countries, this paper measures quarterly aggregate total factor productivity for the domestic country and its rest-of-world (G-6) counterpart. In each case the domestic productivity measures are not strictly exogenous: expansionary U.S. monetary policy shocks, as well as other G-6 monetary policy shocks, lead to productivity expansions. The evidence indicates that international business cycle models are misspecified unless they feature endogenous productivity mechanisms.Received: June 2001, Accepted: December 2001, JEL Classification: E5, F4Correspondence to: Charles L. EvansFor their helpful comments, we thank Mario Crucini, Patricia Reynolds, and Steve Strongin. The views expressed in this paper do not necessarily reflect the views of the Federal Reserve Bank of Chicago or the Federal Reserve System.     

Regional income convergence in Indochina 1970–2015?

Real incomes have been increasing relatively fast in the Indochina region but there are still large differences in income levels between the six member countries. Based on the various sources of national accounts data, it seems that the low-income countries have experienced the highest growth rates. Time series tests of convergence, in this case catching-up to the relatively high-income level in Malaysia, confirm that Cambodia, Myanmar, Thailand and Vietnam have narrowed the income gap during the last two decades.     

Do stress tests matter? A study on the impact of the disclosure of stress test results on European financial stocks and CDS markets

During the recent sovereign debt crisis, the European Banking Authority conducted two stress tests on European banks in order to gauge their capital needs, core Tier-1 ratios and ratios of resilience to adverse shocks. We assess the informational content of the disclosure of the stress test outcomes. We conclude that the stress tests conveyed new information and that the outcomes were not anticipated by the stock market but were partially anticipated by the credit default swap (CDS) market. However, while the stock market reacted to the disclosure of the stress test outcomes, in the CDS market there is some evidence of a ‘reverse’ reaction. Moreover, the publication of the outcomes of the stress tests had a stronger impact on the stock prices of riskier financial institutions. A similar pattern is evident in the CDS market, albeit narrowed to one of the stress tests and amid the financial institutions with higher perceived credit risk.     

农村金融和农民收入、农村经济增长关系研究

本文考察了我国过去三十年农村金融发展、农村经济增长和农民收入提高之间的关系,发现我国的农村金融规模扩张与农村经济产值和农民收入水平之间呈负相关,农村金融效率和稳定性与农村经济产值和农民收入水平之间呈正相关,且我国的农村劳动力的投入产出处于规模递减区间。     

高职院校图书馆考证考级文献资源库建设刍议

针对哈尔滨职业技术学院图书馆考证考级文献资源库的建设,分析图书馆考证考级特色资源库建设的重要性,探讨图书馆在创新服务上如何满足学院师生们的需求,总结建立考证考级资源库的实践经验,以满足当前我院图书馆读者对文献的需求。     

GLS detrending-based unit root tests in nonlinear STAR and SETAR models

We extend GLS detrending procedure to testing for unit roots against STAR and SETAR alternatives. Monte Carlo simulations and applications to DM/Yen real exchange rates demonstrate that GLS detrending-based nonlinear unit root tests are more powerful than OLS detrending-based counterparts.     

中国城镇居民消费与第三产业发展互动关系的实证分析

采用协整分析、误差修正模型、格兰杰因果关系检验和向量自回归模型研究了我国城镇居民消费水平与第三产业发展的动态关系。研究结果表明,城镇居民消费水平与第三产业发展之间存在长期的相互作用关系,但现阶段两者发展还不协调。因此,应以城镇居民消费需求为导向,通过加快第三产业内部结构的升级和优化,实现产业结构的高度化,并最终实现居民消费需求与第三产业发展的良性互动。     

Neglected heterogeneity in moment condition models

The central concern of this paper is parameter heterogeneity in models specified by a number of unconditional or conditional moment conditions and thereby the provision of a framework for the development of apposite optimal $m$-tests against its potential presence. We initially consider the unconditional moment restrictions framework. Optimal $m$-tests against moment condition parameter heterogeneity are derived with the relevant Jacobian matrix obtained in terms of the second order own derivatives of the moment indicator in a leading case. GMM and GEL tests of specification based on generalized information matrix equalities appropriate for moment-based models are described and their relation to optimal $m$-tests against moment condition parameter heterogeneity examined. A fundamental and important difference is noted between GMM and GEL constructions. The paper is concluded by a generalization of these tests to the conditional moment context and the provision of a limited set of simulation experiments to illustrate the efficacy of the proposed tests.     

A psychological typology and its relationship to entrepreneurial success

This research indicates that typologies covering multiple types of entrepreneurs are applicable within the realm of entrepreneurial personality. Four such personality types - personal achievers, real managers, expert idea generators, and empathic supersalespeople - are identified, and shown to be related to subsequent entrepreneurial success. The evidence indicates that entrepreneurial talent may be gauged in terms of the number of these patterns present in a given individual. Those with more patterns are more likely to achieve a substantial level of success. These results have implications for anyone whose work touches upon the field of entrepreneurship. This paper is concerned primarily with how the typology was developed and how the relationship of each type to entrepreneurial success was established. The career routes that fit each type (and which must be followed to obtain success) are considered.     

Quality control for structural credit risk models

Over the last four decades, a large number of structural models have been developed to estimate and price credit risk. The focus of the paper is on a neglected issue pertaining to fundamental shifts in the structural parameters governing default. We propose formal quality control procedures that allow risk managers to monitor fundamental shifts in the structural parameters of credit risk models. The procedures are sequential — hence apply in real time. The basic ingredients are the key processes used in credit risk analysis, such as most prominently the Merton distance to default process as well as financial returns. Moreover, while we propose different monitoring processes, we also show that one particular process is optimal in terms of minimal detection time of a break in the drift process and relates to the Radon–Nikodym derivative for a change of measure.