Quantile serial dependence in crude oil markets: evidence from improved quantilogram analysis with quantile wild bootstrapping

We examine the quantile serial dependence in crude oil prices based on the Linton and Whang’s quantile-based portmanteau test which we improved by means of quantile wild bootstrapping (QWB). Through Monte Carlo simulation, we find that the quantile wild bootstrap-based portmanteau test performs better than the bound testing procedure suggested by Linton and Whang. We apply the improved test to examine the efficiency of two crude oil markets – WTI and Brent. We also examine if the dependence is stable via rolling sample tests. Our results show that both WTI and Brent are serially dependent in all, except the median quantiles. These findings suggest that it may be misleading to examine the efficiency of crude oil markets in terms of mean (or median) returns only. These crude oil markets are relatively more serially dependent in non-median ranges.     

PORTFOLIO CHOICE VIA QUANTILES

A portfolio choice model in continuous time is formulated for both complete and incomplete markets, where the quantile function of the terminal cash flow, instead of the cash flow itself, is taken as the decision variable. This formulation covers a wide body of existing and new models with law‐invariant preference measures, including expected utility maximization, mean–variance, goal reaching, Yaari's dual model, Lopes' SP/A model, behavioral model under prospect theory, as well as those explicitly involving VaR and CVaR in objectives and/or constraints. A solution scheme to this quantile model is proposed, and then demonstrated by solving analytically the goal‐reaching model and Yaari's dual model. A general property derived for the quantile model is that the optimal terminal payment is anticomonotonic with the pricing kernel (or with the minimal pricing kernel in the case of an incomplete market if the investment opportunity set is deterministic). As a consequence, the mutual fund theorem still holds in a market where rational and irrational agents co‐exist.     

AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS

In an environment in which the primitive is the space of distribution functions, we characterize the quantile functions by the axioms ordinal covariance, monotonicity with respect to first-order stochastic dominance, and upper semicontinuity. We show how to characterize the VaR in a similar manner.     

The return to education and its distribution in urban China: evidence from quantile regression analysis

Based on Chinese Households Income Projects in 2002, this paper discusses the relationship between the return to education and the quantiles of income distribution. The findings in this paper show that the return to education is lower for the higher quantiles, while the estimators also depend on the choice of control variables. The methodology of the quantile regression might be helpful in adjusting the ability bias in the estimation on return to education. The policy implications of the paper highlight the impact of the education expansion in boosting the income growth for those in lower quantiles.     

网上商品热销的影响因素探析——基于分位数回归的实证研究

本研究从网上销售的影响因素出发,采用搜索程序获取了淘宝网的4059个货架1周的销售数据,通过分位数回归方法对不同热门程度产品的价格、信誉、保障标记以及口碑的需求弹性进行了实证分析。研究结果表明,随着产品热门程度的提高,信誉的需求弹性不断增强,而价格、保障标记以及口碑的需求弹性却不断减弱。由此表明,产品的价格降低,保障标记级别和口碑的提升都能使销售趋于分散,而提高商家的信誉却能加速销售向热门产品集中,使得"热门更热"。     

Editorial Note

This study empirically explores the relationship between firm characteristics and capital structure in Sri Lankan companies. Six years of data for 158 firms listed on the Colombo Stock Exchange are analyzed using a conditional quantile regression. The findings indicate that the capital structure of Sri Lankan firms differ between firms in different quantiles of leverage. These differences are significant with the sign of explanatory variables change with the level of leverage. The results indicate that individual firm’s finance policy needs to be responsive to the firm characteristics and should match with the different borrowing requirements of listed firms.     

Estimating differences in gasoline consumption among socio‐economic groups in Greece

This study presents insights into the determinants of gasoline consumption for transportation based on cross section data for Greece. Given that car ownership decisions and gasoline demand decisions are taken jointly, in the empirical analysis, we employ the two‐step Heckman approach. Quantile regression analysis is used to investigate disparities in behaviour among different levels of gasoline consumption. The empirical results report that demographic and economic characteristics specify the consumer's choices with respect to gasoline consumption. An energy conservation framework can improve upon the situation by facing consumers as socio‐economic subgroups with different transportation needs and different lifestyle aspects.     

长三角地区经济增长与环境污染再研究——基于分位数回归方法

运用刻画不同区段边际变化影响的分位数回归方法,对长三角地区经济增长与废水排放关系进行实证检验,得出以下结论:1)长三角地区废水染排放与经济发展呈现同步递增关系,环境库兹涅茨倒U关系在长三角地区并不成立;2)分位数回归分析表明,高收入水平对应相对低的边际排放,随着收入增加长三角地区废水排放增速放缓;3)产业结构、城市化、技术水平等对废水排放的影响随分位点增加呈现递减趋向。     

新型城镇化加剧了地方政府的土地依赖吗?——来自中国省际面板分位数估计的经验证据

借助2002年到2011年全国省际面板分位数估计方法实证研究了地方政府土地财政扩张的新型城镇化诱因。结果表明：(1)新型城镇化过程具备市场化内生的自我生财机制;当前导致地方土地财政高企的主要原因在于地方政府追求就业拉动而采取的税收竞争行为。(2)公共服务与社会保障城乡一体化进程在短期内具有增加地方政府财政支出压力性质,但中长期具备快速提振城镇化质量的“回流效应”。(3)东部地区土地依赖程度较高急需建立适应城镇化发展的土地财政代偿机制,而中西部地区土地财政风险可控可继续实施土地出让金提取反哺城镇化发展的战略思路。     

行业进入壁垒与中国文化产业高质量发展:保护还是抑制?

基于2000—2012年中国文化产业相关上市公司的微观数据,利用分位数回归模型研究了行业进入壁垒对文化产业全要素生产率的影响。结果表明:行业进入壁垒对文化产业全要素生产率具有较强的抑制效应,并对生产率分布两端行业的负面影响较大,呈"U"型结构;行业进入壁垒存在国有文化企业保护倾向,其对国有文化企业生产率具有不显著的负面影响,而对非国有文化企业具有显著的负面效应;以文化企业补贴渠道存在的行业进入壁垒,不利于文化产业全要素生产率的提升,而由市场自发形成的市场壁垒能够提升文化产业的全要素生产率。这些研究成果为文化体制改革在全国范围内的进一步实施推广提供了依据,同时也为地区文化产业的转型升级和区域经济平衡提供了政策启示。