Pre-crisis reforms,austerity measures and the public-private wage gap in two emerging economies

This paper analyzes crisis adjustments of the public and private sectors in two emerging market economies, Croatia and Serbia, during the 2008–2011 period. It focuses on public-private wage gaps at the onset of and during the crisis, decomposed into structural and composition effects using an extension to the Oaxaca-Blinder method based on Recentered Influence Function (RIF) regressions and reweighting. The main results indicate that at the beginning of the crisis public sector workers in both countries enjoyed a significant wage premium, with the premium in Serbia being about three times higher than in Croatia. During the crisis, both countries experienced a similar increase of the premium, with Croatia reaching the size of gap usually estimated for EU countries, while Serbia stayed largely ahead. The results also show that the wage distribution in the public sector is more compressed than in the private sector in both countries, which is further exacerbated by the crisis. Despite the introduced austerity measures, public sector workers continue to enjoy well-protected and privileged jobs in terms of wages relative to their private sector counterparts. Structural reforms undertaken prior to the crisis played a decisive role in determining the countries’ responses to the crisis.     

ADMM for Penalized Quantile Regression in Big Data

Traditional linear programming algorithms for quantile regression, for example, the simplex method and the interior point method, work well for data of small to moderate sizes. However, these methods are difficult to generalize to high‐dimensional big data for which penalization is usually necessary. Further, the massive size of contemporary big data calls for the development of large‐scale algorithms on distributed computing platforms. The traditional linear programming algorithms are intrinsically sequential and not suitable for such frameworks. In this paper, we discuss how to use the popular ADMM algorithm to solve large‐scale penalized quantile regression problems. The ADMM algorithm can be easily parallelized and implemented in modern distributed frameworks. Simulation results demonstrate that the ADMM is as accurate as traditional LP algorithms while faster even in the nonparallel case.     

APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS

This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland's algorithm. We prove several limit theorems for the normalized replication error of Leland's strategy, as well as that of the strategy suggested by Lépinette. The asymptotic results obtained not only generalize the existing results, but also enable us to fix the underhedging property pointed out by Kabanov and Safarian. We also discuss possible methods to improve the convergence rate and to reduce the option price inclusive of transaction costs.     

正规金融发展、非正规金融发展对城乡收入差距的影响——基于地级市层面数据的分位数回归分析

在理论剖析正规金融发展、非正规金融发展对城乡收入差距影响的基础上,基于2000—2013年中国225个地级市的面板数据,分别利用分位数回归方法和OLS回归方法对之进行了实证分析。结果显示:正规金融发展和非正规金融发展会影响城乡收入差距,就业结构、固定资产投资、城镇化水平和教育发展水平等也对城乡收入差距产生影响;在不同的分位点,正规金融发展、非正规金融发展对城乡收入差距的影响不同,而就业结构、固定资产投资、城镇化水平和教育发展水平等的影响未发生变化。     

The effect of large‐scale privatization on public sector pay gap in a transition economy

Estimating the public–private sector earnings differentials in Serbia from 1995 until 2008 this paper finds significant changes at the mean and across the earnings distribution. The results show that the average public sector pay gap was negative at early stages of economic transition but grew to be positive during large‐scale privatizations. The paper uses different sources of data and adopts a number of statistical procedures, including a novel instrument to infer the likelihood of changes in the individual public sector status due to privatization.     

Stock Returns and Exchange Rate Nexus in Ghana: A Bayesian Quantile Regression Approach

This paper presents analysis of the relationship and dependence structure between stock returns and exchange rates in Ghana using data of daily periodicity from January 4, 2011 to July 31, 2014. Analyses are conducted by means of Bayesian quantile regression (QR) technique and multiple causality tests. Our findings suggest high dependence of the equity market on the foreign exchange market in Ghana, and that the link between the two markets follows the international trade‐oriented model more than the portfolio balance theory. We report that among the six exchange rates used, only the cedi–dollar registers instantaneous effect on the equity market.     

OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY

We consider an optimal insurance design problem for an individual whose preferences are dictated by the rank‐dependent expected utility (RDEU) theory with a concave utility function and an inverse‐S shaped probability distortion function. This type of RDEU is known to describe human behavior better than the classical expected utility. By applying the technique of quantile formulation, we solve the problem explicitly. We show that the optimal contract not only insures large losses above a deductible but also insures small losses fully. This is consistent, for instance, with the demand for warranties. Finally, we compare our results, analytically and numerically, both to those in the expected utility framework and to cases in which the distortion function is convex or concave.     

基于分位数回归的股票市场规模效应分析

本文运用2009年7月至2012年6月的数据对我国上证A股市场的规模效应进行分析。选择在次贷危机冲击过程中我国企业面临调整与革新的这一特殊阶段,研究规模效应是否存在。通过描述性统计分析和相关分析验证了规模效应的存在性;通过引入分位数回归模型,进一步验证了规模效应的存在性;同时揭示了A股规模边际收益的变化规律,即随着规模的减小,边际收益先变大后变小,且规模边际收益都为负值。     

A new quantile regression forecasting model

Quantile regression is popular because it provides more information as well as comprehensive interpretations. To improve forecasting performance, this study proposes a new quantile information criterion (NQIC), on the basis of the coefficient of variation, and expects the NQIC to reflect whether a variable is predictable. The health care expenditure data determine the thresholds for the NQICs. The thresholds assist in forecasting the development of information and communication technology. From the empirical analyses, the NQICs and thresholds greatly improve the forecasting performance.     

基于高频数据的波动率与成交量动态关系研究

传统的价量分析都是从低频数据来分析股票市场上波动率、收益率与成交量之间的关系。基于高频数据,利用分位数回归并结合高频数据的波动率估计方法对高频数据中所呈现出的价量关系进行研究,并分析了股票价格跳跃过程所带来的跳跃方差与成交量之间的关系。实证分析表明：指数及个股收益率与成交量之间的关系并不显著;波动率、跳跃与成交量之间存在着显著相关的关系,个股的波动率与成交量之间的关系显著并呈现出正向相关关系,而指数的波动率与成交量之间呈现出一种负向关系,并且关系比较微弱;个股的成交量的改变会导致股票价格的跳跃方差的减小,而指数的成交量的改变则使得指数的跳跃方差增大。