Economies of scale in Norwegian electricity distribution: a quantile regression approach

In this article, we investigate scale economies in Norwegian electricity distribution companies using a quantile regression approach. To the best of our knowledge, this is the first attempt to apply this estimation technique when analysing scale economies. We estimate the cost elasticities of the two output components: network length and number of customers, to calculate returns to scale. Our results show large potential of scale economies, particularly for the smallest companies. We also find that returns to scale is increasing over time. These findings have important implications for policymakers when they are deciding the structure of the industry in the future.     

Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states

This paper examines the sensitivity of the Dow Jones Islamic market index and its corresponding industry equity indices to changes in the level, slope and curvature of the U.S. term structure of interest rates over the period 1996–2015 using the quantile regression approach. The empirical results reveal that the Islamic stock market has a considerable negative exposure to interest rate risk, although a declining time pattern of interest rate sensitivity is observed. The unexpected changes in the level factor of the U.S. yield curve, closely linked to long-term interest rates, are identified as the most important interest rate factor in explaining the variability of Islamic equity returns. Furthermore, the interest rate exposure tends to be stronger during extreme bearish conditions in the stock market, possibly due to the greater pessimism and risk aversion under these market circumstances. It is also shown that Islamic equities are not different from their mainstream counterparts in terms of interest rate sensitivity, indicating that the Islamic stock market does not provide a cushion against interest rate risk.     

The impact of income,economic openness and interest rates on housing prices in China: evidence from dynamic panel quantile regression

The rapid growth of housing prices has attracted the attention of the whole of society in China. This article adopts the dynamic panel quantile regression to investigate the impact of income, economic openness and interest rates on housing prices in China, based on the panel data of 35 major cities from 2002 to 2012. Compared with previous studies, we can more precisely and reasonably discuss the impact of these variables on different levels of housing prices. The empirical results indicate that the impact of independent variables on housing prices is heterogeneous across quantiles. Specifically, the impact of income is positive and significant across quantiles, and the impact becomes greater at the 90th and 95th quantiles. Economic openness has a positive and significant effect at the 5th–80th quantiles, which support the Balassa–Samuelson effect, but it is insignificant at the 90th and 95th quantiles. The impact of interest rates is positive and significant at low quantiles, but the impact is negative and insignificant at high quantiles. Furthermore, we also find that the coefficients of interest rates at various quantiles are smaller. In addition, the population has a significant positive effect across quantiles. Finally, we provide important policy implications.     

我国沪深股市量价关系实证分析——基于分位数回归估计

文章应用分位数回归考察我国沪深股市成交量和收益率之间的关系。实证分析的结果表明：沪深两市的成交量与收益率呈正相关关系,成交量的增加往往伴随着股票价格上涨,而成交量的萎缩则伴随着股票价格下跌;然而在左尾处这种关系受到了扭曲,此时成交量与收益率呈负相关,成交量的增加反而引起股票价格下降。进一步的分析发现,我国股市的涨跌停板制度是引起这种现象的主要原因。     

Corporate Performance: Does Ownership Matter? A Comparison of Foreign- and Domestic-Owned Firms in Greece and Portugal

The paper investigates whether multinational corporations (MNCs) operating in Portugal and Greece perform differently than domestic firms. Departures from normality of firms’ profitability motivated the use of quantile regression. The results suggest that ownership ties do not make a significant difference with respect to performance of firms in Portugal. Results are similar for firms in Greece. Only when firms in the upper quantiles of gross profits are compared, MNCs are found to significantly perform better than domestic firms. MNCs have to compensate for their liability of foreigness that in spite of their technological advantages they cannot persistently outperform domestic rivals.JEL Classifications: F23, L10, L60, C21     

Testing the theory of PPP for emerging market economies that practice flexible exchange rate regimes

This study aims to test the long-run validity of purchasing power parity by using Fourier quantile unit root and Fourier cointegration analyses for 12 emerging market economies that practice a flexible exchange rate regime. With the Fourier approach, structural breaks are modelled as a gradual and smooth process. Fourier quantile unit root test results show that real exchange rate series are stationary for Colombia, India, Philippines, Poland, South Africa, and Turkey. On the other hand, Fourier cointegration test results reveal that purchasing power parity is valid for Brazil, Colombia, India, Mexico, South Africa, Thailand, and Turkey.     

A Quantile Regression Analysis of the Effect of Farmers’ Attitudes and Perceptions on Market Participation

The objective of this study is to investigate the subjective determinants of farmers’ participation in output markets in five EU New Member States (NMS) characterised by large semi‐subsistence sectors. It employs quantile regression to model market participation reflecting the heterogeneity amongst farmers. The study also uses the Bayesian adaptive lasso to simultaneously select important covariates and estimate the corresponding quantile regression models. The empirical results show that only two variables affect all quantiles, while their effect varies across quantiles. Some of the remaining variables affect the share of output sold at the lower quantiles (i.e. for subsistence‐ and semi‐subsistence‐oriented farmers) only, whereas other variables are only significant at the upper quantiles (i.e. for more commercially oriented farms). Advisory services, and particularly agricultural business advice, and information and advice on markets and prices can facilitate the market participation of subsistence‐oriented farms.     

GENDER DIFFERENCES IN VOCATIONAL SCHOOL TRAINING AND EARNINGS PREMIUMS IN TAIWAN

Abstract

International capital mobility and economic restructuring have brought training and skills acquisition to the forefront of policy dialogues. Taiwan has gone beyond most countries in promoting vocational education and setting strict quotas for schooling. Although the education plans do not have separate targets for men and women, they have gendered outcomes. Estimates of earnings premiums using ordinary least squares and quantile regression techniques indicate that only men have gained consistently higher premiums from vocational school compared to general schooling. Women who were denied access to the university system have forgone college premiums that exceed those of men. Also, the commerce track, in which women cluster, yields an earnings penalty compared to general schooling, while the technical track, in which men predominate, yields an earnings premium. Policy reforms based on relaxing education quotas and enforcing equal opportunity legislation would provide women with more rewarding education and career options.     

The impact of foreign direct investment on horizontal export diversification: empirical evidence

Using data on stocks of Foreign Direct Investment (FDI) from 131 countries spanning the years 1984 to 2004 and the number of products exported by each country, we examine the effect of FDI on horizontal export diversification. To quantify the effects, we utilize parametric (quantile) and semi-parametric econometric methods. Results from both approaches indicate that, in general, an increase in the stock of FDI enhances the horizontal diversification of exports. The actual magnitude of the effect however, varies greatly across countries depending on the existing stock of FDI and stage of diversification, giving rise to an almost inverted U-shaped relationship. A further look at our results provides useful insights on the circumstances under which FDI may aid or inhibit the horizontal expansion of exports.     

管理层激励、资本结构与上市公司价值创造

本文基于带有交叉乘积项的线性分位数回归模型,一方面,通过回归系数显著性检验、同质性检验与对称性检验,揭示各因素对公司价值创造影响方式的异质性;另一方面,通过条件密度预测方法,细致地刻画各因素的变动对价值创造整个条件密度的影响。实证结果表明：实施激励措施可以显著提高上市公司价值创造,但不同的激励方式对公司价值创造能力的影响并无显著差异;无论是薪酬激励还是股权激励,都会导致公司价值创造出现两极分化的现象,这为制订合理的政策措施来提升公司价值创造提供了决策依据。