Impact of Internet use on economic well‐being of rural households: Evidence from China

The expansion of the Internet in developing countries has important implications for the economic development of rural areas. Although many studies have investigated various benefits of Internet use, little attention has been paid to find the relationship between Internet use and the economic well‐being of rural households. This paper, therefore, investigates the effects of Internet use on household income and expenditure, using a sample of rural households from China. Both endogenous treatment regression (ETR) and unconditional quantile regression (UQR) techniques are used to identify the homogenous and heterogeneous effects of Internet use, respectively. The ETR results show that Internet use increases household income and expenditure significantly. However, the UQR results reveal that Internet use has a larger impact at the upper distributions of household income and expenditure.     

Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models

This paper applies the threshold quantile autoregressive model to study stock return autocorrelations and predictability in the Chinese stock market from 2005 to 2014. The results show that the Shanghai A-share stock index has significant negative autocorrelations in the lower regime and has significant positive autocorrelations in the higher regime. It attributes that Chinese investors overreact and underreact in two different states. These results are similar when we employ individual stocks. Besides, we investigate stock return autocorrelations by different stock characteristics, including liquidity, volatility, market to book ratio and investor sentiment. The results show autocorrelations are significantly large in the middle and higher regimes of market to book ratio and volatility. Psychological biases can result into return autocorrelations by using investor sentiment proxy since autocorrelations are significantly larger in the middle and higher regime of investor sentiment. The empirical results show that predictability exists in the Chinese stock market.     

How wide is the gap? An investigation of gender wage differences using quantile regression

In this paper we re-examine the link between subjective perceptions and objective measures of wage discrimination by estimating the mean and several quantiles in the conditional wage distribution of men and women in order to decompose the gender wage gap into the part attributed to different characteristics and the part attributable to differential returns to these characteristics at points other than the conditional expectation. In the process we take into account the endogeneity of educational choice and the participation decision of women. The results suggest that the absolute wage gap and the component of the latter that can be attributed to different returns to characteristics increase over the wage scale.     

Quantile estimation of frontier production function

The purpose of the paper is to provide new information on the performance of frontier estimation methods, using data from Italian hotel industry. Quantile regression is also suggested as solution to frontier production function estimation. It is shown that, while the choice of estimation methods among conventional techniques significantly affects the economic analysis, quantile regression provides valuable new information by estimating the whole spectrum of production functions corresponding to different efficiency levels. In addition, the method makes available a coherent framework to analyze the performance of the conventional techiniques. Jel classification: C14, C16, D24We would like to thank the Co-Editor, the Associate Editor and an anonymous referee for comments and suggestions. The research was supported by the University Research Council and the National Research Council. The usual disclaimer applies.The estimates were computed using the Roger Koenker and StatLibS-Plus routine of quantile regression and the Tim Coelli and CEPA Web site FRONTIER 4.1 Program. The data set is provided by the Ho.Re.Ca. survey conducted by ISTAT in 1992.First version received: June 2001/Final version received: December 2002     

High-frequency monitoring of growth at risk

Monitoring changes in financial conditions provides valuable information on the contribution of financial risks to future economic growth. For that purpose, central banks need real-time indicators to promptly adjust their policy stance. In this paper, we extend the quarterly growth-at-risk (GaR) approach of Adrian et al. (2019) by accounting for the high-frequency nature of financial conditions indicators. Specifically, we use Bayesian mixed-data sampling (MIDAS) quantile regressions to exploit the information content of both a financial stress index and a financial conditions index, leading to real-time high-frequency GaR measures for the euro area. We show that our daily GaR indicator (i) displays good GDP nowcasting properties, (ii) can provide an early signal of GDP downturns, and (iii) allows day-to-day assessment of the effects of monetary policies. During the first six months of the Covid-19 pandemic period, it has provided a timely measure of the tail risks to euro-area GDP.     

Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis

This study examines the effects of oil prices and exchange rates on stock market returns in BRICS countries (Brazil, Russia, China, India and South Africa) from a time–frequency perspective over the period 2009–2020. We use wavelet decomposition series to develop a threshold rolling window quantile regression to detect time–frequency effects at various scales. The empirical results are as follows. First, our findings confirm that the effects of both crude oil prices and exchange rates on BRICS stock returns are asymmetric. Positive shocks of crude oil have a greater impact on a bull market, whereas negative shocks have a greater impact on a bear market. Second, there is a short-term enhancement effect of crude oil and exchange rate on BRICS stock markets. In addition, volatility in the macro financial environment also exacerbates the impacts of oil prices and exchange rates on the stock market, and these fluctuations are heterogeneous. Overall, these findings provide useful insights for international investors and policy makers.     

Public Knowledge,Private Property and the Economics of High-tech Consortia

The management of knowledge in research consortia raises new appropriability issues, such as copying with the tension between individual protection and data sharing which is required in any process of collective invention. Based on case studies carried out in the field of biotechnology, the paper discusses these issues and develop some policy implications.     

Unconditional quantile regressions,wage growth and inequality in the Philippines, 2001–2006: the contribution of covariates

I implement a two-stage procedure to estimate the components of real wage change in the Philippines along the wage distribution from 2001 to 2006, as well as the contribution of individual covariates to each component. The methodology is based on Re-centred Influence Functions (RIF), as suggested by Firpo et al. (2009). The advantage of this methodology is that it not only decomposes the unconditional wage change at any quantile of the wage distribution, but also allows the characterization of the contribution of any single covariate on each component. I find that real earnings of males in the Philippines declined and the decline along the earnings distribution is generally higher at higher deciles for all males and higher at lower deciles in Manila. Decomposition results are driven by the wage structure component, while the composition effect is small and generally positive with education as the main contributor. Within the wage structure effect, the main determinants are associated with changes in the rewards of experience and occupation, along with residual change (change in intercepts).     

Spillovers from the USA to stock markets in Asia: a quantile regression approach

This article analyses return spillovers from the USA to stock markets in Asia by means of quantile regressions. Traditional studies consider spillovers as effects of the conditional means of foreign returns onto the conditional means of chronologically succeeding domestic markets’ returns. We, by contrast, study the full range of quantiles of the conditional distribution of the domestic markets’ returns. This enables us to document the detailed structure of spillovers across return quantiles. Generally, we find spillovers from the USA to Asia to be negative. Specifically, however, we reveal an asymmetric structure of spillovers with an increasing negative magnitude from lower to upper return quantiles. Theoretically, this pattern is consistent with an asymmetric overreaction of traders in Asia to news from the US market. Extensions from the baseline model further suggest the presence of contagion throughout the financial crisis of 2007–2008 as well as of calm-down effects over weekends.     

An empirical research of crude oil price changes and stock market in China: evidence from the structural breaks and quantile regression

This article investigates the relationship between real crude oil price changes and the Chinese real stock market at the industry level. Our study uses monthly data over the period 1994:03 to 2013:12. Based on input–output (IO) tables, this article will explore more details for the driving factors of sensitivity to oil price changes. We divide these driving factors into cost- and demand-side dependence. Empirical results reveal that sensitivity varies across different industries and periods based on structural breaks and asymmetric effects of oil price changes. Furthermore, some industries seemingly not directly affected by oil are sensitive to the real oil price changes. Finally, using a penalized quantile regression for panel data, we find that these two factors significantly affect lower, but not upper, quantile of sensitivity.