Testing for PPP: Should we use panel methods?

A common finding in the empirical literature on the validity of purchasing power parity (PPP) is that it holds when tested for in panel data, but not in univariate (i.e. country-specific) analysis. The usual explanation for this mismatch is that panel tests for unit roots are more powerful than their univariate counterparts. In this paper we suggest an alternative explanation. Existing panel methods assume that cross-unit cointegrating relationships, that would tie the units of the panel together, are not present. Using simulations, we show that if this important underlying assumption of panel unit root tests is violated, the empirical size of the tests is substantially higher than the nominal level, and the null hypothesis of a unit root is rejected too often even when it is true. More generally, this finding warns against the automatic use of panel methods for testing for unit roots in macroeconomic time series.First version received: November 2001/Final version received : October 2003     

Do jobs follow people or people follow jobs? A meta-analysis of Carlino–Mills studies

Do jobs follow people or people follow jobs? A meta-analysis of Carlino–Mills studies. Spatial Economic Analysis. This study examines the classic question as to whether ‘jobs follow people’ or ‘people follow jobs’ by performing a meta-analysis of 321 results from 64 Carlino–Mills studies. It is found that the results are highly divergent, but that more results point towards ‘jobs following people’ than towards ‘people following jobs’. When it comes to the reasons for the variation in results, we find that the results are mostly shaped by the geographical location, spatial resolution, and population and employment characteristics present in the data, as well as by the model’s specification, its functional form and the spatial weight matrix specification.     

Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach

This paper uses a spatial econometrics approach to study the industry risks in China’s stock market. We comprehensively consider the real linkage and information risk transmission channels and analyze the risk spillovers of specific determinants. Our empirical results show the following: 1) The real linkage channel and information channel are both effective transmission channels for driving spillover effects, and the information channel is of the utmost importance. 2) The spillover effects of specific determinants exist and are persistent. The superposition of spillover effects may lead to extreme risk. 3) The transmission channels and spillover effects are asymmetric in different regimes.     

Are imports and remittances cointegrated for the Central and Eastern European countries?

In this article, we investigate the existence of long-run common trends between imports and remittances in 11 Central and Eastern European countries which are part of the European Union. Using the Engle–Granger two-step procedure, we determine that for all countries in our sample there are no long-run common trends (no cointegration) between imports and remittances. However, the results are mixed when running a Granger causality test. For nine countries, we can establish either a bidirectional or unidirectional Granger causality, indicating that past values of one variable have predictive content on the other variable. In two countries, there is no Granger causality between imports and remittances.     

国际油价波动对经济增长的影响——基于中国的实证分析

基于1990年1月至2009年3月的月度数据,本文实证分析了我国经济增长与国际石油价格之间的长期变动关系,其特点在于,采用稳健性较强的T-Y因果检验来分析油价与经济增长的Granger因果关系,同时,运用非对称协整技术以考察油价与经济增长之间的非线性关系。研究发现：①长期中油价是我国经济增长的单向Granger原因;②油价与我国经济增长之间存在非对称协整关系,油价上涨对经济活动的负面影响大于油价下跌的积极影响。基于中国经济运行的实际,本文还分析了实证结果背后的原因,并提出当前国际金融危机背景下,油价呈下跌趋势,需抓住有利时机,动用外汇储备,大力购入石油资源,建立起石油战略储备;在经济复苏、油价上涨时,可以启动石油战略储备来减少石油供应冲击,从而有助于及时保证我国经济平稳快速增长的政策建议。     

Local banking and local economic growth in Italy: some panel evidence

This article provides new evidence on the contribution of local banking to local economic growth (i.e. at county level – the Italian ‘province’) in Italy. A comprehensive data set is used, which includes control variables for social capital and human capital as well as indicators of the quality of local infrastructures and the production structure of the local economy. A linear within-estimator technique with fixed effects is applied to a modified version of the so-called Barro regression in order to address the well-known econometric issues of reverse causality and estimation bias resulting from unobserved district-specific influences.     

经济新常态下金融包容与产业结构转型——基于中国省级面板数据的分析

在经济新常态背景下,产业结构面临重大调整,金融包容的融入,使中小企业或个人能够获得价格合理、方便快捷的金融资源,扶持创业创新发展,形成新的增长动力。本文基于1995～2012年中国31个省市的相关数据,运用面板数据模型和分位数回归方法,深入探讨金融包容对产业结构转型的影响。结果表明,金融包容与产业结构转型具有显著的正向关系,并且在不同分位点上金融包容水平对产业结构转型表现出较强的解释力,随着产业结构向高级化发展,金融包容在产业结构转型升级中的作用逐步凸显。经济增长、教育发展、财政支出规模和城市化水平均对产业结构转型具有促进作用,而过多的物质资本投入不利于产业结构转型。     

我国加工贸易的经济效应分析：基于外贸发展方式转变的视角

本文从外贸发展方式转变的视角出发,结合我国加工贸易从积极探索与鼓励发展阶段、逐步规范与快速发展阶段、加强管理与促进发展并重阶段、结构调整与转型升级阶段以及危机后加速转型阶段等阶段性特征,测算加工贸易对我国贸易增长的贡献率、加工贸易与ＧＤＰ增长的关系以及对就业的贡献。研究表明,加工贸易对我国贸易增长具有重要贡献,但贡献率从１９９９年开始出现逐步下降的趋势;加工贸易与ＧＤＰ增长呈弱相关关系,对ＧＤＰ增长的直接贡献不大,加工贸易对我国经济增长的贡献更多是长期和间接的。     

要素价格扭曲与异质性企业区位选择——基于泊松面板回归的实证研究

采用生产函数法,论文详细测算了1998-2007年中国大陆除西藏以外267个城市的要素价格扭曲。接下来,运用中国工业企业数据库中的数据,构建泊松面板回归模型考察了要素价格扭曲对于不同生产效率企业选址产生的影响。按行业、区域分别划分样本以及稳健性检验均表明:(1)较高的要素价格扭曲水平对于该地区新进入的低效率企业的期望值具有显著为正的影响,而对于该地区新进入的高效率企业的期望值则具有显著为负的影响;(2)地区运输成本和环境管制强度对于不同效率企业选址的影响存在异质性,而其他区域特征解释变量对于选址企业数量的影响均显著,且方向与理论预期一致。     

气候变化下湖北省稻谷生长期降雨量指数保险设计

[目的]气候变化对我国粮食生产造成巨大损失,传统农业保险存在较多问题,天气指数农业保险作为金融创新工具,成为转移农业天气风险的有力路径。[方法]文章在分析降雨量指数保险合约设计思路的基础上,依照天气指数保险合约定义,选取稻谷生长期每日降水的累积降雨量作为天气指标,采用经济—气候模型和湖北省78个县市的面板数据,按风险区域分别设计了干旱指数保险合约和暴雨灾害指数保险合约。[结果]虽然湖北省全省累积降水的影响总体是负向的,但累积降水量对稻谷单产在十堰、襄阳等干旱区域的边际影响是正向的、显著的,累积降水量在暴雨集中区域江汉平原地区、咸宁市及辖内县市,有着显著的负向影响。[结论]气候变化对粮食生产的影响显著,根据面板数据的估计结果,有必要按不同的风险区域分别设计天气指数保险合约。该文的研究在天气指数保险设计方面做出了一定的探索,进一步使天气指数保险合约成为转移农业天气风险的有力创新工具。