Threshold models for trended time series

This paper presents the theoretical development of a new threshold autoregressive model based on trended time series. The theoretical arguments underlying the model are outlined and a nonlinear economic model is used to derive the specification of the empirical econometric model. Estimation and testing issues are considered and analysed. Additionally we apply the model to the empirical investigation of U.S. GDP.This paper is the result of work carried out for the author's Ph.D. thesis. I would like to thank Hashem Pesaran for his help, encouragement and insights during the preparation of this paper. I also thank Gary Koop and Sean Holly for helpful comments. Financial assistance from the Economic and Social Research Council is gratefully acknowledged.     

Does too much government spending depress the economic development of transition economies? Evidences from dynamic panel threshold analysis

This paper investigates the relationship between government size and economic growth and determines the optimal level of government spending to maximize economic growth. The paper applies a dynamic panel data analysis based upon a threshold model to test the threshold effect of government spending in 26 transition economies over the period spanning 1993–2016. According to the analysis results, government expenditures have a threshold effect on economic growth, and there is a non-linear relationship depicted as an Armey curve in these transition economies. The findings indicate that a government size above the threshold government spending level adversely affects economic growth, while a government size below the threshold level has a positive effect. Furthermore, there is a statistically significant relationship between the two variables above and below that optimal level, even if we divide the sample into developed and developing countries. Our findings suggest that governments in transition economies should consider optimal government size at around the estimated threshold level to support sustainable economic growth.     

金融发展影响城乡收入差距的三大效应及检验

金融发展影响城乡收入差距主要通过三条途径,即金融发展的门槛效应、金融发展的降低贫困效应、金融发展的非均衡效应。本文利用中国和省级1978~2004年的相关数据进行实证检验,结果显示实证与理论假说相符。最后,提出了相关政策建议。     

The price relationship between organic and non-organic vegetables in the U.S.: evidence from Nielsen scanner data

This study investigates price relationships between organic and conventional carrots, tomatoes, and lettuce in the U.S. utilizing Nielsen scanner data from 2006–2015. We employ a threshold vector error correction model (TVECM), threshold vector autoregressive model (TVAR), and threshold cointegration test to test whether market integration exists between organic and conventional vegetables as well as the existence of asymmetric price transmission. The results find positive long-run relationships between organic and conventional prices of carrots and tomatoes and show the existence of asymmetric price transmission in price pairs of lettuce and tomatoes. Our findings suggest that the price relationship between organic and conventional vegetables varies by characteristics, such as shelf life, volatility in the price premium, and substitutability.     

货币政策效果非对称性及"阀值效应"分析

本文基于1992年1季度至2005年2季度数据，运用LM检验和t检验，研究我国货币政策的非对称性以及“阀值效应”，得出我国货币政策的“阀值”在-0．08-0．05之间。货币政策的非对称性和“阀值”的存在是由于微观信贷市场上的信贷配给导致的。“阀值”和“阀值效应”的存在反映了信贷配给的强弱程度，“阀值”可以用作度量信贷配给程度的指标，它间接地反映了信贷市场的完善程度。     

由我国个人所得税免征额调整引发的思考

<个人所得税法>从实施以来,我国已经对免征额进行了三次调整,最近两次调整的时间间隔很近,似乎个人所得税的问题只是一个免征额的变动问题.对居民来说,个人所得税问题的实质是税负的轻重和公平问题.免征额是对个人工作和生活费用的扣除,是一个动态的概念.历次免征额的调整,只是解决个人所得税问题的权宜之计,而要真正实现个人所得税调节个人收入、实现量能负担的税收公平原则,就必须对个人所得税进行全面改革.     

Financial stress,sovereign debt and economic activity in industrialized countries: Evidence from dynamic threshold regressions

We analyze how the impact of a change in the sovereign debt-to-GDP ratio on economic growth depends on the level of debt, the stress level on the financial market and the membership in a monetary union. A dynamic growth model is put forward demonstrating that debt affects macroeconomic activity in a non-linear manner due to amplifications from the financial sector. Employing dynamic country-specific and dynamic panel threshold regression methods, we study the non-linear relation between the growth rate and the debt-to-GDP ratio using quarterly data for sixteen industrialized countries for the period 1981Q1-2013Q2. We find that the debt-to-GDP ratio has impaired economic growth primarily during times of high financial stress and only for countries of the European Monetary Union and not for the stand-alone countries in our sample. A high debt-to-GDP ratio by itself does not seem to necessarily negatively affect growth if financial markets are calm.     

数字金融会带来更高的零工工资吗?来自网络兼职招聘大数据的证据

畅通国内国际双循环是推进中国式现代化的实践创新,数字普惠金融作为推动中国经济增长的新动能,探究其对畅通双循环发展的相关机理和效应具有重要意义。利用2011—2020年中国30个省份的面板数据进行实证研究,结果表明：数字普惠金融能够通过提升创业活跃度有效推动中国经济实现国内国际双循环发展;时间层面上,数字普惠金融对双循环发展的推动效应呈现指数倍增特征;空间层面上,其推动效应呈现空间异质性,在中西部地区更加突出,在东部地区却并不显著。据此,从完善国家金融体系、推动数字普惠金融创新、提升数实融合水平以及加强金融监管四个方面提出相应的政策建议。     

生产性服务业集聚对绿色全要素生产率的影响——基于不同集聚视角下面板门槛模型的实证分析

基于产业集聚的理论研究和绿色发展的环境诉求,本文以2004-2016年中国30个省(市)的绿色全要素生产率为研究样本,运用面板门槛模型探讨供给侧视角下生产性服务业集聚对绿色全要素生产率的影响,从专业化集聚和多样化集聚角度证实了生产性服务业集聚对绿色全要素生产率存在结构突变效应,并鉴于内部细分行业集聚特征展开进一步探讨。结果表明:在不同集聚视角下,能源强度、经济发展水平对绿色全要素生产率存在不同程度的门槛效应;就全国层面,专业化集聚对绿色全要素生产率具有一定程度上的抑制作用,多样化集聚表现出较明显的促进作用;就行业层面,细分行业专业化集聚存在明显的行业异质性特征,金融业是提升绿色全要素生产率的重点行业。     

Post encroachment time threshold identification for right-turn related crashes at unsignalized intersections on intercity highways under mixed traffic

Abstract

Unsignalized intersections in developing countries experience many serious conflicts between cross-traffic due to indiscipline traffic manoeuvrability. Historically, Post Encroachment Time (PET) has gained attention as a proximal indicator to analyze crossing conflicts. However, identifying an appropriate PET threshold to classify critical conflicts for highly heterogeneous traffic scenario is still an unexplored area. Consequently, this study proposes a novel approach of PET threshold identification with proof of application by collecting data from ten intersections located on four-lane intercity highways in the National Capital Region (NCR), India. Both crossing conflicts and right-turn related crash data (for the left-hand drive) are collected. Their correlations are thoroughly studied for each PET threshold using a quantitative technique considering all and individual vehicle categories. Finally, a qualitative analysis is done by ranking the sites based on cumulative PET and related crashes to verify the proposed quantitative technique. A PET threshold of 1?s is obtained from both the techniques which can be used to identify critical conflicts for unsignalized intersections located on four-lane intercity highways. The proposed methodology will serve as an alternative, faster and effective tool to evaluate the hazardousness of unsignalized intersections located on intercity highways under highly heterogeneous traffic condition.