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用马尔可夫转换模型与工具变量检验远期汇率无偏假说AI 解读

Abstract This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER hypothesis cannot be rejected, provided that instrumental variables are used to account for within‐regime correlation between explanatory variables and disturbances in the Markov…

部分重叠时间序列：商品期货波动动态的新模型AI 解读

Abstract In commodity futures markets, contracts with various delivery dates trade simultaneously. Applied researchers typically discard the majority of the data and form a single time series by choosing only one price observation per day. This strategy precludes a full understanding of these markets and can induce complicated nonlinear dynamics in the data. In this paper, I introduce the partially overlapping time series (POTS) model to model jointly all traded contracts.…

估值比率与长期股票价格可预测性AI 解读

Abstract Using annual data for 1872–1997, this paper re‐examines the predictability of real stock prices based on price–dividend and price–earnings ratios. In line with the extant literature, we find significant evidence of increased long‐horizon predictability; that is, the hypothesis that the current value of a valuation ratio is uncorrelated with future stock price changes cannot be rejected at short horizons but can be rejected at longer horizons based on bootstrapped…

股票收益建模与预测：利用期货信息、区制转换和国际溢出AI 解读

Abstract This paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regime‐switching behaviour and international spillovers across stock market indices. Using data for three major stock market indices since 1989, we find that: (i) in sample, our model outperforms several alternative models on the basis of standard statistical criteria; (ii) in out‐of‐sample forecasting, our model…

非线性与衰退的永久影响AI 解读

Abstract This paper presents a new nonlinear time series model that captures a post‐recession ‘bounce‐back’ in the level of aggregate output. While a number of studies have examined this type of business cycle asymmetry using recession‐based dummy variables and threshold models, we relate the ‘bounce‐back’ effect to an endogenously estimated unobservable Markov‐switching state variable. When the model is applied to US real GDP, we find that the Markov‐switching regimes are…

美国与欧元区经济周期的冲击和摩擦比较：贝叶斯 DSGE 方法AI 解读

Abstract This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974–2002). The structural estimation methodology allows us to investigate whether differences in business cycle behaviour are due to differences in the type of shocks that affect the two economies, differences in the propagation mechanism of those shocks, or differences in the way the central bank responds to those…

马尔可夫转换模型能多好地描述实际经济周期？以同步性为例AI 解读

Abstract The objective of this paper is to evaluate the effectiveness of using a Markov switching model to measure the synchronization of business cycles. We use a Bayesian, Gibbs sampling approach to estimate a multivariate Markov switching model of GDP growth for several countries. We look for evidence of synchronization across countries in the sense of common Markov states, covariance of impulses and a long‐run co‐integrating relationship. We then use the fitted data…

周期研究方式的分类框架建议AI 解读

Abstract The paper argues that it is important to realize that the concept of a cycle has rarely been precisely articulated in empirical work and that often researchers are using very different definitions of it. We propose a two‐fold classification based upon what series one is measuring a cycle in and how one would recognize a cycle in such a series. The paper illustrates how one can then categorize existing research based upon how it answers these questions. It also shows…

动态计量模型中的结构变化监测AI 解读

Abstract The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation‐type tests in a monitoring situation—given a history period for which a regression relationship is known to be stable, we test whether incoming data are consistent with the previously established relationship. Procedures based on estimates of the regression coefficients are extended in three…

性别职业隔离研究中缩减职业分类空间的算法AI 解读

Abstract This paper presents an algorithm based on the bootstrap to select an admissible aggregation level, that is, the minimum number of occupational categories that yield a gender segregation value not significantly smaller than that obtained from the large number of occupational categories usually available in any data set. The approach is illustrated using labour force survey data for Spain for the comparison of gender segregation in 1977 and 1992, as well as 1994 and…

含不可观测异质性的动态非线性面板模型：初始条件问题的简便解法AI 解读

Abstract I study a simple, widely applicable approach to handling the initial conditions problem in dynamic, nonlinear unobserved effects models. Rather than attempting to obtain the joint distribution of all outcomes of the endogenous variables, I propose finding the distribution conditional on the initial value (and the observed history of strictly exogenous explanatory variables). The approach is flexible, and results in simple estimation strategies for at least three…

美国环境质量近期趋势的稳健推断AI 解读

Abstract Understanding trends in environmental quality is important for individuals and policymakers. Typically, trends in environmental quality are determined solely through comparisons of unconditional or conditional mean pollution levels. However, reaching unambiguous conclusions on the basis of only the first moment of the (unconditional or conditional) distribution is problematic since it ignores what is occurring in different regions of the distribution. Even relying…

理解费雪方程AI 解读

Abstract It is argued that univariate long memory estimates based on ex post data tend to underestimate the persistence of ex ante variables (and, hence, that of the ex post variables themselves) because of the presence of unanticipated shocks whose short‐run volatility masks the degree of long‐range dependence in the data. Empirical estimates of long‐range dependence in the Fisher equation are shown to manifest this problem and lead to an apparent imbalance in the memory…

参数时间依赖的一般检验AI 解读

Abstract A new test for time‐dependent parameters is proposed. The Trig ‐test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the parameters concerned. It is shown to have the correct empirical size and excellent power to detect structural breaks and stochastic parameter variation. The appropriate use of the Trig ‐test is demonstrated by testing for structural breaks in the US inflation rate. The test detects a…

联邦基金目标利率动态：非平稳离散选择方法AI 解读

Abstract We apply a discrete choice approach to model the empirical behaviour of the Federal Reserve in changing the federal funds target rate, the benchmark of short‐term market interest rates in the US. Our methods allow the explanatory variables to be nonstationary as well as stationary. This feature is particularly useful in the present application as many economic fundamentals that are monitored by the Fed and are believed to affect decisions to adjust interest rate…

认识教育回报的异质性AI 解读

Abstract Using data from the National Longitudinal Survey of Youth (NLSY) we introduce and estimate various Bayesian hierarchical models that investigate the nature of unobserved heterogeneity in returns to schooling. We consider a variety of possible forms for the heterogeneity, some motivated by previous theoretical and empirical work and some new ones, and let the data decide among the competing specifications. Empirical results indicate that heterogeneity is present in…

汇率条件异方差：基于分数单整方法的进一步结果AI 解读

Abstract A recent article (Tse, 1998 ) published in this journal analysed the conditional heteroscedasticity of the yen–dollar exchange rate based on the fractionally integrated asymmetric power ARCH model. In this paper, we present replication results using Tse's ( 1998 ) yen–dollar series. We also examine the robustness of Tse's ( 1998 ) findings across different currencies, sample periods and non‐nested GARCH‐type models. Unlike Tse ( 1998 ), we find some evidence of…

欧洲 GDP 序列的收敛：多变量共同收敛趋势与周期分解AI 解读

Abstract Convergence in the gross domestic product series of five European countries is empirically identified using multivariate time series models that are based on unobserved components with dynamic converging properties. We define convergence in terms of a decrease in dispersion over time and model this decrease via mechanisms that allow for gradual reductions in the ranks of covariance matrices associated with the disturbance vectors driving the unobserved components of…

国家间极化、福利与贫困的推断：101 国研究AI 解读

Abstract Stochastic Dominance techniques are adapted and employed to study the extent and progress of Polarization, Welfare and Poverty of 101 nations over the period 1970–1995. The adaptations provide methods of comparing mass relocation by evaluating various degrees of right and left separation between distributions. The results reveal that, whilst welfare increased and then diminished and poverty diminished and then increased, polarization between rich and poor countries…

美国医院行业规模报酬的非参数分析AI 解读

Abstract This paper presents new estimates of scale economies for US hospitals. We show that the common translog specification of hospital costs is a misspecification, and employ nonparametric, local linear estimation with both continuous and discrete covariates. A bootstrap method is used to provide inferences regarding ray scale economies and expansion path scale economies for a large sample of hospitals covering 1984–1996. We find evidence of changes in the structure of…

医疗改革与就诊次数：一项计量分析AI 解读

Abstract This paper evaluates the German health care reform of 1997, using the individual number of doctor visits as outcome measure and data from the German Socio‐Economic Panel for the years 1995–1999. A number of modified count data models allow us to estimate the effect of the reform in different parts of the distribution. The overall effect of the reform was a 10% reduction in the number of doctor visits. The effect was much larger in the lower part of the distribution…

英国家庭面板调查中的健康动态AI 解读

Abstract This paper considers the dynamics of a categorical indicator of self‐assessed health using eight waves (1991–1998) of the British Household Panel Survey (BHPS). Our analysis has three focal points: the relative contributions of state dependence and heterogeneity in explaining the dynamics of health, the existence and consequences of health‐related sample attrition, and the investigation of the effects of measures of socioeconomic status, with a particular focus on…

远离大麻？英国大麻消费的计量模型AI 解读

Abstract This paper presents estimates of a dynamic individual‐level model of cannabis consumption, using data from a 1998 survey of young people in Britain. The econometric model is a split‐population generalization of the non‐stationary Poisson process, allowing for separate dynamic process for initiation into cannabis use and subsequent consumption. The model allows for heterogeneity in consumption levels and behavioural shifts induced by leaving education and the…

长期货币中性与长跨度回归AI 解读

Abstract A prominent test of long‐run monetary neutrality (LRMN) involves regressing long‐horizon output growth on long‐horizon money growth. We obtain limited support for LRMN with this test in long‐annual Australian, Canadian, UK and US samples. Although empirical confidence intervals yield evidence in favour of LRMN, Monte Carlo experiments reveal the power of this test is near its size. Thus, this test is unlikely to detect important deviations from LRMN. These problems…