Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements

What explains the sharp movements of the yield curve upon the release of major U.S. macroeconomic announcements? To answer this question, we estimate an arbitrage-free dynamic term structure model with macroeconomic fundamentals as risk factors. We assume that the yield curve reacts to announcements primarily because of the information they contain about the fundamentals of output, inflation, and the Fed’s inflation target. We model the updating process by linking the factor shocks to announcement surprises. Fitting this process to data on yield curve movements in 20-min event windows, we find that most major announcements, especially those about the labor market, are informative largely about the output gap rather than about inflation. The resulting changes in short-rate expectations account for the bulk of observed yield movements. But adjustments in risk premia are also sizable. In partly offsetting the effects of short-rate expectations, these adjustments help to account for the well-known hump-shaped pattern of yield reactions across maturities.     

美国R&D资本存量测算及对我国的启示

 内容提要：有关R&;D资本存量的测算理论与方法问题,国内研究尚处于起步阶段,国外一些学者则进行了较深入研究。美国BEA通过R&;D卫星账户的构建在R&;D资本存量方面积累了大量经验。本文首先分析了R&;D资本存量测算中存在的困难,并基于2007年美国R&;D卫星账户,对BEA关于R&;D资本存量的测算方法进行介绍与分析,最后指出了我国R&;D资本存量测算需要进一步做的工作。     

Production Frontiers and Panel Data: An Application to U.S. Class 1 Railroads

In this article, the appropriateness of inefficiency measures obtained directly from the production function as in Schmidt and Sickles (1984) is examined relative to those provided by (a) the cost function aproach, (b) Klein's approach, and (c) the iterative SUR technique. Efficiency rankings yielded by different methods are also compared and tested.     

中国对美国农产品出口持续时间研究

 本文利用1989-2008共20年中国出口到美国农产品高度细分的贸易数据,通过引入生存分析来研究中国对美国农产品出口持续时间。研究发现这一贸易关系的持续时间很短,HS10分位农产品的平均生存时间为3.9年,中位生存时间为2年,生存时间众数为1。稳健性检验表明产品分类的不同层次对结果的影响不显著。在此基础上提出政策建议和研究的不足。     

Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence

Most existing reduced-form macroeconomic multivariate time series models employ elliptical disturbances, so that the forecast densities produced are symmetric. In this article, we use a copula model with asymmetric margins to produce forecast densities with the scope for severe departures from symmetry. Empirical and skew t distributions are employed for the margins, and a high-dimensional Gaussian copula is used to jointly capture cross-sectional and (multivariate) serial dependence. The copula parameter matrix is given by the correlation matrix of a latent stationary and Markov vector autoregression (VAR). We show that the likelihood can be evaluated efficiently using the unique partial correlations, and estimate the copula using Bayesian methods. We examine the forecasting performance of the model for four U.S. macroeconomic variables between 1975:Q1 and 2011:Q2 using quarterly real-time data. We find that the point and density forecasts from the copula model are competitive with those from a Bayesian VAR. During the recent recession the forecast densities exhibit substantial asymmetry, avoiding some of the pitfalls of the symmetric forecast densities from the Bayesian VAR. We show that the asymmetries in the predictive distributions of GDP growth and inflation are similar to those found in the probabilistic forecasts from the Survey of Professional Forecasters. Last, we find that unlike the linear VAR model, our fitted Gaussian copula models exhibit nonlinear dependencies between some macroeconomic variables. This article has online supplementary material.     

Improving the contributions of technology assessment to the health care system of the U.S.A.

Summary Based on 14 case studies of highly effective therapies and the reasons they succeeded less frequently than they could, we propose a variety of steps to improve the health care system of the U.S.A. Whatever proposal emerges from current national debates until innovations are shown to be safe and effective, they should not be supported; when slightly better technologies are much more expensive than other good ones we need to consider appropriate choices carefully; simplified billing and bookkeping would reduce our costs; when a technology is rapidly introduced cautionnary measures may be needed; tracking immunization and repairing their omissions requires a new system; educational programs such as seen effective in hypertension should be applied in other areas such as vaccination; in organ transplantation the nation should consider “presumed consent”; our payment system sometimes creates perverse incentives and therefore needs review; and the preferences of the public in allocation of health resources need to be discovered once the public is informed about the issues. Research supported by Andrew W. Mellon Foundation.     

The Dynamic Relationship Between the Dollar and Components of U.S. Trade

The dynamic response of the nominal trade account to changes in the value of the U.S. dollar has been posited to follow a J-curve pattern. Recent experience calls this into question. The aggregate nominal trade balance is decomposed here into four components, both prices and volumes of imports and exports. Time series specification tests and Granger tests of causal priority are employed to identify the existence and nature of the response of each individual component to dollar movements. Surprisingly weak and delayed responses of both import prices and volumes are found, suggesting a new view of trade-balance evolution.     

中国能源消费静态依赖与动态发展——基于30个省市数据综列协整分析

本文以我国30个省市为横截单元、以1995-2005年时序数据组成综列数据,建立我国省市能源消费的综列协整模型,通过综列单位根和综列协整检验,结果表明,我国各省市的能源消费与经济增长和能源效率之间存在长期均衡。基于这一结论,揭示各省市能源消费静态依赖与动态发展特征,并给出政策建议。     

Primal and Dual Capacity Utilization: An Application to Productivity Measurement in the U.S. Automobile Industry

Capacity utilization measures have traditionally been constructed as indexes of actual, as compared to “potential,” output. This potential or capacity output (Y*) can be represented within an economic model of the firm as the tangency between the short- and long-run average cost curves. Economic theoretical measures of capacity utilization (CU) can then be characterized as Y/Y* where Y is the realized level of output. These quantity or primal CU measures allow for economic interpretation; they provide explicit inference as to how changes in exogenous variables affect CU. Additional information for analyzing deviations from capacity production can be obtained by assessing the “dual” cost of the gap.

In this article the definitions and representations of primal-output and dual-cost CU measures are formalized within a dynamic model of a monopolistic firm. As an illustration of this approach to characterizing CU measures, a model is estimated for the U.S. automobile industry, 1959–1980, and primal and dual CU indexes are constructed. Application of these indexes to adjustment-of-productivity measures for “disequilibrium” is then carried out, using the dual-cost measure.     

资本市场稳定性对财富效应强度的影响研究——基于中国股票市场的实证检验

目前,学术界关于资本市场财富效应传导机制的研究已基本成熟,然而对于财富效应强度的影响因素以及缘何中国财富效应长期以来呈微弱性特征尚缺乏深入探讨。为打开以往研究中资本市场这一＂黑盒＂并进一步明晰该问题,在界定资本市场稳定性内涵的基础上,探讨其对财富效应强度的影响机理;选取1999—2008年季度数据对中国股市财富效应进行再检验,实证分析中国股市财富效应强度的影响因素;同时,基于扩大消费视角而提出稳定中国资本市场的相关措施和政策建议。     

Preliminary Data Errors and Their Impact on the Forecast Error of Simultaneous-Equations Models

Econometric models, especially when designed for forecasting purposes, tend to use updated economic series, the last figures(s) of which embed first-published or preliminary data errors. This article identifies and assesses the contribution of errors in preliminary data to the forecast error and to the forecast error variance of linear dynamic simultaneous equation models. The effect of preliminary data errors is shown to be pervasive, although not necessarily weighty. The suggested decomposition of the forecast error is applied to a small macroeconometric model of the Italian economy.     

中国三大语音通信市场的需求关系估计与需求效应比较分析

运用两阶段固定效应法,本文估计了中国三大语音通信市场的常弹性Marshall需求函数,结果显示：三大语音通信市场的需求都是无价格弹性的,固定本地电话对固定长途电话市场的需求具有互补效应,对移动电话市场的需求具有替代效应;固定长途电话对移动电话市场的需求具有互补效应。三大语音通信市场中,只有固定本地电话市场具有显著的需求收入效应,固定电话用户对固定本地电话市场的需求具有促进作用,对移动地电话市场的需求具有抑制作用,而移动电话用户对移动电话市场和固定长途电话市场的需求皆有促进作用。研究表明,随着时间的推移,人们的消费时尚正在向移动通信方式转变     

A Balanced System of U.S. Industry Accounts and Distribution of the Aggregate Statistical Discrepancy by Industry

This article describes and illustrates a generalized least squares (GLS) method that systematically incorporates all available information on the reliability of initial data in the reconciliation of a large disaggregated system of national accounts. The GLS method is applied to reconciling the 1997 U.S. Input-Output and Gross Domestic Product (GDP)-by-industry accounts with benchmarked GDP estimated from expenditures. The GLS procedure produced a balanced system of industry accounts and distributed the aggregate statistical discrepancy by industry according to the estimated relative reliabilities of initial estimates. The study demonstrates the empirical feasibility and computational efficiency of the GLS method for large accounts reconciliation.     

政府消费与经济增长： 基于1985－2007年中国省际面板数据的实证分析

 在理论分析基础上,基于中国31个省(市、区)1985-2007年地区生产总值、政府消费、固定资产投资总额和年末在岗职工人数数据,运用面板数据的变截据和变系数相关模型对政府消费的增长效应进行计量检验。检验结果表明：在全国层面上政府消费的系数为4.656;在省(市、区)层面上,各地方政府消费的系数均大于零,但区域间存在显著差异。财政支出方式应逐步实现从政府投资向政府消费转变,并调整政府消费的内部结构、城乡结构和地区结构。     

Retail Agglomeration and Competition Externalities: Evidence from Openings and Closings of Multiline Department Stores in the U.S.

From the perspective of an existing retailer, the optimal size of a cluster of retail activity represents a trade-off between the marginal increases in consumer attraction from another store against the depletion of the customer base caused by an additional competitor. We estimate opening and closing probabilities of multi-line department stores (“anchors”) as a function of preexisting anchors by type of anchor store (low-priced, mid-priced, or high-priced) using a bias-corrected probit model with county and year fixed effects. We find strong negative competitive effects of an additional same type but no effect on openings of anchors of another type. Supplementary materials for this article are available online.     

The Equivalence of Neyman Optimum Allocation for Sampling and Equal Proportions for Apportioning the U.S. House of Representatives

We present a surprising though obvious result that seems to have been unnoticed until now. In particular, we demonstrate the equivalence of two well-known problems—the optimal allocation of the fixed overall sample size n among L strata under stratified random sampling and the optimal allocation of the H = 435 seats among the 50 states for apportionment of the U.S. House of Representatives following each decennial census. In spite of the strong similarity manifest in the statements of the two problems, they have not been linked and they have well-known but different solutions; one solution is not explicitly exact (Neyman allocation), and the other (equal proportions) is exact. We give explicit exact solutions for both and note that the solutions are equivalent. In fact, we conclude by showing that both problems are special cases of a general problem. The result is significant for stratified random sampling in that it explicitly shows how to minimize sampling error when estimating a total T_Y while keeping the final overall sample size fixed at n; this is usually not the case in practice with Neyman allocation where the resulting final overall sample size might be near n + L after rounding. An example reveals that controlled rounding with Neyman allocation does not always lead to the optimum allocation, that is, an allocation that minimizes variance.     

Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product

An often-used scenario in marketing is that of individuals purchasing in a Poisson manner with their purchasing rates distributed gamma across the population of customers. Ehrenberg (1959) introduced the marketing community to this story and the resulting negative binomial distribution (NBD), and during the past 30 years the NBD model has been shown to work quite well. But the basic gamma/Poisson assumptions lack some face validity. In many product categories, customers purchase more regularly than the exponential. There are some individuals who will never purchase. The purpose of this article is to review briefly the literature that addresses these and other issues. The tractable results presented arise when the basic gamma/Poisson assumptions are relaxed one issue at a time. Some conjectures will be made about the robustness of the NBD when multiple deviations occur together. The NBD may work, but there are still opportunities for working on variations of the NBD theme.     

Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section

This article proposes a Bayesian estimation framework for a typical multi-factor model with time-varying risk exposures to macroeconomic risk factors and corresponding premia to price U.S. publicly traded assets. The model assumes that risk exposures and idiosyncratic volatility follow a break-point latent process, allowing for changes at any point on time but not restricting them to change at all points. The empirical application to 40 years of U.S. data and 23 portfolios shows that the approach yields sensible results compared to previous two-step methods based on naive recursive estimation schemes, as well as a set of alternative model restrictions. A variance decomposition test shows that although most of the predictable variation comes from the market risk premium, a number of additional macroeconomic risks, including real output and inflation shocks, are significantly priced in the cross-section. A Bayes factor analysis massively favors the proposed change-point model. Supplementary materials for this article are available online.     

国内外大学教材‘经济预测与时间序列’对比研究

随着教育部提倡全国普通高校使用国外教材,现在许多重点大学和一些普通高校纷纷在不同的学院、不同的专业、不同的年级上有选择地、有条件地实行“原版英文教材教学”试点。本文针对国内外大学教材中“经济预测与时间序列”方面的教材进行深入地对比分析研究,指出国内一些教材中普遍存在的问题与不足。     

面板数据模型中随机效应存在性检验的理论研究及其实证分析

 由于能体现异质性等一系列优良性质,面板数据模型正被广泛应用到经济学各个领域中。然而,在反映异质性的个体效应和时间效应的设定上,经常存在人为的主观性和随意性,因此容易导致错误指定事件的发生。本文提出了一个稳健的方法分别检验面板数据模型中随机个体效应和随机时间效应的存在性。具体而言,通过对残差进行正交化变换消去可能存在的时间效应,并建立人工自回归模型,然后基于该模型自回归系数的最小二乘估计构造检验统计量检验个体效应。构造的检验是单边的,零假设下渐近服从标准正态分布。在检验时间效应时,可类似得到统计量及其渐近性质。功效研究表明这些检验敏感性较强,能检测到以参数速度（最快的速度）收敛到零假设的备择假设。通过模拟试验研究了检验统计量的小样本性质,并进行了实际数据分析。