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An Empirical Study of Interaction-Based Aggregate Investment Fluctuations 基于相互作用的总投资波动实证研究
IF 1.2 4区 经济学
Japanese Economic Review Pub Date : 2016-03-29 DOI: 10.1111/jere.12088
Luigi Guiso, Chaoqun Lai, Makoto Nirei
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引用次数: 3
Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis 从互联网泡沫、次贷危机和亚洲金融危机中暴利
IF 1.2 4区 经济学
Japanese Economic Review Pub Date : 2016-03-29 DOI: 10.1111/jere.12084
Michael McAleer, John Suen, Wing Keung Wong
{"title":"Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis","authors":"Michael McAleer,&nbsp;John Suen,&nbsp;Wing Keung Wong","doi":"10.1111/jere.12084","DOIUrl":"https://doi.org/10.1111/jere.12084","url":null,"abstract":"<p>The paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of technical analysis (<i>TA</i>) strategies generating buy and sell signals, with and without our proposed trading rules. The empirical results show that, by applying long and short strategies during the bubble formation and a short strategy after the bubble burst, it not only produces returns that are significantly greater than buy-and-hold strategies, but also produces greater wealth compared with <i>TA</i> strategies without trading rules. We conclude that these bubble detection signals help investors generate greater wealth from applying appropriate long and short moving average (<i>MA</i>) strategies.</p>","PeriodicalId":45642,"journal":{"name":"Japanese Economic Review","volume":"67 3","pages":"257-279"},"PeriodicalIF":1.2,"publicationDate":"2016-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/jere.12084","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137724896","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Issue Information- TOC 发布信息- TOC
IF 1.2 4区 经济学
Japanese Economic Review Pub Date : 2016-02-19 DOI: 10.1111/jere.12096
{"title":"Issue Information- TOC","authors":"","doi":"10.1111/jere.12096","DOIUrl":"https://doi.org/10.1111/jere.12096","url":null,"abstract":"<p>No abstract is available for this article.</p>","PeriodicalId":45642,"journal":{"name":"Japanese Economic Review","volume":"67 1","pages":"1"},"PeriodicalIF":1.2,"publicationDate":"2016-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/jere.12096","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137700513","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Panel Asymptotics and Statistical Decision Theory 面板渐近与统计决策理论
IF 1.2 4区 经济学
Japanese Economic Review Pub Date : 2016-02-19 DOI: 10.1111/jere.12085
Keisuke Hirano, Jack R. Porter
{"title":"Panel Asymptotics and Statistical Decision Theory","authors":"Keisuke Hirano,&nbsp;Jack R. Porter","doi":"10.1111/jere.12085","DOIUrl":"10.1111/jere.12085","url":null,"abstract":"<p>This paper develops some applications of asymptotic statistical decision theory in econometrics, focusing on settings where the data are organized into groups or cells with heterogeneous parameters. Even if the groups are of different sizes, local asymptotic normality holds under suitable regularity conditions, and this can greatly simplify analysis of different types of econometric problems. We apply these results to the analysis of treatment assignment rules, and to estimators of cell-specific parameters that employ shrinkage towards parametric models.</p>","PeriodicalId":45642,"journal":{"name":"Japanese Economic Review","volume":"67 1","pages":"33-49"},"PeriodicalIF":1.2,"publicationDate":"2016-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/jere.12085","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82889238","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Fiscal Policy in a Growing Economy with Financial Frictions and Firm Heterogeneity* 金融摩擦与企业异质性的增长经济中的财政政策*
IF 1.2 4区 经济学
Japanese Economic Review Pub Date : 2016-02-19 DOI: 10.1111/jere.12087
Kazuo Mino
{"title":"Fiscal Policy in a Growing Economy with Financial Frictions and Firm Heterogeneity*","authors":"Kazuo Mino","doi":"10.1111/jere.12087","DOIUrl":"10.1111/jere.12087","url":null,"abstract":"<p>This paper constructs a tractable model of endogenous growth with financial frictions and firm heterogeneity. We introduce factor income tax, consumption tax as well as the government consumption into the base model and explore the growth effect of fiscal policy. We show that from the qualitative perspective, the long-run effects of fiscal actions in our model are similar to those obtained in the representative agent models. However, the quantitative impacts of fiscal policy on long-run growth in our setting can be substantially different from those established in the model where agents are homogeneous and there is no financial frictions.</p>","PeriodicalId":45642,"journal":{"name":"Japanese Economic Review","volume":"67 1","pages":"3-30"},"PeriodicalIF":1.2,"publicationDate":"2016-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/jere.12087","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130692169","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
The Japanese Economic Review 日本经济评论
IF 1.2 4区 经济学
Japanese Economic Review Pub Date : 2015-10-21 DOI: 10.1111/jere.12081
{"title":"The Japanese Economic Review","authors":"","doi":"10.1111/jere.12081","DOIUrl":"https://doi.org/10.1111/jere.12081","url":null,"abstract":"","PeriodicalId":45642,"journal":{"name":"Japanese Economic Review","volume":"66 4","pages":"566-567"},"PeriodicalIF":1.2,"publicationDate":"2015-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/jere.12081","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137959821","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Misspecification in Dynamic Panel Data Models and Model-Free Inferences 动态面板数据模型中的错误说明和无模型推断
IF 1.2 4区 经济学
Japanese Economic Review Pub Date : 2015-09-15 DOI: 10.1111/jere.12080
Ryo Okui
{"title":"Misspecification in Dynamic Panel Data Models and Model-Free Inferences","authors":"Ryo Okui","doi":"10.1111/jere.12080","DOIUrl":"https://doi.org/10.1111/jere.12080","url":null,"abstract":"<p>This paper discusses the issue of model misspecification and model-free methods in dynamic panel data analysis. We primarily review existing results, but also provide several new results. When the dynamics are homogeneous, we show that several widely used estimators for panel first-order autoregressive AR(1) models converge to first-order autocorrelation, even under misspecification. Under heterogeneity, these estimators converge to the ratio of the means of the first-order autocovariances and variances. We also discuss the estimation of autocovariances, the estimation of panel AR(∞) models, and the estimation of the distribution of the heterogeneous mean and autocovariances.</p>","PeriodicalId":45642,"journal":{"name":"Japanese Economic Review","volume":"68 3","pages":"283-304"},"PeriodicalIF":1.2,"publicationDate":"2015-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/jere.12080","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"92297010","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Intangible Investment and Changing Sources of Growth in Korea 无形投资与韩国增长来源的变化
IF 1.2 4区 经济学
Japanese Economic Review Pub Date : 2015-08-30 DOI: 10.1111/jere.12079
Hyunbae Chun, M. Ishaq Nadiri
{"title":"Intangible Investment and Changing Sources of Growth in Korea","authors":"Hyunbae Chun,&nbsp;M. Ishaq Nadiri","doi":"10.1111/jere.12079","DOIUrl":"10.1111/jere.12079","url":null,"abstract":"<p>We examine how intangible investments change the sources of growth in the Korean economy. After constructing a novel industry-level data set on intangibles, we estimate the contribution of intangible-intensive industries and other industries to aggregate productivity growth in 1981–2008. The contribution of intangible-intensive industries to aggregate labour productivity growth has significantly increased, whereas that of other industries has substantially decreased. The increased contribution of intangible-intensive industries is mainly associated with total factor productivity growth rather than with input growth. This suggests that innovations related to intangible investments in these industries might become a new key source of productivity growth in Korea.</p>","PeriodicalId":45642,"journal":{"name":"Japanese Economic Review","volume":"67 1","pages":"50-76"},"PeriodicalIF":1.2,"publicationDate":"2015-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/jere.12079","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121650868","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 20
Child Benefit Payments and Household Wealth Accumulation 儿童福利金与家庭财富积累
IF 1.2 4区 经济学
Japanese Economic Review Pub Date : 2015-08-24 DOI: 10.1111/jere.12078
Melvin Stephens Jr, Takashi Unayama
{"title":"Child Benefit Payments and Household Wealth Accumulation","authors":"Melvin Stephens Jr,&nbsp;Takashi Unayama","doi":"10.1111/jere.12078","DOIUrl":"10.1111/jere.12078","url":null,"abstract":"<p>Using the life-cycle/permanent income hypothesis, we theoretically and empirically assess the impact of child benefit payments on household wealth accumulation. Consistent with the predictions of the model, we find that higher cumulative benefits received increase current assets, higher future benefit payments lower asset holding, and that these effects systematically vary over the life cycle. We find different wealth responses to child benefit payments for liquidity constrained and unconstrained households, as predicted by the model.</p>","PeriodicalId":45642,"journal":{"name":"Japanese Economic Review","volume":"66 4","pages":"447-465"},"PeriodicalIF":1.2,"publicationDate":"2015-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/jere.12078","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115088296","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Public Debt, Productive Public Spending and Endogenous Growth 公共债务、生产性公共支出和内生增长
IF 1.2 4区 经济学
Japanese Economic Review Pub Date : 2015-07-31 DOI: 10.1111/jere.12077
Alfred Greiner
{"title":"Public Debt, Productive Public Spending and Endogenous Growth","authors":"Alfred Greiner","doi":"10.1111/jere.12077","DOIUrl":"10.1111/jere.12077","url":null,"abstract":"<p>We analyse the effects of public debt in a basic endogenous growth model with productive public spending. We demonstrate that a discretionary policy in general violates the intertemporal government budget constraint along a balanced growth path. A balanced government budget gives a unique saddle point stable growth path. With a rule-based policy, two saddle point stable balanced growth paths can occur, depending on the intertemporal elasticity of substitution of consumption and on the primary surplus policy. Higher debt goes along with smaller long-run growth and we derive a condition such that a deficit-financed increase in public spending raises the growth rate.</p>","PeriodicalId":45642,"journal":{"name":"Japanese Economic Review","volume":"66 4","pages":"520-535"},"PeriodicalIF":1.2,"publicationDate":"2015-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/jere.12077","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121507684","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
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