Peter Romilly

Country characteristics and foreign direct investment in China: A panel data analysis

Country Characteristics and Foreign Direct Investment in China: A Panel Data Analysis. — In this paper an error-components model is developed to analyze the economic, political and cultural determinants of both pledged and realized FDI in China which has recently become the second largest host country for FDI. The panel data cover the period 1983–1994 (1984–1994) and 22 (17) home countries/regions in the case of pledged (realized) FDI. The results indicate that bilateral trade, cultural differences, and relative real changes in market size, wage rates, and exchange rates are important determinants of pledged FDI, and that bilateral trade, relative changes in wage rates and exchange rates affect realized FDI.ZusammenfassungNationale Charakteristika und ausländische Direktinvestitionen in China. Eine Analyse von Panel-Daten. — Die Verfasser entwickeln ein Fehlerkorrekturmodell, um die wirtschaftlichen, politischen und kulturellen Bestimmungsgründe sowohl für zugesagte als auch für realisierte ausländische Direktinvestitionen (FDI) in China, welches neuerdings das zweitgrößte Anlageland für solche Investitionen geworden ist, zu untersuchen. Die Panel-Daten umfassen den Zeitraum 1983–1994 (1984–1994) und 22 (17) Herkunftsländer/-regionen bei den zugesagten (realisierten) FDI. Die Ergebnisse deuten darauf hin, daß bilateraler Handel, kulturelle Unterschiede und relative reale Veränderungen von Marktgröße, Lohnsätzen und Wechselkursen wichtige Determinanten für zugesagte FDI sind, während bilateraler Handel und relative Veränderungen von Lohnsätzen und Wechselkursen die realisierten FDI bestimmen.

An empirical investigation of the causal relationship between openness and economic growth in China

This study investigates the causal relationship between openness and economic growth in China. The integration and cointegration properties of the data are analysed and the models of Granger, Sims, Geweke and Hsiao are used to identify a bi-directional causal relationship between GNP and exports plus imports. This bi-directional causation is consistent with Chinas development strategy of protected export promotion

Are Chinese stock markets efficient? A cointegration and causality analysis

Established in December 1990 and July 1991 respectively, the Shanghai and Shenzhen Stock Exchanges are the only two official stock markets in China. This paper aims to test for randomness in each stock exchange share price index, and to examine the relationship between the two share price indexes. Statistical evidence shows that both the Shanghai and Shenzhen indexes can be best characterized as random walk processes and therefore the markets are efficient individually. However, the Engle-Granger two-stage cointegration analysis and the Johansen procedure suggest a long-run equilibrium relationship between the two stock prices, while the Granger causality test indicates a feedback relationship between the returns of the Shenzhen and Shanghai shares. These results imply that the stock markets are collectively inefficient.

The extent of financial disclosure and its determinants in an emerging capital market: the case of Egypt

This paper uses panel data analysis to investigate the extent and determinants of disclosure levels of non-financial companies quoted on the Egyptian Stock Exchange. It distinguishes between private sector companies and public business sector companies in terms of company characteristics and disclosure practice. Results show gradual increases in disclosure levels, with a high compliance for mandatory disclosure, although the voluntary disclosure level was rather limited. Public business sector companies appear generally to disclose less information than private sector companies. Furthermore, more profitable companies disclose more information than less profitable ones. Results for firm size, gearing and stock activity are mixed.

Car ownership and use in Britain: a comparison of the empirical results of alternative cointegration estimation methods and forecasts

This paper addresses two problems faced by many forecasters in the transport sector, namely how to use a relatively small sample to forecast car ownership over a long period of time and avoid the difficulties caused by spurious or nonsense regressions. Five alternative estimation methods are used to test for cointegrating relationships between per capita car ownership (and use) and real per capita personable disposable income, real motoring costs and real bus fares. These are the Engle-Granger two-stage, the Phillips-Hansen fully modified, the Wickens-Breusch one-stage, the autoregressive distributed lag, and the Johansen maximum likelihood methods. The corresponding error correction models are estimated, and a comparison made between the derived short- and long-run demand elasticities for car ownership and use. The ex-post forecasting performance of the error correction models, together with an ARIMA model specification, is evaluated using a number of performance criteria. The long-range time series forecasts obtained from the cointegrating regressions are compared with those from the cross-sectional approach used by the UK Department of the Environment, Transport and the Regions, and the policy implications discussed.

Road traffic accidents in the United Arab Emirates: trends of morbidity and mortality during 1977–1998

High rates of serious road traffic accidents (RTAs) have been reported for several Arabian Gulf countries, including the United Arab Emirates (UAE). in recent years. This study aims to describe quantitatively the morbidity and mortality from RTAs in the UAE, to identify their trends during the period 1977-1998, to compare the results with those of developed countries, and to evaluate the information available on possible causes with a view to identifying the most useful direction for future research. Data were obtained from UAEs police and health sources and, for international comparison, from WHO Statistics reports and the published literature. Overall and cause-specific fatality and injury rates of RTAs were calculated. Estimates of trends were achieved by using linear regression. The characteristics of road users injured or killed were also analysed. The results revealed that during the period 1977-1998, the rates of RTAs per 100,000 population and per 100,000 motor vehicles declined in the UAE by a trend component of -56.3 (P < 0.001: R2 = 0.69) and -521.8 (P<0.001; R2=0.92), respectively. RTA fatality and injury rates based on the same denominators also declined by -1.1 (P<0.001; R2 = 0.56) and -13.3 (P < 0.001; R2 = 0.47); and by -3.8 (P < 0.02; R2 = 0.23) and - 90.0 (P < 0.001; R2 = 0.59), respectively. Paradoxically, however, except for a short period (1977-1985), a steady increase in the risk of injury and death in each RTA accompanied these declines. Between 1985 and 1998 the severity rate (the ratio of fatalities and injuries per 1,000 RTAs) more than tripled in the UAE. The UAEs rates were high when compared with a number of selected countries. The cause for the increasing severity of RTAs is not clear but the most likely cause could lie in speeding, careless driving, the changing vehicle mix on the roads and the standard of immediate care available for victims. Further investigation is essential and will require close collaboration between police and health authorities.

SUBSTITUTION OF BUS FOR CAR TRAVEL IN URBAN BRITAIN: AN ECONOMIC EVALUATION OF BUS AND CAR EXHAUST EMISSION AND OTHER COSTS

Abstract Car exhaust emissions cause serious air pollution problems in many regions and, at a global level, contribute to climate change. Car use is also an important factor in other problems including traffic congestion, road accidents, noise pollution, community severance, and loss of countryside from road building. Forecasts of further increases in car ownership and use have prompted calls for policy-makers to encourage car users to switch to other forms of transport, particularly the bus. The effects of substituting bus for car travel in urban areas are simulated by specifying a spreadsheet model incorporating two types of car (petrol and diesel engine) and three types of bus (mini-, midi- and large bus). Six types of exhaust emission are considered for each vehicle type for the years 1992, 1995 and 1999: carbon monoxide, volatile organic compounds, nitrogen oxides, sulphur dioxide, (small) particulate matter and carbon dioxide. The paper provides a synthesis of monetary estimates of these exhaust emission and other costs. The other costs considered are traffic congestion, fuel consumption, noise pollution, road accidents and road damage. The exhaust emission monetary cost estimates, mainly from the United States and the United Kingdom, are discussed within the context of a sensitivity analysis which allows for changes in parameters such as load factors, emission factors and the individual exhaust emission cost estimates. The simulation results show that substitution of bus for car travel generally decreases the overall costs, particularly the costs of congestion, but increases exhaust emission costs if bus load factors are insufficiently high. In order to reduce exhaust emission costs from car to bus transfer at given load factors, the most effective policy option is to encourage the reduction of particulate emissions from bus engines. In terms of the overall costs, increasing bus load factors by relatively modest amounts can lead to substantial reductions in these overall costs. These results should be regarded as illustrative rather than definitive, given the uncertainties in a number of parameter estimates and the need for further research in areas not covered by the paper.

Stock Returns and Volatility: an empirical study of Chinese stock markets

This paper uses GARCH models to analyse the relationship between returns and volatility on the Shanghai and Shenzhen Stock Exchanges in China. Empirical estimates using the sample data from 21 May 1992 to 2 February 1996 suggest that the variances of the returns in the two markets are best modeled by the GARCH-M (1,1) specification. Volatility transmission between the two markets (the volatility spill-over effect) is also found to exist. The results of one month ahead ex ante forecasts show that the conditional variances of the returns of the two stock markets exhibit a similar pattern.

A time varying parameter approach to the Chinese aggregate consumption function

China experienced a number of economic, political and social upheavals in the pre-reform period, together with a gradual transformation from a centrally-planned to a market oriented economy in the post-reform period. Given this background of extensive change, a time varying parameter (TVP) consumption model for non-durables is developed in order to determine the resulting changes in consumer behaviour caused by both observable and unobservable factors. The parameters of interest are the short and long run marginal propensities to consume (MPC) and the long run average propensity to consume (APC). The model is based on Friedmans permanent income hypothesis (PIH) and estimated using the Kalman filter algorithm. The empirical results suggest that the TVP model is a good representation of the changes in Chinese consumer behaviour over time. In terms of forecasting, the TVP model generally outperforms a number of alternative models.

A comparative study of modelling the demand for food in the United States and The Netherlands

This paper provides time-series and cross-sectional budget survey analyses of the demand for food in the United States and the Netherlands according to the tasks set by Jan Magnus and Mary Morgan (MM). Various econometric methods, including weighted least squares (WLS), cointegration, error correction, the almost ideal demand system (AIDS), and time-varying parameter (TVP) techniques, are used and the estimated demand elasticities compared across country and over time.