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This paper investigates whether China's provincial economies follow the same growth path by adopting a finite mixture model in which provinces are sorted into groups according to the similarity in the conditional distribution of their growth rates. The method is flexible in that it accounts for (i) endogenous classifications other than given priori, (ii) heterogeneous marginal effects of determinants, (iii) the possibility of growth path transformation, and (iv) the roles of geographic location and institutions in the growth path. The results reveal that all provinces do not follow a common growth process, but rather two distinct growth regimes. Particularly, one is dominated by foreign direct investment and financial depth, while the other is dominated by trade openness. The growth process of provinces in the central region evolves around the year 2004 from the former to the latter. More importantly, geography and institutions help sort provinces into groups, and institutions are more predominant. [ABSTRACT FROM AUTHOR]

This paper studies the hypothesis of stock price comovements toward the US market for a large sample of developed and emerging stock markets (G6, BRICS, and MENA) over the periods of February 1970-June 2012, January 1995-June 2012, and June 2005-June 2012. To consider cross-market heterogeneity and asymmetrical time-variation in stock market integration, we propose an innovative threshold panel cointegration specification based on a panel smooth transitions error correction model. This specification enables us to identify different integration regimes that transit smoothly, which further reproduces the effects of market frictions and behavioral heterogeneity among the markets under consideration. Accordingly, we distinguish between efficient and inefficient market states. Further, we show that, while MENA and BRICS are segmented with the US market, a nonlinear mean-reversion of stock prices is observed for the G6 markets, suggesting evidence of heterogeneous threshold market integration. This suggests global diversification benefits from a US-MENA portfolio, while only per-regime investment opportunities appear for US-G6 and US-BRICS portfolios. [ABSTRACT FROM AUTHOR]

This paper hypothesises that the saving rate and technological progress are interdependently determined by a common exogenous source, so that an exogenous shock to the saving rate determines long-run growth transitions. In an open-economy setting, the saving rate measures the quality of investment-led policies. The evidence shows that the down-break across South Africa's 'faster-growing' regime (1952-1976) and 'slower-growing' regime (1977-2003) was caused by a negative shock to the saving rate that simultaneously led to a slowdown in the growth rate of technology via a structural decrease in the learning-by-doing parameter. The down-break results suggest that the saving rate is potentially an important policy variable to engineer a sustainable up-break. To assess this prediction with real data, the analysis looks at what happened in the post-2003 period (2004-2012). The results show that the up-break in the fixed investment rate was not matched by the saving rate, which implies that capital investment did not generate a faster rate of technological progress. The stylised facts suggest that a sustained increase in the total investment rate, which not only includes infrastructure investment, but also machinery and equipment investment and complementary foreign direct investment, may be an effective investment-led strategy to raise the economy's growth rate on a sustainable basis. [ABSTRACT FROM AUTHOR]

In this paper, we uncover growth volatility regimes and identify their robust determinants using a large international panel of countries. In doing so, we propose a novel empirical methodology that allows us to simultaneously deal with two key elements of model uncertainty, namely theory uncertainty and parameter heterogeneity, by unifying two recent econometric techniques: Bayesian model averaging and threshold regression. We find ample evidence of parameter heterogeneity and model uncertainty. Our results highlight the role of ethnic fractionalization, institutions, financial development, health, and geography. [ABSTRACT FROM AUTHOR]

In this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume effects. Volatility forecast comparisons, using the Harvey-Newbold test for multiple forecasts encompassing, seem to demonstrate that the MSV-EGARCH complex threshold structure is able to correctly fit GARCH-type dynamics of the series under study and dominates competing standard asymmetric models in several of the considered stock indexes. [ABSTRACT FROM AUTHOR]