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This paper examines whether stock excess return predictability is dependent upon the stock market volatility. The paper introduces a two-state regime switching model with endogenous feedback effect for the stock return predictability test. To model regime switching, this paper adopted a new approach proposed by Chang et al. (2017), allowing an endogenous feedback effect channel through which the underlying time series affect the next period volatility regime. This paper shows that modeling such a channel is important in the return predictability context to incorporate the leverage effect. Monte Carlo simulation results demonstrated that additional power gain and bias improvement could be achieved in the endogenous regime swithcing (ERS) model, compared to the conventional Markov switching model. The empirical test results using the ERS model indicate that none of the tested predictors have significant predictive power when stock returns are highly volatile. However, the dividend-price ratio and macro variables such as T-bill rate and term spread had significant predictability, at least in the low volatility regime.

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This paper examines the interplay between the strength of network externalities with both degrees of compatibility and product substitutability in a vertical structure. As alternative solutions to double marginalization, we compare the efficiency between integration case and vertical separation in centralized Nash bargaining with a two-part tariff under Cournot and Bertrand competition. In contrast to conventional wisdom, the equivalence between vertical separation under a two-part tariff and vertical integration never holds in network market with compatibility. Consequently, we show that regardless of the strength of network externalities with both degrees of compatibility and product substitutability, industrial profits, social welfare and consumer surplus are always higher under vertical separation in centralized Nash argaining than under integration case. Thus, under Cournot and Bertrand competition, double marginalization is necessary to implement the efficient outcomes, except for the case of full compatibility.

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This paper estimates the progressivity of household net tax burden using the National Survey of Tax and Benefit (NaSTaB). To this aim, I define household disposable income as household income plus transfer benefits minus taxes, and regress log household disposable income on log household income to estimate the household net tax function. The estimated progressivity of household net tax burden is 0.214 over the 2010-2018 period, while year-by-year esimtates for the progressivity increased by about 30% over the same period. I find that most of the increase in the progressivity of household net tax burden is attributable to changes in transfer benefits, especially to the old. Excluding those 65 years and older, taxes are more responsible for the rise in the progressivity than transfer payments.