经常项目可兑换条件下的我国进出口关联性检验:1994-2003

本文根据中国1994-2003年度的季度统计数据,借鉴Husted(1992)模型,运用Engle-Granger(1987)两步法以及格兰杰因果关系检验模型,对我国进、出口之间的协整关系和因果关系进行了检验。结果表明,我国进口和出口之间存在协整关系,从而说明我国的贸易平衡是可维持的,当滞后期为1期时,出口是进口的Granger原因;当滞后期数取2～4期时,进口是出口的Granger原因。     

我国城乡教育差距与城乡收入差距的协整研究 ——基于1992~2012年的数据分析

本文着力于研究我国城乡教育差距与城乡收入差距之间的关系,基于我国1992~2012年的相关数据和协整理论得出以下结论:(1)我国城乡教育差距与城乡收入差距之间存在着一种长期均衡的协整关系;(2)城乡教育差距的拉大会扩大我国的城乡收入差距,当期城乡教育差距每提高1%,将导致城乡收入差距扩大15.10731%.     

中国经济增长和经济波动：一个需求面分析

本文试图从经济的需求面出发,对中国总产出的增长和波动提供一个解释,同时采用1993年1月到2006年4月的季度数据对中国经济进行协整和向量误差修正分析.实证结果显示投资、政府支出、出口和货币供给能够解释中国产出的大部分变化.在产出、投资和货币供给之间存在双向因果关系,而且政府支出和出口会导致产出、投资和货币供给变化.     

FDI与我国对外贸易关系的实证研究

利用中国1979年到2008年FDI量和进出口贸易量的时间序列数据,采用协整检验和Granger因果关系检验,对外商直接投资与我国对外贸易的关系进行了检验。协整检验的结果表明,FDI与出口和进口之间存在长期均衡关系,FDI对我国出口和进口都具有正的边际产出,且对出口的边际产出更大;而Granger因果关系检验的结果则表明,出口和进口的增长是FDI增长的原因。因此,我国应当重视吸引FDI的流入,优化我国的产业结构,更好地促进国民经济的发展。     

服务业外商直接投资与服务贸易出口——基于中国数据的实证研究

文章选取1992—2011年的年度数据,采用协整分析、格兰杰因果关系检验和方差分解等方法,对我国服务贸易出口与服务业实际利用FDI及服务贸易开放度之间的关系进行了研究。协整检验的结果表明我国服务贸易出口与服务业实际利用FDI和服务贸易开放度之间存在长期均衡关系,服务业实际利用FDI每增加1%,将带动服务贸易出口增长0.92%,服务贸易开放度水平每增加1%,将带动服务贸易出口增长8.29%。Gr anger因果关系检验显示服务业实际利用FDI和服务贸易出口存在着双向因果关系,服务贸易开放度与服务贸易出口的格兰杰因果关系不显著。方差分解表明服务业实际利用FDI对我国服务贸易出口变动的贡献度较大,而服务贸易开放度对服务贸易出口变动的的贡献度则较小。     

货币供给与经济发展关系的实证分析

本文采用协整理论对1993至2006年我国的货币供给量(M1)与表征我国宏观经济发展的各指标(GDP、CPI、FER、FAI)进行了平稳性分析、协整检验和Granger因果关系分析,得出结论货币供给与物价和产出之间都存在显著的长期协整关系,这些变量组之间都存在稳定的长期均衡关系,中央银行可以根据均衡关系适当调节货币供给增量和存量以控制国家的通货膨胀与通货膨胀预期.     

上证A股与B股协整关系的实证研究

本文基于协整理论,使用1998年1月5日至2001年2月19日和2001年2月20日至2007年7月20日两个阶段上证A股指数与B股指数数据对上证A股与B股之间的关系进行了研究.结果显示,B股市场时境内投资者开放前A股与B股之间不存在协整关系,而B股市场对境内投资者开放后,A股与B股存在协整关系.进一步地对不存在协整关系的第一阶段进行了Granger因果检验;对存在协整关系的第二阶段构建了误差修正模型,针对所得结论提出了建议.     

公共资本对经济增长的影响效应研究

本文在梳理现有文献的基础上,分析了1978-2002年我国公共资本与经济增长之间的相关关系。文中作者建立了生产函数模型估计了公共资本的产出效应,并在此基础上采用Engle-Granger两步法和Johanson检验法估计了公共资本和产出之间的协整关系。结果发现我国公共资本的产出弹性在0.4左右,公共资本与GDP存在长期的协整关系。     

我国进口与出口间的关系检验

本文根据我国 1980 - 2 0 0 1年的有关数据 ,在建立VAR模型的基础上 ,检验了我国进口与出口之间的协整关系 ;在建立格兰杰因果关系检验模型的基础上检验了二者间的因果关系。检验结果表明 ,二者之间不仅存在着协整关系 ,而且在滞后期数为 1～ 2时进口是出口的Granger原因 ,反之 ,却不成立。基于检验结果 ,本文在最后部分提出了相关的政策建议。     

我国出口贸易与GDP的短期和长期关系实证研究

本文运用协整理论和误差修正模型对我国1985-2005年的出口贸易和GDP之间的关系进行了实证研究,研究认为:我国的出口贸易和GDP之间存在着长期均衡的协整关系和短期的动态调整机制;我国的出口贸易对GDP的弹性小于1.     

Taiwan's exports and trade imbalance against US and Japan: an empirical investigation based on error correction model

This study employs recent advances in time-series analysis, cointegration and error correction model, to examine the long-run and short-run determinants of the exports and trade imbalance between the USA, Japan, and Taiwan. The unit root tests reveal nonstationary in most of the variables. The cointegration tests affirm positive the long-run associations are between the exchange rate changes and the exports as well as the trade imbalance. Once these long-run effects are accounted for, it is found that there are evidences of short-run relationship between these variables.     

Export-led Growth and Import Compression: Further Time Series Evidence From LDCs

This paper conducts tests of the export-led growth and the import-compression hypotheses for four less developed countries (LDCs) – India, Nigeria, Fiji and Papua New Guinea (PNG). Based on Johansen's multiple cointegration test preceded by unit root tests, we test for cointegration between real output, exports and imports. Non-rejection of cointegration between the variables excludes the possibility of Granger non-causality and suggests at least one way Granger causality. Real output, exports and imports are found to be cointegrated in two of the countries and the resulting error-correction models suggest that Granger causality runs from exports and imports to real output in these cases. Exogeneity tests are conducted for exports with respect to real output. However, while the assumption of weak exogeneity is validated in two of the countries, the null hypothesis of super exogeneity is rejected. The test results therefore cast doubts on policy recommendations for the LDCs based on the export-led growth hypothesis.     

Mexico's Economic Growth and the Balance of Payments Constraint: A cointegration analysis

This paper applies the basic balance-of-payments constraint model (BPCmodel), developed by A.P. Thirlwall, to the analysis of Mexico's economic growth in 1950-96.With the use of unit-root tests and cointegration analysis it estimates the long-run association between the growth of Mexico's real exports and real output in 1950-96, and selected subperiods. The results tend to show significant and positive cointegration between these two variables, thus giving support to the BPC-model as a relevant hypothesis to explain Mexico's long-term economic growth. Moreover, the findings of cointegration tests for selected subperiods suggest that the slowdown in its economic growth since 1982 is associated with an increase in the long-term income elasticity of imports that made more binding the balance-of-payments constraint on the expansion of domestic output.     

Growth and dynamics of Australia's education exports

Australia is the third largest global exporter of education services and generated $18.6 billion in 2009–2010. The education sector ranks as the top services exports and number three of all export earners in recent years after coal and iron ore. This study analyses the major determinants of Australia's education exports. Using the Johansen cointegration technique, a stable long run relationship is found between education export earnings, real exchange rate, world income and terms of trade. It is also found that policy reforms relating to opening up the education sector from the mid 1980s had a positive growth effect on the sector.     

Balance-of-payments constrained growth model for the Turkish economy

Economists have investigated the relationship between output and export in order to explain economic growth for long years. Numerous studies have found very close correspondence between the growth of output and export. It is commonly known that Thirlwall's papers indicate very tight relationship between the growth of output and the ratio of the growth of exports to the income elasticity of demand for imports. This paper aims to apply Thirlwall's balance-of-payments-constrained (BPC) model for the Turkish economy for 1968–2011 period. This research also evaluates the procedures of testing Thirlwall's principle by estimation of the income elasticity of demand for imports using the test of stationarity and cointegration methods. The findings are in accordance with the Harrod–Thirlwall growth model. The test results of Johansen cointegration procedure and the comments on these results are presented as well.     

An Empirical Analysis of Short-run and Long-run Irish Export Functions: Does exchange rate volatility matter?

We analyse the long-run and short-run relationship between merchandise export volume and its determinants, foreign income, relative prices and exchange rate volatility, using the techniques of cointegration and error correction. The model was estimated for Irish exports and sectoral exports SITC 0-4 and SITC 5-8 to the EU using quarterly data for the period 1978-1998. The sectoral classification corresponds to the exports of mainly indigenous Irish firms and multinationals, respectively. We find that the exchange rate volatility has no effect on the volume of trade in the short-run but a significant positive effect in the long run. This is true in the aggregate and for our sectoral classifications. We can tentatively conclude that the decline in intra-EU exchange rate volatility associated with the single currency will lead to a long-run fall in Irish exports to the EU.     

Exports,investments and economic development of pre-accession countries of the European Union: an empirical investigation of Bulgaria and Romania

This paper attempts to analyse the relationship between exports, investments and economic development in two pre-accession countries of the European Union, Bulgaria and Romania. For investigation of this relationship a multivariate autoregressive VAR model is used. The results of cointegration analysis showed that there is one cointegrated vector among exports, investments and economic growth for the two countries. Granger causality tests based on error correction models (ECM) indicated that there is a ‘strong Granger causal’ relation between economic growth and exports as well as between investments and exports for the two countries. In addition, economic development and capital accumulation in an economy seem to have just as much of an influence on exports as exports have on capital accumulation and economic development.     

A further examination of the export-led growth hypothesis

This article challenges the common view that exports generally contribute more to GDP growth than a pure change in export volume, as the export-led growth hypothesis predicts. Applying panel cointegration techniques to a production function with non-export GDP as the dependent variable, we find for a sample of 45 developing countries that: (i) exports have a positive short-run effect on non-export GDP and vice versa (short-run bidirectional causality), (ii) the long-run effect of exports on non-export output, however, is negative on average, but (iii) there are large differences in the long-run effect of exports on non-export GDP across countries. Cross-sectional regressions indicate that these cross-country differences in the long-run effect of exports on non-export GDP are significantly negatively related to cross-country differences in primary export dependence and business and labor market regulation. In contrast, there is no significant association between the growth effect of exports and the capacity of a country to absorb new knowledge.     

Sustainability of current account deficits in India: an intertemporal perspective

This study examines the sustainability of current account deficits (CADs) and the validity of intertemporal budget constraint (IBC) in India. The long-run model is estimated on annual data for the period 1950–1951 to 2009–2010. The optimal single-equation and maximum-likelihood (ML) system estimates of the model provide a consistent support for the long-run relationship between imports and exports. The OLSGH estimates provide no support and that ML system estimates a consistent support for cointegration in both the models estimated with one and two structural breaks in level. The new cointegration breakdown tests generally suggest that the cointegration prevails from 1951 to 2010. The evidence supporting the cointegration between imports and exports overwhelms the evidence providing a mixed or no support for cointegration. The estimates of slope parameter above zero and the dominant support for cointegration between imports and exports vindicate the validity of IBC and the sustainability of CADs. The short-term management strategies need to be accompanied by long-term improvements in productivity to reduce inflation, lever up the competitiveness of exports and ensure the sustainability of the external value of domestic currency.     

基于协整和脉冲响应的中国煤炭贸易量变化对其价格影响研究

煤炭价格的变化受整体供求平衡以及各种政策的影响而发生波动,但是有学者认为中国煤炭的贸易状况也会对其价格产生影响,本文收集了2000年至2009年煤炭进口和出口的数额以及2000年至2009年煤炭的价格,采用协整检验和脉冲响应方法对其进行分析,得出结论如下:第一,煤炭价格与煤炭进出口额之间存在长期均衡关系,但煤炭价格对煤炭进出口额的带动作用较强,而煤炭进出口额对煤炭价格的促进作用则较弱。第二,煤炭出口额在煤炭价格冲击下的响应效应有5年的滞后期,并且非常持久。第三,煤炭进口额和出口额之间长期并不存在关联,但是在短期内存在正相关性,据此分析结果,本文提出了对应的政策建议。