Why are the effects of money-supply shocks asymmetric? Convex aggregate supply or “pushing on a string”?

This paper examines whether the asymmetric effect of money on output is an international phenomenon and investigates the reasons for this asymmetry. Annual data from the 1950–1990 period for a panel of 38 countries strongly support asymmetry internationally: negative money-supply shocks are shown to have a stronger effect on output than positive shocks (whose effect is often statistically insignificant). Next, the paper distinguishes between two types of theories that are consistent with the observed output effects: the convex aggregate supply and the “pushing on a string” views, that predict that money shocks have different asymmetric effects on prices. Somewhat surprisingly, however, the effects of money on prices are shown to be symmetric. This finding is consistent with both theories being operative.     

The impact of income,economic openness and interest rates on housing prices in China: evidence from dynamic panel quantile regression

The rapid growth of housing prices has attracted the attention of the whole of society in China. This article adopts the dynamic panel quantile regression to investigate the impact of income, economic openness and interest rates on housing prices in China, based on the panel data of 35 major cities from 2002 to 2012. Compared with previous studies, we can more precisely and reasonably discuss the impact of these variables on different levels of housing prices. The empirical results indicate that the impact of independent variables on housing prices is heterogeneous across quantiles. Specifically, the impact of income is positive and significant across quantiles, and the impact becomes greater at the 90th and 95th quantiles. Economic openness has a positive and significant effect at the 5th–80th quantiles, which support the Balassa–Samuelson effect, but it is insignificant at the 90th and 95th quantiles. The impact of interest rates is positive and significant at low quantiles, but the impact is negative and insignificant at high quantiles. Furthermore, we also find that the coefficients of interest rates at various quantiles are smaller. In addition, the population has a significant positive effect across quantiles. Finally, we provide important policy implications.     

Energy prices, energy conservation, and economic growth: Evidence from the postwar United States

The effects of energy prices and energy conservation on economic growth have been examined empirically for the postwar U.S. economy. A vector autoregressive model includes real GDP, real capital, labor, real energy prices, and the Divisia energy index. A key feature of our finding is that some damaging effects of energy conservation on the macroeconomy are statistically insignificant in the short run, and the insignificant short-run effects are quickly enervated over time. Alternative measures of energy use also suggest that energy conservation has no significant impact on real output growth. The findings are generally consistent with the neoclassical position that real economic growth of the United States is neutral with respect to changes in energy use. One exception is the case that energy prices are omitted from the model.     

THE INSTABILITY IN THE MONETARY POLICY REACTION FUNCTION AND THE ESTIMATION OF MONETARY POLICY SHOCKS

We extend Romer and Romer's (2004) analysis of the estimation and the effects of monetary policy shocks by controlling for (1) changes in the monetary policy reaction function and (2) changes in the response of output and prices over time with an extended data set. The results suggest that the post 1979 responses of output and prices to a monetary policy shock are significantly different from what has been reported for the whole sample: While output and prices respond significantly and negatively if their response is estimated for the whole sample period (1969–2005), the response of output is insignificant for the period of 1979–2005, and the response of prices is much weaker. The analysis of the changes in the monetary policy conducted over time allows us to partly attribute the diminished price and output responses to a successful monetary policy which led to a less volatile economy during the great moderation. (JEL E52, E32, C50)     

Hedonic Wine Price Functions and Measurement Error

Accumulated theoretical and empirical evidence suggests that wine prices depend on quality, reputation and objective characteristics. Unlike previous studies, we recognize that quality and reputation are latent constructs and therefore employ factor analysis and 2SLS techniques to consistently estimate hedonic prices in the presence of attributes measured with error. The application to Australian premium wines points to significant reputation effects but insignificant quality effects. It is also illustrated that inappropriately using standard OLS procedures can seriously distort the statistical significance of attributes, the implicit marginal attribute prices, and the predictions of 'average' prices for a given set of characteristics.     

Volatility spill-overs in commodity spot prices: New empirical results

The classical rational expectations model of commodity markets implies that expected spot price risk is an explanatory variable in spot price regressions; and also that inventory carryover, which is reduced by a larger price variance, creates autoregressive conditional heteroscedastic processes in spot prices. In order to falsify/verify this theory, it has typically been assumed that the square root of the conditional variance of spot prices, a proxy for spot price risk, enters the conditional mean function of spot prices. Based on this simple representation, a typical but counter intuitive outcome has been that spot price risk has an insignificant impact on spot prices, see, e.g., Beck (Beck, S., 1993. A Rational Expectations Model of Time Varying Risk Premia in Commodities Futures Markets: Theory and Evidence. International Economic Review 34, 149–168, Beck, S., 2001. Autoregressive Conditional Heteroskedasticity in Commodity Spot Prices. Journal of Applied Econometrics 16, 115–132). In this paper, we propose an alternative functional relationship (from GARCH(1,1) to GARCH(1,1)-AR(m)) between spot price risk and spot prices that is fully supported by the classical rational expectations model, and based on this new representation we are able to provide stronger empirical support for Muth's rational expectation theory.     

Monopsony and discriminating monopsony in the nursing market

Theory suggests that equities are a good hedge against inflation. However, most of the empirical evidence for industrialized economies suggests that the relationship between stock returns and inflation is negative. One explanation is the negative correlation between inflation and real output growth. This paper examines the relationship between inflation and stock returns for ten important Emerging Stock Market (ESM) markets, namely, Chile, Mexico, Brazil, Argentina, Thailand, S. Korea, Malaysia, Hong Kong, Philippines and Turkey, during the 1990s. To anticipate the results, the relationship between stock returns and inflation, for the whole sample period, is positive and statistically significant for three of the sample ESMs, while it is positive (but statistically insignificant) for a further three. Only for one ESM is the relationship negative and statistically significant. This result may be due to the role of money and the positive relationship between consumer prices and output.     

The effect of the National Food Reserve Agency on maize market prices in Tanzania

Tanzania's National Food Reserve Agency has a mandate to ensure food security through procuring, reserving and recycling grain (primarily maize) in a cost‐effective manner. This mandate excludes a price stabilization role. Procurement prices, based on production costs, are often set above market prices to encourage production. Several disbursements channels exist: grain provided free or at a discount to targeted vulnerable households; subsidized sales to millers; and sales to prisons or nongovernmental aid programs, typically at market‐related prices. Given the perception that these activities are distortive, we use time‐series econometrics to model maize price dynamics in select wholesale markets to capture the Agency's market impact. We find that its pricing strategy had an insignificant impact on prices during 2010/11–2014/15 despite a fairly significant presence in at least some regional markets. We recommend that the Agency reconsiders offering a price premium on procured maize or selling maize at discount to millers, as limited market spill‐over effects imply the benefits are captured by only a few, even though its practice of providing subsidized or free maize to vulnerable people is not in question. Furthermore, current storage capacity expansion plans are not required and inconsistent with its food security mandate.     

Goods and Services Tax Effects on Goods and Services Included in the Consumer Price Index Basket*

This paper quantifies the magnitude and duration of the goods and services tax (GST) effect on the quarterly growth rate of the 11 groups of the consumer price index (CPI) in Australia using the Box and Tiao intervention analysis. It was found that prices did not increase significantly before or after the introduction of GST, beyond what could have been expected on the basis of the discernible systematic pattern of fluctuation in the data. Furthermore, the varying one-off effect of GST on prices was significant in seven out of 11 CPI groups; the effect was found insignificant for the other four CPI groups.     

Deliveries on Commodity Futures Contracts

Deliveries on futures contracts are widely thought to be relatively insignificant in amount; indeed sizeable deliveries are taken to indicate problems in a futures market. In fact, deliveries on five of the largest, physical delivery, futures markets in the US average approximately 10 per cent of the maximum open interest in each delivery month. Analysis also demonstrated the value of the timing and location options often provided by contract specifications. One implication is that measures of market performance like hedging effectiveness are sensitive to the imbedded options' effects on prices     

A cointegration analysis of agricultural,energy and bio-fuel spot,and futures prices

This article features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot, and future prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10 years of daily spot and futures prices for corn, wheat, sugar ethanol, and oil prices from Datastream for the period 19 July 2006 to 2 July 2015. The analysis features Engle-Granger pairwise cointegration and partial cointegration. Pairs of series, that are cointegrated, are analysed using Markov-switching VECM and Impulse Response Analysis, which confirms that these markets have significant linkages that vary according to whether they are in low or high volatility regimes.     

The impact of subprime mortgage on correlation between stock and FX markets

Our researching period contains the American subprime mortgage crisis, an insignificant financial crisis and the Asian financial crisis periods. We analyse and compare the interrelations between the stock and Foreign Exchange (FX) markets in Taiwan by the daily data of stock prices and NTD/US exchange rates. The empirical results found that there is no effect on the long-term equilibrium between the stock and FX markets during the American subprime mortgage crisis. It also shows that, whether financial crisis occurs or not, there is no cointegration between the stock and FX markets. Furthermore, the results find that there exists bidirectional causality between the stock and FX markets among the American subprime mortgage crisis and the Asian financial crisis period. However, there is only unidirectional relationship from stock prices to exchange rates during insignificant financial crisis period. Such results imply that two financial crises do significantly affect the short-term interrelationships between the stock and FX markets and lead to more importance for the connection between two markets.     

Interdependencies in the energy–bioenergy–food price systems: A cointegration analysis

The present paper studies the interdependencies between the energy, bioenergy and food prices. We develop a vertically integrated multi-input, multi-output market model with two channels of price transmission: a direct biofuel channel and an indirect input channel. We test the theoretical hypothesis by applying time-series analytical mechanisms to nine major traded agricultural commodity prices, including corn, wheat, rice, sugar, soybeans, cotton, banana, sorghum and tea, along with one weighted average world crude oil price. The data consists of 783 weekly observations extending from January 1994 to December 2008. The empirical findings confirm the theoretical hypothesis that the prices for crude oil and agricultural commodities are interdependent including also commodities not directly used in bioenergy production: an increase in oil price by 1 $/barrel increases the agricultural commodity prices between 0.10 $/tonne and 1.80 $/tonne. Contrary to the theoretical predictions, the indirect input channel of price transmission is found to be small and statistically insignificant.     

Childcare quality and pricing: evidence from Wisconsin

Childcare prices vary dramatically both between and within states. We identify the effects of demographic and provider characteristics on childcare pricing, but focus primarily on whether unique government-provided information on childcare quality has an effect on pricing. Using provider-level observations across three adjacent counties in southern Wisconsin, we find that this government-provided information on childcare quality does not significantly affect pricing. Recognizing that information asymmetry may be the root cause of the insignificant relationship, we test the relationship further within multiple subsamples and with alternative models. Only the lowest quality childcare providers are significantly associated with lower prices in areas that we hypothesize suffer from greater information asymmetry.     

Union wage setting and unemployment in the Netherlands (1965–1987)

This paper presents an empirical model of union wage setting and employment. The (Stackelberg) equilibrium unemployment rate is shown to be a function of taxes, the replacement ratio, the gap between consumer and producer prices, productivity effects, and the rate of long-term unemployment. The model is estimated with aggregate data from the private sector in the Netherlands (1965–1987). The results suggest that the equilibrium unemployment rate is pushed upwards by taxes, the replacement ratio and by the gap between consumer and producer prices, and is reduced by productivity effects. Insider-outsider effects appear insignificant.     

城市地价空间自相关分析——以宿州市为例

运用全局和局域自相关统计量及地统计学半变异函数分析方法,对宿州市商业和住宅地价的全局自相关、各项异性及局域自相关特征进行了全面分析.结果表明:在2 800m范围内,宿州市商业和住宅地价均存在较强的正自相关性且趋于高值集聚,随着相关距离的增大,地价半方差按球状模型曲线增长,自相关性逐渐减弱;在不同方向上,地价的空间自相关特征不尽相同,南北方向上的空间自相关范围要大于东西方向,但随机性较强,自相关程度较东西方向弱;在全局呈显著自相关的情形下局域地价也主要呈空间集聚格局,但部分地区表现出异质性.     

Foreign output and price shocks and macroeconomic activity in Korea

This paper examines the effects of foreign output and price shocks on output and the price level in Korea. The framework is a nine variable VAR model which includes output, price level, interest rate, real exchange rate, money supply, government expenditures, government debt, and foreign output and price variables. Foreign output and price effects are evaluated through computation of variance decompositions and impulse response functions. The variance decompositions indicate significant effects of foreign output on domestic output and significant effects of foreign prices on domestic output and the price level. The impulse response functions indicate positive short-run effects of foreign output on domestic output but insignificant effects on the price level while foreign price shocks have significant negative effects on output and significant positive effects on the price level for approximately two years. The results indicate the importance of including foreign shock variables when modeling the Korean economy.     

The Law of One Price: A Canada/U.S. exploration

The paper examines whether arbitrage tends to equalize commodity prices for internationally traded homogenous products. It also investigates whether the increasing integration of North American markets has reduced price differences over time, and tests the validity of the so-called Law of One Price. We find that price differences for homogenous tradables between Canada and the U.S. are smaller than those for differentiated tradables and non-tradables, and are statistically insignificant over the period 1985 to 1999. We find no support for the notion that the increasing integration of North American markets due to trade liberalization has reduced price differences between Canada and the United States. Instead, the shifts in the price differences (expressed in the same currency) generally reflected fluctuations in the exchange rate. Canadian prices adapt with a lag to U.S. price changes that are brought about by changes in the exchange rate.     

中国利率政策与房地产价格的互动关系研究

本文通过建立结构向量自回归模型对中国房地产价格与利率政策之间的互动关系进行了探讨,发现中国的利率政策并不能对房地产价格形成有效的调节,造成了利率政策房地产价格传导渠道的失效;相反,房地产价格冲击对利率政策却具有显著的正向影响,说明中国历史上的利率政策制定的确参考了房地产价格因素,并对其作出了一定的反应。本文还利用模拟分析对样本期间内我国利率政策的实施效果进行了分析评价。研究结论对中国中央银行利率政策的有效执行及房地产市场调控具有重要政策启示。     

房价对居民消费的跨空间影响*——基于中国278个城市空间面板数据的实证研究

本文首先基于住房财富效应，构建了房价变动对居民消费的跨空间影响的分析框架。该框架阐释了住房财富效应的区域差异：不同地区间房价的空间传导、居民的异地消费以及消费的示范效应，使得本地房价变动可能引起周边地区居民消费的连锁反应。其后，本文利用中国278个地级市2000—2018年数据，通过空间面板杜宾模型，实证考察了不同地区住房财富效应的差异，以及房价变动对居民消费的跨空间影响。结果显示：（1）虽然中国整体上存在住房财富效应，但西部城市财富效应并不显著，并且核心城市还存在负财富效应。（2）不同城市间房价对消费存在跨区影响。东部城市和核心城市对周边城市消费的正向影响很显著，而边缘城市则对周边城市消费有显著的负向影响。（3）不同城市间的消费也具有空间上的示范效应。最后，本文从房价和居民消费空间联动的视角，为政府扩大内需、调控房地产市场提供了相关政策建议。