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1.
通过建立财产险保费增长的自回归分布滞后模型,使用Engle-Granger两步法对1980—2010年我国产险保费增长进行实证研究。研究结果表明,我国财产险保费与GDP之间存在着协整关系,自回归分布滞后模型比经典回归模型具有更好的拟合效果和预测能力。  相似文献   

2.
    
We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage opportunities to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying transaction costs. We find that (a) the futures market leads in the process of price discovery and (b) the presence of arbitrage opportunities has a strong impact on the dynamics of the price discovery process.  相似文献   

3.
    
We examine regime-dependent dynamics between Korea's representative implied volatility index (VKOSPI) and stock market index (KOSPI 200) using a two-regime threshold vector error correction model (TVECM). By analyzing high-quality daily data from January 2003 to June 2013, we make the following interesting observations based on a model with regime splitting. First, regardless of regime, we observe a negative contemporaneous correlation between the VKOSPI and KOSPI 200. Second, while the KOSPI 200 generally leads the VKOSPI under normal market conditions (lower regime), this relationship is overturned when market volatility measured by the VKOSPI level is extremely high (upper regime). Third, in the TVECM framework, the effects of lagged VKOSPI on the KOSPI 200 are positive only in the upper regime, while the effects of lagged KOSPI 200 on the VKOSPI are positive only in the lower regime; this cannot be explained by the traditional framework of an asymmetric volatility phenomenon. Fourth, the KOSPI 200 exhibits greater sensitivity to implied volatility shocks in the upper regime than it does to those in the lower regime.  相似文献   

4.
    
We argue that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such ‘noise momentum’ is an important determinant of the overall arbitrage process. We design an empirical strategy to capture noise momentum in a two‐period generalized error correction model. Applying it to a wide range of international spot‐futures market pairs, we document pervasive evidence of noise momentum around the world.  相似文献   

5.
This paper presents rent models for retail and office property in the United Kingdom. Panel data are used covering eleven regions for 29 years, enabling us to overcome the limitations of a relatively short time series. We use an error correction model (ECM) framework to estimate long-run equilibrium relationships and short-term dynamic corrections. The combination of panel data and an ECM is an innovative approach that is still being developed in economics. We construct new supply series that combine infrequent stock data with more frequent construction data. Separate regional models are estimated for retail and office properties. The regions are then combined into a number of panels on the basis of the income and price elasticities in the long-run and short-run models. Unlike previous studies, we find no evidence of a board north–south divide between low growth and high growth regions. Like these studies we do find a London effect: in London, demand elasticities for space with respect to both price (rent) and income are much lower in magnitude. We conclude that, while the economic drivers may vary, there is no evidence of differences in the operation of the regional property markets outside London. Elasticities for retail and office are similar. Our final models are parsimonious with single measures of economic activity and of supply and always support the use of an ECM.  相似文献   

6.
Since removal of the peg in July 2005, China has entered a new era of a managed floating exchange rate system. Although many observers have raised concerns about the impact of such a policy change on China's trade surplus, less attention has been paid to its effects on financial markets. This paper investigates the impact of recent renminbi appreciation on stock prices in China since removal of the peg, using threshold cointegration and momentum threshold error-correction model (M-TECM). The results clearly illustrate that no short-run causal relation exists, and an asymmetric causal relationship running from the renminbi/U. S. dollar exchange rate to Chinese Shanghai A-share stock prices in the long run is based on M-TECM. Policy and the broader implications of the findings are discussed.  相似文献   

7.
The Dynamic Impact of Macro Shocks on Insurance Premiums   总被引:1,自引:0,他引:1  
We develop a model that investigates the relation between insurance premiums and macroeconomic variables, including oil price, interest rate, aggregate supply, and aggregate demand. We then use a multivariate structural vector error correction model to distinguish the effects arising from permanent and transitory components of insurance premiums. Changes in the transitory component indicate that our model captures key historical events. Although real shocks originating from oil price and aggregate supply explain the behavior of insurance premiums well, we show that financial market shocks are the main driving force behind the recent increasing volatility in insurance premiums in the U.S. market.
Ying Sophie HuangEmail:
  相似文献   

8.
本文基于条件ECM模型,对中国原油价格与原油供给和需求以及影响供给和需求的国内生产总值和原油已探明储量的内生性或外生性进行检验。结果表明,原油价格具有弱外生性、强外生性的特点,已经成为中国经济体系的外生变量;中国原油价格脱离国内供求关系,没有完全反映中国自身原油资源稀缺程度。中国势必要推进原油定价机制的转型,为夺取定价权提供基础。  相似文献   

9.
This paper examines the (long-run) intra-zonal elasticities between the spot exchange rates of the deutschemark and other major ERM currencies (French franc, Belgian franc, Dutch guilder, Danish krone, Italian lira and British pound) under the EMS. The findings show that under the fixed-but-adjustable rate system, the hypothesis of no cointegration can be rejected for all chosen ERM currency pairs and unit restriction on zonal elasticities can be accepted for almost all cointegrated currency pairs. On the other hand, under the fixed-rate system, Danish krone, Italian lira and British pound fail the cointegration test and the zonal elasticities for all cointegrated currency pairs are rejected to be unity. The study signifies less intense linkages of the ERM currencies without parity realignments. Finally, the deutschmark took the role of error-correcting process for one cointegrated currency pair under the fixed-but-adjustable-rate system, and it performed the same role for two pairs under the fixed-rate system. Hence, deutschmark should not be assumed a priori statistically exogenous under the EMS  相似文献   

10.
There is no prior published Australian research on earnings momentum and only one prior unpublished work of limited depth and scope. We provide some of the first Australian evidence on earnings momentum and revisit price momentum with the first Australian evidence of the behaviour of returns beyond 12 months. Price momentum is found to be a feature of this market, but there is some reversal of returns during the second year after portfolio formation, suggesting trend chasing behaviour. Earnings momentum is also present, but with weak continuation into the second year. Price momentum and earnings momentum are shown to provide independent explanatory power over future returns.  相似文献   

11.
Excess money supply was one factor among several contributing to the 1997 financial crisis in East Asian countries. The crisis resulted in abnormal currency depreciation. Using monthly data over the period 1987-2000 and error correction modeling techniques, we pay tribute to Rudiger Dornbusch by providing strong evidence for his "overshooting" hypothesis in Thailand, Korea, Indonesia, Malaysia, and the Philippines. We show that overshooting is a short-run phenomenon; in the long run, money seems to be neutral.  相似文献   

12.
We study the cointegration properties of data on aggregate output, five proxies for labor, two proxies for private capital, public capital, and disaggregated public capital for the United States for 1948–1993. We find evidence of multiple cointegrating vectors; we typically find three or four cointegrating vectors depending on which combination of proxies is evaluated. When public capital is disaggregated by type there is less evidence for cointegration. Finally, innovations in public capital have long lasting effects on output, labor, and private capital, and innovations to output, labor, and private capital also have long lasting effects on public capital.  相似文献   

13.
This paper proposes an alternative model for analyzing financial ratio behavior. The model postulates that (1) firms' financial ratios reflect unexpected changes in industry conditions; and (2) managers attempt to move their financial ratio toward the long-run desirable target. This model is employed to assess the relative weights of financial ratio movement that are associated with these two forces. The results show that changes in financial ratios can be due to both external shocks and strategic adjustment by management. The amount of financial ratio smoothing due to strategic adjustment appears to be substantial. Furthermore, the speed of convergence toward the optimal targets varies across industries and firms of different size.  相似文献   

14.
我国铝期货与现货价格均衡关系实证研究   总被引:1,自引:0,他引:1  
期货市场与现货市场是一对关联程度非常高的市场,本文以上海期货交易所铝期货和现货为例,利用协整检验、误差修正模型等方法,得到了我国铝期货市场与现货市场长期均衡关系和短期动态关联关系,表明我国铝期货市场已基本具备市场价格发现功能,并形成了价格自我约束机制。  相似文献   

15.
当前,青年就业问题已成为我国劳动力市场的重点和难点问题,本文分析了当前就业压力过大的成因,在研究内蒙古自治区青年群体就业的现状后,找出了影响就业的各种因素,建立了影响就业的指标体系,并运用逐步回归法从中提取主要的影响因素进行实证分析。另外从三大产业对就业的影响入手,从而寻求解决问题的突破口,提出相关的解决内蒙古青年就业的一些建议。  相似文献   

16.
    
The breakdown of the Bretton Woods system and the adoption of generalized floating exchange rates ushered in a new era of exchange rate volatility and uncertainty. This increased volatility leads economists to search for economic models able to describe observed exchange rate behavior. In the present paper, we propose more general STAR transition functions that encompass both threshold nonlinearity and asymmetric effects. Our framework allows for a gradual adjustment from one regime to another and considers threshold effects by encompassing other existing models, such as TAR models. We apply our methodology to three different exchange rate data sets: one for developing countries and official nominal exchange rates, the second for emerging market economies using black market exchange rates, and the third for OECD economies.  相似文献   

17.
We test the occurrence of periodically recurring rational bubbles in the exchange rate of each of the “BRICS” countries currency relative to the US dollar. The forward exchange rate is used as a proxy for the expected exchange rate, different Purchasing Parity Power (PPP)-based rules for the fundamental exchange rate are considered, and its initial value is endogenously determined. For the chosen model, the regime switching equation satisfactorily fits the data, confirming the presence of rational bubbles for all countries. The dynamics of the exchange rate series for each country is interpreted with the help of the estimated bubbles. The bubbles are compared across countries, found to be cointegrated, and this is interpreted as evidence of the international transmission of exchange rate shocks between these countries.  相似文献   

18.
    
We apply cointegration methodology to the New Zealand and Australian 90-day, three-year and 10-year debt and futures markets. We compare traditional methods of calculating hedge ratios with those computed by using univariate and multivariate error correction models. We use out-of-sample forecasting to determine which approach is the most effective. Contrary to recent research, our results show that univariate and multivariate error correction models do not outperform more traditional methods of constructing hedges.  相似文献   

19.
Time-Varying Arrival Rates of Informed and Uninformed Trades   总被引:3,自引:0,他引:3  
We propose a dynamic econometric microstructure model of trading,and we investigate how the dynamics of trades and trade compositioninteract with the evolution of market liquidity, market depth,and order flow. We estimate a bivariate generalized autoregressiveintensity process for the arrival rates of informed and uninformedtrades for 16 actively traded stocks over 15 years of transactiondata. Our results show that both informed and uninformed tradesare highly persistent, but that the uninformed arrival forecastsrespond negatively to past forecasts of the informed intensity.Our estimation generates daily conditional arrival rates ofinformed and uninformed trades, which we use to construct forecastsof the probability of information-based trade (PIN). These forecastsare used in turn to forecast market liquidity as measured bybid-ask spreads and the price impact of orders. We observe thatPINs vary across assets and over time, and most importantlythat they are correlated across assets. Our analysis shows thatone principal component explains much of the daily variationin PINs and that this systemic liquidity factor may be importantfor asset pricing. We also find that PINs tend to rise beforeearnings announcement days and decline afterwards.  相似文献   

20.
    
Hedge ratio stability is especially important because hedgers are likely to use the estimate of historical hedge ratios to hedge future positions of their portfolios. One main purpose of the present study is to examine hedge ratio stability during the Asian financial crisis and post‐crisis, periods characterized by high price volatility, using the Nikkei 225, Hang Seng, and KOSPI 200 index futures contracts. Empirical results from the Hang Seng and the KOSPI 200 futures markets indicate that during the two periods of high price volatility, hedge ratios appeared to be unstable. Additionally, both in‐sample and out‐of‐sample evidences indicate that, for hedging effectiveness, the time‐varying hedge ratios clearly outperform the constant hedge ratios for the Hang Seng and the KOSPI 200 index futures, consistent with the findings of hedge ratio instability. The comparison results of different time‐varying hedge ratios support the conclusion that the bivariate error correction generalized autoregressive conditional heteroskedastic (1,1) model enhances hedging effectiveness compared to other time‐varying hedge ratios. Finally, this study examines the impact of hedge duration on hedging effectiveness and hedge ratios. The empirical results indicate that hedging effectiveness improves with increasing hedge duration.  相似文献   

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