石油市场与黄金市场收益率波动溢出效应研究

在总结国内外相关研究的基础上,基于2002年12月2日到2010年9月30日的日数据,建立相应的ARCH族模型,并进行Granger因果关系检验,本文对石油市场和黄金市场收益的波动性、波动的非对称性及其波动溢出效应进行实证分析。结果表明:两市均具有显著的方差时变性及新信息对波动冲击的持续性;GARCH(1,1)模型能够很好地消除其ARCH效应;两市均存在明显的非对称性,即石油市场中利空消息引起的波动比同等利好消息引起的波动要大,而黄金市场相反;两市只存在从石油市场到黄金市场的单向波动溢出效应。研究结果对该领域投资者的相关投资及决策人的决策制定具有重要的参考价值。     

Cointegration test of oil price and us dollar exchange rates for some oil dependent economies

This study examines the long-run dynamics between oil price and the bilateral US dollar exchange rates for a group of oil-dependent economies before and after the 2008–2009 Global Financial Crises. Exchange rates are for the euro, Indian rupee, Russian ruble, South African rand, Ghanaian cedi and the Nigerian naira. The dependence on crude oil of these economies is either because fiscal revenues are primarily reliant on oil export receipts or because industrial production is heavily dependent on petroleum. Empirical results show evidence of a long run equilibrium relationship between oil price and exchange rate, especially for currencies of the key oil-exporting countries. This relationship is more evident in the post crisis period, which is also the period when both exchange rate volatility and the inverse relationship between oil price and exchange rate experienced a significant increase.     

中国金融形势指数混频测度及其预警行为研究

金融形势指数在前瞻性政策制定、金融风险预警等方面发挥着重要作用。本文基于季度GDP及月度经济指标等信息构建了一种混频动态因子FCI模型以实现中国金融形势指数的混频测度,进而分析其风险预警功能。研究结果表明:首先,引入GDP指标的混频FCI模型的测度结果优于同频模型,房地产价格、GDP等是影响金融形势指数的重要指标。其次,混频金融形势指数具有明显的顺周期特征,其与经济景气先行指数的相关性更强,但宏观经济下行时,该指数与一致指数的相关性明显增强。再次,金融形势指数是一致指数的领先因子,对宏观基本面波动趋势具有预警作用。进一步地,金融形势指数还可以明显改善景气指数的样本外预测精度。最后,替换股市及货币政策指标之后,混频FCI模型的估计结果无明显差异,金融形势指数测度结果也极为相似,从而保证了本文研究结论的稳健性。     

The long-run impact of Information and Communication Technology on economic output: The case of Australia

This paper investigates the cointegration and causal relationships between Information and Communication Technology (ICT) and economic output in Australia using data for about five decades. The framework used in this paper is the single-sector aggregate production function, which is the first comprehensive approach of this kind to include ICT and non-ICT capital and other factors to examine long-run Granger causality. The empirical evidence points to a cointegration relationship between ICT capital and output, and implies that ICT capital Granger causes economic output and multifactor productivity, as does non-ICT capital.     

Does volunteer work affect life satisfaction of participants with chronic functional limitations? An empirical investigation

As highlighted in the field of the social determinants of health, welfare programmes need to address psychosocial and material needs, since both are drivers of health conditions. This study is based on the assumption that volunteer work (unpaid activity defined here as ‘social treatment’- policy) may foster a higher life satisfaction of people with a chronic disability (resulting from long-term functional limitations). In particular, the analysis empirically tests a causal effect of an active participation in volunteer work on the life satisfaction of the participants, taking into consideration the role of self-reported quality of the public services provided (transport, emergency health and education services) and the big five individual personality traits (extraversion, agreeableness, conscientiousness, neuroticism and openness).For this propose, data provided by ISFOL (Institute for the Professional Training of Workers) for the year 2014 is used. Firstly, a propensity score matching strategy is implemented. This strategy allows to account for potential confounding factors that can affect both a propensity towards being a volunteer and being very satisfied with life. Secondly, a control function approach is also implemented to check the possible presence of a bi-directionality between participation in volunteering and subjective well-being.The results show that life satisfaction is significantly affected by being actively involved in social unpaid activity. A decisive role to carrying out this ‘social treatment’- policy is however attributed to the overcoming of economic and environmental constraints (e.g. low quality of health-care services) especially in Southern Italy.     

Finance and growth: Time series evidence on causality

This paper re-examines the empirical relationship between financial and economic development while (i) taking into account their dynamics and (ii) differentiating between stock market and banking sector development. We study the cointegration and causality between finance and growth for 22 advanced economies. Our time series analysis suggests that causality patterns depend on whether countries’ financial development stems from the stock market or the banking sector. We show that stock market development tends to cause economic development, while a reverse causality is mostly present between banking sector development and output growth. These findings indicate that the direction of causality between finance and growth is likely to be different at high levels of development.     

Causality between business travel and trade volumes: Empirical evidence from Hong Kong

The study employed the Engle‒Granger vector autoregressive model to investigate the causality relationship between business travel and trade volumes among Hong Kong and Mainland China, Taiwan, and the United States (US) from 2002Q1 to 2012Q4. This study presented evidence that a long-run equilibrium relationship (cointegration) between Hong Kong and the US. Additionally, the US showed bidirectional causality between the two time series variables; however, business travel does Granger-cause trade volumes for the case of Mainland China and Taiwan. The concept of the linkage between business travel and trade volumes was demonstrated in this study. Significantly, this study is expected to benefit Hong Kong policy makers by enabling better planning to attract and understand the fluctuations in international business visitors from its three key trading partners.     

河南省财政科技投入和经济增长的动态均衡关系研究

财政科技投入与经济增长是一个经济系统中相互作用的两个方面,通过分析1978～2008年河南省财政科技投入和经济增长的变化趋势,利用单位根检验、协整检验、Granger因果检验、VAR模型和脉冲响应分析了河南省财政科技投入与经济增长的长期均衡关系与动态关系,结果表明：河南省财政科技投入与经济增长之间存在长期稳定的均衡关系,财政科技投入对经济增长有显著的促进作用,财政科技投入每增长1%,GDP将增长1.052%。最后提出了相应的政策建议。     

基于多分辨分析的股市与债市溢出效应研究

运用多分辨分析研究我国股市与债市溢出效应,对两市收益率序列作信号分解,分解为高频信号和低频信号,比较各层信号占原始信号的能量比发现,股市高频信号占原始信号的能量比远大于低频信号,而债市高频信号和低频信号所占能量比基本持平,从而说明了我国股市主要受短期因素影响,波动较大,而债市波动较小。高频信号的Granger因果关系检验表明,股市与债市之间存在溢出效应,但溢出效应是单向的,即只存在股市向债市的溢出效应,这与债市作为金融市场的＂避风港＂有关。     

金融冲击需求拉动:房价与地价因果关系研究

房价与地价的关系始终是困扰我国理论界和决策层的一个重要问题.通过对供求关系及地租理论的讨论,本文指出地价只能是房价的结果而非原因.通过基于VAR框架的Granger因果分析和脉冲响应分析再一次表明了这一点,而过于宽松的金融环境则是造成近年来房价过快上涨的重要原因.因此,我国应继续采取稳健的货币政策,进一步做好规范土地管理等深层次市场化改革,从根本上确保我国房地产市场取得长远、健康的发展.