Agricultural and monetary shocks before the great depression: A graph-theoretic causal investigation

This paper uses graph-theoretic methods to investigate the causal relationships between agriculture, money, interest rates, prices, and real GDP in 12 countries during the years 1869–1929. We find that agricultural production directly and indirectly causes real GDP in two-thirds of the cases. Monetary shocks also play an important causal role in about half the cases, but unlike agriculture, the causal links are usually indirect through other variables to real GDP. The direct causal link between money and prices is also particularly strong. Between 1869 and 1929, money causes prices in nearly all of the countries in the sample.     

中国股市收益和交易量动态引导关系的实证分析

实证检验沪深A、B股市场日收益和交易量之间的线性和非线性Granger因果关系。由于序列存在非线性结构可能使检验发现的仅是一种伪Granger因果。我们着重考察运用APGARCH模型过滤后股市收益和交易量之间的线性和非线性Granger因果。研究表明，上证A、B和深证A股市场收益和交易量之间互为线性Granger因果，深证B股仅存在从收益到交易量的线性Granger因果；上证A股市场交易量是收益的非线性Granger引导，深证B股市场收益和交易量之间互为非线性Granger引导。研究发现沪深A、B股市场收益和交易量之间具有相互的动态引导关系。     

Short- and long-run exchange rate effects on forest product trade: Evidence from panel data

Impacts of exchange rates on international forest products trade are widely debated, but the empirical evidence regarding this issue is still inconclusive. Here, we report findings of the impacts of the exchange rates on the main forest product imports and exports of the US, from January 1989 to November 2004. Export data consisted of monthly series of the main products exported by the US to different countries. For imports we used monthly series of the principal products imported by the US from Canada, the major source of imports. The strongest evidence was obtained by pooling the data across countries and products. In the short run, exports were very elastic with respect to the exchange rate (−2.6), while imports were moderately elastic (1.2). In the long run, the elasticity decreased but remained significant (0.5 for both exports and imports). Appreciation of the US dollar tended to matter more than depreciation, but the hypothesis that the effect of exchange rate was symmetric could not be rejected.     

安徽农产品加工业与农民收入关系的实证分析

本文根据安徽省1986-2005年的数据,利用协整检验、granger因果关系检验方法以及误差修正模型,对安徽农产品加工业增加值与农民收入之间的关系进行了实证分析.结果表明,安徽农产品加工业增加值与农民收入之间存在协整关系,且农产品加工业增加值是提高农民收入水平的granger原因,据此对进一步推动安徽省农产品加工业的发展,增强它对农民收入的拉动作用,提出了相应的政策和建议.     

格兰杰因果性检验评述

格兰杰因果性检验是计量经济学中最常用的因果性检验方法，但是因为种种原因，目前很多实证研究存在着对该检验方法的模糊认识和不正确运用。本文回顾了格兰杰因果性检验的发展脉络，对国内目前在实际运用格兰杰因果性时存在的一些问题进行了讨论。     

上海期货交易所金属铜国际定价能力研究

近年来,上海期货交易所作为金属铜的三大国际期货交易市场之一,市场机制日渐成熟,价格发现功能日益增强,但其国际定价能力到底有多大,与伦敦金属交易所和纽约商业交易所的联动关系如何,逐渐受到国际市场关注。本文借助计量分析方法,在相关系数、协整关系、Granger成因、方差分解等方面研究三大交易所铜期货价格之间的相互联系。实证结果表明,伦敦金属期货交易所铜期货的国际定价能力居第一位,上海期货交易所铜期货的国际定价能力在2005年我国汇率制度改革后超越纽约商业交易所居第二位,上海市场期铜价格对其他两大期货市场存在显著的影响力。     

基于MF-VAR的混频数据非线性格兰杰因果关系检验

研究目标：提出一种针对混频数据非线性格兰杰因果关系检验的方法。研究方法：在混频向量自回归模型（MFVAR）的基础上提出构造Wald统计量,通过模拟实验和实证研究考察统计量的性质。研究发现：模拟实验结果表明该检验相对于其他混频检验和低频检验具有更优的性质,并且对检验式误设具有稳健性。进一步针对中国经济增长与消费者信心因果关系的实证研究证明,混频检验与低频检验得出的结论有很大差异,混频检验得出的结论更符合经济理论。研究创新：利用自助法修正统计量在有限样本下产生的水平扭曲,利用典型相关分析实现了数据降维。研究价值：在检验不同频率变量之间的非线性格兰杰因果关系时避免了信息损失和虚增。     

异质性能源消费与经济增长的非线性动态驱动机制

研究目标：测度改革开放近40年来,中国异质性能源消费与经济增长的非线性动态驱动机制。研究方法：基于煤炭、石油、天然气、电力消费以及GDP年度数据,运用马尔科夫区制转移因果(MSC) 模型开展实证研究。研究发现：经济增长能够促进煤炭、石油、天然气和电力等异质性能源消费的提高,其中,石油和天然气消费的增加能够推动经济增长。经济增长对煤炭和石油消费的驱动作用持续期较长,对天然气和电力消费的驱动作用持续期较短,四种能源消费对经济增长驱动作用的时间长度大致相同。近年来,石油消费能够表现出对经济增长的非线性动态驱动作用,经济增长能够对石油和煤炭消费发挥非线性动态驱动作用。在金融危机时期,难以表现出经济增长对能源消费的单向时变因果影响,其中,煤炭、石油和天然气消费无法表现出对经济增长的单向时变因果影响,而电力消费对经济增长存在单向时变因果影响。研究创新：基于MSC模型,判断不同时段内异质性能源消费与经济增长的时变因果关系,进而揭示两者之间的非线性动态驱动机制。研究价值：为中国完成能源产业结构转型以及构建新时代能源产业体系提供经验证据。     

Trade and productivity: Self-selection or learning-by-exporting in India

Recent literature tried to explain the Indian growth miracle in different ways, ranging from trade liberalization to industrial reforms. Using data on Indian manufacturing firms, this paper analyzes the relationship between firm's productivity and export market participation during 1991–2004. While it provides evidence of the self-selection hypothesis by showing that more productive firms become exporters, the results do not show that entry into export markets enhances productivity. The paper examines the explanation of self selection hypothesis for total factor productivity differences across 33,510 exporting and non-exporting firms. It uses propensity score matching to test the learning-by-exporting hypothesis. In line with the prediction of recent heterogeneous firm models of international trade, the main finding of the paper is: more productive firms become exporters but it is not the case that learning by exporting is a channel fuelling growth in Indian manufacturing.     

CLIOMETRICS AND TIME SERIES ECONOMETRICS: SOME THEORY AND APPLICATIONS

Abstract The paper discusses a range of modern time series methods that have become popular in the past 20 years and considers their usefulness for cliometrics research both in theory and via a range of applications. Issues such as, spurious regression, unit roots, cointegration, persistence, causality, structural time series methods, including time varying parameter models, are introduced as are the estimation and testing implications that they involve. Applications include a discussion of the timing and potential causes of the British Industrial Revolution, income ‘convergence’ and the long‐run behaviour of English real wages 1264–1913. Finally some new and potentially useful developments are discussed including the mildly explosive processes; graphical modelling and long memory.