公共基础设施投资区域效应与省际分布——基于我国28个省区数据的实证分析

本文利用我国1990～2010年28个省区数据,运用VAR模型验证了省级公共基础设施投资对私人投资、就业和产出的影响,同时根据每个省区相对经济份额测算了公共基础设施投资效应的省际分布。实证结果表明:公共基础设施投资对多数地区的经济活动有促进作用;从全国范围看,区域内公共基础设施投资的直接作用远大于区域外公共基础设施投资的溢出效应;公共基础设施投资效应在地区间相对分布并不均衡,东部地区受益较多,中西部地区受益较少。     

海峡两岸贸易对台湾就业水平的影响——基于VAR模型分析

2010年ECFA的签署标志着两岸经贸合作关系将进一步深化。本文根据1990—2009年20年两岸的进出口贸易数据和台湾就业人数的变化,利用协整检验、脉冲函数和方差分解的实证研究,认为两岸贸易短期内能较明显促进台湾就业人数的增加,长期的拉动效应减弱,总体上两岸贸易有利于台湾的失业率下降。     

中韩新能源产业合作的经济效应实证研究

本文主要探讨中韩新能源领域的合作,尤其是对两国新能源领域中合作的经济效应进行评估。为了评价合作的经济效应,本文建立新能源合作的相对收益指数,并利用向量自回归模型(VAR)探寻能源合作指数(ECI)和贸易、GDP之间的关系,从而论证中韩新能源产业合作的重要性。     

Macroeconomic shocks and stock market returns: the case of Korea

This study examines the effects of macroeconomic shocks on key macro variables, including stock market returns in Korea, using the structural vector autoregression (SVAR) model. We suggest a three-variable SVAR model incorporating inflation, output growth and stock returns. We adopt a nonzero z-ratio restriction for the long-run identifying assumption to allow for economically meaningful relationships among variables. While our results support the negative (positive) relation of demand (supply) shocks to stock returns, we also find that demand shocks influence stock market variance more significantly than supply shocks do. The sub-period analysis finds that global market fluctuations during the global financial crisis have relatively little effect on Korean stock market performance. We also examine a generalized five-variable model that includes the foreign exchange rate and interest rate, confirming the results from the three-variable case.     

A reexamination on the effect of bank competition on bank non-performing loans

This article examines whether competition in the deposit and loan markets results in a more stable or fragile banking industry. Following the assumption that deposit and loan competitions are not separable, a simple equilibrium model is developed. Then, using the aggregate time-series data of Federal Deposit Insurance Corporation (FDIC)-insured financial institutions, we estimate the generalized VAR model of deposit rate (DR), interest margin between the loan and DRs, and non-performing loan ratio. Our results support the competition–fragility hypothesis.     

Effects of government spending shocks in China,Japan, and Korea

ABSTRACT

This study investigates the effects of government spending shocks on various key macro variables in China, Korea, and Japan using structural VAR models. The main empirical findings are as follows. Government spending multipliers of all three countries are far larger than 1 in recent years. The effectiveness of fiscal expansion has not changed markedly in China but substantially increased in Korea (after the Asian financial crisis) and Japan (during zero lower bound period). Increases in the effectiveness of fiscal expansion are associated with changes in the monetary and exchange rate policy regimes and institutions of these countries. Among the three countries, the government spending multiplier is relatively large in China but relatively small in Japan in recent years. Although the effects on exchange rate and trade balance vary across countries and sample periods, real exchange rate tends to depreciate, whereas trade balance tends to improve under flexible exchange rate regimes. Some empirical findings are consistent with standard theory, but others are not.

Abbreviations: NK: New Keynesian VAR: Vector Autoregressive ZLB: Zero Lower Bound     

基于VAR模型的文化消费与文化产业发展的实证研究

基于VAR模型对我国2005-2015年文化消费与文化产业发展的关系进行了脉冲响应分析,研究结论显示：①我国文化消费与文化产业发展之间存在长期的协整关系;②两者彼此呈现出正的脉冲响应,但文化产业发展变动对文化消费冲击的影响相对较弱,而文化消费变动对文化产业发展冲击的影响则更大。鉴于此,尝试从提高居民收入、引导并树立正确文化消费观念以及开发满足大众需求的文化产品三个方面来扩大我国居民文化消费需求水平,从而更好地推动我国文化产业的发展。     

The effectiveness of fiscal spending in Croatia,Slovenia and Serbia: the role of trade openness and public debt level

Various structural characteristics of economies, directly or indirectly, affect the transmission from government stimuli to economic activity and determine the size of fiscal multipliers. In this article, we expand the standard Blanchard–Perotti fiscal SVAR model by incorporating the public debt and trade openness variables to assess the influence of these structural determinants on the effectiveness of fiscal spending in three selected former Yugoslav countries – Slovenia, Croatia and Serbia. The results confirmed the main hypotheses, which state that public debt level and trade openness significantly affect the effectiveness of fiscal spending through the means of reduction in size of fiscal effects in all countries analysed. When comparing internationally, this reduction tends to be more evident in countries with a higher degree of average public debt level and trade openness.     

人民币升值对我国出口贸易结构的影响——基于企业性质和贸易方式的VAR模型研究

人民币升值在多个维度对我国的出口贸易产生了重要的影响。以往的文献集中于研究人民币升值对出口总量和不同商品出口结构的影响,忽视了从贸易结构分析人民币升值对私营企业出口占比和加工贸易出口占比的影响。利用2005--2008年间月度数据进行VAR模型分析,结果表明：人民币升值在短期内会减少私营企业出口占比,但在长期内却能提高私营企业出口占比;同时,在短期内人民币升值会增加加工贸易出口占比,然而在长期内却会减少加工贸易出口占比。     

基于VAR模型的人民币有效汇率就业效应

基于向量自回归模型,对人民币实际有效汇率的就业效应进行实证分析,结果表明就业量和人民币实际有效汇率之间存在长期均衡关系,长期而言人民币实际有效汇率上升1%就业量将下降0.1821%。因此,人民币实际有效汇率的波动率对就业量仅存在微弱的负面影响。