Trend inflation estimates for Thailand from disaggregated data

This paper constructs a new trend inflation measure for Thailand based on the multivariate unobserved components model with stochastic volatility and outlier adjustments (MUCSVO) of Stock and Watson (2016). Similar to core inflation, the MUCSVO produces an estimate of trend inflation utilizing information in disaggregated data, but also allows for time-varying weights that depend on the volatility, persistence and comovement of the underlying sectoral inflation series. Based on the empirical results, the majority of sectoral weights show significant time-variation in contrast to their relatively stable expenditure shares. Volatile food and energy sectors that are typically excluded from core inflation measures also turn out to help explain approximately 10 percent of MUCSVO trend inflation rate movements. Compared against other benchmark trend inflation measures, we show that the MUCSVO delivers trend estimates that are smoother, more precise, and are able to forecast average inflation over the 1–3 year horizon more accurately both in-sample and out-of-sample, especially since the year 2000.     

Estimation of conditional asset pricing models with integrated variables in the beta specification

We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a nonstationary right hand side. Our approach uses the cointegrating relationships between the integrated variables in order to maintain the stationarity of the right hand side of the estimated model, thus, avoiding the issues that arise in the case of an unbalanced regression. We present an example where our methodology is applied to the returns of funds-of-funds which are based on the Morningstar mutual fund ranking system. The results provide evidence that the residuals of possible cointegrating relationships between integrated variables in the specification of the conditional betas may reveal significant information concerning the dynamics of the betas.     

Commodity financialization and sector ETFs: Evidence from crude oil futures

We investigate the diversification benefits of energy assets in the setting of commodity financialization using data on crude oil futures and Sector ETFs (SPDRs). Correlations between commodities and financial assets increased during the post-Commodity Futures Modernization Act (CFMA)/commodity bull cycle period, resulting in lower benefits of diversification. However, we find that conditional correlations between crude oil futures and sector ETFs meaningfully increased only since the 2008–09 financial crisis. The results therefore suggest that the financial crisis, rather than CFMA regulation, explains changes in the diversification benefits of commodities. Moreover, we find that oil futures returns are less correlated with SPDRs than with the S&P index. Thus, energy futures, and crude oil in particular, offer the potential for diversification benefits in sector-style investing.     

贝叶斯视角下时变参数VAR建模——兼论“斜率之谜”

中国渐进式的改革实践要求中国宏观时间序列的建模能够允许参数平滑变化,而传统的VAR模型对此无能为力。本文详细阐述了在贝叶斯估计框架下,如何利用MCMC算法,建立时变参数VAR模型的过程,并利用该模型对徐高(2008)的数据重新进行了拟合,发现其文中提出的斜率之谜现象不复存在,因此时变参数VAR模型在拟合中国宏观时间序列方面更为精准。     

Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)

We analyse the dynamic dependence structure between broad stock market indexes from the United States (S&P500), Britain (FTSE100), Brazil (BOVESPA) and Mexico (PCMX). We employ Patton’s [Int. Econ. Rev., 2006, 2, 527–556] conditional copula setting and additionally observe the impact of different copula functions on Value at Risk (VaR) estimation. We conclude that the dependence between BOVESPA and the other indexes has intensified since the beginning of 2007. In our case the particular copula form is not crucial for VaR estimation. A goodness-of-fit test based on the parametric bootstrap is also applied. The best fits are obtained via time constant Student-t and time-varying Normal copulas.     

The Asian Financial Crisis and Investors’ Risk Aversion

This paper investigates whether changes in U.S. and Japanese banks’ risk aversion, measured by changes in the relative risk aversion (RRA) coefficient, are associated with the 1997 Asian financial crisis. It finds that an increase in U.S. banks’ risk aversion is unambiguously associated with the Asian crisis, while an increase in Japanese banks’ risk aversion is only weakly associated. The results suggest that, in addition to deteriorating fundamentals of the affected countries, investors’ (banks’) increased risk aversion appears to have reinforced observed capital outflows.     

Analysis of high dimensional multivariate stochastic volatility models

This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models with time varying correlations. The model proposed and considered here combines features of the classical factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its special cases, is developed that encompasses estimation, filtering and model choice. The centerpieces of the estimation algorithm (which relies on MCMC methods) are: (1) a reduced blocking scheme for sampling the free elements of the loading matrix and the factors and (2) a special method for sampling the parameters of the univariate SV process. The resulting algorithm is scalable in terms of series and factors and simulation-efficient. Methods for estimating the log-likelihood function and the filtered values of the time-varying volatilities and correlations are also provided. The performance and effectiveness of the inferential methods are extensively tested using simulated data where models up to 50 dimensions and 688 parameters are fit and studied. The performance of our model, in relation to various multivariate GARCH models, is also evaluated using a real data set of weekly returns on a set of 10 international stock indices. We consider the performance along two dimensions: the ability to correctly estimate the conditional covariance matrix of future returns and the unconditional and conditional coverage of the 5% and 1% value-at-risk (VaR) measures of four pre-defined portfolios.     

Equity market integration in Latin America: A time-varying integration score analysis

We develop a measure of market integration score by extending the methodology of Akdogan [J. Portf. Manage. (1996) 33; J. Portf. Manage. (1997) 82] to reflect the degree of integration of domestic equity markets with other markets in and beyond the region. We empirically estimate the integration scores for a sample of six Latin American markets between January 1988 and December 2001. We find a trend towards increased regional integration relative to global integration until the mid-1990s. A distinct change in trend is noted during the second half of the 1990s, with global integration proceeding faster than regional integration.     

The impacts of country characteristics upon the value of information technology as measured by productive efficiency

Based on the theory of production, this paper investigates information technology (IT) contribution at a country level by linking it to the complementarity/substitutability phenomena created by the joint presence of IT and the five selected national characteristics. It negates the relationship between IT value and productivity based on a comprehensive panel data set from 25 countries over the period 1997-2006, when the individual analytical method is applied and productive efficiency is used as the performance criterion. The IT productivity paradox is re-examined under the one-equation stochastic frontier production model, while the influence of the five national characteristics is tested under the two-equation stochastic frontier production model. The findings include the following: (i) The IT productivity paradox occurs in not only middle-income (developing) countries but also high-income (developed) countries. (ii) Eastern European countries gain more productive efficiency than the G7 countries when IT is considered as a production factor. (iii) Different national characteristics have impacts on a country's output and productive efficiency. (iv) The chosen national characteristics present both complementarity and substitutability phenomena in association with IT investment, however, the joint presence of national savings and IT creates the substitutability phenomenon across different frontiers. (v) In linking cross-country differences in the IT investments to stages of economic development, our complimentary qualitative analysis tends to conclude that the investments in IT in the advanced developed countries (e.g., G7) and some of the newly developed or emerging economies are likely needed to keep the pace with other competitors and maintain their status of economic development; and the IT investments in the Eastern European countries are necessary to reach the competitive level as well as to raise their economic-development level. (vi) An important policy implication is that policy makers must carefully utilize national characteristics while formulating IT investment strategies.     

时变弹性生产函数生产率分解公式及其政策含义

本文基于时变弹性生产函数,推导出经济增长来源于资本、劳动力、中性技术进步和偏向性技术进步贡献度之和;索洛余值在数值上等于中性技术进步贡献度与偏向性技术进步贡献度之和,也等于资本生产增长率与劳动生产增长率的加权和,其权数分别为资本和劳动时变产出弹性。研究认为,提高劳动收入份额,有利于促进经济向集约型发展方式转变。