Dynamics of Urban Residential Property Prices— A Case Study of the Manhattan Market

In a multivariate vector autoregression framework, this paper investigates the weak efficiency of the urban residential real estate market and the cause of weak efficiency. An error correction model is used to estimate long-term relationships among apartment prices and adjustment speed from disequilibrium to equilibrium. Based on a unique dataset of the Manhattan market, the efficiency of this market, seasonal stationarity of property prices, and the weak exogeneity of leading sub-markets are studied. Our results indicate that, in a market of less heterogeneity and higher transaction volumes, the weak efficiency hypothesis is rejected as in previous studies. This result implies that heterogeneity and lack of transaction information may not be the direct source of market inefficiency. Meanwhile, it is found that there are stable long-term relations among prices of different sub-markets. Interestingly, the price of one-bedroom co-operatives (co-op) is weakly exogenous. This implies that the starting co-op for most home buyers in urban areas is a leading indicator of the entire market, which contradicts the claim that high-end luxury co-op leads the market.     

Empirical Analysis of the Relationship between Incomes of Farmers and Intra-industry Trade of Agricultural Products

With the slashing reform towards liberalizing trade in the last two decades, the international trade of agricultural products between China and America is intra-industry trade in character. In this paper, we select two time series： incomes of farmers and Grubel-Lloyd index of intra-industry trade. Through cointegrating these two variables, we estimate an error correction model （ECM）. And it is found that increasing intra-industry trade of agricultural products can help raise incomes of farmers.     

人民币实际汇率与外商直接投资的实证分析

本文通过运用协整分析和格兰杰因果关系检验方法对1980-2004年间的外商直接投资与人民币汇率的关系进行了研究,文章认为外商直接投资的增加会导致人民币汇率的升值,其研究结果表明:人民币汇率与外商直接投资之间存在着长期的均衡关系,而且外商直接投资是人民币汇率的格兰杰原因。     

Cointegration Analysis of Audit Pricing Model: A Panel Unit Root Test Approach

In this study, we provide evidence on the stationarity of real audit fees and the major explanatory variables frequently used in the audit pricing models from a pooled data set, using panel unit root tests developed by Im et al. (1997). The panel unit root test supports the hypothesis of non‐stationarity of audit fees and their major determinants. We demonstrate that variables in the audit pricing model that were previously found to have impact on audit fees may turn out to be useless when more powerful tests like panel tests are applied to these variables. Our evidence implies that failing to employ appropriate procedure to test cointegration and to specify the appropriate model for audit fees and their determinants would generate results that may have exaggerated the effects of some variables on audit fees.     

Cointegration, Efficiency and Forecasting in the Currency Market

Existing literature on using the cointegration approach to examine the efficiency of the foreign exchange market gives mixed results. Arguments typically focus on econometric testing techniques, with fractional cointegration being the most current one. This paper tries to look at the issue from an economic perspective. It shows that the cointegrating relationship, whether cointegrated or fractionally cointegrated, is found mainly among the currencies of the European Monetary System which are set to fluctuate within a given range. Hence, there is no inconsistency with the notion of market efficiency. Yet, exploiting such a cointegrating relationship is helpful in currency forecasting. There is some evidence that restricting the forecasting model to consist of only cointegrated currencies improves forecasting efficiency.     

Estimating the export and import demand for manufactured goods: The role of FDI

In this paper we estimate the demand for exports and imports of manufactured goods for a panel containing the majority of the EU countries as well as the United States and Japan. The model includes as explanatory factors both the traditional determinants of trade and also the stock of foreign direct investment (FDI). We apply panel unit root and cointegration tests allowing for heterogeneity. Whereas there is no evidence of cointegration when using just the traditional formulation, the results are favorable to the existence of long-run relationships linking the variables of the augmented model. Moreover, the results point mainly to a complementary relationship between trade and FDI.     

The Generalized Composite Commodity Theorem and Food Demand Estimation

This article reports tests of aggregation over consumer food products and estimates of aggregate food demand elasticities. Evidence that food demand variables follow unit root processes leads us to build on and simplify existing tests of the Generalized Composite Commodity Theorem. We compute food demand elasticities using a method of cointegration that is shown to apply to a convenient but nonlinear functional form. Estimates are based on consumer reported expenditure data rather than commercial disappearance data.     

股价波动、通货膨胀与固定资产投资——基于协整和VEC模型的经验证据

经验证据表明,我国股票市场时全社会固定资产投资的影响作用还比较小,股票市场对固定资产投资的冲击在部分时段是负效应,可能存在部分"挤出效应".而影响固定资产投资的主要因素是GDP的变动.另外在我国,通货膨胀率对固定资产投资的影响比较明显.从短期来看,固定资产投资也带动了通货膨胀.国内固定资产投资的波动不仅受偏离均衡的影响,还受到GDP、Cpi、上证综合指数与存款利率水平自身变动的影响.央行应加强审慎的宏观调控,优化信贷结构,加强农村水利建设的长期投资,为经济结构调整和经济增长方式的转变提供稳定的货币金融环境.     

Further evidence on finance-growth causality: A panel data analysis

This paper reassesses the causal relationship between financial development and economic growth. Using recently developed panel methods on a data set of 71 developed and developing countries over the period 1960-2004, our study confirms previous results of a bidirectional causality between finance and growth. In addition, we show significant differences among country groups when considering both long-run and short-run causality. While in low and middle income countries there is no supportive evidence of short-run causality between financial development and economic growth, in high income countries economic growth significantly affects financial development.