南昌第三产业与经济发展关系的实证分析

本文在分析南昌市第三产业发展特征的基础上,利用Granger因果检验对1987-2006年间,南昌市第三产业与经济发展的实际数据及其关系进行了判断分析,结果表明,南昌市第三产业发展只能在短期内促进南昌经济的增长,而南昌经济的增长和第三产业的发展则没有明显的因果关系.文章最后对产生这种现象的原因进行了分析,并提出了促进南昌市第三产业发展的相关建议.     

经济开放度与金融发展:基于中国数据的实证研究

根据金融发展理论的最新研究,产品市场与金融市场的同时开放能够极大地促进金融体系的发展。文章综合多个衡量我国金融市场和产品市场开放程度的指标,利用因子分析计算我国的经济开放度的数据,使用协整分析和Granger因果检验对经济开放度与金融发展之间的关系进行实证研究。结果发现,除了CAP指标外,经济开放度是BANK的Granger原因,并且与其他的金融发展指标之间存在协整关系。     

Examining the Effect of Globalization on Insurance Activities in Large Emerging Market Economies

This study applies the cross-sectionally augmented distributed lag long-run estimation technique alongside bootstrap panel Granger causality testing to examine the impact of globalization on insurance market activities in large emerging market economies. Economic, social and political globalization indices are considered separately. Two alternative measures of globalization (de facto and de jure) are also used in each case for our estimations. The empirical results confirm the following; first, empirical outcomes are slightly sensitive to the choice of globalization measure used. Second, cross-sectional dependence and cross-country heterogeneity exist among large emerging market economies. Third, causality varies across large emerging economies with different conditions. We make a case for de facto measures as the most appropriate since they reflect actual practices rather than policy claims. We thus reach the conclusion that all dimensions of globalization positively impact life and non-life insurance density.     

Using the U.S. Test of Financial Literacy in Germany—Adaptation and validation

In this article, the authors present the adaptation and validation processes conducted to render the American Test of Financial Literacy (TFL) suitable for use in Germany (TFL-G). First, they outline the translation procedure followed and the various cultural adjustments made in line with international standards. Next, they present results from the validation of the TFL-G's content and relations between test scores and external variables, including test takers' prior economic education and interest in economic topics. Preliminary analyses of data gathered from expert interviews and cognitive labs, and the results of the first administration to first-year higher education students (N = 1,108) indicate that the TFL-G is a valid instrument to assess young adults' understanding of personal finance in Germany. Perspectives for future research are discussed.     

Hedge fund return,volatility asymmetry,and systemic effects: A higher-moment factor-EGARCH model

We investigate whether: (i) co-skewness and co-kurtosis are significant factors in modeling hedge fund (HF) returns, (ii) HF return volatility displays clusters, asymmetry and shock persistence, (iii) volatility clusters of HF styles drive volatility clusters of one another, major asset classes, and major banking organizations, (iv) HF return and volatility patterns changed after the financial crises of 1998 and 2007–2009. A higher-moment EGARCH model and monthly data over January 1993–April 2014 period on 13 HF styles are employed. Out-of-sample forecasts are generated over the period of May 2014–April 2016. Results show: (i) most of the co-skewness and co-kurtosis coefficients are statistically significant, strongly supporting the higher-moment return generating models; (ii) there is strong evidence in favor of EGARCH specification, volatility clustering, asymmetry, and shock persistence; (iii) there were distinct effects on the returns and volatilities of HFs during the 1998 Russian bond crisis, Long-Term Capital Management crisis, and the 2007–2009 financial crisis; and (iv) shocks to volatility clusters of a HF style do spillover to other HF styles, major banking firms, and key asset classes. Our findings have major implications for regulators, investors, HF managers and hedging strategists.     

The determinants of the model-free positive and negative volatilities

In this paper we analyze the role of macroeconomic and financial determinants in explaining stock market volatilities in the U.S. market. Both implied and realized volatility are computed model-free and decomposed into positive and negative components, thereby allowing us to compute directional volatility risk premia. We capture the behaviour of each component of implied volatility and risk premium in relation to their different determinants. The negative implied volatility appears to be linked more towards financial conditions variables such as uncertainty and geopolitical risk indexes, whereas positive implied volatility is driven more by macro variables such as inflation and GDP. There is a clear shift in importance from macro towards financial determinants moving from the pre towards the post financial crisis. A mixed frequency Granger causality approach uncovers causality relationships between volatilities and risk premia and macro variables and vice versa, a finding which is not detected with a conventional low frequency VAR model.     

Are Google searches making the Bitcoin market run amok? A tail event analysis

This paper aims at detecting extreme value spillover between the large co-movements of Bitcoin returns and the rate of change in investor attention (for which Google search is used as a proxy). For this purpose, we use the concept of the Granger causality in tail event. Thus, we test whether positive, or negative, extreme values of rate of change in Google searches have a significant predictive power for negative, or positive, large values of Bitcoin returns, and vice versa . Our results shed light on a unidirectional causality effect from the returns to investor attention in the first place, before becoming bidirectional when the time delay increases.     

Further insights on the relationship between SP500, VIX and volume: a new asymmetric causality test1

In the aim to explore the complex relationships between S&P500, VIX and volume we introduce a Granger causality test using the nonlinear statistic of Asymmetric Partial Transfer Entropy (APTE). Through a simulation exercise, it arises that the APTE offers precise information on the nature of the connectivity. Our empirical findings concretize the information flow that links volume, S&P500 and VIX, and merge the leverage effect and the asymmetric stock return-volume relationship into a unified framework of analysis. More specifically, when we condition on the tails, the detected causal channel provides empirical validation of the noise trading contribution to large swings in financial markets, because of the increase of trading volume and the subsequent worsening ability of market prices to adjust to new information.     

Investor attention and cryptocurrency: Evidence from wavelet-based quantile Granger causality analysis

This paper investigates the relationship between investor attention and the major cryptocurrency markets by wavelet-based quantile Granger causality. The wavelet analysis illustrates the interdependence between investor attention and the cryptocurrency returns. Multi-scale quantile Granger causality based on wavelet decomposition further demonstrates bidirectional Granger causality between investor attention and the returns of Bitcoin, Ethereum, Ripple and Litecoin for all quantiles, except for the medium. Among them, the Granger causality from investor attention to the returns is relatively very weak for Ethereum. In the short term, the Granger causality from these cryptocurrency returns to investor attention seems symmetric, but in the medium- and long- term, the causality shows some asymmetry. The Granger causality from investor attention to these cryptocurrency returns is asymmetric and varies across cryptocurrencies and time scales. Specifically, investor attention has a relatively stronger impact on the cryptocurrency returns in bearish markets than that in bullish markets in the short term.     

生产性服务业利用外资与我国服务业经济增长的实证分析

本文采用1993-2008年的经济数据,从生产性服务业外商直接投资对中国服务业经济增长的影响出发,对二者的关系进行了协整检验和格兰杰检验。结果发现,生产性服务业吸引外商直接投资和服务业经济增长之间存在Granger因果关系,生产性服务业FDI与服务业经济增长之间存在着长期稳定的均衡关系,在此基础上又进一步分析不同行业的生产性服务业FDI对其经济增长的影响,并基于检验结果做出结论。