Why are postwar cycles smoother? Impulses or propagation?

This paper asks whether the remarkable decrease in business-cycle variability after the end of World War II has been the result of a more stable structure (the propagation mechanism) or less volatile shocks (the impulses). Using data from the pre-World War I, interwar, and post-World War II periods, for the US, Australia, Italy, Sweden, and the UK, our evidence suggests that the reduced volatility is mostly the result of calmer shocks, and less the consequence of a more stable structure. In the US, for example, we calculate that milder shocks have been responsible for around 80% of the reduction in output variability between interwar and postwar periods, while a more stable structure is responsible for the remaining 20%.     

Forecasting and turning point predictions in a Bayesian panel VAR model

We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model, which accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for hierarchical and for Minnesota-type priors. Formulas for multistep, multiunit point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided.     

中国旅游就业增长方式研究——引入环境压力因素的生产函数分析

文章建立了基于旅游生产函数的旅游就业方程,由此证明了旅游经济和旅游就业不总是存在正比例关系,同时也说明了旅游业的技术水平、相关部门就业关联度和旅游产生的环境压力是决定旅游就业增长方式的主要解释变量。经验研究显示,我国旅游就业主要由接待量增长和景区环境扩容所导致,但文章根据1988~2004年中国旅游业的相关实际数据,运用ADF检验和VAR模型等计量工具得出了不同的实证结论,也就是我国的旅游就业是(部门间)关联就业带动型的;并且在现有状态条件下技术水平的提高对我国旅游就业有微小的负作用,其根本原因还是真正的技术创新能力不足所致。     

我国粮食安全状况及预警系统研究

本文利用VAR模型对我国粮食安全的4个指标进行预测,并利用主成分分析方法合成我国粮食安全综合指数,最后对我国现阶段粮食安全的总体状况进行评价,并对未来2年我国粮食安全状况进行预警。     

中国外汇市场压力与货币政策指标相互作用的实证分析

本文使用非模型依赖的测度方式计算了2000年以来我国的外汇市场压力并对其波动路径做了分析,采用向量自回归方法(VAR)研究了外汇市场压力与国内信贷余额、市场利率水平等货币政策指标变化之间的相互关系.研究表明,我国的外汇市场压力与市场利率在短期内相互影响明显,与国内信贷则没有显著关联.     

我国房地产价格影响因素及其作用效应的计量检验

目前,房地产价格的过快增长已经成为影响民生的突出问题,房地产价格的增长远远超过了居民消费和收入水平的增长。我国政府已经将遏制部分城市房价过快上涨势头、满足人民群众的基本住房需求、促进房地产市场平稳健康发展作为房地产市场的宏观调控目标。因此对房地产价格的影响因素进行实证研究,可以为我国宏观政策的制定与实施提供经验证据。     

国际金融市场与国际原油期货市场溢出效应实证检验——基于VAR-BEKK模型的分析

文章通过构建VAR模型和BEKK模型对道琼斯股票市场、美元/欧元汇率市场与国际原油期货市场的动态关系进行了实证检验。结果表明：道琼斯股票市场与WTI原油期货市场存在双向的价格溢出效应,以及前者向后者的单向波动溢出效应;美元/欧元汇率市场存在向WTI原油期货市场单向的价格溢出效应和波动溢出效应。所以,国际原油期货市场与国际金融市场联系紧密,国际原油的金融属性日益体现,其价格变动更多受外部国际金融市场风险影响。     

城市住宅价格与宏观经济变量的关系分析——基于VAR模型的实证研究

通过分析选取住宅价格指数(HPI)、国内生产总值增长率(GDP)、1-3年期银行贷款利率(IR)作为内生变量,滞后两期的广义货币供应量(M2)作为外生变量,建立了向量自回归模型。并在此基础上,运用协整分析、脉冲响应函数、方差分解和格兰杰因果检验等研究方法对住宅价格指数与宏观经济变量之间的动态相关关系进行了研究。研究结果表明,我国的住宅价格与所选用的宏观经济变量之间存在一定交互响应作用,并就此提出了相关建议。     

A large factor model for forecasting macroeconomic variables in South Africa

This paper uses large Factor Models (FMs), which accommodate a large cross-section of macroeconomic time series for forecasting the per capita growth rate, inflation, and the nominal short-term interest rate for the South African economy. The FMs used in this study contain 267 quarterly series observed over the period 1980Q1-2006Q4. The results, based on the RMSEs of one- to four-quarter-ahead out-of-sample forecasts from 2001Q1 to 2006Q4, indicate that the FMs tend to outperform alternative models such as an unrestricted VAR, Bayesian VARs (BVARs) and a typical New Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model in forecasting the three variables under consideration, hence indicating the blessings of dimensionality.     

Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models

We extend Diebold and Li’s dynamic Nelson-Siegel three-factor model to a broader empirical prospective by including the evaluation of the state space approach and by using nine different ratings for corporate bonds. We find that the dynamic Nelson-Siegel factor AR(1) model outperforms other competitors on the out-of-sample forecast accuracy, especially on the investment-grade bonds for the short-term forecast horizon and on the high-yield bonds for the long-term forecast horizon. The dynamic Nelson-Siegel factor state space model, however, becomes appealing on the high-yield bonds in the short-term forecast horizon, where the factor dynamics are more likely time-varying and parameter instability is more probable in the model specification.