Labor productivity forecasts based on a Beveridge–Nelson filter: Is there statistical evidence for a slowdown?

In this paper, I assess the evidence for a structural break in labor productivity growth in the years before the Great Recession with the use of out-of-sample forecasting exercises for the years 2010 to 2019 and the recently developed Beveridge–Nelson filter. Models based on a Beveridge–Nelson filter with no structural breaks outperform those allowing for a structural break, and there is statistically significant evidence that they outperform the random walk, though all models were too optimistic about labor productivity growth. Recently developed statistical tests do point to the presence of a structural break before the Great Recession, but uncertainty about the data-generating process for labor productivity growth or the timing and magnitude of the break may be too great to be helpful in forecast preparation.     

Fractional integration in daily stock market indices at Jordan's Amman stock exchange

Using daily data on five sectoral indices from 2006 to 2014, this paper aims to investigate the possibility of fractional integration in sectoral returns (and their volatility measures) at Jordan's Amman stock exchange (ASE). Empirical analysis, using the log-periodogram (LP) and local whittle (LW) based semi-parametric fractional differencing techniques suggest that all sectoral returns at ASE exhibit short memory. However, in the case of volatility measures, we found evidence of long memory. Following the recent literature that argues that structural breaks in a time series could also explain the presence of long memory, we tested the volatility measures for the presence of structural breaks. We found that long memory in some volatility measures could be attributed to the presence of structural breaks. Furthermore, using impulse response functions (IRF) based on ARFIMA, we found that shocks to sectoral returns at ASE exhibit short run persistence, whereas shocks to volatility measures display long run persistence.     

Fundamentals and Exchange Rate Prediction Revisited

This paper measures latent fundamental exchange rates with independent component‐based rates constructed from a cross‐section of exchange rates and then uses their deviations from exchange rates to forecast. Empirical results indicate that the independent component‐based model and its Taylor rule and purchasing power parity augmented models are superior to the random walk in predicting exchange rates. These results are robust to several scenarios and are likely to be observed if the U.S. sources and the recursive scheme are applied. Our results reveal that information regarding the third moment of exchange rate changes is helpful to explain exchange rate movements.     

制度的博弈论解释批判——基于现实行路规则复杂多样性的分析

主流观点认为,制度是博弈过程中参与人的均衡策略,但对避免相向碰撞的行路规则的考察发现,现实中经济行为者采纳的惯例化规则远较制度的均衡策略论揭示的复杂多样。制度博弈均衡策略论的这种不充足解释力不仅仅是因为现有的制度博弈模型忽略了一些现实的基本行为策略,也因为博弈论框架只是一个有关社会交互问题的部分性分析框架,并不能覆盖所有的解决社会交互问题的方法。一个统一性的制度解释框架宜放弃博弈论的分析思路,更多地考虑制度的互补性问题。     

Random Walks and Market Efficiency Tests of Latin American Emerging Equity Markets: A Revisit

The few existing studies on equity price dynamics and market efficiency for Latin American emerging equity markets show conflicting results. This study uses multiple varianceratio and auto-regressive fractionally integrated moving-average tests and new data (U.S. dollar-based national equity indices for the 1987–1997 period) to clarify these results. Documented evidence shows that equity prices in major Latin American emerging equity markets — Argentina, Brazil, Chile and Mexico—follow a random walk, and that they are, generally, weak-form efficient. In sum, therefore, the evidence suggests that international investors in these markets cannot use historical information to design systematically profitable trading schemes because future long-term returns are not dependent on past returns.     

Do Malaysian house prices follow a random walk? Evidence from univariate and panel LM unit root tests with one and two structural breaks

In this article we apply univariate and panel Lagrange Multiplier (LM) unit root tests with one and twostructural breaks proposed by Lee and Strazicich (2003, 2004) and Im et al. (2005) to examine housing prices for five different housing price indices (all housing, detached housing, semi-detached housing, terrace housing and high-rise housing) in 14 states of Malaysia to test whether housing prices exhibit a random walk. Our main finding from the univariate LM unit root tests is that for the vast majority of states housing prices follow a stationary process about a segmented trend. The results of the panel LM unit root tests provide overwhelming evidence that house prices are segmented trend reverting.     

Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy?

Structural breaks have been suggested by several economists as a possible explanation for the Meese–Rogoff puzzle, in the sense that an exchange rate model can outperform the random walk in terms of the out-of-sample forecasting error if the period under investigation is free of structural breaks. The results indicate that structural breaks cannot explain the inability of the flexible price monetary model to outperform the random walk. The only plausible explanation for the Meese–Rogoff puzzle is that forecasting accuracy is traditionally assessed by magnitude-only measures. When forecasting accuracy is assessed by alternative measures that do not rely exclusively on the magnitude of error, the monetary model can outperform the random walk regardless of the presence or otherwise of structural breaks.     

Random walk and efficiency tests in the Asia-Pacific foreign exchange markets: Evidence from the post-Asian currency crisis data

This paper empirically tests the random walk and efficiency hypothesis for 12 Asia-Pacific foreign exchange markets. The hypothesis is tested using individual as well as panel unit root tests and two variance-ratio tests. The study covers the high (daily) and medium (weekly) frequency post-Asian crisis spot exchange rate data from January 1998 to July 2007. The inferential outcomes do not differ substantially between the unit root tests and the variance-ratio tests when using daily data but differ significantly when using weekly data. With the daily data, both types of unit root tests identify unit root components for all the series and two variance-ratio tests provide the evidence of martingale behavior for majority of the exchange rates tested. With the weekly data, panel unit root tests identify unit root component for the exchange rates and, the unit root tests on a single series basis identify unit root component for 10 foreign exchange markets. However, the variance-ratio tests reject the martingale null for the majority of the exchange rates when using weekly data.     

股市有免费午餐吗——一个基于随机过程的理论分析

关于股市是否存在＂免费午餐＂,理论存在着截然不同的观点。一些经济学家依据＂有效市场假说＂,认为＂天下没有免费的午餐＂。然而,近年来人们逐渐认识到,在有关金融市场的理论模型中,某些形式巧妙的＂免费午餐＂是可以得到的。这一结果与基本的经济学原理相冲突,一些经济学家对解释这一有趣的问题做出了努力。本文从股票回报率随机波动的假设出发,利用伊滕定理,在关于投资组合回报率大于政府债券回报率的概率计算基础上,推导出股市存在免费午餐的条件,并对每一因素进行了分析和概率计算。在此基础上,对投资者提出了理性投资建议。     

The Random Walk Hypothesis in the Emerging Indian Stock Market

This paper examines the random walk hypothesis in the emerging Indian stock market using daily data on individual stocks. The statistical evidence in this paper rejects the random walk hypothesis. The results suggest that daily returns earned by individual stocks and by an equally weighted portfolio show significant non–linear dependence and persistent volatility effects. The non–linear dependence takes the form of ARCH–type conditional heteroskedasticity and does not appear to be caused by nonstationarity of underlying economic variables. Though conditional volatility is time varying, it does not explain expected returns.