The cointegrated vector autoregressive model with general deterministic terms

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model $X_t=\gamma Z_t+Y_t$, where $Z_t$ belongs to a large class of deterministic regressors and $Y_t$ is a zero-mean CVAR. We suggest an extended model that can be estimated by reduced rank regression, and give a condition for when the additive and extended models are asymptotically equivalent, as well as an algorithm for deriving the additive model parameters from the extended model parameters. We derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic terms. In particular, we give conditions under which the estimators are asymptotically (mixed) Gaussian, such that associated tests are ${\chi }^2$-distributed.     

The behaviour of betting and currency markets on the night of the EU referendum

We study the behaviours of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. We investigate how the two markets responded to the announcement of the voting results by employing a Bayesian updating methodology to update prior opinion about the likelihood of the final outcome of the vote. We then relate the voting model to the real-time evolution of the market-determined prices as the results were announced. We find that, although both markets appear to be inefficient in absorbing the new information contained in the vote outcomes, the betting market seems less inefficient than the FX market. The different rates of convergence to the fundamental value between the two markets lead to highly profitable arbitrage opportunities.     

人民币实际汇率与贸易条件的实证研究

基于均衡汇率理论,应用协整模型,采用真实变量分析了1980-2003年的人民币实际汇率及其与均衡汇率的失调情况,进而研究了不同时期人民币实际汇率与贸易条件的关系。结果表明:贸易条件与中长期以及短期的实际汇率存在显著的关系,贸易条件的恶化或改善是导致人民币实际汇率升值或贬值的重要原因之一。并且,在不同的发展时期,贸易条件对实际汇率的影响呈现出不同的特点。     

FDI、国际贸易及我国经济增长的协整分析与VECM模型

本文利用我国1983-2004年的经济数据进行实证检验,根据协整理论建立向量误差修正模型(VECM)。实证结果说明外国直接投资、国际贸易与经济增长间具有长期均衡关系,且我国国内生产总值的增长与外国直接投资有双向因果关系,但相互影响的程度不同;我国为出口导向型经济增长国家且外国直接投资对国际贸易具有促进作用.     

再议我国对美出口与美国GDP增长的相关性——基于协整分析和Granger因果检验

针对高运胜(2004)的病态计量模型,本文通过协整分析认为:我国对美出口与美国GDP增长率之间不存在长期均衡关系,但是我国对美出口与美国GDP之间存在一个正相关的长期均衡关系,美国经济发展有利于我国扩大出口。另一个结论是:美国GDP每增加1美元,我国对美出口增加量是减少的,我国对美出口收入弹性大于0小于1。后面的结论支持了高运胜的分析:我国对美出口产品中劳动密集型产品占有较大比重,需求弹性相对较低。Granger因果关系检验表明:美国GDP是我国对美出口的Granger原因,我国对美出口却不是美国GDP的Granger原因,我国对美出口对美国经济产生不了威胁。通过进一步分析,提出了几个政策建议。     

广东省对外贸易与经济增长关系的实证分析

文章采用现代计量经济学的分析方法--协整分析和格兰杰因果关系检验,对广东省改革开放以来对外贸易与经济增长的相互关系进行实证分析,结论表明:广东省对外贸易与经济增长之间存在着相互促进的关系,其中,广东省GDP增长对进、出口增加的促进作用大于进、出口增加对GDP增长的促进作用.     

Granger因果关系检验应用中的若干问题

分析了实践中应用Granger因果关系检验存在的一些问题,如信息遗漏,变量变换改变因果关系的性质、变量单整性对检验程序的影响以及检验模型的选择等,并提出在线性投影上有初步证据的因果概念。进而,应用单整变量之间Granger因果关系的一般检验程序对1978~2013年我国货币供给量与价格水平、产出之间的Granger因果性重新进行检验。     

中美贸易顺差与人民币汇率关系的实证分析

针对中美贸易顺差与人民币汇率关系的问题,本文通过协整分析和Granger因果检验发现,人民币升值在短期难以对中美贸易顺差产生调节作用,从长期影响而言,人民币升值的影响作用也不大。此外,中美贸易顺差在短期还是主要取决于当前贸易收支的现实情况,而中长期则在很大程度上受到美国经济波动的影响。因此,人民币升值不会缓解美国巨大的贸易逆差,而且即使美国贸易收支出现改善也不会对美国经济发展产生显著的正面影响。     

Do denominations of origin provide useful quality signals? The case of Bordeaux wines

This paper investigates whether the existing Denominations of Origin (DOs) provide useful quality signals for wine consumers. To test our conjecture that the large number of existing DOs is too many for the typical consumer, we investigate the patterns of co-movement among average monthly wholesale prices for red wines from the 11 main DOs in Bordeaux over 16 years, 1999–2014. Our results indicate that consumers substitute among these wines according to the similarity of semantic elements in the names of DOs on the labels, and not according to prices or terroir that could reflect intrinsic quality where the names as such cannot. This finding suggests that the current DOs are too numerous and complex to provide helpful quality signals to consumers. A substantial reduction of the number of DOs might be warranted to better address the broader informational issue in wine markets.