陕西省城市化与城市资源压力的协整检验与因果分析

本文从人口、经济、社会、地域景观四个方面,构建陕西省城市化水平综合评价指标体系,时陕西省城市化水平进行综合测度;同时,构建资源压力指数对陕西省城市资源压力进行定量评价,并对其关系进行了协整检验和格兰杰(Granger)因果检验.结果表明:①1990～2009年期间陕西省城市化综合水平持续提高;②城市资源压力指数与城市化...     

International propagation of shocks: A dynamic factor model using survey forecasts

This paper studies the pathways for the propagation of shocks across the G7 and major Asia-Pacific countries using multi-horizon forecasts of real GDP growth from 1995 to 2017. We show that if the forecasts are efficient in the long run, the results obtained using these forecasts are comparable to those obtained from the actual outturns. We measure global business cycle connectedness and study the impacts of both country-specific shocks and common international shocks using a panel factor structural VAR model. Our results suggest that there is a strong convergence of business cycles within the group of industrialized countries, as well as within the group of developing economies during non-recessionary periods. In particular, we find an increased decoupling between the industrialized and developing economies after the 2008 recession. However, the direction of shock spillovers during recessions and other crisis periods varies, depending on the nature and origin of the episode.     

Commodity prices and the CPI: Cointegration, information, and signal extraction

This paper provides theoretical underpinnings for the commodity price/aggregate price relationship, discusses the conditions under which commodity prices are useful information variables for monetary policy, and provides empirical results which suggest why commodity prices have not been very useful for forecasting.     

Vertical separation of transmission control and market efficiency in the wholesale electricity market

This study examines how vertical separation of transmission control affects the wholesale market efficiency in the electric power industry. We analyze a unique regional electricity wholesale market in the U.S. where initially restructuring only occurred in the transmission sector. Following a commonly-used best dispatch model (Wolfram, 1999; Borenstein et al., 2002), we simulate competitive benchmark prices and compare with the best estimates available for actual prices to measure price-cost markups of the wholesale market. Empirical results demonstrate that the vertical separation of transmission control led to a significant increase in market markups in peak-load hours, documenting evidence of enhanced market power. Although we also find a reduction in the price-cost margin in low-demand hours, we reserve caution for this finding.     

House price synchronization across the US states: The role of structural oil shocks

This paper analyzes the impact of disentangled oil shocks on the synchronization in housing price movements across all the US states plus DC. Using a Bayesian dynamic factor model, the house price movements are decomposed into national, regional, and state-specific factors. We then study the impact of oil-specific supply and demand, inventory accumulation, and global demand shocks on the national factor using linear and nonlinear local projection methods. The impulse response analyses suggest that oil-specific supply and consumption demand shocks are most important in driving the national factor. Moreover, as observed from the regime-specific local projection model, these two shocks are found to have a relatively stronger impact in a bearish rather than a bullish national housing market. Our results have important policy implications.     

Random walks,cointegration, and the transmission of shocks across global real estate and equity markets

This article presents tests of the random walk hypothesis for the U.S. and world commercial real estate markets along with the world stock market through utilizing appropriate market indices. The augmented Dickey-Fuller and Phillips-Perron unit root tests and Cochrane variance ratio test find each of these markets to exhibit random walk behavior. In addition, Johansen-Juselius cointegration tests reveal that the three markets are not cointegrated. The vector autoregressive model shows little or no predictive power in explaining the variation in monthly returns. The generalized impulse response functions suggest that shocks stemming from one market are quickly disseminated to the other markets within two months. (JEL G14, G15)     

Macroeconomic responses of emerging market economies to oil price shocks: An analysis by region and resource profile

We analyze the impact of oil price shocks on the macroeconomic fundamentals in emerging economies in three regions that have different resource endowments. The existing literature on emerging economies remains inconclusive on how regional factors and resource characteristics affect the response of macroeconomic variables to oil price shocks. We show that (1) exports in Europe and Central Asia are driven by oil more than East Asia and the Pacific and that (2) policy makers in East Asia and the Pacific should be concerned about real exchange appreciation following a positive oil shock to mitigate losses in the non-oil export market. Analysis by resource endowment further reveals that, in less-resource-intensive economies, an oil price shock causes large variations in consumption and has a negative and persistent impact on the real gross domestic product (GDP). In mineral-exporting economies, real GDP and interest rates are driven largely by oil price shocks. The response of real GDP in mineral-exporting economies is short lived. In oil-exporting economies, only real GDP has a large variation in response to oil price shocks. Our findings highlight the need for customized policy responses to oil price shocks, depending on resource endowments, as we show that a “one size fits all" policy does not exist.     

Identifying credit demand,financial intermediation,and supply of funds shocks: A structural VAR approach

In this paper, we identify three exogenous shocks to credit market: demand for credit, supply of funds into the financial system, and the willingness to lend of financial institutions (financial intermediation), and also, determine the contribution of these shocks to fluctuations in the credit market and overall economic activity. We estimate a structural vector autoregression model where the three credit shocks are identified with a set of sign restrictions motivated by a simple partial equilibrium model of financial intermediation. We find that the credit demand shock explains significantly the variations in the long-term loan rate proxied by the Moody’s Baa corporate bond yield, while the supply of funds shock contributes to most of the fluctuations in the short-term commercial paper rate. The financial intermediation shock drives most of the fluctuations in the quantity of loans as well as the spread between the Baa and commercial paper rates. Of the credit shocks, we find that the financial intermediation shock has the largest impact on real economic activity. In fact, our analysis implies that the sharp decline in output during the 2007–2009 financial crisis is largely attributable to the financial intermediation shock, along with shocks originating outside of the financial system.     

The dynamic interactions among the stock,bond and insurance markets

This paper explores the lead–lag relationships and the dynamic linkages among stock, insurance and bond markets in the developed countries. This is the first empirical study which sheds light on the extent and magnitude of the association among these financial markets used by the Granger causality test of Toda and Yamamoto (1995), generalized impulse response approach, and generalized variance decomposition in a multivariate setting. Our empirical results illustrate that there are indeed various patterns of dynamic relationships. The direction of causality appears to differ across countries. While investigating these interactive relationships under unexpected shocks, there is a one-way significant influence between the life insurance premium and long-run interest rate. These empirical findings serve as valuable applications not only for investors to diversify their risk away as well as to earn the abnormal return, but also for policy-makers to allocate resources more efficiently.     

能源消费与城市化水平关系的动态计量分析——以关中城市群为例

本文构建了测度城市化水平的综合指标,基于1990-2009年关中城市群的时间序列数据,测度了关中城市群的城市化水平.在此基础上,定量分析了关中城市群能源消费与城市化水平的动态因果关系,为制定关中城市群合理的城市化方案和科学的能源消费政策提供依据.     

能源与经济发展的协整关系检验——陕西省与全国平均水平的比较分析

本文根据1978-2008年的统计数据,实证研究了陕西省和全国能源消费与经济增长的协整关系和Granger因果关系。研究结果表明,陕西能源消费与经济增长之间存在长期均衡关系和双向因果关系。与全国平均水平相比,陕西省经济增长的能源消费依赖程度高于全国平均水平。     

Correlated income shocks and excess smoothness of consumption

In the literature, econometricians typically assume that household income is the sum of a random walk permanent component and a transitory component, with uncorrelated permanent and transitory shocks. Using data on realized individual incomes and individual expectations of future incomes from the Survey of Italian Households׳ Income and Wealth, I find that permanent and transitory shocks are negatively correlated. Relaxing the assumption of no correlation between the shocks, I explore the effects of correlated income shocks on the estimated consumption insurance against permanent and transitory shocks, and consumption smoothness using a life-cycle model with self-insurance calibrated to U.S. data. Negatively correlated income shocks result in smoother consumption, and upward-biased estimates of the insurance against transitory (and permanent when borrowing constraints are not tight) income shocks. While the life-cycle model with negatively correlated shocks fits well the sensitivity of consumption to current income shocks observed in U.S. data, it falls short of explaining the sensitivity of consumption to income shocks cumulated over a longer horizon.     

Unemployment shocks and material deprivation in the European Union: A synthetic control approach

This paper analyzes how material deprivation responds to drastic changes in unemployment levels. We explore unemployment shocks registered in some European Union countries during the so-called Great Recession. To do so, we apply the synthetic control methodology, which has been rarely used in the field of distributive analyses. We use this approach to identify the impact of unemployment shocks on material deprivation and conduct different sensitivity analyses to test the results. We find that contrary to the traditional assumption of the low sensitivity of material deprivation measures to changes in the economic cycle, unemployment shocks have a significant and rapid impact on material deprivation. This conclusion holds even when extending the period of analysis, changing the indicator of material deprivation, or modifying the definition of unemployment shock.     

Understanding the effect of technology shocks in SVARs with long-run restrictions

This paper studies the statistical properties of impulse response functions in structural vector autoregressions (SVARs) with a highly persistent variable as hours worked and long-run identifying restrictions. The highly persistent variable is specified as a nearly stationary persistent process. Such a process appears to be particularly well suited to characterize the dynamics of hours worked because it implies a unit root in a finite sample but is asymptotically stationary and persistent. This is typically the case for per capita hours worked which are included in SVARs. Theoretical results derived from this specification allow us to explain most of the empirical findings from SVARs which include US hours worked.     

Dynamic spillovers and linkages between gold,crude oil,S&P 500, and other economic and financial variables. Evidence from the USA

This paper focuses on the price determinants of gold, and on the challenges associated with gold’s safe haven property. Specifically, it analyses the interlinkages and the return spillover effect among gold, crude oil, S&P 500, dollar exchange rate, Consumer Price Index (CPI), economic policy uncertainty and Treasury bills, by employing a Vector Autoregression (VAR) and the spillover index of Diebold and Yilmaz (2012), Diebold and Yılmaz (2014). Monthly realized return series, covering the period from 2nd of January 1986 to 31st of December 2019 are used to examine the short-run linkages, and the return spillovers rolling-window estimates in analyzing the transmission mechanism in a time-varying fashion, respectively. Our findings identify gold as a strong dollar hedge, while crude oil and Treasury bills appear to drive inflation; they also indicate strong spillover effects between exchange rate and gold returns. In general, co-movement dynamics display state-dependent characteristics. Both total and directional spillovers increase significantly during market turbulence caused by severe financial crises such as the Global Financial Crisis (GFC) of 2007–2009 and the European Sovereign Debt Crisis of 2010–2012. Net spillovers switch between positive and negative values for all these markets, implying that the recipient/transmitter position changes drastically with market events. Economic policy uncertainty, stock market returns, and crude oil price returns are the main transmitters, while Treasury bills and CPI are the main return shock recipients. Gold and exchange rate act both as receivers and transmitters over the sample period.     

Common shocks,common transmission mechanisms and time-varying connectedness among Dow Jones Islamic stock market indices and global risk factors

The purpose of this paper is twofold. First, we examine the importance of permanent versus transitory shocks as well as their domestic and foreign components in explaining the business cycle fluctuations of seven Dow Jones Islamic stock markets (DJIM), namely U.S., U.K., Canada, Europe, Asia-Pacific, Japan and GCC, over the period from April 2003 to November 2018, using the permanent-transitory (P-T) decompositions approach of Centoni et al. (2007). Second, we investigate the spillover mechanisms of these shocks across Islamic stock markets and a set of global risk factors, using the Diebold and Yilmaz (DY) (2012) approach. The P-T decomposition results show that the DJIM U.S., U.K., Europe and GCC indices are sensitive to both domestic and foreign shocks, while the DJIM Canada, Japan and Asia-Pacific are most sensitive to domestic shocks. The empirical results of the DY approach indicate that: (i) the return and volatility spillover intensity increase during financial turmoil, supporting evidence of the contagion phenomenon, (ii) the DJIM U.S. is the main transmitter of return and volatility spillovers, while the DJIM GCC is identified as the main receiver of both return and volatility spillovers, (iii) the seven Dow Jones Islamic stock indices are weakly linked to movements of global risk factors, and (iv) there is evidence of possible portfolio diversification between the selected Islamic stock markets and the oil commodity market.     

The effects of oil price shocks on inflation in the G7 countries

This study examines the effects of three types of oil price shocks on inflation in the G7 countries with a new method of isolating oil price shocks. Based on monthly data from January 1997 to January 2019, we find that each oil price shock has the largest effect on U.S. inflation among the G7 countries and each country’s response to oil price shocks is different. Moreover, a rolling-window analysis shows that supply shocks, demand shocks and risk shocks have dynamic effects on inflation. The effect of supply shocks on inflation is strong before the financial crisis, but weakens during the crisis. However, the effect of demand shocks increases sharply in this time. The effect of risk shocks mainly occurs during the financial crisis and the European debt crisis. In addition, this study uses two ways to verify the robustness of the results. Our empirical results have important implications for policymakers and manufacturers, since the results provide a good explanation for the response of inflation in the G7 countries to the oil price shocks from different sources.     

Allowing for uncertainty in exogenous shocks to CGE models: the case of a new renewable energy sector

The paper explores the importance of allowing for uncertainty in the magnitude of exogenous shocks in Computable General Equilibrium (CGE) models. The shock examined is the introduction of a new onshore wind sector in North East Scotland. A simple analytical model is developed to show how, a priori, the size of the new sector (the model shock) is uncertain and asymmetrically distributed as a result of spatial correlation in costs and returns across potential development locations. The importance of allowing for this uncertainty is tested by comparing the results from a CGE model where the sector size is assumed known with certainty to those from a model where the sector size is a random variable with an asymmetric distribution. The results show the extent to which allowing for uncertainty can influence the magnitude of estimated impacts with some variables more sensitive to the uncertainty than others.     

A new look at variation in employment growth in Canada: The role of industry,provincial, national and external factors

We examine fluctuations in employment growth using Canadian data from 1976 to 2010. We consider a wide range of models and examine the sensitivity of our findings to modelling assumptions. The results from our most preferred model, which we selected using the Bayesian Information Criteria, indicate that most of the variance in employment growth that is not due to the idiosyncratic error comes from domestic sources, with most of this coming from industry and provincial factors. Overall, we find that external and national factors play a much smaller role in employment fluctuations than in earlier research. We provide some possible explanations for these differences and discuss the implications of our findings for public policy and theory.     

中国土地出让金与GDP关系研究

研究目的:揭示土地出让金与GDP之间的作用性质和作用程度。研究方法:Granger因果检验,广义脉冲响应和方差分解分析。研究结果:Granger检验结果显示土地出让金收入对GDP存在单向的显著可信的Granger因果关系,广义脉冲响应和方差分解结果显示,土地出让金对GDP的影响大于GDP对土地出让金的影响。研究结论:土地出让金对GDP有着显著的单向作用,GDP对土地出让金有较强的依赖性;而经济波动对土地出让金的影响不明显。