PRACTITIONERS CORNER: Tests for Cointegration in Models with Regime and Trend Shifts

ABSTRACT Recently Gregory and Hansen (1996) proposed a number of residual-based tests for cointegration in models with the possibility of a structural break. They considered three models: (i) level shift; (ii) level shift with trend; and (iii) regime shift (both level shift and slope coefficients can change). We introduce a more general model that permits a trend shift as well as a regime shift and we provide the critical values appropriate for testing this hypothesis.     

Subprime mortgages and the housing bubble

This paper explores the link between the house-price expectations of mortgage lenders and the extent of subprime lending. It argues that bubble conditions in the housing market are likely to spur subprime lending, with favorable price expectations easing the default concerns of lenders and thus increasing their willingness to extend loans to risky borrowers. Since the demand created by subprime lending feeds back onto house prices, such lending also helps to fuel an emerging housing bubble. These ideas are illustrated in a theoretical model, and tentative support is found in empirical work exploring the connection between price expectations and the extent of subprime lending.     

The Cyclicality of Markups in a Model with Adjustment Costs: Econometric Evidence for US Industry

In this paper we investigate the impact of demand fluctuations on market power in US manufacturing industries. We impose on a model with adjustment costs the minimum structure necessary to recover a measure of markups. Markups are allowed to vary with both the state and future evolution of demand and estimates of price-cost margins are obtained from the Euler equation for capital. We conduct the empirical investigation for US two-digit manufacturing industries using annual data covering the 1952–1985 period. We find that markups are inversely related to current demand. However, given the state of demand, they vary directly with expectations of future demand changes.     

机会主义造成了美国次贷危机

本文运用机遇管理理论,在简要回顾美国次贷危机的形成过程的基础上,从行为科学角度分析了当前美国这场金融危机形成的原因.在眼前利益的驱动下,美国的低收入阶层、金融机构以及美国政府,一致采取了机会主义的行为,互为因果,风险放大,导致严重"共输"的结局.这种上下协同的机会主义有体制和社会文化的根源.我们应从中吸取教训,按照机遇和风险运动的规律,警惕机会主义情绪,遵循凡事适度的原则,处理好各种关系,保持中国经济稳定健康的发展.     

Econometric Models and Economic Forecasting

This Briefing Paper is thejirst ofa series of three designeddiscussed is the process of making 'constant adjustments' in forecasts. This process involves modifying the results generated by the econometric model. For the first time we are publishing tables of the constant adjustments used in the current forecast. We explain in general why such adjustments are made and also explain the actual adjustments we have made for this forecast.
The second article of the series, to be published in our February 1983 edition, will describe the potential sources of error in forecasts. In particular it will describe the inevitable stochastic or random element involved in e tatistical attempts to quantify economic behaviour. As a completely new departure the article will report estimates of future errors based on stochastic simulations of the LBS. model and will provide statistical error bad for the main elements of the forecast.
The final article, to be published in our June 1983 edition, will contrast the measures of forecast error that e e obtain from the estimation process and our stochastic e imulationsp with the errors that we have actually made, as revealed by an examination of our forecasting 'track record'. It is hoped to draw, from this comparison, some e eneral conclusions about the scope and limits of econometric forecasting producers.     

次贷危机与中国住宅房地产市场

相对美国，中国住宅房地产市场处于早期阶段，房地产相关金融更是刚起步，源于复杂房地产金融产品的次贷危机与中国房地产市场的直接联系很少。     

次贷余波与我国金融危机的防范机制

美国次贷危机带来的影响已经严重冲击了世界金融体系，对世界经济和中国经济造成重大的影响。通过分析次贷危机产生的背景、余波以及对中国经济的影响，可以得出中国进一步促进经济发展的启示；进而提出建立应对金融危机的缓冲和防范机制。     

Subprime lending over time: the role of race

In light of the increased scrutiny of the subprime market nationally and the concerns raised that low- and moderate-income and minority homeowners are targeted for high-cost loans, this paper examines the extent to which subprime lending occurs in selected states and the role that race plays in obtaining prime versus subprime loans. It focuses on explaining the gap in subprime rates between African–Americans and whites and estimating its change over time (1999 to 2006) for the study states. We use a unique data set comprised of data from several data sources, including loan-level information, which allows for better controls over factors correlated with race so that better inferences can be drawn. Also, an estimating procedure is employed that fine-tunes the influence of race in the allocation of mortgage capital between the prime and subprime markets. After taking into accounts various controls, the results suggest the possibility of bias in mortgage lending for the prioed studied.     

Subprime lending and the housing bubble: Tail wags dog?

The cause of the “housing bubble” associated with the sharp rise and then drop in home prices over the period 1998–2008 has been the focus of significant policy and research attention. The dramatic increase in subprime lending during this period has been broadly blamed for these market dynamics. In this paper we empirically investigate the validity of this hypothesis vs. several other alternative explanations. A model of house price dynamics over the period 1998–2006 is specified and estimated using a cross-sectional time-series data base across 20 metropolitan areas over the period 1998–2006. Results suggest that prior to early 2004, economic fundamentals provide the primary explanation for house price dynamics. Subprime credit activity does not seem to have had much impact on subsequent house price returns at any time during the observation period, although there is strong evidence of a price-boosting effect by investor loans. However, we do find strong evidence that a credit regime shift took place in late 2003, as the GSE’s were displaced in the market by private issuers of new mortgage products. Market fundamentals became insignificant in affecting house price returns, and the price-momentum conditions characteristic of a “bubble” were created. Thus, rather than causing the run-up in house prices, the subprime market may well have been a joint product, along with house price increases, (i.e., the “tail”) of the changing institutional, political, and regulatory environment characteristic of the period after late 2003 (the “dog”).     

Productivity Changes and Shifts in the Income Distribution

This paper contains a theoretical and empirical analysis of the relation between productivity changes by industry and shifts in the income distribution by household group. These developments are connected through changes in the employment and remuneration rate of primary inputs in production, including several labour categories.     

构建《计量会计学》的设想

通过对计量经济学及其他计量学科发展的分析,探讨了建立计量会计学的相应条件及相关概念。明确了计量会计学的客观基础、方法、内容,并对计量会计学体系的构建进行初探。     

用四年后的视角重审次贷危机

2007年,美国次贷危机爆发并迅速演变成一场全球性的金融危机,包括欧盟、亚洲、南美等都深陷其中.在付出惨痛代价之后终于引起了世界各国对于金融创新和监管的极大关注,同时也为我国金融风险的防范与监管提供了经验教训.     

Explosive Asset Price Bubble Detection with Unknown Bubble Length and Initial Condition

Recent research has proposed a method of detecting explosive processes that is based on forward recursions of OLS, right‐tailed, Dickey–Fuller [DF] unit root tests. In this paper, an alternative approach using GLS DF test statistics is considered. We derive limiting distributions for both mean‐invariant and trend‐invariant versions of OLS and GLS‐based Phillips, Wu and Yu (2011, International Economic Review 52, 201–226) [PWY] test statistics under a temporary, locally explosive alternative. These limits are shown to be dependent on both the value of the initial condition and the start and end points of the temporary explosive regime. Local asymptotic power simulations show that a GLS version of the PWY statistic offers superior power when a large proportion of the data is explosive, but that the OLS approach is preferred for explosive periods of short duration as a proportion of the total sample. These power differences are magnified by the presence of an asymptotically non‐negligible initial condition. We propose a union of rejections procedure that capitalizes on the respective power advantages of both OLS and GLS‐based approaches. This procedure achieves power close to the effective envelope provided by the two individual PWY tests across all settings of the initial condition and length of the explosive period considered in this paper. These results are shown to be robust to the point in the sample at which the temporary explosive regime occurs. An application of the union procedure to NASDAQ prices confirms the empirical value of this testing strategy.     

过度自信与市场泡沫

2000年，美国股市旧网络股神话的破灭对传统金融理论提出了挑战。本文中所介绍的模型在卖空限制的前提下，通过研究投资者过度自信，对市场上存在的泡沫和价格过度波动现象进行了更为合理的解释。     

比例责任制与连带责任制下审计风险的比较研究

在比例责任制体系下,每一个被告人应负担的责任范围在于他所造成的损害部分。在连带责任制下,每一个被告人要对原告的所有损失负责,比例责任制是根据每个被告人不同的过错程度分摊责任。这样,一个被告人只需要对法院判定下其应该承担的责任部分进行赔偿。本文对比例责任制降低与连带责任制有关的欺诈和审计风险的效力进行了研究。     

计量经济学理论与案例分析的整合

计量经济学应用性和实践性的特点与案例教学法是一致的,本文基于案例分析对计量经济学教学积极而重要的作用,分析了当前计量经济学案例分析在内容、方式、支持资源和成绩评定方式等方面遇到的问题,提出解决问题必须对计量经济学基本理论和模型进行精致化和精细化的处理,必须选取恰当案例保证案例分析效果,而提升教师专业素质是实现计量经济学人才培养目标的保障。