An augmented P-star model of Indian inflation

ABSTRACT

An augmented P-Star model is estimated and tested to identify the drivers of inflation in India. The model includes monetary and non-monetary factors, demand-pull and cost-push factors, and domestic as well as foreign factors. The results show that inflation in India is driven by a combination of monetary factors and non-monetary factors, some of which affect inflation on the supply side while others operate on the demand side. It turns out, however, that inflation in India is determined more by domestic rather than foreign factors.     

Unconventional monetary policy and the dollar–euro exchange rate: further evidence from event studies

New evidence is presented on the impact on the US dollar–euro (USD–EUR) exchange rate of the unconventional monetary policy conducted by the US Federal Reserve (FED) and the European Central Bank (ECB). To that end, we employ an event study approach using daily the USD–EUR exchange rate for the period from 2 January 2007 to 31 January 2015. Our results indicate that the announcement and subsequent implementation of such measures by the ECB would have caused in general an appreciation of the dollar, while those by the FED would have caused a depreciation of the dollar.     

Unconventional monetary policy and the dollar–euro exchange rate: first results from time-series analysis

This article examines the impact on the US dollar–euro (USD–EUR) exchange rate of the unconventional monetary policy conducted by the US Federal Reserve (Fed) and the European Central Bank (ECB). To that end, we make use of time-series analysis to obtain a reasonable long-run and short run representation of the data generation process and use dummy variables to study how announcements about monetary policy changes can affect the USD–EUR exchange rate. Our results indicate that the announcement and subsequent implementation of such measures by the ECB would have caused an appreciation of the dollar, while those by the Fed would have caused a depreciation of the dollar.     

The Use of Interactive Video in Teaching Microeconomics: A Note

The interactive-video system described by Bogan may encourage other instructors with large classes to develop and test similar systems of individualized instruction.     

The “Cambridge” critique of the quantity theory of money: A note on how quantitative easing vindicates it

Through quantitative easing markets have been flooded with liquidity, but rather than inflation we have witnessed a general deflation because of the liquidity trap environment in which the banking system operated; this article revisits the arguments against the quantity theory in the “Cambridge” tradition of John Maynard Keynes, Richard Kahn, and Nicholas Kaldor, and defends their soundness and topicality.     

Is proximity to oil refinery a big factor in explaining differences in gas prices？

According to the Energy Information Administration, average retail gasoline prices tend to typically be higher in certain states than in others. Aside from taxes, the factors shown to contribute to regional and even local differences in gasoline prices include proximity of supply, supply disruptions, competition in the local market and environmental programs. Of interest in this paper is proximity of supply. It has been hypothesized that areas farthest from the Gulf Coast （the source of nearly half of the gasoline produced in the United States and, thus, a major supplier to the rest of the country） tend to have higher prices. To test this hypothesis, the paper assembles state level monthly retail gasoline data for the period 1983 to 2007 for five states with oil refineries （Alabama, Georgia, Texas, Mississippi and Louisiana） and five states without refineries （Arkansas, Tennessee, North Carolina, South Carolina and Florida）. The analysis employs dynamic correlation, regression, cointegration and vector autoregressive methods. Overall, the results show that retail gas prices in states with refineries and those without refineries tend to move in the same direction over time. The small differences observed over time may suggest that price shocks take a short time to be felt nationwide.     

Modelling time series properties of Australian lending interest rates

The purpose of this paper is to examine the time series properties of Australian residential mortgage interest rates, and in doing so, establish whether or not selected home loan rates （product-level monthly home loan interest rates for CBA） exhibit the expected cyclical and seasonal variations and whether seasonality, if present, is stochastic or deterministic. In particular, due to a well established presence of cyclicality in financial markets＇ interest rates and strong correlation between financial markets＇ interest rates and home loan interest rates, the paper presumes that cyclicality is also to be found in home loan interest rates. Furthermore, the paper tests the hypothesis that home loan interest rates, for selected products, exhibit the three identified （＂Spring＂, ＂Autumn＂ and ＂The end of the Financial Year＂） season-related interest rate reductions. The paper uses a structural time series modelling approach and product-level home loan interest rates data from one of the biggest banks in Australia, Commonwealth Bank of Australia （CBA）. As expected, the results overall confirm the existence of cyclicality in home loan interest rates. With respect to the seasonality of home loan interest rate, although most of the analysed variables show the presence of statistically significant seasonal factors, the majority of the statistically significant seasonal factors observed cannot be attributed to any of the three considered seasonal effects.     

我国活鸡价格波动分析与预测

本文运用时间序列分析的X12方法和H-P滤波,获得了我国2001年1月至2009年10月活鸡价格序列的周期成分。周期成分的分析结果表明,活鸡价格存在长约26～40个月的波动周期,而且周期长度有随时间推移变长的趋势。肉雏鸡和肉鸡饲料价格波动轨迹与活鸡价格波动轨迹相似。此外,活鸡价格序列分析显示,禽流感疫情对其价格产生重大冲击。进一步地,用Holter-Winter模型对活鸡价格进行预测,得到了样本外推12个月的预测结果。     

Volatility spillovers and macroeconomic announcements: evidence from crude oil markets

The paper applies an event study methodologyaims to investigate the macroeconomic announcements effects on Standard&Poor’s500 and oil prices. Our results provide evidence for a significant impact of the US macroeconomic news on oil prices. This impact is split into two components, namely the direct effect (common response) and indirect effect (volatility transmission). Altogether our results show that the volatility transmission is bidirectional. Not only a significant volatility transmission from the oil market to the US stock market is revealed, but also a high volatility transmission is recorded from the oil market to the stock market especially after the release of consumption indicators.     

美国第四轮量化宽松政策的实施背景、影响及中国的对策

为了刺激经济增长、降低就业率和防止通货紧缩等,美联储推出了第四轮量化宽松货币政策。如果承诺机制、资产负债表扩张机制和资产负债表结构改变机制等传导机制能够发挥作用,那么第四轮量化宽松货币政策可以通过金融稳定效应、经济刺激效应、财政效应和退出效应等实现非常规货币政策操作的预期。美联储推出的第四轮量化宽松货币政策势必会带来一定的影响,如美元资产缩水、大宗商品和原材料上涨、全球性的货币性通货膨胀、汇率战争和全球性的财富再分配效应等。为了应对QE4带来的影响,中国需要从外汇资产管理、通货膨胀预期管理、人民币汇率机制、货币政策制定等方面做出相应安排。     

Modelling nonlinearity in U.S. Gross national product 1889–1987

This paper considers modelling the annual logarithmed per capita gross national product of the United States in 1889–1987. Some authors have suggested that the parameters of the process generating the data have changed over time but formal parameter constancy tests do not support this argument. The series turns out to be nonlinear and can be adequately characterized by an exponential smooth transition autoregressive model. For comparison, a detrended series is also considered, found nonlinear and modelled using a logistic smooth transition autoregressive model. The behaviour of the estimated models is discussed, and it is seen that nonlinearity is needed to describe the response of the process to exceptionally large exogenous shocks. The properties of the models are further investigated by forecasting several years ahead, and the forecasts are compared with those from other linear and nonlinear models.     

Currency exposures of the oil and natural gas stock prices in the Hushen-300 stock market： A nonlinear model approach

The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital Asset Pricing Model （CAPM） and nonlinear exchange rate exposure model to the Renminbi against US dollar. The results show that the currency exposure does vary in the oil-gas stock prices throughout the bull and bear market. The study suggests that the models of the equilibrium exchange rate exposure must be extended to considering the nonlinear exchange rate exposure, the regime periods of bull and bear market, and the industry types that is sensitive to the currency exposures. The nonlinear dynamic relationship between the exchange rate changes and the Chinese energy stock prices throughout the bull and bear market add to the recent empirical evidences that foreign exchange markets and stock markets are closely correlated.     

欧元对美元走势的实证研究及趋势分析

研究欧元与美元的汇率走势具有重要的意义.通过欧元兑美元汇率序列来分析研究这两种货币,探析汇率序列过往形成的趋势及特点,并分析其背后的经济原因,同时根据影响汇率的宏观经济因素预测分析欧元对美元的走势.     

VAR modelling and Haavelmo's probability approach to macroeconomic modelling

Some recent developments in the macroeconometric analysis of time series are discussed in the light of Haavelmo (1944). Experimental design in econometrics is discussed and related to the case of passive observation. The general ideas are illustrated with a analysis of the long-run and short-run structure in Danish monetary data.This paper has benefitted from useful comments from Søren Johansen, Claus Va strup and John Muellbauer, and in particular, from two unknown referees. Financial report from the joint committee of the Nordic Social Science Research Council is gratefully acknowledged.     

The long-run relationship between stock return dispersion and output

Based on the rational that some industry groups are more closely linked to the business cycle than others, we re-examined a previous analysis on the long-term relationship between stock return dispersion by industry and Gross Domestic Product (GDP), which evaluated data until 1987 by extending it to 2008. Using Mean Square Forecast Errors (MSFE) statistics, we find that incorporating the return dispersion in Vector Autoregressive (VAR) models enhances their forecasting power for output (GDP) in the long run. This article also determines that the relationship between stock return dispersion by industry and GDP is tenuous in the recent decade from 1999.     

Bitcoin市场的长记忆性的实证分析

Bitcoin是一种新型的虚拟电子货币。运用初步的统计方法和R/S分析法分析其市场交易数据,对其长记忆性进行实证分析。分析结果表明,现阶段,Bitcoin的交易市场具有聚集性和持续性,当前的价格对于未来很长一段时间都有影响。