An evaluation of Chinese economic forecasts

This paper analyses the real GDP growth and inflation forecasts prepared by the International Monetary Fund, the Organization for Economic Cooperation and Development, and the private forecasters between 1999 and 2010. The empirical results show that the long-term growth forecasts were inferior to a naïve model and were biased. The average of a number of short-term private forecasts dominated those made by the international organisations.     

Directional accuracy tests of Chinese renminbi forecasts

This study investigates the directional accuracy of Chinese renminbi exchange rate forecasts by professional forecasters. The forecast with a horizon of one year is useful, whereas the forecasts with forecast horizons of one and three months are not useful in predicting the direction of the exchange rate change. The results for the long-term forecasts suggest that forecasters believe that the government maintains its foreign exchange rate policy of renminbi appreciation. In contrast, short-term forecasts show consistent evidence of exchange rate unpredictability.     

Forecasting macroeconomic variables in emerging economies

Forecasting macroeconomic variables in rapidly changing emerging economies presents a number of challenges. In addition to structural changes, the time-series data are usually available only for a short number of periods, and predictors are available in different lengths and frequencies. Dynamic model averaging (DMA), by allowing the forecasting model to change dynamically over time, permits the use of predictors with different lengths and frequencies for the purpose of forecasting in a rapidly changing economy. This study uses DMA to forecast inflation and growth in Vietnam, Thailand, Philippines, Sri Lanka and Ghana. We compare its forecasting performance with a wide range of other time-series methods. We find that the size and composition of the optimal predictor set changed, indicating changes in the economic relationships over time. We also find that DMA frequently produces more accurate forecasts than other forecasting methods for both inflation and economic growth in the countries studied.     

Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach

Macroeconomic data are an important piece of information in decision making for both the public and private sectors in Thailand. However, the release of key macroeconomic data, usually in a lower frequency such as quarterly, is not always in a timely manner. Using the higher frequency data such as monthly and daily to analyze or forecast the lower frequency data can mitigate the release timing effect. This study applies the mixed-frequency data approach to analyze and forecast Thai key macroeconomic data. The mixed data sampling regressions with various specifications are employed and implemented through some macroeconomic data such as gross domestic product and inflation. The results show that in most cases the mixed-frequency models outperform the autoregressive integrated moving average model, which we used as the benchmark model, even during the COVID-19 period. Some policy implications can also be drawn from the analysis.     

Several ponders on current real estate macroeconomic regulation and control

In view of the housing price continually rising and real estate market＇s confusion, the real estate market＇s macroeconomic regulation and control of government have become the social economy＇s hot topic. In order to enable the macroeconomic regulation and control policy to achieve the expectation effect, this paper proposes that real estate macroeconomic regulation and control should be paid attention to, and gives the countermeasure suggestion.     

New evidence on sources of macroeconomic fluctuations in sub-Saharan African countries

Following a global vector autoregressive (GVAR) approach, this paper presents new evidence on the validity of international transmission of economic shocks from key trading partners as sources of macroeconomic fluctuations in sub-Saharan African (SSA) countries. The GVAR model was estimated for 21 SSA countries grouped into three country classes—oil-rich, other-resources-rich and non-resource-based economies, to account for output shocks from crucial trading partner countries—United States, United Kingdom, China and Europe. Furthermore, the generalized forecast error variance decompositions results reveal that output shocks from key trading partners constitute significant contributors to changes in key macroeconomic indicators—real gross domestic product, inflation, exchange rate and short-term interest rate, in the SSA region. The generalized impulse response functions indicate that these economic shocks have more significant impacts on oil-rich countries than on other country groups. A key recommendation from this study is that SSA countries, especially the resource-rich economies, need to strengthen and diversify their economic structure, including the trade basket.     

后危机时代中国银行业的转型研究

巴塞尔协议Ⅲ的逐步实施对后危机时代的中国银行业提出转型要求。未来中国银行业的竞争不仅仅局限在传统的信贷领域。还要积极拓展中间业务。才能符合转型需要。在国内外对中国银行业竞争绩效研究的基础上。以银行中间业务进行全要素生产率,综合效率和技术效率的实证分析,结果显示,中国银行业在后危机时代正在发生着积极的转型。     

China's Exchange Rate Policy: The Case for Greater Flexibility

Since the Asian crisis, the merit of the Chinese government's de facto peg to the US Dollar has been the subject of widening debate. This paper reviews the issues surrounding China's currency regime choice and assesses the case for greater fiexibility. Reform era exchange rate policies are examined along with the performance of the economy during and since the Asian crisis. In the Chinese context, the arguments for and against fixed exchange rates are then explained and assessed. Finally, an elemental comparative static macroeconomic model is used to examine the implications of domestic and external shocks under different exchange rate regimes and with differing degrees of capital mobility. The results support the view that more fiexibility would be beneficial to China and that this benefit can be expected to increase as capital mobility increases.     

我国宏观经济先行指标体系构建的实证研究

宏观经济先行指标体系的构建对于宏观经济政策选择和企业、个人投资规划制定等都具有着重要意义。论文利用Granger因果检验从经济增长、投资、消费及出口四个方面构建了先行指标体系,遴选出5个循环指标、23个领先指标、7个滞后指标以及3个同步指标,构建出一个关于宏观经济预测的指标体系,并且就各部分的先行指标体系对基准指标的预测作用进行了实证分析。     

China＇s Macroeconomic Development： Stages and Nonlinear Convergence

I. Introduction Since the second half of the 1990s, the Chinese economy has witnessed some unprecedented changes: a sharp increase in urban unemployment, stagnation of labor transfer from agriculture to non-agricultural sectors and serious deflation. All these changes indicate a significant departure from the previous development trajectory: sustained full employment in urban areas, rapid labor transfer from agriculture to non-agricultural sectors and persistent and significant inflation. Beg…     

The Efficiency of the Chinese Commodity Futures Markets： Development and Empirical Evidence

I. Introduction In the early 1980s China set about transforming its moribund economy by adopting, in stages, various elements of the market-based systems. Among the reforms were thederegulation of prices and the introduction of financial markets for assets. The first stock market was set up in Shanghai in 1991 and in the same year the first commodities market opened in Zhengzhou, Henan Province. Since then, both the stock market and the commodities futures markets have expanded substantiall…     

Chinese leadership of macroeconomic policymaking in a multipolar world

This paper discusses the kind of leadership in global macroeconomic policymaking that China might provide. The paper describes a form of leadership, which I call ‘concerted unilateralism’, that enables countries to pursue their own objectives, in a way which they would not have been able to do if they were acting on their own, and enables them to achieve a higher level of welfare. I contrast such leadership this with a form of authoritarian leadership in which the leader imposes obligations on other countries which are to the disadvantage of those countries. I argue that China could provide leadership of the first kind, by making use of the G20 Mutual Assessment Process, or G20MAP. In the short term, China might do this by consolidating the ‘2-in-5’ action plan, which Australia instituted within the G20MAP when it was Australia was President of the G20. In the longer term, China might do this by ensuring that there is convergence between the G20MAP and China's own One-Belt-One-Road strategy for international engagement in trade and finance.     

Firm-specific volatility of stock returns, the credibility of management forecasts, and media coverage: Evidence from Japanese firms

This paper explores the determinants of firm-specific informativeness of the stock price in terms of corporate disclosure quality and the quantity of public information by using Japanese data. In our empirical framework, we examine how the credibility of disclosure and media coverage are associated with the firm-specific volatility of stock returns. The results indicate that both greater accuracy of management forecasts and greater total media coverage contribute to the incorporation of firm-specific information in the stock price. Furthermore, for earnings-related news, the media reporting leads to less firm-specific volatility. Finally, an improvement in forecast accuracy enhances the marginal effect of media coverage of the earnings news toward reflecting firm-specific information.     

An analysis of RSQE forecasts: 1971–1992

The purpose of this paper is to evaluate the accuracy of ex ante econometric model forecasts of four key macroeconomic variables: real GNP growth, the rate of price inflation measured by the GNP deflator, the civilian unemployment rate, and the Treasury Bill rate. Annual forecasts produced by the Research Seminar in Quantitative Economics (RSQE) based on the Michigan Quarterly Econometric Model of the U.S. Economy are compared with quasi ex ante forecasts from a four-variable vector autoregressive (VAR) model. Statistical tests of the equality of forecast error variances as well as univariate and multivariate forecast encompassing-type tests are conducted. The forecast error variance comparisons indicate that for three of the four variables the RSQE forecasts are more accurate than the VAR forecasts and for one of the variables (real GNP growth) only slightly less accurate. The forecast encompassing-type tests indicate that the RSQE forecasts contain information not contained in the VAR forecasts and, conversely, that VAR forecasts contain information not included in the RSQE forecasts. The scope for improving RSQE forecasts by combining them with VAR forecasts is rather limited, however.     

An introduction: the challenges of the Chinese electricity industry and its reform

This introduction is to highlight comprehensively the Chinese electricity industry for issues related to the institutional reform, capacity growth, pricing regime, technology development, supply structure and new investment in upgrading electric power grids. Through reviews of statistics and documentaries, we provide a generally updated understanding of the current development and reform of China’s electric power industry, which is one strategic focus of the Chinese Government for its further reform in the energy sector.     

Determinants of Technical Efficiency in Chinese Banking: A Double Bootstrap Data Envelopment Analysis Approach

Abstract

The main objective of this study is to measure the technical efficiency level of the Chinese banking industry. It uses a double bootstrap data envelopment analysis approach to compute bias-corrected efficiency scores and investigate the determinants of bank efficiency in China between 2003 and 2010. We observe that Chinese commercial banks regardless of ownership have shown improved efficiency from 2003 to 2010. Our results show a significant difference in the performance between state-owned banks and joint-stock banks over the period analyzed. Moreover, the equity-to-asset ratio also significantly explains variations in inefficiency across Chinese commercial banks. Initial public offering is considered one of the effective ways to improve bank efficiency in China. Overall, the present study provides valuable empirical information that can be used to help guide deliberations regarding future reform policies.     

Monetary and Fiscal Policy Design in the EMU: An Overview

The interaction of monetary and fiscal policies is a crucial issue in a highly integrated economic area such as the European Union. This paper analyzes the design of monetary and fiscal policies in the EMU. To do so, the paper starts with an overview of the most important aspects. Next, it analyzes monetary and fiscal policy interaction in a stylized model of a monetary union, in which monetary and fiscal policy design is modeled as a dynamic stabilization game. Macroeconomic policy making and adjustment are studied under alternative forms of cooperation and in both symmetric and asymmetric settings.     

A Small Macroeconomic Model of the EU-Accession Countries

This paper develops a small macro-economic model of the CEECs to analyze various aspects of integration with the current EU and the role of monetary and exchange rate strategies during the (pre-) accession phase. The model gives insight into both the adjustment of the internal balance (as for output and employment) and the external balance (as for exports and competitiveness) in the accession countries. The model provides more insight into the basic macroeconomic relationships governing macroeconomic adjustment in the accession countries and also the role of the integration with the EU in that adjustment. We perform empirical simulations of different scenarios and analyze the resulting macroeconomic adjustment. In particular, we compare how a macroeconomic shock in the current EU is transmitted to the accession countries under flexible and fixed euro exchange rates, respectively.