Dynamic linkages among real interest rates in international capital markets

Short-run and long-run dynamic linkages among weekly real interest rates for G-10 countries are examined using a variety of time-series tests. These tests give special attention to the time-series properties of nominal interest rates, ex-ante expected rates of inflation and real interest rates. Term structure information is used to recover a theoretically consistent measure of ex-ante expected inflation. In-sample and out-of-sample Granger causality tests are also examined to evaluate lead/lag relationships among real interest rates. The results provide strong support for well-integrated markets, particularly in the long run. The results imply leadership roles for the US in international asset markets.     

国内外石油价格波动性溢出效应研究

本文分析了国内外石油价格波动传导机制与国内外石油价格波动的典型化事实 ,将动态相关系数的多变量随机波动模型与固定系数的Granger波动性因果关系模型结合起来,构建了动态相关系数的带Granger因果检验的多元随机波动模型(DGC-MSV),并实证检验了美国、英国和中国的石油现货价格之间、期货价格之间以及期货价格与现货价格之间的波动溢出效应,主要得到如下结论:中国、美国、英国石油期货价格、现货价格波动性之间的相关系数都是动态变化的;中国石油现货价格受美国石油现货价格的波动溢出影响,而同时中国石油现货价格又对美国和英国的石油期货价格波动有显著溢出效应;英国和美国的石油现货价格之间、石油期货价格之间都具有双向波动溢出效应;中国石油市场的金融属性低于英国和美国石油市场。最后提出一些对策建议。     

Who drives whom ‐ sukuk or bond? A new evidence from granger causality and wavelet approach

Sukuk is a highly appealing alternative instrument of conventional bond in the financial market over the last two decades. To a certain extent, the market players assume sukuk as the same as bond. However, sukuk has its own fundamental asset backed principles, whereas bond is backed by debt. The objective of the study is to examine the Granger‐causality and lead–lag relationship between sukuk and bond by using the data of the Malaysian Government securities return for both conventional and Islamic instruments. The data for every working day of 7 years covering the period from January 31, 2007 to December 31, 2013 were collected from Bloomberg database. The yield returns of both securities have been plotted for each six months of a year. This study applied both Granger‐causality and dynamic co‐movement techniques such as, continuous wavelet transforms (CWT) coherence for analyzing the temporal evolution of the frequency content of both securities by decomposing each period into different time scales. The empirical findings of the paper reveal that with a bit of exception, there is a causal relationship between sukuk securities and conventional bonds for a given period of time. For robustness, this study applied the wavelet coherence approach and found that bond is led by sukuk in the long term investment horizon rather than in the short term. Our findings relating to the lead‐lag relationship between sukuk and bonds have important implications in terms of policy regulations and investment management. Future research and market practices could reinvestigate the differences between these two securities across different markets and types.     

中国A股量价之间动态关系的实证研究

本文采用了VAR模型以及Granger因果检验的方法来考察量价之间的动态相关关系。我们选定1996年12月16日至2008年12月31日作为样本研究区间,实证发现滞后期的交易量和收益对当前期交易量与收益的解释力度存在下降趋势;同时,交易量同收益之间由收益对交易量的单向引导发展为双方互为Granger原因。本文得到的交易模式的动态演变轨迹反映了我国投资者式逐步趋于理性成熟。     

汇率制度改革后中国股市与汇市关系——人民币名义汇率与上证综合指数的实证研究

本文利用协整检验和Granger因果检验的计量方法研究了汇率制度改革后中国股市与汇市的关系。实证结果表明,汇率制度改革后中国股市与汇市存在长期稳定的协整关系,人民币升值是中国股市上扬的单向Granger原因。最后,本文利用国际收支和资本流动理论对这些实证结果作了进一步解释,并提出了相应的政策建议。     

我国社会保障支出和经济增长的关系研究——基于协整分析与Granger因果检验

社会保障是一国财政政策重要组成部分,对经济影响越来越大。但近年来学术界对社会保障关注更多的是对其本身制度建设和完善等方面的研究,就其和经济增长关系的探讨则显得捉襟见肘。本文选取2000-2010年的数据为样本,采用协整分析和因果分析检验,通过对财政社会保障支出与表示经济增长量GDP这两个变量的动态研究,得出结论为,财政社会保障支出与经济增长之间存在协整且互为双向的格兰杰因果关系。     

Does insurance activity promote economic growth? Further evidence based on bootstrap panel Granger causality test

This study applies the bootstrap panel Granger causality test to test whether insurance activity promotes economic growth, using data from 10 OECD countries over the period of 1979–2006. Empirical results indicate that one-way Granger causality running from all insurance activities to economic growth for France, Japan, Netherlands, Switzerland, and the UK, and economic growth Granger causes insurance activities in Canada (for life insurance), Italy (for total and life insurance) and the USA (for total and non-life insurance). There is a two-way Granger causality between life insurance activity and economic growth in the USA, while no causality between insurance activities and economic growth is found in Belgium (for all insurance), Canada (for total and non-life insurance), Italy (for non-life insurance) and Sweden (for life insurance). Our results also confirm the finding of Ward and Zurbruegg [Does insurance promote economic growth? Evidence from OECD economies. Journal of Risk and Insurance 67, no. 4: 489–506] showing that the insurance–growth nexus varies across countries, since their paper have previously demonstrated heterogeneity in this vein. In an analysis of a broader, though overlapping 17-country sample and taking into account banking activities, the results suggest the importance of including banking activities when investigating the insurance–growth relationship.     

经济增长、人口结构、金融市场对中国储蓄率影响分析——基于修正的生命周期模型的实证分析

本文将金融市场引入传统生命周期理论,研究了经济增长,人口结构,金融市场三因素对中国居民储蓄率的影响.通过EVIEWS5.0计量软件,对时间序列数据(1981-2006)进行实证分析,运用Granger因果检验各变量问的因果关系,通过协整检验分析各变量间长期均衡关系,并构造向量误差修正模型对中国储蓄率进行动态预测其变化趋势,最后通过方差分解显示各因素对储蓄率的方差变动影响程度,从而对各变量的重要性进行定量测量.结论表明,传统生命周期模型只能解释部分中国高储蓄率问题,而本文所提供的修正后的生命周期理论能够更好地解释中国现实.     

Investor Sentiment Influence on the Risk-Reward Relation in the Taiwan Stock Market

We examine the influence of investor sentiment on the risk-reward relationship in the Taiwan stock market. Regression results show that the risk-reward relationship is weakly positive (significantly negative) under low (high) levels of investor sentiment. Granger causality tests indicate unidirectional, not bidirectional, causal relationships. Moreover, the negative return-variance relationship is more strongly characteristic of the over-the-counter index than of the Taiwan Stock Exchange weighted index, indicating that an unreasonable risk-reward trade-off may be more prevalent in emerging markets than in mature markets. Finally, the Wald test demonstrates that industry effects on the risk-reward relationship may be negligible.     

国有商业银行脆弱性实证研究(1985～2005)

本文对各种银行脆弱性理论和实证研究进行整合后,选择4个核心指标对1985～2005年的国有商业银行脆弱性进行判断,认为国有商业银行脆弱性程度呈现先上升后下降的趋势,近2年的脆弱性程度已经降到历史最低点.从这个意义上说,国有商业银行能否保持和巩固改革和发展的成果,成功实现\"战略转型\"和向现代商业银行的蜕变,将成为一个重要的历史性课题.Granger因果关系检验和协整分析表明,部分宏观经济指标和金融指标均与国有商业银行脆弱性存在Granger因果关系和长期均衡关系,其中金融指标对脆弱性的影响程度高于宏观经济指标.一个良性互动的经济和金融体系,是银行稳定发展的重要基础.     

Price Discovery,Causality and Forecasting in the Freight Futures Market

This paper investigates the causal relationship between futures and spot prices in the freight futures market. Being a thinly traded market whose underlying asset is a service, sets it apart from other markets investigated so far in the literature. Causality tests, generalised impulse response analysis and forecasting performance evaluation indicate that futures prices tend to discover new information more rapidly than spot prices. Revisions in the composition of the underlying index to make it more homogeneous, have strengthened the price discovery role of futures prices. The information incorporated in futures prices, when formulated as a VECM, produces more accurate forecasts of spot prices than the VAR, ARIMA and random-walk models, over several steps ahead. This revised version was published online in June 2006 with corrections to the Cover Date.     

我国保险业与经济增长关系的实证研究

为研究保险业和经济增长的关系,选取2001～2011年我国大陆30个省份(不含西藏)保险密度和人均GDP的面板数据,分别进行全国以及区域(东部、中部、西部地区)的保险业和经济增长之间的长期、短期及因果关系检验,分组计算经济增长对保险业发展的贡献度,得出如下结论:全国层面经济增长是保险业发展的重要因素,保险业发展又反过来促进了经济增长;区域层面经济增长和保险业发展之间的关系不一致,保险业发展与经济发展不协调。     

我国农村金融发展与农业保险的相关性分析

本文采集1985-2008年我国农村GDP、农村贷款、农村存款、农业保险保费收入的数据,检验了我国农村金融发展与农业保险之间的关系。结果表明农村金融发展与农业保险的发展存在长期协整关系,我国农业保险发展是农村金融发展的动力之一,但农村金融发展对农业保险的促进作用不明显。为此,提出加快农村金融发展、优化现行财政支持模式、增加财政支持项目等发展农业保险的政策建议。