沪深股市理性投机泡沫的实证分析

本文采用持续期限检验方法对我国沪深股市是否存在理性投机泡沫进行了实证检验，检验结果显示，在样本期内，沪深股市均具有理性投机泡沫特征，与深市相比，沪市理性投机泡沫现象更加显著。     

股市投机泡沫:理论模型、检验与度量方法研究

投机泡沫是导致泡沫经济并引发经济危机的重要根源,而不断扩大的股市泡沫则预示着泡沫经济的到来。投机泡沫的度量方法包括股价指数的上涨时间、上涨速度和换手率、股票市场的相对成长性估值类方法和Q比率方法。但是这些方法对经济发展及社会的经济环境不能全面地考虑。应构造建立在股票内在价值基础上的检验方法,运用相对估计指标对泡沫进行全面的度量,从而提高泡沫检验的准确度和对股票价值检验及预测的实际应用能力。     

基于动态期限相关法的股市价格泡沫实证检验

本文通过构造动态期限相关法,以250个交易日为定样本容量窗口.动态的考察了我国上证综合指教从1992年1月2日到2008年11月28日各个阶段的价格泡沫状况.实证表明,我国股市自建立以来,价格泡沫就伴随左右.而且阶段性的暴涨暴跌,极易催生泡沫.随着次级债危机的爆发,股市急剧下跌,当前已经产生了负向的随机泡沫.     

基于房租资本化模型的我国房地产泡沫实证分析

金融危机下低迷了一整年的我国房地产市场在2009年4月迅速回暖,房价一路飙升,房地产泡沫问题再一次成为社会各界的争议热点。在这样的背景下,文章基于房租资本化模型,采用我国35个大中城市1999年第1季度至2009年第1季度的房屋销售价格指数和房屋租赁价格指数为样本,运用单位根协整方法检验房价和房租的长期均衡关系。研究结果发现,仅石家庄市的房屋销售价格和租金间存在协整关系,其他城市的房价与房租呈现严重背离。     

基于状态空间模型的浙江房地产价格泡沫的实证检验

根据房地产供求和基础价值理论,在对相关变量序列进行平稳性检验和协整检验的基础上,建立了状态空间模型,采用卡尔曼滤波计算方法,对浙江房地产价格是否存在泡沫进行实证检验。研究发现:浙江省住宅价格泡沫已经出现,且近年来呈加速膨胀的态势,加大宏观调控力度势在必行。     

我国价格泡沫成分的形成机制分析与实证检验

由于各种经济因素的扰动和冲击,价格水平往往会偏离均衡约束所形成的基础价格,从而导致各种经济泡沫的出现.文章分析了我国经济运行中泡沫的形成机制和存在性.通过检验我国经济运行不同阶段的价格变化路径上是否存在理性泡沫成分的假设后发现,只有在1983年1月至1989年12月这段高通货膨胀时期价格水平当中包含了泡沫成分,并以此对我国通货膨胀或通货紧缩的成因和属性给出了分析和判断.     

房产税与投机泡沫——基于天津的实证研究

The main purpose of this paper is to identify and measure the potential effect of property tax on speculative bubble in residential property market in China where the issue on the introduction of property tax is still fiercely debated. As a primary and necessary step, we firstly provide an empirical analysis on housing price dynamics of Tianjin. Moreover, this paper proposes a method to identify and measure the potential effect of property tax on speculative bubble in housing market. To capture the actual influence of property tax, we divide the effect into short-term one and long-term one and measure them respectively based on the information provided by estimation result of housing price structure.      

我国ST股票价格泡沫问题研究——基于A股市场的实证检验

证券市场中股票价格泡沫是股价持续上涨从而导致其市场价格高于基础价值。ST股票背离于市场的表现使其所代表的投机泡沫尤为严重。通过使用动态自回归方法以及单位根检验方法实证分析了我国证券市场中ST股票价格泡沫的水平与性质。检验结果表明,我国ST股票长期存在泡沫,近两年虽然有所下降,但依然较高,而且ST股票泡沫水平随着其股价的上涨而上升。     

我国股市与宏观经济变量的协整分析及因果检验

从理论上得知主要宏观经济变量对股指波动的影响,再对这一问题运用单位根检验、协整检验、Granger因果检验,并建立ECM模型进行实证分析,以考查上证指数波动与宏观经济变量之间的关系。结果表明,股票价格指数与工业增加值增长速度之间存在长期均衡关系,金融机构储蓄存款与工业品出厂价格指数的差分与上证指数的差分之间存在Granger因果关系,差分次数主要受原数据平稳性的影响。最后,给出政策性建议。     

我国房地产市场的泡沫检验——基于现值模型

本文以35个大中城市指数为基础,利用现值模型对我国东中西部地区房地产市场泡沫的存在性进行了检验.检验结果表明,我国东部和西部地区存在明显的房地产泡沫,其中东部特别是长江三角洲地区的房价租金比涨幅最大.而中部地区除武汉之外的房价租金比一直较为平稳,几乎不存在泡沫现象.     

Testing separate models with stochastic regressors

In this paper we generalize the R procedure to test a null linear regression model against a separate alternative in the context of generalized instrumental variable estimation, and thereby motivate the use of the standard F test. The relations between the F test and several one-degree-of-freedom separate tests are examined under the null, and the asymptotic distributions of the statistics are evaluated under local alternatives. It is shown that the one-degree-of-freedom tests can be more powerful than the F test under a Pesaran-type local alternative, and that the F test is more widely consistent than the one-degree-of-freedom tests.     

财政支出与广义货币关系的协整分析及其政策含义

文章利用协整分析讨论了财政支出与广义货币的相互关系,发现在1978～2002年间,中国的财政支出和广义货币具有二阶差分平稳的特征,二者之间存在显著的协整关系.财政支出的变动速度是广义货币变动速度的Granger因,但不能说广义货币变动速度是财政支出变动速度的Granger因.财政支出的短期变化对广义货币的短期变化影响较大,并且是同方向的.广义货币供给的增长速度具有一定惯性,且具有向长期值的自我恢复功能.财政支出的增长速度并不具有自我恢复功能,这意味着政府应对财政支出施加一定约束,以避免财政支出在经济过热或不景气时发生过度扩张或紧缩.     

Testing the sustainability of German fiscal policy: evidence for the period 1960–2003

In this paper we test whether German public debt has been sustainable by testing how the primary surplus to GDP ratio reacts to the debt to GDP ratio. We apply semi-parametric regressions with time depending coefficients. This test shows that the mean of the coefficient relevant for sustainability is significantly positive over the time period considered. However, there is a negative trend in that coefficient which seems to have ceased to decline only in the middle to late 1990s.     

Cointegration and Causal Relationship between Taxes and Spending for Kenya,Nigeria and South Africa

Causal relationships between taxes and spending are examined for three African countries using the GDP as a control variable, and dummy variables to address structural changes in Nigeria and South Africa. There is one cointegration equation between nominal fiscal variables in all three countries, one cointegration equation for Kenya and two cointegration equations for Nigeria and South Africa for the real fiscal variables and their respective dummy variables. Short-term results of the nominal variables show fiscal independence for all three countries. In real terms, taxes cause spending for Kenya and Nigeria and a weak fiscal synchronization for South Africa. There is long run fiscal synchronization in nominal terms for all three countries, and in real terms for both Nigeria and South Africa, while real taxes cause spending in Kenya. Long-run estimates show a unit increase in nominal (real) taxes translating into a less than proportionate increase in nominal (real) spending for Kenya and South Africa, and a more than proportionate increase in nominal (real) spending for Nigeria. Fiscal imbalance is not a threat in the budgetary process in Kenya and South Africa, but an issue of concern in Nigeria, where oil revenues are a major source of support for budget short falls.     

Bitcoin price and its marginal cost of production: support for a fundamental value

This study back-tests a marginal cost of production model proposed to value the digital currency Bitcoin. Results from both conventional regression and vector autoregression (VAR) models show that the marginal cost of production plays an important role in explaining Bitcoin prices, challenging recent allegations that Bitcoins are essentially worthless. Even with markets pricing Bitcoin in the thousands of dollars each, the valuation model seems robust. The data show that a price bubble that began in the Fall of 2017 resolved itself in early 2018, converging with the marginal cost model. This suggests that while bubbles may appear in the Bitcoin market, prices will tend to this bound and not collapse to zero.     

Testing for Utility Maximization with Error and the Loss of Power

A procedure is suggested to decide whether or not to treat a consumer who violates the Generalized Axiom of Revealed Preference as ‘close enough’ to utility maximization. It is based on the reduction of the power the test has against random behaviour. It can also be used to compare different efficiency indices.     

我国股票市场指数与国际股票市场主要指数的联动性研究——基于协整分析

本文对2002—2009年中国股票市场与国际主要股票市场的每日收盘数据进行统计分析,运用相关性检验、协整检验和格兰杰因果关系检验实证了上证综合指数、深圳成分指数分别与香港恒生指数、道.琼斯指数、日经225指数、法国CAC40指数和伦敦金融时报指数之间存在相关、协整关系。进一步研究我国股票市场与国际股票市场的联动性,结果表明,国际股票市场对我国股票市场的影响越来越明显。这表明中国股票市场日趋成熟,逐渐与相对完善的国际股票市场接轨。     

Revisiting the uncertain unit root in GDP and CPI: Testing for non-linear trend reversion

We test for the presence of a unit root in U.S. GDP and CPI, allowing for non-linear trend reversion under the alternative hypothesis. In contrast to most previous results, we find evidence in favour of trend stationarity for both variables.     

Testing for individual and time effects in the two-way error component model with time-invariant regressors

In this paper, we focus on testing for individual and time effects in the two-way error component model with time-invariant regressors. We present the so-called FEF estimators when time-invariant regressors are exogenous and the FEF-IV estimators when one or more of time-invariant variables are endogenous, and obtain their asymptotic properties under some mild conditions. In the light of the moment-based test methods of Wu and Li (2014), we construct several tests for the existence of individual and time effects in the two-way error component model with time-invariant regressors. The resulting tests can be shown to have some desired properties as follows: they do not need any distributional assumptions on the error components; they do not require any assumptions on the correlation among the two random effects and the time-varying regressors; they are robust to the presence of one effect when the other one is tested. Simulation study and real data analysis are carried out for illustration of the above.     

Dominant Strategy Adoption and Bidders' Experience with Pricing Rules

Truthful revelation is a dominant strategy in both English (oral ascending bid) and second-price sealed-bid private-values auctions. Controlled observations of English auctions are largely consistent with the dominant strategy prediction, but laboratory second-price auctions exhibit substantial and persistent overbidding, even with prior experience. However, the experience of having bid in an English auction has a significant learning effect, moving bidding in subsequent second-price auctions closer to the dominant strategy. I explore two treatments isolating facets of the lessons learned from English auction participation, leading me to the following conclusions. Part of the lesson carried over appears to be considering prices one-by-one, but most of it appears to be a crude awareness that overbidding leads to losses. A claim that English auction experience teaches subjects to recognize the dominant strategy in second-price auctions seems overly optimistic. I introduce a nonparametric technique to test coefficient restrictions when the assumption of normally distributed errors is untenable.