Stock market liberalizations: Financial and macroeconomic implications

The paper presents new evidence on the effects of stock market liberalization on financial and macroeconomic development. Using a panel of 27 countries, liberalization is associated with a short-term increase in real private investment growth of about 14 percentage points cumulatively in the four years following liberalization and a cumulative 4 percentage point increase in real GDP per capita growth. The benefits of liberalization are higher in countries that have improved their institutional framework prior to liberalization. In contrast to other studies, we find some evidence for a permanent growth effect of about 0.4 percent a year in an extended sample of 72 countries. JEL no. F3, G1, O1     

房地产投资与宏观经济波动的相互影响关系——基于格兰杰因果检验模型的研究

房地产投资是固定资产投资的重要组成部分,是影响宏观经济走势的重要因素之一。研究房地产投资与经济发展之间是否存在波动的相互影响关系对协调房地产投资与国民经济发展有着重要的意义。文章利用协整理论、误差修正模型和格兰杰因果等计量理论方法对房地产投资的波动与GDP波动之间的关系进行实证分析,发现两者之间呈现一定的显著关系,进而对房地产调控进行了探讨。     

The Macroeconomic Effects of Large Exchange Rate Appreciations

Although currency adjustment is often proposed as a policy tool to reduce current account imbalances, there is no consensus regarding the macroeconomic effects. In this paper we study the macroeconomic aftermath of large exchange rate appreciations. Using a sample of 128 countries over the period 1960–2008, we identify 25 episodes of large nominal and real appreciations shocks. We use narrative identification of exogenous appreciation episodes and study the macroeconomic effects in a dummy-augmented panel autoregressive model. Our results indicate that exchange rate appreciations tend to have strong effects on current account balances. Within 3 years after the appreciation event, the current account balance on average deteriorates by three percentage points of GDP. This effect occurs through a reduction of savings without a meaningful reduction in investment. Real export growth slows down substantially, but the output costs are small and not statistically significant. All these effects appear somewhat more pronounced in developing countries.     

Determinants of Real Chinese GDP 1978–2014

In 2014, the IMF reported that China became the largest economy in the world according to Purchasing Power Parity rates. This study aims to explain the Chinese economic miracle. It focuses on frequently suggested factors influencing China’s real gross domestic product (GDP), such as export promotion, exchange rate policy, and foreign direct investment (FDI). The paper employs the Bounds test of the autoregressive distributed lag (ARDL) model to test for cointegration. Once cointegration is established, Granger Causality is investigated using the vector autoregressive model and the Toda and Yamamoto (1995) method. Two different combinations of the real macroeconomic variables exports, exchange rate, imports, and FDI were employed to examine Granger causal relationships. All explanatory variables, except for the exchange rate, were found to have plausible relationships with GDP. The exchange rate and GDP relationship was unexpected; a Renminbi appreciation was associated with an increase in GDP. To investigate this paradox, a third ARDL model was estimated with exports as the dependent variable and the exchange rate, world GDP, and FDI as the independent variables. In this model, we found evidence of cointegration and a plausible relationship between real exports and the real exchange rate. Exchange rate devaluation increased exports and thus indirectly increased GDP. Such findings help to resolve the unexpected results. Nonetheless, according to the Granger causality tests the established statistical evidence is rather weak. We found that both the exchange rate and FDI are no longer strong drivers of economic growth in China.     

The saving–investment correlation and origins of productivity shocks

This paper shows how savings and investment can be positively correlated despite capital being perfectly mobile across countries. The saving-investment (SI) correlation depends on the origin and the volatility of macroeconomic (productivity) shocks, the persistence of these shocks and country-size. Simulating a two-country Real Business Cycle (RBC) model we show that as the variance of common shocks increases (relative to country-specific shocks), as the persistence of these shocks decreases and as country-size increases, the SI correlation increases. Using annual data from 1960 to 2002, productivity changes in 11 OECD countries are decomposed into common and country-specific shocks (from which foreign shocks are also constructed). The empirical findings show that the 11 countries share a statistically significant common component in productivity changes and common shocks generally account for at least half of the variations in the countries’ productivity changes. We then use the estimated variances of the shocks, in addition to each country's size, in the RBC model to compute the predicted SI correlation for each country, under the assumption that capital is perfectly mobile. The predicted SI correlation is then compared to the actual correlation to assess the relative degree of capital mobility in the 11 countries. The findings indicate that Norway, the Netherlands and the US have the highest degree of capital mobility whereas in Canada, Sweden, Belgium and Japan capital mobility has been the lowest.     

U.S. Antidumping Enforcement and Macroeconomic Indicators Revisited: Do Petitioners Learn?

We contribute to the literature on the political economy of U.S. antidumping enforcement through an analysis of the pattern—and macroeconomic determinants—of country-specific antidumping petitions filed by U.S. firms against 15 countries between 1981 and 1998 (examining quarterly data). We reconcile some seemingly inconsistent results from the prior literature by suggesting that “learning” by petitioners about the administration—in practice—of the U.S. trade laws has led to changes in the roles of the macroeconomic determinants over time. JEL no. F13     

Macroeconomic implications of population aging: Evidence from Japan

Population aging is an important feature of Japan’s economy, which since 2006 has become a super-aged society. Changes in the age distribution of the population have important macroeconomic implications. Using annual data for 1960–2015, this study tests whether population age shares have long run influences on domestic saving, domestic investment, real GDP, inflation, the fiscal balance, and the current account balance. Cointegration is found between each macroeconomic variable and the demographic variables, which is a key finding of the analysis. The main empirical findings from the long-run cointegrating equations are that the effects of demographic change on the macroeconomic variables are statistically significant and quite strong. Alternative variants of the United Nation’s population projections provide further evidence of the importance of the demographic changes for Japan’s macroeconomic future. This study finds that future trends of key macroeconomic variables are not monotonic, but rather that long swings in the demographic factors produce a mixture of moderate growth periods and episodes of GDP stagnation.     

An empirical investigation on the temporal properties of China's GDP

This paper employs a structural time series model designed with three components of stochastic seasonality, trigonometric expression of cyclicality and local linear trend to investigate the evolutionary process of China's GDP. In particular, the model is able to detect the stop–go feature of China's economic growth, i.e., growth cycle, as well as business cycle. The empirical result suggests that most variation in China's macroeconomic performance came from business cycle. The investigation of the three components along with historical events suggests that the Chinese economy had been largely influenced by political activities up to the early 1990s. In the mid-1990s China entered a period of stable and highly growing economy, thanks to the economic reform and the successful implementation of macroeconomic policies. However, since the mid-2000s China has become more sensitive to the turbulences in international markets. In the foreseeable future, the challenge facing China is a more volatile economy with possible slowdown in the economic growth, although the growth rate would still be high compared to developed economies.     

我国贸易依存度实际水平测算及国际比较

随着我国外贸经济的快速发展,近年来有关贸易依存度的争论就从来没有停止过.我们认为争论产生的重要原因之一就是对贸易依存度本身认识不够深刻和全面,从而使得贸易依存度的计算没有一套比较科学和统一的方法.所以我们在前人研究的基础上,通过四次调整计算我国近年(2003年数据,2004年的数据不完整)贸易依存度的实际水平,并进行国际比较,以期对我国的实际贸易依存度水平有一个比较正确的认识,从而对今后的外贸工作提出正确的建议和意见.     

Are Real GDP Levels Stationary in African Countries?

In this study, we apply flexible Fourier stationary unit root test proposed by Enders and Lee (2012) to assess the non‐stationary properties of the per capita real gross domestic product (GDP) for 32 African countries. We find that Fourier stationary unit root test has higher power than linear method if the true data‐generating process of per capita real GDP is in fact a stationary nonlinear process of an unknown form with structural change using the low frequency components. We investigate the stationarity of per capita real GDP from the nonlinear point of view and provide robust evidence that clearly indicates that real output is well characterised by a nonlinear, mean‐reverting process, namely Benin, Botswana, Burundi, Cameroon, Senegal, Sierra Leone and South Africa. Our evidence points that these seven countries are nonlinear stationary, implying that per capita real GDP follows a steady rate of growth, and policy innovations then have temporary effects. These results have important policy implications for African countries.     

恩格尔系数失灵的若干影响因素分析

文章所探讨的恩格尔系数失灵,是指恩格尔系数在中国现实情况下被低估而不能正常反映现实经济情况的现象。文章认为,导致恩格尔系数失灵的因素包括房地产价格上升、社会保障制度不健全、收入分配差距扩大、食品安全问题等,这些因素都会降低居民食物的显性支出。文章提出,恩格尔系数的划分标准是居民生活质量重要的评判依据,但不是惟一的评判依据。在实际应用中,恩格尔系数须结合GDP、人均GDP、基尼系数等指标一同搭配使用,才能更好的作为测定居民生活水平的依据。政府应通过宏观经济政策的规制,提高恩格尔系数对现实经济运行的解释力,弱化并消除恩格尔系数失灵的现象。     

Cross-country causes and consequences of the 2008 crisis: Early warning

This paper models the causes of the 2008 financial crisis together with its manifestations, using a Multiple Indicator Multiple Cause (MIMIC) model. Our analysis is conducted on a cross-section of 107 countries; we focus on national causes and consequences of the crisis, ignoring cross-country “contagion” effects. Our model of the incidence of the crisis combines 2008 changes in real GDP, the stock market, country credit ratings, and the exchange rate. We explore the linkages between these manifestations of the crisis and a number of its possible causes from 2006 and earlier. We include over sixty potential causes of the crisis, covering such categories as: financial system policies and conditions; asset price appreciation in real estate and equity markets; international imbalances and foreign reserve adequacy; macroeconomic policies; and institutional and geographic features. Despite the fact that we use a wide number of possible causes in a flexible statistical framework, we are unable to link most of the commonly cited causes of the crisis to its incidence across countries. This negative finding in the cross-section makes us skeptical of the accuracy of “early warning” systems of potential crises, which must also predict their timing.     

Exchange Rates and Trade Balance Adjustment: A Multi-Country Empirical Analysis

This study assesses the response of the trade balance to exchange rate fluctuations across a large number of countries. Fixed-effects regressions are estimated for three country groups (industrial, developing and emerging markets) on annual data for 87 countries from 1994 to 2010. The trade balance improves significantly after a real depreciation, and to a similar degree, in the long run for all countries, but the adjustment is significantly slower for industrial countries. Emerging markets and developing countries display relatively fast adjustment. Disaggregation into exports and imports shows that the delayed adjustment in industrial countries is almost entirely on the export side. The rate of adjustment in emerging markets is slowing over time, consistent with their eventual graduation to high-income status. The ratio of trade to GDP is also highly sensitive to the real effective exchange rate, with a real depreciation of 10 % raising the trade/GDP ratio across the sample by approximately 4 %. This result, which presumably reflects movements in the prices of tradables relative to non-tradables, raises questions about the widespread use of the trade/GDP ratio as a trade policy indicator, without adjustment for real exchange rate effects.     

How is suicide different in Japan?

This study investigates suicide rates among OECD countries, with particular effort made to gain insight into how suicide in Japan is different from suicides in other OECD countries. Several findings emerged from fixed-effect panel regressions with country-specific time-trends. First, the impacts of socioeconomic variables vary across different gender–age groups. Second, in general, better economic conditions such as high levels of income and higher economic growth were found to reduce the suicide rate, while income inequality increases the suicide rate. Third, the suicide rate is more sensitive to economic factors captured by real GDP per capita, growth rate of real GDP per capita, and the Gini index than to social factors represented by divorce rate, birth rate, female labor force participation rate, and alcohol consumption. Fourth, female and elderly suicides are more difficult to be accounted for. Finally, in accordance with general beliefs, Japan's suicide problem is very different from those of other OECD countries. The impact of the socioeconomic variables on suicide is greater in Japan than in other OECD countries.     

Rethinking the impact of GDP on financial development: Evidence from heterogeneous panels

This paper examines the nonlinear impact of real GDP per capita on financial development in a panel of 125 countries. It also determines the moderating effect of inflation on the impact of GDP on financial development. It employs the dynamic panel system generalized method of moments (GMM) and the dynamic common correlated effects (CCE) to do both panel and country‐specific analysis, as well as control for cross‐sectional dependence, heterogeneity and endogeneity. This study shows that GDP has a positive impact on financial development in the entire panel. However, when we split the panel into different income groups, we find a positive impact in the high‐ and middle‐income groups while the impact is insignificant in the low income group. Although we find no evidence of a nonlinear impact of GDP on financial development in the panel, the country‐specific analysis reveals a significant nonlinear relationship between GDP and financial development in 73 countries. We also show that inflation adversely moderates the positive impact of GDP on financial development in middle‐income countries. This study implies that the relationship between GDP and financial development depends on the levels of GDP and inflation rate. We recommend some policy options based on the findings.     

Chinese macroeconomic management through the crisis and beyond

As in all the other major economies, China's macroeconomic policy framework was put to the test during the global financial crisis. China applied one of the world's largest stimulus packages. The package provided a very rapid boost to activity in the Chinese economy, with empirical evidence suggesting the package added around 2–3 per cent to the level of GDP in both 2009 and 2010. The stimulus package was clearly a success for China, but there are challenges in unwinding the effects of the stimulus and addressing structural imbalances. Pressures to rebalance Chinese growth and integrate China further into global capital markets will necessitate changes in China's macroeconomic policy framework.     

南北经济收敛性与共同富裕

区域经济收敛有利于协调区域发展,从而有助于实现我国共同富裕的奋斗目标。然而我国幅员辽阔,区域经济差距由来已久。当下,从GDP总量的角度来看,我国区域经济格局呈南北经济差距扩大的态势。文章利用我国284个地级市文章中的284个地级市还包括4个直辖市。2000—2019年面板数据,探析了南北经济差距演变情况。首先,基于σ收敛和dagum基尼系数分析了人均实际GDP演变特征;其次,构建β收敛模型分析了南北经济收敛性,并考察了人力资本、物质资本、技术水平、对外开放和财政支出对南北经济收敛的影响;最后,文章从共同富裕的视角,对我国西南、西北和东北地区与其他地区的经济收敛性进行探讨。研究发现:(1)南北区域经济存在显著的俱乐部效应,南方内部经济由收敛演变为不具有显著收敛特征,而北方内部经济差距均呈收敛趋势;(2)适度的人力资本的流动不会导致经济发散,物质资本总体上延缓区域经济收敛速度,财政支出对区域经济收敛的作用有限,而技术水平和对外开放对经济收敛速度的影响不稳定;(3)从实现共同富裕的总体目标来看,西北地区的经济表现与其他地区存在显著差异,东北和西南的小部分区域也需要引起一定的重视。对此文章提出合理化建议,以期更好实现共同富裕目标。     

What are China's real gains within global value chains? Measuring domestic value added in China's exports of manufactures

This paper aims to investigate China's gains of participating in global value chains (GVCs) in terms of GDP in exports (DVA - domestic value added) and the factors affecting China's gains. The paper decomposes the gross exports of China so as to get the components that make up total GDP in the exports of the country, namely the value-added exports and DVA that are returned from abroad. Then the two components are measured to obtain the scale of GDP in China's exports both on country and sector level. The results show that, firstly, both value-added exports and the GDP in China's exports are less than the traditional gross trade statistics, indicating that there is a gap of real trade gains under GVCs. Secondly, comparing whether the proportion of DVA in total exports, the proportion of DVA in exports of manufactures or the proportion of RDV in total DVA, the gaps between China and the developed countries such as the United States, Germany and Japan do exist. Especially, considering the RDV of China, the proportion is significantly lower than that of major developed countries such as the United States and Germany, indicating that China lags far behind developed countries in the capabilities of supplying high value-added intermediate goods. Lastly, the empirical results suggest that DVA in China's exports has progressively increased in response to the productivity enhancement; research and development (R&D) inputs and capital formation, and the synergies between R&D and vertical specialization affect China's DVA growth in exports positively.     

Commodity Prices, Inflationary Pressures, and Monetary Policy: Evidence from BRICS Economies

We assess the transmission of monetary policy and the impact of fluctuations in commodity prices on the real economy for the five biggest and fastest growing emerging market economies: Brazil, Russia, India, China and South Africa (BRICS). Using modern econometric techniques, we show that a monetary policy contraction has a negative effect on output, suggesting that it can lean against unexpected macroeconomic shocks even when the financial markets are not well-developed in this group of countries. We also uncover the importance of commodity price shocks, which lead to a rise in inflation and demand an aggressive behaviour from central banks towards inflation stabilisation.     

Are Real GDP Levels Nonstationary? Evidence from Panel Data Tests

Ever since the seminal paper of Nelson and Plosser (1982), researchers have focused on the potential nonstationarity of important macroeconomic variables, and unit root tests are now a standard procedure in empirical analyses. While there are many findings of unit roots in macroeconomic variables using the popular augmented Dickey and Fuller (1979) test, this test has low power against near-unit-root alternatives. Recently, panel data procedures have been proposed as an avenue to increased power. This paper applies panel unit root tests to international real GDP and real GDP per capita data. The results overwhelmingly indicate that international real GDP and real GDP per capita levels are nonstationary.