The Great Moderation and the Relationship between Output Growth and Its Volatility

This study examines the effect of the Great Moderation on the relationship between U.S. output growth and its volatility over the period 1947 to 2006. First, we consider the possible effects of structural changes in the volatility process. We employ generalized autoregressive conditional heteroscedasticity in mean (GARCH-M) specifications, which describe output growth rate and its volatility with and without a one-time structural break in volatility. Second, our data analyses and empirical results suggest no significant relationship between the output growth rate and its volatility; this favors the traditional wisdom of dichotomy in macroeconomics. Moreover, the evidence shows that the time-varying variance falls sharply or even disappears once we incorporate a one-time structural break in the unconditional variance of output starting in 1982 or 1984. That is, the integrated GARCH effect proves spurious. Finally, a joint test of a trend change and a one-time shift in the volatility process finds that the one-time shift dominates.     

Stock Prices, Output and the Monetary Regime

Should monetary policy react to stock prices? The answer depends on whether stock prices are good predictors of future economic activity. Using long annual time-series data for the G-7 countries, data going back over 150 years for some countries, we find that stock prices do not systematically predict output growth regardless of the monetary regime in effect. We also find no evidence of a nonlinear relationship between stock prices and output except during the gold standard, when stock price booms and busts had some predictive power for output growth volatility.     

关于我国农业产出增长因素的计量研究

改革开放以来,我国农业产出逐年增长,但增速起伏非常大。从长期来看,其增长与农业从业人员、化肥施用量、农业机械总动力的增长存在协整关系;在短期内,其增速的变化主要取决于前推第三年农业机械总动力增长的变化,而且与自身上一年对长期均衡水平的偏离有关。农作物播种面积和财政农业科技三项费用的农业产出弹性不明显。加快农业富余人员彻底转移、提高农业生产机械化水平、加强科学种田与合理施肥引导、推动农业内部结构调整、合理配置农业R＆D公共投入,是我国实现农业产出持续、稳定和快速增长的政策必须选择。     

投资者结构与股价波动关系——基于理论的思考

长期以来,人们认为机构投资者可以稳定股市。本文从更广的视角研究了投资者结构与股价波动的关系。本文结论如下：（1）在市场产品机构、交易制度和规则体系等要素给定的情况下,股价波动是投资者结构参数的函数。（2）机构投资者与稳定股市没有必然的联系。即使在市场的产品结构和交易制度等要素给定的情况下．不同的投资者结构中机构投资者比例的增加既可以增加股价波动,也可以减少股价波动。（3）在一些投资者结构中,股价波动反而随着理性机构投资者比例的增加而增加。即使在投资者结构中其他参数相同的情况下,理,比机构投资者的比例过多或过少均有可能增加波动。（4）即使在上市公司不分红且没有重大利好消息支持股价的情况下,在一定的投资者结构中,机构投资者仍能通过买入来制造股价波动。并从中获利。但这种策略能够成功依赖于市场中其他类型投资者的结构。（5）适度的羊群行为会使股价波动最小,而过强或者过弱的羊群行为都使股价波动增加。     

Output Growth and its Volatility: The Gold Standard through the Great Moderation

This study examines the relationship between U.S. output growth and its volatility over the period 1876:I to 2012:II. We adjust the data for outliers and structural breaks. We employ generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) specifications. Normality and homoskedasticity appear only in the GARCH or EGARCH model that corrects for the outliers. When including the break in the mean equation, high volatility persistence remains. After also accommodating the breaks in the variance equation, the integrated GARCH effect proves spurious, either for the symmetric or the asymmetric model. Finally, our empirical results suggest that the finding of higher output growth volatility stimulating output growth and higher output growth reducing its volatility obtained from the symmetric GARCH‐in‐mean (GARCH‐M) model also proves spurious as a result of the emergence of an asymmetric effect. Our more appropriately specified asymmetric EGARCH‐M model suggests positive volatility‐in‐mean and level effects in the long‐period real gross national product series.     

Estimating South Africa's Output Gap and Potential Growth Rate

This paper estimates the potential output of the South African economy using several filters. We demonstrate that potential output measures are very sensitive to the different methodologies. We also provide estimates of South Africa's potential growth rate over the 1960–2015 period. Current estimates of the potential growth rate fall in the 1.9%–2.3% range. However, the evidence suggests that the rate is under considerable downward pressure. South African potential growth may be headed toward the 1% range. The strongest decline is in the real sectors of the economy (Manufacturing, Mining), the greatest resilience in the service sectors (financial in particular).     

Dynamics of Idiosyncratic Volatility and Market Volatility: An Emerging Market Perspective

Abstract

Estimating idiosyncratic volatility (IVOL) using various model-dependent and model-independent measures, we investigate the characteristics of aggregate IVOL in Malaysia over the period 1990–2008. The IVOL estimated in all models have similar patterns and has no trend over the sample period. There is evidence of episodic phenomenon. During financial crisis periods, market volatility is relatively higher than IVOL – a plausible reason is high correlation between firms' returns. Small firms and low-priced stocks appear to influence IVOL more than large firms and high-priced stocks. In Malaysia, market volatility and IVOL may predict GDP growth.     

工业增加值率与区域工业经济效益的关系研究

通过对工业增加值率指标的研究,分析了影响工业增加值率的因素,通过对陕西省近年来的工业增加值率的分析,报告了陕西省近年来工业经济的结构性问题,充分说明了该指标与区域工业经济质量和效益的关系,为经济主管部门在工业经济效益监测和工业经济转型升级的评估提出了创新性思路。     

六安市城市生活垃圾产量的预测

阐述了六安市城市生活垃圾产量预测的两种方法——根据人均垃圾日产量指标预测和根据垃圾年增长率预测。为缺乏相关基础资料的小城市探索了一些新的垃圾产量的预测方法。     

The Effect of Recessions on the Relationship between Output Variability and Growth

This paper investigates the relationship between output volatility and growth using postwar real GDP data for the United States. We expand on recent research by Beaudry and Koop (1993), documenting the asymmetric effect of recessions on output growth. The results presented in this paper suggest that output volatility is highest when the economy is contracting. While we find that the economy expands most rapidly following a recession, this expansion is offset by the negative impact of output uncertainty.     

人民币升值对我国资产价格波动的影响

随着我国经济持续增长和外汇储备的逐年增加,人民币升值步伐有越来越快的趋势。自2005年7月,我国宣布结束维持十年之久的人民币汇率盯住美元政策以来,人民币已累计升值30%。人民币升值导致了我国资产价格的波动,特别是我国股票和房地产价格的起伏波动。如何应对由人民币升值引起的国内流动性过剩导致资产价格波动,成为政府面临的新挑战。     

The Impact of Inflation Uncertainty on Output Growth and Inflation in Thailand*

We explore the impact of inflation uncertainty on output growth in Thailand, an emerging market economy with moderate inflation. Inflation and output uncertainty are modeled in a bivariate constant conditional correlation generalized autoregressive conditional heteroskedastic (AR(p)‐cccGARCH(1,1)) specification. We include the exchange rate in the mean equations, and use the headline and core inflation rates and industrial production to generate inflation and output uncertainty series. These series are then used in Granger causality tests to make inferences about the effect of monetary policy‐induced inflation uncertainty. Causality tests show a positive relation from inflation to inflation uncertainty. Additionally, increased inflation uncertainty decreases output. These results are consistent with real costs associated with moderate inflation. Finally, we find no evidence that monetary policy reduced these costs.     

经济转型与包容性增长的关联度

包容性增长是时代发展的必然要求,体现了公平与正义的科学内涵,是一种理想的经济发展方式。在经济转型深化阶段,中国经济社会问题的解决迫切需要以包容性增长理念为引导,将经济转型、政治转型、社会转型、文化转型等多种转型相互融合与协同推进,切实转变经济发展方式,才能实现国民经济的持续良好发展。     

Volatility Relationship between Crude Oil and Petroleum Products

This paper utilizes calculated historical volatility and GARCH models to compare the historical price volatility behavior of crude oil, motor gasoline and heating oil in U.S. markets since 1990. We incorporate a shift variable in the GARCH/TARCH models to capture the response of price volatility to a change in OPEC’s pricing behavior. This study has three major conclusions. First, there was an increase in volatility as a result of a structural shift to higher crude oil prices after April 1999. Second, volatility shocks from current news are not important since GARCH effects dominate ARCH effects in the variance equation. Third, persistence of volatility in all commodity markets is quite transitory, with half-lives normally being a few weeks.

论中国可接受的产出缺口区间与宏观经济走势

2008年中国经济增长步伐明显放缓,中国经济已步入收缩期。在全球金融动荡的背景下,分析中国当前的宏观经济形势与近期走势、及时调整经济政策具有重要的现实意义。文章构建状态空间模型进行Kalman滤波,估算我国1978—2008年的潜在产出与产出缺口,分析我国经济长期增长趋势、可接受的产出缺口区间与可接受的经济增长区间,据此对2009年经济走势进行预测并提出相应的政策建议。     

Transmission of Stock Prices and Volatility from the Influential Major Markets on the Emerging Market: A Case Study of the Korean Stock Market

Abstract

This study investigates how the 1997 crisis has changed the Korean market by focusing on price and volatility spillovers from the US, Chinese, and Japanese markets. Using the exponential general autoregressive conditional heteroskedastic (EGARCH) model, new information on stock prices originating in the US market was transmitted to the Korean market for all periods. The price spillover effect from the Japanese market to the Korean market became stronger from the crisis period. Asymmetry in the spillover effect on market volatility was more pronounced in the Korean market after the financial crisis.     

城市垃圾焚烧飞灰熔融过程中物质挥发情况研究

城市垃圾焚烧飞灰中含有大量有害物质,必须予以处置。熔融固化处理是安全的处理方法,但飞灰熔融过程中有有害物质挥发,造成二次污染。对在高温下飞灰中的重金属（Pb、Cr、Cd）和SO3、Cl的挥发情况进行了研究,采用动态热重—红外—差热分析对飞灰在升温过程中物质的分解挥发情况进行了动态跟踪。