中国货币政策影响的区域差异性研究

长期以来,我国实行的主要是统一的全国性货币政策,一定程度上忽视了我国区域经济发展不平衡对货币政策的不同需求。在借鉴国内外研究成果的基础上,文章从定性和定量两个角度,分析了改革开放以来货币政策对东中西三大区域经济的不同影响。其中,东部地区对货币政策最为敏感,中部、西部依次减弱。文章认为,为适应区域经济发展的不同需求,可以在统一货币政策的基础上,实行某种程度的灵活的区域性货币政策。     

中国货币供应量的产出、通货膨胀效应实证分析

采用中国1978～2008年的年度数据,运用VAR模型实证分析中国货币供应量政策对总产出和通货膨胀的效应。主要进行了脉冲反应分析和方差分解分析,并结合中国货币供应量政策的特点,得出以下结论:(1)中国货币政策在短期内对产出有影响,在长期是中性的;(2)货币供应量无论在长期还是短期内都对物价具有系统性影响;(3)中国货币政策有效,但效果有限;(4)中国货币供应量受到物价和产出变动一定的影响,即货币供给具有一定内生性。     

外部供需冲击视角下的东亚货币合作可行性研究

区域货币合作在维护区域金融稳定、促进区域经济发展方面具有不可替代的作用。欧洲主权债务危机爆发后,人们对东亚能否继续进行货币合作产生了疑问,有必要结合欧债危机产生的新情况、新问题,从新的视角探讨东亚货币合作的可行性。文章从供给与需求两方面的经济结构冲击对称性视角,对东亚10个经济体之间的冲击相关系数、冲击规模与调整速度进行了实证分析,证实了东亚区域不同经济体之间存在着不同的对称性,具有双边和次区域货币合作的经济基础。同时文章提出东亚区域未来货币合作的形式、实现路径和风险防范措施。     

Subjective well-being and the family: Results from an ordered probit model with multiple random effects

The previous literature on the determinants of individual well-being has failed to fully account for the interdependencies in well-being at the family level. This paper develops an ordered probit model with multiple random effects that allows to identify the intra-family correlation in well-being. The parameters of the model can be estimated with panel data using Maximum Marginal Likelihood. The approach is illustrated in an application using data for the period 1984–1997 from the German Socio-Economic Panel in which both inter-generational and intra-marriage correlations in well-being are estimated.First version received: May 2003/Final version received: August 2004I would like to thank Andrew Clark, Daniel S. Hamermesh, seminar participants at Tilburg University, and three anonymous referees for helpful comments.     

广东省潜在GDP增长率测算及预测

就广东省潜在GDP增长率进行了测算,使用HP滤波法和生产函数法得到的结果分别为9.1%和8.4%,从生产函数法的计算过程中,认为广东在1978—2012年的经济具有规模报酬不变的特征,并就当前情况作了分析。在对未来预测上,考虑到生产函数的各要素间可能存在相互关系而使用向量自回归进行。并以本轮金融危机的延续时间为变量,分别测算不同情况下未来五年和十年的平均增长率。     

基于VAR模型实证分析云南省教育投入与经济增长的关系

采用向量自回归模型（VAR）,通过协整检验、格兰杰因果检验、脉冲响应函数对云南省教育投入与经济增长的关系进行实证分析,结果表明云南省教育投入与经济增长之间存在着互为因果的长期均衡关系,教育投入对经济增长的贡献率为24．3％。     

Determinants of land value volatility in the U.S. Corn Belt

ABSTRACT

Understanding land value volatility and its reaction to exogenous shocks helps land owners, investors, and lenders assess risk. Land value volatility, the variance of the unpredictable component of land value growth rates, is modelled for each of the Corn Belt states in the U.S. using EGARCH. A pooled VAR system is then estimated to capture the interactions between land value determinants and land value volatility. The variables of the pooled VAR are split into negative and positive vectors to allow for asymmetric impacts. Impulse response functions are mapped. All states exhibit land value volatility clustering. Inflation, cash rent and population growth rates granger cause land value volatility. Land value volatility responses to negative shocks are greater than those to positive shocks. Lenders and investors should expect greater swings in land values after negative shocks to land value growth rates, but not an overreaction of land values from shocks to cash rent growth rates. Positive shocks to changes in interest rates increases land value volatility, but unexpected shocks to population growth rates do not have statistically significant impact on land value volatility.     

Financial development and economic growth in South Korea: an application of smooth transition error correction analysis

This article investigates the influences of financial development on economic growth for South Korea. The analysis is performed using an error correction model and a nonlinear smooth transition error correction technique. Empirical results from the cointegration test reveal that there is a long-run equilibrium relationship among financial development and economic growth. We also demonstrate that the nonlinear specification is more appropriate than the linear model and confirm the presence of nonlinearity in the aggregate output. Furthermore, we find that the short-run effect of financial development on economic growth is unstable despite the positive long-term effect.     

A theory of self-selection in a market with matching frictions: An application to delay in refereeing times in economics journals

A matching market with imperfect information is studied. With imperfect information, it is shown that friction in a meeting process can facilitate self-selection and thus may improve the matching outcome. As an application, the effect of delay in refereeing time on publication outcome is analyzed in a publication process in economics journals. Though the delay causes efficiency loss by postponing the dissemination of new research, it will better sort the papers to each journal by their qualities by preventing mediocre papers from being submitted to a prestigious journal and published by luck. If an assortative outcome (good papers in prestigious journals and mediocre papers in less prestigious journals) is efficient, the delay may actually improve the publication outcome. Other matching market examples are also discussed.     

农业投资与农民收入增长关系的动态计量经济分析

在建立向量自回归模型的基础上,运用广义脉冲响应函数和预测方差分解考察农业投资与农民收入增长之间的动态相关性。研究结论表明,在1981~2006年的样本区间内,农业投资的各个组成部分在促进农民收入增长中的贡献度和影响力有着显著差异,并且存在着一定的作用时滞。但从长期来看,我国农业投资与农民收入增长之间存在着紧密的联系,随着时间的推移,其作用程度渐趋稳定和显著。因此,在运用农业投资促进农民收入增长的政策选择上,应采取长期政策而非短期政策,并通过建立持续稳定的投资增长机制来保证其促进农民增收的拉动作用。     

Uncertainty shocks and asymmetric dynamics in Korea: a non-linear approach

This study investigates the impact of uncertainty shocks on macroeconomic activity in Korea. For this purpose, a Smooth Transition VAR model is employed to document the state-dependent dynamics of two distinct types of uncertainty shocks, namely, financial market based and news-based. When non-linearity is allowed to play a role in our model, quantitatively very different asymmetric dynamics are observed. Following inflation targeting, the responses tend to be smoother and less pronounced. Our empirical results support the view that the link between uncertainty and macroeconomic activity is clear over both recessions and expansions. Furthermore, the impact of uncertainty shocks is more pronounced when economic activity is depressed especially after shocks originate from the financial market, and not from news-based policy uncertainty in Korea.     

GDP nowcasting: application and constraints in a small open developing economy

Despite data limitations, an attempt is made to find out if a GDP nowcasting model can provide reliable forecasts for a small open economy. Two competing Bayesian vector autoregressive models are tested rigorously to obtain the optimal model by minimizing in-sample forecasting errors. The main finding of this study is that GDP nowcasting can produce reliable results for a small open economy despite the unavailability of sufficient data sets and the lack of high frequency indicators.     

Financial development and economic growth in Australia: An empirical analysis

The paper empirically examines the dynamic relationship between financial development and economic growth in Australia in terms of bank-based and market-based financial structure. A time-series approach using the VAR Model is used to provide evidence for the dynamic relationship. The paper provides empirical evidence on the causal impact of the financial market on the economic growth of the Australian economy. The results suggest that financial intermediaries and financial markets have different impacts on economic growth given their diverse roles in the domestic economy. In particular there is evidence of causality from economic growth to the development of the financial intermediaries. On the other hand, development in the financial markets causes economic growth but there is no evidence of any causality from economic growth to financial markets. The sensitivity test using different interest rates does not change the results.I Jel classification: O16, G18, G28I We would like to thank Tilak Abeysinghe and Rajagurn Gunasekaran for their helpful comments on the first draft. Also, we would like to thank the Editor, Prof. Baldev Raj, and two anonymous referees for their helpful comments.First version received: October 2001/Final version received: October 2002     

The effects of learning and signaling on money demand: With an application to heterodox inflation stabilization programs

This paper develops a nonlinear vector autoregression of inflation and money growth subject to changes in regime. The regimes are fully characterized by the mean and variance of inflation and are conjectured to be the result of alternative government policies. Agents are unable to observe directly whether government actions are indeed consistent with the inflation rate targeted as part of a stabilization program. However, as part of their money demand decision, agents construct probability inferences regarding the regime. Government announcements are assumed to provide agents with additional, possibly truthful information regarding the regime.  This specification is estimated using data from the Israeli and Argentine high-inflation periods. Results indicate that the successful stabilization program implemented in Israel in July 1985 was more credible than either the earlier Israeli attempt in November 1984 or the Argentine programs. Government's signaling might simplify the agents' inference problem and increase the speed of their learning but, under certain conditions, it might also increase inflation volatility. Welfare gains from a temporary increase in real balances might be high enough to induce agents to raise their money demand in the short-term even if they are uncertain about the nature of government policy and the eventual outcome of the stabilization attempt. Statistically, the model restrictions cannot be rejected at the 1% significance level. First version received: August 1998/Final version received: January 1999     

Simulation-based inference in dynamic panel probit models: An application to health

This paper considers the determinants of a binary indicator for the existence of functional limitations using seven waves (1991–1997) of the British Household Panel Survey (BHPS). The focal point of our analysis is the contributions of state dependence, heterogeneity and serial correlation in explaining the dynamics of health. To investigate these issues we apply static and dynamic panel probit models with flexible error structures. To estimate the models we use maximum simulated likelihood (MSL) with antithetic acceleration and implement a recently proposed test for the existence of asymptotic bias. The dynamic models show strong positive state dependence. Data from the British Household Panel Survey (BHPS) were supplied by the ESRC Data Archive. Neither the original collectors of the data nor the Archive bear any responsibility for the analysis or interpretations presented here. Funding was provided by the ESRC award no: R000238169-Simulation-based econometric approaches to investigating the interaction of lifestyle and health. The authors would like to thank William Greene for valuable comments on an earlier draft of the paper, Roberto Leon Gonzalez for valuable programming advice, and participants at the iHEA Third International conference, York, 22–25 July 2001 and York Seminars in Health Econometrics (YSHE) for their comments.     

Financial liberalisation and economic growth in Nigeria: an ARDL-bounds testing approach

Employing the Autoregressive Distributed Lag (ARDL)-Bounds testing approach, and using GDP – excluding the contributions from oil and gas, as well as the financial services sector – as the growth indicator between 1969 and 2008, the paper establishes a long-run relationship between economic growth and financial liberalisation, which is represented by an index. This index is calculated by using Principal Component Analysis (PCA). The paper finds that financial liberalisation policies have a positive and significant effect on economic growth in Nigeria – both in the short run and in the long run. The study, therefore, recommends that appropriate financial liberalisation policies should be pursued in Nigeria, in order to foster economic growth. However, considering the fact that financial markets are prone to market failures, the study cautions against adopting a laissez-faire approach to financial reforms.     

Monetary targeting in the Netherlands: an application of co-integration tests

There are two criteria to choose an intermediate variable for monetary targeting. First, the money demand function needs to be stable and second, the monetary authorities should be able to control the target variable given the available instruments. In this paper we examine whether M1 and M2 in the Netherlands fulfil the first requirement, i.e. we investigate whether a stable relationship exists between these monetary variables and key macroeconomic variables. Co-integration techniques are used which are very well suited for this purpose. Monetary policy in the Netherlands has been directed towards the growth rate of broad money (M2). The present findings do not suport the choice of M2 as an intermediate target for monetary policy in the Netherlands. A stable long-term relationship between M2 and real NNP and Long-and short-term interest rates does not exist. The results for M1 are considerbly better, though not favourable at all scores. The estimated moeny demand function for M1 is a good indicator for monetary policy, since the Dutch central bank probably cannot control the growth rate of M1.     

Investment sequencing in the brick industry: an application of grounded theory

Since the work of George Richardson on the problem of investmentcoordination, the literature has focused on explaining equilibriumin investment games and neglected the problem of how investmentsare coordinated. This paper reports the findings of a case studyof the brick industry which used grounded theory techniquesto develop a new analysis of investment coordination. Our mainfindings indicate that, despite the high cost of excess capacityand the very clear signalling of investment intentions, brickfirms are reluctant to stand back and delay their own investmentswhen a rival firm is expanding. The fact that for the most partexcess investment is avoided is explained by reference to firms'heterogeneity and constraints to investment.     

Financial and Institutional Barriers to SME Growth in Albania: Results of an Enterprise Survey

The early transition period witnessed the rapid growth of Albanian SMEs despite the fact that the country was subjected to several severe shocks, especially those associated with the collapse of the pyramid schemes and the war in Kosovo. The growth of small enterprises in agriculture, trade, services, and construction, with microenterprises constituting the bulk of SMEs, has been the engine of growth and contributed to the long term recovery of Albanian economy. However, the growth of SMEs has been hampered by a variety of barriers erected, directly or indirectly, by the state. Fiscal constraints particularly high rate of taxes and contributions, financial constraints and the institutional environment have been some of the major barriers they have had to surmount. These barriers have encouraged many firms to conduct some or all of their activities in the informal sector of the economy. The survey of fifty SMEs established since 1992 highlights the difficulties faced by these enterprises in the environment of early transition. The econometric evidence confirms the role of financial barriers to SME growth, especially when they are combined with the poor institutional environment. The results show that the government has to embark on SME policies designed to disseminate the information on support programmes widely, and to speed up the reform of the financial system, legal framework and law enforcement.     

Comparing earnings profiles in urban areas of an LDC: rural-to-urban migrants vs. native workers

"We use Tanzanian data to test a recently proposed hypothesis that rural-to-urban migrants have an incentive to supply greater work effort than native urban workers, because of the migrants' positive probability of returning to the low-wage rural areas. We treat the choice between public- and private-sector employment as endogenous and, for theoretical and empirical reasons, distinguish migrants with access to rural land from those without access. Our results show that migrants in both sectors face lower initial wage offers than native urban workers. But, the wage gap is eliminated within a decade or less, and thereafter, migrants surpass the wage offers of native workers."