生产率冲击对CER价格的影响——基于DSGE模型的分析

本文在价格粘性的动态随机一般均衡模型中讨论生产率冲击对CER价格的影响,通过构造CER的CES函数,对生产率冲击和CER价格波动之间的关系进行了实证研究。结果发现,生产率的冲击能够对CER价格产生显著影响。     

国际原油价格波动对我国宏观经济影响的实证分析

本文首先运用现代非均衡经济理论分析国际原油价格对我国宏观经济的作用机制,发现国际原油价格与我国经济增长和PPI之间存在一定的关系。然后在结构VAR模型的基础上,讨论了国际原油价格波动对我国经济增长和PPI的动态影响。     

蔬菜价格波动特征研究——基于ARCH类模型分析

利用ARCH类模型研究蔬菜价格波动特征问题。结果表明:18种蔬菜具有价格波动集簇性和异方差性,其中冬瓜等6种蔬菜的价格具有显著的异方差效应和波动集簇性。GARCH模型表明6种蔬菜的价格波动都具有显著地集簇性,按价格波动持续性强弱比较,冬瓜、大白菜、土豆、洋葱的价格波动持续性强于青椒和生姜;GARCH-M模型表明只有土豆和生姜具有高风险高回报的特征;TARCH和EARCH模型表明6中蔬菜都具有显著的非对称效应,其中除洋葱和青椒以外,其他4种蔬菜两个模型的非对称效应都使得价格波动减小。     

资产价格、金融加速器与经济稳定

本文以房地产价格的变化为对象研究资产价格波动对宏观经济的影响。我们在BGG模型基础上,运用包含金融加速器的两部门动态宏观经济学模型,考察了资产价格波动对经济稳定影响的金融加速器效应,并对名义冲击与实际冲击的效应、不同经济结构下的经济波动进行了比较。认为在中国宏观经济运行中,可以运用金融加速器机制解释由于资产价格波动带来的宏观经济波动,经济政策主要应减少名义变量的冲击,在资产价格波动较大的时期可以对不同部门采取不同的信贷政策。     

农产品价格波动对农民消费的影响模型及实证

农产品价格波动是影响我国农民消费支出的重要因素。文章从农产品价格波动与农民消费的逻辑关系出发,构建了农产品价格波动对农民消费影响的理论模型,并以该模型为基础从量化的角度实证了农产品价格波动对农民消费的影响。根据实证分析的结果,文章提出了构建扩大农民消费长效机制的建议。     

房地产价格波动影响因素的实证研究究——基于广州市的VAR模型

本文以广州市为例对房地产价格波动和其影响因素进行实证分析。本文以相关经济理论为根据建立了向量自回归模型。模型实证结果表明预期冲击是影响广州市房地产价格波动的重要因素,房地声市场存在明显的顺周期性质,货币供应量的变化也会引起房地产价格的变化。本文还发现房地产市场的瑰策主体主要依据年内四个季度的房地产价格和销量等信息来进行决策。房地产价格波动是对房地产市场波动的主要解释因子。     

基于HP滤波法的我国小麦市场价格波动分析

运用2002年12月至2014年10月的小麦市场价格数据,分析了我国小麦市场价格波动主要特征,运用X12季节调整模型实证分析季节要素对我国小麦市场价格波动的影响;运用HP滤波分解模型将2002年12月至2014年10月我国小麦市场价格指数原始序列分解为趋势值序列和波动值序列,分析得出我国小麦市场价格长期波动的趋势,并对研究期进行周期划分。经研究发现:小麦市场价格具有明显的季节性波动,夏季和秋季因素使得小麦价格上涨,春季和冬季因素使得小麦价格下跌,这与小麦的生长周期基本保持一致;研究期内我国小麦市场价格波动可划分为2个周期,各周期持续的时间长度和峰谷落差都不相同。研究末期小麦市场价格波动幅度存在逐渐缩小的趋势,波动周期存在延长的趋势。     

国际原油价格波动对中国经济的冲击效应研究

国际原油价格波动对我国经济增长和人民生活有着冲击效应,基于VAR模型对国际原油价格与我国国内生产总值、居民消费价格指数和货币供应之间的波动规律进行实证分析。通过对居民消费价格指数、国内生产总值指数、货币供应量指数和国际原油价格建立VAR模型进行实证分析,分析表明:我国国内生产总值、居民消费价格指数和货币供应量不仅受到自身的影响,还受到自身滞后变量和其他变量及国际原油价格的滞后变量的影响。     

卖空机制对股票价格波动的影响:基于A+H股公司的实证研究

为了考察卖空机制对股票价格波动的影响,本文建立双重差分模型对A+H股公司的A股和H股的月度数据进行实证研究,并在模型中加入时间虚拟变量,考察金融危机前后不同时期卖空对价格波动的影响.研究结果表明,在所划分的不同时期里卖空机制对价格波动的影响是不同的.在金融危机发生前,卖空机制能有效抑制价格波动;在金融危机愈演愈烈时,卖空机制会加剧价格波动;而在金融危机得到缓解时,卖空机制对价格波动没有显著的影响.     

原油市场收益率及其波动率序列的长期记忆性

本文通过构建ARFIMA模型、FIGARCH模型及ARFIMA-FIGARCH模型来系统检验国际原油市场收益率序列及其波动率序列的长期记忆性特征,结果表明：（1）Brent原油现货价格对数收益率时间序列当中不存在显著的长期相依性特征,但是在Brent原油现货价格对数收益率波动率时间序列当中却具有极为显著的长期相依性特征,即长期记忆性特征;（2）采用Student-t分布代替正态分布来刻画Brent原油现货价格对数收益率时间序列及其波动率时间序列的“尖峰厚尾”分布性质是极为恰当的,相比之下,Student-t分布能够更好地捕捉到Brent原油现货价格对数收益率时间序列及其波动率时间序列中存在的长期记忆性特征.     

Impact of Beijing Olympic-related Investments on Regional Economic Growth of China: Interregional Input–Output Approach*

Using the interregional input–output model, the present paper analyzes the impact of Olympic-related investments on the economic development of Beijing and its surrounding areas, as well as the rest of China. The interregional input–output model provides a satisfactory simulation and analysis of Olympic-related investments that are implemented in Beijing and other areas and their spillover effects on other regions. We estimate that from 2002 to 2007, Olympic-related investments will add 2.02, 0.23 and 0.09 percent annually to gross regional products of Beijing, its surrounding areas and the rest of China, respectively.     

Effect of a tariff on the environment and welfare: The case of an environmental differentiated duopoly in a Green Market

Employing a model of environmental quality-differentiated products, we analyze the effect of an ad valorem tariff on the unit emission level of the products, the environment and welfare in the Bertrand and the Cournot duopoly cases, respectively. We show that the effect of the tariff policy depends on the mode of market competition and the degree of marginal social valuation of environmental damage.     

我国通货膨胀成因解析--基于开放经济体DSGE模型的研究

为定量探讨国内外各种经济冲击如何影响我国通货膨胀及其解释力大小,本文构建出一个符合中国经济特性的开放经济体系动态随机一般均衡（ DSGE）模型,并基于1997-2013年季度数据进行贝斯估计。研究结果表明本文模型可以很好地匹配主要宏观变量的数据特性。通过模型对通货膨胀的方差分解发现,我国通货膨胀波动最主要解释因素依次为生产技术冲击、货币政策冲击、及国外价格冲击。藉由模型对通货膨胀的历史拆解发现,样本期间内2002Q2-2004Q3、2006Q3-2008Q1、及2009Q2-2011Q3三轮通胀上升周期中最主要推动因素分别为投资效率冲击、国外价格冲击、及货币政策冲击。     

The Corn Price Surge: Impacts on Rural Mexico

We use an agent-based, general-equilibrium model to explore the impacts of world corn-price increases on land use and income in rural Mexico. In the model, interactions among heterogeneous agents within a local context shape both macro and microeconomic outcomes. Results suggest that subsistence activities allowed agriculture to absorb the shock, limiting the benefits of higher prices for the population while keeping deforestation pressures in check. An estimated 5.7% corn-area expansion by 2008 and wide variation across regions corresponds well with ex-post reports. Agricultural growth led to 0.02% and 3.9% increases in real income for rural households and absentee landholders, respectively.     

A Small Macroeconomic Model of the EU-Accession Countries

This paper develops a small macro-economic model of the CEECs to analyze various aspects of integration with the current EU and the role of monetary and exchange rate strategies during the (pre-) accession phase. The model gives insight into both the adjustment of the internal balance (as for output and employment) and the external balance (as for exports and competitiveness) in the accession countries. The model provides more insight into the basic macroeconomic relationships governing macroeconomic adjustment in the accession countries and also the role of the integration with the EU in that adjustment. We perform empirical simulations of different scenarios and analyze the resulting macroeconomic adjustment. In particular, we compare how a macroeconomic shock in the current EU is transmitted to the accession countries under flexible and fixed euro exchange rates, respectively.     

OWGA算子在乡村干部业绩优劣评价排序中的应用

有序加权几何平均（OWGA）算子是一种能有效地集结数据信息的方法。在多人决策中有时需要不同专家对决策方案进行两两比较给出互反判断矩阵的偏好信息,为了反映群体的共同偏好,可以利用OWGA算子对互反判断矩阵进行集结处理得到组合判断矩阵。文章利用这一算子建立村民评委对村干部年终业绩优劣评价排序的数学模型,最后进行了实例分析。     

Time-varying inter-urban housing price spillovers in China: Causes and consequences

The spatial spillovers of housing prices across regions are well documented by a large body of previous studies. This paper tries to investigate the dynamic (time-varying) evolution of spatial interactions and their underlying driving factors intensively. Using a recently developed Generalized Autoregressive Score (GAS) model, this paper examines the time-varying spatial spillovers of housing prices in 70 major and median cities of China from 2006 to 2019. We find that the GAS model can well capture the impact of time-varying critical events of Chinese real estate market on the whole. However, different regions display heterogeneous variation patterns over time. Further investigation shows that inter-regional labor mobility and trades are two major channels, accounting for 1.25% and 2.58% of the monthly standard deviations of spatial spillover effects from one city to another, respectively. We also characterize and distinguish between three time-varying patterns of spatial spillovers within different regions of China. Our results shed lights on the understanding of spatial spillovers across regional real estate markets across different city network structures within China.     

The relation between international capital flows and interest rates: A theoretical analysis

Summary Commonly, macro trade models which analyze the effects of governmental policies assumed that the rate of the international flow of capital is dependent upon international interest rates. This paper demonstrates that such a specification is inconsistent with the assumption of arbitrage in securities internationally.This is demonstrated first within a conventional static macro trade model, second within a class of dynamic models where short-run capital flows, but not total capital flows, depend upon interest rate levels, and, finally, within a general portfolio macro trade framework.We recommend the assumption of international arbitrage behavior.The authors are respectively Visiting Associate Professor of Economics at University of California at Santa Barbara, California and Professor of Economics at Wayne State University. We wish to gratefully acknowledge the suggestions and criticisms of Dr. S. K. Kuipers.     

A Closer Look at the Size and Value Premium in Emerging Markets: Evidence from the Kuala Lumpur Stock Exchange

In this study of asset pricing in emerging markets, two questions are asked. First, Is there a size and value premium in markets outside the USA? Second, Can the multifactor model of Fama and French (1996) capture the cross–section of average stock returns for the Malaysian setting? The answers from this study suggest that size and value premium exist in markets outside the USA. We find that the two mimic portfolios, ‘small minus big’ (SMB) and ‘high minus low’ (HML), generate a return of 17.70% and 17.69% per annum, respectively, while the market generates a return of 1.92% per annum. Our findings suggest that the multi–factor model of Fama and French (1996) is a parsimonious representation of the risk factors for Malaysia, explaining returns in an economically meaningful manner. Our findings also reject the claim that the multifactor model results can be explained by the turn–of–the–year effect.     

The effectiveness of monetary policy in China: Evidence from a Qual VAR

Analyzing monetary policy in China is not straightforward because the People's Bank of China (PBoC) implements policy by using more than one instrument. In this paper we use a Qual VAR, a conventional VAR system augmented with binary policy announcements, to extract a latent indicator of tightening and easing pressure, respectively, for China. The model acknowledges that policy announcements are endogenous and summarizes policy by a single indicator. The Qual VAR allows us to study the impact of monetary policy in terms of unexpected changes in these latent variables, which we identify using sign restrictions. We show that the transmission of monetary policy impulses to the rest of the economy is similar to the transmission process in advanced economies in terms of both output growth and inflation despite a very different monetary policy framework. We find that bank loans are not sensitive to policy changes, which implies that window guidance is still a necessary policy tool. We also find that the impact of monetary policy shocks is asymmetric in terms of asset prices, that is, the asset price reactions differ in their sensitivity to tightening shocks and easing shocks, respectively. In particular, an easing of monetary conditions boosts stock prices while a tightening shock leaves stock prices unaffected. This shows that monetary policy is not a suitable tool to stabilize asset prices, which raises implications for financial stability and macroprudential policy.