中国实际利率平价的KSS非线性单位根检验

中国一直在进行资本和金融项目的渐进改革,通常描述和刻画这一经济规律变化的是利率平价理论。由于近十几年限制我国利率平价的制度约束条件均得到缓解,所以,本文利用基于ESTAR结构的KSS非线性单位根检验分析法,并连同ADF和PP检验一起对我国实际利率平价进行了实证,检验结果表明,实际利率平价假说成立,并遵循非线性稳态过程,利率的非对称调整导致信贷市场和金融市场的信息不对称。这说明短期内实际利率的调整特征是平滑转移的,在长期内,双边国家均无法实施相对独立的货币政策。     

Testing for deterministic and stochastic cycles in macroeconomic time series

In this paper we use a statistical procedure which is appropriate to test for deterministic and stochastic (stationary and nonstationary) cycles in macroeconomic time series. These tests have standard null and local limit distributions and are easy to apply to raw time series. Monte Carlo evidence shows that they perform relatively well in the case of functional misspecification in the cyclical structure of the series. As an example, we use this approach to test for the presence of cycles in US real GDP.      

Problems Existed in Applications of Cointegration Theory in China

Although the Cointegration Theory was founded by the C.W.J Granger and other economists in the 1980s, it was not widely used in China until C.W.J Granger was awarded with Nobel Prize in 2003. Since then, a lot of economic papers introducing or applying Cointegration Theory have emerged, but the phenomenon of misuse of this theory possibly arose at the same time. Based on some of these papers obtained from web site （www.cnki.net）, this paper explores the applications of Cointegration Theory in China and draws some initial conclusions. Most of these applications are reasonable, but some of them are a bit blindfold or even contradictory in conclusions, which indicates that the overall application quality has a large room to get improved and should be paid more attention by academe.     

The Great Leap Forward, Economic Reforms, and the Unit Root Hypothesis: Testing for Breaking Trend Functions in China's GDP Data

This paper has two related objectives. The first is to evaluate empirically whether annual data for China's GDP and its sectoral components from 1952 to 1998 can be modeled more accurately as a stationary process around a breaking trend function as opposed to a unit-root process. The second is to identify the long-run growth path of the Chinese economy and shocks that are big enough to have altered the path. The conclusion that China's major output time series are trend stationary with structural breaks has significant implications for the government in policy decisions for long-run growth and short-run stabilization. It also has implications for modeling comovements between output variables and other macroeconomic variables in cointegration analysis of the Chinese economy.J. Comp. Econom., December 2000, 28(4), pp. 814–827. Department of Commerce, Massey University (Albany), Auckland, New Zealand.     

Unit and fractional roots in the presence of abrupt changes with an application to the brazilian inflation rate

In this article we analyse the monthly structure of the Brazilian inflation rate by means of using fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which permits us to model the underlying dynamics of the series in terms of an I(d) statistical model, with the government interventions being specified in terms of dummy variables. The results show that the series can be well described in terms of an I(0.75) process with some of the interventions having little impact on the series.The author gratefully acknowledges the valuable comments of an anonymous referee. Financial support from the Minsterio de Ciencia y Tecnologia (SEC2002-01839, Spain) is also acknowledged.First version received: November 2001 / Final version received: December 2003     

中国转型期的信贷波动与经济波动

本文基于1981-2002年的季度数据,考察了在经济转轨的不同阶段我国信贷波动的特征,并通过时差相关分析和Granger因果关系检验,分析了信贷波动与经济周期波动的相互关系.结果表明,总体上信贷波动与经济周期波动基本同步,信贷扩张和收缩是产生经济周期波动的显著影响因素,但这种影响从20世纪90年代中期开始有所下降,同时,信贷波动的内生性开始显现.     

计量经济学方法之时间序列分析

本文介绍了一元时间序列分析中常用的AR、MA、ARMA和ARIMA等经典模型,分析了这几个经典模型的理论要点以及单位根检验的方法和程序,总结了时间序列分析在预测等方面的优势及其在复杂科学管理中的应用,并以我国一月期国债回购利率和上证180月收益率为分析对象,介绍了一元线性回归分析的基本步骤。     

混业经营条件下银行集中与效率--基于面板单位根与面板协整分析

基于亚洲国家的面板数据,运用面板单位根与面板协整方法研究混业经营下银行集中与银行效率的关系.理论研究表明银行集中会带来两种相反作用的效应:规模经济和专业化经济,银行集中度提高所带来规模经济上升促进银行效率;相反专业化经济下降损害银行效率.实证分析(1)支持理论所表明的均衡关系,银行效率与银行集中等变量存在协整关系.(2)混业经营条件下,银行集中与银行效率有显著的正相关关系,规模经济效应大于专业化经济效应.因此混业条件下,提高银行效率必须寻求有效途径,加强竞争,适度提高商业银行的集中度.     

人民币汇率合理性判断--用平行数据单位根对人民币购买力平价的经验分析

本文讨论了人民币汇率是否合理、人民币是否应该升值的两个判断标准,采用四种新发展起来的平行数据单位根检验法,对1978年1月-2004年9月的人民币购买力平价进行了检验.检验的结果普遍支持了购买力平价,可以认为人民币汇率的长期基础是合理的.但我们认为由于汇率在当代存在着两重作用与二重性,现有汇率理论只能部分地解释汇率的决定.论文对汇率的两重作用与二重性进行了分析.     

Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks

Tests of unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When applying the tests to the same dataset as in Perron (1989), we observe that our results might be consistent with those in Perron (1989) when testing the nulls of trend-stationarity or a unit-root. However, we also observe that fractionally integrated hypotheses may be plausible alternatives in the context of structural breaks at a known period of time. Final version received: August 2000/Final version accepted: August 2001 RID="*" ID="*"  The author gratefully acknowledges the financial support from the European TMR grant No. ERBFMRX-CT-98-0213. Comments of two anonymous referees are also acknowledged.     

Testing for panel unit roots in the presence of spatial dependency

In this article, the size and power properties of the Common-factor Im, Pesaran and Shin (CIPS), Wald (W), Likelihood Ratio (LR) and Lagrange Multiplier (LM) tests are investigated when the error term follows a spatial error model. In this study, the results from the Monte Carlo simulations, first, show that the CIPS test over-estimates the nominal size. Second, the simulation results show that the empirical size of the W test approaches the nominal size quickly, while the LR and LM tests underestimate the null hypothesis in both small and moderate sample sizes. Finally, the results also show that even though the LM and LR tests under-reject the true-null hypothesis they have higher power than the W test.     

Testing the validity of PPP theory for African countries

This study examines the purchasing power parity theory for 14 African countries by applying a recent composite time series method that incorporates the Fourier approximation. The structural breaks are modelled as a gradual smooth process by means of a Fourier component. The Fourier unit root test failed to find any evidence showing that real exchange rates for these 14 countries have mean-reverting tendencies. However, both cointegration and Fourier cointegration tests detect a stable long-term relation between the nominal exchange rate and relative price levels for 8 out of 14 countries; moreover, for five countries Fourier component in cointegration analysis is found to suit quite well.     

Bitcoin市场的长记忆性的实证分析

Bitcoin是一种新型的虚拟电子货币。运用初步的统计方法和R/S分析法分析其市场交易数据,对其长记忆性进行实证分析。分析结果表明,现阶段,Bitcoin的交易市场具有聚集性和持续性,当前的价格对于未来很长一段时间都有影响。     

Can the Stability and Growth Pact in EMU Cause Budget Deficit Cycles?

We study whether the Stability and Growth Pact (SGP) in EuropeanMonetary Union (EMU) can induce budget deficit cycles. The SGP provides a framework forsanctioning EMU-memberswith excessive deficits. If a government's optimal deficitpolicy is above the deficit threshold which triggers penalties then the deficit will be higherwith the SGP in force than without. The SGP may even induce deficit cycles in the sense thata government switches its optimal deficit between the threshold provided by the SGP and aneven larger deficit.     

Long memory in volatilities of German stock returns

We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by applying a method using the difference of the classical log-periodogram regression estimator for the memory parameter and of the tapered periodogram based estimator. Both estimators give similar values for the memory parameter for each series and this indicates long memory. To support our findings we apply also a methodology using the sample variance and a wavelet based estimator to the data. Also these two methods show clear evidence of long-range dependence in the volatilities of German stock returns.First version received: December 2001/Final version received: March 2003The computational assistance of Eleni Mitropoulou and Björn Stollenwerck as well as the helpful comments of two unknown referees are gratefully acknowledged. Research supported by Deutsche Forschungsgemeinschaft under SFB 475. Stock returns were obtained from Deutsche Finanzdatenbank (DFDB), Karlsruhe.     

基于ARMA-GARCH模型的股指波动压力测试情景设计研究

针对股指收益率时间序列某期间的异方差、尖峰厚尾以及序列自相关等特性,将ARMA模型与GARCH模型相结合,回归建模测算相关股指年度收益率VaR值,可以有效预测类似市场条件下股指的波动以及相伴概率。因此,在证券公司压力测试实践中,基于相伴概率合理设计股指下跌的压力测试情景,可以进一步提高压力测试情景设计的科学性,增强压力测试结果的现实指导意义。同时,可以将本文研究思路推广应用于利率、汇率、市场交易量等历史数据较充分的金融时间序列的实证分析,借以指导债市波动、汇市波动以及市场交易量波动等压力测试情景的设计工作。     

Unit roots and structural breakpoints in China’s macroeconomic and financial time series

This paper applies unit-root tests to 10 Chinese macroeconomic and financial time series that allow for the possibility of up to two endogenous structural breaks. We found that 6 of the series, i.e., GDP, GDP per capita, employment, bank credit, deposit liabilities and investment, can be more accurately characterized as a segmented trend stationarity process around one or two structural breakpoints as opposed to a stochastic unit root process. Our findings have important implications for policy-makers to formulate long-term growth strategy and short-run stabilization policies, as well as causality analysis among the series. __________ Translated from Economic Research Journal (经济研究), 2006, (1) (in Chinese)     

Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks

There is a sizeable literature that tests for weak-form efficiency in commodity and energy spot and future prices. While many studies now allow for multiple structural breaks to address the criticism that conventional unit root tests have low power to reject the unit root null in the presence of structural change, the extant literature overlooks the fact that conventional unit root tests are biased in the presence of conditional heteroscedasticity. We apply a recently developed generalized autoregressive conditional heteroscedasticity (GARCH) unit root test with multiple structural breaks to crude palm oil spot and future prices and find much more evidence against weak-form efficiency than that found using tests that fail to allow for conditional heteroscedasticity. Our results point to the importance of allowing for heteroscedasticity when testing for efficiency in commodity and energy spot and future prices.     

经济学视野下的知识经济理论寻根

文章从马克思经济学、增长经济学、制度经济学、信息经济学、创新经济学等经济学分支学科角度出发,对经济学视野下的知识经济理论根源进行了探寻。