中国资本形成与经济增长的动态相关性——基于协变模型的实证分析

文章根据1952～2005年的样本数据,利用带有结构突变的单位根检验方法和协变模型判定了我国国内生产总值和资本形成总额时间序列均是带有一次均值突变的趋势平稳过程,证实了我国经济增长与资本形成之间存在着同期协变关系;并利用脉冲响应函数、方差分解以及动态相关系数研究了中国经济增长和资本形成间的动态相关性.最后,文章在此分析基础上得出了主要结论,并提出相应的政策建议.     

Volatility risk premium implications of GARCH option pricing models

In this paper we explore important implications of capturing volatility risk premium (VRP) within a parametric GARCH setting. We study the transmission mechanism of shocks from returns to risk-neutral volatility by providing an examination of the news-impact curves and impulse–response functions of risk-neutral volatility, in order to better understand how option prices respond to return innovations. We report a value of − 3% for the magnitude of the average VRP and we recover the empirical densities under physical and risk-neutral measures. Allowing for VRP is crucial for adding flexibility to the shape of the two distributions. In our estimation procedure, we adopt a MLE approach that incorporates both physical return and risk-neutral VIX dynamics. By introducing volatility - instead of variance - innovations in the joint likelihood function and by allowing for contemporaneous correlation between innovations in returns and the VIX we show that we may critically reduce the bias and improve the efficiency of the joint maximum likelihood estimator, especially for the parameters of the volatility process. Modeling returns and the VIX as a bi-variate normal permits identification of a contemporaneous correlation coefficient of approximately − 30% between returns and risk-neutral volatility.     

Has China’s fast industrial growth been efficient? An industry-level investigation with a newly constructed data set

We adopt contemporaneous, nonradial and variable returns to scale assumptions in a data envelopment analysis (DEA) exercise to address the inefficiency problem in Chinese industries in different policy regimes using a newly constructed data set for 24 Chinese manufacturing industries in 1952–2008. While confirming that the central planning period was indeed a ‘graveyard’ for productivity that entailed severe technical regress and efficiency losses, we do not find a steady improvement in efficiency during the reform period despite strong technical progress. We argue that the resurgent prominence of the government and the state sector since the late 1990s, especially following China’s World Trade Organization accession, has obstructed the efficiency improvement.     

Causality between money and prices in Indonesia

The purpose of this study is to examine the relationship between money supply and prices in Indonesia, where money supply is taken to be the stock of narrow money (currency + demand deposits) and prices are proxied by the Jakarta cost of living index. The period studied is 1969–1980. Two concepts of causality namely “proper” causality in which the causal effect takes at least one quarter to manifest itself and “instantaneous” causality in which there are no lags, are employed. The hypothesis of “proper” causality is rejected by bothGranger andSims tests. However, the hypothesis that money and prices are contemporaneously correlated cannot be easily dismissed. Using the framework of [Geweke], contemporaneous causality is treated as a part of linear feedback and the lagged version of Sims test was used. We found that the hypothesis that prices cause money supply cannot be dismissed on the basis of Wald test. However, the contribution of instantaneous causality is very large to the total variance of linear feedback.     

An alternative approach to simulating var models

This paper proposes a simple approach to the problem of handling contemporaneous correlation of the error terms when simulating VAR models. The approach is illustrated with an example using an estimated VAR model of the New Zealand economy.     

Testing for parameter restrictions in a stationary VAR model: A bootstrap alternative

This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the estimated generalised least square estimator for VAR parameters, which considers contemporaneous correlations among the error terms. It is found that the bootstrap test shows little size distortion in small samples. In contrast, the asymptotic Wald test exhibits serious size distortion, severely over-rejecting the true null hypothesis in small samples. The bootstrap test also has desirable power properties, with its power particularly high when the model is near non-stationary and the error terms are highly correlated contemporaneously. As an application, the bootstrap Wald test is employed to test for the predictability of stock return from dividend yield using U.S. data.     

Emigration,wage differentials and brain drain: the case of Suriname

In this article, we examine two hypotheses concerning emigration. The first hypothesis is that emigration is positively correlated with wage differentials. The second hypothesis concerns a positive correlation between emigration and higher education in the sending country (the so-called brain gain hypothesis). We analyse unique time-series data for Suriname for the period 1972–2009, for which we fit error correction models to disentangle short-run from long-run effects. We document moderate support for the first hypothesis, but we find strong support for the brain drain (and not brain gain) hypothesis. We conclude with implications of our findings for Suriname.     

For they know not what they do: an analysis of monetary policy during the Great Moderation

In this article, we develop an empirical framework to show the importance of money during the Great Moderation, while accounting for the fact that monetary policy was exclusively conducted through interest rates. We estimate the impulse response functions and forecast error variance decomposition derived from a structural VAR with a least absolute shrinkage and selection operator–based lag selection. The variance decomposition suggests that a substantial component of macroeconomic variation has been driven by shocks to the money market, which were not only unintended by the Federal Reserve, but worse passed unnoticed allowing those shocks to accumulate over time.     

Robust random effects tests for two-way error component models with panel data

In this paper, two test statistics are constructed respectively for individual and time effects in linear panel data models by comparing estimators of the variance of the idiosyncratic error at different robust levels. The resultant tests are one-sided, and asymptotically normally distributed under the null hypothesis. Power study shows that the tests can detect local alternatives that differ from the null hypothesis at the parametric rate. Due to the first difference and orthogonal transformations used in the construction of variance estimators of the idiosyncratic error, the two proposed tests are robust to the presence of one effect and the possible correlation between the covariates and the error components when the other one is tested. Monte Carlo simulations are carried out to provide evidence on the finite sample properties of the tests.     

近50年来我国区域经济空间极化的变化趋势研究

首先利用新近发展的ER、TW指数,以人均实际国内生产总值为指标,从经济总量上,详细考察了1952-2000年我国省市区经济空间极化变化趋势;其次利用广义熵的可分解特性,进一步探讨了1952-2000年我国区域经济不均衡在沿海-内陆、南方-北方区、高城镇化-低城镇化地区等具体空间方向上的极化及其变化趋势。     

Exports and economic growth:some empirical evidence from the Arab Gulf countries

This paper investigates the relationship between exports and economic growth in four of the Arab Gulf countries, namely, Saudi Arabia, Kuwait, UAE, and Oman for the period 1973–93. The estimates presented indicate a positive and significant relation between the two variables. Also, the statistical adequacy of the models used is supported by the following diagnostic tests. The Bruesch-Godfrey statistic suggests the absence of serial correlation. The Farely-Hinich test fails to reject the null hypothesis that the models are structurally stable. And both the White and Hausman specification tests show that the models are correctly specified.     

中国各地区出口的信息传导机制研究

本文首次运用指向非循环图(DAG)方法排列出我国八个主要出口地区的出口同期因果关系,在此基础上进行结构VAR建模以及预测误差方差分解,进一步考察了各地区出口的信息传导过程.实证结果表明:北京、上海是我国出口的领导者;同处我国经济中心--"长三角"的上海、江苏和浙江的联系非常紧密;山东在我国的出口市场有着重要的连接作用;广东出口的辐射功能非常有限,这与它贸易大省的地位不相称.     

The Tax‐smoothing Hypothesis: Evidence from Sweden, 1952–1999

This paper tests Barro's (1979) tax‐smoothing hypothesis using Swedish central government data for the period 1952–1999. According to the tax‐smoothing hypothesis, the government sets the budget surplus equal to expected changes in government expenditure. When expenditure is expected to increase, the government runs a budget surplus, and when expenditure is expected to fall, the government runs a budget deficit. The empirical evidence suggests that the model provides a useful benchmark and that tax‐smoothing behavior can explain about 60 percent of the variability in the Swedish central government budget surplus.     

Does GNP have a unit root?: A re-evaluation

Stock and Watson (1986) test the hypothesis that real per capita GNP has a unit root by using a test statistic due to Phillips (1985) which incorporates a non-parametric correction for the serial correlation induced by system and error dynamics. The version of this test that is used by Stock and Watson does not accomodate the presence of a drift, and to compensate, they detrend the series by extracting a 1.5% annual trend growth. We use a version of this class of non-parametric tests, developed by Phillips and Perron (1986), which allows for an estimated drift, and reassess the Stock and Watson findings.     

Robust Inference by Sub-sampling

This paper provides a simple technique of carrying out inference robust to serial correlation, heteroskedasticity and spatial correlation on the estimators which follow an asymptotic normal distribution. The idea is based on the fact that the estimates from a larger sample tend to have a smaller variance which can be expressed as a function of the variance of the estimator from smaller subsamples. The major advantage of the technique other than the ease of application and simplicity is its finite sample performance both in terms of the empirical null rejection probability as well as the power of the test. It does not restrict the data in terms of structure in any way and works pretty well for any kind of heteroskedasticity, autocorrelation and spatial correlation in a finite sample. Furthermore, unlike theoretical HAC robust techniques available in the existing literature, it does not require any kernel estimation and hence eliminates the discretion of the analyst to choose a specific kernel and bandwidth. The technique outperforms the Ibragimov and Müller (2010) approach in terms of null rejection probability as well as the local asymptotic power of the test.

     

Economic Growth and The Expanding Export Sector: China 1952–1985

In this paper Granger's test is employed to examine the causal relationship between the size of the export sector and national income per capita (as well as their respective growth rates) for China for the period 1952–1985. Our empirical results favour a bi-directional causal sequence between these two variables. However, these findings disappear when a similar test is used for the sub-period 1952–1978. The difference in results between these two sample periods points to a change in causal relation after 1978 which coincides with the adoption of an “outward looking” strategy by the Chinese government in that same year. [124]     

Potential ECB reaction functions with time-varying parameters: an assessment

This paper analyses the behaviour of the European Central Bank over the period 1999–2014 through the estimation of monetary policy reaction functions with time-varying coefficients and heteroskedastic error terms. This allows to evaluate whether relevant shifts in the conduct of monetary policy occurred and whether the current financial crisis had an influence on that. The paper considers two different specifications, one with contemporaneous regressors and one with regressors from surveys. The Taylor rule is then enriched with a set of macroeconomic and financial variables with the aim of testing their significance. Results show that forward-looking variables have a better explanatory power over interest rate policy. All the coefficients are found to be stable along the sample so that no shift in the reaction function can be identified and the financial crisis is found to only lead to a change in the size of the shock. Finally, we also provide evidence about the fact that the ECB has been actually constrained by the zero lower bound during the recent crisis.     

Defence spending,economic growth and temporal causality: evidence from Taiwan and mainland China, 1952-1995

This paper uses a cointegration analysis and a vector autoregressive model (VAR) to examine the causal relationship between defence spending and economic growth for Taiwan and Mainland China over the period 1952–1995. It is found that these two variables are not cointegrated for both countries studied. The results of the Granger causality tests suggest bidirectional Granger causality (feedback) between defence spending and economic growth for Taiwan, unidirectional Granger causality running from economic growth to defence spending for Mainland China, and unidirectional Granger causality running from Taiwan's defence spending to Mainland China's defence spending for cross-country studied. These results further indicate that there exists no arms race between two countries from both sides of Taiwan strait. Furthermore, impulse responses and variance decompositions are incorporated into the analysis. The results from the impulse responses and variance decompositions tell a similar story.     

The behaviour of Hong Kong stock prices

The primary function of a stock market is to allocate resources to the most profitable investment opportunities. If stock prices provide accurate signals for resource allocation, firms are able to make correct production–investment decisions, and investors are able to choose the most suitable stocks for investment. These choices are only possible if the market is efficient, that is, if stock prices ‘fully reflect’ all available information.

Hong Kong is now an international financial centre. Although Hong Kong's stock market is ranked as one of the five largest in the world in terms of turnover, little research has been devoted to the behaviour of its stock prices. This is a study of the efficiency of Hong Kong's stock market. It is based upon two widely accepted statistical tests, namely, serial correlation analysis and runs tests. Data used cover the daily prices of 28 major Hong Kong stocks over a period of four years from 1977 to 1980. The evidence is mixed; it does not provide clear support for the efficient market hypothesis.     

Credit market discipline: Theory and evidence

Popular in the academic literature and financial press, the credit market discipline hypothesis holds that credit markets, through risk premia increasing in debt level, constrain governments from borrowing and thus, impose fiscal discipline on sovereign borrowers. While several papers document rising risk premia, none have investigated the consumption response. This paper fills this gap by using data on U.S. states' risk premia from 1973–98. An optimizing model is formulated, whereby states intertemporally smooth consumption in the face of interest rates which increase with debt. Deviations from optimality are considered by allowing for governments which consume out of contemporaneous resources. In both cases, credit market discipline is rejected. Rejection is robust to sample splits based on ideology and the stringency of balanced budget requirments.