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1.

Empirical studies have provided conflicting findings about the relationship between inflation and inflation uncertainty. Thus, the direction of the causality is still questionable. The present paper is aimed to extend the existing literature using non-linearity models and asymmetric causality tests. For this purpose, the data for 33 developed and developing countries during 1988Q4-2016Q3 is used. The results showed an asymmetry in the inflation behavior which is specified by smooth transition process, as well as separating positive and negative shocks observed in causality test. The asymmetric causality between inflation and inflation uncertainty is confirmed in most countries, although the empirical evidence in favor of Cukierman-Meltzer hypothesis is found to be weaker than Friedman-Ball hypothesis.

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2.
We explore the asymmetric behaviour of inflation around the target level for inflation‐targeting countries. The first rationale behind this asymmetry is the asymmetric policy response of the central bank around the target. Central banks could have a stronger bias towards overshooting rather than undershooting the inflation target. Consequently, the policy response would be stronger once the inflation jumps above the target, compared to a negative deviation. Second rationale is the asymmetric inflation persistence. We suggest that recently developed Asymmetric Exponential Smooth Transition Autoregressive (AESTAR) model provides a convenient framework to capture the asymmetric behaviour of inflation driven by these two effects. We further conduct an out‐of‐sample forecasting exercise and show that the predictive power of AESTAR model for inflation is high for some countries in our sample, especially at long‐horizons.  相似文献   

3.
In this paper, we investigate the role of crude oil spot and futures prices in the process of price discovery by using daily data over the period from January 1992 to September 2012. We provide evidence that futures markets play a more important role than spot markets, but their relative contributions turn out to be highly unstable, especially for the most deferred contracts. Furthermore, considering the time‐varying dynamics provides evidence of a smaller role for futures markets and a greater role for fundamental factors in driving oil prices during the global financial turmoil of 2007–2008. The implications of the main results for hedging and forecasting crude oil spot prices are also discussed.  相似文献   

4.
This article investigates the time‐varying correlation between the EU12‐wide business cycle and the initial EU12 member‐countries based on Scalar‐BEKK and multivariate Riskmetrics model frameworks for the period 1980–2012. The paper provides evidence that changes in the business cycle synchronization correspond to major economic events that have taken place at a European level. In the main, business cycle synchronization until 2007 had moved in a direction positive for the operation of a single currency, suggesting that the common monetary policy was less costly in terms of lost flexibility at the national level. However, as a result of the Great Recession of 2007 and the subsequent Eurozone Crisis, a number of periphery countries, most notably Greece, have experienced desynchronization of their business cycles with the EU12‐wide cycle. Nevertheless, for most countries, any questions regarding the optimality and sustainability of the common currency area in Europe should not be attributed to a lack of cyclical synchronization.  相似文献   

5.
This paper examines the performance of monetary policy in eleven EMU countries for the whole period of the EMS. This is based on the trade‐off between inflation variability and output‐gap variability. To this end, we examine whether the introduction of an implicit inflation targeting by the EMU member countries after the Maastricht Treaty, changed the trade‐off between inflation variability and output‐gap variability. We employ a stochastic volatility model for two sub‐periods of the EMS (i.e. before and after the Maastricht Treaty). We find that the trade‐off varies amongst EMU countries. The implication of these findings is that there are asymmetries in the euro area, due to different economic structures among the member countries of the EMU.  相似文献   

6.
王胜  曾智 《技术经济》2014,(2):89-95
利用1985—2012年中国主要宏观经济变量数据,采用门限自回归模型实证检验了通货膨胀对经济增长的非线性影响。研究结果表明,通货膨胀门限效应明显存在;在门限值以上,通货膨胀对经济增长起阻碍作用;在门限值以下,通货膨胀对经济增长起促进作用。在此基础上,利用平滑转换回归模型进一步检验了通货膨胀与经济增长之间的非线性关系,不同模型的实证结果都支持通货膨胀门限效应存在。  相似文献   

7.
苏梽芳  陈凡 《金融评论》2012,(2):54-61,125
本文拓展有限理性菲利普斯曲线模型并结合中国参数进行校准,然后利用校准模型研究中国通货膨胀惯性特征及其与通货膨胀不确定性之间的关系。结果显示,有限理性菲利普斯曲线模型能很好地模拟出与中国实际通货膨胀惯性类似的特征。进一步研究还发现,研究样本期间,中国通货膨胀惯性总体上呈现先上升而逐渐下降的驼峰型特征,而且与通货膨胀预期不确定性存在正向相关关系。这些发现意味着,我国中央银行货币政策滞后效应正在缩短,而为了进一步降低通胀惯性并提高货币政策有效性,引导通货膨胀预期保持稳定是一大途径。  相似文献   

8.
发达国家不同发展阶段碳排放与经济增长的因果关系分析   总被引:4,自引:0,他引:4  
以气候变暖为主要特征的全球气候变化已成为21世纪人类共同面临的最重大问题之一,探讨社会经济增长与碳排放之间的关系就成为国际全球气候变化研究的焦点问题。文章采用探讨二者变量关系的协整分析和格兰杰因果检验方法,对不同发展阶段下6个典型发达国家的碳排放与经济增长之间的因果关系进行研究。结果表明:6个典型发达国家的经济增长和碳排放之间具有长期协整关系;不同的国家在不同的历史发展阶段,碳排放与经济增长的格兰杰因果关系是不同的;即使在相同的发展阶段,碳排放与经济增长的格兰杰因果关系也不同。  相似文献   

9.
We consider a two‐player rent‐seeking Tullock contest where one player has private information about his valuation of the prize, which can be high or low. This player can send a costly signal to his opponent, i.e., he can commit to reduce the prize either by some absolute amount of money or proportionally, conditional on winning it. We show that both kinds of signaling imply completely opposite results for separating equilibria, both in terms of conditions for existence and the type of player who sends the costly signal.  相似文献   

10.
We examine the relationship between interest rates and inflation rates for 10 countries during the period 1974–95. We find evidence of a unique cointegrating relationship between nominal interest rates of European Monetary System (EMS) countries, the US and Canada, and the US, Germany, and Japan. No similar relationship is obtained between inflation rates with one exception, namely, that between the US and Canada. We interpret these results as convergence in inflation but not in interst rates. Hence, if interest rates represent an indicator of monetary policy, the countries considered have attempted to implement independent policies but not to an extent which produced divergent trends in inflation.  相似文献   

11.
Long‐term contracting implies contracting based on expected future demand. In this paper, I develop a multiperiod procurement model where, once the actual level of demand is realized, the irreversible initial provision level may be supplemented by additional provisions. This paper shows that, with the possibility of additional upward adjustments, the first‐period provision level will be lower than when no additional adjustments are possible. This reduction in first‐period provision level is higher under complete contracting than under incomplete contracting, and because of the reduction in information rents it yields a higher expected utility to the principal but lower total welfare.  相似文献   

12.
We investigate how exchange‐rate uncertainty affects the foreign direct investment decision of a risk‐neutral multinational firm (MNF). We assume the firm can open plants, each with decreasing average costs, in two different countries. Under certainty, the MNF would open only one plant. We demonstrate that with sufficient exchange‐rate volatility, the firm can increase expected profits by opening several plants. We also show that if the MNF faces a competitor in the foreign market, the exchange risk, by inducing the MNF to open plants in both markets, may prevent entry by the local competitor.  相似文献   

13.
Abstract. In this paper, we apply a real‐option model to study the effects of tax‐rate uncertainty on a firm's decision. In doing so, we depart from the relevant literature, which focuses on fully equity‐financed investment projects. By letting a representative firm borrow optimally, we show that debt finance not only encourages investment activities but can also substantially mitigate the effect of tax‐rate uncertainty on investment timing.  相似文献   

14.
We provide new evidence on the relationship between inflation and its uncertainty in the United States on an historical basis, covering the period from 1775 to 2014. First, we use a bounded approach for measuring inflation uncertainty, as proposed by Chan et al. (2013), and compare the results with the Stock and Watson (2007) and Chan (2015) methods. Second, we employ the wavelet methodology to analyze the comovements and causal effects between the two series. Our results provide evidence of a relationship between inflation and its uncertainty that varies across time and frequency. First, we show that in the medium and long runs, the Freidman–Ball hypothesis holds with a bounded measure of uncertainty, while if the Stock and Watson (2007) measure of uncertainty is used, the Cukierman–Meltzer reasoning prevails. Therefore, the findings are sensitive to the way inflation uncertainty is computed. Second, we discover mixed evidence about the inflation–uncertainty nexus in the short run, findings that explain the mixed results reported to date in the empirical literature.  相似文献   

15.
International Advances in Economic Research - This paper investigates the relationship between fiscal and external deficits in five European Union countries (Greece, Ireland, Italy, Portugal, and...  相似文献   

16.
我国通货膨胀与通货紧缩的非线性转换   总被引:14,自引:1,他引:14  
本文应用ESTAR模型对我国通胀的非线性调节和通胀与通缩的非线性转换进行实证研究,研究结果表明我国通货膨胀具有显著的非线性调节,通胀与通缩的转换具有显著的非线性指数转换的特征,这种转换发生在滞后二期,转换的速度显著;我国通胀具有整体稳定性和局部非稳定性,由于我国通胀与通缩的临界水平c为3.3个百分点,表明我国通胀在3%左右的水平上处于非稳定运行状态;进一步,本文所估计的指数转换函数和c,基本准确地揭示了我国通胀的动态随机周期行为特征。本文的结论表明我国货币政策具有总体有效性和相机适宜性。  相似文献   

17.
This study analyses the causality between productivity and domestic and foreign R&D on the basis of panel data with respect to 22 manufacturing sectors in 14 OECD countries during the period 1972-94. A unit root analysis shows that the relation between the log of total factor productivity (TFP) and the logs of domestic and foreign R&D is cointegrated. Causality tests are performed on corresponding dynamic VAR and error correction augmented VAR models, estimated both on the total panel and on 22 sub-panels, sector by sector. Their results show that, although there are feedbacks, both on average and in a clear majority of sectors the causation runs mainly from the R&D variables to TFP rather than the other way round. This causation is, moreover, shown to be, in the first place, long-run in nature. It is concluded that, when considered in conjunction, these results suggest an essentially supply-type rather than demand-pull kind of interpretation of the cointegrating relation between TFP and R&D.  相似文献   

18.
This paper investigates the direction of causation between GDP representing economic growth, exports and its different categories, imports and world income. After experiencing vigorous import-substitution in the past decades, Pakistan adopted an outward-looking strategy in the late 1980s with an emphasis on export promotion. A strong and stable relationship between GDP and exports and bi-directional causality between manufactured exports and GDP has been found. Export promotion policy is pursued consistently with an emphasis on manufactured exports and this is most likely to contribute adequately to economic growth in the long run.  相似文献   

19.
In this paper, we consider inflation rate differentials between seven Central and Eastern European Countries (CEECs) and the Eurozone. We test for convergence in the inflation rate differentials, incorporating non‐linearities in the autoregressive parameters, fractional integration with endogenous structural changes, and also consider club convergence analysis for the CEECs over the period 1997 to 2015 based on monthly data. Our empirical findings suggest that the majority of countries experience non‐linearities in the inflation rate differential; however, there is only evidence of a persistent difference in some countries. Complementary to this analysis we apply the Phillips and Sul (2007) test for club convergence and find that there is evidence that most of the CEECs converge to a common steady state.  相似文献   

20.
李杰  庞皓 《财经科学》2011,(6):110-117
完全预期到的通货膨胀在理论上并不会对真实经济活动产生实质性的影响,通货膨胀的真正危害在于它的不确定性。随着贸易开放的不断扩大和深化,影响中国通货膨胀的不确定性的因素变得更加复杂。本文利用EGARCH模型估计了中国的通货膨胀不确定性,并在此基础上利用协整分析方法检验了贸易开放度、贸易结构与通货膨胀不确定性的关系。研究表明:贸易开放度的提高对通货膨胀不确定性具有负向的影响;贸易结构的变化对通货膨胀不确定性具有正向的影响。  相似文献   

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