Short-Run Crude Oil Price and Surplus Production Capacity

This paper shows the effect that surplus crude oil production capacity has on short-term crude oil prices. A simple model using Organization for Economic Co-operation and Development (OECD) industrial inventories and Organization of the Petroleum Exporting Countries (OPEC) surplus production capacity is introduced. This model provides improved forecasts for the post Gulf War I time period over models without the capacity variable.     

国际原油价格波动对中国宏观经济影响的重新考察

本文对国际原油价格波动对中国宏观经济的影响进行了重新考察。研究发现:国际原油价格通过影响采购经理人指数进而影响中国主要宏观经济变量,采购经理人指数的引入,完善了国际原油价格波动对中国宏观经济影响的时序传导机制,从而提高了实证结果的显著性。实证结果显示:国际原油价格上涨对中国消费者价格指数有正向影响,但这一结果并不显著;同时国际原油价格上涨并未改变中国经济增长的总体态势。VEC实证模型的估计结果表明:国际原油价格与中国宏观经济变量之间存在显著的协整关系,而且国际原油价格波动对中国宏观经济的影响存在滞后效应。     

汇率与股价关系研究最新进展述评

有关汇率与股价关系的最新研究,归纳起来主要有四个发展方向:一是传统宏观经济一般均衡分析方法的拓展,在以往的开放宏观经济均衡模型中将汇率与股价作为宏观经济中重要的解释变量,强化对客观经济运行的考察;二是具有微观基础的均衡分析,包括资产组合平衡与新开放宏观经济两个分析框架下的汇率与股价关系研究;三是从市场的微观结构理论对汇率与股价这两种资产价格进行模型化;四是影响汇率与股价关系的相关因素的分析。本文按照这四个方面进行文献梳理,并进行简要评述。     

金融市场的分形和混沌研究综述

主流的金融计量理论是以价格的随机游走和收益的正态分布假设为基础的,而时金融市场价格的分形和混沌研究,则从非线性的角度揭示金融价格的波动规律,并对主流金融计量理论提出了争议和挑战.本文对金融市场的分形和混沌研究做了全面综述,并进行了评价和展望.阐述了这些研究的意义,揭示了经济变量和金融市场价格的非线性特征,并对其机制进行了深入分析.不足之处是这些研究还不能很好地应用于实际经济和金融过程,去解决实际的问题.在定价、建模和预测方面还面临很多困难.对金融市场的非线性研究,让我们对现实世界的理解更加深入和精细.但这些研究并不意味着否定传统经济学理论.正是在不同理论的不断争论和互相印证的过程中,推动金融计量理论不断向前发展.     

中国物价波动与经济增长关系研究——基于城乡居民消费差距视角的分析

物价波动与经济增长之间的关系是经济学传统的研究课题。本文在测量城乡居民消费差距的基础上,利用TARCH模型研究了物价波动对城乡居民消费差距的非对称影响,并从城乡居民消费差距的视角分析了物价波动对经济增长的影响。研究结果表明:物价波动使得城乡居民消费差距的变化越来越小;物价波动与城乡居民消费差距之间呈负相关关系,当物价变动1%时,城乡居民消费差距反向变动0.579%;物价波动对经济增长有着负的直接影响;物价波动通过影响城乡居民消费差距进而对经济增长产生负的间接影响。     

房价与城镇化进程关系及影响研究

城镇化水平对房价的积极影响与城镇化水平、经济发展水平契合程度以及城镇规模相关,并且城镇化水平对房价上涨弹性有增加的趋势,在房价上涨对城镇发展的反馈机制中调整目前两极化非均衡发展的城镇化路径,即在地区差异化的扩散型城镇化进程推进策略中大力发展中小城市应是我们的选择。     

Macroeconomic Structure and Oil Price Shocks at the Industrial Level

This paper analyses the role of the macroeconomic structure in the response of industrial output to an oil price shock in six OECD countries. The modelling of the macroeconomic structure is important in examining the effect of an oil price shock on the industry-level output, since the analysis of the transmission mechanisms helps us to better understand the response of industrial output to such a shock. Thus, cross-country differences found in the responses of industrial output to oil price shocks within the European Monetary Union can be partially explained by differences in the transmission mechanisms of such shocks.     

房价与经济波动的区制转移——基于STAR系列模型的实证研究

本文运用平滑转移自回归(STAR)系列模型定量分析了1998-2010年间我国经济波动区制转移(Regime Transition)过程及房价波动在其中的作用。研究结果表明,我国经济在受到外生刺激时会产生跳跃冲动,但能否出现区制转移现象取决于外生刺激的持续性,单纯依靠以往经济的表现不能充分地解释这种现象;房价作为外生变量有效地解释了经济波动中存在的动态转移过程,这表明房价波动中存在着先行信息并可用于预测未来经济走向。此外,经济波动转移过程并非不可逆转,足够的反向推动力能够扭转经济势头,这使得政策干预成为可能。     

中国食用油涨价对经济影响的投入产出分析

食用油作为居民日常生活必须品,已渗透到了经济体的各个方面,其价格上涨必将引起相关产业部门价格的波动,进而影响到整个经济体的运行和居民生产生活。文章运用投入产出价格影响局部闭模型,并结合2007年投入产出表,量化了2009年四季度末食用油价格上涨对我国居民消费和国民经济各部门的影响。结果表明,农村居民生活消费受食用油价格上涨的影响大于城镇居民,消费者价格指数受到的影响大于生产者价格指数;在各产业中,受影响最大的是方便食品制造业、饲料加工业等食品工业和餐饮业。居民和大多数行业,对于食用油价格上涨有一定承受能力,此次食用油价格上涨在10～15％区间并不会导致物价水平大幅上升。价格作为市场经济中反映供求关系、资源稀缺程度的核心指标,其波动有合理性的一面,不必过分宣传或夸大食用油价格上涨对国民经济和居民生产生活的影响。     

Price Discovery and Risk Transfer in the Crude Oil Futures Market: Some Structural Time Series Evidence

This paper re-examines the Garbade and Silber (1983) model with the objective of finding out if the crude oil futures market performs the functions of price discovery and risk transfer. The model is estimated, using daily data, as a system of two seemingly unrelated time series equations allowing the coefficients to be time-varying. The empirical results reveal that the futures market performs about 60 per cent of the price discovery function, and that the elasticity of supply of arbitrage services is adequately high for the market to perform the risk transfer function.
(J.E.L: G13, C22).     

Price caps and the error in X-factor calculations

Calculation of the X-factor used for price caps has a fundamental flaw when it is based on conventional growth accounting total factor productivity analysis. This error is discussed and the appropriate corrective action is indicated. In an example based on the X-factor used for determining the change in the price for local exchange carriers’ interstate access service in the United States, it is shown that the appropriate X-factor is about 25 percent greater than that based on conventional growth accounting total factor productivity analysis.     

Inventory investment and financial constraints in the Italian manufacturing industry: A panel data GMM approach

Three large unbalanced panels of Italian manufacturing firms observed over the period 1991–2009 are employed to assess, by means of a dynamic GMM approach, whether the existence of financial frictions is suitable to explain deviations of inventories from their long-run path. A negative response of inventory investment to the presence of financial burdens might provide evidence of a significant role played by the financial framework in conditioning the real side of the economy, especially during recession years, when liquidity problems arise. The negative effect is found over the entire analyzed period, with firms' dimensional aspects accounting more than risk characteristics to explain the phenomenon, but the inclusion of recessionary dummies into the model leads to controversial and puzzling results. A significant recessionary effect is found during the Nineties, accounting for inventories being more sensitive to financial frictions during the main recessionary peaks, 1993 and 1996. The result is not confirmed by the most recent estimates, especially the ones referring to the 2008–2009 recessionary shock, whose effects are investigated for the first time by a paper addressing the inventory investment–financial constraints subject. Alternative hypothesis for the proposed results have been tested on data. Firms were found to rely on inventory decumulation to a lesser extent compared to the past, to generate internal financing. More specifically, disinvestments in financial assets were found to represent, as a matter of fact, one of the main drivers adopted to ease liquidity tensions: a negative and strongly significant relationship with inventory investment was detected, after controlling for short-run liquidity constraints at firm level. By contrast, only a weak negative relationship was established with fixed capital during the same recessionary biennium.     

Price clustering and natural resistance points in the Dutch stock market: A natural experiment

This paper focuses on the tendency of stock prices to cluster at round numbers (like 10, 20, 30, etc. and to a lesser extent 5, 15, 25, etc.) and the related effect of round number price barriers (prices pass round numbers less frequently than other numbers). Two competing hypotheses are tested, using data from the Dutch stock market of the period 1990–2001. After 1 January 1999 stock prices were listed in euros, while guilders were still the currency of daily life until 2002. The aspiration level hypothesis predicts that round number effects in guilders will only slowly disappear. The odd price hypothesis predicts an abrupt change in round number effects after 1 January 1999. Generally, the results are consistent with the odd price hypothesis.     

New Evidence on the Relationship Between Crude Oil Consumption and Economic Growth in the US: A Quantile Causality and Cointegration Approach

Journal of Quantitative Economics - This paper investigates the long-run and short-run relationship between WTI crude oil consumption and economic growth, covering the US economy for the period...     

能源消耗、二氧化碳排放与APEC地区经济增长——基于SBM-Undesirable和Meta-frontier模型的实证研究

针对以往效率测算方法存在的缺陷以及跨国研究中制度的异质性问题,本文采用SBM-Undesirable模型和Meta-frontier生产函数这一综合分析框架,在能源消耗和二氧化碳排放的双重约束条件下,测算了APEC地区17个成员1980-2007年期间的经济增长效率,并对双重约束下经济增长效率的影响因素进行了计量检验。研究发现,除了发展中国家群组之外,发达国家群组和东亚新兴经济体群组中有部分国家(和地区)在个别年份位于潜在最佳生产技术的共同边界上;各群组的共同技术效率(MTE)和共同技术比率(MTR)平均值从高到低的排序均依次为发达国家、东亚新兴经济体和发展中国家;人均GDP、工业化水平、人口密度、劳均资本以及对外开放程度等因素对双重约束下APEC地区共同技术效率具有显著影响,但对三大群组技术效率的影响方向及程度则呈现出不尽相同的结果。     

我国成品油定价机制的弊端及对策分析

本文从我国成品油价格变化迟滞的现象出发．分析了国内外油品的定价机制和国内油品市场的垄断特点,提出了建立多元化的市场主体、营造可竞争性的市场环境、形成合理透明的价格机制、搭建可交易的市场平台、实施完善的石油战略储备计划等解决对策。     

Forecasting material and economic flows in the global production chain for silicon

Material and economic flows in a global production chain are analyzed in order to identify shifts in economic structure relevant to environmental issues. Results suggest that the economic and environmental weight of high-tech manufacturing and specialized material sectors will increase significantly relative to extractive and primary commodity sectors, perhaps reaching a similar environmental scale within a few decades. Though further study is needed, the forecasts suggest that a reprioritization of analysis and policy to address these new industries is in order. These results are based on a case study of the global production chain for high-purity silicon and its use in semiconductors, solar cells and optical fiber from primary materials. Forecasts for future material/economic flows are carried out based on the identification of time scales that reveal stable long-term trends. Assuming constant growth over 7–10 year averages reproduces thirty years of historical growth of three global sectors to around 1–2% accuracy. This suggests the constant growth model can be used to forecast with a relatively high degree of confidence.     

Deficit sustainability and inflation in EMU: An analysis from the Fiscal Theory of the Price Level

Price determination theory typically focuses on the role of monetary policy, while the role of fiscal policy is usually neglected. From a different point of view, the Fiscal Theory of the Price Level takes into account monetary and fiscal policy interactions and assumes that fiscal policy may determine the price level, even if monetary authorities pursue an inflation targeting strategy. In this paper we try to test empirically whether the time path of the government budget in EMU countries would have affected price level determination. Our results point to the sustainability of fiscal policy in all the EMU countries but Finland, although no firm conclusions can be drawn about the prevalence of either monetary or fiscal dominance.     

西部地区外国直接投资与经济增长关系的实证分析

本文运用协整和因果关系检验理论,对西部地区从1979年到2005年的外国直接投资与经济增长数据进行实证检验.结果发现二者之间存在长期稳定的关系,并且当滞后两期时,经济增长是外国直接投资的格兰杰原因,而外国直接投资并不是经济增长的格兰杰原因.在协整分析的基础上建立了误差修正模型,分别从长期和短期对两者之间的关系进行了定量分析,并给出了结论和政策建议.