国际初级产品分类价格对中国物价传导效应的实证研究

本文基于2001年1月至2010年12月的月度数据,对国际初级产品分类价格对中国物价的传导效应进行了实证分析.结果表明:国际初级产品价格对国内物价的传导效应具有由短期波动到长期均衡的动态机制特征,其对PPI和CPI均具有显著的正向影响.各分类价格指数对国内物价的影响之间存在较大差异,燃料价格对国内物价的影响最大且持续时...     

我国货币供给的价格效应——基于物价、股价、房价的比较分析

本文选取2001年第1季度至2009年第4季度的季度数据,通过计量模型对货币供给的价格效应进行了比较分析,结果显示:总体上,我国货币供给存在着价格效应,但结构上存在差异,表现为:房价效应较大,物价效应较小,股价效应几乎不存在。基于此,得出了实施货币政策调控价格的一些有益启示。     

国际大宗商品价格冲击与中国宏观经济波动——基于金融危机前后的比较研究北大核心CSSCISSCI

文章基于1998年1季度至2015年4季度数据,采用结构向量自回归（SVAR）模型,对金融危机前后国际大宗商品价格在中国宏观经济波动中的相对重要性进行比较分析。研究表明：国际大宗商品价格冲击对我国宏观经济波动产生了不容忽视的影响,其驱动作用仅次于技术冲击,明显强于货币政策冲击和财政政策冲击;与国际金融危机前相比,危机后国际大宗商品价格冲击对中国宏观经济波动的解释力明显增强,而美国量化宽松政策是加剧国际大宗商品价格冲击驱动作用的重要推手;国际大宗商品价格冲击对中国宏观经济波动的影响不仅体现在价格水平层面,也反映在波动率层面,而在后危机时代,后者的影响更甚。     

国内外黄金市场风险传染的实证研究

以国际黄金市场上具有代表性的伦敦黄金现货价格和我国上海黄金交易所的黄金现货价格作为研究对象,利用多元GARCH模型对国内外黄金市场的风险传染机制进行了实证研究。结果表明：伦敦黄金市场对我国黄金市场存在单方向的均值溢出效应;从波动溢出效应来看,伦敦黄金市场对我国黄金市场的风险传染强于我国黄金市场对伦敦黄金市场的风险传染,存在着风险传染的非对称性。     

股票价格与汇率之间的动态关系——基于中国市场的经验分析

本文以利差为外生变量,基于向量自回归多元EGARCH模型和日数据,对我国股价与汇率之闻的动态关系进行了实证研究和深入分析.研究发现:在价格溢出方面,只存在外汇市场到股票市场短期单向引导关系,但利差对股价和汇率均存在价格溢出效应;在波动溢出方面,股票市场对外汇市场存在非对称的波动溢出效应,而外汇市场对股票市场只存在对称的波动溢出效应,利差的变化对股票市场和外汇市场都不存在波动溢出效应;与国内相关研究结论不同的是,我们没有发现股价与汇率之间存在长期均衡关系.     

国际游资冲击对我国房地产价格影响探析

本文通过分析国际游资冲击对可贷资金市场、外汇市场进而对房地产市场的作用,从开放经济的视角关注房地产价格的波动,分析国际游资对我国房地产价格的影响.基于VAR模型利用2000年第1季度-2008年第3季度数据进行定量检验,指出可以通过限制国际游资流入,在可贷资金市场上减少货币供给量,在外汇市场上减少对人民币需求,在房地产市场上抑制过量资金流入形成对房地产需求,防止房地产价格波动,维持宏观经济稳定.     

国际原油价格冲击对我国经济的影响——基于结构VAR模型的经验分析

本文基于2003年1月～2009年2月的月度数据,采用SVAR模型分析了国际原油价格波动对我国经济所产生的影响。结果表明,国际油价波动对我国经济具有重要影响,并且具有很强的持续性。国际原油价格冲击对我国产出增长不仅具有直接的消极影响,而且还通过加大了国内通胀压力、促使紧缩性货币政策的实施和人民币汇率波动间接影响产出的增长,但这种间接效应相对较低。     

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。     

上海原油期货与国际原油期货:联动机制和溢出效应

建立VECM—GARCH—BEKK—T模型,分析了上海原油期货价格与WTI、布伦特两大国际基准油价格之间的传导效应、均值溢出效应、波动溢出效应、BEKK交叉效应以及杠杆效应。研究发现,上海、WTI和布伦特原油期货三个市场存在显著的均值溢出和波动溢出效应。其中,上海原油期货上市重构了WTI和布伦特原油期货两个市场的均衡关系、主导影响因素、影响期限以及波动溢出效应;上海原油期货与国际油价有机联动,对WTI的正向影响要大于对布伦特的影响,但WTI、布伦特对上海的影响依然占主导地位。此外,短期内,当期上海原油期货价格与历史WTI和上海原油期货价格波动联系显著为正,而与历史布伦特原油期货价格则显著为负。因此,需要在持续提高上海原油期货参与者数量、提高国际参与度和认可度、完善原油期货区间波段管理机制、提升原油期货交易量、加快人民币国际化进程等方面努力。     

我国蔬菜价格垂直传导的非对称性研究——基于面板VAR模型的实证

运用面板向量自回归模型(PVAR)对我国蔬菜的生产价格、批发价格和零售价格的垂直传导机制进行实证研究,结果表明我国蔬菜三种价格的波动幅度和增长速度自上而下呈依次增强的特征;价格的正向传导顺畅,逆向传导存在一到两期的滞后,传导强度上存在正向传递强度明显高于逆向传递的非对称现象;生产价格在整个价格波动的传导链中占主导地位,蔬菜价格的稳定在很大程度上依赖于蔬菜的生产环节。     

The asymmetric effects of oil price changes on China’s exports: New evidence from a nonlinear autoregressive distributed lag model

China’s dependence on oil imports has greatly increased in recent years. Due to the rapid expansion of global trade, exporting plays an important role in the Chinese economy. This paper uses monthly data from January 2005 to April 2021 to examine the short- and long-term effects of oil price increases and decreases on China’s exports. Our empirical analyses are based on the nonlinear autoregressive distributed lag (NARDL) model, which can effectively capture asymmetric relations. The empirical results provide significant evidence of asymmetry, such that oil price increases have significantly larger effects than oil price decreases in the long term. Interestingly, we find that energy-intensive exports and some specific sectors (e.g., crude fertilizers, petroleum products, and organic chemicals) benefit from oil price increases. We also observe recent declines in the coal and coke sector following positive oil price shocks due to restrictions on coal consumption.     

Reinvestigating the Oil Price–Stock Market Nexus: Evidence from Chinese Industry Stock Returns

The present study investigates the influence of international oil prices on China's stock market returns across 29 different industries. The paper attempts to account for any structural breaks and nonlinearity in this relationship. The results reveal that the effect of changes in the international price of oil on stock returns differs substantially across industries. The stock returns of the coal, chemical, mining and oil industries are found to be positively affected by crude oil price movements. Conversely, electronics, food manufacturing, general equipment, pharmaceuticals, retail, rubber and vehicle industries are found to be negatively affected by movements in the price of crude oil. The results of the estimations also suggest that the majority of Chinese industries have been significantly affected by oil prices since 2004. The influence of international oil prices on Chinese stocks also has a stronger effect in the presence of high volatility but the effect varies across industries.     

煤炭价格下降对我国宏观经济的影响

煤炭在我国能源结构中居于主体地位,由于产能过剩和进口煤大量冲击,煤炭价格下降幅度较大。而煤炭价格已经接近完全市场化,电力价格仍然受政府管制,中央财经领导小组已经定调推动能源体制革命,电价市场化将是我国全面深化改革的重要内容,因此研究电价市场化和受政府管控下煤炭价格下降对宏观经济的影响具有重要的意义。论文利用CGE模型研究了两种情境下我国煤炭价格波动对我国宏观经济的影响,对不同的煤炭价格冲击进行情景模拟并进行了分析,结论表明两种情境下煤炭价格波动对宏观经济变量和21个产业影响是不同的,并据此提供一些政策建议。     

Exchange rate exposure and its determinants in China

This paper investigates the foreign exchange rate exposure and its determinants using the data of all firms listed on the Chinese stock market from 2005 to 2018. We find significantly linear and nonlinear exposures to bilateral as well as multilateral foreign exchange rates. Our temporal study also shows that considerably more Chinese firms were exposed to exchange rate fluctuations after the major exchange rate reform in 2015. We find a negligible role played by international operations of firms in explaining exposures. The level of exchange rate exposure is primarily explained by variables that are proxies for a firm's hedging costs. Larger firms, or firms with less leverage ratio, tend to have smaller exposures. Exposure is found to increase with a firm's growth opportunity. Last but not least, we find that leverage ratios and growth opportunities impact more significantly on exposures for firms with separation of control and cash flow rights.     

中国经济新常态的量化识别与形成原因

新常态指经济增长速度出现了结构性变化并呈现新的稳态形式,是当前和未来一段时间我国经济发展的国家战略判断。文章尝试基于条件马尔可夫状态转移模型对自从改革开放以来中国经济进行划分,量化识别中国经济进入新常态的历史时刻,为从经验分析角度深入分析新常态奠定基础。实证结果显示,1995年第2季度至2005年第4季度为中国经济旧常态时期,2008年第1季度至今为中国经济新常态时期,其余为过渡期。此外,文章进一步应用时变参数模型从要素禀赋视角探讨了中国经济新常态形成原因,发现各要素对经济增长的作用强度并未发生较大改变,经济新常态的形成主要源自于就业人口与全要素生产率的增长率下降。     

Housing Boom,Dutch Disease,and the Decline in China's Manufacturing Exports

Drawing on Dutch disease theory, we assess how the recent housing boom has contributed to a decline in China's manufacturing exports. Using Chinese city and enterprise panel data from 2004 to 2013, our analysis reveals that Dutch disease indeed exists and that the housing price increase has played a very important role in affecting China's manufacturing exports through two key channels: resource movement effect and spending effect. Specifically, this paper found that: (i) the housing price increase hindered labor flowing into China's manufacturing industry (resource movement effect) and caused higher inflation (spending effect); (ii) the housing boom clearly impeded China's manufacturing exports, especially after the outbreak of the global economic crisis in 2008; (iii) the impacts of the housing price increase on China's manufacturing exports were heterogenous, and were more significant for labor-intensive manufacturing businesses, businesses that were foreign owned, less R&D intensive, or located in the central and western regions.     

Business Cycle Asymmetry in China： Evidence from Friedman＇s Plucking Model

Friedman＇s plucking model of business fluctuations suggests that output cannot exceed an upper limit, but it is occasionally ＂plucked＂ downward below trends as a result of economic recessions. This paper investigates China＇s business fluetuations using quarterly real GDP data for the period 1978 2009. Our results show some evidence supporting Friedman＇s plucking model. We find that a ceiling effect of real output exists, and that negative asymmetric shocks significantly affect the transitory component, which captures the plucking downward behavior during the recession. The results also suggest that the basic asymmetric unobserved component model is not appropriate for directly modeling China＇s real output because the business＂ cycle is inaccurately measured, but it works quite well when considering a structural break in the second quarter of 1992. The results reveal that although China＇s economy strengthened in the second quarter of 2009, it is essential for China＇s government to take further positive and effective measures to maintain sustainable development of the economy.     

Asymmetric Learning from Prices and Post‐Earnings‐Announcement Drift

Motivated by research in psychology and experimental economics, we assume that investors update their beliefs about an asset's value upon observing the price, but only when the price clearly reveals that others obtained private information that differs from their own private information. Specifically, we assume that investors learn from the price of an asset in an asymmetric manner—they learn from the price if they observe good (bad) private information and the price is worse (better) than what is justified based on public information alone. We show that asymmetric learning from an asset's price leads to post‐earnings‐announcement drift (PEAD), and that it generates arbitrage opportunities that are less attractive than alternative explanations of PEAD. In addition, our model predicts that PEAD will be concentrated in earnings surprises that are not dominated by accruals, and it also predicts that earnings response coefficients will decline in the magnitude of the earnings surprises.     

农产品和工业品产业链价格传递动态路径与我国物价水平波动研究

论文在对价格传递的特征进行了新的刻画基础上,利用我国近15年的月度数据,采用VAR模型和脉冲响应函数的计量方法,对比研究了农产品和工业品价格传递的动态路径特征及其对我国物价水平波动的影响。研究结论表明:从对价格冲击调整的方向、大小和快慢上来看,农产品产业链价格传递的波动性更大、影响时滞更短,呈现出更明显的非对称性特征,更容易影响我国物价波动;而工业品产业链价格传递不那么顺畅,特别是中游价格PPI与物价波动常呈现脱节现象。为此,在制定稳定物价的政策时,应针对两者价格传递的不同特征进行区别对待。     

Relevant international experience of real exchange rate adjustment for China

Is the real appreciation of the Chinese yuan essential for correcting global imbalances? The present study offers a new perspective to the debate by drawing upon the rich international experience embodied in World Bank's World Development Indicators database. We find that the price levels of China and the United States are both low relative to the world's average. Therefore, the discrepancy between the price levels of China and the United States has been, in fact, close to zero since 2002. The difference in per capita income can fully account for the price difference between China and the United States. However, the Balassa–Samuelson effect is not a reliable guide for projecting the trend of real appreciation. According to the experience of those economies that have experienced real currency appreciation against the US dollar in 1985–2005, the mode of faster wage growth and inflation is as common as nominal appreciation, far more common for economies with a low initial price level. We do not find empirical evidence to substantiate the claim that low price levels tend to cause external surpluses. But real appreciation has a powerful effect in boosting job creation in the service sector. Therefore, the real appreciation of the Chinese yuan would contribute to restructuring the Chinese economy towards a domestic demand-based growth track.