Forecasting with factor-augmented error correction models

As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, cointegration and dynamic factor models, and has several conceptual advantages over the standard ECM and FAVAR models. In particular, it uses a larger dataset than the ECM and incorporates the long-run information which the FAVAR is missing because of its specification in differences. In this paper, we examine the forecasting performance of the FECM by means of an analytical example, Monte Carlo simulations and several empirical applications. We show that FECM generally offers a higher forecasting precision relative to the FAVAR, and marks a useful step forward for forecasting with large datasets.     

我国股票市场量价关系的实证研究--基于牛市、熊市和盘整市不同情况下的比较分析

量价关系是研究股票市场的基础,又与技术分析的有效性密切相关。本文基于量价关系在牛市、熊市和盘整市三种不同市场情形下可能有所不同的考虑,以沪市上证指数和总成交量为研究对象,借助协整检验、向量误差修正模型以及产出冲击反应等方法分别对三类市场情形进行实证研究。研究结果显示,价量之间的确存在长期协整关系。沪市指数的变化总是可以解释随后量的变化,反过来则不成立。研究发现一些基于成交量的技术指标在熊市或盘整市情形中失效,而在牛市中尚具有一定效用。实证结果还旁证了中短期内我国股票市场是部分有效的,但从长期来看却是有效市场。     

我国出口商品结构和经济增长关系的实证分析

本文从出口商品结构的角度,对我国1985-2006年间的初级产品和工业制成品出口分类的数据和GDP数据,运用协整等方法分析了出口商品结构同经济增长的关系。结论是:短期内,初级产品和工业制成品的出口都对经济增长起到促进作用,但是经济增长对初级产品或工业制成品出口的反作用却不明显。长期内,工业制成品出口对经济增长起促进作用,而初级产品出口对经济增长起消极作用。     

电商发展对农产品进出口贸易的影响分析

农产品电商改变了农产品传统的交易方式,拓展了需求空间,降低农产品进出口贸易成本,对农产品进出口贸易扩大有一定的促进作用。本文以我国1999—2017年的统计数据对农产品网络零售交易总额、冷链物流市场规模和主要农产品进出口额之间的关系建立计量模型并展开协整分析。研究发现农产品电商的发展对农产品进出口贸易扩大有促进作用,但不是对所有的农产品都有作用。农产品电商的发展和大豆出口额、水果出口额、食用植物油的进口额不存在长期的均衡关系。因此,本文建议完善农产品电商体系,结合农产品的特征提高农产品进出口贸易国际竞争力,促进国民经济增长。     

Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach

In this paper, we propose a network-based analytical framework that exploits cointegration and the error correction model to systematically investigate the directions and intensities in terms of the short-run disequilibrium adjustment towards long-run equilibrium affecting the international stock markets during the period of 5 January 2007 to 30 June 2017. Under this setting, we investigate whether and how the cross-border directional interconnectedness within the world’s 23 developed and 23 emerging stock markets altered during the entire period of 2007–2017, and two specific periods of 2007–2009 Global Financial Crisis and 2010–2012 European Sovereign Debt Crisis. The main results indicate that the magnitude of the short-run disequilibrium adjustment towards long-run equilibrium for individual stock markets is not homogeneous over different time scales. We report that the changes in directional interconnectedness within stock markets worldwide did occur under the impact of the recent financial crises. The derived networks of stock markets interconnectedness allow us to visually characterize how specific stock markets from different regions form interconnected groups when exhibiting similar behaviours, which none the less provides significant information for strategic portfolio and risk management.     

Public banking and economic growth: The experiences of 10 countries since the 1950s until 2017

Despite the limited number of empirical works assessing the implications of public banks for economic growth, a wave of these institutions has arisen since 2000. With this in mind, this paper investigates the linkage between these banks and long-run growth in 10 countries. We find discouraging evidence on the role of these institutions in the growth process as public banks contributed to long-run economic growth in only two countries. More precisely, the public bank raised the gross domestic product in the Dominican Republic and investment in Singapore. In the remaining eight countries, long-run growth was harmed, or we did not find a long-run nexus running from the public bank. This is particularly surprising because some public banks in our sample have a long history of proper management and were given an important role in their country's development. We find long-run reverse causality in five countries, and, in all of them but in one, a larger gross domestic product per capita expanded public banks’ assets. Therefore, public banks were following the economic cycle. Considering all this, governments that aim to accelerate economic growth should be more cautious about the creation or promotion of these entities.     

Data-based priors for vector error correction models

We propose two data-based priors for vector error correction models. Both priors lead to highly automatic approaches which require only minimal user input. For the first one, we propose a reduced rank prior which encourages shrinkage towards a low-rank, row-sparse, and column-sparse long-run matrix. For the second one, we propose the use of the horseshoe prior, which shrinks all elements of the long-run matrix towards zero. Two empirical investigations reveal that Bayesian vector error correction (BVEC) models equipped with our proposed priors scale well to higher dimensions and forecast well. In comparison to VARs in first differences, they are able to exploit the information in the level variables. This turns out to be relevant to improve the forecasts for some macroeconomic variables. A simulation study shows that the BVEC with data-based priors possesses good frequentist estimation properties.     

Are exchange rates less important for trade in a more globalized world? Evidence for the new EU members

We evaluate the effect of exchange rate misalignments on the balance of trade and the role that global value chain participation plays in this effect for 11 new European Union member states. Using heterogeneous panel cointegration methods, we first estimate the real equilibrium exchange rate and detect episodes of currency misalignment. We find asymmetric effects of real currency misalignments: overvaluation has a negative effect, but undervaluation has no effect on the trade balance. Additionally, we find that global value chain participation weakens the effect of currency misalignments on the balance of trade. Therefore, our results suggest that globalization reduces the role of exchange rates in stimulating the domestic economy.