A Markov–switching vector equilibrium correction model of the UK labour market

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. In this paper we present a statistical model that offers a congruent representation of part of the UK labour market since the mid 1960s. We use a cointegrated vector autoregressive Markov-switching model in which some parameters change according to the phase of the business cycle. Output, employment, labour supply and real earnings are found to have a common cyclical component. The long run dynamics are characterized by one cointegrating vector relating unemployment to trend-adjusted real wages and output. Despite there having been many changes affecting this sector of the UK economy, the Markov-switching vector-equilibrium-correction model with three regimes (representing recession, normal growth, and high growth) provides a good characterization of the sample data, and performs well relative to alternative linear and non-linear models. The results of an impulse-response analysis highlight the dangers of using VARs when the constancy of the estimated coefficients has not been established, and demonstrate the advantages of generating regime dependent responses. First Version Received: December 2000/Final Version Received: August 2001     

Analysis of cointegrated VARMA processes

VARMA (vector autoregressive moving average) processes are proposed for modelling cointegrated variables. For this purpose the echelon form is combined with the error correction form. Procedures for estimating the Kronecker indices which characterize the echelon form and for specifying the cointegration rank are discussed. The asymptotic distribution of the coefficient estimators is given. An example based o n US macroeconomic data illustrates the procedure and demonstrates its feasibility in practice.     

The cause of Danish unemployment: Demand or supply shocks?

We study the Danish unemployment experience 1905–92 using a common trends model with cointegration constraints. To justify the identifying assumptions about the cointegration vectors and the common trends we present a simple macroeconomic model of the labor market. The model determines the long run behavior of labor productivity, employment, unemployment, real product and real consumer wages. The empirical results give support for three cointegration relations and two common trends. Based on the economic model the trends are interpreted as representing labor productivity (technology) and labor supply. With unemployment being nonstationary, the common trends analysis indicates that labor supply shocks is the primary source for explaining the behavior of unemployment. First Version Received: August 1999/Final Version Received: June 2000     

汇率与中国对外出口关系的实证研究

运用Granger因果检验以及协整、误差修正模型、多元回归模型等计量经济学分析方法,对中国内资企业出口与汇率的关系进行实证分析,得出的主要结论是:实际有效汇率与中国企业内资出口间没有因果关系,并且无论在长期和短期实际有效汇率的变动都不能有效地解释内资出口的变动,说明人民币汇率的变化对内资出口影响非常小。国际上因为贸易逆差而指责中国的汇率政策,其理由是不充分的。     

汇率与股价关联的实证研究——基于汇改后中国大陆、台湾、香港的数据

通过运用协整检验和格兰杰因果检验对汇率制度改革后中国大陆、台湾、香港的股市与汇市关系的实证结果表明,中国大陆汇市与股市存在长期稳定的协整关系,短期相互影响明显;台湾汇市与股市只存在短期的相互效应;香港数据表明两者不存在因果关系,但方差分解显示股市变动对汇率波动有一定的冲击效应.     

Stock returns and economic activity: the UK case

This paper investigates the relationships between real stock returns and a number of financial and economic variables for the UK economy for the period 1980 to 1994. We begin by discussing a theoretical model proposed by Balvers et al. and then re-estimate for the UK what may be regarded as an application of that model by Fama applied to the US market. This reproduces Fama's main results. For the UK we than suggest a slightly, different application of the Balvers model, the most important feature of which is the use of expectational macro-economic variables instead of Fama's use of leading values of industrial production. We then go on to investigate the unit root properties of the data and show that much of the data is indeed characterized by the presence of unit root non stationarity In the light of this, we propose an application of the Phillips-Loretan error-correction model and show that this provides a plausible relationship between real stock returns and most of the financial and economic variables.     

Testing the forward rate unbiasedness hypothesis during the 1920s

This paper reexamines the forward rate unbiasedness hypothesis (FRUH) during the 1920s and it contributes to the literature as follows: first, it utilizes a database that includes currencies not studied before, as well as the 3 month forward rates; second, it applies three different approaches to test for cointegration and it shows that the choice of the technique is not of crucial importance; third, it tests for the temporal stability of the cointegration results; finally, it tests for the existence of the FRUH in the short run, by means of error correction models, whereas previous studies focused on cointegrated vectors only. Our analysis shows that for countries that did not undergo major financial turmoil during that period, there exists more favorable evidence for the FRUH.     

Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market

This paper adopts a novel FIVECM-BEKK GARCH approach to examine the bilateral relationships among the A-share and B-share stock markets in China and the Hong Kong stock market. The evidence shows that these stock markets are fractionally cointegrated. Analyses of the spillover effects across these markets indicate that the A-share markets are most influential. The relaxation of government restrictions on the purchase of B shares by domestic residents accelerates the market integration process of A-share markets with the B-share and Hong Kong markets. The effects of the Asian crisis on the stock-return dynamic correlations vary across these markets.     

我国四大城市住宅价格与租金的关系研究

近20年,我国城市住宅价格经历了大幅下跌与上涨,而同期租金逐年下降,房价与租金之间的关系令人关注。本文利用1993年第二季度至2010年第一季度的数据进行实证分析,结果表明北京、上海、广州和深圳的租金指数和房价指数之间不存在协整关系,说明住宅市场价格与租金不存在长期均衡关系,房价严重脱离了租金这一基本面的影响,不再遵循现值理论模型所揭示的两者之间的运行趋势,表明房价泡沫在长期积聚。为了预防市场泡沫破灭对经济体造成的严重冲击,政府应该严格监察与调控房地产市场。     

The short and long-run interdependencies between the Eurozone and the USA

We estimate quarterly cointegrating vector autoregressive models for the Eurozone and the USA based on long-run restrictions derived from a dynamic open economy model. Three long-run relations between the Eurozone and the USA emerge: relative purchasing power parity, international interest parity and a stationary output gap between the two economies. Generalized impulse response functions show differences in the dynamic adjustment of the two economies. Due to the I(1)-characteristic of both output series and the stability conditions imposed by the long-run equilibrium relationships, shocks to the model produce level effects only, while growth rates converge to their long-run averages.