开放三十年政府支出对二元经济的转化效果

基于中国1978-2008年时间序列数据,采用时变参数模型对我国政府支出对二元经济结构转化效果进行分析,结果表明：改革开放30年来,我国政府支出对城乡二元经济结构转化的影响曲线呈U形;政府分类支出方面,不同时期,政府分类支出对二元经济结构转化效果的影响不同。近年来,政府行政性支出和民生性支出对二元经济结构转化具有一定正向影响,但影响效果在不断下降;而基本建设支出对二元经济转化产生了负向影响。要通过制度创新调整政府支出结构,以促进二元经济结构向好的方向转化。     

Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade

This paper examines the correlation and the dependence patterns of the Qatar stock market with other markets using copula statistical theory and exploiting new datasets covering the period August 1998 to June 2018. To examine the crisis –specific change in the average degree of dependence we decomposed the data into the time periods before and after oil price shocks and the 2017 political crisis among the Gulf Cooperation Council members (i.e. the Qatari blockade). Our findings from the static copula modelling show that the correlations between the Qatari and the other stock markets significantly change after the oil price and the blockade crisis as well. The degree of change in the correlation is time varying and differs from county-group to another. Moreover, our findings reveals that the 2008 global financial crisis has a stronger impact than the price shocks and political crisis. The findings of the paper are of interest and allow for formulating a reliable and dynamic portfolio design framework for investors and risk managers.     

基于Copula的道指与恒指的尾部相关性分析

Copula函数能有效地刻画随机变量间的非对称性和尾部相关性。在研究当道琼斯工业指数与恒生指数的相关性时,采用非参数核密度估计拟合边缘分布。并应用Kol mogorov-Smirrnov检验三种Archi medean Copula函数。研究发现参数值θ=0.2221的Clayton Copula可以用于描述下尾相关性,而θ=1.1105的Gumbel Copula可用于描述上尾相关性。     

Revisiting Real Wage Rigidity

In this paper, we provide empirical evidence that real wage rigidity is not a major cause of unemployment volatility. We argue that there is a disconnect between the theoretical and empirical literatures on this topic. While theoretical studies define real wage rigidity as the response of wages to changes in unemployment following productivity shocks, the empirical literature measures real wage rigidity as the estimated semi-elasticity of wages with respect to unemployment, averaged over all shocks. We show that averaging over shocks gives a biased measure of real wage rigidity, as the impact of other shocks confounds the response to productivity shocks. Our results indicate that the estimated semi-elasticity with respect to productivity shocks is twice as large as the estimated semi-elasticity averaged over all shocks. This implies that one cannot attribute unemployment volatility to real wage rigidity.     

Is Volatility the Best Predictor of Market Crashes?

The objective of this paper is to determine the best predictor of equity market crashes by focusing particularly on volatility and market liquidity. In finance, volatility has traditionally been regarded as the best measure of market risk. However, this paper shows that the forecast value of market liquidity, in particular our modified calculated market depth, predicts equity market crashes much more accurately than does the forecast values of EGARCH or Implied Volatility.     

Regional capital mobility in China: Economic reform with limited financial integration

This paper assesses the changes in the regional capital mobility in China during the period of economic reform in 1978–2008 by employing a panel time varying coefficient (TVP) model. This approach is much more suitable to model China's evolution in the regional capital mobility than a standard structural break model as China's reforms took place gradually and were often implemented over several stages. Using the TVP model, we find that (1) China's provincial capital mobility demonstrated a moderate improvement over the sample period, but worsened temporarily between 1994 and 1997. This is probably due to the government's effort to combat inflation which reduced the investment and transfers to regions; (2) regions with the most developed and least developed provinces experienced higher degree of capital mobility improvement than those in the middle.     

House Prices, Fundamentals and Bubbles

Abstract:  This paper studies actual (real) house prices relative to fundamental (real) house values. Such a focus is warranted since housing constitutes a large fraction of most household portfolios, and its characteristics are such that, in contrast to what prevails in financial markets, arbitrage will be limited and hence correction toward 'true' value is likely to be a prolonged process. Using UK data and a time-varying present value approach, our results preclude the existence of an explosive rational bubble due to non-fundamental factors. We further find that intrinsic bubbles have an important role to play in determining actual house prices although price dynamics appear to impact, particularly in periods of strong deviation from fundamental value. Price dynamics are found to be driven by momentum behaviour.     

Estimating Systematic Risk Using Time Varying Distributions

This article proposes a dynamic vector GARCH model for the estimation of time-varying betas. The model allows the conditional variances and the conditional covariance between individual portfolio returns and market portfolio returns to respond asymmetrically to past innovations depending on their sign. Covariances tend to be higher during market declines. There is substantial time variation in betas but the evidence on beta asymmetry is mixed. Specifically, in 50% of the cases betas are higher during market declines and for the remaining 50% the opposite is true. A time series analysis of estimated time varying betas reveals that they follow stationary mean-reverting processes. The average degree of persistence is approximately four days. It is also found that the static market model overstates non-market or, unsystematic risk by more than 10%. On the basis of an array of diagnostics it is confirmed that the vector GARCH model provides a richer framework for the analysis of the dynamics of systematic risk.     

International Asset Excess Returns and Multivariate Conditional Volatilities

This paper constructs a multivariate model in relating multi-asset excess returns to their conditional variances. Applying weekly data to investigate the foreign-exchange risk premium, the evidence from a multivariate GARCH model shows that the foreign-exchange excess returns are significantly correlated with economic fundamentals such as the real interest-rate differential, long-short interest-rate spread differential, and equity-premium differential. The evidence also suggests that foreign-exchange excess returns are not independent of the conditional variances of these fundamental variables, supporting the time-varying risk-premium hypothesis.     

人民币外汇市场间不对称汇率变动的实证研究

现有关于人民币汇率各市场间关系的研究一般是基于多元GARCH模型,探讨各市场间的线性相关关系,未能考虑各市场间汇率变动可能存在的"不对称效应":面临正(反)向的较大冲击时,各市场汇率变动表现出同步性;而面临反(正)向的较大冲击时,各市场汇率变动不同步。本文运用SJC-Copula-MGARCH模型对人民币汇率境内SPOT市场、境内DF市场和境外NDF市场之间的相依关系进行实证分析,发现境内汇率市场(SPOT市场和DF市场)和境外NDF市场间的联系仍较弱;SPOT-DF市场在面临大的正冲击和负冲击时均表现出较强的联动性,而SPOT-NDF市场和DF-NDF市场在面临大的冲击时汇率变动表现出"不对称效应":在面临大的正冲击(人民币相对贬值)时,境内汇率市场和境外NDF市场汇率变动不同步,当面临大的负冲击(人民币相对升值)时,境内汇率市场和境外NDF市场汇率变动表现出较强的同步性。本文进一步分析了上述"不对称效应"的经济机理,探讨了其经济学含义。