Twitter’s daily happiness sentiment,economic policy uncertainty,and stock index fluctuations

This research applies quantile Granger causality and impulse-response analyses to evaluate the causal linkages among Twitter’s daily happiness sentiment, economic policy uncertainty (EPU), and S&P 500 indices across the U.S. stock market cycles. We present notable evidence of bi-directional causality among cyclical components of Twitter’s daily happiness sentiment, economic policy uncertainty, and S&P 500 indices for most quantiles. The causal linkage of Twitter’s daily happiness sentiment and S&P 500 indices identified in this study reconciles the so-called Easterlin Paradox and Easterlin Illusion arguments from previous studies on income-happiness relationship. Moreover, given a high (low) EPU level, the positive (negative) impulse-response effects between the Twitter’s daily happiness sentiment and the S&P 500 indices are justified during a stock market bust cycle, but the signs of these correlations change to negative (positive) during a stock market boom cycle. These findings imply that investors’ hedging strategies can be linked to the surveillance of the Twitter’s daily happiness sentiment index.     

Do the carry trades respond to geopolitical risks? Evidence from BRICS countries

This paper aims to analyze the implications of geopolitical risks on the return and volatility of carry trade transactions in the context of BRICS countries for the period 2006–2020. Fixed effects regressions considering the sample countries as a single portfolio document that geopolitical risks are correlated with volatility, while the results are inconclusive for returns. The non-parametric time-varying coefficients panel data estimations further indicate that the effect of geopolitical risks on carry trade volatility is amplified during the Global Financial Crisis and the post-2016 episode. Moving to the disaggregated data, the time-varying robust Granger causality test of Rossi and Wang (2019) show that geopolitical risks have a significant in-sample predictive power for both carry trade return and volatility during a myriad of sub-periods, which can not be captured by standard constant parameter techniques in the presence of instabilities. Overall, our empirical results suggest that the exposure to geopolitical risks should be taken into account by global investors for risk diversification purposes when entering carry trade positions in BRICS countries.     

科技创新驱动城市经济增长关联性研究——基于城市面板数据

基于2018—2020年中国264个地级以上城市的面板数据，重点分析科技创新效率对于城市经济增长的关联性，利用数据包络分析衡量城市创新效率，进一步利用Granger因果检定分析科技创新效率与经济增长的因果关系。结果表明：实证支持科技创新规模效率对于经济增长具有正向效用，但科技创新技术效率则为负相关；政府支持度对于经济增长为负相关，表示资金分配效率不佳，导致无法发挥促进经济增长的作用；科教支出对于经济增长没有显著的关联性；科技创新与经济增长间为Granger单向关系。基于实证分析，建议提升科技成果质量和科教经费使用效率，未来政府单位应关注如何提高科技创新成果的产业化和转化效率，特别是针对高新技术产业发展提供更有力的支撑。     

Impact of financial development on domestic investment: Evidence from West African countries

This paper investigates the effect of financial development on domestic investment in West African countries. The study uses data from 1985 to 2019 and employs the pooled mean group technique. The main finding of the study is that financial development has a positive effect on domestic investment in the long run but an insignificant effect in the short run. Furthermore, remittances, real GDP per capita and trade openness increase investment rate. The results of causality tests support the view that investment is a channel through which financial development stimulates economic growth. Therefore, it is reasonable for the selected countries to formulate policies that promote domestic credit to the private sector in order to ease liquidity constraints and increase investment and economic growth.     

粮食价格与居民消费价格水平联动效应研究

明晰粮食价格与居民消费价格水平之间的关系意义重大。基于1979—2020年中国粮食价格和居民消费价格水平年度数据,运用向量误差修正模型和Granger因果分析,对粮食价格与居民消费价格水平间的关系进行实证分析。结果表明:短期内,居民消费价格水平对粮食价格的影响远大于粮食价格对居民消费价格水平的影响,居民消费价格水平变动与粮食价格变动之间存在单向Granger因果关系;长期看,两者之间存在双向Granger因果关系。根据研究结论,提出了加强粮食价格和居民消费价格监测、稳定粮食价格水平、加大市场调控等对策建议。     

天津市技术市场发展原因探析

采用相关分析、协整检验、格兰杰因果关系检验等定量分析方法对天津市技术市场与经济发展、技术创新之间的关系进行了深入研究,并得出结论,天津市技术市场的发展仍为需求拉动型,而不是技术推动型。     

中美股市间的联动性变化分析

将中国加入WTO后至今中美股市的数据以2005年为界划分为两部分,研究了中国入市后中美股市联动性的发展变化。研究结果表明,2005年以前中美股市没有显著的联动性,但2005年以后至今中美股市之间存在比较弱的联动性,而且表现出相互影响的特征。     

Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles

This paper re-examines the nexus between crude oil price and exchange rate by investigating their heterogeneity dependence structure within the framework of Granger causality in quantiles for a sample of developed and emerging economies (namely UK, Canada, Brazil, Russia, Mexico, Norway, India, Japan, South Africa, South Korea and European Union (EU)). The results indicate no distinct causality between the crude oil price changes and the real exchange rate returns for all countries besides Russia at the median of the conditional distribution. Besides, the crude oil price changes influence the exchange rate returns in all countries, except Norway and EU, particularly around the tails of the conditional distributions of exchange rate returns. This suggests that the oil price changes influence the real exchange rate returns when the real exchange rate returns are either in extreme appreciation or depreciation. Moreover, the crude oil price movement can be explained by the exchange rate returns for most oil importers only when the crude oil market is bearish or bullish. By contrast, the real exchange rate can permanently affect the crude oil price for most oil-importing countries irrespective of the crude oil market's state. Finally, our findings provide an essential reference for managing the extreme risk dependence between the exchange rate market and the crude oil market.     

电商平台算法歧视法律救济的困境与出路

由于“算法黑箱”的存在,算法歧视问题上的技术性因果关系论证和在此基础上的个体责任边界划分存在障碍,加之信息的不对称以及用户专业技术知识的匮乏,用户在寻求法律救济方面陷入困局。电商平台算法歧视问题的解决,应当摆脱对算法黑箱领域因果关系问题的无休止讨论,将研究视角从“技术层面的因果论证”转向“事实层面的不当得利分析”,从群体视角的“责任划界”转向个体视角的“责任分配”。