Modelling real exchange rate effects on output performance in Latin America

This article empirically analyses real per capita GDP growth for six Latin American countries (Argentina, Brazil, Chile, Columbia, Mexico, Venezuela) in terms of real exchange rate depreciations, inflation and US interest rates, focussing on the role of the real exchange rate. We find evidence of nonlinearity in this relationship, which we capture through a smooth transition regression model. With the exception of Mexico, nonlinearity in economic growth is associated with changes in the real exchange rate, with depreciations leading to different relationships compared with appreciations. Regimes for Mexico are associated with the past growth rates, with effectively symmetric effects of real exchange rate changes. Although our results are in accord with other recent literature in that depreciations may have negative effects for growth, the asymmetries we uncover indicate that these effects depend on the conditioning state.     

Time varying price discovery of the New Third Board market in China: does the market-making system help?

This paper examines whether the market-making system helps to improve the price discovery ability of New Third Board (NTB) market in China. We first estimate the time-varying coefficients error correction models, then apply common factor weight method to quantify the time-varying price discovery contributions, and finally explore the impacts of trading volume and volatility to price discovery contributions. Empirical results show that both markets have time-varying characteristic in terms of the magnitudes and directions of the equilibrium price adjustment due to error correction term. The Shanghai Composite Index, SZSE Component Index, and SME Index are found to lead in price discovery, while NTB exhibits the leadership on the GEM Index. Volume and volatility have significant influence on the price discovery contribution. The NTB contribution is positively related to its own trading activity, negatively related to the trading activity of Shanghai and Shenzhen stock markets, while negatively correlated with the volatility of both markets. In comparison, trading activity of SZSE Component Index and volatility of GEM Index have the greatest negative impacts on the contribution of NTB market. As an important part of China’s multi-level capital market, the pricing mechanism of the NTB market needs further to be improved.     

Jumps and Dynamic Asset Allocation

This paper analyzes the optimal dynamic asset allocation problem in economies with infrequent events and where the investment opportunities are stochastic and predictable. Analytical approximations are obtained, with which a thorough comparative study is performed on the impacts of jumps upon the dynamic decision. The model is then calibrated to the U.S. equity market. The comparative analysis and the calibration exercise both show that jump risk not only makes the investor's allocation more conservative overall but also makes her dynamic portfolio rebalancing less dramatic over time.     

入境旅游对经济增长的动态影响及地区差异研究——以广东省和云南省的比较为例

利用1980—2008年的数据,采用变参数的状态空间模型分析了我国入境旅游与经济增长的动态关系,并以广东省和云南省为例,分析了两者关系的地区差异。研究结果表明,就全国整体而言,入境旅游与经济增长之间不是严格的双向因果关系;入境旅游对经济增长的产出弹性平均值为0.670,从现有统计数据来看,虽然入境旅游对经济增长有一定影响,但这种影响较小;从广东省与云南省的比较来看,广东省入境旅游对经济增长的平均产出弹性值远大于云南省,说明入境旅游对经济增长的影响存在显著的地区差异。     

Speculation and volatility—A time-varying approach applied on Chinese commodity futures markets

Experts have long discussed and empirically investigated whether speculative activity increases volatility on commodity futures markets. Little empirical research, however, analyzes the role of speculators on commodity futures markets in China. Using time-varying vector autoregression models with stochastic volatility, this paper investigates for four heavily traded metal and agricultural contracts, how the relationship between returns volatility and speculation evolves over time. Our findings indicate that speculative activity has little to no impact on volatility. On the contrary, for all commodities examined, returns volatility seems to amplify speculation.     

Nonparametric methods for estimating and testing for constant betas in asset pricing models

In this article, we study the performance of a smoothing spline method in estimating and testing for constant betas in two well-known asset pricing models, the usual market model and the three-factor model. The spline estimator is computed taking into account the conditional heteroscedasticity of the errors. Using the right model and estimation procedure for the variance term plays a crucial role in gaining efficiency in beta estimators. A simulation study shows the good performance of our method; in all the scenarios simulated, it outperforms the benchmark rolling estimator. The method enables users to obtain confidence intervals and to test for the significance and constancy of betas. Finally, the method is applied to US data, comprising 25 portfolios formed based on size and the ratio of book equity to market equity. The results show that the time-variability of the betas plays an important role, mainly when sensitivity to the HML factor is considered.     

考虑需求与价格--质量相关的补货与定价联合决策广义模型

文中基于顾客的购买行为,构建质量-价格敏感的时变需求函数;以利润最大化为目标建立了补货与定价联合决策广义模型,同步确定市场价格、订货批量和时间间隔;证明了模型存在唯一最优解的条件,并给出求解方法;讨论了研究问题的特例形式,表明模型具有广泛适用性。数值算例进一步分析了质量水平影响因子、产品变质率的变化速率对销售利润和决策变量的影响关系。     

Does the Environmental Kuznets Curve Exist in the Chinese Regions?

ABSTRACT

This paper disentangles the existence of Environmental Kuznets Curve across the Chinese regions as autonomous areas. First it makes use of the time-varying method to measure that strand for thirty Chinese regions over the period 1997–2012. The influence of income on CO₂ emissions diminishes steadily from Western regions to Middle and Eastern regions. Lastly, we can observe that the validity of Environmental Kuznets Curve is exerted for one region, whilst the N-shaped curve is valid for the majority of the rest of the Chinese regions.     

Decomposing the Variation in Generic Advertising Response over Time

A time-varying parameter model of fluid milk and cheese demand reveals that changes in age composition, race composition, and food spending patterns away from home were most important to changes in generic advertising response over time. Advertising response elasticities indicate that generic advertising could be enhanced by targeting young children households for fluid milk, and Asian/Hispanic households for cheese. Results also indicate that shifting targeted advertising efforts to the away-from-home market may increase generic cheese advertising response.     

基于Rolling Regression及VAR-DCC-GARCH模型的股市时变协动研究——发达市场对中国大陆股市存在金融传染吗?

本文以2002年5月至2013年12月为研究区间,利用协整模型、滚动回归模型及VARDCC-GARCH模型对中国大陆股市与日本、香港、新加坡股市间的时变协动性进行了研究。结果表明:长期内,中国大陆股票市场与香港股市存在时变协整关系(截距与斜率均具有时变性),与新加坡股市存在着弱协整关系,但与日本股票市场不存在协整关系;中国大陆股市与香港股市、日本股市间的时变相关系数具有长记忆特征,而与新加坡股市时变相关系数并不具有持续性;亚洲发达经济体对中国大陆股市存在显著的金融传染效应。