中国能源消费、能源消费结构与经济增长——基于ARDL模型的实证研究

能源消费、能源消费结构与经济增长间存在着密切的关系。节能减排政策的施行是否会影响到我国的经济增长,能源消费结构与能源消费间有着怎样的联系,这些都是在节能减排政策制定中亟待解决的问题。本文利用1978-2007年的样本数据,使用ARDL模型方法对以上三者之间的关系进行了实证研究。发现经济增长对能源消费和能源结构在长期和短期内都有显著影响,且能源消费和能源消费结构间也存在相互的影响。未发现能源消费和能源消费结构对经济增长的长期影响。推行适宜的节能减排政策不会阻滞我国的经济增长,而节能减排政策的一项重点应该是能源消费结构的优化调整。     

The relationship between national saving and domestic investment in economy of Iran

In this paper, the relationship between national savings and domestic investment is examined in order to determine the degree of international capital mobility in Iran＇s economy over the sample period （1959-2007）. To this end, first the savings and investment correlation as postulated by Feldstein and Horioka was revisited using the recently developed bound testing approach （ARDL）. Amongst the key results, was a significant and robust positive association between the ratio of gross domestic investment to gross domestic product and the ratio of national savings to gross domestic product. Next, the coefficient of ECM derived from the ARDL test showed that the speed of adjustment in the estimated models was relatively high and has the expected significant and negative sign. The results indicate that deviation from the long-term path was corrected by approximately 63 percent over the following year. In addition, the savings-investment correlation relationship is examined in terms of an error correction model in order to gain some insight into the degree of capital mobility. The results show that savings and investment are to a great extent co-integrated. In other words, there is a significant long-run relationship between savings and investment in the Iranian economy. Also, the long-run relationship between these variables shows a low degree of capital mobility in Iran, because government policies have had no considerable effect on the savings-investment gap in Iran. The empirical findings suggest that liberalizing both the exchange rate system and interest rates and facilitating capital flow would increase international capital mobility.     

A new perspective on the third-country effect: The case of Malaysia–US industry-level trade

Cushman suggested that impact of exchange rate volatility declines after the inclusion of the third-country effect. Like Cushman, when we use a linear analysis, we confirm his results. However, when we engage in asymmetric effects of exchange rate volatility which requires including nonlinear adjustment of volatility measures, the findings show more support to both exchange rate volatility influence and the third-country effect. Therefore, we propose that in examining exchange rate volatility effect on trade, consideration must be given to not just asymmetric effects of exchange rate volatility but also asymmetric effects of the third-country effect. We demonstrate these findings using monthly data from 54 Malaysian industries that export to the US and 63 Malaysian industries that import from the US.     

Determinants of sovereign credit risk: the case of Russia

The article analyses external and domestic determinants of Russian sovereign credit risk from January 2001 to May 2015. The analysis is conducted in a time series framework, involving the ARDL approach and VECM model. External risk factors outperform domestic fundamentals. The VIX index and oil prices are the most important factors, followed by the Fitch credit rating changes and TED spread. There is evidence for the piggyback effect by S&P whose credit rating changes are driven by Fitch Ratings and Moody’s decisions. Among macroeconomic fundamentals only exchange rate dynamics and foreign reserves appear significant. The importance of the fundamentals further decreases when Granger (no) causality tests are conducted. The findings reveal a limited role of domestic macroeconomic policy in curbing Russian sovereign credit risk.     

Interest rate liberalization and pass-through of monetary policy rate to bank lending rates in China

We examine whether the effectiveness of the monetary policy rate transmission differs before and after interest rate liberalization in China using the autoregressive distributed lag (ARDL) bound test and an error correction model (ECM). The results show that after liberalization the mark-up is lower, and both the long-run and shortrun interest rate pass-through has become faster and more complete. We attribute our findings to the ongoing reforms of China’s banking system, which has improved the competitiveness of Chinese commercial banks.     

Malaysia-Japan Commodity Trade and Asymmetric Effects of Exchange Rate Changes

Asymmetry analysis is a new norm in applied research and the link between the trade balance and the exchange rate is no exception. In this paper we investigate the asymmetric response of the trade balance of each of the 60 industries that trade between Malaysia and Japan. We find short-run asymmetric effects of exchange rate changes on the trade balance of 50 industries (including the two largest industries), short-run adjustment asymmetry in 47 industries, and short-run impact asymmetry in 30 industries. However, short-run asymmetric effects lasted into the long run only in limited number of industries. Results are industry-specific at best.     

Interest Rate Pass‐Through in Mongolia

This study empirically examines the interest rate pass‐through of the money market interest rate to bank lending and bank deposit interest rates in Mongolia using both linear and nonlinear autoregressive distributed lag (ARDL) models. The results from the empirical analysis using data from December 2002 to September 2015 suggest that interest rate pass‐through is generally weaker, slower, and asymmetric in Mongolia. The new findings provide evidence that: (i) interest rate pass‐through has improved over time; (ii) the bank deposit rate has a higher long‐run interest rate pass‐through and slower adjustment than the bank lending rate; and (iii) there is a negative long‐run asymmetric pass‐through with respect to the bank lending rate and a positive long‐run asymmetric pass‐through with respect to the bank deposit rate.     

The asymmetric effect of crude oil prices on stock prices in major international financial markets

The aim of this paper is to explore the potential asymmetric impacts of positive and negative shocks in crude oil prices on stock prices in six major international financial markets which include China, Hong Kong, America, Japan, Britain, and Germany. We test for these asymmetric effects on 8 major international financial markets indices over the 2007M01–2020M03 periods. Our independent measures include the prices of Brent crude oil futures and West Texas Intermediate (WTI) futures. We use the nonlinear ARDL (NARDL) model proposed by Shin et al. (2014), which can capture both short- and long-run nonlinearities through positive and negative partial sum decompositions of the explanatory variables. This research finds that positive and negative fluctuations of oil price have asymmetric effects on stock price index in four financial markets, but the performance of the asymmetry is different. Specifically, the impacts of volatility in oil prices on two indices of Chinese stock prices are different, and the asymmetric effects of oil price volatility on stock price indices in China and other financial markets are significantly different.     

Industrial development and social welfare: A case study of Iran

Nowadays, monitoring and evaluation of social welfare are of profound import in many countries. This study sought to shed some light on the impact of industrial development on the Iranian social welfare. The Iranian Social Welfare Composite Index (SWCI) and Sen Welfare index (SEN) considered as proxies of Iranian social welfare. To gauge the impact of industrialization on social welfare, Autoregressive Distributed Lags (ARDL) bound testing was utilized. The econometric models estimated using annual data from 1967 to 2015 and presented in terms of long-run and short-run dynamic relationships. The results indicate that industrial development had a significant impact on the Iranian social welfare and this impact has been stronger in the long run. In addition, oil revenues, inflation, unemployment and the Iraq-Iran War have had a significant impact on the Iranian social welfare during the period under review. Despite the contradictory impact of industrialization on the various dimensions of welfare, the results show that the industrial development has had a positive impact on the social welfare in Iran. So, the government can boost the effects of industrialization on social welfare by controlling its negative effects.     

Fiscal policy and stock market efficiency: An ARDL Bounds Testing approach

The aim of this paper is to investigate the semi-strong market efficiency hypothesis with respect to fiscal policy information, in the context of the Bucharest Stock Exchange. Taking into account that macroeconomic data series of emerging countries usually have a limited size and may be plagued by inconsistencies and structural breaks, this paper proposes an ARDL Bounds testing approach for studying the relationship between stock returns and lagged macroeconomic variables. Moreover, this approach allows us to examine both the long and short-term relationship between fiscal policy and stock returns. The results indicate that, in the long run, stock prices fully and efficiently reflect information on past fiscal policy. However, in the short run, the Romanian stock market reacts efficiently only to unexpected fiscal policy news, while anticipated fiscal policy information displays a significant lagged relationship with current stock returns. In addition, the results also showed that monetary policy information is not incorporated efficiently into stock prices, both in the short and the long run, and its impact on stock returns is larger than the one exerted by fiscal policy.