中国股市波动与经济波动的传递性研究

基于1994~2004年度的月份数据,对股市波动与经济波动的关系进行研究。我们采用Schwert(1989)的12阶自回归模型对各经济变量序列的波动性进行估计,并进一步通过Granger因果检验和冲击反应函数考察各波动序列之间的内在关系。检验结果表明:在Granger因果检定中,股市波动并未受到总体经济波动的影响,说明股市在一定程度上反映了当前的经济信息;股市波动与经济波动的冲击反应函数则显示,股市波动与经济波动之间的影响大体在6~8个月以内传递完毕。     

中国通货膨胀成因的实证分析

通过对可能影响我国通货膨胀的因素,包括经济增长、货币供应量、居民消费水平和工资的格兰杰因果分析和自回归分布滞后模型的拟合,可知我国通货膨胀和货币供应量、居民预期有密切关系,而和其他因素没有显著关系.     

R＆D、R＆D溢出、内生增长和内生收敛

根据强调知识与技术创新、知识与技术溢出重要性的当代内生增长理论，本文建立了一个将R＆D和R＆D溢出与资本积累之间、R＆D和R＆D溢出与总产出增长之间直接关联起来的动态模型。面板数据协整检验实证分析结果表明R＆D和R＆D溢出与资本积累之间、R＆D和R＆D溢出与总产出增长之间分别存在显著的正面长期协整关联。进一步的分析表明，R＆D与资本积累之间、R＆D与总产出增长之间分别存在显著的长期双向格兰杰因果关系。由此观知，R＆D乃长期经济增长源泉之所在。另一方面，尽管资本积累或总产出增长并不格兰杰导致R＆D溢出，证据表明R＆D溢出格兰杰导致资本积累和总产出增长。这种由R＆D溢出到资本积累和总产出增长的单向格兰杰因果关系意味着尽管知识与技术的跨国传播并非必然发生。其实为世界经济增长的重要动力。     

协整向量误设对相关检验的影响

常用于检验既定协整关系的统计量有tDF和tECM两种，但由于真实数据生成过程未知，估计模型中可能存在一定程度的协整向量误设，从而使统计量的分布特征受到影响。本文首先探讨tDF检验的隐含系数约束α=γ，即短期弹性等于先验长期弹性；其次分析零假设下两种统计量的分布特征，以及先验设定γ对信号噪声比q进而对tECM分布特征的影响；最后在局部备择假设下，给出两种统计量的渐近分布，并表明向量误设会降低协整检验的势，其程度与设定误差d正相关。     

工具变量法综列单位根检验的有偏性及其修正

Chang（2002）基于非线性工具变量估计，提出了对截面相关综列数据进行单位根检验的SN检验，在综列数据生成过程不舍飘移和时间趋势时具有良好的表现。但我们的研究表明，在非平稳综列数据含有确定性趋势时，SN检验是有偏的，不再服从标准正态的渐近分布，而需要进行修正。本文基于蒙特卡罗仿真试验提出了一种简便的修正方法，修正后的SN检验统计量渐近分布为标准正态分布。仿真结果表明，修正后的SN检验具有更好的有限样本性质和较高的检验势。     

欧盟REACH法令对中国化工产品出口的影响分析

欧盟REACH法令的实施将促进我国化学工业的发展,但在短期内会导致我国出口欧盟化工产品和进口化工产品成本上升,降低出口产品竞争力,部分产品甚至退出欧盟市场,其他国家可能纷纷效仿欧盟,引起连锁反应。应对该种技术性壁垒,我国政府和行业协会应加大宣传REACH法令的力度,加快国内相关立法,推进国内实验室的GLP认证工作。另外,化学品生产企业应提高自身产品质量,做好化学品注册的可行性分析和预注册工作。     

How many voters are needed for paradoxes?

Summary. This paper presents a general procedure for finding profiles with the minimum number of voters required for many important paradoxes. Borda's and Condorcet's classic examples are revisited as well as generalizations. Using Saari's procedure line, we obtain an upper bound for the minimum number of voters needed for a profile for which the Condorcet winner is not strictly top ranked for all weighted positional procedures. Also we give a simple upper bound on the minimum number of voters needed for a set of prescribed voting outcomes. In contrast to situations wherein small numbers of voters are needed, we consider paradoxes requiring arbitrarily large numbers of voters as well as large numbers of alternatives. Finally we indicate connections with statistical rank based tests. Received: April 18, 2001; revised version: May 25, 2001     

Cointegration, causality and export-led growth in Mexico, 1895–1992

Cointegration and Granger-causality tests show that real exports and real GDP in Mexico over 1895–1992 were cointegrated and there was a significant and positive Granger-causal relationship running from exports to economic growth.     

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     

人民币实际有效汇率的变化对我国进出口的影响

本文从空间和时间两个角度全面考察了人民币实际有效汇率的变化对我国进出口的影响。结果表明,人民币汇率的变化会显著影响我国的进出口。但是,这种影响程度在1994年以后明显地出现了下降趋势。同时,人民币汇率变化对我国进出口的调整存在明显的J曲线效应,其中进口变动大致滞后于汇率变动2个季度,而出口则滞后1个季度,滞后期限均短于西方发达国家。本文分析了其中的原因并提出了相关建议。