股市波动对股市募资的影响——基于VAR模型实证分析

本文选取1991年8月至2010年7月一级市场实际募集资金、上证指数及深成指的月度数据作为样本,运用向量自回归(VAR)模型、格兰杰因果关系检验、脉冲响应分析及方差分解方法分析股市波动与股市募资的关系,实证分析表明:股市波动是股市募资的原因,其中深成指对股市募资的影响较大;股市募资对股市波动短期有强劲的响应,在长期趋于稳定;股价指数和股市募资存在长期均衡关系。并且在定量分析和定性分析相结合的基础上给出相应的对策建议。     

A new assessment of economic integration in East Asia: Application of an industry-specific G-PPP model

It is well known that intra-industry trade and cross-border production networks have promoted economic growth and regional integration in East Asia. However, regional supply and production chains may have been formed differently across industries, reflecting different degrees and a different scope of regional economic linkages at an industry level. This paper makes a threefold contribution. First, to assess industry-level differences, this study adopts the generalized purchasing power parity (G-PPP) model using industry-specific producer prices. Second, the momentum threshold autoregressive (M-TAR) model is employed to allow for possible nonlinearity arising from the dynamic nature of regional economic growth and development. Third, the Granger causality test is also conducted to assess whether regional economies have autonomously integrated. The empirical results reveal that economic integration has progressed more autonomously in the electrical industry, as well as in the transportation equipment industry, as China and the ASEAN countries have become the final destination markets for finished products in these two industries.     

Cointegration and causality among the onshore and offshore markets for China's currency

China has taken steps to develop offshore markets for renminbi trading and to liberalize exchange-rate determination in its onshore market. We examine the interaction between onshore and offshore markets with attention to how the interaction has been affected by widening of the onshore trading band first in April 2012 and further in March 2014. Ties between the onshore and offshore markets were closest before the first band widening and steadily loosened thereafter. We further study the cointegration and lead-lag effects between offshore and onshore spot and forward markets and show that there is a long-term equilibrium relationship between any pair of them. Our results suggest stronger causality running from the spot onshore rate to the spot offshore rate than vice versa. Between the spot and forward markets, there is evidence of bidirectional linear and nonlinear causality, which implies foreign impulses have had an influence on the domestic market.     

Testing purchasing power parity for Japan and the US: A structural-break approach

In this work we empirically assess the weak and strong forms of purchasing power parity (PPP) hypothesis for the economies of Japan and US. Monthly data for the, traded-goods price indices and the JPY/USD exchange rate are employed for the, period from January 2000 to October 2012. This period includes large shocks, such as, the US subprime crisis and the 2011 Tsunami in Japan. We take into account possible, structural shifts and breaks by employing the class of Lee and Strazicich, 2003, Lee and Strazicich, 2004 unit, root tests. Empirical analysis suggests that a break corresponding to the start of the US subprime crisis is not rejected. Furthermore, utilizing the Gregory and Hansen (1996) and, Hatemi (2008) cointegration methodologies, the weak form of PPP is not rejected. We, also test the strong PPP hypothesis by using Dynamic Ordinary Least Squares, (DOLS). The empirical evidence rejects the strong form of PPP for the period, preceding the US subprime crisis in contrast to the period after.     

Changing monetary transmission mechanisms within the EU

The paper presents a comparative analysis of monetary transmission mechanisms and changes in them after the secondERM in March 1983. The empirical model investigates the determination of money, income, prices, and interest rates in Germany, Denmark, and Italy based on the cointegratedVAR model. It provides empirical results on the macroeconomic effects of joining theERM and financial deregulation.     

Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach

In this paper, we propose a network-based analytical framework that exploits cointegration and the error correction model to systematically investigate the directions and intensities in terms of the short-run disequilibrium adjustment towards long-run equilibrium affecting the international stock markets during the period of 5 January 2007 to 30 June 2017. Under this setting, we investigate whether and how the cross-border directional interconnectedness within the world’s 23 developed and 23 emerging stock markets altered during the entire period of 2007–2017, and two specific periods of 2007–2009 Global Financial Crisis and 2010–2012 European Sovereign Debt Crisis. The main results indicate that the magnitude of the short-run disequilibrium adjustment towards long-run equilibrium for individual stock markets is not homogeneous over different time scales. We report that the changes in directional interconnectedness within stock markets worldwide did occur under the impact of the recent financial crises. The derived networks of stock markets interconnectedness allow us to visually characterize how specific stock markets from different regions form interconnected groups when exhibiting similar behaviours, which none the less provides significant information for strategic portfolio and risk management.     

Is integration I(d) applicable to observed economics and finance time series?

The method of cointegration in regression analysis is based on an assumption of stationary increments. Stationary increments with fixed time lag are called ‘integration I(d)’. A class of regression models where cointegration works was identified by Granger and yields the ergodic behavior required for equilibrium expectations in standard economics. Detrended finance market returns are martingales, and martingales do not satisfy regression equations. We ask if there exist detrended processes beyond standard regression models that satisfy integration I(d). We show that stationary increment martingales are confined to the Wiener process, and observe that martingales describing finance data admit neither the integration I(d) nor the ergodicity required for long time equilibrium relationships. In particular, the martingales derived from finance data do not admit the time (or ‘space’) translational invariance required for increment stationarity. Our analysis explains the lack of equilibrium observed earlier between FX rates and relative price levels.     

对中国股票市场费雪效应及相关“波动性假说”的检验

本文利用我国1991年1月到2007年12月的月度数据对我国股票市场实际通货膨胀与股票收益的关系进行了实证分析,结果发现:与费雪效应相反,我国通货膨胀率与股票收益呈负相关关系,而且在对解释这种负相关关系的波动性假说(the Variability Hypothesis)的检验中,发现该假说能够解释我国股市股票收益与通货膨胀之间所呈现的这种负相关关系。     

Stock returns and economic activity: the UK case

This paper investigates the relationships between real stock returns and a number of financial and economic variables for the UK economy for the period 1980 to 1994. We begin by discussing a theoretical model proposed by Balvers et al. and then re-estimate for the UK what may be regarded as an application of that model by Fama applied to the US market. This reproduces Fama's main results. For the UK we than suggest a slightly, different application of the Balvers model, the most important feature of which is the use of expectational macro-economic variables instead of Fama's use of leading values of industrial production. We then go on to investigate the unit root properties of the data and show that much of the data is indeed characterized by the presence of unit root non stationarity In the light of this, we propose an application of the Phillips-Loretan error-correction model and show that this provides a plausible relationship between real stock returns and most of the financial and economic variables.     

Quo vadis Euro?

This paper calculates the equilibrium exchange rates for the Euro and the rest of the G-7 currencies. Building on the methodology of Alberola et al., it is shown that the stock of net foreign assets and the evolution of productivity are the fundamentals underlying the behaviour of the real exchange rate. Panel cointegration techniques allow for the extraction, using an unobserved components methodology, of a time-varying equilibrium real exchange rate, and deviations from this equilibrium provide an estimate of the degree of multilateral misalignment. Finally, an algebraic transformation converts these multilateral equilibrium real rates into bilateral equilibrium nominal rates. The results uncover that the Euro was slightly undervalued by the start of Stage III of EMU and that, despite a faint fall of its fundamentals since then, the slide during 1999 has widened the misalignment above 10% against other main currencies.