Aggregate volatility expectations and threshold CAPM

We propose a volatility-based capital asset pricing model (V-CAPM) in which asset betas change discretely with respect to changes in investors’ expectations regarding near-term aggregate volatility. Using a novel measure to proxy uncertainty about expected changes in aggregate volatility, i.e. monthly range of the VIX index (RVIX), we find that portfolio betas change significantly when uncertainty about aggregate volatility expectations is beyond a certain threshold level. Due to changes in their market betas, small and value stocks are perceived as riskier than their big and growth counterparts in bad times, when uncertainty about aggregate volatility expectations is high. The proposed model yields a positive and significant market risk premium during periods when investors do not expect significant uncertainty in near-term aggregate volatility. Our findings support a volatility-based time-varying risk explanation.     

The Stability of the Demand for Money in Monetary Unions: Some Empirical Evidence from WAEMU

Previous studies of the stability of the demand for money have been largely conducted in the context of individual countries. To the extent that these countries have control over their monetary policies, such an approach is well justified. However, for monetary unions, where the control over monetary policy is usually vested in a central or outside authority, it is more appropriate to examine the stability of the money demand for the union as a collective entity. This paper follows this approach with respect to a West African monetary union, the WAEMU, whose monetary policies are largely dictated by the French authorities. Using cointegration theory and CUSUM stability tests, we find evidence that the demand for broad money is stable in this union. Given the empirical results, the paper draws inferences regarding their implications for the formulation of optimal monetary policy for the WAEMU.     

The behaviour of betting and currency markets on the night of the EU referendum

We study the behaviours of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. We investigate how the two markets responded to the announcement of the voting results by employing a Bayesian updating methodology to update prior opinion about the likelihood of the final outcome of the vote. We then relate the voting model to the real-time evolution of the market-determined prices as the results were announced. We find that, although both markets appear to be inefficient in absorbing the new information contained in the vote outcomes, the betting market seems less inefficient than the FX market. The different rates of convergence to the fundamental value between the two markets lead to highly profitable arbitrage opportunities.     

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     

Estimating multimodal public transport mode shares in Athens,Greece

We analyze market shares for each public transport mode in total public transport ridership for the multimodal public transportation system of Athens, Greece. This analysis provides useful information for making investment decisions concerning the public transport infrastructure and for allocating subsidies. Due to the non-stationary properties of the data, cointegration techniques are applied to investigate the long run equilibrium relationships. Error Correction Models are implemented to estimate short run dynamics as well as the speed of adjustment from the short to the long run. Results suggest that fare and GDP are the main determinants of the public transport mode shares both in the short and in the long run. Findings also indicate the role of total ridership fluctuations in explaining variations in public transport mode shares.     

Detecting long‐run relationships in regional house prices in the UK

Recent developments in the analysis of cointegration in the presence of asymmetric adjustment are extended and applied to data on regional house prices in the UK. This extension is found to have a dramatic impact upon the results derived. In contrast to recent studies employing standard methods, allowance for the possibility of asymmetric behaviour results in the detection of a large number of long‐run relationships between house prices in different regions. A consistent pattern of asymmetric adjustment is observed, with reversion to equilibrium occurring more rapidly (slowly) when house prices in the South of England decrease (increase) relative to other regions. While the results derived support the existence of a ripple effect underlying the observed movements in regional house prices, the extent of cointegration uncovered casts doubt upon the recently proposed notion of weak segmentation in the UK housing market.     

人民币实际汇率与贸易条件的实证研究

基于均衡汇率理论,应用协整模型,采用真实变量分析了1980-2003年的人民币实际汇率及其与均衡汇率的失调情况,进而研究了不同时期人民币实际汇率与贸易条件的关系。结果表明:贸易条件与中长期以及短期的实际汇率存在显著的关系,贸易条件的恶化或改善是导致人民币实际汇率升值或贬值的重要原因之一。并且,在不同的发展时期,贸易条件对实际汇率的影响呈现出不同的特点。     

浙江省对外贸易与经济增长关系的实证研究

改革开放以来,浙江省对外贸易和GDP双双高速增长,是我国外贸快速发展的典型代表。基于浙江省1978-2005年GDP及进出口贸易数据的协整分析表明：浙江省实际GDP和实际出口总额、实际进口总额之间存在着长期稳定的均衡关系。格兰杰因果检验则得出进口增长是经济增长的单向原因,经济增长是出口增长的单向原因的结论。在此结论基础上,提出了浙江省对外贸易发展的政策建议。     

A fractional cointegration var analysis of exchange rate dynamics

In their seminal work, Baillie and Bollerslev (1994) carried out an analysis of deviations from the cointegrating relationship of seven important exchange rates. They suggested that the exchange rate series possess long memory and therefore such processes could be well described as fractionally integrated processes. Hence, the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons. In this work we analyze the cointegrating structure of five exchange rates to the US dollar, namely the British pound, the Euro, the Swedish Krona, the Canadian Dollar and the Swiss Franc. The series possess long memory and we show that they can be modeled through fractional integration. In fact, standard cointegration is rejected with the more traditional Johansen CVAR methodology. By using the recently introduced Fractionally Cointegrated VAR by Johansen and Nielsen (2012) we provide a cointegrating relationship taking into account fractional integration.     

中国沿海地区经济结构变动对海洋环境的影响

中国沿海经济结构的研究对海洋环境的发展意义重大,然而二者之间的定量关系及内在机理尚不完全清楚。以2007-2016年为研究时段,我国沿海11省(区、市)为研究区域,借助固定效应以及门槛模型,测度经济结构变动与海洋环境之间的关系。结果表明:①在经济结构中产业结构(-0.099)对海洋的弹性系数最大,其次是经济增速(-0.058),投资对象为正向影响,但不显著;非经济结构中,技术进步(0.052)的弹性系数最大,其中环境规制(-0.045)、人口规模(-0.045)抑制海洋环境的改善。②区域对比北部、东部海洋经济圈产业结构对海洋环境起抑制作用,另外,东部海洋经济圈环境规制、人口规模与海洋环境水平呈明显的负相关性;南部海洋经济圈相对于其他两个区域,结果不显著。③将产业结构、技术进步作为门槛变量,在各自的作用下分别存在双重门槛和单一门槛。产业结构门槛值为0.533、0.462,仅河北,福建未跨越第二门槛;科研能力门槛值为40,仅河北、福建、海南未跨过门槛值。因此,应适度调整产业结构,注重经济增长的质量,合理控制城镇人口的流动,积极鼓励科研创新,实现经济与海洋环境协调发展。