Asymmetric effects of exchange rate changes on the demand for money in Africa

In order to account for currency substitution, the exchange rate is included in the demand for money. More recent studies have demonstrated that exchange rate changes could have asymmetric effects on the demand for money or domestic currency. In this paper, we consider the experiences of 18 African countries and show that in most countries, indeed exchange rate changes have short-run asymmetric effects on the demand for money. However, short-run effects translate to long-run asymmetric effects only in a limited number of African countries.     

Does the Reserve Bank of Australia follow a forward-looking nonlinear monetary policy rule?

ABSTRACT

The conventional monetary policy rule describes a simple linear relationship between the domestic interest rate, inflation rate and output gap. An important extension to this rule is to incorporate the forward-looking behaviour of central banks, where it is assumed that they target an expected level of inflation instead of its current realised value. Using quarterly observations for the period 1993:1-2018:2, this paper investigates whether the conduct of monetary policy in Australia can be described by a forward-looking linear monetary policy rule, or by a nonlinear forward-looking monetary policy rule. In particular, the nonlinear forward-looking monetary policy rule is analysed in a regime-switching framework using a smooth logistic transition regression model. While the results show that the conventional forward-looking linear monetary policy rule describes the application of monetary policy in Australia reasonably well, the interest rate setting behaviour of the RBA is best described by a nonlinear forward-looking monetary policy rule.     

The non-linear impact of oil price on the oil demand

ABSTRACT

A panel smooth transition regression model was adopted to analyse the non-linear impact of oil prices on oil demand. Data for 42 countries was obtained from the International Energy Agency for the time period spanning from January 1990 to June 2017. The results indicate that a threshold value does exist. Furthermore, when the oil price was lower than this threshold value, a positive relationship between oil price and oil demand was observed. When the price of oil was higher than the threshold value, however, a negative relationship between price and demand was found.     

一种基于预测值量测转换的卡尔曼滤波跟踪算法

在雷达目标跟踪中，系统量测信息通常在球坐标系下获得。为了采用经典卡尔曼滤波算法实现有效目标跟踪，通常采用量测转换方法将非线性量测信息转换到直角坐标系中。针对传统量测转换方法基于量测值计算转换误差统计特性而导致的估计结果有偏问题，提出了一种基于预测值的量测转换方法，并将其与卡尔曼滤波算法相结合，获得了一种基于预测值量测转换的卡尔曼滤波跟踪算法。仿真结果表明，与现有的基于量测转换的卡尔曼滤波算法相比，该算法能在不提高运算量的情况下有效改善目标跟踪效果，跟踪精度提升约20%。     

高管政治背景与民营企业综合税负——基于政治关联的非线性影响研究

民营企业通过与政府建立良好的关系获得与国有企业同等待遇,税负是其中重要的一个方面。现有研究从线性的角度分析了政治关联对民营企业税负的影响,实际上,不同政治关联度对税负的影响方向是不同的。以2009-2011年沪深两市A股主板民营上市公司为样本,探讨政治关联是否影响企业税负以及政治关联度的变化对企业综合税负率的影响。研究发现,政治关联有助于降低民营上市公司综合税负率,且政治关联度与综合税负率之间存在倒U型关系。研究还进一步确定了政治关联度的拐点,为政府规制政策的制定提供参考。     

The effectiveness of monetary policy and output fluctuations: An asymmetric analysis

Previous studies have investigated asymmetries in the effects of monetary policy on the real economic activity by using either vector autoregressive (VAR)-based regime-switching models with smooth transition technique or Gaussian functions to parameterise the dynamic effects of structural shocks on the economy. These kinds of VAR models assume asymmetry as a short-run relationship between the series since the long-run neutrality hypothesis of money states that monetary policy can only affect productive capacity of the economy in the short run, but not in the long run. The recent theoretical literature shows that this hypothesis is not quite right. Thus, this paper examines the extent to which monetary policy has a long-run asymmetric effect on output in a number of Organisation for Economic Co-operation and Development countries by using a nonlinear hidden cointegration analysis within a likelihood-based panel framework. The findings indicate that there is a long-run relationship between the real interest rate as an indicator of monetary policy and the growth rate of real output in five countries out of nine under review. This gives support for the view that output has responded asymmetrically to the real interest rate changes. The economic implication of our results is that monetary policy affects positive and negative output fluctuations differently.     

Forecasting US consumer price index: does nonlinearity matter?

The objective of this article is to predict, both in sample and out of sample, the consumer price index (CPI) of the US economy based on monthly data covering the period of 1980:1–2013:12, using a variety of linear (random walk (RW), autoregressive (AR) and seasonal autoregressive integrated moving average (SARIMA)) and nonlinear (artificial neural network (ANN) and genetic programming (GP)) univariate models. Our results show that, while the SARIMA model is superior relative to other linear and nonlinear models, as it tends to produce smaller forecast errors; statistically, these forecasting gains are not significant relative to higher-order AR and nonlinear models, though simple benchmarks like the RW and AR(1) models are statistically outperformed. Overall, we show that in terms of forecasting the US CPI, accounting for nonlinearity does not necessarily provide us with any statistical gains.     

Testing cointegration between health care expenditure and GDP in Japan with the presence of a regime shift

Using quarterly data from 1994 through 2013, this article is the first to use the Hansen and Seo (2002) tests to examine the long-term relationship between real per-capita GDP (PGDP) and real per-capita health care expenditure (PHCE) in Japan with threshold effects. We detect the presence of a threshold cointegrating relationship between the two variables. In addition, we find that error correction adjustments are significantly conducted only through PGDP in a typical regime, whereas both PGDP and PHCE drive the adjustments in the extreme regime. We find that the extreme regime occurred mainly after Q4 2008, implying that the policy introducing the late-stage medical care system for the elderly in April 2008, which expanded the ratio of personal expenses for the elderly, may be effective for attaining a long-run equilibrium between PGDP and PHCE.     

The Taylor Rule and “Opportunistic” Monetary Policy

We investigate the possibility that the Taylor rule should be formulated as a threshold process such that the Federal Reserve acts more aggressively in some circumstances than in others. It seems reasonable that the Federal Reserve would act more aggressively when inflation is high than when it is low. Similarly, it might be expected that the Federal Reserve responds more to a negative than a positive output gap. Although these specifications receive some empirical support, we find that a modified threshold model that is consistent with “opportunistic” monetary policy makes significant progress toward explaining Federal Reserve behavior.     

Jeffcott转子系统分岔点预测

首先简述了一种用于转子轴承系统的稳定性量化分析方法,即首先利用数值积分对高维非线性转子系统进行解耦,将Rn轨线映射为一系列R1映像轨线,然后在R1观察空间中定义轨线的稳定裕度,根据轨线稳定裕度利用灵敏度技术预测动力系统的分岔点。最后,对一个单跨转子模型试验台建立了动力学方程,并利用上述方法通过2个算例预测了系统发生分岔的参数值和分岔特性。预测结果与直接数值积分法在庞加莱截面得到的分岔参数值基本一致,但由于该方法利用了灵敏度技术,所以其分岔点的搜索过程比直接数值积分法中的试探法要快得多。