Forecasting house prices using dynamic model averaging approach: Evidence from China

Forecasting house price has been of great interests for macroeconomists, policy makers and investors in recent years. To improve the forecasting accuracy, this paper introduces a dynamic model averaging (DMA) method to forecast the growth rate of house prices in 30 major Chinese cities. The advantage of DMA is that this method allows both the sets of predictors (forecasting models) as well as their coefficients to change over time. Both recursive and rolling forecasting modes are applied to compare the performance of DMA with other traditional forecasting models. Furthermore, a model confidence set (MCS) test is used to statistically evaluate the forecasting efficiency of different models. The empirical results reveal that DMA generally outperforms other models, such as Bayesian model averaging (BMA), information-theoretic model averaging (ITMA) and equal-weighted averaging (EW), in both recursive and rolling forecasting modes. In addition, in recent years it is found that the Google search index, instead of fundamental macroeconomic or monetary indicators, has developed greater predictive power for house price in China.     

Stock price synchronicity to oil shocks across quantiles: Evidence from Chinese oil firms

This paper investigates behaviour of stock price synchronicity to oil shocks across quantiles for Chinese oil firms. The spillover effects of the oil market on a firm are segregated into firm-specific and market-wide information. First, our results report a higher level of synchronicity by dynamic conditional correlations than by R-square since the former better captures dynamic linear dependence. Second, we find strong evidence of size effect. In particular, stock price synchronicity is generally higher in large-cap firms than in small-cap ones. Oil shocks affect synchronicity in the upper quantiles differently based on firm size. Third, we also find that synchronicity responds to oil shocks significantly in extreme low quantiles, implying that shocks in the oil market are transmitted to Chinese oil firms via firm-specific information. Finally, we determine that oil shocks have little or no immediate impact on stock price synchronicity; instead, cumulative lagged effect is evident. This evidence highlights the lagging effect of spillover of oil shocks on Chinese oil firms.     

浙江省农产品国际竞争力的实证分析

本文分析了浙江省农产品贸易的发展现状和特点,并运用国际市场占有率(MS)、贸易竞争力指数(TC)、显性比较优势指数(RCA)对浙江省农产品国际竞争力进行实证测度,分析了浙江省现阶段农产品国际竞争力现状和变化趋势,表明浙江省农产品参与国际贸易的力度不够,发展潜力巨大,并就此提出了提升浙江省农产品国际竞争力的对策建议。     

中国24个旅游强市旅游产业集群竞争力评价与分析

紧扣旅游产业集群的特点,从规模和效能两个方面的7个指标构建了旅游产业集群竞争力评价模型,并以最新的数据评价了我国24个旅游强市的旅游产业集群竞争力。评价结果显示,东部城市旅游产业集群竞争力具有巨大的优势。可以看出,旅游产业集群竞争力与当地GDP总量密切相关。     

Vertical differentiation with non-uniform consumers' distribution

This note explores a vertical differentiation model with a continuous non-uniform consumers' distribution. First, a result concerning the finiteness property obtained with uniform consumers' distribution is generalized. Second, we prove an existence result of price equilibrium when the distribution is concave. Finally, we exhibit a counter-example to the existence of price equilibrium to show that the concavity assumption is not superfluous.     

Volatility Relationship between Crude Oil and Petroleum Products

This paper utilizes calculated historical volatility and GARCH models to compare the historical price volatility behavior of crude oil, motor gasoline and heating oil in U.S. markets since 1990. We incorporate a shift variable in the GARCH/TARCH models to capture the response of price volatility to a change in OPEC’s pricing behavior. This study has three major conclusions. First, there was an increase in volatility as a result of a structural shift to higher crude oil prices after April 1999. Second, volatility shocks from current news are not important since GARCH effects dominate ARCH effects in the variance equation. Third, persistence of volatility in all commodity markets is quite transitory, with half-lives normally being a few weeks.

广西区域文化产业竞争力评价与分析

文化产业竞争力是衡量一国或一个区域的文化产业发展状况的标准之一。本文在构建文化产业竞争力指标体系时,根据代表性、简约性、通用可比性原则选取了评价潜在和现实竞争力的9个指标,对2009年广西壮族自治区主要城市文化产业竞争力进行综合评价,通过实证分析得出结论并提出相应对策建议。应通过扩大产业规模,增加文化供给,提高科技含量,打造文化品牌等方式增强广西文化产业竞争力。     

基于GEM模型珠海高新技术产业集群竞争力研究

高新技术产业是珠海经济的命脉,如何科学的分析珠海高新技术产业集群竞争力,对于科学制定区域集群发展政策,增强集群的规模效应尤为重要。本文借助GEM模型,对珠海高新技术产业的竞争力进行综合分析,以此探寻高新技术产业发展的对策,具有一定的现实意义。     

Exchange Rate Regimes: Middling Through

Abstract

The appropriate exchange rate regime, in the context of integration of currency markets with financial markets and of large international capital flows, continues to be a policy dilemma. It is found that the majority of countries are moving towards somewhat higher exchange and lower interest rate volatility. Features of foreign exchange (forex) markets could be partly motivating these choices. A model with noise trading, non-traded goods and price rigidities shows that bounds on the volatility of the exchange rate can lower noise trading in forex markets; decrease fundamental variance and improve real fundamentals in an emerging market economy (EME); and give more monetary policy autonomy. Central banks prefer secret interventions where they have an information advantage or fear destabilizing speculation. But in the model discussed in this article, short-term pre-announced interventions can control exchange rate volatility, pre-empt deviations in prices and real exchange rates, and allow markets to help central banks achieve their targets. The long-term crawl need not be announced. In conclusion, the regime's applicability to an EME is explored.     

基于服务贸易开放度的中国服务贸易竞争力研究

服务贸易开放度对服务贸易竞争力存在物资资本积累效应、人力资本积累效应、技术外溢效应和门槛效应等四大作用机制。根据服务贸易开放度新指标和用综合指标法衡量的服务贸易竞争力指标,运用波特的"钻石模型"选取衡量影响服务贸易竞争力的因素变量,进行基于服务贸易开放度的中国服务贸易竞争力的实证研究表明,中国服务贸易开放度对服务贸易竞争力的提升具有积极的促进作用;人力资本、人均国民收入以及货物贸易发展水平等对服务贸易的竞争力有显著的影响,要提高我国的服务贸易竞争力,必须综合考虑上面各种因素。