美国房地产泡沫、世界经济不平衡与金融危机——兼驳金融危机根源外部论

对于世界经济不平衡与金融危机的关系,存在两种不同的观点:一种观点认为世界经济不平衡是金融危机产生的根源,顺差国庞大的过剩储蓄最终引发了金融危机;而另一种观点则认为愈演愈烈的世界经济不平衡却并不必然造成金融危机,而是同金融危机一样,根源于美国国内经济的某些扭曲。两者差别在于将危机的根源归于外因还是内因。本文通过理论分析与格兰杰因果实证检验,否定了危机根源外部论,并证明了后一种观点:美国房地产泡沫(美国国内经济扭曲的重要表现)在造成金融危机的同时,促进了世界经济不平衡的扩大。     

中国木质家具出口贸易与汇率波动关系研究

木质家具是我国最重要的出口林产品之一。人民币汇率改革后,人民币总体呈升值趋势,这一趋势提高了国产木质家具的出口价格,会产生阻碍出口的作用;与此同时其也会使进口原材料价格相对降低、促进原材料的进口,二者相互作用会共同影响木质家具出口额。通过建立回归模型,研究人民币汇率波动对中国木质家具出口贸易额的影响,结果表明人民币汇率与中国木质家具出口额呈负相关,但是通过人民币贬值来促进出口的策略并不明智。     

城市用地结构与产业结构关联的实证研究——以重庆市为例

城市用地结构与产业结构的有机耦合是提高城市用地效益,促进产业结构高级化和城市整体功能提升的前提和保障。文章利用比例变化指数和Granger因果法对重庆市城市用地结构和产业结构耦合关系的实证研究显示:重庆市城市产业结构变化滞后于城市用地结构变化,城市用地结构变化与产业结构变化的差距呈现先上升后下降的趋势,即重庆市城市用地结构与产业结构的有机耦合在经历了非同步变化后逐渐步入同步变化的轨迹;短期内,城市用地结构变化推动产业结构的优化,随之,产业结构又反作用于城市用地结构;城市用地结构和产业结构同步变化轨迹还没有出现,这说明城市用地结构与产业结构互为因果的关系应在长期的调整、协调中才能得以实现。     

Educational tourism and its implications on economic growth in Malaysia

The effect of educational tourism on Malaysia’s economic growth is examined in this study by extending the Solow growth model. This study uses the sample from 2002:Q1 to 2014:Q4. The newly developed Bayer–Hanck combined tests for cointegration and the Granger causality test were employed to examine the long-run and causal relationships among the variables. The empirical findings suggest that economic growth, educational tourism, and other determinants are cointegrated. Educational tourism has a bi-directional causal relationship with economic growth in the short-run but there is a uni-directional Granger causality runs from educational tourism to economic growth. This study provides an essential insight for Malaysia to create policies that promote educational tourism, thereby encouraging economic growth in the long-run.     

中国经济增长与金融中介关系的计量分析

文章以国家统计局发布的1978—2007年统计数据为基础,运用计量经济学中GrangerCausality因果关系检验法和回归分析法对中国经济增长与金融中介之间的关系进行了实证研究。结果表明：中国经济增长与金融中介之间存在双向明显的因果关系。1978—2007年,金融中介对中国经济增长的贡献率约为25．43％,表明金融中介在一定程度上促进了中国经济的增长。     

我国金融发展与城乡收入差距关系的实证研究

选取麦氏指标和城乡居民收入基尼系数对整体金融发展和城乡居民收入差距之间的因果关系进行研究,发现：金融发展与城乡居民收入差距存在着单向因果关系,无论长期还是短期,金融发展均是城乡居民收入差距的原因,但我国整体金融发展并未缩小城乡收入差距,相反扩大了城乡收入差距;城乡居民收入差距具有自我加强的“惯性”,无论短期还是长期,它均不是金融发展的原因。     

基于Granger理论展开的物流发展研究

通过指标确定、数据收集、数据处理、平稳性分析、Granger分析、最佳滞后期分析等一系列分析研究,探讨了我国物流产业与宏观经济之间的相互作用。最后,结合实证模型为我国物流发展提出了具体的对策与建议。     

Causality effects in return volatility measures with random times

We provide a structural approach to identify instantaneous causality effects between durations and stock price volatility. So far, in the literature, instantaneous causality effects have either been excluded or cannot be identified separately from Granger type causality effects. By giving explicit moment conditions for observed returns over (random) duration intervals, we are able to identify an instantaneous causality effect. The documented causality effect has significant impact on inference for tick-by-tick data. We find that instantaneous volatility forecasts for, e.g., IBM stock returns must be decreased by as much as 40% when not having seen the next quote change before its (conditionally) median time. Also, instantaneous volatilities are found to be much higher than indicated by standard volatility assessment procedures using tick-by-tick data. For IBM, a naive assessment of spot volatility based on observed returns between quote changes would only account for 60% of the actual volatility. For less liquidly traded stocks at NYSE this effect is even stronger.     

Reexamining the time-varying volatility spillover effects: A Markov switching causality approach

This paper intends to examine the volatility spillover effect between selective developed markets including U.S., U.K., Germany, Japan and Hong Kong over the sample period from 1996 to 2011. We introduce a Markov switching causality method to model the potential instability of volatility spillover relationships over market tranquil or turmoil periods. This method is more flexible as no prior information on the changing points or size of sample window is needed. From the empirical results, we find the evidence of the existence of spillover effects among most markets, and the bilateral volatility spillover effects are more prominent over turmoil or crisis episodes, especially during Asia crisis and subprime mortgage crisis periods. Moreover, the distinct role of each market is also investigated.     

关于科技和教育与经济增长关系的协整建模研究

通过采用协整分析的方法,系统地分析了科技、教育支出与经济增长的长期均衡关系,由此得出结论:教育、科技支出对经济增长的长短期的影响力大小与经济增长对教育、科技支出的长短期影响力的弹性大小正好相反,这明显有悖于经济发展的协调性原理.这为制定相关的科技、教育和经济发展政策提供科学依据.