A sneeze in the U.S., a cough in Japan,but pneumonia in Taiwan? An application of the Markov-Switching vector autoregressive model

This paper examines the lead–lag relationships among the output of Taiwan, Japan and the U.S. Three testing methods are employed: the traditional linear Granger causality test, Hiemstra and Jones' [Hiemstra, C., Jones, J.D., 1994. Testing for linear and nonlinear Granger causality in the stock price-volume relation. Journal of Finance 49, 1639–1664] nonlinear Granger causality test and Warne's [Warne, A., 2000. Causality and regime inference in a Markov-S switching VAR, Working Paper no. 118, Sveriges Riksbank, Stockholm.] Granger causality test under the Markov-Switching model. We find that the causal ordering is unclear and depends on the model we used. Because Markov-Switching model imposes few restrictions in estimation, we tend to use its estimated results but bear in mind that the evidence is sensitive. First, the common shock hypothesis is found that most probably exists between Taiwan and the U.S. Next, we conclude that Japan tends to lead Taiwan's output, to a certain extent. Last, there is no causal ordering between the U.S. and Japan economies.     

中国区域经济协调发展中的投资导向研究

总体上以投资促经济增长的发展战略,有可能因忽视区域特点而产生误导.有鉴于此,本文应用省区面板数据,分别从总体和分区域地检验了投资与增长之间的Granger因果关系,并在因果关系的条件下计算了投资对增长的长期影响系数.结果发现,在不同区域投资与增长之间的因果关系呈现出不同的特点,而且投资对增长的影响方向与作用力度迥异.文章最后也尝试着寻求推动区域经济发展的共同因素.本文的理论含义是,总体分析因为忽略了区域特征而产生严重误导;政策建议是,投资应侧重东、中部地区,尤其是中部地区,而西部地区更应注重科技投入和引进外资等发展策略.     

技术标准对产业国际竞争力的影响——基于中国电子信息产业的实证分析

近年来人们逐渐认识到了技术标准的重要性，国内外的研究表明技术标准对经济和产业的发展起到了很大的作用。文章以中国电子信息产业为例，用相关分析和格兰杰检验分析了技术标准对产业国际竞争力的影响，结果显示技术标准与产业国际竞争力高度相关，并且构成了产业国际竞争力的原因．这说明了技术标准是产业国际竞争力重要的影响因素。     

Beyond the purchasing power parity: testing for cointegration and causality between exchange rates, prices, and interest rates

This paper reexamines the causality between the dollar and the yen in a multivariate framework with the aid of cointegration and error-correcting modeling for the 1951–94 period. The Phillips-Perron tests and Johansen's tests are performed. While causality from interest rates to exchange rates is found in the short run, no causality between prices and exchange rates is found in the short run. However, causality is found running from relative prices to exchange rates along with interest rates between the U.S. and Japan in the long run, which supports the long-run PPP hypothesis.     

Intrinsic bubbles and Granger causality in the S&P 500: Evidence from long-term data

Results of research on whether changes in earnings can predict future stock returns are inconclusive. We add to this debate by using long-term data from 1871 to 2004 to examine the predictive power of changes in earnings in periods of intrinsic bubbles and in periods absent intrinsic bubbles. Our results show that accounting for bubbles is important in whether changes in earnings can predict future stock returns. In periods of no bubble, we find that changes in earnings Granger-cause future returns, whereas in periods of bubble, this Granger causality from changes in earnings to future returns cannot be found. We conclude that changes in earnings can predict future stock returns, but only in periods absent bubbles.     

FDI与湖南产业结构关系的实证研究

对湖南的产业结构和三次产业利用FDI的现状进行了分析,利用1983～2006年的统计数据,运用协整分析技术、误差修正模型和Cranger因果关系检验,对FDI与产业结构变动之间的关系进行了实证研究.结果表明,FDI与产业结构变动之间存在正向的协整关系,FDI是产业结构变动的重要原因;在短期FDI偏离了产业结构的长期均衡水平,但短期波动对长期均衡的回调速度较快.进而,就模型得出的结论提出了若干建议.     

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.     

利率对我国股市的影响——基于上证综指和深圳成指的实证研究

从理论和实证两方面研究全国银行间同业拆借利率对上证综指和深圳成指的影响,结果表明,利率对沪深两市的负相关变动趋势影响不够显著,原因在于我国利率还没有完全市场化、股票市场效率不高、股票市场投机氛围大于投资氛围。为促进我国股市的健康发展,政府要推进利率市场化改革,减少对人民币的管制,使人民币汇率真正市场化,央行应适时把市场利率作为我国货币政策中介目标,从而有助于实现货币政策的最终目标。     

Granger因果关系检验应用中的若干问题

分析了实践中应用Granger因果关系检验存在的一些问题,如信息遗漏,变量变换改变因果关系的性质、变量单整性对检验程序的影响以及检验模型的选择等,并提出在线性投影上有初步证据的因果概念。进而,应用单整变量之间Granger因果关系的一般检验程序对1978~2013年我国货币供给量与价格水平、产出之间的Granger因果性重新进行检验。     

外资企业对外贸易与经济增长关系的区域差异分析——基于我国东部和西部地区面板数据的检验

外资企业对外贸易对经济增长的拉动作用已经越来越被理论和实践所证明,但外资企业对外贸易对不同区域经济增长的差异性表现却没有引起足够的重视。本文基于我国东部和西部地区的区域差异,试图从理论与实证的角度就外资企业对外贸易对不同区域的经济影响进行研究,运用面板数据单位根检验、协整检验与误差修正模型,对东部地区和西部地区的外资企业对外贸易与经济增长的长期关系和短期关系进行了比较分析。揭示出由于技术及产业结构等因素,东部地区已经形成外资企业对外贸易对经济增长的良好促进机制,而西部地区尚未形成。在此基础上,本文提出了通过技术提高产业结构升级促进各地区外资企业对外贸易发展和经济增长的相关政策建议。