Noisy chaotic dynamics in commodity markets

The nonlinear testing and modeling of economic and financial time series has increased substantially in recent years, enabling us to better understand market and price behavior, risk and the formation of expectations. Such tests have also been applied to commodity market behavior, providing evidence of heteroskedasticity, chaos, long memory, cyclicity, etc. The present evaluation of futures price behavior confirms that the resulting price movements can be random, suggesting noisy chaotic behavior. Prices could thus follow a mean process that is dynamic chaotic, coupled with a variance that follows a GARCH process. Our conclusion is that models of this type could be constructed to assist in forecasting prices in the short run but not over long run time periods.First version received: June 2001/Final version received: March 2003     

房产价格持续攀升的原因和价格监督机制的构建

本文对我国近十年来房产价格的总体水平呈现出持续攀升的原因和房产价格监督管理立法的现状进行了全面、深入地分析．指出了我国房产价格监督管理实践存在的问题,提出了通过构楚房产市场竞争机制和房产价格宏观调控机制来完善我国房产价格监督管理机制的构想。     

Wealth and sustainable development: the role of David Pearce

Green net national product was thought to be one way of measuring sustainable income. However, David Pearce understood that a better measure of sustainable development was to look at what a generation is leaving in form of capital assets to later generations. In this article, his arguments and insights are highlighted against recent theoretical advances.     

房价对居民消费的跨空间影响——基于中国278个城市空间面板数据的实证研究

本文首先基于住房财富效应,构建了房价变动对居民消费的跨空间影响的分析框架。该框架阐释了住房财富效应的区域差异:不同地区间房价的空间传导、居民的异地消费以及消费的示范效应,使得本地房价变动可能引起周边地区居民消费的连锁反应。其后,本文利用中国278个地级市2000—2018年数据,通过空间面板杜宾模型,实证考察了不同地区住房财富效应的差异,以及房价变动对居民消费的跨空间影响。结果显示:(1)虽然中国整体上存在住房财富效应,但西部城市财富效应并不显著,并且核心城市还存在负财富效应。(2)不同城市间房价对消费存在跨区影响。东部城市和核心城市对周边城市消费的正向影响很显著,而边缘城市则对周边城市消费有显著的负向影响。(3)不同城市间的消费也具有空间上的示范效应。最后,本文从房价和居民消费空间联动的视角,为政府扩大内需、调控房地产市场提供了相关政策建议。     

Destabilizing role of futures markets on North American hard red spring wheat spot prices

The objective of the paper is to determine if the futures prices of hard red spring wheat (HRSW) have stabilizing or destabilizing impact on spot HRSW price in North America. Several important results emerge from thorough empirical analysis. First, both Granger causality tests and directed acyclic graph algorithms (DAGs) point to two-way causality between futures and spot HRSW prices and thus endogeneity in both prices formation. To the contrary, both procedures suggest that ending stocks are exogenous to spot and futures HRSW prices. Both vector error correction model and impulse response functions point to a large and long-lasting impact of a shock to futures price on spot price level. Finally, variance decomposition analysis indicates that futures prices are responsible for the bulk of spot price volatility in both short and long run. Our result is consistent with those of theoretical models suggesting that when production (supply side) is the dominant disturbance, spot price is destabilized in both the short and the long run by futures prices. An important implication of this research is the need for alternative market mechanisms or alternative farm policy measures that would mitigate price risk and ensure sustainable farming of American HRSW farmers.     

Do housing prices promote total factor productivity? Evidence from spatial panel data models in explaining the mediating role of population density

The issue of what to promote in total factor productivity (TFP) in urban areas has been widely discussed in academia and housing prices and population density are confirmed to be two of the most essential driving factors. However, research into the interaction of housing prices and population density with TFP has been neglected, with no previous studies taking spatial factors into consideration, which may bias the results. From this perspective, using spatial panel data models and employing instrumental variables to solve the endogenous problem, this study examines the impact of housing prices on TFP through the mediating effect of population density for 283 Chinese cities during the period 2000–2013, and confirms that the mediating effect accounts for 18.70 % of the total effect. The results show the positive and significant association of housing prices with TFP and the inverted U-shape of population density. The underlying logic is that housing prices change population density by attracting people with high purchasing power and discouraging those unable to afford housing, whereas increased density helps to promote productivity since the settled inhabitants always have highly developed work skills and are well educated. The influencing mechanism of housing prices on TFP through population density is analyzed, namely the spillover effect. We find that the spillover effect exists in the eastern and central regions, as well as first, second, and third tier cities, while for western regions and fifth tier cities, population mobility and increased in housing prices slows their economic development. There is no evidence of any spillover effect in fourth tier cities. A discussion and suggested policy implications are also provided.     

Information in stock prices: the case of the 2016 U.S. presidential election

On the day before the 2016 U.S. presidential election, the odds of Hillary Clinton winning the presidency, according to political prediction markets, were above 90%. Surprisingly, Donald Trump won the Electoral College handily. In this study, we examine how movements in specific stock prices foreshadowed the eventual outcome. Specifically, we conduct a series of standard event-study tests focused on pharmaceutical companies, which became a focal point during the presidential campaign. Results show that while stocks of pharmaceutical companies significantly underperformed the market prior to the election, prices substantially increased beginning three days before the election outcome. This increase is both statistically significant and economically meaningful and robust to various event-study methodologies. These results suggest that some sectors of the stock market seemed to anticipate the election outcome.     

Quantitative easing and the loan to collateral value ratio

We study optimal monetary policy in a New Keynesian model at the zero bound interest rate where households use cash alongside house equity borrowing to conduct transactions. The amount of borrowing is limited by a collateral constraint. When either the loan to value ratio declines or house prices fall, we observe a decrease in the money multiplier. We argue that the central bank should respond to the fall in the money multiplier and therefore to the reduction in house prices or the loan to collateral value ratio. We also find that optimal monetary policy generates a large and persistent fall in the money multiplier in response to the drop in the loan to collateral value ratio.     

对铁路行包房经营配送业务的探讨

经合现代物流的发展特点，对铁路行包房经营配送业务的可行性进行了分析，提出在铁路行包房建立配送中心经营配送业务，并具体阐明了基本思路和应该注意的问题，对于促进铁路行包运输物流化将起到推动作用。     

Prices and Regional Variation in Welfare

One would expect regional differences in prices to influence conclusions concerning levels and distributions of well-being. Although there is anecdotal evidence of significant price dispersion across regions, there is no governmental source of data that measures differences in price levels. In this paper I integrate estimates of regional prices with expenditure data from the Consumer Expenditure Surveys to assess the influence of price differences on living standards in the United States. While prices have little effect on inequality, estimates of poverty and the standard of living change substantially with the inclusion of regional price variation.