Fiscal shocks and budget balance persistence in the EU countries from Central and Eastern Europe

This article analyses the time series properties of the fiscal balance in the 10 EU countries from Central and Eastern Europe. The persistence of the fiscal balance is analysed by means of unit root tests that account for possible nonlinearities and structural changes. The linear and nonlinear unit root tests find only mild evidence in favour of the stationarity hypothesis, with asymmetric effects present in a few cases. After controlling for structural changes in the Data Generation Processes (DGPs), the results point to stationarity of the series. Thus, in spite of relatively steady headline figures, the budget balance processes in the EU countries from Central and Eastern Europe exhibit substantial instability.     

Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks

There is a sizeable literature that tests for weak-form efficiency in commodity and energy spot and future prices. While many studies now allow for multiple structural breaks to address the criticism that conventional unit root tests have low power to reject the unit root null in the presence of structural change, the extant literature overlooks the fact that conventional unit root tests are biased in the presence of conditional heteroscedasticity. We apply a recently developed generalized autoregressive conditional heteroscedasticity (GARCH) unit root test with multiple structural breaks to crude palm oil spot and future prices and find much more evidence against weak-form efficiency than that found using tests that fail to allow for conditional heteroscedasticity. Our results point to the importance of allowing for heteroscedasticity when testing for efficiency in commodity and energy spot and future prices.     

An empirical test of purchasing power parity in selected developing countries: a panel data approach

Abstract

This paper examines the empirical validity of Purchasing Power Parity (PPP) for certain large developing economies by using a panel unit root methodology. The test results show that a long run real exchange rate depreciation trend exists in certain developing countries. Without considering this depreciation trend, it is hard to verify the stationarity and to explain the existence of the extremely long half-lives of the real exchange rates. When a linear time trend is included in the tests, the results tend to support the stationarity of the underlying real exchange rate processes, and the half-lives are significantly shorter and their range can be explained by transitory disturbances.     

Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets

This paper seeks empirical evidence of nonlinear mean-reversion in relative national stock price indices for Emerging Asian countries. It is well known that conventional linear unit root tests suffer from low power against the stationary nonlinear alternative. Implementing the nonlinear unit root tests proposed by Kapetanios et al. (2003 Kapetanios, G., Shin, Y. and Snell, A. 2003. Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112: 359–379. [Crossref], [Web of Science ®] , [Google Scholar]) and Cerrato et al. (2009 Cerrato, M., de Peretti, C., Larsson, R. and Sarantis, N. 2009. “A nonlinear panel unit root test under cross section dependence”. Working Papers 28, Department of Economics, University of Glasgow [Google Scholar]) for the relative stock prices of Emerging Asian markets, we find strong evidence of nonlinear mean reversion, whereas linear tests fail to reject the unit root null for most cases. We also report some evidence that stock markets in China and Taiwan are highly localized.     

Assessing economic convergence in the EU: is there a perspective for the ‘cohesion countries’?

This article analyses the stochastic income convergence within the EU-15. The empirical analysis uses per capita GDP, in PPP and in constant prices of 2005 for the period 1950 to 2010. Apart from the traditional DF type tests we also account for possible structural changes. In this direction, we employ the Zivot-Andrews (1992) and the Lee-Strazicich (1999, 2003) testing procedures, for one and two breaks, endogenously determined. Furthermore, we apply the Carlino and Mills (1993) methodology proposed for the detection of β-convergence. The overall evidence supports the existence of two discrete clubs, the first by the ‘cohesion countries’ (Portugal, Ireland, Greece and Spain) and the second by the remaining members. In particular, there is a clear evidence of convergence within each club, whereas between clubs there is a luck of catching-up effects. Furthermore, investigation of correlation between relative per capita GDP of each country and several factors that are often identified as growth stimulants, namely Total Factor Productivity, FDI, investment and openness confirm, with the exception of Greece, a strong association between these factors and the convergence process. However, progress in the convergence has not been uniform across countries and over time, reflecting the specific interactions between domestic and international factors and their impact on the convergence process of individual countries.     

Structural changes and regional disparity in China's inflation: a revisit

The study re-examined the time series properties and regional disparities in Chinese inflation by extending the work of Chong, Zhang, and Feng (2011 Chong, Tai-Leeung, Terence, Ning Zhang and Feng, Qu. 2011. Structural Changes and Regional Disparity in China's Inflation. Economics Bulletien, 31(1): 572–583.  [Google Scholar]). For this purpose we employed the Lagrange Multiplier (LM) unit root test with one structural break and two structural breaks suggested by Lee and Strazicich (2003 Lee, Junsoo, Mark, C. and Strazicich. 2003. Minimum LM Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85(4): 1082–1089. [Crossref], [Web of Science ®] , [Google Scholar], 2004 Lee, J. and Strazicich, M. 2004. Minimum LM unit root test with one structural break. Working Paper 04–17, Boone, North Carolina: Department of Economics, Appalachian State University.  [Google Scholar]) and a recently developed ADF type unit root test with two structural breaks of Narayan and Popp (2010 Narayan, Paresh Kumar and Stephan Popp. 2010. A New Unit root test with Two Structural Breaks in Level and Slope at Unknown Time. Journal of Applied Statistics, 37(9): 1425–1438. [Taylor & Francis Online], [Web of Science ®] , [Google Scholar]). We found that national, urban and rural series of the overall inflation series, clothing, and food, national series of education and residence and the rural series of residence and education are stationary. We also found regional disparity in Chinese inflation, but the disparities existed only in education inflation series.     

我国农用化肥施用的影响因素——基于省际面板数据的实证分析

我国农用化肥施用量不断提高带来的环境污染问题日益严重。研究化肥施用的影响因素及其影响程度,为防止化肥滥施、保护生态环境提供依据意义重大。文章采用1999～2008年我国31个省(市、区)的面板数据,通过面板单位根检验、协整关系检验和多元回归方法分别对国内东、中、西三大区域化肥施用密度与其影响因素之间的关系进行了实证分析。研究结果表明,三大区域农民人均纯收入、人口规模对化肥施用密度具有显著的正向影响,三大区域化肥价格增长率、粮食种植面积比重、化肥产出效率对化肥施用密度具有显著的负向影响,三大区域种植产品生产价格、种植业劳动力数量、农产品国际贸易对化肥施用密度具有不同的影响效果或显著性。     

The multiple unit auction with variable supply

Summary. The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply as a function of the bidding. In this paper I address this shortcoming by analyzing a multi-unit auction game between a monopolistic seller who can produce arbitrary quantities at constant unit cost, and oligopolistic bidders. I establish the existence of a subgame-perfect equilibrium for price discriminating and for uniform price auctions. I also show that bidders have an incentive to misreport their true demand in both auction formats, but they do that in different ways and for different reasons. Furthermore, both auction formats are inefficient, but there is no unambiguous ordering among them. Finally, the more competitive the bidders are, the more likely the seller is to prefer uniform pricing over price discrimination, yet increased competition among bidders may or may not enhance efficiency. Received: June 18, 1998; revised version: January 13, 1999     

Performance of periodic time series models in forecasting

The paper provides a comparison of alternative univariate time series models that are advocated for the analysis of seasonal data. Consumption and income series from (West-) Germany, United Kingdom, Japan and Sweden are investigated. The performance of competing models in forecasting is used to assess the adequacy of a specific model. To account for nonstationarity first and annual differences of the series are investigated. In addition, time series models assuming periodic integration are evaluated. To describe the stationary dynamics (standard) time invariant parametrizations are compared with periodic time series models conditioning the data generating process on the season. Periodic models improve the in-sample fit considerably but in most cases under study this model class involves a loss in ex-ante forecasting relative to nonperiodic models. Inference on unit-roots indicates that the nonstationary characteristics of consumption and income data may differ. For German and Swedish data forecasting exercises yield a unique recommendation of unit roots in consumption and income data which is an important (initial) result for multivariate analysis. Time series models assuming periodic integration are parsimonious to specify but often involve correlated one-step-ahead forecast errors. First version received: April 1996/final version received: January 1998     

交易者结构与市场行情:来自深圳股票市场的经验证据

证券市场微观结构理论的核心问题是证券价格的形成与决定,众多学者从不同角度探讨证券市场价格的影响因素,其中投资者结构是影响证券价格的一大重要因素.为了探讨影响中国证券市场价格的微观因素,本文使用各种类型投资者数量作为衡量投资者结构的指标,运用协整检验和Granger因果关系检验方法研究深圳股票市场中交易者结构与市场行情间的内在关系.实证结果表明,在深圳股票市场中,市场价格与个人交易者总数之间存在长期稳定的协整关系,个人交易者总数的变化与市场价格变化间存在着显著的单向因果关系,即交易者总数的变化可以通过市场价格的变化来解释.而市场价格与机构交易者总数之间既不存在长期稳定的协整关系,也不存在单向或双向的因果引致关系.