Are imports and remittances cointegrated for the Central and Eastern European countries?

In this article, we investigate the existence of long-run common trends between imports and remittances in 11 Central and Eastern European countries which are part of the European Union. Using the Engle–Granger two-step procedure, we determine that for all countries in our sample there are no long-run common trends (no cointegration) between imports and remittances. However, the results are mixed when running a Granger causality test. For nine countries, we can establish either a bidirectional or unidirectional Granger causality, indicating that past values of one variable have predictive content on the other variable. In two countries, there is no Granger causality between imports and remittances.     

COVID-19, stock market and sectoral contagion in US: a time-frequency analysis

We assess the conditional relationship in the time-frequency domain between the return on S&P 500 and confirmed cases and deaths by COVID-19 in Hubei, China, countries with record deaths and the world, for the period from January 29 to June 30, 2020. Methodologically, we follow Aguiar-Conraria et al. (2018), by using partial coherencies, phase-difference diagrams, and gains. We also perform a parametric test for Granger-causality in quantiles developed by Troster (2018). We find that short-term cycles of deaths in Italy in the first days of March, and soon afterwards, cycles of deaths in the world are able to lead out-of-phase US stock market. We find that low frequency cycles of the US market index in the first half of April are useful to anticipate in an anti-phasic way the cycles of deaths in the US. We also explore sectoral contagion, based on dissimilarities, Granger causality and partial coherencies between S&P sector indices. Our findings, such as the strategic role of the energy sector, which first reacted to the pandemic, or the evidence about predictability of the Telecom cycles, are useful to tell the history of the pass-through of this recent health crises across the sectors of the US economy.     

The Small Business Capital Market Behavior in Athens Stock Exchange

Financing small and medium enterprises (SMEs), especially business investments and growth, is a composite and particular complicated affair in the Greek entrepreneurial reality. This paper examines the significance of secondary capital markets, as an alternative source of financing small-medium enterprises’ new entrepreneurial plans. Cointegration technique is applied to test the relationship between the secondary capital market and the dominant sectors in Athens Stock Exchange (ASE). Causality tests are also used to provide evidence on the existence of interdependence between the cointegrated series. The results indicate that there is significant uni-directional causality between primary and secondary capital market in Greece, enhancing us to suggest valuable policy implications.      

The Structural Relation Between Mortgage and Market Interest Rates

This paper analyzes the dynamic relationship between primary and secondary mortgage markets and the short-term and long-term market interest rates. Using a series of monthly data on fixed rate mortgage rates and GNMA rates, we explore the dependence and speed of adjustment in these primary and secondary mortgage rates to each other as well as to the long and short-term government rates. The results indicate that residential mortgage rates in general, appear to follow the long-term rate and are not very sensitive to movements in the short-term interest rate.     

中国和新加坡产业内贸易与规模经济关系的协整分析

中国和新加坡产业内贸易与规模经济存在着一种长期的均衡关系,新加坡生产企业的规模经济对产业内贸易的推动作用大于中国,中国和新加坡生产企业的规模经济与产业内贸易存在单向因果关系,即规模经济促进产业内贸易.     

我国股票市场的混沌探析

运用混沌理论对我国股票市场进行了实证研究 ,结果显示我国股票市场是一个低自由度的混沌系统 ,具有自相似的非线性结构 ,并且这种非线性结构可以用 GARCH( 1 ,1 )模型来拟合。     

论企业的非线性性质

企业作为一个系统,其关键特征是系统的非线性。我们以Adam Smith的大头针工厂作为简单的示例,从个体的生产函数推导出一个非简单加总的总体生产函数,从知识的角度不失一般性地解释了企业非线性性质的来源,并对已有的关于企业性质的论述做了简单的评论。     

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     

金融发展和经济增长: 来自中国的实证检验

利用时间序列框架内的格兰杰因果分析、协整技术和向量误差修正模型,本文评价1978-2005年间金融发展与经济增长间的数量联系.实证分析发现,控制政府支出和贸易开放度后,金融体系资金运用和金融深度都是经济增长的格兰杰原因,且都与经济增长正相关.而且,基于自回归分布滞后边界检验和向量误差修正模型,本文也实证检验中国股票市场发展与经济增长关系:分别控制政府支出和贸易开放度后,金融市场总融资额是经济增长的原因,而经济增长是股票市场周转率的格兰杰原因.文章最后给出实证结论和简短的政策建议.     

市场化与经济增长:一个短期的因果关系检验

利用我国1999-2002年省际区域的面板数据,运用面板数据Granger因果关系检验技术,对我国市场化水平与经济增长的关联度进行了实证分析.得出市场化是经济增长的Granger原因,但是经济增长不是市场化的Granger原因的结论.