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Asymmetric Price Transmission and structural breaks in the Relationship between Costa Rican Markets of Livestock Cattle, Beef and Milk

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Journal of Agricultural Science and Technology 2010年第5期4卷 37-50页

作者： K. Hernandez-Villafuerte Department of Agricultural Economics and Rural Development Georg-August-Universittat Gottingen Gottingen 37073 Germany

The vertical price transmission is generally considered as the relationship between two markets of the same production chain However, we can expand this concept to another relation which has not been deeply investigated： the joint products. They are the products which are produced in a single production process, but not correspond to the same chain. An especial case is the beef and milk markets in Costa Rica. Even if these products usually correspond to disconnect chains, in Costa Rica farms make use of cattle to produce both meat and milk. The cointegration framework is applied in order to indentify the price transmission among these markets. In addition, the asymmetric behavior and structural breaks are taken into account. Price transmission between each market pair was found. First, the cattle prices adjust in the milk-cattle relationship, second, beef meat prices adjust in the cattle-beef meat and in the milk - beef meat relationship. Finally, the equations allowing for structural breaks affect the estimates in the following three ways： after the break the elasticities became higher than 1, there is more evidence of cointegration, and the adjustment coefficients are significant only when a change in the long run is allowed.

关键词： Vertical price transmission asymmetric prices transmission structural break livestock beef milk Costa Rica.

Business Cycle Asymmetry in China:Evidence from Friedman's Plucking Model

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China & World Economy 2010年第4期18卷 103-120页

作者： Tingguo Zheng Yujuan Teng Tao Song Assistant Professor The Wang Yanan Institute for Studies in Economics Xiamen University Fujian China Masters student The Wang Yanan Institute for Studies in Economics Xiamen University Xiamcn China Assistant Professor Institute of Economics Xiamen University Fujian China

Friedman＇s plucking model of business fluctuations suggests that output cannot exceed an upper limit, but it is occasionally ＂plucked＂ downward below trends as a result of economic recessions. This paper investigates China＇s business fluetuations using quarterly real GDP data for the period 1978 2009. Our results show some evidence supporting Friedman＇s plucking model. We find that a ceiling effect of real output exists, and that negative asymmetric shocks significantly affect the transitory component, which captures the plucking downward behavior during the recession. The results also suggest that the basic asymmetric unobserved component model is not appropriate for directly modeling China＇s real output because the business＂ cycle is inaccurately measured, but it works quite well when considering a structural break in the second quarter of 1992. The results reveal that although China＇s economy strengthened in the second quarter of 2009, it is essential for China＇s government to take further positive and effective measures to maintain sustainable development of the economy.

关键词： asymmetry business cycle plucking model regime-switching structural break

Savings,investment,and growth in Nepal:an empirical analysis

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Financial Innovation 2019年第1期5卷 679-691页

作者： Aadersh Joshi Sumit Pradhan Jagadish Prasad Bist Global College International affiliated to Midwestern University KathmanduNepal Uniglobe College affiliated to Pokhara University KathmanduNepal The British College affiliated to University of the West of England BristolUKKathmanduNepal

This study analyzes the relationship between savings,investment,and economic growth in Nepal over 1975–*** structural breaks in the variables have been accounted for using the(Zivot and Andrews’s,J Bus Econ Stat 10:251–2701992)unit root test along with(Gregory and Hansen’s,Oxf Bull Econ Stat 58:555–560,1996)cointegration *** ARDL approach to cointegration in the presence of structural breaks has also been utilized to analyze the long-and short-run dynamics of savings,investment,and growth in *** results show structural breaks in the real GDP per capita during 2001 when the Royal Massacre and a state of emergency have taken place in *** allowing for this structural break,evidence of a cointegration relationship amongst savings,investment,and economic growth was *** estimates of the ARDL approach suggest that investment has a significant and positive impact on economic ***,gross domestic savings have a negative impact on growth in the long *** results clearly show weaknesses of the economy in mobilizing savings into productive sectors.

关键词： Savings Investment Economic Growth structural break ARDL Model

Reinvestigating the Oil Price-Stock Market Nexus： Evidence from Chinese Industry Stock Returns

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China & World Economy 2018年第3期26卷 43-62页

作者： Sheng Fang Xinsheng Lu Paul G. Egan School of Economics and Management Tongji University China Business School University of Jinan China School of Economics and Finance University of St. Andrews UK

The present study investigates the influence of international oil prices on China＇s stock market returns across 29 different industries. The paper attempts to account for any structural breaks and nonlinearity in this relationship. The results reveal that the effect of changes in the international price of oil on stock returns differs substantially across industries. The stock returns of the coal chemical mining and oil industries are found to be positively affected by crude oil price movements. Conversely, electronics, food manufacturing, general equipment, pharmaceuticals, retail rubber and vehicle industries are found to be negatively affected by movements in the price of crude oil. The results of the estimations also suggest that the majority of Chinese industries have been significantly affected by oil prices since 2004. The influence of international oil prices on Chinese stocks also has a stronger effect in the presence of high volatility but the effect varies across industries.

关键词： China's stock market international oil prices regime switching structural break

Determinants of Private Sector Indebtedness in Greece： The Role of Deregulation

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Journal of Modern Accounting and Auditing 2011年第1期7卷 76-85页

作者： Demosthenes Georgopoulos Theodore Papadogonas George Sfakianakis Ministry of Economy Competitiveness and Shipping Greece Technological Educational Institute of Chalkis Greece Ministry of Finance and Technological Educational Institute of Chalkis Greece

In this paper we examine private debt developments in Greece from 1970 onwards. We find private debt nearly stationary for about 20 years （starting from extremely low values） and expanding thereafter in nearly explosive terms. By disaggregating the time series of private debt, we pinpoint household debt （consumer, credit cards and mortgages） as the reason for this exponential increase. When considering demand and supply curves for household debt, shifts of the curves are to be interpreted： explanations from the demand side include, among others, expectations of future incomes. Regarding the supply side, the availability of loans （partly attributable to increased bank competition） and overall bank deregulation are proposed. Financial deregulation permitted banks to move promptly and offer to ambitious （but not necessarily solvent） customers a wide spectrum of choices： mortgages, credit cards, consumer loans and so on. Every single step in the process of financial deregulation was accompanied by a higher level of household indebtedness. Moving up from the household level to the macroeconomic level, increased debt had been also a solution to stalling effective demand, possibly due to the redistribution of income. Empirical analysis and causality tests are conducted along these lines and we find a two way causal relationship between GDP growth and private debt.

关键词： private debt household debt. deregulation structural break

Bootstrap Inference for Multiple Change-points in Time Series

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Bootstrap Inference for Multiple Change-points in Time Serie...

第十届海峡两岸统计与概率研讨会

作者： Chun Yip Yau The Chinese University of Hong kong

In this paper we propose two bootstrap procedures, namely parametric and block bootstrap, to approximate the asymptotic distribution of change-point estimator for piecewise stationary time series. The bootstrap procedures are then used to develop a generalized likelihood ratio scan method(GLRSM) for multiple change-points inference in piecewise stationary time series, which estimates the number and positions of change-points and provides confidence interval for each change-point. The computational complexity of using GLRSM for multiple change-points detection is as low as O(n(\log n)^3) for a series of length n. Extensive simulation studies are provided to demonstrate the effectiveness of the proposed methodology under different scenarios. Applications to financial time series are also illustrated. Research supported in part by HKSAR-RGC Grants.

关键词： Confidence interval Likelihood ratio Piecewise stationary time series models Scan statistics structural break

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中国的入境旅游客源市场收敛吗？

区域经济周期协同性及其与国家经济周期的关系研究

旅游管理 2018年第10期 28-39页

作者：罗浩张瑜璇

基于Narayan在2006年提出的入境旅游客源市场收敛假说，首次对中国的收敛性进行检验。文章选取中国2006年至2015年来自16个主要客源国的月度时间序列数据，首先，在考虑含有结构变动的情形下，进行面板和单变量单位根检验来分析中国客... 详细信息

基于Narayan在2006年提出的入境旅游客源市场收敛假说，首次对中国的收敛性进行检验。文章选取中国2006年至2015年来自16个主要客源国的月度时间序列数据，首先，在考虑含有结构变动的情形下，进行面板和单变量单位根检验来分析中国客源市场总体层面和个体层面的收敛情况；接着，进一步通过Johansen协整检验，验证单位根检验结果；最后，分别按地理和经济因素划分俱乐部，检验俱乐部内部的收敛情况。实证研究结果表明，中国的入境旅游客源市场既不满足总体收敛，也不满足俱乐部收敛，表明我国的入境客源市场多样性较差，且存在一部分主要客源市场的潜力尚未被完全开发。而市场营销方面，中国的客源市场不适合无差异营销和俱乐部营销。这一研究结果对中国入境旅游市场的开发和营销具有一定的政策指导意义。

关键词：客源市场收敛假说随机收敛时间序列结构变动俱乐部收敛 tourism markets convergence hypothesis stochastic convergence time series structural break club convergence

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