中国股市的Granger因果关系分析

本文分析了香港、上海和深圳股市的相互关系 .借助 Granger因果关系的思想 ,从收益率与波动性两方面研究了三个股市间的相互联系与互动性 .结果表明 :沪深股市收益率与波动性间存在着很强的相关性 ;沪深股市的变化受香港股市等外来因素的影响很小 ;深圳股市对上海股市存在着显著的 Granger因果关系     

格兰杰伪因果关系检验的小样本性质研究

基于MC模拟方法研究了格兰杰伪因果关系的小样本性质,结果表明伪因果关系的发生概率会随着数据过程持久性的增强而增大,但会随着样本容量的增加而减少,且由于检验式的设定使得经Newey-West修正的检验方法并没有明显优势。通过解释变量和被解释变量的持久性对伪因果关系的影响以及与OLS估计的伪回归比较分析,表明随机干扰项的自相关或异方差是产生伪因果关系的主要原因,这为解决伪回归和伪因果关系问题提供了统一研究框架。     

中美玉米期货市场风险溢出效应研究

为研究中美玉米期货市场风险溢出效应的方向和大小,选取2006年1月4日至2017年5月31日大连商品期货交易所和芝加哥商品交易所中的玉米主力连续价格以及央行外汇中间价的日数据为样本数据,并将样本期间分为3个阶段,借助平稳性检验、相关性检验,采用EGARCH-GED模型、VaR模型和格兰杰因果检验来研究两市玉米期货的风险溢出效应。研究发现,中美两国玉米期货市场的风险存在正相关性,且在金融危机期间风险相关性明显增强并存在双向的风险溢出效应;在金融危机之前,美国玉米期货市场对中国玉米期货市场有风险溢出效应。     

陷入“惩戒牢笼”:失信惩戒是否抑制了企业创新?——来自废水国控重点监测企业的证据

失信惩戒对企业污染违规治理已初见成效,然而对企业技术创新的影响却鲜有关注。以京津冀、长三角、珠三角地区的废水国控重点监测企业为研究对象,基于制度基础观理论提出失信惩戒对企业技术创新的"惩戒牢笼"假说,并通过使用地区腐败作为工具变量的截面数据模型的两阶段最小二乘（2SLS）回归发现:（1）失信惩戒与企业创新之间具有显著的负向因果关系,受"惩戒牢笼"所捕获的企业其研发创新活动受到了显著的抑制,惩戒强度越强,企业的技术创新产出越低;（2）国有企业正向调节失信惩戒与企业创新的负向因果关系,且主效应为正,这在于国有企业的"合法性"基因使其具有更强的惩戒免疫力,高压惩戒反而提升了其创新意愿,其研发创新与惩戒强度正相关。稳健性检验证实了研究结论的可靠性。     

Causality in Contemporary American Sociology: An Empirical Assessment and Critique

Using a unique data set of causal usage drawn from research articles published between 2006–2008 in the American Journal of Sociology and American Sociological Review, this article offers an empirical assessment of causality in American sociology. Testing various aspects of what we consider the conventional wisdom on causality in the discipline, we find that (1) “variablistic” or “covering law” models are not the dominant way of making causal claims, (2) research methods affect but do not determine causal usage, and (3) the use of explicit causal language and the concept of “mechanisms” to make causal claims is limited. Instead, we find that metaphors and metaphoric reasoning are fundamental for causal claims‐making in the discipline. On this basis, we define three dominant causal types used in sociology today, which we label the Probabilistic, Initiating and Conditioning types. We theorize this outcome as demonstrating the primary role that cognitive models play in providing inference‐rich metaphors that allow sociologists to map causal relationships on to empirical processes.     

Miscommunicating Risk,Uncertainty, and Causation: Fine Particulate Air Pollution and Mortality Risk as an Example

A recent paper in this journal (Fann et al., 2012) estimated that “about 80,000 premature mortalities would be avoided by lowering PM_2.5 levels to 5 μg/m³ nationwide” and that 2005 levels of PM_2.5 cause about 130,000 premature mortalities per year among people over age 29, with a 95% confidence interval of 51,000 to 200,000 premature mortalities per year.⁽¹⁾ These conclusions depend entirely on misinterpreting statistical coefficients describing the association between PM_2.5 and mortality rates in selected studies and models as if they were known to be valid causal coefficients. But they are not, and both the expert opinions of EPA researchers and analysis of data suggest that a true value of zero for the PM_2.5 mortality causal coefficient is not excluded by available data. Presenting continuous confidence intervals that exclude the discrete possibility of zero misrepresents what is currently known (and not known) about the hypothesized causal relation between changes in PM_2.5 levels and changes in mortality rates, suggesting greater certainty about projected health benefits than is justified.     

论侵权行为法上的因果关系--兼评因果关系两分法

两大法系因果关系两分法在内容上存在差异,英美法系因其结构和内容所要求,有其存在的合理性,而大陆法系其存在的意义则不大.因此,不能简单地套搬因果关系的两分法,在我国,侵权行为法上的因果关系就是事实上的因果关系,至于国外因果关系的认定方法则可采用和借鉴.     

经济增长与产业、就业结构演变的实证研究——基于经济转型期陕西案例的研究

在经济转型期背景下,通过建立VECM模型来研究陕西经济增长与产业、就业结构之间的关系。实证结果表明：陕西产业结构演变带有明显转型期特征,经济增长对产业结构演变几乎不产生影响,在经济转型期,外生的产业结构与市场化改革的冲突是产业结构演变的内在原因;经济转型期产业、就业结构的演变对经济增长分别呈现“负效应”和“正效应”,但影响并不十分明显;从VECM模型的短期动态部分看,产业结构成为就业结构改善的显著障碍,产业结构的所有制性质及重型化特征,限制了劳动力转移对经济增长的作用。     

中国货币政策中介目标选择的实证分析

1996年以来,我国一直采用货币供应量作为货币政策中介目标。不少学者认为货币供应量由于可控性较差而不能作为一种有效的中介目标来作用于最终目标,应该以利率、汇率、通货膨胀率等指标取而代之。为此,本文以1996年第1季度至2006年第4季度数据为基础,结合动态相关系数、VAR法、方差分解、格兰杰因果检验等现代计量方法,探究这一系列指标作为中介目标的有效性。最后本文通过实证分析得出结论,认为我国现阶段仍应以货币供应量作为货币政策中介目标。     

Between dollarization and exchange rate volatility: Nigeria's portfolio diversification option

This paper investigates the relationship between nominal exchange rate volatility and dollarization in Nigeria by applying Granger causality test for the period 1986 (1)–2003 (4). Previous theoretical and empirical studies on this issue provided conflicting results. The empirical results of Granger causality test support a bi-directional relationship. However, causality from dollarization to exchange rate volatility appears stronger and dominates. This suggests that policies that aim to reduce exchange rate volatility in Nigeria must include measures that specifically address the issue of dollarization. An important factor in this case is the supply of sufficient domestic currency assets that would permit portfolio diversification and capable of dousing negative expectations about future inflation in the country.