Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity

Abstract

This paper studies the efficient estimation of seemingly unrelated linear models with integrated regressors and stationary errors. We consider two cases. The first one has no common regressor among the equations. In this case, we show that by adding leads and lags of the first differences of the regressors and estimating this augmented dynamic regression model by generalized least squares using the long-run covariance matrix, we obtain an efficient estimator of the cointegrating vector that has a limiting mixed normal distribution. In the second case we consider, there is a common regressor to all equations, and we discuss efficient minimum distance estimation in this context. Simulation results suggests that our new estimator compares favorably with others already proposed in the literature. We apply these new estimators to the testing of the proportionality and symmetry conditions implied by purchasing power parity (PPP) among the G-7 countries. The tests based on the efficient estimates easily reject the joint hypotheses of proportionality and symmetry for all countries with either the United States or Germany as numeraire. Based on individual tests, our results suggest that Canada and Germany are the most likely countries for which the proportionality condition holds, and that Italy and Japan for the symmetry condition relative to the United States.     

人民币与新台币汇兑定价机制研究

随着海峡两岸"三通"的正式启动以及两岸金融监管谅解备忘录(MOU)的生效,两岸的经贸交流日趋紧密,因此人民币与新台币之间尽快实现双向直接兑换就显得更加迫切。本文采用直接定价和间接定价两种方法对人民币与新台币的汇率做出定价,直接定价法是根据购买力平价理论和货币模型,通过多元线性回归得到两地汇率与我国大陆和台湾地区产出水平、货币供应量和利率的关系。而间接定价法是根据利率平价理论,通过对人民币兑美元的NDF汇率、远期汇率和即期汇率以及新台币兑美元的NDF汇率和即期汇率分别做单位根检验,协整检验和格兰杰因果关系检验后,发现人民币与新台币各自的汇率之间存在显著的相关关系,因此我们利用NDF汇率替代利率平价公式中的远期汇率,计算出人民币与新台币的即期汇率,通过比较发现:间接定价法更适合于人民币与新台币汇率的决定。     

中国出生性别比升高的孩次性别递进过程分析

应用孩次性别递进分析方法,使用1990年和2000年全国人口普查原始抽样数据和2005年1%人口抽样调查原始抽样数据,对我国出生性别比变化情况进行分析,并就1990年以来出生性别比升高的内在机制进行深入探讨。研究发现,从20世纪80年代初开始已经显示了生育性别干预的特征,2000年以来纯女户生育性别比升高到190以上,纯男户生育性别比下降到90以下。2005年纯女户的偏男倾向依然非常明显,生育第一孩的性别比也表现出明显的人为干预现象。正是由于对生育第一孩的性别比的直接干预,才促使了出生性别比持续升高和高孩次生育性别比及高孩次生育率的下降。     

沉沦—奋起—伟大复兴——跨世纪中国经济社会发展的思考

论文首先勾划了中国近代沉沦→奋起→伟大复兴的历史轮廓 ,进一步对“中国经济什么时候能赶上美国”问题作了专题分析。英美一些研究者按汇率比较法测算 ,认为经过 37年 ,中国GDP将赶上美国 ,这是不科学的。作者假设今后美国经济年均增长率为 3 % ,中国经济年均增长率分别比美国快 6 %、 5 %、 4%、 3 %、2 % ,人民币汇率略有贬值的情况下 ,对中国GDP赶上美国的“可能历史空间”进行测算 ,认为如果搞得好 ,在2 1世纪下半叶的某个时间 ,中国的GDP可能赶上美国 ;否则 ,这个历史过程还可能更长。作者还对中国GDP赶上美国后 ,经济与社会协调发展的一些问题作了简要分析。     

Phillips-Perron-type unit root tests in the nonlinear ESTAR framework

Summary In this paper, we propose Phillips-Perron type, semi-parametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence shows that the tests perform better than the standard Phillips-Perron or Dickey-Fuller tests in the region of the null. We would like to thank conference participants of the Pfingsttagung 2005 in Münster for their helpful comments.     

汇率均值回复的非线性STAR模型

多数研究表明，由于交易成本的存在，汇率偏离均值回复呈现非线性特征。基于非线性时间序列STAR模型对人民币、港币、日元以及英镑四种汇率进行建模，发现四种汇率均呈现均值回复，并且通过检验发现，除人民币外其他三种货币汇率服从对称制度的ESTAR模型，因此有管理的浮动制人民币汇率的动态行为的确有别于浮动汇率，并对人民币浮动制改革有一定的参考作用。     

人民币汇率风险溢价波动的状态转换研究

基于马尔科夫状态转换方法的自回归条件方差模型,对人民币汇率风险溢价在2002年1 月至2010年10月间的波动行为进行研究后发现,偏离非抛补利率平价的人民币兑美元汇率风险溢价波 动存在明显的状态转换行为。在全球金融危机期间的2007年9月至2008年8月以及2010年7 - 10月, 汇率风险溢价处于高波动状态,其余时间段处于低波动状态。进一步比较宏观经济变量在高、低两种波 动状态下的波动性后发现,汇率、利率、物价水平等货币性因素的波动性在两种状态下存在显著差异,而 生产和消费等非货币因素的波动性并不存在显著差异,而且资本管制和汇率稳定政策能够降低人民币汇 率风险溢价的波动性。     

An investigation of the unexpectedly high fertility of secular,native-born Jews in Israel

Secular, native-born Jews in Israel enjoy the socio-economic status of many affluent populations living in other democratic countries, but have above-replacement period and cohort fertility. This study revealed a constellation of interrelated factors which together characterize the socio-economic, cultural, and political environment of this fertility behaviour and set it apart from that of other advanced societies. The factors are: a combination of state and family support for childbearing; a dual emphasis on the social importance of women's employment and fertility; policies that support working mothers within a conservative welfare regime; a family system in which parents provide significant financial and caregiving aid to their adult children; relatively egalitarian gender-role attitudes and household behaviour; the continuing importance of familist ideology and of marriage as a social institution; the role of Jewish nationalism and collective behaviour in a religious society characterized by ethno-national conflict; and a discourse which defines women as the biological reproducers of the nation.

Supplementary material for this article is available at: http://dx.doi.org/10.1080/00324728.2016.1195913     

Fertility trajectories and later-life depression among parents in England

We examine pathways between indicators of fertility tempo/quantum and depressive symptoms among parents aged 55+ with at least two children, using three waves of the English Longitudinal Study of Ageing. Using standard regression approaches and path analysis within the structural equation framework, we also investigate whether fertility trajectories mediated the association between childhood disadvantage and later-life depression. Results provide limited support for direct influences of fertility trajectories on depression, but indicate indirect linkages for both women and men. Associations are mediated by partnership history, social support, wealth, later-life smoking, and functional limitation. Associations between childhood disadvantage and later-life depression are partially mediated by fertility stressors. Results confirm the influence of life course experiences on depression at older ages and demonstrate the interlinked role of family and other life course pathways on later-life well-being.