农产品价格波动中的金融化因素分析——以大豆、食糖为例

基于2007年1月至2016年12月的相关月度数据,以大豆和食糖为例,通过ARDL模型分别从长期和短期对影响国内农产品现货价格的金融化因素进行了系统测算。结果表明,通货膨胀因素、国内期货价格、货币供应量和国际现货价格是影响国内大豆现货价格的主要金融化因素;国内期货价格、通货膨胀因素和国际现货价格是影响国内食糖现货价格的主要金融化因素;汇率和能源价格对二者的影响均不明显。最后,从改善宏观经济环境、规范期货市场发展、健全农产品进口风险防控体系、关注品种间差异等方面提出了应对农产品金融化的对策建议。     

城市化进程与服务业发展的动态关系探讨——基于江苏省域的样本检验

发达国家在现代化进程中,城市化与服务业发展之间存在着较强的对应关系。改革开放以来,我国的城市化进程主要以工业化为主导,服务业的作用尚未显现出来。江苏作为中国经济的先发地区、长三角城市群的主要区域,以往的城市化也主要是工业化推动的。本文以江苏省1990-2010年数据作为区域样本,利用ARDL模型探讨城市化进程与服务业发展的动态关系,表明了江苏的服务业在长期和短期都对城市化有着正向的促进作用,而城市化在长期和短期尚未明显作用于服务业。江苏在以率先基本实现现代化为目标的新一轮城市化进程中,必须加快构建服务经济体系,让城市的转型升级与现代服务业的大发展形成互动,从而走出一条集约发展、精明增长的实践创新路径。     

基于ARDL-ECM的福建港口与经济动态关系实证分析

以1985—2011年福建港口和经济的发展数据作为样本,引入具有小样本稳健性的自回归分布滞后(ARDL)模型,对福建港口和经济的长短期关系进行研究,构建误差修正模型。研究结果表明:无论是从长期和短期来看,福建港口发展和福建经济具有相互促进的关系,并切合福建省的实际给出对策建议。     

Sectoral FDI inflows and domestic investments in Pakistan

In this paper, for the first time, we analyze the relation of sectoral FDI with domestic investment in Pakistan by using ARDL cointegration technique over a period of 1980–2012. Empirical findings show that aggregate FDI crowd in domestic investment, however, the effects of aggregate FDI on domestic investment in Pakistan cannot be generalized. The impact of FDI on domestic investment varies across sectors. The empirical findings in the study at sectoral level suggests that FDI in manufacturing and services sectors crowd in domestic investment while FDI in primary sector assert insignificant impact on domestic investment in Pakistan. Analyzing the reverse causal impact running from domestic investment to FDI, this study confirm that domestic investment is important in attracting FDI across the board in all the three sectors i.e. primary, manufacturing and services sectors. The positive role of FDI in manufacturing and services sectors and supportive role of indigenous investment infrastructure is of utmost importance for FDI to promote domestic investment in Pakistan.     

Does inflation bias stabilize real growth? Evidence from Pakistan

The motive of a typical discretionary central banker to accommodate excess inflation (inflation bias) is either to stabilize real growth or to spur it beyond natural rate. To what extent inflation bias helps to materialize this intention warrants empirical investigation. A more direct empirical probe into this issue, however, requires observable inflation bias indicators, which we model through desirable and threshold inflation rates as well as their respective society’s preferences. While examining the effects of inflation bias for a typical case of the discretionary monetary policy strategy of Pakistan, we found that contrary to the desired boost/stabilization in real growth, the policy (via. inflation bias) produced counterproductive results. Inflation bias was not merely ineffective in inducing real growth but significantly destabilized it. Moreover, the results, which are robust to different inflation bias indicators and subsample analysis, indicate that the higher the inflation bias, the higher is the intensity (magnitude) of its destabilizing effect and vice versa. This suggests that a policy that would minimize/constrain inflation bias would be a better choice as it would not only help achieve low and stable inflation but also a sustainable real economic growth.     

人民币汇率失调对我国进出口行业影响的异质性研究

汇率波动及失调是影响国际贸易的重要因素。文章运用行为均衡汇率（BEER）模型对1994—2018年的人民币汇率失调进行测度；同时，基于国际贸易标准分类（SITC），选取我国同期的10类进出口行业年度数据，运用自回归分布滞后（ARDL）模型与误差修正（ECM）模型研究人民币汇率失调对不同行业进口额与出口额的影响。研究发现：当前人民币实际有效汇率有轻微失调；人民币汇率失调对进出口行业的影响存在异质性，且具有不同的时滞效应；整体上，汇率失调对进口的影响比对出口的影响大，长期汇率失调对进出口的影响比短期汇率失调对进出口的影响大，且二者对进出口影响的方向在不同时段不同行业间并非全部一致。因此，建议构建和完善人民币汇率管理长效机制和应急机制，开发多元化汇率风险对冲工具，以及实施差异化的进出口行业发展策略和企业汇率风险管理策略。     

金融发展、对外贸易与能源消费——基于ARDL模型的实证研究

利用1980-2013年的样本数据,运用自回归分布滞后模型(ARDL)对我国金融发展、对外贸易与能源消费三者间的关系进行实证研究。研究结果表明:金融发展对能源消费具有长期显著的负向效应,能源消费对金融发展的长短期影响显著为负;金融发展对对外贸易的长短期弹性系数是3.1068和0.40871,分别通过1%和10%的显著性检验,对外贸易对金融发展的显著影响只存在于短期关系中;能源消费对对外贸易具有长期显著的促进作用,节能计划的实施,会降低贸易发展水平。基于此,我国应充分发挥金融在经济系统中的作用,在促进对外贸易发展的同时减少能源消费,实现经济社会的可持续发展。     

Public spending on agriculture in Southern Africa: Sectoral and intra-sectoral impact and policy implications

The purpose of this paper is two-fold: firstly, it examines the relationship between public agriculture expenditure and agriculture sector growth, and secondly, it examines the heterogeneous effects of expenditure on agriculture growth depending on which subsectors within agriculture receive the investments. The co-integration analysis results offer insights into a number of issues: (i) it is found that agricultural expenditures are important for agriculture sector growth in Malawi, Eswatini (Swaziland) and Zambia and (ii) that within the agricultural sectors, investing in research and development, subsidies, and in neglected areas (livestock, fisheries) alongside crops can expand the agricultural sector more. Policy makers should increase public spending in agriculture but should also emphasize on improving intra-sectoral allocations, targeting areas that create sectoral growth.     

Adaptive LASSO estimation for ARDL models with GARCH innovations

ABSTRACT

In this paper, we show the validity of the adaptive least absolute shrinkage and selection operator (LASSO) procedure in estimating stationary autoregressive distributed lag(p,q) models with innovations in a broad class of conditionally heteroskedastic models. We show that the adaptive LASSO selects the relevant variables with probability converging to one and that the estimator is oracle efficient, meaning that its distribution converges to the same distribution of the oracle-assisted least squares, i.e., the least square estimator calculated as if we knew the set of relevant variables beforehand. Finally, we show that the LASSO estimator can be used to construct the initial weights. The performance of the method in finite samples is illustrated using Monte Carlo simulation.