Objective To empirically analyze the relationship between Government R&D funding and R&D investment of the enterprises in different sub industries of pharmaceutical industry,and to provide reference for the de...Objective To empirically analyze the relationship between Government R&D funding and R&D investment of the enterprises in different sub industries of pharmaceutical industry,and to provide reference for the development of policies related to R&D funding input.Methods Granger causality test was performed using the data of relevant indicators in different sub industries of China’s pharmaceutical industry from 1995 to 2019 based on the theory of covariance.Results and Conclusion The funding of R&D from the government had a significant positive effect on their R&D funding inputs to enterprises with chemo products,Chinese patent products,and biological products.It means the improvement of government funding was beneficial in promoting the R&D investment from various sub industries of pharmaceutical industry.The order of this influence was biological products,chemo products,and Chinese patent drugs.As to chemical drugs and biological products,the government’s R&D funding and enterprises R&D funding input showed a good trend of mutual promotion in a certain lag period.The government can fully leverage its funding to promote the investment of all sub industries of pharmaceutical industry.Meanwhile,regulatory mechanisms should be refined for government funding.For the inheritance,innovation,and development of traditional Chinese medicine,the government should give more policy support than financial support.展开更多
This study analyzed the impact of land-based contaminants and tertiary industrial structure on economic development in the selected Bohai Bay area,China.Based on panel data spanning 2011-2020,a vector autoregressive(V...This study analyzed the impact of land-based contaminants and tertiary industrial structure on economic development in the selected Bohai Bay area,China.Based on panel data spanning 2011-2020,a vector autoregressive(VAR)model is used to analyze and forecast the short-run and long-run relationships between three industrial structures,pollutant discharge,and economic development.The results showed that the environmental index had a long-term cointegration relationship with the industrial structure economic index.Per capital chemical oxygen demand(PCOD)and per capita ammonia nitrogen(PNH_(3)N)had a positive impact on delta per capita GDP(dPGDP),while per capita solid waste(PSW),the secondary industry rate(SIR)and delta tertiary industry(dTIR)had a negative impact on dPGDP.The VAR model under this coupling system had stability and credibility.The impulse response results showed that the short-term effect of the coupling system on dPGDP was basically consistent with the Granger causality test results.In addition,variance decomposition was used in this study to predict the long-term impact of the coupling system in the next ten periods(i.e.,ten years).It was found that dTIR had a great impact on dPGDP,with a contribution rate as high as 74.35%in the tenth period,followed by the contribution rate of PCOD up to 3.94%,while the long-term contribution rates of PSW,SIR and PNH3N were all less than 1%.The results show that the government should support the development of the tertiary industry to maintain the vitality of economic development and prevent environmental deterioration.展开更多
We propose a high-frequency rebalancing algorithm(HFRA)and compare its performance with periodic rebalancing(PR)and threshold rebalancing(TR)strategies.PR refers to the process of adjusting the relative weight of asse...We propose a high-frequency rebalancing algorithm(HFRA)and compare its performance with periodic rebalancing(PR)and threshold rebalancing(TR)strategies.PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals,whereas TR is a process of setting allocation limits for portfolios and rebalancing when portfolios exceed a specific percentage of deviation from the target allocation.The HFRA is constructed as an integration of pairs trading and a threshold-based rebalancing strategy,and the profitability of the HFRA is examined to determine the optimal portfolio size.The HFRA is applied to a dataset of real price series from cryptocurrency exchange markets across various trends and volatility regimes.Using cointegrated price data,it is shown that increasing the number of assets in a portfolio supports the profitability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility environment.For low-volatility regimes,although increasing portfolio size marginally enhances the HFRA’s profitability,the profits of portfolios of varied sizes do not significantly differ.It is demonstrated that when volatility is relatively high and the trend is upward,the HFRA can yield a substantial return via portfolios of large sizes.Moreover,the profitability of the HFRA is compared with that of the PR and TR strategies for long-term application.The HFRA is more profitable than the PR and TR strategies.This achievement of the HFRA is also validated statistically using the Fisher–Pitman permutation test.展开更多
In order to investigate the existence of a stable long-run equilibrium relationship between economic growth and consumption in China, the relationship between the gross domestic product （GDP） and consumption in Chin...In order to investigate the existence of a stable long-run equilibrium relationship between economic growth and consumption in China, the relationship between the gross domestic product （GDP） and consumption in China was investigated by the cointegration analysis method. Using the Engle-Granger （EG） test and considering the possibility of structural changes, the impact of external economic shocks on the long-run equilibrium relationship between economic growth and consumption in China was analyzed. Analysis results show that without considering structural changes, the EG test cannot detect cointegration in the series subjected to structural changes; in considering structural changes, cointegration is successfully detected by specifying the dummy variable. In addition, the error correction models were constructed in different periods. This study verifies the existence of a long-run equilibrium relationship between economic growth and consumption in China, and this relationship has significantly changed in 1989 and 1997, respectively.展开更多
Elucidating the complex mechanism between urbanization, economic growth, car- bon dioxide emissions is fundamental necessary to inform effective strategies on energy saving and emission reduction in China. Based on a ...Elucidating the complex mechanism between urbanization, economic growth, car- bon dioxide emissions is fundamental necessary to inform effective strategies on energy saving and emission reduction in China. Based on a balanced panel data of 31 provinces in China over the period 1997-2010, this study empirically examines the relationships among urbanization, economic growth and carbon dioxide （CO2） emissions at the national and re- gional levels using panel cointegration and vector error correction model and Granger cau- sality tests. Results showed that urbanization, economic growth and CO2 emissions are inte- grated of order one. Urbanization contributes to economic growth, both of which increase CO2 emissions in China and its eastern, central and western regions. The impact of urbanization on CO2 emissions in the western region was larger than that in the eastern and central re- gions. But economic growth had a larger impact on CO2 emissions in the eastern region than that in the central and western regions. Panel causality analysis revealed a bidirectional long-run causal relationship among urbanization, economic growth and CO2 emissions, in- dicating that in the long run, urbanization does have a causal effect on economic growth in China, both of which have causal effect on CO2 emissions. At the regional level, we also found a bidirectional long-run causality between land urbanization and economic growth in eastern and central China. These results demonstrated that it might be difficult for China to pursue carbon emissions reduction policy and to control urban expansion without impeding economic growth in the long run. In the short-run, we observed a unidirectional causation running from land urbanization to CO2 emissions and from economic growth to CO2 emissions in the eastern and central regions. Further investigations revealed an inverted N-shaped re- lationship between CO2 emissions and economic growth in China, not supporting the envi- ronmental Kuznets curve （EKC） hypothesis. Our empirical findings have an important refer- ence value for policy-makers in formulating effective energy saving and emission reduction strategies for China.展开更多
This paper utilizes cointegration theory,error correcting model and Granger causality testing theory to make an empirical research on the relation between urbanization and GDP in China,and also implements a comparativ...This paper utilizes cointegration theory,error correcting model and Granger causality testing theory to make an empirical research on the relation between urbanization and GDP in China,and also implements a comparative analysis to the relation between three industries and degree of urbanization,the related coeffecient is 0.97,0.95,0.97,0.97.And the result shows a long-term balance between these two factors,and the promoting effect to tertiary industry by urbanization is more obvious.Urbanization and economic growth are the long-term balanced relations.In the long-term balance,every 1% increment of urbanization can make 4.82% increment of GDP;In short-term balance,if the balance depart from the long-term balance at the i-th term,the model will take automatic reversal adjustment with-0.06 adjusting strength at the(i+1)th term,to make it move to the long-term balance.The economic growth onto urbanization is one-way causality relationship,the primary and secondary industry onto urbanization is also one-way causality relationship.However,the tertiary industry onto urbanization is both-way causality relationship.展开更多
Background:The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market,using time series techniques.M...Background:The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market,using time series techniques.Methods:Weekly returns of market benchmark indices of the respective countries are used from the second week of 1995 to the fourth week of December 2013.Results:The study finds that the market returns of Austria,Belgium,the Netherlands,and France are relatively less dynamically interlinked as compared with Britain,Denmark,Finland,Germany,Portugal,Spain,Sweden,Switzerland,Greece,Ireland,Luxembourg,and Norway,which are quite dynamically interlinked within the region as well as with the MSCI world index.Conclusion:There exists a strong long run equilibrium relationship between the return distributions of the stock markets within the region.展开更多
Abstract Multisensor systems are very powerful in the complex environments. The cointegration theory and the vector error correction model, the statistic methods which widely applied in economic analysis, are utilized...Abstract Multisensor systems are very powerful in the complex environments. The cointegration theory and the vector error correction model, the statistic methods which widely applied in economic analysis, are utilized to create a fitting model for homogeneous sensors measurements. An algorithm is applied to implement the model for error correction, in which the signal of any sensor can be esti mated from those of others. The model divides a signal series into two parts, the training part and the estimated part. By comparing the estimated part with the actual one, the proposed method can iden tify a sensor with possible faults and repair its signal. With a small amount of training data, the right parameters for the model in real time could be found by the algorithm. When applied in data analysis for aero engine testing, the model works well. Therefore, it is not only an effective method to detect any sensor failure or abnormality, but also a useful approach to correct possible errors.展开更多
Understanding the relationship between macroeconomic variables and the stock market is important because macroeconomic variables have a systematic effect on stock market returns.This study uses monthly data from India...Understanding the relationship between macroeconomic variables and the stock market is important because macroeconomic variables have a systematic effect on stock market returns.This study uses monthly data from India for the period from April 1994 to July 2018 to examine the long-run relationship between the stock market and macroeconomic variables.The empirical findings suggest that standard cointegration tests fail to identify any relationship among these variables.However,a transformation that extracts the actual functional relationship between these variables using the alternating conditional expectations algorithm of(J Am Stat Assoc 80:580–598,1985)identifies strong evidence of cointegration and indicates nonlinearity in the long-run relationship.Further,the continuous partial wavelet coherency model identifies strong coherency at a lower frequency for the transformed variables,establishing the fact that the long-run relationship between stock prices and macroeconomic variables in India is nonlinear and time-varying.This evidence has far-reaching implications for understanding the dynamic relationships between the stock market and macroeconomic variables.展开更多
In order to explore the interrelated impacts of the economical communications between China and Hong Kong SAR, especially after the closer economic partnership arrangement (CEPA) and the Chinese yuan offshore financia...In order to explore the interrelated impacts of the economical communications between China and Hong Kong SAR, especially after the closer economic partnership arrangement (CEPA) and the Chinese yuan offshore financial business in Hong Kong banks in 2004, the exchange rates of the Chinese yuan and the Hong Kong dollar are investigated as well-performing market signals that should reflect this historical transformation. With vector autoregressive models (VAR), the Johansen cointegration test and the Granger causality test on the exchange rates of the Chinese yuan and the Hong Kong dollar adjusted by the consumer price index and inter-bank interest rates are examined. It is found that the exchange rates of the Chinese yuan and the Hong Kong dollar after CEPA are in long-term equilibrium and Granger causality with each other, which means that the interrelationship of the Chinese yuan and the Hong Kong dollar is more closely integrated after the implementation of the CEPA. In conclusion, the cooperation regarding bilateral trade and financial markets between China and Hong Kong SAR has been enhanced after 1997; furthermore, after the implementation of CEPA the interrelationship of the economies between China and Hong Kong SAR is significantly reinforced.展开更多
This paper demonstrates a significant,long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1-2017 M4.Cointegration analysis is investigated ...This paper demonstrates a significant,long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1-2017 M4.Cointegration analysis is investigated using the autoregressivedistributed lag bounds(ARDL Bounds)test and vector autoregressive cointegration.Additionally,cointegrating equations such as the fully modified ordinary least square,dynamic ordinary least squares,and canonical cointegrating regression are applied to check the long-run elasticities in the concerned relationship.The ARDL Bounds and Johansen Cointegration test results show that,dynamically,both prices are significantly related to each other.The cointegrating equation outcomes demonstrate elasticities whereby both coefficients have negative signs.Additionally,the same results are corroborated by the impulse response where all variables respond negatively to each other.展开更多
As an industry representing soft power,the coordinated development between sports industry and tourism plays an important role in promoting economic growth. Using the cointegration theory,we carry out empirical test o...As an industry representing soft power,the coordinated development between sports industry and tourism plays an important role in promoting economic growth. Using the cointegration theory,we carry out empirical test of economic growth,the output value of sport and tourism income; using the coordination theory,we carry out the evaluation of the coordinated development between sports industry and tourism.It is found in the study that there is a long-term stable dynamic equilibrium relationship among economic growth,the output value of sport and tourism income. The sports industry and tourism in Henan Province have undergone six stages( imbalance-on the verge of imbalance- barely coordinated-primarily coordinated- moderately coordinated- well coordinated). In the process of coordinated development,sports industry significantly lags behind tourism,so it is necessary to strengthen the sports industry personnel's quality,and optimize the coordination between the sports industry and tourism,so as to promote economic development level.展开更多
As a growing number of countries, including both developed and developing countries, have in recent yearstaken environmental regulation at different levels, a question of great concern has been raised: can the regulat...As a growing number of countries, including both developed and developing countries, have in recent yearstaken environmental regulation at different levels, a question of great concern has been raised: can the regulation alterthe existing trade volume and trade pattern, and ultimately drive pollution-intensive industries to countries with low-levelregulations or even those without regulations at all? Starting from the three different propositions concerning therelationship between environmental regulation and trade pattern, this paper applies cointegration analysis and errorcorrection model to empirically testing the relationship between environmental regulation and trade in China during theperiod of 1985-2005. Our empirical results indicate that in the short run the collection of pollution discharge fees bearsa positive impact on the export share of clean products of total exports. Thus, higher pollution discharge fees raise theratio of clean products exports to total exports. This further indicates that more stringent environmental regulationpromotes the exports of clean products. In the long run pollution discharge fees are positively correlated with the exportshare of clean products but negatively associated with their import share. Such correlations imply that environmentalregulation tends to facilitate the international specialization in line with comparative advantages.展开更多
Co-integration theory has been employed in this paper and Granger causes are found between urbanization rate and GDP, between capital stock and GDP. Scenario analysis of GDP is performed using the GDP model establishe...Co-integration theory has been employed in this paper and Granger causes are found between urbanization rate and GDP, between capital stock and GDP. Scenario analysis of GDP is performed using the GDP model established in the paper. The energy consumptions in Germany, Japan and other developed countries are analyzed and compared with the energy consumption in China. Environmental friendly scenario of energy demand and CO2 emissions for sustainable China has been formed based on the results of comparison. Under environmental friendly scenario, the primary energy consumption will be 4.31 billion ton coal equivalence （tee） and CO2 emissions will be 1.854 billion t-c in 2050; energy per capital will be 3.06 tee that is 1.8 times of energy consumed in 2005 in China and 51% of consumed energy per capital in Japan in 2003. In 2050, the energy requirement of unit GDP will be 20% lower than that of Germany in 2003, but will be still 37% higher than that in Japan in 2003. It is certain that to fulfill the environmental friendly Scenario of energy demand and CO2 emissions is a difficult task and it needs long term efforts of the whole society, not only in production sectors but also in service and household sectors,展开更多
Aiming atthe pricing of primary agricultural products for the large-scale suppliers and the wholesalers in agri-supply chain management, an approach for the large-scale supplier pricing is presented based on the thres...Aiming atthe pricing of primary agricultural products for the large-scale suppliers and the wholesalers in agri-supply chain management, an approach for the large-scale supplier pricing is presented based on the threshold cointegration method of wholesale prices online including the GBand-TAR modified Band-TAR model. Our empirical work shows that it is more appropriate for a large-scale supplier pricing with his wholesalers based on the threshold cointegration method than the conventional linear cointegration method in spatially separate markets in an agri-supply chain of soybean in China in short time. Firstly, the three pairs of prices in spatially separate markets are of long-run equilibrium and threshold cointegration. The forecast wst shows that the threshold cointegration approach is superior to the conventional linear cointegration approach in short time. Secondly, there are two thresholds of GBand-TAR in which the threshold parameters represent relative transaction costs. Larger thresholds or wider neutral band corresponds to the greater distance between markets. Thirdly, the estimation of M-TAR shows that the large-scale supplier is more sensitive to increase of wholesaler prices than decrease of wholesaler prices. The supplier can price on the forecast of market price by the threshold ECM including the GBand-TAR if the equilibrium error of threshold lag is not in the interval of thresholds in which there is not profitable trading opportunities for the supplier.展开更多
Based on the modern economic theory and the characteristics of China's energy consumption, this paper analyzes the determinants of energy demand in China, builds up a China's energy demand model, and examines ...Based on the modern economic theory and the characteristics of China's energy consumption, this paper analyzes the determinants of energy demand in China, builds up a China's energy demand model, and examines the long-run relationship between China's aggregate energy consumption and the main economic variables such as GDP by using the Johansen multivariate approach. It is found that there exists unique long-run relationship among the variables in the model over the sampling period. An error-correction model provides an appropriate framework for forecasting the short-run fluctuations in the aggregate demand of China.展开更多
An improved energy demand forecasting model is built based on the autoregressive distributed lag(ARDL) bounds testing approach and an adaptive genetic algorithm(AGA) to obtain credible energy demand forecasting result...An improved energy demand forecasting model is built based on the autoregressive distributed lag(ARDL) bounds testing approach and an adaptive genetic algorithm(AGA) to obtain credible energy demand forecasting results. The ARDL bounds analysis is first employed to select the appropriate input variables of the energy demand model. After the existence of a cointegration relationship in the model is confirmed, the AGA is then employed to optimize the coefficients of both linear and quadratic forms with gross domestic product, economic structure, urbanization,and technological progress as the input variables. On the basis of historical annual data from1985 to 2015, the simulation results indicate that the proposed model has greater accuracy and reliability than conventional optimization methods. The predicted results of the proposed model also demonstrate that China will demand approximately 4.9, 5.6, and 6.1 billion standard tons of coal equivalent in 2020, 2025, and 2030, respectively.展开更多
文摘Objective To empirically analyze the relationship between Government R&D funding and R&D investment of the enterprises in different sub industries of pharmaceutical industry,and to provide reference for the development of policies related to R&D funding input.Methods Granger causality test was performed using the data of relevant indicators in different sub industries of China’s pharmaceutical industry from 1995 to 2019 based on the theory of covariance.Results and Conclusion The funding of R&D from the government had a significant positive effect on their R&D funding inputs to enterprises with chemo products,Chinese patent products,and biological products.It means the improvement of government funding was beneficial in promoting the R&D investment from various sub industries of pharmaceutical industry.The order of this influence was biological products,chemo products,and Chinese patent drugs.As to chemical drugs and biological products,the government’s R&D funding and enterprises R&D funding input showed a good trend of mutual promotion in a certain lag period.The government can fully leverage its funding to promote the investment of all sub industries of pharmaceutical industry.Meanwhile,regulatory mechanisms should be refined for government funding.For the inheritance,innovation,and development of traditional Chinese medicine,the government should give more policy support than financial support.
基金supported by the research funds for Coupling Research on Industrial Upgrade and Environmental Management in the Bohai Rim-Technique,methodology,and Environmental Economic Policies(No.42076221).
文摘This study analyzed the impact of land-based contaminants and tertiary industrial structure on economic development in the selected Bohai Bay area,China.Based on panel data spanning 2011-2020,a vector autoregressive(VAR)model is used to analyze and forecast the short-run and long-run relationships between three industrial structures,pollutant discharge,and economic development.The results showed that the environmental index had a long-term cointegration relationship with the industrial structure economic index.Per capital chemical oxygen demand(PCOD)and per capita ammonia nitrogen(PNH_(3)N)had a positive impact on delta per capita GDP(dPGDP),while per capita solid waste(PSW),the secondary industry rate(SIR)and delta tertiary industry(dTIR)had a negative impact on dPGDP.The VAR model under this coupling system had stability and credibility.The impulse response results showed that the short-term effect of the coupling system on dPGDP was basically consistent with the Granger causality test results.In addition,variance decomposition was used in this study to predict the long-term impact of the coupling system in the next ten periods(i.e.,ten years).It was found that dTIR had a great impact on dPGDP,with a contribution rate as high as 74.35%in the tenth period,followed by the contribution rate of PCOD up to 3.94%,while the long-term contribution rates of PSW,SIR and PNH3N were all less than 1%.The results show that the government should support the development of the tertiary industry to maintain the vitality of economic development and prevent environmental deterioration.
文摘We propose a high-frequency rebalancing algorithm(HFRA)and compare its performance with periodic rebalancing(PR)and threshold rebalancing(TR)strategies.PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals,whereas TR is a process of setting allocation limits for portfolios and rebalancing when portfolios exceed a specific percentage of deviation from the target allocation.The HFRA is constructed as an integration of pairs trading and a threshold-based rebalancing strategy,and the profitability of the HFRA is examined to determine the optimal portfolio size.The HFRA is applied to a dataset of real price series from cryptocurrency exchange markets across various trends and volatility regimes.Using cointegrated price data,it is shown that increasing the number of assets in a portfolio supports the profitability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility environment.For low-volatility regimes,although increasing portfolio size marginally enhances the HFRA’s profitability,the profits of portfolios of varied sizes do not significantly differ.It is demonstrated that when volatility is relatively high and the trend is upward,the HFRA can yield a substantial return via portfolios of large sizes.Moreover,the profitability of the HFRA is compared with that of the PR and TR strategies for long-term application.The HFRA is more profitable than the PR and TR strategies.This achievement of the HFRA is also validated statistically using the Fisher–Pitman permutation test.
文摘In order to investigate the existence of a stable long-run equilibrium relationship between economic growth and consumption in China, the relationship between the gross domestic product （GDP） and consumption in China was investigated by the cointegration analysis method. Using the Engle-Granger （EG） test and considering the possibility of structural changes, the impact of external economic shocks on the long-run equilibrium relationship between economic growth and consumption in China was analyzed. Analysis results show that without considering structural changes, the EG test cannot detect cointegration in the series subjected to structural changes; in considering structural changes, cointegration is successfully detected by specifying the dummy variable. In addition, the error correction models were constructed in different periods. This study verifies the existence of a long-run equilibrium relationship between economic growth and consumption in China, and this relationship has significantly changed in 1989 and 1997, respectively.
基金National Natural Science Foundation of ChinaNo.41130748+2 种基金No.41471143Major Program of National Social Science Foundation of ChinaNo.15ZDA021
文摘Elucidating the complex mechanism between urbanization, economic growth, car- bon dioxide emissions is fundamental necessary to inform effective strategies on energy saving and emission reduction in China. Based on a balanced panel data of 31 provinces in China over the period 1997-2010, this study empirically examines the relationships among urbanization, economic growth and carbon dioxide （CO2） emissions at the national and re- gional levels using panel cointegration and vector error correction model and Granger cau- sality tests. Results showed that urbanization, economic growth and CO2 emissions are inte- grated of order one. Urbanization contributes to economic growth, both of which increase CO2 emissions in China and its eastern, central and western regions. The impact of urbanization on CO2 emissions in the western region was larger than that in the eastern and central re- gions. But economic growth had a larger impact on CO2 emissions in the eastern region than that in the central and western regions. Panel causality analysis revealed a bidirectional long-run causal relationship among urbanization, economic growth and CO2 emissions, in- dicating that in the long run, urbanization does have a causal effect on economic growth in China, both of which have causal effect on CO2 emissions. At the regional level, we also found a bidirectional long-run causality between land urbanization and economic growth in eastern and central China. These results demonstrated that it might be difficult for China to pursue carbon emissions reduction policy and to control urban expansion without impeding economic growth in the long run. In the short-run, we observed a unidirectional causation running from land urbanization to CO2 emissions and from economic growth to CO2 emissions in the eastern and central regions. Further investigations revealed an inverted N-shaped re- lationship between CO2 emissions and economic growth in China, not supporting the envi- ronmental Kuznets curve （EKC） hypothesis. Our empirical findings have an important refer- ence value for policy-makers in formulating effective energy saving and emission reduction strategies for China.
文摘This paper utilizes cointegration theory,error correcting model and Granger causality testing theory to make an empirical research on the relation between urbanization and GDP in China,and also implements a comparative analysis to the relation between three industries and degree of urbanization,the related coeffecient is 0.97,0.95,0.97,0.97.And the result shows a long-term balance between these two factors,and the promoting effect to tertiary industry by urbanization is more obvious.Urbanization and economic growth are the long-term balanced relations.In the long-term balance,every 1% increment of urbanization can make 4.82% increment of GDP;In short-term balance,if the balance depart from the long-term balance at the i-th term,the model will take automatic reversal adjustment with-0.06 adjusting strength at the(i+1)th term,to make it move to the long-term balance.The economic growth onto urbanization is one-way causality relationship,the primary and secondary industry onto urbanization is also one-way causality relationship.However,the tertiary industry onto urbanization is both-way causality relationship.
文摘Background:The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market,using time series techniques.Methods:Weekly returns of market benchmark indices of the respective countries are used from the second week of 1995 to the fourth week of December 2013.Results:The study finds that the market returns of Austria,Belgium,the Netherlands,and France are relatively less dynamically interlinked as compared with Britain,Denmark,Finland,Germany,Portugal,Spain,Sweden,Switzerland,Greece,Ireland,Luxembourg,and Norway,which are quite dynamically interlinked within the region as well as with the MSCI world index.Conclusion:There exists a strong long run equilibrium relationship between the return distributions of the stock markets within the region.
基金supported by the Aeronautical Science Foundation of China(No.20101024006)
文摘Abstract Multisensor systems are very powerful in the complex environments. The cointegration theory and the vector error correction model, the statistic methods which widely applied in economic analysis, are utilized to create a fitting model for homogeneous sensors measurements. An algorithm is applied to implement the model for error correction, in which the signal of any sensor can be esti mated from those of others. The model divides a signal series into two parts, the training part and the estimated part. By comparing the estimated part with the actual one, the proposed method can iden tify a sensor with possible faults and repair its signal. With a small amount of training data, the right parameters for the model in real time could be found by the algorithm. When applied in data analysis for aero engine testing, the model works well. Therefore, it is not only an effective method to detect any sensor failure or abnormality, but also a useful approach to correct possible errors.
文摘Understanding the relationship between macroeconomic variables and the stock market is important because macroeconomic variables have a systematic effect on stock market returns.This study uses monthly data from India for the period from April 1994 to July 2018 to examine the long-run relationship between the stock market and macroeconomic variables.The empirical findings suggest that standard cointegration tests fail to identify any relationship among these variables.However,a transformation that extracts the actual functional relationship between these variables using the alternating conditional expectations algorithm of(J Am Stat Assoc 80:580–598,1985)identifies strong evidence of cointegration and indicates nonlinearity in the long-run relationship.Further,the continuous partial wavelet coherency model identifies strong coherency at a lower frequency for the transformed variables,establishing the fact that the long-run relationship between stock prices and macroeconomic variables in India is nonlinear and time-varying.This evidence has far-reaching implications for understanding the dynamic relationships between the stock market and macroeconomic variables.
基金The National Natural Science Foundation of China (No.70673100,70621001)
文摘In order to explore the interrelated impacts of the economical communications between China and Hong Kong SAR, especially after the closer economic partnership arrangement (CEPA) and the Chinese yuan offshore financial business in Hong Kong banks in 2004, the exchange rates of the Chinese yuan and the Hong Kong dollar are investigated as well-performing market signals that should reflect this historical transformation. With vector autoregressive models (VAR), the Johansen cointegration test and the Granger causality test on the exchange rates of the Chinese yuan and the Hong Kong dollar adjusted by the consumer price index and inter-bank interest rates are examined. It is found that the exchange rates of the Chinese yuan and the Hong Kong dollar after CEPA are in long-term equilibrium and Granger causality with each other, which means that the interrelationship of the Chinese yuan and the Hong Kong dollar is more closely integrated after the implementation of the CEPA. In conclusion, the cooperation regarding bilateral trade and financial markets between China and Hong Kong SAR has been enhanced after 1997; furthermore, after the implementation of CEPA the interrelationship of the economies between China and Hong Kong SAR is significantly reinforced.
文摘This paper demonstrates a significant,long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1-2017 M4.Cointegration analysis is investigated using the autoregressivedistributed lag bounds(ARDL Bounds)test and vector autoregressive cointegration.Additionally,cointegrating equations such as the fully modified ordinary least square,dynamic ordinary least squares,and canonical cointegrating regression are applied to check the long-run elasticities in the concerned relationship.The ARDL Bounds and Johansen Cointegration test results show that,dynamically,both prices are significantly related to each other.The cointegrating equation outcomes demonstrate elasticities whereby both coefficients have negative signs.Additionally,the same results are corroborated by the impulse response where all variables respond negatively to each other.
文摘As an industry representing soft power,the coordinated development between sports industry and tourism plays an important role in promoting economic growth. Using the cointegration theory,we carry out empirical test of economic growth,the output value of sport and tourism income; using the coordination theory,we carry out the evaluation of the coordinated development between sports industry and tourism.It is found in the study that there is a long-term stable dynamic equilibrium relationship among economic growth,the output value of sport and tourism income. The sports industry and tourism in Henan Province have undergone six stages( imbalance-on the verge of imbalance- barely coordinated-primarily coordinated- moderately coordinated- well coordinated). In the process of coordinated development,sports industry significantly lags behind tourism,so it is necessary to strengthen the sports industry personnel's quality,and optimize the coordination between the sports industry and tourism,so as to promote economic development level.
文摘As a growing number of countries, including both developed and developing countries, have in recent yearstaken environmental regulation at different levels, a question of great concern has been raised: can the regulation alterthe existing trade volume and trade pattern, and ultimately drive pollution-intensive industries to countries with low-levelregulations or even those without regulations at all? Starting from the three different propositions concerning therelationship between environmental regulation and trade pattern, this paper applies cointegration analysis and errorcorrection model to empirically testing the relationship between environmental regulation and trade in China during theperiod of 1985-2005. Our empirical results indicate that in the short run the collection of pollution discharge fees bearsa positive impact on the export share of clean products of total exports. Thus, higher pollution discharge fees raise theratio of clean products exports to total exports. This further indicates that more stringent environmental regulationpromotes the exports of clean products. In the long run pollution discharge fees are positively correlated with the exportshare of clean products but negatively associated with their import share. Such correlations imply that environmentalregulation tends to facilitate the international specialization in line with comparative advantages.
文摘Co-integration theory has been employed in this paper and Granger causes are found between urbanization rate and GDP, between capital stock and GDP. Scenario analysis of GDP is performed using the GDP model established in the paper. The energy consumptions in Germany, Japan and other developed countries are analyzed and compared with the energy consumption in China. Environmental friendly scenario of energy demand and CO2 emissions for sustainable China has been formed based on the results of comparison. Under environmental friendly scenario, the primary energy consumption will be 4.31 billion ton coal equivalence （tee） and CO2 emissions will be 1.854 billion t-c in 2050; energy per capital will be 3.06 tee that is 1.8 times of energy consumed in 2005 in China and 51% of consumed energy per capital in Japan in 2003. In 2050, the energy requirement of unit GDP will be 20% lower than that of Germany in 2003, but will be still 37% higher than that in Japan in 2003. It is certain that to fulfill the environmental friendly Scenario of energy demand and CO2 emissions is a difficult task and it needs long term efforts of the whole society, not only in production sectors but also in service and household sectors,
基金the Social Science Fund Program of Heilongjiang Province in China(Grant No.03B028)
文摘Aiming atthe pricing of primary agricultural products for the large-scale suppliers and the wholesalers in agri-supply chain management, an approach for the large-scale supplier pricing is presented based on the threshold cointegration method of wholesale prices online including the GBand-TAR modified Band-TAR model. Our empirical work shows that it is more appropriate for a large-scale supplier pricing with his wholesalers based on the threshold cointegration method than the conventional linear cointegration method in spatially separate markets in an agri-supply chain of soybean in China in short time. Firstly, the three pairs of prices in spatially separate markets are of long-run equilibrium and threshold cointegration. The forecast wst shows that the threshold cointegration approach is superior to the conventional linear cointegration approach in short time. Secondly, there are two thresholds of GBand-TAR in which the threshold parameters represent relative transaction costs. Larger thresholds or wider neutral band corresponds to the greater distance between markets. Thirdly, the estimation of M-TAR shows that the large-scale supplier is more sensitive to increase of wholesaler prices than decrease of wholesaler prices. The supplier can price on the forecast of market price by the threshold ECM including the GBand-TAR if the equilibrium error of threshold lag is not in the interval of thresholds in which there is not profitable trading opportunities for the supplier.
文摘Based on the modern economic theory and the characteristics of China's energy consumption, this paper analyzes the determinants of energy demand in China, builds up a China's energy demand model, and examines the long-run relationship between China's aggregate energy consumption and the main economic variables such as GDP by using the Johansen multivariate approach. It is found that there exists unique long-run relationship among the variables in the model over the sampling period. An error-correction model provides an appropriate framework for forecasting the short-run fluctuations in the aggregate demand of China.
文摘An improved energy demand forecasting model is built based on the autoregressive distributed lag(ARDL) bounds testing approach and an adaptive genetic algorithm(AGA) to obtain credible energy demand forecasting results. The ARDL bounds analysis is first employed to select the appropriate input variables of the energy demand model. After the existence of a cointegration relationship in the model is confirmed, the AGA is then employed to optimize the coefficients of both linear and quadratic forms with gross domestic product, economic structure, urbanization,and technological progress as the input variables. On the basis of historical annual data from1985 to 2015, the simulation results indicate that the proposed model has greater accuracy and reliability than conventional optimization methods. The predicted results of the proposed model also demonstrate that China will demand approximately 4.9, 5.6, and 6.1 billion standard tons of coal equivalent in 2020, 2025, and 2030, respectively.
