Polish Stabilization: What can we learn from the I(2) Cointegration Analysis?

This paper investigates an array of nominal systems for the Polish economy, of domestic price level, import prices, exchange rates, money stock, nominal wages, and real output, and conducts I(1) and I(2) cointegration analyses. Post-stabilization monthly data are used, 1991:5-1999:12. A test for the presence of a price-wage spiral is performed, and the stabilization package is compared to its realization. The long-run homogeneity hypothesis, the impact of monetary and incomes policies, and of external sector variables on long and medium run price development are studied. It is found that in Poland, contrary to some earlier studies, the external sector is not important for the long run price development. On the contrary, very strong evidence is found of the cost-push inflation.     

The Dutch Disease: evidences from Russia

The present study examines whether the Russian economy exhibits the symptoms of the Dutch Disease over the transition period begun in the early 1990s. Five warning signs have been detected, namely, a real exchange rate appreciation (1); a flourishing economic situation pushed by higher oil prices (2); a relative de-industrialisation (3); an export reduction in the non-booming-sector (4) and a real wage growth (5). The first three symptoms are estimated simultaneously in a VECM dimension. The results suggest the existence of three long-run cointegrating vectors, thus confirming the presence of the first three symptoms. Specifically, a 10% oil price shock leads to a real appreciation by 4%, a rise in GDP by 3% and a decline in domestic manufacturing production vis-à-vis service production by another 3%. Finally, a number of manufacturing exports have been crowded out and real wages have recorded important increases. To a certain extent, this corroborates the presence of symptom 4 and 5. The paper concludes that the risk of the Dutch Disease exists, and two preventive thrusts of action could be undertaken to reduce its threat: namely to diversify the economy and to hold back the appreciation of the exchange rate through targeted fiscal and monetary policies. These instruments would render Russia less vulnerable to exogenous shocks.     

Not Thanks to But Despite

Although the Russian economy declined in 2015, the decline was not as serious as expected by Russian leaders. None of the disasters anticipated at the end of 2014 happened. The decline was moderated by continued demand from the main consumers of Russian raw materials, continued government financial support for the defense industry, and balancing changes in internal prices. The ruble has remained stable because it is largely dependent on the price of oil on world markets. The impact of Western sanctions on the Russian economy steadily declined throughout 2015. Although Russia avoided economic collapse, the prospect for the near future is continued stagnation, rather than renewed growth.     

Oil prices and economic activity in Greece

The paper studies the relationship between oil prices and economic activity in Greece during the period 1982:1–2008:8. Different empirical methods are used to estimate whether oil price changes affect asymmetrically the economic activity. A regime-switching model (RS-R) and a threshold regression modeling (TA-R) are applied which have the advantage to capture the dependence structure of the series both in terms of constant and variance. The empirical evidence suggests that the degree of negative correlation between oil prices and economic activity strengths during periods of rapid oil price changes and high oil price change volatility.     

Oil price changes and stock market returns: cointegration evidence from emerging market

The aim of this paper is to examine whether changes in nominal oil prices (Brent and West Texas Intermediate (WTI)) affect the stock market returns in the context of an emerging market framework. The Autoregressive Distributed Lag bounds testing approach of cointegration is used to test for the long run relation between the two variables, where the daily stock market index return is calculated using the first difference in the natural logarithms of stock market index. Further, we test for the stability of the cointegration relationship by examining the sensitivity analysis where diagnostic tests for serial correlation (namely the Breusch–Godfrey serial correlations LM test) and cumulative sum of recursive residuals (CUSUM) are employed. Using daily data from January 3, 2000 to December 9, 2015, the findings suggest that there is long run integration between oil prices and stock returns series in which the daily oil price shocks have a negative impact on stock returns. The highly significant error correction coefficient indicates high rate of convergence to equilibrium. In addition, the Toda and Yamamoto (J Econom 66(2):225–250, 1995) Granger non‐causality test indicates significant bidirectional causality between stock market returns and Brent nominal oil price, meanwhile there is unidirectional causality running from WTI oil price to stock market returns. These findings are, up to some extent, meaningful for investors, portfolio managers and policy makers.     

我国资产价格"货币现象"的实证分析

借鉴弗里德曼的经典观点,可将货币数量影响资产价格波动的现象称为货币现象。在此基础上综合运用Granger因果检验、Johansen协整和脉冲响应函数等方法,对M/GDP影响房屋销售价格指数和上证综指进行了实证分析。结果显示,超额货币是房地产价格的Granger原因,且二者存在协整关系,超额货币对于推动房地产价格的上涨发挥了重要作用,表明我国房市存在货币现象。从股市来看,长期的货币现象并不存在,但自2006年第4季度以来超额货币存量与股指的相关性显著增强。     

An empirical testing of informational efficiency in Bangladesh capital market

We investigate how efficiently the stock market participants incorporate the information contained in money supply changes into stock prices in an emerging economy like Bangladesh. Of particular interest is to test how the changes in monetary aggregates directly affect the stock prices through asset changes and indirectly through their effects on real economic activity. We have considered the monthly series of the real stock returns (P) and examine the relationship between stock returns and monetary aggregates from 1980 to 2008. We also include the exchange rate of US dollar against Bangladeshi Taka and industrial production index. The presence of cointegration between stock prices and monetary aggregates indicate long-run predictability of the Bangladesh stock market. The short-run dynamics between monetary aggregates and real stock return, relied on theoretically motivated long-run restrictions, are analyzed using an empirical structural VAR model. The dynamic response of the real stock returns to changes in macroeconomic variables (such as broad money supply, exchange rates), particularly its lagged responses to real economic activity generates inefficiency in the Dhaka Stock Exchange. The findings of this article indicate that informational inefficiency exists in the stock market of Bangladesh due to the presence of unidirectional causality. To be efficient, the infrastructure of the SEC should be modernized, revaluation of the net asset value of the companies should be audited by the affiliated firms of the SEC, demutualization should be done as early as possible, private placement, issue of preference share and book building methods must be under rule based. Insider trading should be strictly prohibited.     

Savings and retail price reform in a queue-rationed economy

The paper addresses the effect on consumer saving behavior of queue rationing and of price reform in a Soviet-type economy in a lifecycle framework with overlapping generations. It is shown that consumers save less for retirement in a queue-rationed exchange economy with black markets than they would in a free-market system with the same endowments. The expectation of price reform is thus likely to cause an increase in consumer savings. In addition, an analysis is given of the effect of the increase in controlled prices on the black market prices and on the prices of unrationed goods.     

Testing the Information Structure of Eastern European Markets: The Warsaw Stock Exchange

This paper investigates the content of the information set used by the agents in the Warsaw Stock Exchange - WSE. Three “candidate variables” are examined — consumers’ prices, the zloty/US$ exchange rate and the refinancing rate of the National Bank of Poland — with respect to three WSE stocks, from different sectors of the economy. The methodology employed supposes that the innovations in the price series are orthogonal to all variables within or outside the information set. Beyond the question of how to specify the agents expectations, the WSE trading rules and the high volatility period present in all monthly price series were additional problems to render it operational. Given the solutions adopted, in only three out of the nine cases tested, it was possible to reject the null that the candidate did not belong to the information set. This is a signal that macroeconomic fundamentals are still absent from the WSE.     

An elasticity approach to the analysis of Romanian foreign trade policy during the years of transition

This paper focuses on the effect of exchange rate variations on the economic evolution of a country in transition, facing inflation, output decrease and negative external shocks; the particular case of Romania is considered. The theoretical part is linked to the Fleming-Mundell model for an open economy, but additional assumptions of price mobility and capital immobility are introduced. The usual interest rate versus output graphic framework is switched from one to another, which plots the exchange rate (or real exchange rate) versus output; the author considers that such a representation fits the behavior of an economy in transition towards a market-based system better. A main role, according to this interpretation, is played by the exchange rate elasticities of imports and exports, which influence the images of the equilibria on the goods market and the balance of payment (the IS and BOP curves' slopes). Finally, an empirical analysis is made, as an example, on the Romanian energy imports data series; the attempts to calculate the exchange rate elasticity may be considered as reliable only in the short term. In order to estimate the global exchange rate elasticities of imports and exports, some aggregations of partial sectorial results might be a possible solution. In the Romanian case, the resulting elasticities seem to be lower than for other countries; this poses the question as to the effectiveness of exchange rate policies in managing the Romanian economy.     

中国应对国外反倾销与加强反倾销的法律思考

反倾销是世贸组织赋予进口国自我保护的一项合法权利,也是国际上通行的制止不正当竞争、规范国际贸易秩序的重要手段.多年来,中国经济深受外国反倾销指控之害.加入WTO 以后,中国的企业仍将面临反倾销与倾销的双重考验与挑战.中国应该在符合世贸组织反倾销法律框架内构筑反倾销机制.一方面,建立正确的价格战略和反倾销预警机制,制定完备的反倾销应诉法规,尽量减少政府对企业的干预和控制,努力摆脱"非市场经济国家"的被动地位,充分利用WTO规则应对外国对我国出口产品的反倾销,以促进出口贸易的发展;另一方面,完善我国的反倾销法律体系,调整反倾销机构的职权,对外国产品在中国的倾销采取反倾销措施,以保护我国的国内产业.     

Price-wage nexus and the role of a tax system

The presented study was aimed to test empirically major economic hypotheses dealing with long-term relationships between wages, producer prices, prices of consumer goods and services, the consumer price index, productivity of labour, unemployment and payroll expenses other than wages themselves. It is particularly important for this approach to distinguish between net wages shaping employees’ decisions and gross wages driving employers’ decisions. Because the variables are generated by non-stationary stochastic processes integrated of order 1 and 2, the analytical tool applied was a vector equilibrium correction model, VEqCM. The findings demonstrate that prices and payroll expenses are the major sources of shocks in the system in question. Wages and prices (particularly producer prices) are the most sensitive to this type of stochastic trends. In the Polish economy prices are integrated of order two, so they can be effectively influenced by anti-inflationary policy.     

我国反补贴原则及对策初探

随着我国外贸出口面临的反补贴调查情况剧增和中国完全市场经济地位的逐步确立,我国现存的某些产业补贴措施的影响,正在由潜在危胁转化为现实危害.进口国具备了同时使用"反倾销"与"反补贴"两种手段和其他的保障措施,来限制中国的产品出口的条件,给中国的出口企业带来了严重的影响.反补贴已经成为将WTO协议及相关规则融入我国法律体系和制定产业政策时必须加以认真研究的一个问题.     

Fiscal Explanations for Inflation: Any Evidence from Transition Economies?

Recent arguments, motivated partly by the new fiscal theory of price level, suggest that fiscal deficits undermine price stability in transition economies. This paper addresses these claims by examining vector-autoregressive models of inflation for three transition economies (Bulgaria, Romania and Russia). The results indicate that fiscal deficits have increased inflation in Bulgaria and Romania but not in the case of Russia. In Bulgaria and Romania, money aggregates and exchange rate have also been more influential to inflation than fiscal deficits. The analysis based on this method therefore suggests that while fiscal deficits have some influence on inflation, monetary factors mostly determine inflation in these three countries.     

Iterative pricing for planning foreign trade

In many industrialized countries there exist large idle production capacities. Conceivably, these might be used for increased economic aid to developing countries and for the stimulation of trade with incompletely convertible currency territories. Concurrently, a stimulation of the economic development of the industrialized countries might be achieved. In developing countries, there may be need for using available export resources in an efficient way to obtain required imports. In the Soviet sphere of influence, there is the problem of how the state foreign trade monopolies should allocate available export quantities and scarce convertible currencies, so as to obtain required import quantities. Related problems were encountered by Western boards of trade after the war in allocating import and export licences. This paper deals with the problem how to attain efficient allocations in foreign trade with the help of modern electronic computational technique. The computational system may be developed to account for inter-industry relations and industrial investments in order to achieve a high rate of economic growth.     

Differential inflation,Phillips curves,and price competitiveness in a new euro-member country

This article analyzes the inflation process before and after a new country with a middle-income joined the eurozone. It starts with comparative price level gaps in the European single market and with a reformulated basic macroeconomic model for a country adopting the euro. The inflation process in Slovenia is analyzed with the Phillips curve. The Phillips curve before adoption of the euro is a classical equation with the NAIRU and the nominal exchange rate as a control variable. It was expected that the Phillips curve would have to be modified after the euro was adopted. The Phillips curve after the euro was adopted should take into account the initial comparative price level gap, the law of one price, and the Balassa effect. The result is higher differential inflation; that is, national inflation is higher compared with the rate in the eurozone. Differential inflation may have a detrimental effect on export-driven catch-up growth. Instruments for taming inflationary pressure could include a higher unemployment rate and lower growth of labour unit costs.     

Oil price shocks and stock market returns of the GCC countries: empirical evidence from quantile regression analysis

This paper examines the effects of oil price shocks on the stock market returns of the Gulf Cooperation Council countries. The empirical method used is quantile regression analysis. In addition, we allow for structural breaks and asymmetry by differentiating between positive and negative oil price changes. Unlike OLS analysis, quantile regression allows the coefficient estimates to vary throughout the distribution of the dependent variable, which provides a complete picture of the relationship between the explanatory variables and the dependent variable. Our results suggest that the coefficient estimates have not been constant throughout the distribution of stock returns; that oil price shocks have asymmetrical effects on stock returns; and that the effects of oil price shocks on stock market returns are affected by stock market conditions. Overall, the results suggest that rising oil prices increase stock returns only when stock markets are bullish (high quantiles) and normal (medium quantiles), and that falling oil prices lower stock returns only when stock markets are bearish (low quantiles) and normal (medium quantiles). This suggests that oil and stock markets are more likely to boom together or crash together.     

Has the erosion of the medical marketplace ended?

This paper updates tests of the validity of three models of medical price inflation: a standard model, in which changes in demand press against inelastic supply; a dynamic version of the standard model, in which high levels of insurance induce high rates of product innovation and development; and a model of increasing inefficiency, in which consumers have weak incentives to search out efficient suppliers. Earlier statistical support for the third model has weakened, which provides some evidence that the regulatory and competitive initiatives of the last decade are having their intended effects. But time series measures of medical prices upon which the statistical evidence relies have important methodological problems, so other types of evidence are useful. Trends in expenditure in other countries and in HMOs suggest that the most important explanation of medical price inflation is the dynamic version of the standard model, although the other models have some validity as well.     

Taxation,money, and credit,in a liberalizing socialist economy

Understanding the system of financial control in the pre-existing régime of ‘classical’ socialism is a key to understanding what might go wrong in the transition. Accordingly, this paper proceeds in four steps by examining:

1. how domestic fiscal and monetary processes complement central planning in the classical socialist economy;
2. why this mechanism for securing domestic financial control under classical socialism tends to break down naturally into inflation when decentralization begins and central planning though direct materials balancing is weakened;
3. how, in a more deliberate transition, domestic tax and monetary arrangements might be better managed to keep the price level stable as prices of individual goods and services are freed; and
4. how, in moving toward free foreign trade, explicit policies governing tariffs and foreign exchange convertibility could best parallel and complement the evolving restraints on money and credit in domestic commerce.

In effect, moves to dismantle the apparatus of central planning, decontrol prices, privatize property, and so on need to be supported by a proper sequence of fiscal, monetary and foreign exchange measures-as analyzed more fully in the author's new bookThe Order of Economic Liberalization. In this short essay, a summary outline of such a financial order is provided.     

Impacts of Monetary,Fiscal and Exchange Rate Policies on Output in China: A Var Approach

Applying the VAR model and using the interest rate as a monetary policy variable, we find that in the long run, output in China responds negatively to a shock to the interest rate, the real exchange rate, government debt, or the inflation rate, and it reacts positively to a shock to government deficits or lagged own output. When real M2 is chosen as a monetary policy variable, long-term output in China responds positively to a shock to real M2 or lagged own output, and it reacts negatively to a shock to the real exchange rate, government debt, or government deficits. Its response to a shock to the inflation rate is negative when government debt is used and is positive when government deficits are considered. In the short run, fiscal policy is more important than monetary policy in three out of four cases. In the long run, monetary policy is more influential than fiscal policy in three out of four cases. Therefore, the government may consider conducting monetary and fiscal policies differently in the short run and long run. The government needs to be cautious in pursuing deficit spending as its long-term impacts depend on the monetary variable employed. The policy of maintaining a relatively stable exchange rate is appropriate as the depreciation of the Yuan may hurt the economy in the short run.