9,257 research outputs found

    Macro Regime and Economic Growth in China

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    In this paper, we investigate the relationship between Chinese macroeconomic policy and economic growth, and examine how the choice of macroeconomic regime affects economic performance in China. An open-economy model is developed for this purpose. It is a three-sector “almost small" open-economy macroeconomic model, with asset markets and forward-looking agents. This open-economy model is then adopted to analyse the implications of both domestic and external growth shocks to the Chinese economy under two alternative macroeconomic policy regimes. These policy regimes have two extreme assumptions on the exchange rate, with differing degrees of financial capital mobility. The simulation results show that greater flexibility in the exchange rate regime allows the central bank to conduct independent monetary policy in the Chinese economy, the benefit from which increases as financial capital becomes more internationally mobile. Most growth shocks cause an expansion in the real GDP level, and there is a deflation in the price level and depreciation in the real exchange rate when the economy operates a floating exchange rate regime with high financial capital mobility. Overall, the expansionary effects in this macroeconomic environment will be beneficial to the Chinese economy.Macroeconomics, Economic Growth, Monetary Policy, Exchange Rate, Capital Mobility, Chinese Economy, Computable General Equilibrium (CGE) Modelling

    China’s Real Exchange Rate

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    International pressure to revalue China’s currency stems in part from the expectation that rapid economic growth should be associated with a real exchange rate appreciation. This hinges on the Balassa-Samuelson hypothesis under which economic growth, stemming from improvements in traded sector productivity, causes non-traded prices to rise. More generally, real depreciations can stem from non-traded productivity improvements or, in association with failures of the law of one price for traded goods, labour supply growth and growth-related demand switches due to changes in the saving rate, trade distortions or investment risk premia. This chapter examines the sensitivity of China’s real exchange rate to these determinants. The results confirm that financial capital inflows are a dominant appreciating force in the short run, helping to explain why it is the surplus of Chinese domestic saving over its investment that has restrained the real exchange rate from appreciating during the past decade. In the long term, the appreciating effect of the inevitable fall in the saving rate is likely to be at least partially offset by the depreciating effects of skill acquisition and services productivity growth. Indeed, if future Chinese growth is propelled by these factors, a long term real depreciating trend could be in store.

    Volatility Spillovers from the Chinese Stock Market to Economic Neighbours

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    This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan and USA. China’s increasing integration into the global market may have important consequences for investors in related markets. In order to capture these potential effects, we explore these issues using an Autoregressive Moving Average (ARMA) return equation. A univariate GARCH model is then adopted to test for the persistence of volatility in stock market returns, as represented by stock market indices. Finally, univariate GARCH, multivariate VARMA-GARCH, and multivariate VARMA-AGARCH models are used to test for constant conditional correlations and volatility spillover effects across these markets. Each model is used to calculate the conditional volatility between both the Shenzhen and Shanghai Chinese markets and several other markets around the Pacific Basin Area, including Australia, Hong Kong, Japan, Taiwan and Singapore, during four distinct periods, beginning 27 August 1991 and ending 17 November 2010. The empirical results show some evidence of volatility spillovers across these markets in the pre-GFC periods, but there is little evidence of spillover effects from China to related markets during the GFC. This is presumably because the GFC was initially a US phenomenon, before spreading to developed markets around the globe, so that it was not a Chinese phenomenon.Volatility spillovers;VARMA-GARCH; VARMA-AGARCH; Chinese stock market

    China's Economic Growth and its Real Exchange Rate

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    Pressure from abroad to revalue China’s currency appears to associate its rapid economic growth with the likelihood of a real appreciation. In a world of open economies and differentiated traded goods, however, development-related productivity and endowment growth shocks tend to cause real depreciations, the principal exception being the Balassa case where non-traded service sectors are large and productivity growth is considerably faster in traded sectors. Yet China is special amongst developing countries because its labour force is likely to decline in future and this will cause upward pressure on its real exchange rate. This paper quantifies the links between growth shocks and the Chinese real exchange rate using a dynamic model of the global economy with open capital accounts and full demographic underpinnings to labour supply. The results suggest that, in the short run, the dominant force is financial capital inflows, which are appreciating. In the long run demographic forces prove to be weak relative to skill transformation and services sector productivity. These are both comparatively powerful and depreciating. While financial capital inflows driven by expected appreciation may be self-fulfilling in the short run, these results suggest that the fundamental forces are more likely to favour a trend toward real depreciation.Exchange rate, economic growth, demographic change, Chinese economy

    Review on Financial Forecasting using Neural Network and Data Mining Technique

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    The rise of economic globalization and evolution of information technology, financial data are being generated and accumulated at an extraordinary speed. As a result, there has been a critical need for automated approaches to effective and efficient utilization of massive amount of financial data to support companies and individuals in strategic planning and investment decision-making. The competitive advantages achieved by data mining include increased revenue, reduced cost, and much improved marketplace responsiveness and awareness. There has been a large body of research and practice focusing on exploring data mining techniques to solve financial problems. This paper describes data mining in the context of financial application from both technical and application perspective by comparing different data mining techniques

    Linkages between U.S Cross-border Portfolio Equity Flows and Equity Markets

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    There is an ongoing debate over the role that equity markets play in determining and influencing international equity flows. The first chapter of this dissertation describes the large portfolio equity flows into China and India, in order to understand the buying behavior of US investors. The rapid growth of the Chinese and Indian economies, coupled with the recent development and liberalization of their financial markets has attracted significant portfolio investment from U.S. investors. It is commonly assumed that domestic investors have an informational advantage over foreign investors; however, some recent empirical literature has questioned this assumption. Essay one dissects the nature of the relationship between foreign equity flows, equity returns, and related variables. The results of my empirical investigation provides evidence that U.S. institutional investors are making investment decisions based on long-run determinants of value rather than responding to price signals or ‘chasing returns\u27. I anticipate that the strong relationship between equity flows and fundamentals will strengthen as information asymmetries decline and US investors continue to develop more sophisticated methods of assessing underlying value in China and India. The second essay of this dissertation explores a new panel data set based on US gross cross-border equity flows to 20 industrialized nations combined with measures of market valuation for the period of 1977-2005. Empirical evidence of imperfect integration across world equity markets indicates that valuation matters. Consistent with relative value trading as a determinant of equity flow patterns, I find that equity flows decrease sharply with host-country market valuations—in particular the component of valuation that is forecasted to revert the following year. I also find that equity flows increase sharply with US equity market valuations. These results suggest the existence of a valuation channel for cross-border equity flows. The findings of this chapter show that US investors are informed about both domestic markets and foreign markets. Peripheral findings of this essay confirm the findings of other researches, but with a longer sample period. Consistent with existing literature, I find a negative influence of interest rates spreads, and information asymmetries on cross-border trade in equities

    Critical review on PPP Research - A search from the Chinese and International Journals

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    © 2016 Elsevier Ltd and Association for Project Management and the International Project Management Association. A significant number of literatures have concentrated on diverse issues related to Public-Private Partnership (PPP) both in China and abroad. However, there is no systematic analysis on the PPP research progress and status in Chinese journals, which is worth investigating because China is one of the largest PPP markets globally. In addition, there are many PPP publications in international journals based on the context of China. A comparative study is still missing between the PPP publications in Chinese journals and international journals. This paper hence aims to conduct a critical review of PPP publications from selected first tier Chinese journals and international journals. Based on a three-stage literature review research framework, 615 and 70 high quality research papers on PPP topics were selected from Chinese and international journals in the last decade between 2005 and 2014, respectively. Main research methods, research topics and research findings were then identified through content analysis and statistical analysis methods. It is found that in these two journals the frequently adopted research methods are case study, literature review, modeling, questionnaire survey and comparison; and the popular research topics include PPP models and their application, risk management, financing and economic issues, legal and procurement issues, government regulation and guarantee. Comparison analysis results show that in terms of order of popularity, there are more similarities in the research topics than research methods in Chinese and international journals. The outcomes of this paper contribute to the PPP body of knowledge through summarizing PPP research in Chinese journals and international journals in the context of China. In addition, the findings are valuable for Chinese researchers to embark future research on PPP. This paper also breaks the language barrier and enriches western researchers a better understanding of the research status of PPP in the context of China

    A cross plant comparison of an ERP/MRP system

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    In July 2007 Kemira Chemicals implemented a new ERP/MRP system in its North American Operations. The focus of this project is to compare inventory management practices at two Kemira plants both of which have long supply chains but elected to utilize the MRP system in different ways. The Prince George plant manages raw material inventories internally and the Bushy Park plant which is managed externally through the use of brokers. Due to the fact that forecasting is not customer order driven we can see considerable evidence of the bullwhip effect ...The four common bullwhipping behaviours: poor forecasting methods, order batching, price variations and the rationing game have all been observed in both supply chains throughout the research period ... Wherever possible visibility and control within the supply chain should be improved to mitigate risk ...The following recommendations should be implemented immediately. Bushy Park should fully employ all its purchasing activities in the ERP/MRP system. Communication should be improved between Kemira and its brokers to improve transparency of raw material inventory as it moves through the supply chain. A better methodology/discipline of forecasting should be executed immediately including a formal review process in cases where additional inventory is being ordered to take advantage of a price promotion. --P. 5.The original print copy of this thesis may be available here: http://wizard.unbc.ca/record=b166638
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