Does the Phillips Curve Dominant the Fluctuations of Inflation

[[abstract]]We used the panel smooth transition regression (PSTR) model to investigate whether the relationship between inflation and macro variables remain consistent and identify the macro variables that dominate the fluctuations of inflation based on the uncertainty of interest rates and exchange rates for G7 over the period from 19841Q to 20114Q. The results of the empirical tests show that the real activity variables have superior explanatory power to CPI than unemployment rates based on the volatility of interest rates. The real activity variables have greater exploratory power to CPI because the volatility of the exchange rate is over than 40.95%.[[booktype]]紙

An Empirical Analysis of the Relationship between Oil Price Volatility and Stock Returns of G7 Markets using a Panel Smooth Transition Regression Model

[[sponsorship]]Nagasaki University[[conferencetype]]國際[[conferencedate]]20111210~20111212[[booktype]]紙本[[iscallforpapers]]Y[[conferencelocation]]Japan, Nagasak

The Impact of the Appreciation of Renminbi on Stock Prices in China

[[abstract]]Since removal of the peg in July 2005, China has entered a new era of a managed floating exchange rate system. Although many observers have raised concerns about the impact of such a policy change on China's trade surplus, less attention has been paid to its effects on financial markets. This paper investigates the impact of recent renminbi appreciation on stock prices in China since removal of the peg, using threshold cointegration and momentum threshold error-correction model (M-TECM). The results clearly illustrate that no short-run causal relation exists, and an asymmetric causal relationship running from the renminbi/U. S. dollar exchange rate to Chinese Shanghai A-share stock prices in the long run is based on M-TECM. Policy and the broader implications of the findings are discussed.[[journaltype]]國外[[incitationindex]]SSCI[[booktype]]紙本[[countrycodes]]US

Who has more influence on Asian stock markets around the subprime mortgage crisis – the US or China?

[[abstract]]This article employed the Momentum Threshold Autoregressive (M-TAR) model to investigate the changes in the asymmetric co-integration relationship between the US and China's stock markets and Asian stock markets of Taiwan, Hong Kong, Singapore, Japan, Korea and India around the subprime mortgage crisis. The main empirical findings demonstrated that with the application of traditional symmetric co-integration tests, the subprime mortgage crisis did not reinforce the co-movement trends between the US and China's markets and Asian markets. However, with the application of the M-TAR model for the threshold co-integration test, there was significant increase in these asymmetric co-integration relationships between them during the period of the subprime mortgage crisis, and our empirical results show evidence that the linkage between the US and China's stock markets is low, and investors can somewhat diversify risks by investing in the United States and China simultaneously.[[notice]]補正完畢[[journaltype]]國外[[incitationindex]]SSCI[[ispeerreviewed]]Y[[booktype]]紙本[[countrycodes]]GB