4,973 research outputs found
A De Facto Asian-Currency Unit Bloc in East Asia: It Has Been There but We Did Not Look for It
Pegging in a coordinated way to a regional basket currency is considered by many as optimal for east-Asian countries. By contrast, according to existing empirical studies, these countries have most often relied on non-cooperative United States dollar or G3 pegs. We show for the first time that by the late 1990s, with some reversals, a majority of east-Asian countries had already moved, de facto, away from the dollar peg and started targeting a basket, including east-Asian currencies (an “Asian Currency Unit”). Common-shock or market-based interpretations of such moves are ruled out since we document that, with few exceptions, countries in the region have in reality stuck to fixed exchange rates. We obtain such results using a Markov-switching estimation benchmarked against Bai-Perron structural break tests for the synthesis model of Frankel and Wei (2007), which augments the inference about currency weights in a basket with the weight on exchange-market pressure. In order to measure the latter, the forward positions of central banks in the foreign exchange market are taken into account.asian currency unit; east asian currencies; exchange rate regimes
Travelling waves for diffusive and strongly competitive systems: relative motility and invasion speed
Our interest here is to find the invader in a two species, diffusive and
competitive Lotka-Volterra system in the particular case of travelling wave
solutions. We investigate the role of diffusion in homogeneous domains. We
might expect a priori two different cases: strong interspecific competition and
weak interspecific competition. In this paper, we study the first one and
obtain a clear conclusion: the invading species is, up to a fixed
multiplicative constant, the more diffusive one
Does the Nominal Exchange Rate Regime Affect the Long Run Properties of Real Exchange Rates?
This paper examines whether the behaviour of the real exchange rate is associated with a particular regime for the nominal exchange rate, like fixed and flexible exchange rate arrangements. The analysis is based on 16 annual real exchange rates and covers a long time span, 1870-2006. Four subperiods are distinguished and linked to exchange rate regimes: the Gold Standard, the interwar float, the Bretton Woods system and the managed float thereafter. Panel integration techniques are applied to increase the power of the tests. Cross section correlation is embedded via common factor structures. The evidence shows that real exchange rates properties are affected by the exchange rate regime, although the impact is not very strong. A unit root is rejected in both fixed and flexible exchange rate systems. Regarding fixed-rate systems, mean reversion of real exchange rates is more visible for the Gold Standard. The half lives of shocks have increased after WWII, probably due to a higher stickiness of prices and a lower weight of international trade in the determination of exchange rates. Both for the periods before and after WWII, half lives are lower in flexible regimes. This suggests that the nominal exchange rate plays some role in the adjustment process towards PPP.Real exchange rate persistence, exchange rate regime, panel unit roots
The financial integration of China: New evidence on temporally aggregated data for the A-share market
In spite of high trade openness, existing empirical work, using daily data, has not found any evidence of international financial integration of China. In this paper we examine to what extent the Chinese A-share market, de jure protected from foreign influences by capital controls, is actually integrated with global or regional markets. We study a long sample (October 1992 through March 2005) of active trading, within the framework of a regime-switching error correction model. We confirm the role of temporal aggregation in cointegration tests. With daily or mid-week closing prices, we do not find any long run relationship with either the New York or the Hong Kong market, thus replicating previous findings. However, the use of weekly averaged prices implies that, up to late 1996, the Shanghai A-share market index was cointegrated with the S&P500. Subsequently, this relationship broke down and a long run relationship with the Hang Seng index gradually arose. Information flows, as well as the prospects of de jure financial opening, and the growing awareness of valuation concepts among Chinese domestic investors, in the presence of multiple listing of Mainland firms, help explain the evidence of financial integration in spite of capital controlsChina's A-share market, Markov-switching ECM, temporal aggregation, international financial integration
Are Geese Flying by Themselves inside China? An LSTR-SEM Approach to Income Convergence of Chinese Counties
In this paper, we examine beta-convergence of real per-capita income of Chinese counties. We account for both the spatial dependences between counties and the possibility of different convergence regimes. The first feature is captured by the spatial error term, whereas the second one is modeled using the spatial logit smooth transition approach. Two groups of counties can be identified: 1) counties, which have relatively poor neighbors and tend to grow faster and converge, and 2) counties, which have relatively rich neighbors and tend to grow slower and hence fail to converge. The counties belonging to the first group are concentrated mainly in western interior provinces, such as Qinghai, Sichuan, Yunnan, western part of Xinjiang Uygur. The counties of the second group are located mainly in coastal regions. Whereas in the benchmark model the estimated convergence rate is 0.8% for unconditional regression and 1.7% for condtional regression, the alternative models produce the convergence rate of 1.3-1.5% for unconditional regressions and 2.3-2.6% for conditional regressions, which is quite close to the estimates reported typically in the literature.Chinese counties, income convergence, LSTR, spatial effects
How helpful are spatial effects in forecasting the growth of Chinese provinces?
In this paper, we make multi-step forecasts of the annual growth rates of the real Gross Regional Product (GRP) for each of the 31 Chinese provinces simultaneously. Beside the usual panel data models, we use panel models that explicitly account for spatial dependence between the GRP growth rates. In addition, the possibility of spatial effects being different for different groups of provinces (Interior and Coast) is allowed for. We find that both pooling and accounting for spatial effects helps substantially improve the forecast performance compared to the benchmark models estimated for each of the provinces separately. It is also shown that the effect of accounting for spatial dependence is even more pronounced at longer forecasting horizons (the forecast accuracy gain as measured by the root mean squared forecast error is about 8% at the 1-year horizon and exceeds 25% at the 13- and 14-year horizon).Chinese provinces; forecasting; dynamic panel model; spatial autocorrelation; group-specific spatial dependence
Does Accounting for Spatial Effects Help Forecasting the Growth of Chinese Provinces?
In this paper, we make multi-step forecasts of the annual growth rates of the real GRP for each of the 31 Chinese provinces simultaneously. Beside the usual panel data models, we use panel models that explicitly account for spatial dependence between the GRP growth rates. In addition, the possibility of spatial effects being different for different groups of provinces (Interior and Coast) is allowed. We find that both pooling and accounting for spatial effects helps substantially improve the forecast performance compared to the benchmark models estimated for each of the provinces separately. It was also shown that effect of accounting for spatial dependence is even more pronounced at longer forecasting horizons (the forecast accuracy gain as measured by the root mean squared forecast error is about 8% at 1-year horizon and exceeds 25% at 13- and 14-year horizon).Chinese provinces, forecasting, dynamic panel model, spatial autocorrelation, group-specific spatial dependence
Ethnonationalist Triads: Assessing the Influence of Kin Groups on Civil Wars
Although the case-based literature suggests that kin groups are prominent in ethnonationalist conflicts, quantitative studies of civil war onset have both overaggregated and underaggregated the role of ethnicity, by looking at civil war at the country level instead of among specific groups and by treating individual countries as closed units, ignoring groups' transnational links. In this article the authors integrate transnational links into a dyadic perspective on conflict between marginalized ethnic groups and governments. They argue that transnational links can increase the risk of conflict as transnational kin support can facilitate insurgencies and are difficult for governments to target or deter. The empirical analysis, using new geocoded data on ethnic groups on a transnational basis, indicates that the risk of conflict is high when large, excluded ethnic groups have transnational kin in neighboring countries, and it provides strong support for the authors' propositions on the importance of transnational ties in ethnonationalist conflict.</jats:p
- …