DSpace Collection:https://hdl.handle.net/10171/230182024-03-29T06:02:39Z2024-03-29T06:02:39ZThe PPP hypothesis in the US/China relationship. Fractional integration, time variation and data frequencyhttps://hdl.handle.net/10171/230312022-05-31T09:58:43Z2011-01-01T00:00:00ZTitle: The PPP hypothesis in the US/China relationship. Fractional integration, time variation and data frequency
Abstract: This paper deals with the analysis of the Purchasing Power Parity (PPP) hypothesis in China by means of fractional integration or I(d) techniques. Using real exchange rates data between the Chinese Yuan and the US dollar, the results indicate that the estimated integration order d is generally larger than 1, which means that the PPP hypothesis in China does not hold in the long run over the sample period 1994M01 to 2010M11. Moreover, to check the stability of d across the sample period, we re-estimate it recursively over different subsample periods with 5-year and 10-year data frequencies respectively. The recursive estimated results show that after the structural change at the beginning of the sample period, the fractional differencing parameter d remains stable and generally larger than 1.2011-01-01T00:00:00ZStock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamicshttps://hdl.handle.net/10171/230302022-05-31T09:58:43Z2011-01-01T00:00:00ZTitle: Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics
Abstract: This paper analyzes the long-term dynamics of Chinese stock market prices, using the data series of daily closing spot price indices from Shanghai and Shenzhen stock markets, two major stock exchange markets in China. Both autoregressive and fractional models have been employed: in the former case, we implement standard unit root tests to determine the nonstationarity; while for the fractional I(d) models, we use a parametric testing procedure developed by Robinson (1994) and a semiparametric estimation method based on a “local” Whittle estimate of d (Robinson, 1995). The results show strong evidence in favour of unit roots and thus lack of mean reverting behaviour for the log-prices series, when using both the classical methods based on integer degrees of differentiation but also when applying fractionally integrated techniques. On the other hand, when examining the volatility processes by means of studying the absolute and the squared returns series, the results strongly support the view of fractional integration in all cases, with the orders of integration fluctuating in the range (0, 0.5). This implies stationary long memory in volatility.2011-01-01T00:00:00ZBanks’ Net Interest Margin in the 2000s: A Macro-Accounting International Perspectivehttps://hdl.handle.net/10171/230292023-06-05T08:39:23Z2011-01-01T00:00:00ZTitle: Banks’ Net Interest Margin in the 2000s: A Macro-Accounting International Perspective
Abstract: This paper re-examines the determinants of Net Interest Margin (NIM) in the banking industries
of 15 developed and emerging economies. It presents three main contributions
with respect to previous studies: first, we analyze the determinants of NIM in the years
leading to the 2008 financial crisis; second, we account for the role of different accounting
standards across countries; third, we use multi-way cluster estimation methodologies
which control for cross-sectional and time-series dependence in macroeconomic and
banking variables. We find that the introduction of International Financial Reporting
Standards (IFRSs) contributed to lower NIM variations unexplained by standard accounting
variables. Interest rate volatility is found to be positively and strongly related to
NIM dynamics, whereas inflation risk is often found to be a relevant driver of NIM crosscountry
differences.2011-01-01T00:00:00ZHousing Sales in Urban Beijinghttps://hdl.handle.net/10171/230282022-05-31T09:58:43Z2011-01-01T00:00:00ZTitle: Housing Sales in Urban Beijing
Abstract: In the housing market, new properties sometimes experience delays before they are
sold. Such delays reflect the preferences of buyers in respect of the homes’ characteristics.
Therefore, it is important for managerial purposes to identify the causes of housing
sales delays. After analyzing the delays in sales of housing in Beijing City, China, the
principal finding of this study is that delays are largely explained by the dwellings’ characteristics
and location. Policy implications of the research findings, particularly those related
to means of reducing the delays, are discussed.2011-01-01T00:00:00Z