Suchergebnisse

This study reveals certain systematic tendencies in consumer behavior in Taiwan from 1951 to 1990. The method of systems estimation and precision estimates revealed by significant t statistics and higher R2 make the system of equations a useful tool to characterize broad tendencies in individual allocation of expenditure behavior. This analysis has important implications for government production strategies relating to price and subsidy policies and promotion of reasonable standards of social welfare and health. In general, this study represents our attempt to make a systematic estimation of consumer demand to identify the broad tendencies of individual demand behavior in Taiwan.

This study applies the threshold autoregressive (TAR) method proposed by Caner and Hansen (2001) to test the validity of long-run purchasing power parity (PPP) in 14 transition countries, using monthly real effective exchange rates over the period January 1994– June 2012. The empirical results indicate that PPP holds only in five countries (i.e., Cyprus, Lithuania, Latvia, Poland, and Slovenia). Furthermore, we found that the adjustment toward PPP is nonlinear.

This study uses a cointegration analysis and vector autoregressive models to investigate the transmission of stock price movements among Taiwan and its major trading partners, Hong Kong, Japan and the United States. The results of Johansen cointegration test indicate that four stock markets considered are cointegrated with one cointegrating vector, which violates the semi-strong form of the market efficiency hypothesis. The results from Granger-causality test based on error-correction models suggest the relative leading roles of the U.S. and Japanese markets in driving fluctuations in the other two markets. In order to capture the impacts of the economic shocks, two dummy variables are incorporated into the models taking into account the U.S. stock crash of October 1997 (D97) and the previous spreading Asian finance crises (Dac). The results indicate that D97 significantly affects the U.S. stock market, but shows no significant impact on the others. The Dac, however, shows significant impacts on both the Japanese and the U.S. markets. The robustness of the relative leading roles of the U.S. and Japanese markets are further supported by the variance decompositions and impulsive response functions indicators. The Taiwan and Hong Kong markets are somewhat affected more by regional countries such as Japan than by the U.S.

AbstractThis research analyzes the degree of persistence of the economic policy uncertainty (EPU) index for 23 countries using two novel quantile unit root tests that allow for smooth breaks and quantile‐specific stochastic behavior. After executing conventional linear and non‐linear unit root tests, we find scant evidence in favor of stationarity of the EPU indices, yet applying the quantile unit root test with smooth breaks presents more evidence in favor of stationarity. Our results indicate that the EPU index series of these countries respond differently to positive shocks, which may result in a jump in uncertainty. For some countries like the UK, positive shocks to EPU have transitory effects and disappear in the short run, whereas for 10 countries such as China, the positive shocks have long lasting (persistence) effects. Our results offer important policy implications.

This study applies the Sequential Panel Selection Method to investigate
whether the growth rate of total insurance premium is independent of their
size, as postulated by Robert Gibrat?s (1931) Law of Proportionate Effects.
Time-series data for the total insurance premium of 35 insurance companies in
China during the December 2005 to May 2011 period are used. Since other
panel-based unit root tests are joint tests of a unit root for all members of
a panel and are incapable of determining the mix of I(0) and I(1) series in a
panel setting, the SPSM, proposed by Georgios Chortareas and George
Kapetanios (2009), classifies a whole panel into a group of stationary series
and a group of non-stationary series. In doing so, we can clearly identify
how many and which series in the panel are stationary processes. The
empirical results from the SPSM tests unequivocally indicate that Gibrat?s
Law is only valid for one of these 35 companies studied here. Our study has
important policy implications for insurance regulation, insurance market
construction, and policyholder protection.

We re-examine the Pollution Haven and Pollution Halo hypotheses (PHEH and
PHALH) using a quantile-based Bootstrap Fourier Granger causality test, a
method adept at identifying non-linear structural breaks. Our study
encompasses data from China and the G3 countries (Japan, the UK, and the
USA) spanning the period from 1980 to 2020. Our empirical findings reveal
that data from the USA corroborates the PHEH, suggesting a trend where
increased foreign direct investment (FDI) aligns with higher environmental
degradation. In contrast, data from China affirms the PHALH, indicating that
FDI contributes to improved environmental standards. However, data from
Japan and the UK do not conclusively support either hypothesis. These
results have significant implications for governmental policy formulation in
China and the G3 countries, particularly in shaping FDI policies that align
with environmental sustainability goals.

Abstract
This study applies the generalized sub ADF (GSADF) tests to investigate whether bubbles exist in the United States markets over the period of 2015-2019, focusing on the COVID-19 period. We use daily Dow-Jones stock price indexes for the first time during the time period of 2015/1/7-2020/3/17. Empirical results demonstrate the existence of bubbles in the US stock market during some sub-sample time periods. Especially important, we find the third bubble begins from 2020/2/26 and grows gradually, not bursting until recently, a situation that is ongoing in the US market. Our results have important policy implications for investors who attempt to invest in the US stock market