With the accelerating of economic globalization, the effect of foreign factors on Chinese tangerines export is more and more obvious, which is mainly expressed as the fluctuation of Chinese tangerines export price. The article uses SVAR, impulse response analysis and variance decomposition to analyze the interaction between Chinese export price and world import price of tangerines from 1961 to 2007. The research shows that: (1) periodicities of the two prices are obvious; (2) fluctuation frequency of Chinese export price is high and its fluctuation range is low, while that of world import price is just the opposite; (3) changes of Chinese export price are mainly affected by its own fluctuation, while world import price is not only affected by its own fluctuation but also shocked by Chinese export price; (4) fluctuation characteristics of two prices indicate that there is serious price distortion in world tangerines market, so it requires carrying on multilateral negotiation under WTO agreement to eliminate trade barriers in tangerines market and to improve the world welfare.
[Show abstract][Hide abstract] ABSTRACT: Building on Koop, [Koop et al. (1996) Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 74, 119–147] we propose the `generalized' impulse response analysis for unrestricted vector autoregressive (VAR) and cointegrated VAR models. Unlike the traditional impulse response analysis, our approach does not require orthogonalization of shocks and is invariant to the ordering of the variables in the VAR. The approach is also used in the construction of order-invariant forecast error variance decompositions.
[Show abstract][Hide abstract] ABSTRACT: This paper presents a unified approach to impulse response analysis which can be used for both linear and nonlinear multivariate models. After discussing the advantages and disadvantages of traditional impulse response functions for nonlinear models, we introduce the concept of a generalized impulse response function which, we argue, is applicable to both linear and nonlinear models. We develop measures of shock persistence and asymmetric effects of shocks derived from the generalized impulse response function. We illustrate the use of these measures for a nonlinear bivariate model of US output and the unemployment rate.
Journal of Econometrics 02/1996; 74(1):119-147. DOI:10.1016/0304-4076(95)01753-4 · 1.60 Impact Factor
[Show abstract][Hide abstract] ABSTRACT: The demand for money is an important function of stabilization policies where such policies depend on the ability to manipulate the size of money supply in order to insulate real output from monetary disturbances. This paper investigates whether foreign money in Egypt should be included in transactions oriented measures of money supply. Variance decompositions analysis of demand functions for domestic money reveals that deviation of the expected rate of return on foreign money from that on domestic money is more influential than expected depreciation in accounting for quarterly forecast error variance in domestic real balances. This result suggests that portfolio rather than transactions considerations is the dominant factor behind holding foreign money in Egypt. The main policy implication contained in these results implies that foreign money should not be included in transactions oriented measures of money supply that are used as targets when implementing a monetary policy.
Journal of Economic Studies 04/2001; 28(January):122-135. DOI:10.1108/EUM0000000005427
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