Essays on Econometrics with Applications to China

• Other Authors: Liang, You Sha (author.)
• Format: Others
• Language: English; Chinese
• Published: 2016
• Online Access: http://repository.lib.cuhk.edu.hk/en/item/cuhk-1292428

本毕业论文的三篇文章是关于计量经济学的应用，主要应用于中国问题。第一篇文章通过调查形成于1842年到1943年之间的通商口岸的影响，主要研究产权制度对经济发展的作用。在这期间，开埠通商使得不同的县级市之间，形成了不同的产权制度。距离通商口岸比较近的县级市发展了比较好的产权制度距离通商口岸比较远的县级市，产权制度相对落后。我们证实，更好的产权制度能够促进经济发展， 并延续到今天。另外， 相对于佛教信仰， 基督教信仰， 少数民族比例， 和教育年限来说， 估计的产权制度对经济发展的作用是稳健的。 === 第二篇文章构造了4个非线性的时变模型，并应用该模型研究货币需求的稳定性。本文主要达成两个目的(1)用分布动态的方法，检验货币需求的稳定性;(2)揭示货币需求的缓慢结构性变化。基于1996年到2012年的数据，对中国货币需求方程的估计表明(1)在1996到2007年期间，货币需求方程是稳定的;(2)但是，在后危机时代，双峰现象的存在表明了货币需求的不稳定。另外，估计结果提供证据证明，支配股票价格以及人民币汇率对货币需求的影响的主要因素随时间发生变化。 === 第三篇文章研究中国的人民币汇率市场。人民币在岸汇率(CNY)和离岸汇率(CNH)表现出强烈的联动现象，并且偶尔表现出异常的波动。然而，人民币汇率市场之间的联系很少被系统地研究。采用对称的与非对称的GARCH模型，我们记录了两个人民币汇率市场之间的四个脱钩时期，并且证明，在C阳…CNY价差中，存在显著的波动率聚集现象以及杠杆效应。我们进一步估计对人民币汇率市场的干预作用， 主要关注811人民币汇率改革的作用。我们的发现揭示了央行的干预策略， 干预的有效性， 以及在转型过程中CNY中间价的形成机制。 === This thesis consists of three essays on econometrics with applications to China. The first essay studies the effect of property rights institutions on economic performance by investigating the effect of the treaty port system in China from 1842 to 1943. During this period, the opening of treaty ports led to very different property rights institutions across counties in China. Counties with easy access to treaty ports developed better property rights institutions; for counties far away from treaty ports, the property rights institutions were relatively poor. We then provide evidence that better property rights institutions have led to better economic performance to the present day. Moreover, the estimated effect of property rights institutions on economic performance is not sensitive to Buddhism, Protestantism, the minority ratio, and years of schooling. === The second essay develops a nonlinear time-varying model and investigates the stability of money demand function. We try to fulfill two important objectives: (i) test the stability of money demand using a distribution dynamics approach, and(ii) shed light on the gradual structural change in money demand. Our estimation of the money demand function in China for 1996–2012 shows that (i) for the period 1996–2007, the money demand function was stable, but (ii) for the post-crisis periods, the presence of bimodality indicated the instability of money demand. In addition, estimation results provide evidence that the dominant force of the net effect of stock price and exchange rate on the demand for money is changing over time. === The third essay studies the RMB exchange rate markets in China. Exchange rates in RMB onshore (CNY) and offshore (CNH) markets have shown both strong long-run co-movements and occasional abnormal fluctuations. However, the timevarying linkage between RMB markets has been rarely studied under a standardized framework. Using symmetric and asymmetric generalized autoregressive conditional heteroscedastic (GARCH) models, we document four decoupling periods for these two RMB markets since 2010, and demonstrate significant volatility clustering phenomena and leverage effect in CNH-CNY pricing differential. We further estimate the intervention impact on RMB markets, with a special focus on the “August 11” Exchange Rate Reform. Our findings shed some light on the intervention strategy of the central bank, the efficiency of intervention, as well as the formation rule of CNY central parity during the transition. === Liang, You Sha. === Thesis Ph.D. Chinese University of Hong Kong 2016. === Includes bibliographical references (leaves ). === Abstracts also in Chinese. === Title from PDF title page (viewed on …). === Detailed summary in vernacular field only. === Detailed summary in vernacular field only. === Detailed summary in vernacular field only.