Browsing by Research Output - Type "Working Paper"

Includes bibliographical references (p.22-24).

Includes bibliographical references (p.29-30)

This paper attempts to develop a modified signal extraction method for detecting the existence of bubbles. Since most of the economic series are non-stationary, the fully modified (FM) procedures are introduced in order to solve the spurious regression problems. To illustrate how our method works, we employ it to study the property markets of Hong Kong. The stock orthogonality test shows that the noise component incorporating misspecification errors and bubbles components is highly significant, while the flow orthogonality test suggests that the misspecification errors might not occur in the estimation. These two findings provide the evidence that the bubbles are likely to exist in the property markets of Hong Kong between 1985:Q1 and 1997:Q3.

21 pages.

12 pages

44 pages

37 pages

Hong Kong Shue Yan University. Dept. of Economics and Finance.

Cover title.

In this paper, we consider the generalized-least-squares (GLS) threshold autoregressive (TAR) and the GLS momentum-TAR (MTAR) cointegration tests when employing consistently estimated threshold values. We simulate the finite-sample critical values for these tests with different sample sizes, varying number of variables and lagged changes in the threshold models. The critical values are useful for empirical studies using threshold cointegration analysis.

39 pages

Probably as a consequence of the increasing importance of the monetary sector in China, a considerable number of studies have been devoted to estimate the money demand functions of the country. However, most of these studies have failed to address the three important aspects of money demand functions altogether. The three aspects that the money demand function must consider for the case of China are: (I) the structural change in the economy, (ii) the non-stationarity of the data observed in China and (iii) the stability of the estimated models. The present study attempts to confront these problems.

21 pages

"March 2007" - Cover.

Many previous studies show that education is one of a small number of fairly important determinants of economic growth. In addition to testing whether this relationship holds true in China, this paper attempts to address an equally important issue, that is, what level of education is more compatible with the needs of the current stage of development of China if education is important. To answer this question, we have modified the convergence model so that the effects of any change in education inputs on income and inequality are both measurable from the model. By using this model, we compare alternative educational policies in achieving the targets of raising per capita income and reducing regional equality in China.

16 pages

This study attempts to test for the presence of price and exchange rate bubbles during the interwar European hyperinflations of Germany, Hungary and Poland. We suggest a testing methodology, which extends the Durlauf-Hooker approach, for conducting this empirical study. Exact Cagan hyperinflation models under rational expectations are rejected and evidence of neither price nor exchange rate bubbles can be found for the three countries examined.

.SYC 332.456094 CHA