CEJ Volume 3. No. 3. 2010


 date:2011-5-25 14:06:00 source:BiMBA         

Table of Content

1. Nowcasting Chinese GDP: information content of economic and financial data
Matthew S. Yiu; Kenneth K. Chow
Pages 223 - 240

2. Relationships between oil price shocks and stock market: an empirical analysis from Greater China
Chu-Chia Lin; Chung-Rou Fang; Hui-Pei Cheng
Pages 241 - 254

3. Has economic freedom fostered bank performance? Panel evidence from China
Fadzlan Sufian; Muzafar Shah Habibullah
Pages 255 - 279

4. On the role of personal relationships for doing business in the Greater Pearl River Delta, China
Frank Bickenbach; Wan-Hsin Liu
Pages 281 - 306

5. Market socialism, Chinese style: bringing development back into economic theory
Wan-wen Chu
Pages 307 - 312

6. A study of prepayment risks in China's mortgage-backed securitization
Ho-Mou Wu; Changrong Deng
Pages 313 - 326

Article Abstract

1. Nowcasting Chinese GDP: information content of economic and financial data
Matthew S. Yiu; Kenneth K. Chow
Pages 223 - 240
This article applies the factor model proposed by Giannone, Reichlin, and Small (2005) on a large data set to nowcast (i.e. current-quarter forecast) the annual growth rate of China's quarterly GDP. The data set contains 189 indicator series of several categories, such as prices, industrial production, fixed asset investment, external sector, money market, and financial market. This article also applies Bai and Ng's criteria (2002) to determine the number of common factors in the factor model. The identified model generates out-of-sample nowcasts for China's GDP with smaller mean-squared forecast errors than those of the random walk benchmark. Moreover, using the factor model, we find that interest rate data is the single most important block of information to improve estimates of current-quarter GDP in China. Other important blocks are consumer and retail prices data and fixed asset investment indicators.
Keywords: large data set; pseudo real-time estimates; factor model; Kalman filtering; nowcasting; information content
http://www.informaworld.com/smpp/content~db=all~content=a936890772~frm=titlelink

2. Relationships between oil price shocks and stock market: an empirical analysis from Greater China
Chu-Chia Lin; Chung-Rou Fang; Hui-Pei Cheng
Pages 241 - 254
Although a lot of empirical research has studied the relationship between changes in oil price and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the Greater China region (China, Hong Kong and Taiwan). Therefore, the main goal of this article is to apply detailed monthly data from 1997/7 to 2008/9 to fill this gap. Compared to the effect of US stock market returns described by Kilian (2009) and Kilian and Park (2009), we found that the impact of oil price shocks on stock prices in Greater China has been mixed. First, the impact of oil price shocks on Taiwan's stock market is very similar to that on the US stock market. Additionally, all three shocks have had significantly positive impacts on Hong Kong's stocks, partially in contrast to the effects on the US stock market. However, in contrast to the effect in the US stock market, we found that only global oil supply shock has a significantly positive impact on China's stock returns, but global oil demand shock and the oil specific demand shock have no significant impacts. The reason for the lack of significant impacts is that the positive expectation effect of China's fast economic growth may be just offset by the negative effect of a precautionary demand-driven effect. This result is also consistent with the previous empirical findings that the segmented and integrated China stock market is mixed, and it implies that the China stock market is 'partially integrated' with the other stock markets and oil price shocks.
Keywords: oil price shock; stock market; Greater China
http://www.informaworld.com/smpp/content~db=all~content=a936886045~frm=titlelink

3. Has economic freedom fostered bank performance? Panel evidence from China
Fadzlan Sufian; Muzafar Shah Habibullah
Pages 255 - 279
The impact of economic freedom on the well-being of the economy has been widely documented. Noticeably absent from the literature is empirical evidence on the impact of economic freedom on the banking sector. This article employs data on the Chinese banking sector and provides for the first time empirical evidence on the impact of economic freedom. We find evidence supporting far greater freedom for entrepreneurs to start businesses. The empirical findings seem to suggest that greater freedom of trade positively influences the performance of banks operating in the Chinese banking sector. However, the impact of the different dimensions of economic freedom is not uniform across Chinese banks with different ownership structures.
Keywords: banks; economic freedom; profitability; panel regression analysis; China
http://www.informaworld.com/smpp/content~db=all~content=a936882527~frm=titlelink

4. On the role of personal relationships for doing business in the Greater Pearl River Delta, China
Frank Bickenbach; Wan-Hsin Liu
Pages 281 - 306
This article investigates the role of personal relationships for doing business in the Greater Pearl River Delta, China (GPRD). First, it discusses the interplay of formal and informal (relationship-based) institutions based on institutional economics. Second, it describes the institutional environment for doing business in China, and in the GPRD in particular. Third, it uses data obtained from a survey among executives of Hong Kong electronics SMEs with business operations in the Pearl River Delta (PRD) to gain insights into their perceptions of the importance and the motives of using personal relationships for business in PRD in general, and on the impact of personal relationships on location and partner decisions for companies' production as well as innovation activities, in particular. The results confirm the importance of personal relationships for doing business in the GPRD and suggest that companies rely on personal relationships for business not only for cultural reasons but also to cope with deficient legal and political institutions.
Keywords: personal relationships; formal and informal institutions; business activities; China; company survey
http://www.informaworld.com/smpp/content~db=all~content=a936882402~frm=titlelink

5. Market socialism, Chinese style: bringing development back into economic theory
Wan-wen Chu
Pages 307 - 312
China became an important engine of growth for the world during the recent global financial crisis, mainly because of the Chinese government's willingness and ability to stimulate aggregate demand quickly and effectively. China has been able to achieve that partly because of the legacy of central planning before the reform. The local governments implement infrastructure and other projects effectively and quickly, and the state-owned banks lend freely, under the guidance of the central government. These institutional arrangements, however, have been responsible for China's sustained growth since reform began in 1978. They are more for development than for aggregate demand management. The recent event only heightens the merits of its growth-promoting system. A question arises regarding the merits of the Chinese system of market socialism in general. Regarding economic theories, the outstanding performance of the Chinese economy has three implications: (1) Keynesianism is still alive; (2) Gerschenkron's theories of economic backwardness remain valid - that is, the larger the gap, the greater the need to socialize investment risks, and the more forceful the government's intervention needs to be; and hence (3) the more imbalanced the development process will be. These imbalances present daunting challenges.
Keywords: financial crisis; market socialism; Gerschenkron; Chinese economy
http://www.informaworld.com/smpp/content~db=all~content=a936882887~frm=titlelink

6. A study of prepayment risks in China's mortgage-backed securitization
Ho-Mou Wu; Changrong Deng
Pages 313 - 326
Prepayment decisions bring risks to the process of mortgage-backed securitization (MBS) and make pricing of these assets difficult. With data from a Chinese bank's mortgage-backed security pool, we examine prepayment decisions of the borrowers. Since multiple prepayments are allowed without penalty in China, we also distinguish between the probability and the proportion of prepayment. With discrete choice models and a Type II Tobit model, we conclude that the probability of prepayment is affected by the starting account balance, monthly effects, duration, term of debt, house type, trading type of loan, house value and size of mortgage. The probability is also affected by individual factors, including gender, age, education level, individual income and family income. Interestingly, the female borrowers are more likely to prepay, while older borrowers intend to prepay a fewer number of times but with a larger amount each time. In addition, similar factors as above are also shown to explain the choices of proportions of prepayment, with some reasonable adjustments. Our results imply that the variations in income, expenditure, geographic difference and opportunities in the financial market should be included for consideration of risk in the MBS process in China.
Keywords: prepayment; single-month mortality; mortgage-backed securities
http://www.informaworld.com/smpp/content~db=all~content=a936882227~frm=titlelink

 
 
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