by Lee Chi Kau. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 115-119). / Abstract also in Chinese. / ACKNOWLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.vi / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- THE LITERATURE REVIEW --- p.6 / Parametric Models / Nonparametric Estimation Techniques / Chapter THREE --- ANALYTICAL FRAMEWORKS --- p.21 / Parametric Models / Nonparametric Models / Chapter FOUR --- EMPIRICAL FINDINGS --- p.36 / Data / Estimation Results / Evaluation of Model Performance / Out-of-Sample Forecast and Evaluation / Chapter FIVE --- CONCLUSION --- p.54 / TABLES --- p.58 / ILLUSTRATIONS --- p.76 / BIBLIOGRAPHY --- p.115

本論文集收錄了三篇關於儲蓄的宏觀經濟學及其相關領域的文章。 / 第一篇文章討論儲蓄和跨期替代問題。在這篇文章中我們研究在新古典增長模型中，當採用不為1的要素替代彈性和非常數的跨期替代彈性時產生不同的儲蓄動態的問題。使用一般化的效用函數和生產函數，我們的結論覆蓋了現實中的各種儲蓄率變化形式，包括單調遞增、遞減、鐘形和U型。在此我們使用Stone-Geary效用函數和CES生產函數作為一個特例來說明問題。使用相點陣圖分析方法，我們得出了可以導致不同儲蓄率動態的充分和必要條件。我們的數量測驗支持理論的結果。作為一個擴展，接下來我們討論了連續時間OLG模型中的儲蓄率動態。當放鬆偏好和技術兩方面的假設時，我們依然得出了類似於新古典模型的豐富的儲蓄率動態。 / 第二篇文章是一個關於可變IES假設的經驗研究。在這篇文章中我們研究了跨期替代彈性的跨國差異，以及在某一特定國家的增長路徑中其可能的變化。在估計中我們使用了不同形式的歐拉方程模型，尤其是具有Stone-Geary效用形式的約束條件的模型。我們使用東亞和南亞國家面板資料的研究不能拒絶遞增IES的假設。使用兩個典型亞洲國家：日本和韓國的時間序列研究也得出了IES在經濟增長過程中遞增的結論。這一結果給第一章中的理論發現提供了經驗支持，與這些國家的儲蓄率動態變化情況也是相吻合的。 / 第三篇文章在一個具有不對稱生產技術的兩國開放經濟模型中採用數量方法探討了中國的高儲蓄率和經常帳戶不平衡問題。我們估計了中國和OECD國家的生產函數參數，發現中國生產函數中的要素替代彈性和資本份額都要明顯大於發達國家，其中中國的要素替代彈性大於1，而資本份額大于0.5，與文獻中的結論相近。在數量研究部分，我們發現在有中國式的高TFP增長之時，具有估計出的不對稱技術參數的模型能產生高得多的儲蓄和經常帳戶餘額，在2000年之前尤其與現實資料相吻合。而具有對稱技術參數的標準模型則得出了高經常帳戶赤字的結論，這與實際情況是矛盾的。 / This thesis consists of three essays on the issue of macroeconomics of saving and its related areas. / The first essay is on saving and intertemporal substitution. In this essay we study the possibility to generate different saving dynamics with a standard neoclassical growth framework, when allowing non-unitary factor elasticity of substitution (EOS) and non-constant intertemporal elasticity of substitution (IES). When employing both generalized utility and production function, our results can encompass all the varieties of saving patterns that are possible in the evidence, including monotonically increasing, decreasing, hump-shaped and U-shaped. We use the model with Stone-Geary utility and CES production function as a special case for illustration. Following the phase diagram approach, we have derived the necessary and sufficient conditions for the different saving dynamics. Our numerical tests can also support the theoretical findings. We have also studied the saving dynamics in another workhorse model, the OLG model with continuous time as an extension. When relaxing the assumptions in preference and technology, we also find rich transitional dynamics of saving that are close to those in the neoclassical model. / The second essay is an empirical study on the variable IES assumption. In this essay we study the cross-country difference with the intertemporal elasticity of substitution, as well as its possible changes in one country's growth transition. We test different forms of the Euler equation model, especially one with an increasing IES restriction as is implied by the Stone-Geary style utility function. Our estimation with the east and south Asia country panel data can not reject the increasing IES assumption. A time-series study on two typical Asian Country, Korea and Japan's IES also indicates an increasing IES in their growth path. These results provide some support to the theoretical findings in Chapter I, and are consistent with the countries' saving patterns in history. / The third essay investigates China's high saving rate and current account imbalance problem quantitatively in a two-country open economy macroeconomic model when using asymmetric production technologies. We estimate the production parameters for China and the OECD countries, and find that China's elasticity of substitution (EOS) and capital share in production are both higher than those of developed countries. While the estimated EOS of China is above one, the capital share of it is above 0.5 and close to the literature value. In the quantitative study, when there is high TFP growth rate, the model with estimated EOS and capital share can generate much higher saving and current account balance for China, which match the real series very well especially before the year 2000, while the standard model with symmetric production parameters predicts large current account deficits and is contrary to the evidence. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Luo, Gongshu. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese. / Abstract --- p.i / Contents --- p.iv / Chapter 1 --- Saving and Intertemporal Substitution --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.2 --- Saving in the Neoclassical Model --- p.6 / Chapter 1.2.1 --- Model Specification --- p.6 / Chapter 1.2.2 --- Equilibrium Saving Rate --- p.7 / Chapter 1.2.3 --- Transitional Dynamics of Saving --- p.8 / Chapter 1.2.4 --- A Numerical Study --- p.21 / Chapter 1.3 --- Saving in the Perpetual Youth Model --- p.25 / Chapter 1.3.1 --- Model Specification --- p.26 / Chapter 1.3.2 --- Different Utility Forms --- p.28 / Chapter 1.3.3 --- Saving Dynamics --- p.34 / Chapter 1.3.4 --- A Numerical Study --- p.35 / Chapter 1.4 --- Conclusion --- p.36 / Reference --- p.38 / Chapter Tables and Figures --- p.40 / Chapter 2 --- An Empirical Study on Intertemporal Substitution --- p.49 / Chapter 2.1 --- Introduction --- p.49 / Chapter 2.2 --- Theory of Variable IES --- p.54 / Chapter 2.3 --- Estimating IES --- p.59 / Chapter 2.3.1 --- The Euler Equation Approach --- p.60 / Chapter 2.3.2 --- Liquidity Constraint Model --- p.62 / Chapter 2.3.3 --- Extensions on Estimating IES --- p.63 / Chapter 2.3.4 --- On Testing Variable IES --- p.64 / Chapter 2.4 --- Methodology --- p.67 / Chapter 2.4.1 --- The Non-linear GMM Method --- p.67 / Chapter 2.4.2 --- Model to be Tested --- p.69 / Chapter 2.5 --- Data Issues --- p.71 / Chapter 2.6 --- Estimation Results --- p.75 / Chapter 2.6.1 --- Cross-country Panel Study --- p.75 / Chapter 2.6.2 --- Single-country Time Series Study --- p.78 / Chapter 2.7 --- Conclusion --- p.82 / Reference --- p.84 / Chapter Tables and Figures --- p.87 / Chapter 3 --- Production Differences and Current Account Imbalance --- p.94 / Chapter 3.1 --- Introduction --- p.94 / Chapter 3.2 --- Estimation on Capital Share and EOS --- p.100 / Chapter 3.2.1 --- Model Specification --- p.101 / Chapter 3.2.2 --- Data Construction --- p.103 / Chapter 3.2.3 --- Estimation Results --- p.104 / Chapter 3.3 --- A Two-Country Open Economy Model --- p.107 / Chapter 3.3.1 --- Model Setup --- p.107 / Chapter 3.3.2 --- Competitive Equilibrium --- p.109 / Chapter 3.3.3 --- Equilibrium conditions --- p.109 / Chapter 3.4 --- A Quantitative Study --- p.110 / Chapter 3.4.1 --- Calibration --- p.111 / Chapter 3.4.2 --- Parameters --- p.112 / Chapter 3.4.3 --- Initial and Steady-State Conditions --- p.112 / Chapter 3.4.4 --- Basic Results --- p.113 / Chapter 3.4.5 --- Some Special Features of the Model --- p.116 / Chapter 3.4.6 --- Counterfactural Experiments and Sensitivity Analysis --- p.117 / Chapter 3.4.7 --- A Discussion on the Role of IES --- p.119 / Chapter 3.5 --- Conclusion --- p.121 / Reference --- p.123 / Chapter Tables and Figures --- p.125

本文在分析不同改革運動中的成敗關鍵，文中分析日本明治維新、中國大躍進、文化大革命及改革開放中不同經濟因素之相互影響。文中從歷史中歸納出兩種對工業化及經濟發展最重要的因素：農業生產力及教育水平。日本明治維新及中國文化大革命時農業生產力及教育水平不斷上升，導至社會工業化及經濟發展加速；大躍進時則只有教育水平上升，農業生產力提高，故此工業化最後失敗及經濟水平低下。而把這模型套在改革開放亦同樣有效： 在改革開放時，農業生產力、教育水平、工業化及經濟發展四個指標同時上升。 / Inspired by the Meiji Restoration in Japan and Cultural Revolution in China, we constructed a theoretical model that explained economic performance of both historical episodes. We argued that the two elements: agricultural productivity and human capital are vital for industrialization and hence important for economic growth. In Meiji Restoration and Cultural Revolution, agricultural productivity and human capital both increase. The employment share moving from agricultural sector to non-agricultural sector and positive economic growth were recorded during those two periods of time. The model can also be used to explain the post-reform economic performance in China. We also find qualitative evidence that the lack of one element - agricultural productivity - will not contribute to a successful industrialization and may have adverse effect in economic growth. / Detailed summary in vernacular field only. / Cheung, Ting Yuen Terry. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 40-45). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese. / English Abstract --- p.i / Chinese Abstract --- p.ii / Acknowledgement --- p.iii / Chapter I. --- Introduction --- p.1 / Chapter II. --- Historical Facts --- p.7 / Chapter A. --- Two Historical Episodes with Both Elements --- p.7 / Meiji Restoration --- p.7 / Cultural Revolution --- p.11 / Chapter B. --- A Historical Episode Lack of one Element --- p.14 / Chapter C. --- Summary Note and Application --- p.17 / Chapter III. --- Model --- p.19 / Chapter A. --- Model without Capital --- p.19 / The Environment --- p.19 / Optimization --- p.21 / Comparative Statics --- p.25 / Chapter B. --- Model with Capital --- p.28 / Closed Economy --- p.28 / Small Open Economy --- p.34 / Chapter IV. --- Conclusion and Further Research --- p.35 / Remark for Further Research --- p.37 / Reference --- p.39 / Appendix --- p.45

Chiang Lok Man Cally. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 29-31). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.4 / Chapter 2.1 --- Studies against the trading rule profits --- p.4 / Chapter 2.2 --- Studies for the trading rule profits --- p.5 / Chapter 3 --- Data Descriptions and Methodology --- p.8 / Chapter 4 --- Empirical Results --- p.14 / Chapter 4.1 --- First trading rule --- p.14 / Chapter 4.2 --- Second trading rule --- p.19 / Chapter 4.3 --- Comparison between the two trading rules --- p.23 / Chapter 5 --- Other Related Results --- p.25 / Chapter 6 --- Conclusions --- p.27 / Reference --- p.29 / Figure 1 - 12 --- p.32 / Table 1 - 14 --- p.44

Ye, Guofeng. / "September 2010." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 33-34). / Abstracts in English and Chinese. / ABSTRACT --- p.1 / 摘要 --- p.2 / Chapter 1 --- INTRODUCTION --- p.5 / Chapter 2 --- LITERATURE REVIEW ON MONETARY TRANSMISSION MECHANISM …… --- p.8 / Chapter 3 --- THE EFFECT OF SHORT-TERM INTEREST RATE ON THE ECONOMY …… --- p.13 / Chapter 4 --- METHODOLOGY --- p.16 / Chapter 4.1 --- The Structural Vector Autoregressive Model --- p.16 / Chapter 4.2 --- The Error Correction Model --- p.18 / Chapter 4.3 --- The Alternative Model --- p.19 / Chapter 5 --- DATA --- p.20 / Chapter 5.1 --- Data Description --- p.20 / Chapter 5.2 --- Data Source --- p.20 / Chapter 6 --- EMPIRICAL RESULTS --- p.21 / Chapter 6.1 --- The Structural Vector Autoregressive Model --- p.21 / Chapter 6.2 --- The Error Correction Model --- p.28 / Chapter 6.3 --- The Alternative Model --- p.30 / REFERENCES --- p.33 / APPENDIX --- p.35 / Table 1 --- p.35 / Table 2 (SVAR: 1-3 years) --- p.36 / Table 3 (SVAR: 3-5 years) --- p.37 / Table 4 (SVAR: 5-7 years) --- p.38 / Table 5 --- p.39 / Table 6 (Error Correction Model: 1-3 years) --- p.40 / Table 7 (Error Correction Model: 3-5 years) --- p.41 / Table 8 (Error Correction Model: 5-7 years) --- p.42 / Table 9 --- p.43 / Table 10 (Money Supply: M0) --- p.44 / Table 11 (Money Supply: M 1) --- p.46 / Table 12 (Money Supply: M2) --- p.48

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This dissertation is concerned with the examination of some widely employed nonlinear exchange rate models. In particular, its aim is to assess how well non-linear statistical models accommodate the theoretical implications contained in economic models and how well they are able to capture the empirical properties of the data. Chapter 2 gives a brief background to the concept of PPP and discusses the role of transaction costs in economic models, making it necessary to model exchange rates within a non-linear framework. Parametric as well as non-parametric statistical techniques are applied to a long time-series data set to give an indication of the empirical validity of non-linearity in real exchange rates. Wide threshold bands are found to be a common characteristic of real exchange rate data. Chapter 3 studies the fitness of the ESTAR model for real exchange rate modelling. It is shown that wide threshold bands in the empirical data necessitate a small transition function parameter in the exponential regime weighting function, leading to difficulties in the meaningful interpretation of regimes. When this occurs, it is also shown that the ESTAR model is weakly identified over the range of the sample data that one generally works with. These results are illustrated on an empirical data set by replicating the often cited study of Taylor et al. (2001). In Chapter 4 and Chapter 5 a number of non-linear models are evaluated. Simulation experiments indicate that LM style tests that are commonly employed in the literature to test for ESTAR non-linearity have a very low probability of rejecting the false null hypothesis of linearity when the true data generating process is in fact the ESTAR model of Taylor et al. (2001). It is further shown that, contrary to the claims of the recent study by Rapach and Wohar (2006), long-horizon forecasts from the ESTAR model converge to the unconditional mean of the series, so that there is no gain in utilising the ESTAR model for long-horizon forecasts. Studying the Markov switching model of Bergman and Hansson (2005) reveals that the model does not generate any non-linearity as predicted from economic models.

This thesis contains two essays that use state-of-the-art econometric methods to estimate the implicit prices of various housing and vehicle attributes in hedonic price analysis. The additive nonparametric regression proposed by Hastie and Tibshirani (1990) is applied to capture a series of nonlinearities relating prices to their attributes that cannot be captured by conventional parametric approach. Due to its additive structure, the additive nonparametric regression retains an important interpretative feature of the linear model and avoids the drawbacks of a fully nonparametric design such as slow rates of convergence and the "curse of dimensionality." The "benchmark" parametric specification for the hedonic price function is carefully chosen via the estimation of the Box and Cox (1964) and Wooldridge (1992) transformations. The additive nonparametric model provides smaller price prediction errors than the benchmark parametric specification in standard goodness of fit measures. The first study examines the effects on housing prices of the structural and environmental attributes using residential sales data from Portland, Oregon. The overall estimation results verify that most housing attributes that are generally linked to the perception of quality, such as larger total structure square footage and higher elevation, have significant positive implicit prices. Attributes that reduce house quality, such as age of house and distance to environmental amenities, discount the value of a house. Complex price effects of various housing attributes are revealed by the additive nonparametric regression. The second study uses a hedonic price approach to estimate the effects on used car prices of vehicle emission attributes, such as hydrocarbon and carbon monoxide emissions, using data from the Vehicle Inspection Program in Portland, Oregon. The estimation results show that used car value is on average higher for vehicles with lower hydrocarbon and carbon monoxide emissions, ceteris paribus. This empirical finding is consistent with recent reports from the U.S. Environmental Protection Agency, which indicate that used vehicles failing to pass required emission tests face potentially high repair costs and frequent smog-check requirements. More cylinders and larger engine size are highly valued. Higher mileage receives relatively little discount compared to age of vehicle. / Graduation date: 2000