Purpose This study aims to examine the long memory as well effect of structural breaks in US and Chinese stock markets. More importantly, it further explores possible causes differences between these two Design/methodology/approach The authors employ various methods estimate parameters, including modified R/S, averaged periodogram, Lagrange multiplier, local Whittle exact estimations. Findings China's markets exhibit memory, whereas do not. Furthermore, is robust even when we test...

Since advertisement is an important strategy of firms to improve market share, this paper highlights duopoly under the Hotelling model. A model spatial established, and corresponding effects brand values transportation costs are all captured. This study presents proportion sales revenue spending on advertisement. The condition for free-rider in investment discussed. Under with identical values, if firms' points consumers, price reduced. Therefore, discussed competition work.

China is experiencing rapid increases in house prices similar magnitude to that observed the US housing market bubble. We use a simple vector autoregression model (VAR) compare dynamics these two countries. find responds very strongly interest rate shocks and little money supply shocks. In contrast, Chinese both An inflation shock produces larger response of than US, changes have much stronger wealth effect US. A major decline likely bigger impact on economy. Monetary policy needs reply...

The paper proposes a novel hybrid method that extends previous work incorporating the fractionally cointegrated vector autoregressive and permanent-transitory decomposition model. Using method, we investigate whether rapid rise in China’s housing prices is trend or cyclical fluctuation as well there exists price bubble. findings indicate fractional cointegration relationship between macroeconomic fundamentals China, fundamental value of determined by factors. In particular, upward has...

Choosing the appropriate method to identify turning points is critical for investors and policymakers. We propose a novel hybrid model combining dual long memory with structural breaks in mean of stock market China United States. The results show that models accounting break perform well point detection. Notably, proposed generates superior in-sample matching out-sample forecasts SSECI over those obtained from competing ARFIMA models. In contrast, DJIA better explained by volatility....

While GDP and the money supply (M2), two key demand fundamentals of China's housing prices, shifted gears decelerated after 2012, prices maintained high growth rates, specifically during 2015-2018. To explain puzzling phenomenon, we use TVP-VAR model to compare time-varying features factors driving up prices. Our results depict interesting finding that before macro-fundamental such as M2 per capita were drivers But shadow banking had gained explanatory power alongside GDP.

This paper establishes a two-stage Hotelling model to identify the implications of upgrades durable goods produced by spatial monopoly. The major findings indicate that, due positive effects on profits upgrading products, monopoly has motivation launch upgraded versions with high quality instead solely producing products low quality. monopoly, meanwhile, would not make commitment either high-quality or low-quality ones. In addition, price decreases as ones appear market in second stage,...

This study suggests a structural modification of the basic ARFIMA-GARCH model by allowing for time-varying baseline mean and, especially, symmetric threshold GARCH. By applying it to inflation G7 countries, we find that past excessive positive or negative shocks have impacts on future volatility and GARCH persistence. Compared with model, in this has superior performances identifying characterizing changes shocks.