Guochen Pan

Revisiting purchasing power parity for 18 African countries: sequential panel selection method

This study applies the Sequential Panel Selection Method (SPSM) proposed by Chortareas and Kapetanios (2009) to test the validity of the long-run Purchasing Power Parity (PPP) for a sample of 18 African countries over the period January 1985 to September 2008. SPSM classifies the whole panel into a group of stationary series and a group of nonstationary series. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results indicate that the PPP holds true for only four of these African countries studied. Our results have important policy implications for these African countries under study.

Revisiting purchasing power parity for G-7 countries using nonparametric rank test for cointegration

This study applies the nonparametric rank test for cointegration, proposed by Breitung (2001), to test the validity of long-run Purchasing Power Parity (PPP) for G-7 countries over the period of January 1980 to January 2009. The empirical results indicate that PPP holds true for all G-7 countries studied and that the nominal exchange rate and the domestic and US Consumer Price Index (CPI) are nonlinearly interrelated with the exception of France and Germany cases. Our results have important policy implications for the G-7 countries under study.

Long-run and short-run dynamics of nonlife insurance consumption in China

Insurance consumption has been growing rapidly around the world, but there are few theories of insurance consumption in the literature. With data from China, we investigate the dynamics of nonlife insurance consumption for both the long run and short run in an integrated framework by employing the autoregressive distributed lag (ARDL) model developed by Pesaran et al. (2001). Our study focuses on two specific lines of nonlife insurance: personal accident insurance and automobile insurance, from which we discovered that the relationship between nonlife insurance consumption and its determinants is different across insurance lines and periods. The empirical findings of this article extend the results of previous works.

Non-life insurance price dynamics: evidence from the Chinese insurance market

Abstract Non-life insurance prices may fluctuate due to economic and/or institutional factors; occasionally, the changes are cyclical. While the majority of previous studies relating to insurance price dynamics adopt data from developed economies, this paper uses data from China to provide new evidence. This study tests the long-term and short-term effects of real gross domestic product (GDP), interest rate and rate of stock market return on the prices of different lines of non-life insurance, i.e., property-liability insurance and personal accident insurance. The results indicate that the price dynamics of property-liability insurance are generally similar to those of developed countries, except for the effect of GDP, while price determination of personal accident insurance seems to be affected by a wider range of economic and institutional variables and has its own features. The price dynamics of non-life insurance in China have been identified as being connected to the country-specific economic and institutional environments.

Are Insurance Premiums Stationary in China

This study applies the sequential panel selection method (SPSM), proposed by Chortareas and Kapetanios (2009), to investigate the time-series properties of insurance premiums in China. This method can clearly identify how many and which series in a panel are stationary processes by classifying a whole panel into a group of stationary series and a group of nonstationary series. Time-series data of the total insurance premiums collected from 36 regions in China during the period from January 2006 to December 2011 are used. The empirical results from the SPSM and several other panel-based unit-root tests are compared, and the SPSM tests unequivocally indicate that insurance premiums are stationary for most of the 36 regions under study. Our test results have important economic and policy implications for China.