如何对中国CPI进行季节调整——基于X-12-ARIMA方法的改进

本文基于X-12-ARIMA方法,针对中国CPI存在的类似春节等移动假日效应调整问题,得到改进的X-12-ARIMA-BHG和X-12-ARIMA-LZ方法,利用改进的方法进行季节调整可更加准确地反映中国CPI的基本发展趋势。同时利用改进的方法对2010年12月至2011年6月份的中国CPI进行预测,得到了具有指导意义的预测结果。     

基于X12-ARIMA加法模型的保费收入研究

文章基于1999年1月～2011年8月中国保费收入月度数据,采用当下最为热门的季节调整方法X12-ARIMA加法模型,对其进行季节调整,得到经调整后的时间序列和季节调整因子,在假设季节调整因子短期内不发生变化的条件下,采用两种模型估计方法建立经调整后的时间序列模型,从而建立中国保费收入月度数据短期预测模型。     

季节调整方法在货币供应量中的应用

本文使用最新的季节调整方法X-12 ARIMA和TRAMO／SEATS对我国的货币供应量(M0、M1、M2)进行季节调整。首先用这两种方法分别对货币供应量进行预调整，探测交易日／工作日、闰年、异常值和假日的影响，得出我国货币供应量只受移动假日(春节)的影响。然后以M0为例，用这两种方法进行季节调整，并比较和检验它们调整的结果。最后针对货币供应量是由不同部分组成的总量数据这个特性，考虑间接和直接调整的方法，给出它们的比较数据。     

中国畜产品价格的实证分析——基于季节调整模型与两阶段协方差方法

本文以2001年1月—2014年5月的畜产品价格为研究对象,利用 X-12-ARIMA 季节调整模型分析影响畜产品价格波动的相关因素,并利用协方差计算季节性影响、长期周期性影响、不规则影响对畜产品价格波动的贡献程度,进一步利用两阶段协方差纵向对比分析各影响因素贡献度的变化,最后发现长期驱动因素和季节性因素是中国畜产品价格波动的主要因素;从纵向对比来说,鸡蛋、鸡肉、猪肉价格的不规则影响因素的影响作用在减弱,鸡肉、猪肉价格的季节性影响因素的作用在减弱。     

基于季节模型的中国社会消费品零售总额分析

本文选取了我国1993年第一季度至2018年第一季度的全国社会消费品零售总额的季度数据,运用SARIMA模型和X-12季节调整模型分别进行分析预测。以2016年第一季度至2018年第一季度的真实值进行预测能力检验,结果发现X-12季节调整模型的预测精度更高,并运用此模型进行外推预测。     

中国股市春节“节前效应”与投资者情绪——基于31个行业面板数据的实证研究

本文根据1991~2013年的上证综指数据,对中国股市春节是否存在"节前效应"进行研究。结果发现,春节前超额收益现象在早期并不稳健,但是随着中国股市的发展而逐渐增强。随后应用主成分分析法构建投资者情绪综合指标,并建立面板数据模型,针对行为金融学关于"节前效应"的解释进行实证检验,发现投资者情绪对春节前超额收益具有明显的正向作用,且不同行业对投资者情绪的敏感程度不同,导致了"春节效应"的行业差别。     

一个反映关税调整效应的投入产出优化模型

本文通过一个较详细反映进口品国内使用的价值型投入产出表，提出了一个反映关税调整效应的投入产出优化模型。该模型能够进行关税调整效应的多方案分析，并将关税调整与产业结构调整有机地结合起来。     

有序选择因子结构模型的MCMC估计及应用

为了评估中国分布类政策效应,根据中国微观数据的变量可得性,本文在Heckman等构建的因子结构模型基础上,将Heckman基准模型中的连续型测度方程调整为离散型有序选择模型,建立了有序选择因子结构模型,并推导出MCMC估计方法。运用该方法,结合中国样本数据,本文对高等教育的分布类政策效应进行了实证估计。有序选择因子结构模型及其MCMC估计方法对于经济政策的分布类效应评估具有普遍的理论适应性和实际应用价值。     

旅游:新节假引爆春节市场

日前,《职工带薪年休假条例》及修改后的《全国年节及纪念日放假办法》相继公布,五一黄金周被取消,两个7天长假、5个3天小长假的假日模式,以及调整后实行的休假制度,对旅游业产生了巨大影响。百姓出游时间与模式也相应发生了变化,计划2008年五一黄金周出游的,大都提前到了春节。记者通过对北京各大旅行社的走访发现,春节期间报名出游的旅客较往年明显增多,各大旅行社为了迎合春节黄金周的到来,都推出了五花八门的旅游套餐,以及新的旅游线路。     

中国不同地区房地产市场财富效应的动态比较和变参数分析

中国自1998年开始实施住宅商品化改革以来,对房地产市场的规范和调整逐步开展和深化,这就决定了房地产市场的财富效应随着市场的不断调整可能呈现阶段性的动态变化.本文利用分布滞后模型和时变参数模型深化中国房地产市场财富效应的研究,分析不同地区房地产市场财富效应的动态变化,找出了影响不同地区财富效应波动的主要因素.     

Seasonal adjustment perspectives on “Damping seasonal factors: shrinkage estimators for the X-12-ARIMA program”

We examined the shrinkage methods of Miller and William from the perspective of seasonal adjustment rather than forecasting, restricting attention to their performance on the approximately 500 of the 1428 M3 series that are seasonal and have multiplicative seasonality. Local shrinkage improved the quality of the seasonal adjustment of enough of these series that almost 50% have acceptable automatic X-12-ARIMA adjustments, instead of 40% with no shrinkage. For a few series, global shrinkage produced demonstrably incorrect results, and for some of these series and also others improved by local shrinkage, the SEATS seasonal adjustment provided by an experimental version of X-12-ARIMA offered still greater improvements. No benefits were observed from global shrinkage.     

Damping seasonal factors: Shrinkage estimators for the X-12-ARIMA program

We examine the effect of damping X-12-ARIMA's estimated seasonal variation on the accuracy of its seasonal adjustments of time series. Two methods for damping seasonals are proposed. In a simulation experiment, we generated time series data for each of 90 distinct experimental conditions that, in aggregate, characterize the variety of monthly series in the M3-competition. X-12-ARIMA consistently overestimated the actual seasonal variation by an amount consistent with statistical theory. Damping seasonals reduced X-12-ARIMA's estimation error by as much as 79% and under no conditions was estimation error increased beyond a trivial amount. Improvement depended primarily on the degree to which random variation in a series dominated seasonal variation. When the multiplicative X-12-ARIMA model did not match the data-generating model, overestimation was less for trend series than for series with no trend; otherwise the presence of trend had no discernible effect. One of the proposed methods was somewhat more accurate and robust, but more complex, than the other. In an analysis of real data—the 1428 monthly series of the M3-competition-damping X-12-ARIMA seasonals prior to forecasting (1) reduced the average forecasting MAPE by 4.9–1.4% and (2) improved forecasting accuracy for 59–65% of the series, depending on the forecasting horizon. This research suggests that damping X-12-ARIMA seasonals leads to more accurate seasonal adjustments of time series, thus providing a more reliable basis for policy-making, forecasting, and the evaluation of forecasting methods by researchers.     

Implementation issues on shrinkage estimators for seasonal factors within the X-11 seasonal adjustment method

This commentary on Miller and Williams [Intl. J. Forecast. 20 (2004)S29-49] discusses how shrinkage can be implemented within X12-ARIMA. We discuss how the seasonal factors are estimated in X12-ARIMA, how shrinkage can be translated into a moving average, if this is compatible with the philosophy behind the X12-ARIMA method, and suggest possible improvements.     

Do stock markets discipline US Bank Holding Companies: Just monitoring,or also influencing?

This paper presents evidence that bank managers adjust key strategic variables following a risk and/or valuation signal from the stock market. Banks receive a risk signal when they exhibit substantially higher (semi-)volatility compared to the best performing bank(s) with similar characteristics, and a valuation signal when they are undervalued relative to the average bank with similar characteristics. We document, using a partial adjustment model, that bank managers adjust the long-term target value of key strategic variables and the speed of adjustment towards those targets following a risk and/or negative valuation signal. We interpret this as evidence of stock market influencing. We show that our results are unlikely to be driven by indirect influencing by regulators, subordinated debtholders, retail or wholesale depositors. Finally, we show that the likelihood that banks receive a risk and/or valuation signal increases with opaqueness, managerial discretion and specialization.     

Interaction between central planners and firms: The uncertainty of target adjustment

Conclusions The interaction between planners and firms in a centrally planned economy has already been treated by a number of authors. They have generally focused upon the firm's performance in the face of various reward structures and have, with the exception of Gindin (1970) and Snowberger (1977), not dealt explicitly with the feed-back effect this performance has on the planners' adjustment of the reward structure for the future. This paper has extended the previous analysis of the feedback mechanism into the case where a firm knows that the planners have the power to make such adjustments but does not know precisely what form they will take. We have developed models which reflect several different ways in which a firm might respond to this uncertainty. Furthermore, we have introduced an adjustment scheme which considers the performance of all firms in the industry when setting a target for any one of them, in addition to treating the ordinary assumption that a firm's future target depends only upon its own present underor overfulfillment.8060 Niwot Road, # 19, Longmont, Colorado 80501, USA.     

精细油藏描述在升382区块开发调整中的应用

升382井区油井产液量低、含水高、采出程度低,油井地层压力平面分布不均衡,开发效果相对较差。利用精细油藏描述技术,对储层和剩余油进行重新描述,通过注水调整区块开发效果。     

一类价格调整问题的数学模型及其求解方法

虽然市场需求是价格的函数，但企业在价格调整实践中往往不能直接获取需求函数的具体表达式，而只能在某一给定价格水平下观察到市场需求量的值。因此，企业通常不能直接利用需求函数来调整价格以完成预期的市场需求调整的战略计划。本文将企业为达到市场需求战略调整目的而考虑的价格调整问题归结为一个隐式互补问题。在该模型中，企业可以依据自身经营战略目标的调整相应地调整各类产品的市场价格，使得价格调整后的产品销量迭到预定的目标。文章给出了求解这类隐式互补问题的直接迭代法，并给出了数值结果。     

我国企业环境信息披露的现状分析

伴随着科技现代化和经济全球化的步伐,人类的物质生活得到了极大改善,然而自然生态环境所遭受的破坏也不容小觑。如何应对当前的环境危机,突破遏止人类发展的"瓶颈",已成为亟待解决的问题。企业作为社会的基本单元,既是社会财富的直接创造者,又是环境污染的主要制造者。作为环境的重要影响者之一,企业理应积极践行可持续发展观,主动对外披露环境信息,切实承担起自身的环境责任。随着国家对环境问题的日益重视,环保立法不断加强,我国企业的环境信息披露状况也有了明显改善。但与西方发达国家相比,无论是在披露内容、披露形式还是披露效果方面,情况仍不容乐观。     

Psychological barriers to adjustment of Western business expatriates in China: newcomers vs long stayers

A mail survey was directed towards Western business expatriates currently working on the Chinese mainland. Two sets of psychological barriers to adjustment and their association with the extent of sociocultural and psychological adjustment were examined. The results of this exploratory study show that both perceived inability to adjust and unwillingness to adjust among newcomers seem to affect some aspects of sociocultural adjustment, but not expatriates' psychological adjustment. However, these effects do not seem to be stable over time as there are no such effects in the case of long stayers in China, suggesting that in the long run both inability and unwillingness to adjust may be of little importance. Potential implications for selection of expatriates for assignment in China are discussed in detail.