应该用哪一个模型来描述中国货币市场利率的动态变化

本文论证了双曲模型是描述中国货币市场利率动态变化的最佳单因子利率模型。由极大似然估计可以得到单因子利率模型的边际密度函数。双曲模型的边际密度和非参数估计得到的边际密度函数拟合较好，其表现远远优于几个常见的利率模型（CIR、CKLS和AG模型）。与较一般的Ait-Sahalia模型相比差别很小，但参数形式得到简化，似然比检验也支持这一点。双曲模型在刻画利率的均值回复特征方面还克服了AG模型的不足。     

确定金融资产收益率分布形式的一种方法

准确刻画金融资产收益率的分布函数是金融市场风险测量与管理的基础。本文在对证券收益率的正态性检验基础上，提出了确定金融资产收益率分布函数的一种方法——混合辨析法，并就两种混合正态分布的情形进行了仿真计算，最后利用柯尔莫哥洛夫拟合优度法对拟合收益率的曲线进行了检验。     

基于时变Copula方法的股票收益率相关性研究

股指收益率相关性问题多数从线性相关和静态相关的角度进行研究,本文预选取上证综合股指和恒生AH股H指实际数据,采用时变条件Copula模型动态研究以上两股指之间的相关性。用经验分布函数作为股指收益率的边际分布函数对条件时变Copula函数进行参数估计,最终采用拟合优度AIC和BIC准则选择最优动态连接Copula函数。实证结果表明,以上两股存在动态的上尾相关性,并且时变Copula模型刻画尾部相关性效果优于静态Copula,同时时变RG-Copula对数据的刻画能力较好。     

论内部收益率指标计算的插入函数法

在插入函数法中,相同现金流发生的时间点不同,并不影响内部收益率的计算。插入函数法计算的内部收益率就是项目真实收益率。     

基于机会性边际成本的内部转移价格制定研究

内部转移价格是否合理是企业各分权责任中心能否保持目标一致性的关键因素.已有研究表明依据边际成本制定内部转移价格产生的市场行为能确保这种目标一致性,然而大多数情况下边际成本是不易观测到的,它常常是隐藏的机会成本.文章依据这两个重叠经济概念成本——机会性边际成本,研究内部转移价格的制定方法,通过规划模型验证即便是在频繁的市场价格变化环境中,最优内部转移价格始终是中间环节的机会性边际成本,文章的研究对企业集团挖掘隐含的机会性边际成本优化内部转移价格提升内部效率有一定的指导意义.     

我国债券收益率曲线变动与宏观经济指标相关性研究

文章从国内外分析了债券收益率曲线相关理论,运用统计分析方法发现国债收益率曲线与宏观经济发展具有高度关联性和前瞻性,国债收益率曲线隐含了宏观经济变量一定的预期性信息,运用主成分分析法、脉冲响应函数两种模型,实证研究发现国债收益率曲线通过改变融资成本和市场预期影响宏观经济变量,且国债收益率曲线可以提前3至6月预测宏观经济发展.     

基于β系数的会计信息对股票收益率影响研究

以A股市场中炒作概念相对较少的钢铁行业为研究对象,运用因子分析法将相关财务指标整合为盈利能力、偿债能力、营运能力和成长能力4大类会计信息,通过β系数剔除市场因素对股票收益率的影响,采用面板数据实证分析了这4大类会计信息对公司股票收益率的影响,研究结果显示,这4大类会计信息对股票收益率都有显著性影响,其中盈利能力和成长能力对股票收益率有更积极的影响,而营运能力和偿债能力则不如前两类会计信息受到投资者重视,但相比市场因素,它们对股票收益率的边际贡献都很小,从而间接证明了A股市场还处于主要受市场走势影响的投机炒作阶段。     

运输边际成本曲线及其特性分析

文章从运输成本函数理论入手,详细分析了运输成本函数和运输边际成本曲线的特性,由此得出现实启示,考虑边际递减规律和规模经济对运输的影响。     

运输边际成本曲线及其特性分析

文章从运输成本函数理论入手,详细分析了运输成本函数和运输边际成本曲线的特性,由此得出现实启示,考虑边际递减规律和规模经济对运输的影响。     

基于Copula的商业银行信用—汇率风险整合的实证研究

本文对不同族类、不同种类Copula函数进行比较分析,基于深圳发展银行、上海浦东发展银行、中国民生银行信用收益率和汇率收益率的经验数据进行实证研究与分析,用经验累积分布函数拟合信用收益率和汇率收益率的边缘分布,Archimedean Copula函数描述三家银行的信用收益率和汇率收益率的相关关系。在各个置信度下,运用拟合度最优的Copula函数求出各自的信用-汇率风险的VaR(Value-at-risk)值和CVaR(Conditional Value-at-risk)值,并比较三家银行整合风险的大小,为金融机构决策者的监管提供参考。     

火电企业外部环境条件分析及经营管理对策

本文分析了燃煤火电企业的外部环境条件,阐述了电力市场与电价、热力市场与热价、煤源与煤价、交通运输方式、环保容量等对燃煤火电企业的影响,在此基础上有针对性地提出了燃煤火电企业的经营管理策略,通过严格控制煤价、积极抢发电量、拓展供热市场、争取有利政策等手段提高企业的经营效益。     

平价上网光伏发电项目经济性评价、影响因素及对策

太阳能光伏发电在我国经历了快速的推广应用,虽因享受高额财政补贴而备受争议,但太阳能光伏发电逐步摆脱对财政补贴的依赖,已经达到了平价上网的条件。本文回顾了我国光伏发电上网电价下降的历程,探讨了促进上网电价逐步下降的驱动力。建立以内部收益率(IRR)为平价上网光伏发电项目经济性评价的模型,分析了影响平价上网太阳能光伏发电项目经济性评价的“弃光”严重、非技术成本高企、补贴拖欠等因素,通过算例分析计算了其影响程度,并对解决这些障碍因素从政府和企业两方面提出了对策与建议。     

An investment planning model for the electricity sector in Nigeria

In this study the methodology of mixed integer programming is used to deal with investment resource allocation problems that involve economies of scale in the Nigerial economic planning environment. The specific application is to long-term investment decisions in the government-operated electric power supply industry (NEPA). The investment planning problem involves determining the optimal generating plant/transmission mix from among a set of fossil fuel and conventional hydro plants which will meet the demand for electricity in Nigeria over the next three decades at minimum cost. Economies of scale in plant construction makes the investment cost function to be non-linear. However the non-linearity is approximated by a fixed charge function. Alternative price assumptions are made about locally found fuel resources (oil, gas, coal and liguite) to calculate the energy cost of fossil fuel plants. Different investment strategies are then evaluated in terms of the present values of the cost of supplying electricity to meet the required demand.     

Increase of electricity price and energy efficiency: analysis using the macroeconomic interindustry model of Taiwan

From 2012 to 2013, the price of electricity in Taiwan increased by 19.78%. This large increase forced producers to invest in improving electricity efficiency. In this paper, the macroeconomic interindustry model of Taiwan (MEIT) is developed to study the economic effects of high electricity prices and consequential improvement in energy efficiency. MEIT describes the structure of 47 industries, from both real and price-income approaches. To resolve inconsistent data, RAS is employed. A technical model is also integrated to consider technical feasibility, which offsets the usual shortcomings of technological analysis in an economic model. The iron and steel industry is taken as a case study. Estimated results indicate that higher electricity prices negatively affect Taiwan’s economy. However, improving energy efficiency can reduce some of this effect.     

基于CGE模型天然气价格波动的传导效应

天然气在我国能源结构中有着重要的地位,天然气价格的变化会对我国经济和下游产业链产生重要的影响。论文利用CGE模型研究了我国天然气价格波动对我国宏观经济、居民福利和微观产业部门的影响,对不同的天然气价格冲击进行了情景模拟分析,研究表明:天然气价格波动对宏观经济变量和21个产业有很大的影响;在相同的价格波动下对不同产业的影响是不同的,与天然气产业关联度越大,其影响也就越大。在此基础上,对我国宏观经济政策和天然气价格改革提出了一些建议。     

The influence of international oil price fluctuation on the exchange rate of countries along the “Belt and Road”

In recent years, the international crude oil price has become increasingly volatile. It influences the exchange rate changes of relevant countries through economic growth, price level, international balance of payments, and other channels. Such exchange rate fluctuations have caused certain risks for the development of China’s “Belt and Road” Initiative. This article analyzes the impact of oil price changes on the exchange rates of countries. Because the fluctuation of oil prices and exchange rates has shown the characteristics of multiple time scales, this study used the empirical mode decomposition (EMD) method to obtain the long-cycle and short-cycle sequences of oil prices and the exchange rates of various countries, then analyzed the impact of oil price changes on exchange rates under different time scales. The results showed that oil price fluctuations have an impact on the exchange rate changes of countries along the “Belt and Road” under different time scales. However, this effect is asymmetric between oil-producing countries and non-oil-producing countries, and the transmission path of oil prices to exchange rates varies from cycle to cycle.     

The Effects of Industry Governance on Offshore Oil Development in the Gulf of Mexico

This article presents an historical analysis of the way governance arrangements in the petroleum industry have affected development of offshore oil resources in the Gulf of Mexico. Global competition over differential rents and natural value available from petroleum extraction were instrumental in the construction of oil prices high enough to support profitable investment offshore. Attention to the social construction of oil prices illustrates how political discourse on national security and conservation helps translate economic logic into strategic political coalitions and state action. The article shows how the unequal flow of resources in a global extractive industry, as organized by transnational corporations and states, interacts with marginal costs and differential rents to influence economic development. Development of Louisiana offshore oil after the second world war was protected by a private international price cartel, federally enforced import quotas and tax laws. Competition in the industry and the OPEC price increases of the 1970s undermined US domination of world oil, but higher oil prices further stimulated investment offshore. The subsequent breakdown of stable governance in the 1980s drove down oil prices, hastened restructuring of the petroleum industry and caused a rapid decline in Louisiana offshore investment.     

Macroeconomic influences on the stock market

The paper studies the dynamic interactions among indicators of economic activity, such as industrial production, interest rate and exchange rate, the performance of the foreign stock market, oil prices, and stock returns to examine whether economic activity movements affect the performance of the stock market for Greece. The empirical evidence suggests that stock returns do not lead changes in real economic activity while the macroeconomic activity and foreign stock market changes explain only partially stock market movements. Oil price changes explain stock price movements and have a negative impact on macroeconomic activity.     

关于火力发电厂的煤炭管理的方法分析

煤炭是我国重要的能源,一旦煤炭供应紧张发电厂的生产就会受到影响。文中对于火力发电厂煤炭管理的意义进行了分析,并在此基础上提出了加强火力发电厂煤炭管理的相关策略。得出能够切实有效的解决当前火力发电厂煤炭管理相对不足的方案。     

Long‐run relations in European electricity prices

This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of a robust multivariate long‐run dynamic analysis reveal the presence of four highly integrated central European markets (France, Germany, the Netherlands and Austria). The trend shared by these four electricity markets appears to be common also to gas prices, but not to oil prices. The existence of a common long‐term dynamics among electricity prices and between electricity prices and gas prices can be explained by the similarity of the market design across Europe and by the same marginal generation technology. Since standard unit root and cointegration tests are not robust to the peculiar characteristics of electricity prices time series, we also develop a battery of robust inference procedures that should assure the reliability of our results. Copyright © 2009 John Wiley & Sons, Ltd.