引入基差影响因素的套期保值模型优化与效用对比分析——以中国大豆加工与经营企业为例

中国是全球最大的大豆进口国,国内大豆压榨企业在用境外定价中心的期货合约进行套期保值时,面临较大的基差风险。现有套期保值模型中,多将基差作为套期保值模型的不可观测变量,这与大豆压榨企业现实需求不符。为此,将基差影响因素中可解释部分引进套期保值模型,得到基差调整后的套期保值比率和套期保值有效性。运用Copula-GARCH模型实证分析后发现,引入基差影响因素的套期保值模型效果大多数优于原有套期保值模型,这对我国压榨企业的套期保值实践具有重要的指导意义。     

浅谈企业套期保值

原材料价格的大幅波动将给企业生产、销售计划带来很大困难,为了规避价格波动风险,企业必须利用衍生品期货做套期保值,以对冲现货价格波动带来的风险及锁定成本和预期利润,保证经营计划顺利完成.然而,不少中资企业在"套期保值"上遭受巨亏事件频发.本文试图分析造成企业在套期保位中亏损的原因,并尝试分析企业如何进行套期保值.     

国家审计与国有企业金融衍生品投资研究

金融衍生品具有极高的杠杆性,国有企业一旦投资失败,将对国有资产安全和国家经济安全产生严重的负面影响.以审计署2010-2018年发布的对中央企业财务收支情况的审计结果公告为准自然实验,运用多期双重差分模型考察了国家审计介入对中央企业下属国有上市公司金融衍生品投资的影响.研究发现:国家审计抑制了国有企业金融衍生品投机交易和场外交易,且这一效应主要体现在内部控制质量较低和风险信息披露不完善的公司中.机制检验表明:国家审计通过督促整改落实,削弱了风险较高的投机交易和场外交易.进一步分析发现:国家审计对场内套期保值交易能发挥正向促进作用,这意味着国家审计并没有挫伤国有企业正常的套期保值需求.     

船舶出口企业外汇套期保值的思考

近几年,我国造船业屡创佳绩,"走出去"战略得到进一步实施,出口船舶数量快速增长,在国际市场上的地位逐步提高。伴随着船舶出口数量的增长,诸多船舶出口企业面临的外汇风险也日益增加,如何利用外汇衍生品市场对外汇风险进行对冲,成功地进行外汇套期保值日益成为船舶出口企业面临的突出问题。本文将重点就如何利用外汇衍生品市场对企业的外汇套期保值问题进行探讨,以期为出口企业套期保值提供一些建议和方法。     

美国信托受托人使用金融衍生品的谨慎投资策略研究

尽管美国《信托法重述（第3次）》和《统一谨慎投资者法》都没有明确规定允许受托人使用金融衍生品，但还是能找到少许支持受托人使用金融衍生品的条文。相关判例和学者研究表明受托人在投资中使用衍生品是合适的，甚至可能是必不可少的。在选用金融衍生品进行信托投资套期保值的问题上，期权和期货可能比远期和掉期更适合于信托投资套期保值。     

基于国际原油市场中不同交易者行为的原油价格动态分析

原油的期货价格是市场对未来现货市场价格的预估值,文章根据期货市场出清时,期货合约的总需求为零的条件建立包含套利、套期保值和期货投机交易行为的原油期货价格模型。采用FMOLS估计和Phillips-Ouliaris残差单位根检验法考察原油期货市场上的三类主体,套利者、套期保值者和期货投机者的市场交易行为与NYMEX的不同到期月份的WTI原油期货合约价格的动态关系。结果表明,原油期货市场已成为期货投机者的乐土,而对承担套期保值者转嫁风险的作用有限,原油期货投机对期货价格的决定作用远大于套利交易和套期保值交易,未来现货价格预期对期货价格的影响也非常小。     

浅论金融衍生品的套期保值功能

中信泰富外汇交易巨亏,深南电深陷对赌合约,中国国航、东方航空在燃油期货市场折戟等事件从一个侧面反映了我国企业在进行套期保值交易方面存在严重的不足,客观上要求我国企业增强驾驭金融衍生品交易的能力;同时也进一步引发了市场对国有资产监管及风险控制的反思。我国企业在积极参与经济全球化．利用国际市场获取套期保值利益的过程中,必须加强金融衍生品交易的风险管理。     

浅谈企业套期保值

原材料价格的大幅波动将给企业生产、销售计划带来很大困难,为了规避价格波动风险,企业必须利用衍生品期货做套期保值,以对冲现货价格波动带来的风险及锁定成本和预期利润,保证经营计划顺利完成。然而,不少中资企业在。套期保值。上遭受巨亏事件频发。本文试图分析造成企业在套期保值中亏损的原因,并尝试分析企业如何进行套期保值。     

境外中国股指类衍生品市场的发展对境内证券市场的影响研究

为了分享中国经济快速发展的成果,境外机构纷纷抢注中国股指类衍生品,境外机构推出中国股指类衍生品,不仅会增加境内股指类衍生品市场发展的难度,也可能导致中国股指类资产定价权的丧失。日本、中国台湾及中国香港应对境外相应离岸股指类衍生品市场的经验表明,通过合理地设计合约,完善交易规则和降低交易成本等措施,可以有效地减轻离岸股指类衍生品市场对本土衍生品市场的影响。因此,中国应在借鉴其他国家和地区应对境外相应的离岸股指类衍生品市场的经验教训的基础上,发挥后发优势,进一步修改完善沪深300股指期货合约并尽早将其推出,使其能更好地满足投资者套期保值、套利及投机的需求,从而在推出后能吸引更多的投资者。     

长三角城市“福利门槛”效应及形成机理

基于"福利门槛"假说与相关理论,构建城市福利水平评价指标体系,以长三角城市为例,分析城市"福利门槛"效应及形成机理,旨在为区域高质量一体化和统筹协调发展,破除"福利门槛"困境提供决策依据。研究发现:(1)城市福利水平大体上呈先升高后下降再抬升的变化趋势,空间上呈东南高西北低的分异态势,且具有明显的高低分异集聚现象,高福利城市主要分布于东南沿海及长江下游等经济发达地区。(2)大部分城市在不同的时段遭遇了不同程度的"福利门槛"现象,其中一重门槛范围相对广泛,二重门槛城市数量呈先增加后减少趋势。(3)城市"福利门槛"的形成主要由城镇化、经济发展、产业结构、城市规模、技术创新、政府调控等因素共同驱动所致,环境质量下降是制约城市福利有效提升的重要因素,基础设施建设的驱动作用并不显著。     

I. BOOK REVIEWS - COMPIES RENDUS - BUCHBESPRECHUNGEN

EUROPÄISCHER ZENTRALVERBAND DER ÖFFENTLICHEN WIRTSCHAFT (CEEP), ed.
BARILEITI A., BROWN L.D., CERESOIA E., DESROSIERS G., DOMENIGHEITI G., GODDEERIS J., HANAU C, MIZRAHI A. & A., MURARO G., REDLER-HASFORD E. & WOLFE B.
BURGAT, P. at JEANRENAUD, C. (eds), Services publics locaux. Dernande, offre et financement     

Capital–skill complementarity and inequality: A sensitivity analysis

Krusell et al. in [Krusell, P., Ohanian, L., Ríos-Rull, J.V., Violante, G.L., 2000. Capital–skill complementarity and inequality: A macroeconomic analysis. Econometrica 68 (5), 1029–1053] analyzed the capital–skill complementarity hypothesis as an explanation for the behavior of the US skill premium. We refit Krusell et al.'s [Krusell, P., Ohanian, L., Ríos-Rull, J.V., Violante, G.L., 2000. Capital–skill complementarity and inequality: A macroeconomic analysis. Econometrica 68 (5), 1029–1053] model with two alternative capital equipment price series: One proposed by Greenwood et al. [Greenwood, J., Hercowitz, Z., Krusell, P., 1997. Long-run implications of investment-specific technological change. Amer. Econ. Rev. 87 (3), 342–362] and the official, revised National Income and Product Accounts (NIPA) data. We find that capital–skill complementarity is preserved, but other results were sensitive to the data used. Specifically, the fit of the model was similar to Krusell et al.'s [Krusell, P., Ohanian, L., Ríos-Rull, J.V., Violante, G.L., 2000. Capital–skill complementarity and inequality: A macroeconomic analysis. Econometrica 68 (5), 1029–1053] using the NIPA data, but not the Greenwood et al. [Greenwood, J., Hercowitz, Z., Krusell, P., 1997. Long-run implications of investment-specific technological change. Amer. Econ. Rev. 87 (3), 342–362] data. Also, both series produce estimates of the elasticity of substitution between unskilled labor and equipment that are substantially larger than Krusell et al.'s [Krusell, P., Ohanian, L., Ríos-Rull, J.V., Violante, G.L., 2000. Capital–skill complementarity and inequality: A macroeconomic analysis. Econometrica 68 (5), 1029–1053] estimates.     

Income inequality, democracy and growth reconsidered

Persson and Tabellini (Persson, T., Tabellini, G., 1992a. Growth, distribution and politics. Eur. Econ. Rev. 36, 593–602; Persson, T., Tabellini, G., 1992b. Growth, distribution and politics. In: Cukierman, A., Hercowitz, Z., Leiderman, L. (Eds.), Political Economy, Growth, and Business Cycles. MIT Press, Cambridge, MA, pp. 3–22; Persson, T., Tabellini, G., 1994. Is inequality harmful for growth? Am. Econ. Rev. 84, 600–621) as well as Alesina and Rodrik (Alesina, A., Rodrik, D., 1992. Distribution, political conflict, and economic growth. In: Cukierman, A., Hercowitz, Z., Leiderman, L. (Eds.), Political Economy, Growth, and Business Cycles. MIT Press, Cambridge, MA, pp. 23–50; Alesina, A., Rodrik, D., 1994. Distributive politics and economic growth, Q. J. Econ. 109, 465–490) have argued that income inequality reduces economic growth rates among democracies because it promotes distributional struggles. In this paper I question the supportive evidence for a number of reasons. Measures of income distribution and democracy are unreliable and permit only very tentative conclusions. Changes in data sources or recoding of some influential cases affect results. It is questionable whether equality effects on growth apply only within democracies, as a median voter interpretation of this relationship should make one expect. The general idea that distributional struggle hurts the growth prospects of nations, however, receives some empirical support.     

INTER-COUNTRY AND INTERREGIONAL COMPARISONS OF INEQUALITY AND POVERTY

Review of Smeeding, T., O'Higgins, M., and Rainwater, L. (Ed.), Poverty, Inequality and Income Distribution in Comparative Perspective
Borooah, V. K., McGregor, P. P. L., and McKee, P. M., Regional Income Inequality und Poverty in the United Kingdom     

Country size,income level and intra-industry trade

This study investigates three testable hypotheses of intra-industry trade., It begins by developing a theoretical, two country model., The model explicitly includes two goods: differentiated products and homogeneous goods., Then three empirical hypotheses are derived as follows., The share of intra-industry trade will be large: (a) if the two economies are of similar size, (b) if the capital-labour endowment ratio of both countries is similar, and (c) if the total size of the two economies is large., From the cross-sectional analysis using 1970–1994 data, results are obtained that support the model., Furthermore, the results are confirmed using panel analysis on the pooled data.,     

BIBLIOGRAPHY - BIBLIOGRAPHIE

Book Reviews is this Articles:
HENNICKE P., JOHNSON J., KOHLER S. & SEIFRIED D., Die Energiewende ist möglich - Für eine neue Energiepolitik der Kommunen
HEUER H., Instrumente kommunaler Gewerbepolitik     

The econometrics of rational partisan theory

This study develops an econometric intervention model representing the standard empirical approach to testing Alesina's (1987) Rational Partisan Theory implication that elections lead to short-term changes in output growth and unemployment., This intervention approach may be subject to two econometric difficulties., First, the cyclical nature of the autoregressive variables suggest the regression residuals may be serially correlated., Second, the election intervention variable may be endogenous to the cyclical variables., Empirical support for the model is mixed., Ordinary Least Squares estimates for both series produce a coefficient for the intervention variable which is of the predicted sign but not significant., The output growth regression results are robust to serial correlation and endogeneity concerns., For unemployment, controlling for serial correlation generates a significant coefficient, but adjusting for endogeneity does not.,     

Validation in agent-based models: An investigation on the CATS model

In this paper we deal with some validation experiments on the complex adaptive trivial system (CATS) model proposed in Gallegati et al. [Gallegati, M., Giulioni, G., Palestrini, A., Delli Gatti, D., 2003a. Financial fragility, patterns of firms’ entry and exit and aggregate dynamics. Journal of Economic Behavior and Organization 51, 79–97; Gallegati, M., Delli Gatti, D., Di Guilmi, C., Gaffeo, E., Giulioni, G., Palestrini, A., 2005. A new approach to business fluctuations: heterogeneous interacting agents, scaling laws and financial fragility. Journal of Economic Behavior and Organization 56, 489–512]. In particular starting from a sample of Italian firms included in the AIDA database, we perform several ex post validation experiments over the simulation period 1996–2001. In the experiments, the model parameters have been estimated using actual data and the initial set up consists of a sample of agents in 1996. The CATS model is then simulated over the period 1996–2001. Using alternative validation techniques, the simulations’ results are ex post validated respect to the actual data.     

Book reviews

Book reviewed in this article:
Chen, Deron, Chinese Firms between Hierarchy and Market
Lapidus, Gail W., ed., The New Russia. Troubled Transformation
Blejer, Mario I. and Coricelli, Fabrizio, eds., The Making of Economic Reform in Eastern Europe: Conversations with Leading Reformers in Poland, Hungary and the Czech Republic
Gács, J.; Winckler, G., eds., International Trade and Restructuring in Eastern Europe     

Economy-wide estimates of the implications of climate change - a rejoinder

[Ackermann, F., Stanton, E., 2008-this issue. A comment on economy-wide estimates of the implications of climate change: human health. Ecological Economics. doi:10.1016/j.ecolecon.2007.10.006] criticise our recent paper [Bosello, F., Roson, R., Tol, R.S.J., 2006. Economy-wide estimates of the implications of climate change: human health. Ecological Economics 58, 579-591] on different levels, calling it “mistaken” and “misleading”. We welcome the opportunity to respond. The critique of [Ackermann, F., Stanton, E., 2008-this issue. A comment on economy-wide estimates of the implications of climate change: human health. Ecological Economics. doi:10.1016/j.ecolecon.2007.10.006] is either misdirected or incorrect.