Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

This paper examines whether higher order multifactor models, with state variables linked solely to underlying LIBOR‐swap rates, are by themselves capable of explaining and hedging interest rate derivatives, or whether models explicitly exhibiting features such as unspanned stochastic volatility are necessary. Our research shows that swaptions and even swaption straddles can be well hedged with LIBOR bonds alone. We examine the potential benefits of looking outside the LIBOR market for factors that might impact swaption prices without impacting swap rates, and find them to be minor, indicating that the swaption market is well integrated with the LIBOR‐swap market.     

浅谈税法课案例教学

案例教学法是培养高职学生应用能力的有效手段.税法课的案例教学包括制定计划、精选案例、分析演示、组织讨论和归纳总结等教学要点,它在提高学生分析问题和解决问题的能力,增强学习的主动性、积极性,弥补单纯灌输式教学方法的缺陷等方面具有独特的、不可替代的作用.     

信息不对称与上市公司股权再融资偏好

大量理论和实证研究表明：上市公司应该避免采用股权再融资方式筹集资金，以减少对公司价值产生的负面影响。但是国内外仍有不少上市公司采用股权再融资，我国还呈现强烈的股权再融资偏好，这说明上市公司采用股权再融资存在一定理论依据。运用信息经济学理论，从信息不对称角度对此现象进行解释，结论为信息不对称产生的“逆向选择”和“道德风险”给上市公司采用股权再融资方式找到充分的理由。我国不合理的制度背景，产生更加严重的信息不对称，造成我国上市公司强烈的股权再融资偏好。     

参加ISO/TC 67/SC 5 第16届年会技术报告

国际标准化组织第67技术委员会第5分委会（ISO／TC67／SC5）“石油、石化和天然气工业用材料设备和海上结构——套管、油管和钻杆”第16届年会于2006年4月20-21日在中国西安召开。此次会议由中国石油天然气集团公司管材研究所承办。来自日本、美国、中国、法国、意大利、挪威、俄罗斯等国家的21名正式代表参加了会议．ISO TC 67主席Cheryl Stark女士以观察员的身份列席了会议。     

Analysis of Credit Risks in Asset-Backed Securitization Transactions in Singapore

Asset-backed securitization (ABS) is a relatively new financial instrument in Singapore's capital market, which has been accepted by developers (originators) as an alternative source of financing. Credit assessment and rating requirements have not been imposed on the ABS bond issues. Default-risk evaluation has also been understated, if not omitted, in the process of structuring ABS deals. This is the first study that applies a theoretical default-risky swaps valuation model to evaluate credit risks in ABS bonds in Singapore. The Monte-Carlo simulation results, based on the Century Square shopping mall ABS case, show significant effects of the changes in rental volatility and default-free interest rate volatility on the default-risk premium of swap. More specifically, an increase in the rental volatility reduces the default-risky swap values significantly. However, an increase in the instantaneous default-free interest rate volatility increases the default-risk premium of swaps, and this effect is only observed in the high default-free interest rate volatility regime (above 20 percent). The results suggest that the rental dynamics of the securitized real estate are critical in determining the default risks of ABS deals. The fixed-rate (coupon yield) and floating-rate (rental cash flows) should therefore be adequately determined to reflect the default risks, which may be caused by the rental dynamics of the securitized real estate.     

英国房地产税制简介

房地产税是英国最主要的税种之一,包括住宅税和营业税。营业税自1990年起划为中央税种,税款上缴中央财政专户,作为支付转移资金,最终专项返还地方财政。     

对统一会计年度问题的思考

长期以来,我国实行统一的会计年度,所有单位的会计年度均自公历1月1日至12月31日止。在市场经济条件下,这种一刀切的会计年度不利于企业加强会计核算,政府加强监管,是造成会计信息失真、质量不高的重要原因之一,应尽快加以改革。现行统一会计年度存在的主要问题     

A Reexamination of Housing Price and Household Consumption in China: The Dual Role of Housing Consumption and Housing Investment

It is important to investigate the correlation between housing price and household consumption to gain an understanding of the behavior of the economy and effectively handle the consequences of economic development. In the last two decades, the accumulation of housing wealth by Chinese households has not been effectively transmitted to their final consumption. We discovered that the sustained increase in household wealth and housing-ownership rate in China has been accompanied by a decrease in consumption rate. We also identified a negative correlation between housing price and household consumption for both the homeowners who own one housing unit and those who own two units of housing. We investigated this phenomenon in China both theoretically and empirically by capturing the dual nature of housing as a consumption good and an investment vehicle. We found that the demand for second housing units is motivated by increasing housing consumption demand rather than pure investment needs. To explain the mechanisms that drive household-consumption behavior, we also explored the effects on household consumption of China’s educational system, marriage market and ageing society, as well as future housing-market uncertainty. The implications of government intervention in the housing market are discussed.     

House Price and co-Residence with Older Parents: Evidence from China

Numerous Chinese families choose to reside together with their elderly parents due to the considerable impacts of conventional values such as filial duty in Chinese society. However, as house prices rocketed up in major Chinese cities over the past decade, this arrangement is facing a sizeable challenge, therefore also raising new research question about it. This paper attempts to investigate the phenomenon of co-residence of adult children with their elderly parents in China. Using the 2013 data of China Household Finance Survey (CHFS), we document that house price is indeed a significant determinant for the pattern of intergenerational co-residence. Our empirical results can provide interesting insights into the important implication of rising house price for household residential arrangements in this country.     

微生物防腐剂在食品保鲜上应用

随着科技的发展,食品工业也得到快速发展,食品保鲜是食品界十分关注的问题。在食品保鲜中常用的微生物防腐剂是一类由微生物产生的食品防腐剂,它能抑制微生物的生长或直接杀死微生物,是一种天然、安全、高效的防腐剂,在食品保鲜界的应用越来越广泛。本文首先分析微生物防腐剂的种类,然后具体介绍了在食品保鲜中使用最广泛的乳酸链球菌素和纳他霉素的具体应用,对于微生物防腐剂在食品保鲜上的应用有很强的现实意义。