Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets

The dynamic minimum variance hedge ratios (MVHRs) have been commonly estimated using the Bivariate GARCH model that overlooks the basis effect on the time-varying variance–covariance of spot and futures returns. This paper proposes an alternative specification of the BGARCH model in which the effect is incorporated for estimating MVHRs. Empirical investigation in commodity markets suggests that the basis effect is asymmetric, i.e., the positive basis has greater impact than the negative basis on the variance and covariance structure. Both in-sample and out-of-sample comparisons of the MVHR performance reveal that the model with the asymmetric effect provides greater risk reduction than the conventional models, illustrating importance of the asymmetric effect when modeling the joint dynamics of spot and futures returns and hence estimating hedging strategies.     

论城市商业银行在紧缩性货币政策下的发展趋势

为抑制经济过热、流动性过剩及通货膨胀等严重经济问题,紧缩性货币政策成为目前及未来一段时期内货币政策的必然选择,而该政策将极大左右银行业的经营业绩与资产质量。为此,我们有必要探讨在连续的紧缩性货币政策下,比较竞争力并不占优的城市商业银行所面临的关键问题及其所应调整的战术与战略。     

中国工业结构有序变动的劳动生产率因素研究——基于劳动生产力增长率和GM(1,3)模型的分析

灰色模型CM(1,3)很好体现了资本使用量和劳动投入量对下期工业产出值增加率的影响。通过对2003-2005年劳动生产力和灰色模型分析可以看出,中国能源类工业部门产出的增加更多依赖于劳动力的投入;化纤和石油等工业生产率提高呈现出较高趋势,其劳动力对产出值增加的影响度在下降。     

跨国公司对发展中国家物种资源的掠取行为及应对策略分析

“生命海盗”行为指发达国家和地区对发展中国家物种资源掠夺性地利用,是导致发展中国家物种面临全面危机的重要原因。分析了生命海盗的成因并指出对发展中国家的危害,借鉴其它发展中国家的应对措施和经验,并结合我国物种资源保护的现状,提出了相关建议。     

公允价值应用:过去、现在与未来

<正>历史成本由于在决策相关性方面的不足,使其一直备受理论界与实务界的诟病。特别是上世纪80年代美国2000多家金融机构因从事金融工具交易而陷入财务困境后,历史成本在重大风险预报方面的缺陷更显突出。基于此,国外准则制定机构于90年代后开始考虑在会计准则中引入公允价值计量模式。     

贺《江南论坛》复刊出版200期

《江南论坛》从1993年1月复刊至今年4月,正好复刊出版200期.借此机会,我代表中共无锡市委、市人民政府向《江南论坛》表示热烈的祝贺,向编辑部的全体同志致以良好的祝愿和诚挚的慰问!     

禁烟运动中的粤海关与沿海贸易——英国收藏的豫堃致林则徐咨文考释

道光十九年(1839年)禁烟运动中,粤海关在抵制外国商船夹带走私鸦片、维护正常国际贸易上,起了重要的作用。但它在管理和维护广州与内地沿海贸易的作用,却鲜为人知。英国国家档案局收藏的粤海关监督豫堃致钦差大臣林则徐咨文,为这段史实补一空白。本文对此进行整理介绍,并稍作考释,指出它的研究意义。     

"Chinese Style" Finance

Do you still deposit money in the bank and dream of becoming rich off the interest alone? Or do you still deve into the stock market and watch your blood pressure rise and fise and fall with the market trends?     

COMCE Comes

China's Foreign Trade was lucky to have an interview with the Chairman of COMCE,Mr.Valentín Díez and his COMCE group when they were in Beijing,China.Even now,we can still remember their warm smile and hospitality voice.Besides Mr.Díez,we should thank Mr.Efren Calvo Adame,COMCE Vice-Chairman,Mr.AMB.Manuel Uribe,its Chairman in Asia Pacific Business Section,and Mr.Leonardo Navarro, its Director of Asia Pacific and other members of COMCE,who are ex- hausting their efforts to promote China and Mexico relations. By Editor     

Little Czech Mole,Deep Affection From

Do you remember the little animated character in The Mole? The famous mole has lived for over 86 years in this animation movie which was made by Studio Bratri v- triku,Czech.When I was still a child,I was a crazy fan of this kind-hearted but a little silly mole.I even knew how to say it in Czech:krtek! Because of that mole,I began to fall in love with Czech.After China's Foreign Trade did an interview with Am- bassador of the Czech Repulic to China,H.E.Dr.Vitezslav Grepl, also an old friend of the Magazine, I have more reasons to have affec- tion towards this country. H.E.Dr.Vitezslav Grepl has been the Ambassador of the Czech Repulic to China for about 3 years.Besides his mother tongue, he can also speak very good English,Swed- ish,Finnish and Russian.He was fond of old map collection.In the exhibition room of the Embassy,we could found many previous art works he collected.From his proud smile when he shown us the old Chinese map he collected,I suddenly knew why I could like that little mole so much. Former Czechoslovakia estab- lished former diplomatic relations with People's Republic of China only 5 days after its foundation. During those years,we witnessed together the good relationship be- tween China and Czech Republic. In December 2005,Premier Wen Jiabao visited this beautiful Czech, honored"garden of Mid-Europe". On August 31 this year,the 7th Meeting of Sino-Czech Joint Economic Com- mission was held in Prague.Both sides had an all-round review of the bilateral economic re- lations.By more exchanging activities,China and Czech are walking closer to each other. By Editor