数字经济发展对中国绿色生态效率的影响研究——基于双向固定效应模型

实现数字经济与城市生态韧性协调发展是推动城镇化高质量发展与美丽城市建设的有效路径之一。在构建数字经济与城市生态韧性评估指标体系的基础上,运用熵权法、TOPSIS模型、耦合协调模型与PLSR模型,对2012—2021年珠三角地区各城市数字经济发展、城市生态韧性的时空动态特征及其耦合协调与影响关系进行实证研究。结果表明：（1）珠三角地区各城市数字经济发展经历了缓慢发展期和蓬勃发展期两个阶段,政策引领是数字经济发展的主要推动力,各城市数字经济发展水平呈现“梯队式”发展趋势。（2）珠三角地区各城市生态韧性水平在空间上呈现“中心高周边低”的特征,广州、深圳与东莞的城市生态韧性水平高于其他城市。（3）珠三角地区数字经济发展对城市生态韧性提升具有显著的赋能作用,并且数字经济发展对不同城市的赋能效应具有显著差异,数字基础设施、数字产业化是推动珠三角地区城市生态韧性提升的最主要因素。（4）珠三角地区各城市数字经济与城市生态韧性的耦合协调程度呈现“两超一强多弱”状态,仅广州、深圳两城处于高度耦合协调阶段。基于上述研究结论,文章提出未来珠三角地区需要坚持政策引领,着力推动二三线城市数字经济的发展;发挥生态优势,巩固发展各城市的特色生态产业;重视中心城市的引领作用,助推周边城市数字经济与生态环境协调发展。

     

Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model

The profound financial crisis generated by the collapse of Lehman Brothers and the European sovereign debt crisis in 2011 have caused negative values of government bond yields both in the USA and in the EURO area. This paper investigates whether the use of models which allow for negative interest rates can improve option pricing and implied volatility forecasting. This is done with special attention to foreign exchange and index options. To this end, we carried out an empirical analysis on the prices of call and put options on the US S&P 500 index and Eurodollar futures using a generalization of the Heston model in the stochastic interest rate framework. Specifically, the dynamics of the option’s underlying asset is described by two factors: a stochastic variance and a stochastic interest rate. The volatility is not allowed to be negative, but the interest rate is. Explicit formulas for the transition probability density function and moments are derived. These formulas are used to estimate the model parameters efficiently. Three empirical analyses are illustrated. The first two show that the use of models which allow for negative interest rates can efficiently reproduce implied volatility and forecast option prices (i.e. S&P index and foreign exchange options). The last studies how the US three-month government bond yield affects the US S&P 500 index.     

Aggregation of the generalized fractional processes

The paper studies the interaction between aggregation and persistence pertaining to skip sampling of stock variables as well as temporal aggregation of flow variables for the generalized fractional processes. We show that, for skip sampling, the long memory feature at the zero frequency can arise from the aggregation of a generalized fractional series, while temporal aggregation does not induce such phenomenon. Simulation results are included to demonstrate the practical relevance of the theoretical results.     

宁静灵致 回归自然——读丁融油画作品有感

正30年前即享有"少年天才"的美誉,成为当时中国画坛的一段佳话。后来因画坛名家或激赏、或苛责,无形的压力使他产生了逆反情绪,遂放弃画笔多年。今天所展示的新近作品,不难看出他回归画坛后的种种思考。现实社会的千变万化与对过往年代的追忆,小人物、大都市的生活状态,都充分体现在其作品中。从他严肃的视觉架构中,我们可以看到他对都市生存状况的担忧,以及对宁静的自然生活的渴望。     

Optimal interest rate rule in a DSGE model with housing market spillovers

This paper studies the optimal interest rate rule in a DSGE model with housing market spillovers (Iacoviello and Neri, 2010). We find that the optimal rule responds to house price inflation even when the stabilization of house price is not among the objectives of the policymaker, and that the strength of the response depends crucially on a few structural parameters.     

The Impact of Farmland Transfers on Agricultural Investment in China: A Perspective of Transaction Cost Economics

There is growing concern that farmland transfers lead to less agricultural investment, which may adversely affect agricultural productivity growth in China. Prior research has primarily focused on the differences between owned cultivated land and rented plots, but little is known about how farmland transfers between relatives, which are popular in rural China, specifically affect agricultural investment. In this paper, we present a conceptual framework of transaction cost economics to compare different contracting strategies in China's farmland rental markets. As farmland rental markets in China are immature, land transfer between relatives establishes bilateral governance, which has the advantage of addressing the opportunistic activities of both parties and can ultimately increase investment by tenants. Based on data from two waves of household surveys, we empirically examine the impact of bilateral governance on the application of organic fertilizer, an indicator for agricultural investment. Our findings show that apart from economic factors, kinship is important to the functioning of farmland rental markets in rural areas.     

Retrospect of the Chinese Exchange Rate Regime after Reform： Stylized Facts during the Period from 2005 to 2010

In the present paper, we estimate the de facto RMB exchange rate regime, the currency basket, the floating band and the foreign exchange market pressure before and after the reform of the Chinese exchange rate regime in 2005. We find the following stylized facts： the value of the RAIB became stable after the reform; the weight of the US dollar remained high in the basket, while other currencies remained statistically significant; and the floating band gradually increased to lO percent during 2005-2008, and then greatly narrowed from the late summer of 2008 under the assumption of a yearly resetting interval. We find that the foreign exchange market pressure increased from 2005 to 2008. A possible reason is that the weight of the US dollar in the basket was slightly lower than the share of the US dollar in total transactions on the Chinese foreign exchange market. Therefore, it is reasonable for China to adopt a dollar peg exchange rate regime.     

Coca-Cola's Acquisition Over Huiyuan Juice

China's Anti-Monopoly Law,the foundation stone of the market economy,started to be implemented since August 1st 2008.After half a year of investigation,.Coca Cola's acquisition of Huiyuan Juice was put to a stop by Ministry of Commerce on March 18th 2009.It became the first abortive case since the implementation of the Anti-Monopoly Law and caused strong repercussions home and abroad.While the nationalists applauded for the decision,overseas media generally took a skeptical attitude,considering it as a case of trade protectionism.This phenomenon requires a rational interpretation and guidance for the domestic and international media.On the one hand,acquisition by foreign capital may bring advanced technology and management experience and promote economic development;on the other hand,it may lead to the monopoly of relevant market,hamper competition and cause some domestic brands to disappear.We should look at Coca Cola's acquisition of Huiyuan Juice from two aspects.     

再论中国金融体系的脆弱性

本文的目的就是通过验证我国金融体系在不完全市场的制约条件下,能否发挥"价值创造、价格发现、风险分散、流动性供给、信息生产和公司治理"这六大基本功能,以及通过进一步检验货币政策的有效性,来揭示当今中国金融体系脆弱性的表现及其症结所在.论文通过分析发现,目前影响我国金融体系"健全性"的两大基本要素是房地产价格和流动性,它们直接左右银行的信贷行为;相反,利差幅度和基础货币的调控却没有显著的制约效果.所有这些特征都恰恰反映了我国金融体系的基本功能至今为止还没得到有效的发挥.     

消费行为、产出变化与经常项目动态

国内吸收法认为,当国内需求没有完全吸收其产出时,就会通过净出口产生贸易顺差.中国持续的经常项目顺差似乎与消费需求不足有关.收入是决定居民消费需求的最基本因素之一.本文通过实证分析我国居民的消费与收入变化的关系来考察我国居民的消费需求,结合国内吸收法的思想来分析我国的经常项目动态.