On the test of the correction mechanism for mis-pricing between assets using a statistical yield spread model

This paper investigates the existence of a correction mechanism for mis-pricing between Japanese stock and bond. By this correction mechanism we mean that when deviations occur from the equilibrium levels of the expected return differentials between stock and bond — the risk premium differentials, the market will tend to correct the mis-pricing and bring the expected return differentials back to the equilibrium levels. We assume that the yield spread between the predicted earnings price ratio of stock and the yield to maturity of bond reflects the risk premium between stock and bond, and estimate the equilibrium risk premium differentials and mis-prices between stock and bond by modelling their behaviors with a statistical yield spread model (SYS). Empirical results strongly indicate the existence of the mis-pricing correction mechanism, suggesting the inefficiency of securities markets.     

The impacts of Hong Kong’s Currency Board reforms on the interbank market

Among the economies with a Currency Board System (CBS), Hong Kong (HK) is probably the one with the largest and most developed financial sector, as well as the highest capital mobility. Hence, studying HK’s CBS is not only crucial to HK, but also important for the understanding of the modern CBS. This paper outlines the major monetary reforms in HK since the late 1980s. The impacts of these reforms and the 1997–1998 Asian Financial Crisis are then examined empirically. We focus on the differentials between the US and HK interbank interest rates. We assume the conditional-mean equation follows an autoregressive process and the conditional-variance equation follows a generalized autoregressive conditional heteroscedasticity process. This model captures the time-varying level and volatility of the differential. In light of the empirical results we provide an assessment of the reforms in HK.     

近10年日本宏观经济的理论分析与展望

近10年日本经济停滞不前，一方面对外经济状况不佳：日元对美元汇率技术下跌。且不断加剧；出口增长放缓，贸易顺差连续下滑，另一方面国内宏观经济状况严峻；失业率不断上升，内需不振；通货紧缩逐步加深；工业增长持续低迷，工业生产与效益下降，究其原因，用内外均衡模型理论分析得出，日本经济没有达到均衡的0点，内外均衡遭到了破坏，而展望今后的日本经济和日元走势，基于日本财政状况的恶化及货币政策的失效，估计还不会导致资本的大量外流。也不会对资本流动产生重要的影响，而结构改革也将可能引致日元升值。     

电子商务条件下我国物流模式的选择——综合物流代理模式

本文针对电子商务条件下现代物流的新特点和我国物流现状,提出在新的条件下选择适合我国国情的物流模式,即综合物流代理模式。它是由一家在物流管理经验、人才和技术上均有一定优势的企业通过建立一个综合物流代理的管理体系,对电子商务交易中供求双方的所有物流活动进行全权代理的业务活动模式。     

Differential reporting in Germany - A historical analysis

Based on a contingent perspective of accounting change, this paper reviews the historical development of differential reporting in Germany, by drawing on primary and secondary sources. The main objective of the paper is to shed light on the driving forces and main influential parameters that have shaped the existing differential reporting framework. This historical approach supplies interesting insights for the current discussion on differential reporting in Germany produced by the EU Regulation on the application of International Accounting Standards.     

The effect of exchange rate changes on trade balances in the short and long run

Using generalized impulse response functions, this study tests for the trade J‐curve for three transitional central European countries – the Czech Republic, Hungary, and Poland – in their bilateral trade with respect to Germany. Our findings suggest that for each country there are some characteristics associated with a J‐curve effect: after a (real or nominal) depreciation the export‐to‐import ratio briefly drops to below its initial value within a few months and then rises to a long run equilibrium value higher than the initial one.     

Backtesting Value-at-Risk: A Duration-Based Approach

Financial risk model evaluation or backtesting is a key partof the internal model's approach to market risk management aslaid out by the Basle Committee on Banking Supervision. However,existing backtesting methods have relatively low power in realisticsmall sample settings. Our contribution is the exploration ofnew tools for backtesting based on the duration of days betweenthe violations of the Value-at-Risk. Our Monte Carlo resultsshow that in realistic situations, the new duration-based testshave considerably better power properties than the previouslysuggested tests.     

Do Germans Save to Leave an Estate? An Examination of the Bequest Motive

I investigate whether a bequest motive for savings influences the post-retirement wealth trajectories of German households. Two measures of the bequest motive are studied: the existence of children as the main group of potential heirs and the respondents' declared intention to bequeath. While having children has no significant impact on households' wealth trajectories, stated bequest intentions are associated with considerable heterogeneity in wealth holdings. The main conclusion from this study is that both the pure life-cycle model and the life-cycle model with bequest motives provide a valid basis for a theory of household wealth accumulation once the heterogeneity of preferences is acknowledged.
JEL classification : D 91; J 14     

对加拿大货币需求的数量分析

在特定的经济条件下，全社会货币需求量以及这个量的变动规律，是一国政府制定并执行货币政策和财政政策时所要考虑的重要参数。战后以来，西方国家政府一般是通过货币政策和财政政策的执行，最终影响产出量和就业水平。分析影响货币需求变动的因素及其变量之间的数量关系，是正确地预测货币需求变动的关键。加拿大的货币需求与其相关的经济因素之间的关系；加拿大货币供求与经济增长之间的关系。     

Pricing practices and firms' market power in international cellular markets, an empirical study

Previous studies on international marketing have typically asked the question: “how is the demand characterized across countries?” Such analysis is then used to provide guidelines for firms to enter new markets and/or to allocate marketing resources across countries. To provide such normative guidelines, however, one also needs to analyze the supply-side of the problem, i.e., ask: “what is the likely market power that firms will be able to command in different countries?” Building on the New Empirical Industrial Organization (NEIO) framework, recent research in marketing provides marketers with a variety of models to explore competitive interactions among firms in the context of a single market. The goal of this paper is to extend this literature to a multimarket/multinational context to help international marketers assess the likely market power they face when entering new countries. We illustrate the proposed method on the mobile telecommunications industry, using price and quantity data from 10 countries around the world, estimating firms' market power as a function of a number of country characteristics.The results indicate that, while the simple presence of competition diminishes firms' market power, it does not lead to perfect competition. Interestingly, a higher number of competitors in a country does not seem to have significant incremental effect on market power. In contrast, the country's commitment to a severe antitrust policy has a significant negative effect, while the monopolist's lead-time before competition is allowed has a significant positive effect on market power. These findings, together with a change in price elasticities as a result of competition, suggest that market power in different countries may originate from two sources: (i) collusive pricing among cellular operators and (ii) consumers' switching costs across service providers. For international marketers, the findings imply that the attractiveness of wealthier countries (with usually faster diffusion rates and larger market potential) may be mitigated by higher levels of competition (as a result of developed antitrust regulation and more consumer exposure to competitive marketing practices). From a policy point of view, it suggests that (in contrast to the conventional wisdom) simple deregulation may not be enough to reduce prices to competitive levels. In addition, a severe antitrust policy is crucial to achieve this goal.