Pacific Basin stock markets and international capital asset pricing

In this paper, we follow Harvey (1991) to investigate whether rates of return on Pacific Basin stock markets can be explained by conditional version of International Capital Asset Pricing Model (ICAPM), which allows for time-varying expected returns, variances, and covariances. The results show that most individual Pacific Basin markets can be described by the conditional ICAPM. However, the multiple markets' tests do not support the conditional ICAPM formulation, and the estimates of world reward to risk ratio are not the same across these markets. Furthermore, the Ghysels and Hall test (Ghysels & Hall, 1990a, 1990b) shows that the estimates of parameter are also unstable in the conditional ICAPM formulation. This implies that it is difficult to use world return to describe the relationship between expected return and risk for the Pacific Basin stock markets.     

Nonrecursive separation of risk and time preferences

Recursive utility disentangles preferences with respect to time and risk by recursively building up a value function of local increments. This involves certainty equivalents of indirect utility. Instead we disentangle preferences with respect to time and risk by building up a value function as a non-linear aggregation of certainty equivalents of direct utility of consumption. This entails time-consistency issues which are dealt with by looking for an equilibrium control and an equilibrium value function rather than a classical optimal control and a classical optimal value function. We characterize the solution in a general diffusive incomplete market model and find that, in certain special cases of utmost interest, the characterization coincides with what would arise from a recursive utility approach. But also importantly, in other cases, it does not: The two approaches are fundamentally different but match, exclusively but importantly, in the mathematically special case of homogeneity of the value function.     

Nonperforming loans in the GCC banking sectors: Does the Islamic finance matter?

This paper investigates the bank-level and country-level factors determining nonperforming loans (NPL) in the commercial banking industry of Gulf Cooperation Council (GCC) countries. Specifically; it examines the impact of the sectoral distribution financing growth and Islamic finance methods growth on NPL. To do so, we apply generalized method of moments (GMM) techniques, over the 2005–2011 period. Our findings indicate that the sectoral distribution of Islamic financing has an adverse impact on NPL, which suggest that the sectoral financing growth of Islamic banks increases the credit risk exposure more than conventional banks. The findings of the Islamic finance methods growth show that the impact of fixed-income debt contracts could increase NPL more than profit-and-loss-sharing contracts.     

基于广义可加模型的跨境人民币流动影响因素实证分析

利用广义可加模型对影响跨境人民币流动的因素进行理论和实证分析,发现贸易进出口总额对跨境人民币流动的线性作用与非线性作用不一样.随着一国贸易进出口总额的增加,对跨境人民币流动的非线性影响呈现由正向转为负向的趋势;人民币的有效汇率对于会造成跨境人民币流动水平小幅波动;资本市场的发展水平对于跨境人民币流动的影响是水平线性的.最后,本文比较了广义可加模型与多元线性回归模型、协整模型的差异,体现了广义可加模型用于经济领域研究的优势.     

进出口贸易与中国制造业要素重置——基于动态面板数据的实证分析

在使用2000-2009年企业层面的数据测度中国制造业的要素重置效应的基础上,运用动态面板数据的系统广义矩方法检验了进出口贸易对制造业要素重置的影响作用。结果表明进出口贸易对中国制造业的要素重置综合效应存在显著的促进作用,从分解来看,进出口贸易对退出效应和在位企业要素重置效应均有显著的正向作用;进一步研究发现,进出口贸易仅对劳动力密集型行业的进入效应存在显著的正向影响,而对资本密集型行业的进入效应作用不明显。     

Bayesian estimation of an extended local scale stochastic volatility model

A new version of the local scale model of Shephard (1994) is presented. Its features are identically distributed evolution equation disturbances, the incorporation of in-the-mean effects, and the incorporation of variance regressors. A Bayesian posterior simulator and a new simulation smoother are presented. The model is applied to publicly available daily exchange rate and asset return series, and is compared with t-GARCH and Lognormal stochastic volatility formulations using Bayes factors.     

时变Copula模型的非参数推断

运用Copula模型研究金融变量之间的相关结构,是近年来金融分析中的一个热点,如何估计Copula模型中的时变参数则是一个重点和难点问题。本文从非参数建模思想为切入点,提出经验分布函数—局部极大似然法(ECDF-LML)估计Copula函数中的时变参数,研究了Copula模型参数是否时变的统计假设检验问题。最后通过大量随机模拟研究验证了本文所提出的方法较DCC-MGARCH方法在刻画随机变量动态相关性方面更具优越性且很稳健。     

基于R/S分析的股市风格分形特征研究

运用多重分形R/S分析法研究我国股票市场的风格分形结构特征,通过计算中信标普公司推出的6种纯风格资产指数在不同时间标度下的收益率序列Hurst指数与平均循环周期,发现我国股票市场风格存在统计自相似性、标度不变性、长记忆性,不同风格资产指数收益序列具有不同的平均循环周期等分形特征,这为基金公司、基金经理及时地把握股市风格的轮换规律,构建适度风格漂移策略以获取短期超额收益提供了决策参考与理论支持。     

中国未来10年通胀周期预测及其验证

采用增广Pisarenko方法对当代中国通货膨胀周期进行分析验证，可得出通货膨胀周期函数。运用这一周期函数对中国通货膨胀周期进行10年预测，可得出2009年左右、2013年左右中国可能出现较高的通货膨胀预测结果。因此，必须对可能出现的较高的通货膨胀保持足够的警惕，做好必要准备。     

Evaluation of the effect of investor psychology on an artificial stock market through its degree of efficiency

The main objective of this article is to develop a Cellular Automaton Model in which more than one type of stockbroker interact, and where the use and exchange of information between investors describe the complexity measured through the estimation of the Hurst exponent. This exponent represents an efficient or random market when it has a value equal to 0.5. Thanks to the various proposals, it can be determined in this investigation that a rational component must exist in the simulator in order to generate an efficient behavior.