利用相位差变化趋势的多源信号关联

针对多源信号关联难度大、关联准确率低的问题，利用同一目标平台上搭载的多个辐射源信号具有一致的动态变化趋势这一特点，提出一种利用相位差特征的多源信号关联方法。已知阵列形式和侦测点位置，通过对侦收到的多个辐射源信号进行处理，获取相位差信息并累积形成相位差变化趋势；对比提取疑似相似段，根据相似性判决策略进行有效关联。该方法能有效避免不同传感器对位置测量的误差影响，相比传统基于位置信息关联的方法，能有效提升关联准确率。仿真和实测数据分析证明了该方法的有效性，在阵列形式和侦测点位置已知的条件下该方法具有重要工程意义。     

大数据对法院司法统计的积极功效及边界

最高人民法院于2016年应用人民法院大数据管理和服务平台以后,全国法院司法统计完全实现计算机自动采集。从发展脉络来看法院司法统计正处于智能化转型阶段,仍然存在一些问题。随着大数据及新技术的引入,司法统计“大数据”得以成为现实,包括了数据采集的全面化、统计分析的综合化、统计平台的社会化,进而提出了大数据助力司法统计精准化的具体路径,包括了提高基础数据的量与质、加强对司法统计数据的深度分析和可视化分析、推进基础设施建设。然而,二者并不具有正相关性。因此,推进司法统计大数据化需要注意有两个限度。     

Uncovering the global network of economic policy uncertainty

This study uncovers the static and dynamic network of economic policy uncertainty (EPU) across 17 developed and emerging economies. We build a centrality network using the minimal spanning tree (MST) as well as a dependency network using partial correlations. Results from the MST show that EPU exhibits some degree of geographical connections with EPUs in seven countries in the sample directly linked to the US EPU. Evidence from dynamic time-varying MST reveals that the nature and dominance of the EPU network have changed significantly over time. Further, the US and German EPUs dominate a close-knit global policy uncertainty network with the highest net (To and From) transmitter of information flow in the dependency network. Greece, Russia, and Brazil are the top three net receivers of information in the global network of EPU. The policy implication of these results relates to the renewed and ongoing international debate on policy coordination.     

国企多任务努力成本相关下的高管激励问题

本文在Holmstrom和Milgrom多任务委托代理模型的分析框架下,建立国有企业的三任务模型,探讨国企多任务努力成本相关下高管激励问题。研究发现,当多任务为互补时,实现企业社会责任目标会对企业经济性任务产生互补促进性作用,有利于经济性任务目标的实现,增加可观测性较高的任务激励会带来互补性任务绩效的提高。当多任务为替代时,实现企业社会责任目标会对企业经济性任务目标的实现产生阻碍作用,不利于经济性任务目标的实现,增加可观测性较高的任务激励会带来互补性任务绩效的减少。当多任务为不相关时,任务间努力成本互相独立,实现企业的政策性任务与其他任务努力成本不相关,应剥离政策性任务。该结论对于国有企业的任务选择与指派,以及存在多任务时的激励机制设计具有重要参考价值。     

北京R&D投入与经济增长的灰色关联分析

随着科技投入的加大,R&D投入也越来越被人们所重视。R&D投入不仅对所在区域科技与经济发展具有重要作用,而且对整个国家的科技与经济发展都具有推动作用。本文运用北京2001~2011年R&D经费投入与经济增长的有关数据变量进行灰色关联分析,并根据不同结构建立了相应模型,揭示了北京R&D经费投入与经济增长的关系。     

Exchange rate contagion in Latin America

A regular vine copula approach is implemented for testing for contagion among the exchange rates of the six largest Latin American countries. Using daily data from June 2005 through April 2012, we find evidence of contagion among the Brazilian, Chilean, Colombian and Mexican exchange rates. However, there are interesting differences in contagion during periods of large exchange rate depreciation and appreciation. Our results have important implications for the response of Latin American countries to currency crises originated abroad.     

Tourism competitiveness index of the Asia-Pacific region through consistency analysis

The world’s economy shifts to a more competitive environment as globalization expands and countries have to adjust by making decisions to improve their competitiveness in all sectors. The Travel and Tourism Report, a useful tool facilitating policy-making and business decisions, allows entities to envision their ranking in the face of the travel and tourism through the creation of a competitiveness index. Focusing on Asia and the Pacific, this paper intends to investigate internal consistency of the constructs based on data analysis techniques such as correlation and reliability, essentials to broader acceptance of the index. The results indicate that high linear association between index and pillars leads ultimately to good level of consistency and highlight the lack of relationship between overall consistency and inter-class consistency. It is suggested to pay close attention to unidimensionality of constructs and inter-relation between variables while building an indicator system as it increases its reliability.     

博罗县耕地变化及其影响因素分析

[目的]试图探讨广东省博罗县耕地时空动态变化与社会经济发展之间的关联度,分析其社会经济发展与当地耕地时空动态变化之间的相关性特点。[方法]基于2005~2014年广东省博罗县耕地资源数据及其相关社会经济资料选取19个指标建立评价指标体系,借助SPSS软件找出社会经济变化的主要驱动因子,并借助DPS软件进行灰色关联分析,得到该地区社会经济发展与耕地面积变化之间的相关性关系,从而量化不同因素对于耕地数量变化的影响程度。[结果]影响耕地变化最大的经济因素为地方财政收入,其关联度高达0.994;城市化水平与耕地面积之间相关性很高,其关联度为0.991;地区生产总值(GDP)与耕地数量变化之间相关性较高,其关联度为0.830。[结论]2005~2014年博罗县耕地数量波动相对较大总体呈现略微增加趋势,人均耕地呈现下降趋势,且经济发展与耕地数量变化关系较密切。     

Nonlinear causality testing with stepwise multivariate filtering: Evidence from stock and currency markets

We examine the spillovers of the US subprime crisis to Asian and European economies and in particular to what extent currency and stock markets have been affected by the crisis. Linear and nonlinear dependencies are detected after pairwise and system-wise causality analysis. A new stepwise multivariate filtering approach is implemented after controlling for conditional heteroskedasticity in the raw data and in VAR/VECM residuals using multivariate GARCH models. Significant nonlinear causal linkages persisted even after the application of GARCH-BEKK, CCC-GARCH and DCC-GARCH modelling. This indicates that volatility effects might partly induce nonlinear causality. Perhaps new short-term asset-pricing models could be developed to explain this stylized fact. These results might also have important implications for hedging, trading strategies and financial market regulation.     

ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

We develop an arbitrage‐free valuation framework for bilateral counterparty risk, where collateral is included with possible rehypothecation. We show that the adjustment is given by the sum of two option payoff terms, where each term depends on the netted exposure, i.e., the difference between the on‐default exposure and the predefault collateral account. We then specialize our analysis to credit default swaps (CDS) as underlying portfolios, and construct a numerical scheme to evaluate the adjustment under a doubly stochastic default framework. In particular, we show that for CDS contracts a perfect collateralization cannot be achieved, even under continuous collateralization, if the reference entity’s and counterparty’s default times are dependent. The impact of rehypothecation, collateral margining frequency, and default correlation‐induced contagion is illustrated with numerical examples.