产业技术视角下锡产业演进阶段识别分析——基于时变参数生产函数模型

技术进步在产业演进过程中发挥了重要作用,是产业演进的根本动力。通过建立时变参数生产函数模型,设定状态方程和量测方程,利用卡尔曼滤波法求解出每年各技术指标的具体数值,再根据产业技术视角下产业演进的判定标准,对中国锡产业所处的演进阶段及分界点做出近似测度。研究结果表明:技术指标变化可用来识别锡产业演进阶段;中国锡产业目前表现出衰退期特征;锡产业演进规律受到产业性质的制约。根据锡产业表现出的阶段性特征和其内在的演进规律,有利于政府部门制定战略性资源型产业发展规划,为产业选择提供依据。     

基于Copula-GARCH的金融市场时变相关性分析

进入21世纪全球各金融市场之间的联系日益紧密,一个国家的金融状况会不同程度的影响到其他的国家,尤其在金融危机爆发的境况下,各主要金融市场之间的相关性分析更是具有实践意义。由于Copula函数其自身的性质,在研究相关性分析上的优势,逐渐被应用到金融分析的模型当中。本文正是以二元正态Copula—GARCH（1,1）一t模型借助MATLAB分析工具箱,在金融危机的大背景下,对主要金融国家的金融市场波动情况的相关性分析。     

The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach

A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the idea that continuous technological progress alters the trading environment over time. With new methodologies and a new measure of the degree of market efficiency, we examine whether the US stock market evolves over time. In particular, a time-varying autoregressive (TV-AR) model is employed. Our main findings are: (i) the US stock market has evolved over time and the degree of market efficiency has cyclical fluctuations with a considerably long periodicity, from 30 to 40 years; and (ii) the US stock market has been efficient with the exception of four times in our sample period: during the long recession of 1873–1879; the recession of 1902–1904; the New Deal era; and the recession of 1957–1958 and soon after it. It is then shown that our results are partly consistent with the view of behavioural finance.     

The 2007–2009 financial crisis: changing market dynamics and the impact of credit supply and aggregate demand sensitivity

This article singles out the determinants of changes in US firms’ systematic risk and idiosyncratic return induced by the 2007–2009 financial crisis. After establishing that systematic risk changes during the crisis, the results show that higher operational and financial leverage coincide with an increase in systematic risk, while high cash availability is associated with a decrease in systematic risk. The crisis-induced idiosyncratic return worsens with increasing financial leverage, higher sensitivity to aggregate demand shocks and banking sector problems, and lower operational leverage. Additional results show that the aforementioned variables have economically large effects on firm performance during the crisis.     

投资组合风险承受能力既定的Achimedien copula实际风险模拟

Copula是用来描述多个随机变量闻相依的统计方法,利用随机向量的边缘分布,确定随机向量的联合分布.Copula函数广泛地应用与金融领域,特别在投资组合选择,金融市场风险管理方面成为一个有力的工具.本文选取模拟金融数据效果更好的Achi-medien copula函数对给定风险下的投资组合面临的实际风险进行了分析.