Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques

This paper investigates the time-varying behavior of systematic risk for 18 pan-European sectors. Using weekly data over the period 1987–2005, six different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t-GARCH(1,1) model, two Kalman filter (KF)-based approaches, a bivariate stochastic volatility model estimated via the efficient Monte Carlo likelihood technique as well as two Markov switching models. A comparison of ex-ante forecast performances of the different models indicate that the random walk process in connection with the KF is the preferred model to describe and forecast the time-varying behavior of sector betas in a European context.     

基于Copula的商业银行信用-汇率风险整合的实证研究

本文对不同族类、不同种类Copula函数进行比较分析,基于深圳发展银行、上海浦东发展银行、中国民生银行信用收益率和汇率收益率的经验数据进行实证研究与分析,用经验累积分布函数拟合信用收益率和汇率收益率的边缘分布,ArchimedeanCopula函数描述三家银行的信用收益率和汇率收益率的相关关系。在各个置信度下,运用拟合度最优的Copula函数求出各自的信用-汇率风险的VaR（Value—at—risk）值和CVaR（Condifonal Value-at-risk）值,并比较三家银行整合风险的大小,为金融机构决策者的监管提供参考。     

Accounting for the Accuracy of Beta Estimates in CAPM Tests on Assets with Time-varying Risks

This paper advocates two ways to make more efficient use of available information in reducing the bias of the risk premium estimate in two-pass tests of the CAPM. First, explicit modelling of the time-variability of betas can improve the accuracy of the beta forecasts. Second, the cross-sectional information available can be exploited more efficiently using individual stocks instead of portfolios provided that noisy beta predictions are given a smaller weight than more accurate ones. This paper proposes an adjustment of the cross-sectional regressions of excess returns against betas to give larger weights to more reliable beta forecasts. A significant positive relationship between returns and the beta forecast is obtained when the proposed approach is applied to data from the Helsinki Stock Exchange, while the traditional Fama–MacBeth approach as such finds no relationship at all.     

Do Newly Listed Derivatives Affect the Market Risk Premium in a Thin Stock Market?

This study examines the effects on the stock market unitaryrisk premium and volatility associated with the listing of stockand stock index derivatives in Switzerland. Based on a univariateGARCH (1,1) specification of the stock index variance and atime-varying unitary risk premium representation, we can rejectthe hypothesis that stock and stock index derivatives listingsdo not affect the total risk premium. Contrarily to previousempirical evidence, we find that derivatives listings affectboth the conditional market returns’ variance and theunitary risk premium through structural shocks. The gradualmarket completion hypothesis is further corroborated in that,cumulatively, the three stock and stock index options futuresderivatives listings reduced the unitary risk premium whilethe marginal impact of each successive listing decayed. JELClassification: G12, G14.     

区域农业产量风险低估的评价研究

作为我国大力推广的创新型保险产品,区域农业收入保险是对区域农业产量风险与价格风险的双重保障。然而,单产数据空间聚合造成产量风险的低估却是当前农业收入风险评估的一个重要问题,尤其是随着空间区域的增大、产量风险的低估程度就越严重。本文以湖北省黄冈市、咸宁市和十堰市三个地市级水稻产量风险评估为案例,通过两种方法定量评价地市级水稻产量风险的低估程度。方法一是当前最常见的区域产量风险评估方法,直接利用地市级产量数据构建风险评估模型计算产量风险;方法二是收集地市级对应区县产量数据,通过Copula函数构建县级产量损失序列的联合概率分布后,通过Monte Carlo模拟产生区县产量损失序列样本后计算地市级产量风险。通过结果比较发现,方法一获得的三个地级市水稻产量风险较方法二平均低估了51.27%,证明了空间尺度建模不当会带来产量风险评估的严重低估。     

我国区域金融包容水平的俱乐部收敛研究——采用非线性时变因子模型的实证分析

金融包容旨在确保社会弱势群体和低收入群体能够以一个负担得起的成本、适时适地地获得金融服务。基于对我国30个省市区2006—2013年综合金融包容指数（IFI）的测度,运用非线性时变因子模型分析其区域敛散性,结果显示：我国区域金融包容水平存在着三个收敛俱乐部,大多数省份属于水平较低的俱乐部,且俱乐部的地理划分并非简单地服从于东、中、西部。进一步采用Ordered Probit模型的估计结果表明：经济规模越大、城市化水平越高、贸易开放程度越高、信息技术发展水平越高的地区,属于金融包容水平较高层次俱乐部的概率就越大;而政府干预程度越高、城乡收入差距越大的地区,属于金融包容水平低层次俱乐部的概率越大。较低层次俱乐部的地区要在改善环境质量的基础上进一步促进经济增长,处于同一个俱乐部的地区应加强经济合作和信息技术合作。     

异质信念、通货幻觉和我国房地产价格泡沫

房地产基本价值是由其未来的现金流(即租金)和贴现率决定的,异质信念与通胀幻觉分别从投资者对房地产未来现金流分布的信念差异和对贴现率的估计偏差两方面解释了房地产价格泡沫的形成机制。本文基于1994~2010年中国房地产市场季度数据,利用时变现值模型估计中国房地产市场的基本价值,进而给出房地产价格泡沫,并检验中国房地产价格泡沫的形成机制。研究发现,异质信念和通胀幻觉都勾勒出了中国房地产价格泡沫形成的画面,但相对于通胀幻觉,异质信念是中国房地产价格泡沫形成的主导因素。     

Time variation in Okun’s law in Sweden

In this article we estimate an Okun’s law relationship for Sweden using a model with time-varying parameters. Employing quarterly data from 1982 to 2014, results indicate that the GDP growth needed to keep the unemployment rate unchanged in the long rung has fallen considerably over the last 10 years.     

Intraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach

The study forecast intraday portfolio VaR and CVaR using high frequency data of three pairs of stock price indices taken from three different markets. For each pair we specify both the marginal models for the individual return series and a joint model for the dependence between the paired series. We have used CGARCH-EVT-Copula model, and compared its forecasting performance with three other competing models. Backtesting evidence shows that the CGARCH-EVT-Copula type model performs relatively better than other models. Once the best performing model is identified for each pair, we develop an optimal portfolio selection model for each market, separately.     

我国交通运输设备制造业发展的动态计量分析

本文分析并选择了影响我国交通运输设备制造业发展的供给和需求因素,并利用状态空间模型和卡尔曼滤波理论建立并处理了交通运输设备制造业供给和需求函数的变参数模型,得出相对于固定资产,流动资产和劳动力投入能更大程度地提高销售收入,相对于货运周转量和客运周转量,城镇居民可支配收入和出口额有更大的拉动作用的结论。