主权债务风险跨国溢出研究——来自频域的新证据

本文从国家间主权债务风险溢出的持续期角度出发,采用基于广义方差分解谱表示的BK溢出指数方法,首次从频域视角对短期和长期下的主权债务风险跨国溢出效应进行研究。研究发现:第一,短期和长期下的主权债务风险跨国溢出效应均较为显著,并且时域下的总溢出主要由短期的风险溢出主导。第二,14个国家的短期和长期风险输出水平呈线性关系,但对于风险输入,不同类型国家出现分化并形成两个聚类,新兴市场国家的短期风险输入水平远高于长期,其具有较强的“短期脆弱性”。第三,风险输出国的自身风险越大,对他国的长期溢出水平越高,风险输入国的自身风险越大,接收他国的短期溢出水平越高,并且两两国家间的进出口规模、金融市场一体化水平和经济周期协同性与其长期风险溢出水平呈正相关关系,而与其短期风险溢出水平的关系并不显著。第四,短期和长期的主权债务风险溢出网络都呈现明显的区域聚集特征,并且各国在短期溢出网络中主要与同区域以及经济金融环境相似的国家连接,在长期溢出网络中则通过经贸关系将连接范围扩大至不同区域甚至经济金融环境差异较大的国家。     

Threshold cointegration,nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira

Modelling complex asymmetric effects and non-linear relationships between exchange rate and stock prices has challenged classical econometric methods. This study contributes to the relative literature in the following distinct ways. First, we follow a variety of econometric approaches in order to characterize the complex dynamic co-movements between Turkish stock market and exchange rate from January 2003 to December 2018. Secondly, we show that the evidence for asymmetric threshold cointegration in Turkey’s financial market can be hidden by following linear time series methodologies. Thirdly, it is also worth noting that the real effective exchange rate, USD-Turkish lira exchange rates, money supply and interest rates have large predictive power for stock price fluctuations at various frequencies. Building on these insights, we claim that asymmetry (nonlinearity) is particularly important in Turkey’s financial market because it shows the need for a new pattern of policy measures to prevent financial market crisis risk in Turkey.     

Travel websites: Changing visits,evaluations and posts

Many studies concerning the role of web-based information in tourism measure one-time interactions. This paper presents results of a longitudinal study. Data collected in 2014 about website visits, evaluations and posts, are compared with data from 2007. The main finding is the advance of sites having a commercial interest in the information provided and the stagnation of consumer review sites without such an interest, the latter losing ground in visits and perceived reliability. The perceived quality of the information improved significantly in terms of extensiveness, novelty and usefulness for both site types. Posting behavior is rare and still limited to a small segment. Implications are outlined related to different forms of perceived credibility. Ways to attract more posters are sketched.     

中国金融形势指数混频测度及其预警行为研究

金融形势指数在前瞻性政策制定、金融风险预警等方面发挥着重要作用。本文基于季度GDP及月度经济指标等信息构建了一种混频动态因子FCI模型以实现中国金融形势指数的混频测度,进而分析其风险预警功能。研究结果表明:首先,引入GDP指标的混频FCI模型的测度结果优于同频模型,房地产价格、GDP等是影响金融形势指数的重要指标。其次,混频金融形势指数具有明显的顺周期特征,其与经济景气先行指数的相关性更强,但宏观经济下行时,该指数与一致指数的相关性明显增强。再次,金融形势指数是一致指数的领先因子,对宏观基本面波动趋势具有预警作用。进一步地,金融形势指数还可以明显改善景气指数的样本外预测精度。最后,替换股市及货币政策指标之后,混频FCI模型的估计结果无明显差异,金融形势指数测度结果也极为相似,从而保证了本文研究结论的稳健性。     

RFID–Tracks It,Tracks You

ABSTRACT

In an effort to improve business efficiencies and the bottom line, many industries are fast adopting Radio Frequency Identification (RFID) technology. Tagging and tracking of items from entry into the supply chain through consumer purchase has already begun. The U.S. Department of Defense and Wal-Mart are two major organizations spearheading the implementation of RFID. This paper provides insight and understanding concerning RFID technology, its benefits, obstacles to implementation, and its applications.     

Dynamic adverse selection and the supply size

In this paper we examine the problem of dynamic adverse selection in a stylized market where the quality of goods is a seller׳s private information while the realized distribution of qualities is public information. We obtain that full trade occurs in every dynamic competitive equilibrium. Moreover, we show that if prices can be conditioned on the supply size then a dynamic competitive equilibrium always exists, while it fails to exist if prices cannot be conditioned on the supply size and the frequency of exchanges is high enough. We conclude that the possibility to condition prices on the supply size allows us to reach efficiency in the limit for exchanges becoming more and more frequent, while otherwise the welfare loss due to delays of exchanges remains bounded away from zero.     

Evidence of information transmission across currency futures markets using frequency domain tests

In this article, I examine the returns and volatility spillovers in the currency futures market incorporating the recently developed frequency domain tests. Such analysis allows differentiating between permanent (long-run) and transitory (short-run) linkages among the currency futures markets by investigating the causality dynamics at low and high frequencies respectively. I detect significant informational linkages between USD, EUR, GBP and JPY futures contracts in the Indian currency futures market. Evidence of innovations from USD futures market to other markets is the most significant for returns spillover and for volatility spillover, EUR is found to be the most significant compared to other currency futures contracts. The results would have implications for the market participants and policymakers.     

Experience conditioning in commuter modal choice modelling – Does it make a difference?

This paper investigates the impact of decision maker’s experience on model elasticities and predicted market share, using data collected in Sydney on commuter mode choice. Usage frequency is used as a proxy for experience and two separate mode choice models are estimated – one with experience conditioning choice and one without. Key model outputs are compared and we find that differences in the value of travel time savings and model elasticities are very marked. This suggests that ignoring experience that one has with each alternative in their choice set may be a candidate source of error in travel demand forecasts. We develop a method to obtain the level of experience for use in application of choice models to increase their prediction power.     

不同USM锐化参数下图像频谱变化研究

为了研究图像的锐化机理和作用,探讨图像锐化处理对图像频谱成分的影响,通过编程生成12种不同空间频率的正弦波图像,用Photoshop软件将这12种图像组合成一幅完整的灰度图像,作为进行锐化处理的原稿。将原稿图像进行不同参数（数值及半径）的虚光蒙版锐化处理,使用Matlab软件对原稿及经锐化的图像进行二维傅立叶变换（FFT）,随后提取上述12种频率对应的傅立叶谱值,将锐化后的值与原稿对应值相减,对其进行分析和研究。通过对频谱曲线进行比较分析,结果表明：USM锐化对图像的频谱增强作用随USM半径、数值的增大而增大;USM锐化对图像频率成分的增强作用并不均衡;USM半径设置较小而USM数值设置较大时,对图像中高频成分的增强效果较明显;USM半径设置较大而USM数值设置较大时,对图像中低频成分的增强效果较明显;当USM锐化参数（数值、半径）设置都较小时,对图像中高频的部分频谱有减小作用。     

Folded and log-folded-t distributions as models for insurance loss data

A rich variety of probability distributions has been proposed in the actuarial literature for fitting of insurance loss data. Examples include: lognormal, log-t, various versions of Pareto, loglogistic, Weibull, gamma and its variants, and generalized beta of the second kind distributions, among others. In this paper, we supplement the literature by adding the log-folded-normal and log-folded-t families. Shapes of the density function and key distributional properties of the ‘folded’ distributions are presented along with three methods for the estimation of parameters: method of maximum likelihood; method of moments; and method of trimmed moments. Further, large and small-sample properties of these estimators are studied in detail. Finally, we fit the newly proposed distributions to data which represent the total damage done by 827 fires in Norway for the year 1988. The fitted models are then employed in a few quantitative risk management examples, where point and interval estimates for several value-at-risk measures are calculated.