Temporal aggregation and risk–return relation

The function form of a linear intertemporal relation between risk and return is suggested by Merton's [1973. Econometrica 41, 867–887] analytical work for instantaneous returns, whereas empirical studies have examined the nature of this relation using temporally aggregated data, i.e., daily, monthly, quarterly, or even yearly returns. Our paper carefully examines the temporal aggregation effect on the validity of the linear specification of the risk–return relation at discrete horizons, and on its implications on the reliability of the resulting inference about the risk–return relation based on different observation intervals. Surprisingly, we show that, based on the standard Heston's [1993. Review of Financial Studies 6, 327–343] dynamics, the linear relation between risk and return will not be distorted by the temporal aggregation at all. Neither will the sign of this relation be flipped by the temporal aggregation, even at the yearly horizon. This finding excludes the temporal aggregation issue as a potential source for the conflicting empirical evidence about the risk–return relation in the earlier studies.     

基于服务化和智能制造融合的工业企业商业模式创新研究

服务化和智能制造代表需求拉动和技术推动两种创新模式,是工业企业战略布局的重要方向,然而对二者间联系及融合界面缺乏清晰理解。基于商业模式创新视角,将服务化和智能制造概念结合,明确二者的融合界面,并依据服务化和数字化水平两维度,确定二者融合的九种组合架构,借助文献案例进行示例及说明,进而讨论了实施复杂度差异性。该研究深化了服务化和智能制造融合的规律认知,可为管理者的商业模式创新决策提供参考。     

Empirics of hills,plateaus, mountains and plains: A Markov-switching approach to growth

Most economic growth research has been aimed at explaining cross-country differences in average growth rates. However, it is well known that growth experiences differ over time within a country almost as much as they differ among countries. This paper builds on Pritchett's (2000) [Pritchett, Lant, Understanding patterns of economic growth: searching for hills among plateaus, mountains, and plains, World Bank Economic Review, May 2000, 14 (2), 221–250.] observation that the growth process can be thought of as transitions between different growth regimes and proposes a framework for systematic analysis of such regimes and the dynamics of the transitions. I estimate a Markov-switching regression to characterize four distinct growth regimes and transitions between them. The results show that countries switch among regimes of stable growth, “miracle” catch-up, stagnation and crisis with the transition probabilities determined by the quality of institutions. Better institutions appear to improve long-run growth by making episodes of fast growth more persistent. Low average growth rates in countries with weak institutions are a result of these countries spending more time in stagnation regimes rather then being incapable of fast growth at all. Weak institutions do not rule out growth takeoffs but limit their sustainability. The approach directs attention to shifts in growth performance and highlights the fact that identical average growth rates can mask very distinct growth paths.     

会计准则国际趋同:欧盟经验及对中国的启示

欧盟正式决定上市公司财务报告采纳国际会计准则后,采取了一系列有效措施积极推进会计准则国际趋同,包括实行双层认可机制、推行等效认可标准、利用专业机构实施监督以及积极参与国际合作等。这些措施,对于我国会计准则国际趋同具有重要借鉴意义。     

Does the dispersion of unit labor cost dynamics in the EMU imply long-run divergence?

Using unit labor cost (ULC) data from Euro area countries as well as US States and German Länder we investigate inflation convergence using different approaches, namely panel unit root tests, cointegration tests and error-correction models. All in all we cannot reject convergence of ULC growth in EMU. However, country-specific deviations from the rest of the currency union are much more pronounced and much more persistent in Europe than in the US or Germany. This holds before and after the introduction of the common currency. Hence, asymmetric shocks in the future might take a long time to dissipate.     

Monitoring and forecasting annual public deficit every month: the case of France

In this paper we forecast annual budget deficits using monthly information. Using French monthly data on central government revenues and expenditures, the method we propose consists of: (1) estimating monthly ARIMA models for all items of central government revenues and expenditures; (2) inferring the annual ARIMA models from the monthly models; (3) using the inferred annual ARIMA models to perform one-step-ahead forecasts for each item; (4) compounding the annual forecasts of all revenues and expenditures to obtain an annual budget deficit forecast. The major empirical benefit of this technique is that as soon as new monthly data become available, annual deficit forecasts are updated. This allows us to detect in advance possible slippages in central government finances. For years 2002–2004, forecasts obtained following the proposed approach are compared with a benchmark method and with official predictions published by the French government. An evaluation of their relative performance is provided.      

The impact of the bird flu on public willingness to pay for the protection of migratory birds

In this paper, we present the results of a unique time series analysis of contingent values and models for migratory bird protection based on an identical contingent valuation (CV) survey carried out over a three year time period since the first bird flu outbreak in 2003. Although there exists no scientific evidence for a direct relationship, migratory birds are believed to play an important role in spreading the bird flu virus worldwide. The time series analysis allows us to test the temporal stability of stated preferences for migratory bird protection and at the same time examine indirectly the possible impact of increased media attention and public awareness levels regarding the bird flu. We test the impact of the bird flu on public willingness to pay (WTP) for migratory bird protection in the final 2005 survey whilst accounting for procedural variance introduced by sequencing and question ordering-effects, but we are unable to demonstrate a direct negative relationship. A novelty of the study presented here is that respondents in the CV surveys are given the opportunity to pay an annual money amount or a one-time-off lump-sum. Annual WTP values appear to be significantly higher than one-time-off WTP values, suggesting a negative implicit discount rate. Self-selection bias is an important reason for the observed differences. We find that respondents who agree to pay annually differ significantly from respondents who wish to pay a lump-sum in terms of their underlying preferences and motivations towards migratory bird protection.     

战略性新兴产业军民融合式发展的产业融合分析——以核能产业为例

基于产业融合分析框架,战略性新兴产业军民融合式发展可视为包括技术融合、需求融合、企业融合和制度融合在内的产业融合的特殊表现形式。其中,技术融合是起点,企业融合是实现途径,需求融合是重要拉动力,制度融合是外部推动力。以战略性新兴产业军民融合式发展的典型产业——核能产业为研究对象,从技术融合、企业融合、需求融合和制度融合等方面,分析核能产业军民融合式发展现状与问题,提出了夯实技术基础、打造军民融合产业园、建立需求拉动机制以及完善军民融合制度建设等一些列促进战略性新兴产业军民融合深度发展的建议。     

中国大米市场回归均衡速度研究

本文利用持续性时间序列（Persistence profile）方法分粳米和籼米估计了大米市场受到冲击后向均衡收敛的速度，进而分析了中国大米市场的有效性，研究结果表明：对于粳米而言，主产地市场比主销地市场更有效；从总体上看，籼米市场比粳米市场更有效。为缩短市场受到冲击后回到均衡需要的时问，提高中国大米市场的有效性，粳米主销地要储备合理数量的粳米应对市场的突然冲击，要采取多种措施与主产区建立稳定的大米购销关系；国家要加强粮食市场信息化和交通运输建设，提高大米流通效率，加快市场调节速度。