Automatic stabilizers in the Japanese tax system

When studying the role of taxes as an automatic stabilizer, excluding the effects of discretionary tax reform is troublesome. A fruitful approach to identifying tax movements over business cycles would be to utilize cyclical information. From this perspective, we exploit wavelets in order to characterize the automatic response of taxes to output at business cycle frequencies in the postwar Japanese economy. We find the presence of automatic stabilizers in the Japanese tax system under the influence of relatively high output volatility but the absence of such stabilizers during the period of the “Great Moderation” in Japan in the 1980s.     

Real estate markets and the macroeconomy: A dynamic coherence framework

This paper analyzes the dynamic interactions between real estate markets, in the US and the UK and their macroeconomic environments. We apply a new approach based on a dynamic coherence function (DCF) to study these interactions bringing together different real estate markets (the securitized market, the commercial market and the residential market). The results suggest that there is a common trend that drives the different real estate markets in the UK and the US, particularly in the long run, since they have a similar shape of the DCF. We also find that, in the US, wealth and housing expenditure channels are very conductive during real estate crises. However, in the UK, only the wealth effect is significant as a transmission channel during real estate market downturns. In addition, real estate markets in the UK and the US react differently to institutional shocks. This brings some insights on the conduct of monetary policy in order to avoid disturbances in real estate markets.     

从衔接和连贯谈阅读教学

衔接和连贯是语篇中的两个定义，通过分析衔接和连贯在阅读中的作用，提出以语篇为中心进行阅读教学，使学生了解语篇连贯与衔接的最基本知识，从而更准确地掌握主题与作者的意圈。     

基于小波神经网络的高阶CAPM实证研究

本文在传统CAPM的基础上,引入了一个高阶的CAPM。借助小波神经网络在非线性函数逼近方面的优势,使用上海证券交易所股票数据分别对二阶至四阶CAPM进行了实证分析。最终的研究结果表明:就上海股市而言,12只大盘股组合已经能够有效分散非系统风险,而12只小盘股不能充分化解非系统风险,存在所谓的规模效应;训练后的网络预测显示,高阶CAPM无论是在预测精度还是预测稳定性上都要明显优于传统的CAPM,在一个非系统风险得到充分分散的证券组合中,加入三阶矩的CAPM已经能够比较准确地把握风险资产的市场定价。     

基于小波变换的形状识别方法

<正> 在我国的改革开放中,金融改革始终是国内外关注的一个焦点。自1996年12月1日起,我国政府开始接受国际货币基金组织(IMF)协定第八条的义务,实行人民币经常项目下的可兑换。在此以前不久,我国政府已经开始了允许外资银行经营人民币业务的试点;同时,正在考虑和即将开始允许外国投资基金进入我国资本市场的试点。这些都表明了我国金融市场正在扩大对外开放的程度,也表示了政府对金融自由化与国际化所持的积极态度。 在我国的金融自由化与国际化进程中,资本市场(这里主要指证券市场)的对外开放是一个十分复杂和风险较大的问题。总体上,这里涉及到三个方面的问题:一是我国资本市场对外开放所应选择的入口和顺序;二是我国资本市场开放的制度障碍;三是我国资本市场对外开放的风险控制。     

基于离散小波变换和奇异值分解的数字水印算法

当前数字作品的版权保护问题备受关注,数字水印是保护数字作品版权的有效手段。本研究针对大容量水印嵌入问题,提出一种基于离散小波变换和奇异值分解的灰度图像数字水印算法。首先,利用离散小波变换将原始图像分为LL、LH、HL和HH四个子带;其次,通过奇异值分解获得LL子带图像的对角矩阵S^l以及水印图像的对角矩阵S^w;然后,将矩阵S^l与S^u进行叠加来完成水印嵌入。该算法的突出特点为嵌入的水印容量大,且算法具有较强的鲁棒性。实验证明,嵌入水印后的图像在经受高斯噪声、椒盐噪声、旋转等攻击后,利用该算法仍能提取到有效的水印图像。     

Oil price and automobile stock return co-movement: A wavelet coherence analysis

This paper explores possible co-movement between oil price and automobile stock return in a joint time-frequency domain. Daily price series from August 01, 1996 to June 20, 2017 is used in this analysis. The results indicate that the co-movement between oil price and automobile stock return is strong during November, 2000–December, 2002 and March, 2006–December, 2009. The co-movement is found to be more pronounced in the long-term and stock return is sensitive to the higher oil price emanating from the demand shock. This contravenes the conventional wisdom that crude oil is always counter-cyclical to the automobile stocks. For investor, this weakens the probable gain from including oil asset in a portfolio of automobile stocks as crude oil does not offer cushion against bearish automobile stock markets during the crisis period.     

Revisiting global economic activity and crude oil prices: A wavelet analysis

Based on the wavelet analysis approach, this paper firstly examines the dynamic relationship between global economic activity (proxied by the Kilian economic index) and crude oil prices in both time- and frequency-domains. Our empirical results demonstrate significant correlation between crude oil prices and global economic activity at high frequencies (in the short run) during the entire sample period; however, the co-movement between the two at low frequencies (in the long run) is weaker and exists only during certain proportions of the sample period. We also document evidence that global economic activity and oil price are positively correlated, with dynamic lead-lag relationships across time. Our findings are robust to alternative choices of oil price indexes and controlling for other confounding factors such as geopolitical risk, armed conflicts, economic policy uncertainty and equity market uncertainty. The current study provides valuable implications for oil market investors based on the information of global economic situation and its dynamic relationships with oil prices.     

The impact of COVID-19 on the G7 stock markets: A time-frequency analysis

We examine the co-movement of the G7 stock returns with the numbers of confirmed COVID-19 cases and causalities based on daily data from December 31, 2019 to November 13, 2020. We employ the wavelet coherence approach to measure the impact of the numbers of confirmed cases and deaths on the G7 stock markets. Our findings reveal that both the number of confirmed COVID-19 cases and the number of deaths exhibit strong coherence with the G7 equity markets, although we find heterogeneous results for the Canadian and Japanese equity markets, in which the numbers of COVID-19 cases and the deaths exhibit only a weak relationship. This evidence is more pronounced in the long-term horizon rather than the short-term horizon. Moreover, the lead-lag relationship entails a mix of lead-lag relations across different countries. We present the implications of these findings for both policymakers and the international investment community.     

Modelling the asymmetric linkages between spot gold prices and African stocks

We model the asymmetric linkages between returns of spot gold prices and African stock markets using wavelets and quantile regression techniques. The maximal overlap discrete wavelet transform technique was employed to decompose the returns into short-, medium-, and long-term series and the quantile regression was employed to explore the nexus by matching their conditional distributions along 0.05 quantile intervals. We find that the relationship between gold and African stocks is frequency-dependent and asymmetric in nature across the various timescales and quantiles. We find a mixture of negative and positive connections across the various quantiles in the short- and medium-terms. In the long-term, whereas the effect of gold is positive for Ghana, Mauritius, and Nigeria; it is negative for Egypt, Morocco, South Africa, and Tunisia. The results possess important implications for risk management as dependencies are not only studied over the entire conditional distribution at once but based on quantiles and further at different frequencies. Investors can make well-informed decisions to mitigate trade risks as they closely match the time heterogeneity in the markets.