我国证券市场与宏观经济波动关联性：基于小波变换和互谱分析的对比检验

本文利用小波变换和互谱分析方法,从时域和频域两个角度研究我国证券市场与宏观经济波动关联性。在小波变换下证券市场与宏观经济长短周期波动存在非一致性,短周期波动具有共变性和双向Granger因果关系,中周期波动出现一定程度的异动性、时滞性和单向Granger因果关系,而长周期波动具有完全异动性和双向Granger因果关系。相干谱和相位谱分析表明,二者长短周期波动相关性较高,中周期波动宏观经济先行,长周期波动二者具有反向共变性,这与小波变换的结论相一致。     

语篇连贯中的词汇衔接

词汇衔接是语篇衔接中很重要的一个衔接手段。英语词汇衔接可分为:复现关系和搭配关系。本文从重复、同义词、上下义词、词汇搭配等几个方面探讨了词汇衔接对语篇连贯的作用。     

The relationship between exchange rates and interest rates in a small open emerging economy: The case of Romania

This paper revisits the relationship between interest rates and exchange rates in a small open emerging economy using wavelet-based methodologies. Based on data for Romania, our results confirm the theoretical predictions on the interest rate - exchange rate relationship during turmoil or policy changes. In the short term, the relationship is negative, confirming the sticky-price models, and over the long term, the relationship is positive, confirming the Purchasing Power Parity theory. At the beginning of the turmoil, the exchange rate movements generally take the lead over the interest rates for the first month, but the monetary authorities take the lead afterwards. Our results reveal that in a small open emerging economy with a direct inflation targeting monetary policy regime, the relationship between exchange rates and interest rate is fundamentally different from that in an advanced economy. Also, our results stress the necessity that the central bank must pay simultaneous attention to both variables in order to achieve their monetary policy targets.     

一种新的小波变换零树图象编码

本文在对图象的小波变换进行讨论的基础上，充分利用了小波变换后各子图象的系数对重构图象的重要程度和人眼的视觉特性，对“嵌入式零树编码”进行改进，提出了一种更加实用的图象压缩方案。该方案可获得具有较高压缩比、信噪比和较好视觉效果的恢复图象。     

An empirical research of urbanization and urban-rural gap in China： 1952-2005

There are two important problems of urban-rural relationship in China nowadays： the accelerated urbanization process and an enlarged urban-rural gap. The researchers can be divided into two schools according to their emphasis. One emphasizes particularly the urban development, and the other pays attention to the urban-rural income gap. However, there is a very strong association between urbanization rate and urban-rural inequality. As far as it goes, there is a paradox between urbanization and urban-rural inequality in China. This main reason lies＇ in the different temporal and spatial scales chosen by the scholars. Making use of correlative analysis and wavelet method, this paper rethinks and sums up the commonly evolving characteristics and trends between urbanization and urban-rural gap from 1950s to now. There is an intensively positive correlation between urbanization and urban- rural consumption gap. In general, with the acceleration of urbanization, urban-rural gap of China has undergone three stages of cyclical fluctuations. The rapid urbanization results in the increase of urban-rural highly risky. In addition, the special stage of urbanization is the other reason that expands urban-rural gap.     

Benefits of wavelet-based carry trade diversification

This study investigates carry trade diversification opportunities and linkages of major carry trade currencies on five different investment horizons. Using daily data on eight currencies and LIBOR rates, we examine the temporal structure of correlations and assess portfolio diversification benefits with wavelet techniques. Our results indicate that positive and economically significant carry trade excess returns are observed on all investigated investment horizons. We document that strategies built on the basis of wavelet correlation lead to significant diversification benefits. These findings indicate the importance of the dynamic structure of exchange rate correlations to currency arbitrage strategies.     

Effects of Price of Gold on Bombay Stock Exchange Sectoral Indices: New Evidence for Portfolio Risk Management

Using daily data, this paper examines the relationship between the returns of gold and seven sectoral indices in the Bombay Stock Exchange (BSE) for the period from January 2000 to May 2018. Given the importance of gold in India, there are significant issues in a portfolio selection in that country. By addressing the hedged robust portfolio problems, this paper focuses on three vanilla portfolio problems: the maximum return portfolio allocation, the global minimum variance portfolio problem, and the Markowitz portfolio allocation by using various multiple generalized autoregressive conditional heteroskedasticity (GARCH) models. The paper finds that gold returns are significantly independent of the returns of the BSE sectoral indices. Besides, gold returns can help predict the future returns of the Consumer Durables and the Fast-Moving Consumer Goods indices as well as the Oil & Gas equity indices. Finally, the findings also show that gold hedges against the information technology stock index and serves as a robust portfolio diversification tool. With these new results, this paper offers several implications for investors and risk management purposes.     

Time–frequency quantile dependence between Bitcoin and global equity markets

In this paper, we examine return dependence between Bitcoin and stock market returns using a novel quantile cross-spectral dependence approach. The results suggest a right-tail (high return) dependence between Bitcoin and the stock markets in the long term and that said dependence decreases significantly from yearly to monthly investment horizons. Furthermore, right-tail dependence between Bitcoin and the US stock market is the strongest compared with other stock markets. We also extract information on the time-varying and time–frequency structure of co-movements between Bitcoin and the stock markets using wavelet-coherence analysis, the results of which suggest that the co-movement between Bitcoin and the US stock market is positive, whereas, for other stock markets, it is negative at certain frequencies and time periods. Overall, the findings highlight additional risk-management capabilities of Bitcoin according to different stock markets.     

Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets

This paper examines the impact of global financial market uncertainty and domestic macroeconomic factors on stock–bond correlation in emerging markets. In particular, by applying the wavelet analysis approach, we are able to examine stock–bond correlations over different time horizons in ten emerging markets. We find that stock–bond correlation patterns vary significantly between the time horizons. In particular, the correlation in short horizon changes the sign rapidly showing sustainable negative episodes while the correlation in long horizon stays positive most of the time. The most important factor influencing stock–bond correlation in short horizon is the monetary policy stance, while the factors with the greatest long-term impact are inflation and stock market uncertainty. Finally, global stock market uncertainty plays a more significant role than global bond market uncertainty in explaining stock–bond correlations in emerging markets.     

对比衔接加语域理论和理想化认知模型理论对语篇连贯的诠释

通过实例对Halliday&Hasan的衔接加语域理论和Lakoff&Johnson的理想化认知模型理论进行分析研究,试揭示两种理论语篇连贯的不同角度的诠释以及二者的互补性,并期望借此窥探系统功能语法与认知语言学对语篇连贯的不同解释。