中国电子商务企业生存的实证分析

本文通过Logisitc回归模型，对电子商务企业生存的影响因素进行了分析。笔者认为，电子商务企业的生存是受企业自身基因构成决定的，而电子商务企业的基因构成包括了企业家才能、资金、信息资本、人力资本、社会资本和技术资本。同时，企业的基因会随着环境的变化而不断地进行着调整和整合，以适应竞争的需要。实证分析的结果证实了笔者的判断。     

外债风险预警模型及中国金融安全状况评估

本文提出了一个用于预警一国外债风险的动态模型 ,即多元累计和模型。模型的用户 (债权人和债务国 )能很早地预测到可能导致债务国重订债务期限的金融危机。实证分析结果表明 ,模型具有提前 3年探测到债务国潜在的还债困难的能力。对中国经济金融安全状况的评估结果表明 ,模型可提前 1年发出预警信号。     

基于"标杆管理"的海南远景经济指标预测

在海南远期经济指标的预测过程中,时间跨度较大,经济社会发展的不确定因素很多,利用传统的数学模型不易把握其发展态势,难以预测。借鉴管理学上“标杆管理”的模式成功地对海南远景经济指标进行了分析预测,该思路同样适用于其他区域经济远景指标的预测。     

Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model

We analyze the empirical properties of the volatilityimplied in options on the 13-week US Treasury bill rate. These options havenot been studied previously. It is shown that a European style put optionon the interest rate is equivalent to a call option on a zero-coupon bond.We apply the LIBOR market model and conduct a battery of validity tests tocompare three different volatility specifications: contact, affine, and exponentialvolatility. It appears that the additional parameter in the affine and theexponential volatility function is not justified. Overall, the LIBOR marketmodel fares well in describing these options.     

A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility

We show that, for three common SARV models, fitting a minimummean square linear filter is equivalent to fitting a GARCH model.This suggests that GARCH models may be useful for filtering,forecasting, and parameter estimation in stochastic volatilitysettings. To investigate, we use simulations to evaluate howthe three SARV models and their associated GARCH filters performunder controlled conditions and then we use daily currency andequity index returns to evaluate how the models perform in arisk management application. Although the GARCH models produceless precise forecasts than the SARV models in the simulations,it is not clear that the performance differences are large enoughto be economically meaningful. Consistent with this view, wefind that the GARCH and SARV models perform comparably in testsof conditional value-at-risk estimates using the actual data.     

A logistic regression point of view toward loss given default distribution estimation

We propose a new procedure to estimate the loss given default (LGD) distribution. Owing to the complicated shape of the LGD distribution, using a smooth density function as a driver to estimate it may result in a decline in model fit. To overcome this problem, we first apply the logistic regression to estimate the LGD cumulative distribution function. Then, we convert the result into the LGD distribution estimate. To implement the newly proposed estimation procedure, we collect a sample of 5269 defaulted debts from Moody’s Default and Recovery Database. A performance study is performed using 2000 pairs of in-sample and out-of-sample data-sets with different sizes that are randomly selected from the entire sample. Our results show that the newly proposed procedure has better and more robust performance than its alternatives, in the sense of yielding more accurate in-sample and out-of-sample LGD distribution estimates. Thus, it is useful for studying the LGD distribution.     

中国货币国际化的趋势预测与人民币的范式选择

货币国际化是一个动态的历史过程。通过对其历史进程的考察,可以清晰地对未来货币国际化进程加以预测。文章认为,中国的人民币国际化进程刚刚起步,但却面临与以往世界货币迥异的道路、环境和结构,迫切需要走出一条符合中国国情的货币国际化道路。     

基于Logistic模型的东北地区粮食生产能力影响因素研究——以宾县为例

[目的]粮食生产能力关系到粮食供给和国家粮食安全,如何提高粮食生产能力是我国亟待解决的问题。文章以宾县为例,通过一定的方法探索粮食生产能力的影响机制,最终提出提高粮食生产能力的合理建议。[方法]利用农户调查数据,借助Logistic模型探讨自然因素和社会经济因素对粮食生产能力的影响特点。[结果](1)品种技术推广、作物收益对粮食生产能力的影响效应在1%水平上达到显著;(2)生育期变化、土地质量、旱灾、耕作方式对粮食生产能力的影响效应在5%水平上达到显著;(3)温度、降水、冷害及农业生产资料投入对粮食生产能力的影响效应在10%水平上达到显著;(4)温度与降水是否集中在生育期内、出售情况、农业引导政策对粮食生产能力的影响不显著。[结论]针对研究结果,该文提出,可从预防低温冷害、健全水利设施、完善耕地保护制度及加强农业基础设施建设等方面提高粮食生产能力。     

Beyond the Optimistic Curse: A New Multiscenario Approach to Debt Sustainability Assessment

While a careful and accurate debt sustainability assessment (DSA) is crucial for an efficient macroeconomic management, the most widely used framework introduced by the International Monetary Fund (IMF) suffers from several drawbacks that render its results overoptimistic and misleading. In this article, we correct the methodology by demonstrating how policy makers can develop country-specific “intermediate” forecasts of the determinants of debt dynamics, in addition to coherent “optimistic” and “pessimistic” scenarios. Our application to the case of Egypt illustrates that the debt-to-GDP ratio could increase to more than 100 percent by 2015, in contrast with the 61 percent projected by the IMF in 2010.     

可行能力视角下农户参与农地整理规划的意愿与影响检验——基于安徽寿县4个典型镇的实证分析

[目的]提升农户参与的意愿与探寻有效参与机制。[方法]文章以安徽省寿县4个典型镇的147户农户与4个项目为调查对象,从农户的可行能力视角出发,运用Logistic模型研究农户参与农地整理规划意愿的驱动因素,运用ArcGIS10.0的空间分析功能检验农户参与对规划的影响。[结果]非农业收入比例、农地整理政策了解度、排灌沟渠布局、田间道路密度及公众参与机制等5类因素有显著推动作用;对规划的影响表现在较大程度优化了规划方案,提高了农地生产率等,但耕作田块扩大效应不显著、排灌沟渠存在空间集聚现象、偏好生产路建设及轻视田间林网工程建设等弊端制约了农业规模化经营、忽视规划全局性与环境效应等。[结论]可通过强化农地整理政策宣传力度、完善引导农户式的公众参与机制及基于农户可行能力视角构建农地整理规划效果的衡量尺度以提升农户参与的意愿与探寻有效参与机制。