A Jump-diffusion Model for Exchange Rates in a Target Zone

We propose a simple jump-diffusion model for an exchange rate target zone. The model captures most stylized facts from the existing target zone models while remaining analytically tractable. The model is based on a modified two-limit version of the C OX , I NGERSOLL and R OSS (1985) model. In the model the exchange rate is kept within the band because the variance decreases as the exchange rate approaches the upper or lower limits of the band. We also consider an extension of the model with parity adjustments, which are modeled as Poisson jumps. Estimation of the model is by GMM based on conditional moments. We derive prices of currency options in our model, assuming that realignment jump risk is idiosyncratic. Throughout, we apply the theory to EMS exchange rate data. We show that, after the EMS crisis of 1993, currencies remain in an implicit target zone which is narrower than the officially announced target zones.     

利率-汇率联动:理论综述与实证检验

利率风险和汇率风险是市场系统风险管理中最重要的因素,但两者之间并不是完全无关的,而是具有深刻的理论逻辑.文章回顾了利率汇率联动的相关文献,归纳了国内外学者对这一课题的研究成果,并对人民币利率一汇率联动状况进行了相关实证检验.认识并善于利用利率汇率联动性,有助于金融机构动态把握市场风险,实现资本配置最优化.     

国民总财富的估算与结构分析——以安徽省为例

国民总财富把经济发展、社会进步和资源环境变化结合起来,更好地代表了经济主体可持续发展的程度。文章依据世界银行提出的方法估算出了1990-2011年安徽省人均财富以及总财富的各项构成部分,结果表明:现阶段安徽省仍然大量使用自然资本来推动人均GDP和人均财富的增长。且现阶段,安徽省财富的积累还是以自然资本为主,但是自然资本的比例越来越低,生产资本所占财富的比重正缓慢上升。人力资本比重最小,这不利于经济的可持续发展。     

我国经济增长预测研究新探——基于分类变量的扩散指标法

基于分类变量的扩散指标方法是在Stock and Watson所提出的扩散指标法的基础上，利用变量之间的相似系数先对变量进行聚类分析，根据各变量的相似程度的大小分为几个变量子集，然后分别从变量子集中提取扩散指标。应用基于变量分类的扩散指标方法对我国经济增长的预测结果表明，同扩散指标法相比，该方法更加充分利用了原始数据中的有用信息，预测精度很高，因而是对经济增长进行预测的另一种有效方法。     

省际亲贫式支出对国民幸福 水平影响的差异化研究

本文以公共财政学、新经济地理学、空间计量经济学为理论基础，引入地理空间因素，分析了2000-2010年亲贫式支出对国民幸福水平的省际影响。研究发现：空间溢出效应明显存在；本地区每增加1%亲贫式支出会带动国民幸福指数提升范围大致在02%~1%之间，邻近地区国民幸福指数提高1%会带动本地区国民幸福指数提升07%左右；空间计量模型估计效果优于最小二乘估计效果，空间滞后模型优于空间误差模型。新经济地理学理论能够提供我国各省市亲贫式支出与国民幸福指数集聚、差异及其形成原因的部分解释。     

Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium

This paper examines a continuous‐time two‐country dynamic monetary equilibrium in which countries with possibly heterogeneous tastes and endowments hold their own money for the purpose of transaction services formulated via money in the utility function. Given a price system, no‐arbitrage pricing results are provided for the price of each money and the nominal exchange rate. Characterizations are provided for equilibrium prices for general time‐additive preferences and non‐Markovian exogenous processes. Under a Markovian structure of model primitives, the currency prices are shown to solve a bivariate system of partial differential equations. Assuming that each country is endowed with heterogeneous separable power utility and the exogenous quantities all follow geometric Brownian motions, an equilibrium is shown to exist and additional characterization is provided. A further example of nonseparable Cobb–Douglas preferences is investigated. The additional features over the customary environment of homogeneous logarithmic preferences are emphasized.     

VaR模型在人民币汇率风险度量中的应用

本文首先从VaR模型的假设前提入手,通过对人民币汇率收益率序列的随机性、正态性和异方差性的综合检验,验证了VaR模型在人民币汇率风险度量中的适用性.随后,分别采用非参数法和参数法两大类共九种VaR方法对人民币汇率风险进行实证度量.最后,通过准确性检验发现,GARCH-t模型是度量当前人民币汇率风险的最优方法.     

提高综放工作面煤炭回收率浅析

全面分析综放工作面煤炭损失,提出了提高综放工作面顶煤回收率的有效途径及管理方法,总结了姚桥矿提高综放工作面顶煤回收率的经验。     

Do subjective expectations explain asset pricing puzzles?

The structural uncertainty model with Bayesian learning, advanced by Weitzman (AER 2007), provides a framework for gauging the effect of structural uncertainty on asset prices and risk premiums. This paper provides an operational version of this approach that incorporates realistic priors about consumption growth volatility, while guaranteeing finite asset pricing quantities. In contrast to the extant literature, the resulting asset pricing model with subjective expectations yields well-defined expected utility, finite moment generating function of the predictive distribution of consumption growth, and tractable expressions for equity premium and risk-free return. Our quantitative analysis reveals that explaining the historical equity premium and risk-free return, in the context of subjective expectations, requires implausible levels of structural uncertainty. Furthermore, these implausible prior beliefs result in consumption disaster probabilities that virtually coincide with those implied by more realistic priors. At the same time, the two sets of prior beliefs have diametrically opposite asset pricing implications.