基于ARIMA模型对上证国债指数的预测研究

债券价格变化受很多不确定因素影响，而各个因素之间的相关关系又错综复杂，所以从理论上完全弄清楚债券的变化机理是件冗杂的事情，也非常困难。然而，债券是一个运动的、特殊的系统，也存在着可以被探索到的规律。本文以上证国债指数为例，选取2008年7月1日至2009年7月31日的日收盘价作为数据，利用Eviews软件对该数据建立自回归移动平均模型，对上证国债指数进行预测，并对预测效果给予评价，提出采用一步向前静态预测方法对国债价格进行短期预测的方法，可为国债发行主体和投资者进行相关决策时提供参考。     

A semiparametric model for the systematic factors of portfolio credit risk premia

The aim of this paper is to investigate the empirical relationship between daily fluctuations in the risk premium for holding a large diversified credit portfolio, which we approximate by a benchmark credit index, and some tradeable market factors which capture systematic risk. The analysis is based on an adaptive nonparametric modelling approach which allows for the data-driven estimation of the nonlinear dynamic relationship between portfolio credit risk premia and their hypothetical components. Our main finding is that the empirical weights of the systematic factors display sudden jumps during market crises and a less intense time-dependent behaviour during normal market conditions. In addition, we find that during market crises the directions of the empirical relationships are often inconsistent with ordinary economic intuition, as they are influenced by the specific circumstances of financial markets distress.     

突发模式下PSK信号的载波估计和位同步技术

介绍了一种适合于突发模式下PSK信号的快速载波估计和位时钟恢复的算法,该算法基于特定图案的前导字,在前导字阶段采用匹配滤波相关的前向技术直接获取载波频差估计值和位同步时钟的相位信息,利用数字相关得到载波初相的估计值.此算法结构简单,可估计的载波频差范围约为符号率的±10%,且计算量不大,适合数字硬件实现.实测结果验证了该方法的可行性和有效性.     

Fear and hope in an age of mass automation: debating the future of work

Alternative perspectives from economics and political economy now agree that work is set to disappear through the impact of mass automation. Some worry about the negative effects on unemployment and inequality, while others see the opportunity to extend free time. This paper confronts and criticises these perspectives. It addresses previous visions of an automated (‘workless’) future presented by Marx and Keynes and shows the enduring barriers to working less in capitalist society. It then questions whether work will be reduced by technological progress; rather, it argues that work will likely persist, despite and indeed because of the wider use of new technology. The threat to workers from technology is seen to come more from the erosion in the quality of work than from the loss of work. The paper argues that a better future for work and workers ultimately depends on broader changes in ownership.     

Was household internet adoption driven by the reform? Evaluation of the 2013 telecommunication reform in Mexico

In 2013 the Mexican Telecommunications and Broadcasting Reform was launched with the goal of promoting competition and access in the telecommunications sector. The aim of this paper is to evaluate whether the 2013 reform had an impact on household fixed internet adoption and to what extent Mexican households, classified into ten wealth groups, had adopted internet. For the assessment, after a revision of supply and demand Reform's measures to reduce the digital divide, data from the 2010 Census and 2015 Intercensal Survey were used to create adoption indexes using Poisson estimations. The results were analyzed by ten wealth groups, constructed on principal components based on household characteristics (type of dwelling, electricity availability, availability of drinking water, sewer system, internet and ICT devices: computer, telephone, cell phone and internet). Additionally, the impact of both indexes was validated by a difference in differences method. The results suggest a 66% overall increase in internet adoption between 2010 and 2015. The decile analysis showed considerable internet adoption in the low and middle wealth groups (deciles 2–8), while in the highest wealth groups (deciles 9–10) the impact of internet adoption has been relatively moderate. It is worth noting that internet adoption is unequally distributed, as less than 1% of households in deciles 1 to 6 had adopted internet in 2015, while nearly all of the wealthiest ten percent of households have internet access. Nevertheless the increment in internet adoption was not only the result of the reform but the combination of the broadband penetration trend and the reform together.     

The Measurement of Capital: Retrieving Initial Values from Panel Data

A common problem with micro‐level analysis is that capital stock data is missing. Typically, a feasible measure of capital is calculated by accumulating investment flows from an initial value of the capital stock. As the time dimension of most disaggregated data is rather short, the choice of this initial value can have significant effects on the resulting capital estimates. Most empirical studies impute the initial value using a single arbitrary proxy. In this paper, we propose a panel data framework that assigns weighting coefficients to multiple proxy variables. We conduct a series of Monte Carlo experiments to test the performance of the proposed method and apply the method to a U.S. manufacturing dataset. The results suggest that our method improves the approximation of the capital stock and thus in turn reduces the bias in the production function estimation.     

Online,on call: the spread of digitally organised just‐in‐time working and its implications for standard employment models

This article questions whether the dominant policy discourse, in which a normative model of standard employment is counterposed to ‘non‐standard’ or ‘atypical’ employment, enables us to capture the diversity of fluid labour markets in which work is dynamically reshaped in an interaction between different kinds of employment status and work organisation. Drawing on surveys in the UK, Germany, Sweden and the Netherlands that investigate work managed via online platforms (‘crowdwork’) and associated practices, it demonstrates that crowdwork represents part of a continuum. Not only do most crowd workers combine work for online platforms with other forms of work or income generation, but also many of the ICT‐related practices associated with crowdwork are widespread across the rest of the labour market where a growing number of workers are ‘logged’. Future research should not just focus on crowdworkers as a special case but on new patterns of work organisation in the regular workforce.     

新农保是否促进了兼业农户的土地转出*——基于断点回归的分析

[目的]研究新型农村养老保险制度对兼业农户土地转出是否具有促进作用。[方法]文章先采用比较静态分析,阐明了新农保的政策效果对土地转出的影响路径,同时,为了检验这种影响路径在现实中是否通畅,且影响程度如何,该文利用2014年CFPS数据,采用模糊断点回归方法,对领取新农保养老金促进兼业农户土地转出效果进行了实证研究,并采用了不同带宽、加入前定变量、多阶驱动变量、非参估计以及安慰剂测试等多种方法进行稳健性检验。[结果]比较静态分析说明新农保的转移性收入会对老年农户的农业劳动收入产生替代作用,且替代弹性大于1,可以有效地减少农业劳动需求,从而促使老年农户将手中的土地释放出来。而实证结果表明领取新农保养老金的农户,土地转出率显著提高30%。[结论]这说明了新农保与土地养老保障之间确实存在明显替代作用,社保体系的完善会为我国土地流转的加快推进提供良好的外部条件。     

How does import processing time impact export patterns?

We examine how import processing time, which is one of the major obstacles in international trade, affects export patterns at the establishment level. Investigating the effect of such time costs on export patterns reveals how smoothness or sluggishness in operations at one stage affects all stages in an international production network. We first discuss the effects of import processing time on exports, export shipment frequency and exports per shipment from a theoretical standpoint. We employ highly detailed customs data for Thailand from 2007 to 2011 to empirically investigate our theoretical predictions. Import processing time is measured using the difference between the dates on which import shipments arrive in ports and when they were released from the container yard. Results suggest that longer import processing times reduce total exports, particularly as a result of decreasing export frequency; this testifies to the importance of time costs in international trade. It is also revealed that negative effects of import processing time on exports per shipment appear in some specific instances, such as in the case of sea transportation. These results imply that the time spent in one stage has significant effects on both upstream and downstream stages in international production networks.     

An insight into the Italian economy from an analysis based on the industrial production index in both frequency and time domains

This paper aims to gain new insights into the Italian economic tendency toward recovery by investigating the Industrial Production Index series (IPI). The trend and cyclical components of the series are determined using a novel technique which hinges on optimal truncated ideal low‐pass filters. The contributions of the latent components to the IPI series are brought to the fore by a spectrum analyzer that evaluates the spectra of the said components in the bands of interest. The analysis results corroborate that the Italian economy is still subject to cyclical effects that can compromise its recovery.