Improving forecasting performance using covariate-dependent copula models

Copulas provide an attractive approach to the construction of multivariate distributions with flexible marginal distributions and different forms of dependences. Of particular importance in many areas is the possibility of forecasting the tail-dependences explicitly. Most of the available approaches are only able to estimate tail-dependences and correlations via nuisance parameters, and cannot be used for either interpretation or forecasting. We propose a general Bayesian approach for modeling and forecasting tail-dependences and correlations as explicit functions of covariates, with the aim of improving the copula forecasting performance. The proposed covariate-dependent copula model also allows for Bayesian variable selection from among the covariates of the marginal models, as well as the copula density. The copulas that we study include the Joe-Clayton copula, the Clayton copula, the Gumbel copula and the Student’s $t$-copula. Posterior inference is carried out using an efficient MCMC simulation method. Our approach is applied to both simulated data and the S&P 100 and S&P 600 stock indices. The forecasting performance of the proposed approach is compared with those of other modeling strategies based on log predictive scores. A value-at-risk evaluation is also performed for the model comparisons.     

我国大麦价格波动特征及其影响因素分析

[目的]大麦价格剧烈波动会直接影响大麦种植户的生产积极性和大麦产业的平稳发展,研究大麦价格波动特征及其影响因素,有助于提升大麦产业链相关主体识别和应对市场风险的能力,促进大麦产业的健康发展。[方法]文章先采用HP滤波法和ARCH类模型分析了2011年4月至2017年2月我国大麦价格波动特征,然后采用脉冲响应函数分析了我国大麦价格波动影响因素。[结果]我国大麦价格波动存在明显的季节性和周期性,样本期内总体上呈现逐渐下降趋势;我国大麦价格具有显著的波动集聚性,我国大麦价格具有显著的不对称性;在该文选择的影响因素中,大麦进口量和国际大麦价格是影响我国大麦价格波动的主要因素。[结论]该文提出必须保障并提高国内大麦合理产能、完善大麦价格监测预警体系、加强国内大麦进口企业整合和推动大麦进口来源多元化的政策建议。     

税收优惠政策与高技术产业创新效率

研究目标：分析税收优惠政策对创新效率的影响以及创新效率的收敛性，测度税收优惠政策对创新带来的实际贡献。研究方法：构建随机前沿模型测度高技术产业的创新效率，采用σ收敛和β收敛检验方法检验创新效率收敛性，并采用反事实计量方法测度税收优惠政策对创新带来的实际贡献。研究发现：税收优惠政策对研发效率有显著正影响，对市场转化效率的影响为正但不显著，政策实施后效率分布也更集中；研发效率的收敛主要是由东中西地区内部之间差距的缩小造成的，而市场转化效率的收敛是由三大地区内部差距的缩小以及中西部和东部地区的差距缩小共同造成的；税收优惠政策使研发效率大约上升了8%～10%，带来的创新产出占总产出的比重也一直维持在10%以上。研究创新：从效率水平和收敛性两个角度来定量分析税收优惠政策对创新效率的影响。研究价值：为更好地采取措施提高创新效率和减小地区创新效率差距提供经验证据。     

Big data driven cycle time parallel prediction for production planning in wafer manufacturing

Cycle time forecasting (CTF) is one of the most crucial issues for production planning to keep high delivery reliability in semiconductor wafer fabrication systems (SWFS). This paper proposes a novel data-intensive cycle time (CT) prediction system with parallel computing to rapidly forecast the CT of wafer lots with large datasets. First, a density peak based radial basis function network (DP-RBFN) is designed to forecast the CT with the diverse and agglomerative CT data. Second, the network learning method based on a clustering technique is proposed to determine the density peak. Third, a parallel computing approach for network training is proposed in order to speed up the training process with large scaled CT data. Finally, an experiment with respect to SWFS is presented, which demonstrates that the proposed CTF system can not only speed up the training process of the model but also outperform the radial basis function network, the back-propagation-network and multivariate regression methodology based CTF methods in terms of the mean absolute deviation and standard deviation.     

基于传统地理空间和网络虚拟空间进行的两类产业转移之对比研究

从空间区域角度来划分产业转移,可以将产业转移划分为传统地理意义上的产业转移和基于网络虚拟空间进行的产业转移。利用逻辑演绎和规范分析方法对两类产业转移进行对比研究,发现两类产业转移的内涵不同,且在转移机制、转移路线、主导力量和转移特征上都存在差异。对于区域产业经济的发展而言,两类产业转移都可以成为促进产业优化升级的手段。虽然产业在地理区间内转移仍然是产业转移的主要途径,但随着网络经济的深化发展,基于网络虚拟空间进行的产业转移会成为各地区产业发展中不可忽略的方式。     

The impact of crude oil inventory announcements on prices: Evidence from derivatives markets

This study examines the impact of weekly crude oil storage announcements on oil futures and options prices. We document evidence of a strong announcement day effect on both markets, and find prices to move in anticipation of the inventory surprise. Futures returns significantly decrease with positive surprises and increase with negative surprises. There is no evidence of an asymmetric impact on futures prices. Near‐the‐money options exhibit the greatest price sensitivity, and the magnitude of the price response of both futures and options declines with maturity. The results remain robust even after controlling for various macroeconomic and other storage‐related news variables.     

Strategic Sequential Bidding for Government Land Auction Sales – Evidence from Singapore

This paper studies the extent to which equilibrium land auction prices are pushed up sequentially due to strategic bidding behaviors in government land auction sales. Using a unique dataset that covers the universe of tendering prices submitted by all developers for all residential land auction sales in Singapore, we find that a tenderer’s bids are significantly higher where there was a previous land parcel sold within two years and located within four kilometers. The identified price margin decreases with time and geographic distance. Tracking sequential bids submitted by the same developer over time, we find that the incumbent winner of a previous auction is more likely to participate in subsequent nearby land sales as compared to the second-highest bidder of the same auction. However, it does not necessarily win the subsequent sites. We argue that the incumbent deliberately bids up the subsequent land prices to gain pricing advantages to their own parcels.     

制度空间下国家级新区空间重构过程与机制--以重庆两江新区为例

制度空间是特定的地理空间中某些被建构并产生有效影响力或影响范围的制度,它是我国国家级新区的重要表征之一,也是推动空间重构的重要因素。建构了"制度空间—行为选择—空间重构"的分析框架,通过实地考察、深度访谈、空间分析相互结合相互佐证的方法,对两江新区的制度空间、主体行为与空间重构的关系进行分析。研究表明:两江新区经历了构想空间、产业空间到消费和居住空间的重构过程,"强激励"与"弱约束"的制度空间扩大了主体行为的空间与资源,是空间重构的内生性力量。地方政府借助制度空间条件,通过空间规模扩张、空间开发垄断和空间场所营销等"理性"行为,在发展初期实现了对空间开发的主导和操纵。随着建成环境的不断完善及地方政府的制度实践,企业"趋利性"投资促进了空间转型和土地升值。原农村居民的"服从配合"和空间让渡助推了空间重构,而不断壮大的富裕和中产阶层通过空间消费,逐渐成为空间重构的积极参与者和受益者。     

Economic Impacts of the Possible China–US Trade War

This article uses a multi-country global general equilibrium (GE) model to numerically simulate the effects of possible China–US trade wars. We introduce an endogenous trade imbalance structure with trade cost into the model which helps to explore both tariff and non-tariff trade war effects. Our simulation results show that China will be significantly hurt by the China–US trade war, but negative impacts are affordable. The US can gain under unilateral sanction measures to China, but will lose if China takes retaliation measures. Comparing the effects under mutual trade war, China will lose more than the US. Introducing non-tariff barrier trade wars will intensify the negative effects, and comparatively negative effects to China are larger than to the US. Mexico’s involvement in trade war with the US will strengthen the negative effects and comparatively hurt the US more. Under non-cooperative and cooperative Nash bargaining equilibrium, the US can gain more than China in trade war negotiation, which means the US has stronger bargaining power than China. Additionally, trade wars between China and the US will hurt most countries and the world especially in GDP and manufacturing employment, but benefit their welfare and trade.     

Patterns of poverty among elderly Americans: a latent class Markov model

This article studies poverty persistence and the role of social security programmes on poverty among elderly in the US. We use a Latent Markov model to disentangle unobserved heterogeneity and state dependence. Because of its dynamic nature, unobserved heterogeneity is modelled to vary over time. This allows to capture different latent states of poverty that change over time. Result indicates the existence of three unobserved types evolving over time according to their propensity to be poor. Moreover, a strong persistence in poverty especially for women, individuals living alone and ethnic minorities is found. Finally, the estimates indicate that giving social assistance tends to reduce poverty.