CREDIBILITY, MACROECONOMIC FUNDAMENTALS AND MARKOV REGIME SWITCHES IN THE EMS

The main objective of this paper is to use the Markov regime‐switching modelling framework to describe and analyse the credibility of a number of countries participating in the European Monetary System during 1980–1998. Our credibility indicator, based on Hughes Hallet et al.'s (1997) methodology, is subject to discrete regime shifts and is made dependent on macroeconomic fundamentals. We carry out extensive testing to assess the specification of the Markov regime‐switching model and the potential existence of permanent breaks. A contribution of our paper is the specification of a multivariate Markov switching model that allows us to examine whether macroeconomic variables have asymmetric effects on credibility. Another contribution is the specification of a regime‐switching model with time‐varying transition probabilities, which enables us to determine whether changes in macroeconomic variables can trigger switches between the low and high credibility regimes. We find strong evidence of regime switching behaviour in all countries. Both the level of credibility and the transition probabilities display an asymmetric response to changes in macroeconomic variables, with the stance of fiscal policy exerting the most systematic influence in all countries.     

A consumer education programme based on the Transtheoretical Model of Change

MONEY 2000? is a successful consumer education programme that was implemented by Cooperative Extension personnel in over two dozen states of the USA between 1996 and 2002. One of the unique features of this programme is that it was based on the Transtheoretical Model of Change (TTM), a framework that has been widely used to study health‐related behaviour changes such as smoking cessation. This paper first describes how the MONEY 2000? programme was developed around major constructs contained within the TTM. Findings are reported from a survey conducted with participants in the first two states that delivered the programme. The findings suggest that several change processes used by MONEY 2000? participants are associated with specific stages of change. In addition, there may be differences in behavioural changes between participants who increased their savings and those who reduced their debts.     

UNEMPLOYMENT, HYSTERESIS AND TRANSITION

In this paper, we quantify the degree of persistence in the unemployment rates of transition countries using a variety of methods benchmarked against the EU. Initially, we work with the concept of linear ‘Hysteresis’ as described by the presence of unit roots in unemployment as in most empirical research on this area. Given that this is potentially a narrow definition, we also take into account the existence of structural breaks and nonlinear dynamics in unemployment. Finally, we examine whether CEECs' unemployment presents features of multiple equilibria, that is, if it remains locked into a new level whenever some structural change or sufficiently large shock occurs. Our findings show that, in general, we can reject the unit‐root hypothesis after controlling for structural changes and business‐cycle effects, but we can observe the presence of a high and low unemployment equilibria. The speed of adjustment is faster for CEECs than the EU, although CEECs tend to move more frequently between equilibria.     

Statistics for Studies of Human Welfare

Developments in the recent past have substantially increased our ability to measure, compute, and communicate. We take the view that a corresponding improved understanding of processes in the life sciences will come about only through more intensive studies of properties of statistical methods and algorithms and transparent, open source computing environments.     

CROSS‐DOCKING AND ITS IMPLICATIONS IN LOCATION‐DISTRIBUTION SYSTEMS

Cross‐docking replaces traditional warehousing, enabling continuous flow of items without storage. Here we model location‐distribution networks, that include cross‐docking facilities, to obtain the latter's impact on the supply chain. We formulate optimization models to minimize total cost in three multi‐echelon networks, each model generalizing the preceding one. The first includes a single manufacturer, one product type, and multiple customers. Cross‐docks are to be located between origin and destinations. Besides solving optimally, a tool for quantitative analysis of direct‐shipment decisions is developed. The second model considers more than one product: We determine a cost‐effective sequence of items for indirect shipment (via cross‐docks). Finally, in a network with multiple origins, optimal solutions are obtained for 40 medium‐sized and larger examples.     

QUADRATIC TERM STRUCTURE MODELS FOR RISK-FREE AND DEFAULTABLE RATES

In this paper, quadratic term structure models (QTSMs) are analyzed and characterized in a general Markovian setting. The primary motivation for this work is to find a useful extension of the traditional QTSM, which is based on an Ornstein–Uhlenbeck (OU) state process, while maintaining the analytical tractability of the model. To accomplish this, the class of quadratic processes, consisting of those Markov state processes that yield QTSM, is introduced. The main result states that OU processes are the only conservative quadratic processes. In general, however, a quadratic potential can be added to allow QTSMs to model default risk. It is further shown that the exponent functions that are inherent in the definition of the quadratic property can be determined by a system of Riccati equations with a unique admissible parameter set. The implications of these results for modeling the term structure of risk-free and defaultable rates are discussed.     

纽约股票市场对中国A股市场的影响

首先，本文考察了纽约股市波动对中国A股市场的影响。一般认为，中国的A股市场由于严格的资本控制而免受外国影响。但是，通过月度、每周、每日的样本数据（1992年到2004年），经过季节性调整和汇率变动调整后，我们发现上海和深圳A股市场的变动与美国股票价格指数变动相一致。其次，我们考察国家贝塔值（country beta）在马尔可夫转换误差修正模型中的动态关系。对中国市场来说，国家贝塔值和错误纠正项的重要性紧密相连。在东亚金融危机之前，美国市场对中国A股市场的影响普遍存在，而东亚金融危机产生后，则是通过国家贝塔值来影响中国股市的收益。     

A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options

This article investigates the extent to which options on theAustralian Stock Price Index can be explained by parametricand nonparametric option pricing techniques. In particular,comparisons are made of out-of-sample option pricing performanceand hedging performance. The dataset differs from many of thoseused previously in the empirical options pricing literaturein that it consists of American options. In addition, a broaderspectrum of techniques are considered: a spline-based nonparametrictechnique is considered in addition to the standard kernel techniques,while the performance of a Heston stochastic volatility modelis also considered. Although some evidence is found of superiorperformance by nonparametric techniques for in-sample pricing,the parametric methods exhibit a markedly better ability toexplain future prices and show superior hedging performance.     

采取网络型的政府市场供给模式应对房价问题

面对不断飙升的房价,从理论界到政策层面对其原因都有不同的解读,但从实践结果来看对房价的治理并不理想。本文在综合分析理论研究与国家调控政策的基础上,认为创新措施采取网络型的政府市场供给模式是解决房价过快上涨的有效途径。文章着重对这一模式进行了分析,并认为此举对缓解供需矛盾、解决市场的信息不对称、市场操控、改变预期、稳定房价等都有非常重要的作用。     

Bayesian MCMC Mapping of Quantitative Trait Loci in a Half-sib Design: a Graphical Model Perspective

Graphical models provide a powerful and flexible approach to the analysis of complex problems in genetics. While task-specific software may be extremely efficient for any particular analysis, it is often difficult to adapt to new computational challenges. By viewing these genetic applications in a more general framework, many problems can be handled by essentially the same software. This is advantageous in an area where fast methodological development is essential. Once a method has been fully developed and tested, problem-specific software may then be required. The aim of this paper is to illustrate the potential use of a graphical model approach to genetic analyses by taking a very simple and well-understood problem by way of example.