Non-linear Gaussian sovereign CDS pricing models

Prior literature indicates that quadratic models and the Black–Karasinski model are very promising for CDS pricing. This paper extends these models and the Black [J. Finance 1995, 50, 1371–1376] model for pricing sovereign CDS’s. For all 10 sovereigns in the sample quadratic models best fit CDS spreads in-sample, and a four factor quadratic model can account for the joint effects on CDS spreads of default risk, default loss risk and liquidity risk with no restriction to factors correlation. Liquidity risk appears to affect sovereign CDS spreads. However, quadratic models tend to over-fit some CDS maturities at the expense of other maturities, while the BK model is particularly immune from this tendency. The Black model seems preferable because its out-of-sample performance in the time series dimension is the best.     

Rural credit and the time allocation of agricultural households: The case of PRONAF in Brazil

This paper evaluates the impact of Brazil's National Program to Strengthen Family Farming (PRONAF) on the time allocation of household members. We use data from the 2014 Pesquisa Nacional por Amostra de Domicílios, and we apply propensity score methods to complex surveys recently recommended in the literature. We find that PRONAF helps to increase focus on agricultural activities, but it also stimulates female partners to engage in unpaid work. The results show significant effects of PRONAF on child labor and on the gender‐specific division of labor within households, although it does not have the usual adverse effects of rural credit programs on school attendance.     

Do investors actually value sustainability? New evidence from investor reactions to the Dow Jones Sustainability Index (DJSI)

Research Summary: Research exploring investor reactions to sustainability has substantial empirical limitations, which we address with a large‐scale longitudinal financial event study of the first global sustainability index, DJSI World. We examine investor reactions to firms from 27 countries over 17 years that are added, deleted, or continue on the index. We find that once relevant controls and comparisons to observationally equivalent firms beyond the index are included, DJSI events have only limited significance and/or materiality. Nonetheless, investors' valuation of sustainability around the world has evolved over time, involving diminishing reactions to U.S. firms and increasing benefits, particularly of continuation on the index, over time. The study highlights the importance of careful analysis and longitudinal global samples in making inferences about the financial effects of social performance. Managerial Summary: The debate about how investors perceive corporate social responsibility (CSR) predates Milton Friedman's famous statement that the only social responsibility of business is to increase profits. Although extensive research has studied whether sustainability contributes to financial performance, we have yet to understand whether investors believe it pays off. This financial event study of reactions to the addition, continuation, and deletion from DJSI World, the first global sustainability index, shows that investors care little about DJSI announcements. Nonetheless, there is some evidence that global assessments of sustainability are converging and that investors may increasingly be valuing continuation on the DJSI, suggesting that firms may gain at least limited benefits from reliable sustainability activities.     

Changes in airport operating procedures and implications for airport strategies post-COVID-19

Covid-19 is demanding a lot of changes in the realm of our daily lives. The aviation industry is also facing unprecedented changes in the management environment. Financial tensions across the sector are rising. This study suggests that the airport strategy's direction focusing on commercial revenue management. After Covid-19, safety and hygiene will be the top priority. As a result, changes in airport operating procedures are inevitable. The most noticeable difference will be the strengthening of the verification process for passengers' health conditions. Dwell time increase can be the by-products. This study identifies a dwell time increase has a more significant impact on increasing the existing purchasers' spending than creating new buyers. Airport operators can introduce a service differentiation perspective, such as a dedicated service, to utilize the current buyers' dwell time more faithfully. Also, the rise of online channels requires airport operators to change sales strategies, reinforcing emotional promotion to stimulate impulse buyers' willingness-to-buy. Before Covid-19, there was little effort to reconcile operation policies and commercial revenue despite the growing importance of revenue management. However, now it is time to change. Pre-Covid-19, passengers were advised of using off-airport processes, such as online check-in and mobile boarding passes. Now, getting passengers to the airport quickly and securing their dwell time can be financially more beneficial. It is necessary to incorporate the commercial revenue perspective into operation policies post-Covid-19 actively. Our finding indicates that even a passenger with solid purchasing power may lose the purchasing intention when assigned to an unfavorable gate or terminal. Airport operators need a better understanding of passenger and flight characteristics when determining operation policy, such as gate allocation or membership services.     

Simple fair division of a square

Suppose we are given a cake represented by the unit interval to be divided among agents evaluating the pieces of the cake by nonatomic probability measures. It is known that we can divide the unit interval into contiguous and connected pieces and assign them to the agents in such a way that the values of the pieces are equal according to the individual agents measures. Such division is said to be equitable and simple. In this paper we show that an equitable and simple division also exists in the case of dividing two-dimensional cake represented by the unit square. In this case, by simple division we mean dividing the unit square firstly by horizontal cuts, and then partition the resulting rectangles by vertical cuts. We give a method of obtaining a proportional and simple division of this cake. Furthermore, we prove the existence of proportional, equitable and simple division.     

京津冀城市大气环境竞争力评价

从大气环境与城市竞争力的关联性入手,将大气环境风险、现状和治理纳入评价指标体系,基于组合权重的大气环境竞争力评价模型,对2013-2017年京津冀13个城市的大气环境竞争力水平进行了测评,并结合空间自相关分析和障碍度模型揭示了其空间效应及障碍因素。结果显示:京津冀城市大气环境竞争力存在明显的空间差异,呈"北部高、南部低、局部跳跃"格局,城市差距逐渐缩小;京津冀城市大气环境竞争力呈显著的空间集聚效应且存在正向相关性,空间分布格局相对稳定。     

人工智能技术变革对国际贸易的影响

人工智能技术的快速发展正催生第四次工业革命,可能引发全球价值链深度重构和世界经贸格局重大变革。世界主要经济强国将发展人工智能技术作为争夺新一轮产业竞争优势的重要战略抓手。本文基于全球价值链视角研究人工智能技术变革对国际贸易的影响,我们发现人工智能技术变革可能推动国际贸易规模扩大,提升服务贸易份额,并促进国际贸易交易模式平台化、小宗化,可为中小企业创造更多参与国际贸易的机会。然而,人工智能技术变革也可能通过降低企业劳动力需求从而对我国等发展中国家的出口拉动型增长模式造成严重的潜在威胁。为应对人工智能技术变革,我国应部署并强化对人工智能产业发展的政策支持,加快培育制造业国际竞争新优势,大力推动先进制造业与现代生产性服务业深度融合发展,全面促进"中国制造"攀升全球价值链中高端。     

亚当·斯密农业发展思想研究

经济学之父亚当·斯密的传世名著《国富论》包含了非常丰富的经济发展思想,在《国富论》中,亚当·斯密重点对制造业、商业等城市经济进行阐述的同时,对农村、农业的发展也提出了自己的见解。虽然这些见解零散地分布在《国富论》的各篇章中,且距今已有二百余年,但是这些看似零碎的见解却包含着博大精深的农业发展思想,对现今我国的农村、农业发展仍然有着很强的指导和借鉴意义。     

大跨度天基数据链的TDD时隙调度分析与优化

针对天基数据链系统卫星间的传播时延较大且节点间距离变化较大等特点，提出了一种提高时频资源利用率、提升系统容量、减小时延的方法。在时分多址与空分多址相结合的接入方式下，进行了时隙调度的分析与优化，利用卫星星座的空间复用与大跨度传播时延特性，采用时隙编排、收发状态调整、帧格式优化等手段，将信道利用率和系统容量提升了1倍，将卫星节点在某一方向获得服务的平均等待时间缩短为原来的1/4，提高了天基数据链系统的服务质量。     

微纳卫星组网星间链路设计及关键技术分析

微纳卫星组网应用可大幅度提高航天装备的能力，较单颗大卫星具有明显的优势。首先，介绍了国内外微纳卫星组网的研究情况，以组网侦察应用为例分析了星间测量与通信链路的技术需求，并进行了系统架构和体制设计；其次，在星座设计基础上开展系统仿真，并提出了一体化设备实现方案；最后，分析了微纳卫星组网系统中几项重要的关键技术及其解决方案，对系统的设计和工程实现具有参考价值。