Flexible estimation of price response functions using retail scanner data

Kalyanam and Shively [1998. Estimating irregular pricing effects: a stochastic spline regression approach. Journal of Marketing Research 35 (1), 16–29] and van Heerde et al. [2001. Semiparametric analysis to estimate the deal effect curve. Journal of Marketing Research 38 (2), 197–215] have demonstrated the usefulness of nonparametric regression to estimate pricing effects flexibly. The empirical results of these two studies, however, also revealed that nonparametric regression may suffer from too much flexibility leading to nonmonotonic shapes for price effects. In this paper, we show how the problem of nonmonotonicity can be dealt with without losing the power of flexible estimation techniques. We propose a semiparametric approach based on Bayesian P-splines with monotonicity constraints imposed on own- and cross-price effects. In an empirical application, we illustrate that flexible estimation of own- and cross-price effects can improve the predictive validity of a sales response model substantially, even when price response curves were constrained to show a monotonic shape, as suggested by economic theory. We also discuss the consequences from an unconstrained estimation of price effects.     

A new multiscale decomposition ensemble approach for forecasting exchange rates

Due to the high complexity and strong nonlinearity nature of foreign exchange rates, how to forecast foreign exchange rate accurately is regarded as a challenging research topic. Therefore, developing highly accurate forecasting method is of great significance to investors and policy makers. A new multiscale decomposition ensemble approach to forecast foreign exchange rates is proposed in this paper. In the approach, the variational mode decomposition (VMD) method is utilized to divide foreign exchange rates into a finite number of subcomponents; the support vector neural network (SVNN) technique is used to model and forecast each subcomponent respectively; another SVNN technique is utilized to integrate the forecasting results of each subcomponent to generate the final forecast results. To verify the superiority of the proposed approach, four major exchange rates were chosen for model comparison and evaluation. The experimental results indicate that our proposed VMD-SVNN-SVNN multiscale decomposition ensemble approach outperforms some other benchmarks in terms of forecasting accuracy and statistical tests. This demonstrates that our proposed VMD-SVNN-SVNN multiscale decomposition ensemble approach is promising for forecasting foreign exchange rates.     

宗地规模、城市类型与土地出让溢价——基于70个大中城市住宅用地出让数据的实证分析

研究目的:确定住宅用地出让溢价率水平与宗地规模之间的关系,比较不同规模和区位城市中这一关系的差异。研究方法:理论分析,面板数据分析。研究结果:总体上宗地规模对土地溢价率的影响呈现"倒U"型变化关系,不同规模和区位城市中这一关系有差异。人口介于500万～1 000万之间的特大城市中土地溢价水平受宗地规模的影响较为强烈,东部和中部城市中宗地规模大小对土地溢价水平影响显著,西部城市不显著。研究结论:地方政府在总量既定条件下调整宗地投放规模可在一定程度上调控土地溢价率。     

Emotions,deliberations, and end‐of‐life products

Death is inevitable; yet, not all consumers prepare for death by purchasing end‐of‐life (EOL) products. Using the theory of reasoned action (TRA) and the dual‐process model framework, this study aims to examine the role of emotions and cognitions in influencing consumers' decisions to engage in planning for death. A mixed methodology design was used. Study 1, a qualitative study, uncovered positive and negative emotions and deliberative reasoning that comprise consumers' EOL purchase decision process. Study 2, a quantitative study, confirmed that emotions and deliberations independently and jointly influenced consumers' EOL attitude and behavior and that emotions affected deliberations for both prepaid funerals and wills. Subjective norms outperformed attitude in predicting both products' purchase behavior. These finding supported the dual‐process model of behavior and the TRA in the EOL research context and contributed to the EOL literature by investigating the effects of emotions and deliberations concurrently; thus validating the important role of emotions in influencing EOL planning and purchase. In light of our findings, marketers could, after due cognizance of the morbidity and sensitivity of the topic, develop actionable promotional and segmentation strategies for EOL products and other emotion‐laden, unsought products and service.     

Domestic and international impacts of the rice trade policy reform in the Philippines

Faced with high domestic rice prices that have fueled inflation above the 2018 target and penalized poor consumers the most, the government of the Philippines has decided to abandon the quantitative restrictions on imports and replace them with tariffs. This paper uses a global rice model based on a partial equilibrium framework to assess the possible impacts of this reform on imports, production, consumption and prices. In contrast with past similar studies, we address three key concerns (i) the heterogeneity in farm price across 16 regions in response to the combined effect of the tarriffication and the average historical trend in productivity increase at 1.5% between 2001 and 2018, (ii) the differentiation of imports by origin partly due to the different tariffs applied to countries within and beyond the Association of South East Asian Nations, and (iii) the effect on domestic prices in third countries. The simulation results suggest that the reform would increase imports by 2.47 million tons (20.7%) in 2019. We also find a large decline in farm prices and retail prices respectively by PhP 6.1/kg (30.1%) and PhP 7.6/kg (17.4%) in 2019 that explains an increase in rice consumption. We estimate the fall in total inflation at 1.2% in 2019 but less over time. Further, the large fall in farm prices in 2019 is shared quite evenly among regions in the short term but returns to pre-reform levels in the near term. Using a higher price elasticity of supply for one region obtained from panel data surveys, we show a more pronounced decline in production than the national average. Such differentiated results confirm the relevance of using a regionally disaggregated model to design more targeted policies. We also show a slight increase in world prices, which led to small increases in the domestic prices of South and Southeast Asian rice markets. While this reform is largely pro-poor consumers, policy makers would need to use the additional tariff revenue to help rice growers either increase their competitiveness and modernize their rice production or shift to other crops.     

Does bank capitalization matter for bank stock returns?

We examine US bank capitalization and its association with bank stock returns, and find that the book- and market-based capital ratios show different patterns. Fama-MacBeth regressions and portfolio analyses suggest that banks’ market-based capital ratios are negatively associated with banks’ stock returns during the (tranquil) 1994–2007 period while book-based capital ratios are positively associated with banks’ stock returns during the (turbulent) 2008–2014 period. These results suggest that the effect of bank capitalization on bank stock returns depends on the capital measure used and the period considered.     

货运车辆燃油消耗与运输效率关系研究

文中采用理论分析与模型构建相结合的方式,研究货运车辆的燃油消耗与运输效率之间的关系,基于调研数据,采用回归分析的方法构建模型,得到了不同车型车辆的百吨公里燃油消耗量与实载率的倒数关系模型,为企业提高车辆运输效率,降低燃油消耗提供数据参考。     

Impact of distance on the arrivals,behaviours and attitudes of international tourists in Hong Kong: A longitudinal approach

This study revisits the impact of distance on international tourist behaviours in Hong Kong. This work divides and cross-validates the concept of distance into physical and cultural distance. This work also proposes an alternative cultural distance measure by introducing optimal weight amongst Hofstede's dimensions and then compares the proposed measure with the traditional Kogut and Singh's and Kandogan's measures. By using data from the Visitor Profile Report of the Hong Kong Tourism Board and the World Trade Organisation from 2002 to 2017, along with latent growth curve modelling, multivariate regression and panel data analysis, findings confirmed the significant role of physical and cultural distance. In addition, quadratic relationships are detected using cross-validation methods. The effect of physical distance on tourist demands clearly dominates that of cultural distance in the overall market. The problem of spurious correlation and the results of three cultural distance measures are also discussed.     

On the predictability of the distribution of excess returns in currency markets

This paper investigates the predictability of foreign exchange (FX) volatility and liquidity risk factors on returns to the carry trade, an investment strategy that borrows in currencies with low interest rates and invests in currencies with high interest rates. Previous studies have suggested that this predictability could have been spuriously accounted for due to the persistence of the predictors. The analysis uses a predictive quantile regression model developed by Lee (2016) that allows for persistent predictors. We find that predictability changes remarkably across the entire distribution of currency excess returns. Predictability weakens substantially in the left tail once persistence is accounted for, implying a moderate negative predictive relation between FX volatility risk and carry trade returns. By contrast, it becomes stronger in the right tail. Furthermore, we provide evidence that FX volatility risk still dominates liquidity risk after controlling for persistence. These findings suggest that the persistence of the predictors needs to be taken into account when one measures predictability in currency markets. Finally, out-of-sample forecast performance is also presented.