基于VAR模型的我国铜锌期货价格引导关系实证研究

铜、锌期货是大宗金属期货的重要品种，在期货投资市场上广受追捧。研究通过构建VAR模型，运用格兰杰因果检验，分析了近远月铜、锌期货价格之间相互引导关系，模型实证结论认为远月期铜、锌期货价格之间具有显著的相互引导关系，为期货市场上各类型投资者提供政策指引。     

Cross-border spillover effects of unconventional monetary policies on Swiss asset prices

Unconventional monetary policies (UMPs) announced by the Federal Reserve, the European Central Bank, the Bank of England and the Bank of Japan exert important spillover effects on asset prices in Switzerland. Using a broad UMP event set and a long-term bond-futures based measure of market anticipation, we show that surprisingly expansionary UMPs lower Swiss government and corporate bond yields, induce the Swiss franc to appreciate, and dampen Swiss equity prices. Four extensions provide further insights. First, the estimated effects are strongest for announcements by the ECB. Second, the impact on government bonds is largest for bonds with residual maturities of 7–10 years. Third, the impact of foreign UMP shocks on exchange rates and Swiss bond yields is less pronounced after the introduction of the minimum rate of 1.20 Swiss franc per Euro by the Swiss National Bank on September 6, 2011, indicating that domestic monetary policy action partially affects the impact of external monetary shocks on domestic financial markets. Fourth, the sign of spillover effects differs for positive and negative UMP surprises, but their strength does not.     

Quota prices as indicators of comparative advantage in supply‐managed industries

The Canadian dairy, egg, broiler, and turkey industries operate under supply management, a policy regime that sets product prices and allocates production among provinces and ultimately among farms through quotas. The Canadian Farm Products Agencies Act requires that comparative advantage be used to guide the allocation of new quota when increases in consumer demand necessitate increased production. This requirement, however, has not been met in practice. We develop a proposal by Meilke to use quota prices as measures of comparative advantage. We evaluate the quota price approach and other proposed methods, from a Hayekian and Coasean market process perspective. We conclude that quota prices offer an economically justifiable indicator of provincial comparative advantage. We develop an individual‐level general equilibrium model of quota exchange to illustrate the informational content of quota prices as indicators of comparative advantage. We also discuss potential practical challenges of using quota prices as indicators of comparative advantage.     

The impact of temporary uses on property prices: the example of food trucks

Food trucks represent a temporary use of vacant or underutilised land. They have been assumed to increase the livability, vibrancy and attractiveness of a neighbourhood. However, no previous study has investigated whether this effect is reflected in property prices within the surrounding neighbourhood. We investigate the impact of a food truck pod on the values of single-family homes nearby. Using a quasi-experimental design, transaction data from Portland, Oregon and a difference-in-difference specification of a spatial regression model, we find that food trucks actually represent a negative externality, and that proximity of a home to food trucks is penalised by homebuyers. The closer a home is to the food trucks, the lower is the sales price. Explanations for this effect include increased parking shortages and trash issues in a neighbourhood due to food truck visitors.     

Learning,large deviations and rare events

We examine the role of generalized stochastic gradient constant gain (SGCG) learning in generating large deviations of an endogenous variable from its rational expectations value. We show analytically that these large deviations can occur with a frequency associated with a fat-tailed distribution even though the model is driven by thin-tailed exogenous stochastic processes. We characterize these large deviations, driven by sequences of consistently low or consistently high shocks and then apply our model to the canonical asset pricing framework. We demonstrate that the tails of the stationary distribution of the price–dividend ratio will follow a power law.     

Soft drink prices,sales, body mass index and diabetes: Evidence from a panel of low-, middle- and high-income countries

We take advantage of four different cross-country datasets containing data on 78 countries for the period 1999–2014, in order to assess the relationship of carbonated soft drinks’ sales, as well as their prices, with body mass index (BMI), overweight, obesity and diabetes. Using an ecological study design and multivariate regression longitudinal estimation approaches, we find that carbonated soft drink sales were significantly positively related to BMI, overweight and obesity – but only in the low and lower-middle income countries. This finding was robust to a number of sensitivity and falsification checks. In this sub-sample, an increase in per capita soft drink sales by 1 litre per year was related to an increase of BMI by about 0.009 kg/m² (p < 0.1).. This is a small effect, implying that halving annual consumption per capita in this group of countries would result in a drop of BMI by only about 0.03 kg/m². Although soft drink prices were negatively related to weight-related outcomes in the sample of higher middle income and high income countries, this finding was not robust to falsification checks. The results thus suggest that sales restrictions to steer consumers away from soft drinks could indeed have a beneficial health effects in poorer countries, although the effect magnitude appears to be very small. However, given potential limitations of using ecological research design, results from individual level studies would be required to further ascertain the role of soft drink sales and prices in obesity and diabetes.     

2016年土地科学研究重点进展评述及2017年展望——土地管理领域分报告

研究目的：归纳分析2016年国内外土地管理领域的研究进展，展望研究趋势。研究方法：文献统计法。研究结果：2016年土地管理领域国外研究侧重于土地制度改革及其所产生的政治、经济、生态效应，土地法律与政策的作用效力及效应，土地权属与登记等方面；国内研究则更多关注农村土地制度改革、不动产登记成果整合应用、自然资源资产管理理论及成果应用、土地市场监管与土地财政影响、“三权分置”法律关系界定、集体土地所有权立法及集体成员资格界定、土地用途管制与耕地保护制度等相关问题。研究结论：2016年土地管理领域在不动产登记与自然资源资产管理、土地市场监管与调控以及土地用途管制方面的研究有所进展；2017年将重点关注土地管理制度改革、不动产统一登记制度的推进与完善、自然资源资产管理体制建设、土地及房地产市场调控，乃至农村土地市场的管理与调控、土地法律体系改革等方面。     

A new assessment of economic integration in East Asia: Application of an industry-specific G-PPP model

It is well known that intra-industry trade and cross-border production networks have promoted economic growth and regional integration in East Asia. However, regional supply and production chains may have been formed differently across industries, reflecting different degrees and a different scope of regional economic linkages at an industry level. This paper makes a threefold contribution. First, to assess industry-level differences, this study adopts the generalized purchasing power parity (G-PPP) model using industry-specific producer prices. Second, the momentum threshold autoregressive (M-TAR) model is employed to allow for possible nonlinearity arising from the dynamic nature of regional economic growth and development. Third, the Granger causality test is also conducted to assess whether regional economies have autonomously integrated. The empirical results reveal that economic integration has progressed more autonomously in the electrical industry, as well as in the transportation equipment industry, as China and the ASEAN countries have become the final destination markets for finished products in these two industries.     

Fractional integration and cointegration in merger and acquisitions in the US petroleum industry

This article employs methodologies based on fractional integration and cointegration to analyse the time-series properties of merger and acquisitions (M&A) activity and crude oil prices in the US from 1980 to 2012. Our results indicate that an increase in the crude oil price produces a significant increase in the M&A data between 2 and 3 months after the initial shock.     

基于SVM的房地产财务决策风险预测及敏感性分析

本文以房地产上市公司的财务数据为参考依据,结合相关性分析,筛选并建立影响财务风险的指标体系;利用支持向量机建立财务风险分析预测模型;并使用灰色关联理论对指标进行敏感性分析,从而得到影响财务风险最敏感的指标。