海南城乡居民消费水平差异性分析和预测

从1985-2018年海南城乡居民收入、消费数据出发，分别建立消费关于收入、消费差距关于收入差距的自回归模型，结果表明农村居民当期消费更易受近期收入和消费水平的影响，具有不稳定性。再利用GM(1,1)模型预测城乡居民收入差距，结合自回归模型，完成未来10年海南城乡消费差距的预测：收入差距和消费差距将呈直线递增趋势，收入差距的增幅高于消费差距增幅。缩小海南城乡居民消费差距的根本途径在于缩小收入差距，应因地制宜，切实提高农民收入水平。     

EMPIRICAL PERFORMANCE OF GARCH MODELS WITH HEAVY‐TAILED INNOVATIONS

We introduce a new type of heavy‐tailed distribution, the normal reciprocal inverse Gaussian distribution (NRIG), to the GARCH and Glosten‐Jagannathan‐Runkle (1993) GARCH models, and compare its empirical performance with two other popular types of heavy‐tailed distribution, the Student's t distribution and the normal inverse Gaussian distribution (NIG), using a variety of asset return series. Our results illustrate that there is no overwhelmingly dominant distribution in fitting the data under the GARCH framework, although the NRIG distribution performs slightly better than the other two types of distribution. For market indexes series, it is important to introduce both GJR‐terms and the NRIG distribution to improve the models’ performance, but it is ambiguous for individual stock prices series. Our results also show the GJR‐GARCH NRIG model has practical advantages in quantitative risk management. Finally, the convergence of numerical solutions in maximum‐likelihood estimation of GARCH and GJR‐GARCH models with the three types of heavy‐tailed distribution is investigated.     

Covariance breakdowns and connectedness of crude oil futures markets with non-synchronous data

ABSTRACT

This article identifies the breakdowns in the covariance of three benchmark crude oil futures markets (WTI, Brent and Dubai) and investigates the changes of market connectedness across the breakdown periods. As the crude oil futures are traded in different regions, this article eliminates the non-synchronous trading data by employing the Vector Moving Average structure and the Bayesian data augmentation approach, which keeps the integrity of original data without changing its properties. The results show that there are significant breaks in the covariance structure of crude oil futures markets. The breakdown periods are consistent with the periods when the market volatilities are at high level and the returns are volatile. The changes of market connectedness are independent of the covariance states, which supports the globalization hypothesis for the crude oil market. The results also suggest that there is more information flow out of the WTI than to the WTI during the sample period, particularly during the breakdown periods in 2008–2009.     

Cost comparison of continued anticoagulation with rivaroxaban versus placebo based on the 1-year EINSTEIN-Extension trial efficacy and safety results

Aims: The EINSTEIN-Extension trial (EINSTEIN-EXT) found that continued treatment with rivaroxaban for an additional 6 or 12 months (vs placebo) after 6–12 months of initial anticoagulation significantly reduced the risk of recurrent venous thromboembolism (VTE) with a small non-significant increased risk of major bleeding (none fatal or in critical site). This study aimed to compare total healthcare cost between rivaroxaban and placebo, based on the EINSTEIN-EXT event rates.

Methods: Total healthcare cost was calculated as the sum of treatment and clinical event costs from a US managed care perspective. Treatment duration and event rates were obtained from the EINSTEIN-EXT study. Adjustment on treatment duration was made by assuming a 10% non-adherence rate. Drug costs were based on wholesale acquisition costs. Cost estimates for clinical events (i.e. recurrent deep vein thrombosis [DVT], recurrent pulmonary embolism, major bleeding, clinically relevant non-major bleeding) were determined from the literature. Results were examined over a ±20% range of each cost component and over 95% confidence intervals (CIs) of event rate differences in deterministic (one-way) and probabilistic sensitivity analyses (PSA).

Results: Total healthcare cost was $1,454 lower for rivaroxaban-treated (vs placebo-treated) patients in the base-case, with a lower clinical event cost fully offsetting drug cost. The cost savings of recurrent DVT alone (–$3,102) was greater than drug cost ($2,723). Total healthcare cost remained lower for rivaroxaban in the majority (73%) of PSA (cost difference [95% CI]?=?–$1,454 [–$2,396, $1,231]).

Limitations: This study was conducted over the 1-year observation period of the EINSTEIN-EXT trial, which limited “real-world” applicability and examination of long-term economic impact. Assumptions on drug and clinical event costs were US-based and, thus, not applicable to other healthcare systems.

Conclusions: Total healthcare costs were estimated to be lower for patients continuing rivaroxaban therapy compared to those receiving placebo in VTE patients who had completed 6–12 months of VTE treatment.     

自来水供应系统水质风险耦合致因分析

以城市自来水水质事故致因为研究视角,首先识别供水水质风险因素,并从单、双及多因素角度分析供水水质风险因素间的耦合关系,再借助N-K模型对2008—2017年全国所发生的362起城市重大供水水质风险耦合度进行度量。结果表明:城市自来水供应动态系统中,水质风险率随着参与耦合的风险因素的增多而增加;管理因素风险是水质风险的内因,风险管控是规避水质风险的关键;环境因素风险对水质事故的发生起推动作用。     

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.     

财政政策与货币政策的动态调控效应*——基于时变参数向量自回归模型的检验

本文廓清了财政政策与货币政策搭配动态调控宏观经济的机理，揭示了两者协调影响经济的“黑箱”机制及其在经济不同阶段的搭配方式；运用中国2004—2019年的经济季度数据，构建TVP SV VAR模型探究两类政策对宏观经济的调控效应。研究发现：财政政策与货币政策共同把控流动性“闸门”实现互动协调；财政政策搭配货币政策具有时变性，在整体上“同向发力”推动经济发展；两类政策对产出的影响并非始终如理论一致，在结构层面仍有优化靶向性操作的余地。     

The impact of influencers' multi-SNS use on followers’ behavioral intentions: An integration of cue consistency theory and social identity theory

The considerable marketing potential brought by the rapid growth of social media has been extensively examined in the literature, particularly in terms of the impact of influencers' recommendations on their followers' decisions. However, little attention has been given to how the individual influencers' use of multiple social networking sites affects their followers' behavioral intentions. Hence, this academic gap warrants further exploration. Drawing on cue consistency theory, social identity theory, and stimulus-organism-response framework, this research proposes three research questions and constructs an integrated research model to explore how the influencers' cue consistency affects the social identification of their followers, subsequently influencing their behavioral intentions. A structural equation modeling technique is performed to analyze the data of 510 valid respondents. The findings show that influencers' consistent cues (i.e., information and image consistency) across social media have positive impacts on followers' cognitive and affective identification toward the influencers. Furthermore, the determinants for followers' purchase intention and electronic word-of-mouth intention are affirmed to serve as both cognitive and affective identification. Especially, the results indicate that the relationships between followers’ social identifications and behavioral intentions are moderated by the type of influencer (i.e., lifestyle vs. review). Accordingly, the results indicate how the use of multiple social networking sites by influencers impacts the behavioral intentions of their followers. The findings offer new insights into influencer marketing and provide important lessons for marketers.     

基于经济新常态的长春市水资源开发利用潜力评价

以长春市为研究对象,基于未来经济处于新常态的发展态势,构建包含水资源、社会、经济、生态环境4个子系统的评价指标体系,并确定各指标的评价等级标准;基于模糊数学理论以及层次分析法构建包括目标层、准则层、指标层的3层模糊综合评价模型,以2015年为现状水平年,应用模型对长春市水资源开发利用潜力进行综合评价。结果表明:长春市水资源开发利用程度处于中等偏上水平,各辖区水资源开发利用规模不平衡,可通过产业结构调整提高全市用水效率,为经济持续增长提供保障。     

Evaluating discounts as a dimension of customer behavior analysis

Today, increased competition between organizations has led them to seek a better understanding of customer behavior through identifying valuable customers. Customers’ expectations about the price and quality of products and services play an important role in their selection process. In online businesses, competition and price differences between suppliers is high, so discounts will attract different customers. As a result, discounts and the frequency and amount of purchases can lead to better understanding of customer behavior. Customer segmentation and analysis is essential for identifying groups of customers. Hence, this study uses a model based on RFM called RdFdMd, in which d is the level of discount used to analyze customer purchase behavior and the importance of discounts on customers’ purchasing behavior and organizational profitability. The CRISP-DM and k-mean algorithm were used for clustering. The results indicate that using the R_dF_dM_d model achieves better customer clustering and valuation, and discounts were identified as an important criterion for customer purchases.