New Evidence on Housing Wealth and Consumption Channels

The Journal of Real Estate Finance and Economics - This paper provides new evidence on the effect of housing wealth on consumption by focusing on the impact of home-equity extraction. We develop a...     

VIX term structure and VIX futures pricing with realized volatility

Using an extended LHARG model proposed by Majewski et al. (2015, J Econ, 187, 521–531), we derive the closed-form pricing formulas for both the Chicago Board Options Exchange VIX term structure and VIX futures with different maturities. Our empirical results suggest that the quarterly and yearly components of lagged realized volatility should be added into the model to capture the long-term volatility dynamics. By using the realized volatility based on high-frequency data, the proposed model provides superior pricing performance compared with the classic Heston–Nandi GARCH model under a variance-dependent pricing kernel, both in-sample and out-of-sample. The improvement is more pronounced during high volatility periods.     

政策不确定性、财政扩张与区域商业银行风险——基于中国地方官员变更和银行业的证据

文章利用2007-2017年我国93家区域商业银行的面板数据，并结合省级宏观经济数据和地方官员变更数据，实证考察了中国地方官员变更引起的经济政策不确定性对区域商业银行风险的重要影响。研究结果表明：（1）地方官员变更引起的政策不确定性增大了区域商业银行风险；（2）地方官员变更引起的政策不确定性，通过提高银行的资产收益率降低了商业银行风险；而不确定性时期的财政扩张，通过降低银行资产收益率增大了商业银行风险；并且财政扩张的负面影响大于政策不确定性的正面影响；（3）各省的市委书记发生职位更替引起的政策不确定性对区域商业银行风险的影响更大。文章研究为新时代背景下的金融供给侧结构性改革、政府宏观经济政策的制定以及财政体制与金融体制之间的联系提供参考。     

When Do Qualitative Risk Disclosures Backfire? The Effects of a Mismatch in Hedge Disclosure Formats on Investors' Judgments

Disclosure standards mandate the quantitative disclosure of hedging‐instrument‐related risks but not the disclosure of hedged‐item‐related risks. We examine how a match (mismatch) in formats, caused by making quantitative (qualitative) hedged item disclosures alongside quantitative hedging instrument disclosures, affects investors' integration of information from these two related disclosures. Our first experiment varies the hedged item disclosure format (quantitative or qualitative) and the portion of risk hedged (small or large). We find that when disclosure formats are mismatched, the less comparable nature of the two disclosures caused investors to neglect the offsetting relationship when assessing net risks. As a result, risk and investment judgments were influenced by the more prominent quantitative hedging instrument disclosures. Our second experiment finds that the use of a qualitative debiaser that clarifies the relationship between the two disclosures led to the integration of information and mitigated this effect.     

知识型员工双重社会网络对企业创新绩效作用机制研究

基于企业基础资源观和组织学习理论，从知识型员工个人和组织社会网络两个方面构建知识型员工双重社会网络影响企业创新绩效的理论模型，分析知识共享、组织学习及资源整合在员工双重社会网络对企业创新绩效影响机制中的作用。结果表明：知识型员工双重社会网络对科技型企业创新绩效的作用路径有3条，资源获取与整合、知识共享与学习及员工动态创新能力分别在其中发挥中介作用；在不同类型组织文化环境中，知识型员工双重社会网络对企业创新绩效的作用特征、作用重点以及作用机制存在显著差异，内部整合维度主要通过知识共享和组织学习影响企业创新绩效，外部适应维度主要通过隐性知识传播和资源整合影响企业创新绩效。     

Economic Impacts of the Possible China–US Trade War

This article uses a multi-country global general equilibrium (GE) model to numerically simulate the effects of possible China–US trade wars. We introduce an endogenous trade imbalance structure with trade cost into the model which helps to explore both tariff and non-tariff trade war effects. Our simulation results show that China will be significantly hurt by the China–US trade war, but negative impacts are affordable. The US can gain under unilateral sanction measures to China, but will lose if China takes retaliation measures. Comparing the effects under mutual trade war, China will lose more than the US. Introducing non-tariff barrier trade wars will intensify the negative effects, and comparatively negative effects to China are larger than to the US. Mexico’s involvement in trade war with the US will strengthen the negative effects and comparatively hurt the US more. Under non-cooperative and cooperative Nash bargaining equilibrium, the US can gain more than China in trade war negotiation, which means the US has stronger bargaining power than China. Additionally, trade wars between China and the US will hurt most countries and the world especially in GDP and manufacturing employment, but benefit their welfare and trade.     

The Short-Selling Hypothesis of Weekend Effect and T + 1 Trading Mechanism

Asia-Pacific Financial Markets - Utilizing a difference-in-difference regression model, we conduct cross-sectional and time-series analysis to explore effect of short sales on the weekend effect in...     

Supply chain integration and operational performance: The contingency effects of production systems

The boundary conditions of supply chain integration (SCI) have been widely studied in order to find out when SCI is applicable and effective. However, prior studies have mainly focused on external contextual factors, such as supply complexity, environmental uncertainty and country-level infrastructure. This study contributes to the SCI literature by examining the contingency effects of internal production systems on the relationship between supplier integration, customer integration and operational performance. Based on organizational information processing theory, we provide evidence to show that the impact of supplier and customer integration on operational performance varies across production systems, such as one-of-a-kind production, batch production and mass production systems. The empirical results also reveal how supplier and customer integration can be matched with different configurations of production systems in order to achieve the desired quality, flexibility, delivery or cost performance.     

甘孜州农牧区县域发展水平综合评价与特征分析

[目的]对甘孜州各县市的发展状况进行研究探讨,为区域可持续发展策略的制定实施提供科学依据,对提升县域发展水平和发展质量具有重要意义。[方法]建立涵盖经济、社会、资源环境三大模块共计24项指标的评价体系,选取发展较快的2007—2014年为研究时段,运用极差法、改进熵值法、耦合协调度模型与GIS工具,对甘孜州各县市的发展水平进行综合评价与分析。[结果](1)全州综合发展水平指数平均值为0. 500 8,发展水平整体较低,其中康定市得分最高,石渠县最低,县市之间呈现两级分化。(2) 2007—2014年全州综合发展指数平均增幅0. 262 6,年均增速13. 77%,所有县市均处于上升过程,但县市之间增速不一,发展差距逐步扩大。(3)全州发展协调度平均值为0. 390 5,协调度较低,各县市均处于轻度失调或濒临失调水平。(4)发展水平、活力、协调度较高县市均集聚于州东部和南部,尤以东路片区最为典型。[结论]下一阶段需依据各县市实际,立足优势,制定实施合理的发展规划,缩小区域差异,提升综合发展水平。