OUTPUT FLUCTUATIONS PERSISTENCE: DO CYCLICAL SHOCKS MATTER?

The aim of this paper is to identify the different sources of persistence of output fluctuations. We propose an unobserved components model that allows us to decompose GDP series into a trend component and a cyclical component. We let the drift of the trend component switch between different regimes according to a first‐order Markov process. To calculate an appropriate p‐value for a test of linearity we propose a bootstrap procedure, which allows for general forms of heteroscedasticity. The performance of the bootstrap is checked by means of a Monte Carlo simulation. Our study concerns the USA. We find that cyclical shocks appear to play an important role on the observed persistence of output.     

MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES

We examine the performances of several popular Lévy jump models and some of the most sophisticated affine jump‐diffusion models in capturing the joint dynamics of stock and option prices. We develop efficient Markov chain Monte Carlo methods for estimating parameters and latent volatility/jump variables of the Lévy jump models using stock and option prices. We show that models with infinite‐activity Lévy jumps in returns significantly outperform affine jump‐diffusion models with compound Poisson jumps in returns and volatility in capturing both the physical and risk‐neutral dynamics of the S&P 500 index. We also find that the variance gamma model of Madan, Carr, and Chang with stochastic volatility has the best performance among all the models we consider.     

Block recursion and structural vector autoregressions

In applications of structural VAR modeling, finite-sample properties may be difficult to obtain when certain identifying restrictions are imposed on lagged relationships. As a result, even though imposing some lagged restrictions makes economic sense, lagged relationships are often left unrestricted to make statistical inference more convenient. This paper develops block Monte Carlo methods to obtain both maximum likelihood estimates and exact Bayesian inference when certain types of restrictions are imposed on the lag structure. These methods are applied to two examples to illustrate the importance of imposing restrictions on lagged relationships.     

Pseudolikelihood estimation of the stochastic frontier model

Stochastic frontier analysis is a popular tool to assess firm performance. Almost universally it has been applied using maximum likelihood (ML) estimation. An alternative approach, pseudolikelihood (PL) estimation, which decouples estimation of the error component structure and the production frontier, has been adopted in both the non-parametric and panel data settings. To date, no formal comparison has yet to be conducted comparing these methods in a standard, parametric cross-sectional framework. We produce a comparison of these two competing methods using Monte Carlo simulations. Our results indicate that PL estimation enjoys almost identical performance to ML estimation across a range of scenarios and performance metrics, and for certain metrics, outperforms ML estimation when the distribution of inefficiency is incorrectly specified.     

Does garbage pricing increase the immoral disposal of household waste?

Some empirical studies have attempted to clarify the mechanism of illegal dumping by examining the degree to which per-bag pricing plays a role. However, previous research on the behaviour of avoiding paying a charge for waste collection has tended to neglect so-called ‘immoral disposal,’ which is less risky than illegal dumping because there is no legal penalty. In this study, we define immoral disposal as the dumping of waste in a manner that is immoral but not illegal. To detect the existence of immoral disposal, we apply a spatial econometric approach, namely an extended panel spatial Durbin model, to identify the actual spillover effect of garbage pricing in neighbouring municipalities on immoral disposal from the total waste. A major finding of this study is that immoral disposal exists in unit-based pricing, two-tiered pricing, and fixed pricing.     

基于Copula的股票型开放式基金的组合风险度量

本文在＂推出股指期货和融资融券＂的新政策下,结合t-EGARCH模型和Copula方法对股票型开放式基金进行分析.该模型能更好地捕捉资产间的非线性相关性,更符合现实市场.并在此基础上,利用蒙特卡洛模拟计算了景顺增长基金前十大重仓股票及其投资组合的VaR值,从而验证了模型的有效性。     

非均匀生物介质中太赫兹光波传播特性的研究

为进一步了解太赫兹光波与生物介质的相互作用机理,采用蒙特卡罗法(MCM)对太赫兹光波在非均匀生物介质中的传播进行模拟计算,得到了太赫兹光波在非均匀生物介质表面的漫反射光强分布曲线.数据显示了漫反射光强分布与生物介质中异物的大小(R)及位置(D)的关系.     

Managing tourism investment opportunities under uncertainty: a real options approach

This paper provides an empirical example of the valuation of real options in a large‐scale tourism project. The main aim of this article is to elaborate the investment decision process in the evaluation of a ski centre enlargement project by employing elements of the real options methodology. Monte Carlo simulation was used to value the options as it offers the flexibility to directly simulate the uncertainty factors. Traditional discount cash flow analysis points the investment as profitable, although the real options approach proves it as not economically feasible. Copyright © 2006 John Wiley & Sons, Ltd.     

Forest transition in Northern Spain: Local responses on large-scale programmes of field-afforestation

Public field-afforestation schemes have been designed and widely implemented as a measure to alleviate uneven distribution, generate economic growth in rural areas and maintain or improve natural resources. The literature on forest management and planning has improved land-related information systems, allowing policy-makers to design and implement future policies on the allocation of forestland uses, and to forecast the land requirements of the target population more closely. The aim of this article is to empirically examine and validate the temporal and spatial land use changes and the socioeconomic effects linked to field-afforestation on private lands in the province of Lugo (Galicia, Northern Spain) at the municipal, parish and individual farm holding levels. Two main top-down field-afforestation programmes are reviewed in the study area: the national programme of public afforestations started with the implementation of Ley de Patrimonio Forestal del Estado (National Forest Estate Act; NFE) from 1941 to 2000, and the European aid scheme for forestry measures established under European Council Regulation No. 2080/1992 from 1993 to 1997. The results of a survey, targeted at 1355 farmers and conducted through questionnaires in the province of Lugo in 2004, complete the analysis of public intervention in forest management. The results indicate that the specific social, economic and environmental context of an agricultural and forestry area involves a differential heritage of land customs that determines a differential response model to forest programmes of land allocation and planning. Therefore, this must not be underestimated by the quantitative or qualitative general objectives of large-scale policies.     

Transportation cost changes with statewide school district consolidation

This article studies the relationship between school district size and bus transportation costs, and estimates the change in such costs when a statewide policy of consolidation is pursued. To explore this relationship, we develop a multiple-objective model and solution procedure that combines a geographic aggregation and bus routing heuristic to generate consolidation scenarios. The heuristic was developed to explicitly consider efficiency, effectiveness, and equity objectives, and can be applied in both urban and rural states. The scenarios will generate average statewide bus transportation costs. As applied to the State of Iowa, within the legislature's proposed range of consolidation of 500-1000 students, it was found that transportation operational and capital cost increases range from 0.6 to 10.6 percent and 0.7 to 7.7 percent, respectively.