Covariance formulas via marginal martingw

Prenctice and Cai recently introduced and studied the function C defined as the covariance function of the two marginal counting process martingales of a pair of dependent survival times (T₁, T₂ ). They show that the function C together with the marginal distributions determines the joint survival function F of (T₁, T₂ ). In this note we show how the key characterizing equation of Prentice and Cai yields a formula for the covariance of T₁ and T₂ in termsof the marginal mean residual life functions and C. The resulting formula generalizes a formula for the variance of a one-dimensional random variable Tdueto Pyke (1965). We also explore several generalizations of the covariance formula, and obtain a valid k-dimensional version of the Prentice and Cai formula.     

Spillovers between Bitcoin and other assets during bear and bull markets

This article contributes to the embryonic literature on the relations between Bitcoin and conventional investments by studying return and volatility spillovers between this largest cryptocurrency and four asset classes (equities, stocks, commodities, currencies and bonds) in bear and bull market conditions. We conducted empirical analyses based on a smooth transition VAR GARCH-in-mean model covering daily data from 19 July 2010 to 31 October 2017. We found significant evidence that Bitcoin returns are related quite closely to those of most of the other assets studies, particularly commodities, and therefore, the Bitcoin market is not isolated completely. The significance and sign of the spillovers exhibited some differences in the two market conditions and in the direction of the spillovers, with greater evidence that Bitcoin receives more volatility than it transmits. Our findings have implications for investors and fund managers who are considering Bitcoin as part of their investment strategies and for policymakers concerned about the vulnerability that Bitcoin represents to the stability of the global financial system.     

2009年中国经济增长率周期波动呈U型走势——利用景气指数和Probit模型的分析和预测

本文基于景气指数、"宏观经济监测预警信号系统"及Probit模型方法,对当前的经济景气状况和走势进行了分析和预测.结果表明:先行合成指数和先行扩散指数同时在2008年10月出现谷底,预示着本轮经济周期波动的谷将出现在2009年的4月或5月.在全球金融危机的背景下,中国经济仍会保持"一枝独秀",2009年下半年我国将处于经济周期波动的上升阶段.但是我国外需仍然不振,保增长将主要靠内需,经济增长周期波动的回升将呈现U型走势.     

少数民族外出务工决策的个人禀赋、家庭特征、制度因素分析

新疆少数民族农村富余劳动力转移是一个急待解决的命题。只有大量减少少数民族农村富余劳动力,民族聚居区的经济活跃才有希望,城乡协调可持续发展才有可能。依据528份新疆少数民族农民工样本的有序Probit模型分析可知:少数民族务工人员的"年龄、清真饮食、务工技能、语言沟通、父母是否健在、家庭年收入、户籍制度和城镇社会保障"对外出务工有显著影响。重视少数民族的个人禀赋、家庭特征差异以及制度安排,对于提升新疆少数民族农民工务工信心,促进少数民族农村富余劳动力合理有序转移具有重要意义。     

Traditional bazaar or supermarkets: A probit analysis of affluent consumer perceptions in Hanoi

Abstract

This paper sheds light on the preferences and behaviour of Vietnamese consumers in an emerging market economy. We analysed survey data of affluent consumers in Hanoi by using a binary choice Probit model for traditional bazaars versus supermarkets. The purpose of the analysis was to measure the factors which influence decision-making by consumers when selecting particular retail outlets for shopping. Our results show that freshness, price and convenience are important in shaping the choice by consumers for traditional outlets for fresh food, while price played a key role in selecting shopping outlets for processed food and drinks and non-food products. The results provide a basis for understanding the strengths and weaknesses of the old and the new retail outlet formats.     

The effect of offshoring on knowledge flows in the US automobile industry

This paper examines the impact of financial constraints on innovation for established firms. We make use of a direct measure of the existence of financial constraints obtained thanks to a specific survey addressed to French established firms. This is a distinctive feature of this paper as most of previous studies had to rely on proxies (like the cash-flow sensitivity), which may be subject to interpretation problems. The probability to have innovative activities and the probability to face financial constraints are simultaneously estimated by a recursive bivariate probit model. Accounting for the endogeneity of the financial constraint variable, we find that financial constraints significantly reduce the likelihood that firms have innovative activities. The probability to encounter financial constraints is explained by firms’ ex ante financing structure and economic performances.     

家庭个体特征对居民借款行为的影响——来自中国家庭的经验证据

金融市场对于支持和鼓励家庭借款进而刺激家庭消费起着愈发重要的作用。作为家庭消费金融意识的重要体现,居民借款行为正在受到更多的关注。本文认为居民家庭借款行为包含两层含义:1.家庭是否有借款;2.家庭借款渠道的选择。利用CFPS调查项目中京沪粤三省市家庭借款行为的微观数据,本文运用Logit模型和Probit模型对影响居民家庭借款行为的家庭个体特征进行了实证分析,解析了不同家庭个体特征对借款行为的影响情况,并得出有关结论与启示。     

农户参与农业废弃物资源化利用的意愿及其影响因素分析——基于黑、鲁、豫、川4省684户农户的调查数据

农业废弃物资源化利用是防治农业面源污染、改善农业生产环境的有效途径;同时,也是改善农村人居环境,推动生态宜居美丽乡村建设的重要内容。基于黑龙江、山东、河南、四川4省684个样本农户数据,运用多元排序Probit模型分析了农户农业废弃物资源化利用参与意愿及其影响因素,并通过控制相关变量进行了稳健性检验。结果表明,政府监管并不能提高农户参与农业废弃物资源化利用的意愿,而前景预期、政策了解度、农业废弃物资源化补贴、设立固定回收点或与回收企业合作、合作社参与等因素更能提高农户的参与意愿。为此,可以采取发挥非经济预期的作用、构建财政补贴机制、健全农业废弃物资源化回收利用机制、利用合作社平台等措施激发农户参与农业废弃物资源化利用的关键行为动机,提高农户参与农业废弃物资源化利用的意愿,推动农业绿色发展及乡村生态振兴。