A novel cluster HAR-type model for forecasting realized volatility

This paper proposes a cluster HAR-type model that adopts the hierarchical clustering technique to form the cascade of heterogeneous volatility components. In contrast to the conventional HAR-type models, the proposed cluster models are based on the relevant lagged volatilities selected by the cluster group Lasso. Our simulation evidence suggests that the cluster group Lasso dominates other alternatives in terms of variable screening and that the cluster HAR serves as the top performer in forecasting the future realized volatility. The forecasting superiority of the cluster models are also demonstrated in an empirical application where the highest forecasting accuracy tends to be achieved by separating the jumps from the continuous sample path volatility process.     

平衡膳食模式视角下粮食需求预测

[目的]随着时代的进步和社会经济的发展,对粮食安全内涵的理解也在逐步深化,粮食安全内涵不仅包括数量方面,还包括营养健康安全,保障居民营养健康成为粮食安全的新时代内涵。基于营养目标的粮食需求研究,建立营养—消费—生产的粮食生产模式,对引导居民合理健康消费和保障粮食安全具有十分重要的意义。[方法]文章首先分析了我国城乡居民营养消费状况,然后基于平衡膳食模式视角,引入标准人消费系数这一概念对我国未来粮食需求进行了更准确的预测。[结果]城镇居民粮食消费已达到高营养目标,但目前农村居民仅达到低营养目标水平,相当于21世纪初的城镇消费水平;考虑人口结构因素,2020年和2030年粮食需求总量分别为4.8亿t和5.6亿t,比没有考虑人口结构变化时分别减少8700万t和2 600万t。[结论]根据分析结果,提出以下几点政策建议:(1)宣传普及营养健康消费知识,引导居民合理膳食;(2)关注人口结构变动,及时调整粮食安全调控机制;(3)优化食品工业的产业机构升级,提高饲料粮转化率。     

Conditional Persistence of Earnings Components and Accounting Anomalies

We suggest that the failure of investors to distinguish between an earnings component's autocorrelation coefficient (unconditional persistence) and the marginal contribution of that component's persistence to the persistence of earnings (conditional persistence) provides a partial explanation of post‐earnings‐announcement drift, post‐revenue‐announcement drift, and the accrual anomaly. When the conditional persistence of revenue surprises is high (low) relative to its unconditional persistence, both the post‐earnings‐announcement drift and the post‐revenue‐announcement drift are high (low), because investors’ under‐reaction to revenues and earnings is stronger when the persistence of revenue surprises is more strongly associated with the persistence of earnings surprises. Also, the mispricing of accruals decreases substantially when the conditional persistence of accruals is high relative to its unconditional persistence, because investors’ over‐reaction to accruals is mitigated when the persistence of accruals is indeed more strongly associated with the persistence of earnings. Our findings also suggest that financial analysts’ failure to distinguish between unconditional and conditional persistence of revenues and accruals results in more biased revenue and earnings predictions.     

岩石峰值应力前后声发射特性研究

采用TAW-2000D微机控制电液伺服岩石三轴试验机和SDAES型数字声发射仪组成的动态测试系统,对云南大红山铜矿白云岩进行了单轴压缩条件下的声发射试验,研究岩石在峰值应力前后声发射特性。试验结果表明:加载早期就有声发射活动,岩样在试验接近峰值强度时单位时间内的应力增长速度减小、声发射事件率出现明显下降,即出现相对平静期,峰值强度后的声发射现象仍然明显。     

扬州市生态农业发展评价及预测研究

［目的］农业是国民经济的基础产业，发展生态农业是实现农业经济稳步增长的重要途径，也是我国发展现代农业的战略选择。对生态农业的现状进行评估，以期以此为依据为今后的发展提供可行性建议。［方法］文章研究从经济效益、社会效益和生态效益3个方面构建了包含14个指标在内的扬州市生态农业发展评价指标体系，并采用熵权法和加权法综合评定2011—2016年该市生态农业发展的经济效益、社会效益和生态效益及综合效益得分，在此基础上采用GM（1， 1）灰色模型对2018—2027年扬州市生态农业的发展程度进行了预测。［结果］2011—2016年扬州市生态农业发展的社会效益呈持续增长态势， 2011—2015年经济效益呈上升趋势， 2016年经济效益明显下降。生态效益分别在2012年和2016年出现两次波动。总体来看， 2012—2015年扬州市生态农业发展的综合效益逐年递增， 2016年由于经济效益的急剧降低，导致综合效益下降。2018—2027年该市生态农业的发展水平一直保持可持续状态，且发展度在逐年递增。［结论］扬州市在今后的发展过程中应注重转变生产方式，积极调整农业生产模式，努力实现农产品的集约化生产。注重环境保护，实现化肥农药使用量零增长，达到经济效益与社会效益和生态效益协调增长。     

Nowcasting South African gross domestic product using a suite of statistical models

Given lags in the release of data, a central bank must ‘nowcast’ current gross domestic product (GDP) using available quarterly or higher frequency data to understand the current state of economic activity. This paper uses various statistical modelling techniques to draw on a large number of series to nowcast South African GDP. We also show that GDP volatility has increased markedly over the last 5 years, making GDP forecasting more difficult. We show that all the models developed, as well as the Reserve Bank's official forecasts, have tended to overestimate GDP growth over this period. However, several of the statistical nowcasting models we present in this paper provide competitive nowcasts relative to the official Reserve Bank and market analysts' nowcasts.     

High-frequency credit spread information and macroeconomic forecast revision

We examine whether professional forecasters incorporate high-frequency information about credit conditions when revising their economic forecasts. Using a mixed data sampling regression approach, we find that daily credit spreads have significant predictive ability for monthly forecast revisions of output growth, at both the aggregate and individual forecast levels. The relationships are shown to be notably strong during ‘bad’ economic conditions, which suggests that forecasters anticipate more pronounced effects of credit tightening during economic downturns, indicating an amplification effect of financial developments on macroeconomic aggregates. The forecasts do not incorporate all financial information received in equal measures, implying the presence of information rigidities in the incorporation of credit spread information.     

Oil price shocks and economic growth: The volatility link

This paper shows that oil shocks impact economic growth primarily through the conditional variance of growth. Our comparison of models focuses on density forecasts. Over a range of dynamic models, oil shock measures and data, we find a robust link between oil shocks and the volatility of economic growth. We then develop a new measure of oil shocks and show that it is superior to existing measures; it indicates that the conditional variance of growth increases in response to an indicator of the local maximum oil price exceedance. The empirical results uncover a large pronounced asymmetric response of the growth volatility to oil price changes. The uncertainty about future growth is considerably lower than with a benchmark AR(1) model when no oil shocks are present.     

Asymmetry,Complementarities, and State Dependence in Federal Reserve Forecasts

Forecasts are a central component of policymaking; the Federal Reserve's forecasts are published in a document called the Greenbook. Previous studies of the Greenbook's inflation forecasts have found them to be rationalizable but asymmetric if considering particular subperiods, for example, before and after the Volcker appointment. In these papers, forecasts are analyzed in isolation, assuming policymakers value them independently. We analyze the Greenbook forecasts in a framework in which the forecast errors for different variables are allowed to interact. We find that allowing the losses to interact makes the unemployment forecasts virtually symmetric, the output forecasts symmetric prior to the Volcker appointment, and the inflation forecasts symmetric after the onset of the Great Moderation.     

Fiscal rules and budget forecast errors of Italian municipalities

We study the impact of the domestic stability pact on the accuracy of budget forecasts of Italian municipalities. Identification of the causal effect exploits a quasi-natural experiment generated by the removal in 2001 of the fiscal restraints on budget decisions for municipalities with fewer than 5000 inhabitants and by stricter budgetary restrictions and severe penalties for noncompliers in 2002. We find that relaxing fiscal rules had a sizeable impact on budget forecast errors, especially in 2002. In fact, revenue (expenditure) forecast errors for municipalities with fewer than 5000 inhabitants became 26% (22%) larger than in the past.