基于单因子利率期限结构模型的中国银行间短期利率行为的实证研究

文章采用高斯估计方法,使用中国银行间债券市场国债短期利率数据,对单因子连续时间利率期限结构模型进行了参数估计,实证结果显示我国银行间国债市场的短期利率具有均值恢复特性。和其它模型相比,BS模型在数据拟合方面表现较好。     

再议我国对美出口与美国GDP增长的相关性——基于协整分析和Granger因果检验

针对高运胜(2004)的病态计量模型,本文通过协整分析认为:我国对美出口与美国GDP增长率之间不存在长期均衡关系,但是我国对美出口与美国GDP之间存在一个正相关的长期均衡关系,美国经济发展有利于我国扩大出口。另一个结论是:美国GDP每增加1美元,我国对美出口增加量是减少的,我国对美出口收入弹性大于0小于1。后面的结论支持了高运胜的分析:我国对美出口产品中劳动密集型产品占有较大比重,需求弹性相对较低。Granger因果关系检验表明:美国GDP是我国对美出口的Granger原因,我国对美出口却不是美国GDP的Granger原因,我国对美出口对美国经济产生不了威胁。通过进一步分析,提出了几个政策建议。     

循环前缀在OFDM系统中的应用

本文详细论述了OFDM系统中循环前缀在削弱符号间干扰（ISI）、载波间干扰（ICI）以及在实现时频同步中的应用。在OFDM符号间插入循环前缀，可以减小ISI和ICI，并为实时时频偏移估计提供足够信息，使得系统同步结构简单且工作高效。     

宽带随机混沌雷达高速目标速度估计与成像

随机混沌具有真随机性、对初值敏感、易于产生和控制等特点,频率步进信号易于工程实现和处理,结合两者的优势,提出了一种载频随机步进的随机混沌信号(RSCFSCS)模型,用于高速目标的速度估计和距离维高分辨成像。首先,通过非周期函数激励非线性系统,产生不可预测的随机混沌信号(SCS),经频率调制后用作基带子脉冲。同时,将SCS通过映射变换得到跳频编码(FHC),用来决定调频脉冲串的载频步进。RSCFSCS 速度估计包括粗搜索和精搜索,粗搜索采用固定步长,保证速度偏差小于速度分辨单元,而精搜索采用黄金分割搜索算法可得到精确的速度估计。最后,子脉冲经相干合成形成宽带信号,实现高分辨距离成像。数值仿真表明提出的信号模型和处理算法性能良好。     

Modeling Methods for Discrete Choice Analysis

This paper introduces new forms, sampling and estimation approaches fordiscrete choice models. The new models include behavioral specifications oflatent class choice models, multinomial probit, hybrid logit, andnon-parametric methods. Recent contributions also include new specializedchoice based sample designs that permit greater efficiency in datacollection. Finally, the paper describes recent developments in the use ofsimulation methods for model estimation. These developments are designed toallow the applications of discrete choice models to a wider variety ofdiscrete choice problems.     

Can interest rate spreads stabilize the euro area?

Since the onset of the financial crisis significant interest rate spreads have arisen between euro area countries, both for public and private debt. We check whether these spreads could be made to work towards the goal of providing more stability to the euro area. In particular, we focus on reducing the imbalances that arose between the core and peripheral members of the euro area in the first decade of its existence. The idea is that stable positive spreads in peripheral countries could have decreased domestic demand, preventing the boom–bust cycles that plagued these economies. They could also prevent such developments in the future. We construct a panel model for euro area countries and estimate the relationship between real interest rates and the current account balance. Next, we use the estimated parameters to perform simulations. We find that spreads on real interest rates of 0.6–5.5 percentage points would have been necessary to stabilize external positions of the four peripheral euro area member countries.     

Financial density selection

We propose and study simple but flexible methods for density selection of skewed versions of the two most popular density classes in finance, the exponential power distribution and the t distribution. For the first type of method, which simply consists of selecting a density by means of an information criterion, the Schwarz criterion stands out since it performs well across density categories, and in particular when the DGP is normal. For the second type of method, general-to-specific density selection, the simulations suggest that it can improve the recovery rate in predictable ways by changing the significance level. This is useful because it enables us to increase (reduce) the recovery rate of non-normal densities by increasing (reducing) the significance level, if one wishes to do so. The third type of method is a generalisation of the second type, such that it can be applied across an arbitrary number of density classes, nested or non-nested. Finally, the methods are illustrated in an empirical application.     

我国钢铁企业技术创新能力分布及演变态势研究

本文依据我国20家大中型上市钢铁企业1998～2013年各项技术创新指标的面板数据,在对企业技术创新能力进行综合评价的基础上,运用非参数Kernel密度估计方法及马尔可夫链分析模型,对我国钢铁企业技术创新能力的分布及发展演变态势进行了研究,研究结果显示：①我国钢铁企业技术创新能力呈现出“单峰→双峰→单峰”的演变规律,钢铁企业技术创新能力水平总体上都得到了一定程度的提高,但不同钢铁企业技术创新能力的发展速度和水平呈现出明显的不平衡性;②不同钢铁企业Kernel密度分布状态与企业所在地区铁矿资源禀赋和工业经济发展水平存在高度关联性;③钢铁企业技术创新能力经过长期发展和积累过程,客观上存在着低水平状态逐渐向高水平状态转移的现实可能性,但由于不同钢铁企业自身的差异性特征,技术创新能力发展将表现出不同步性;④加快企业优化重组和提高生产能力集中度、加强现代高新技术对钢铁产业的改造和升级、加大政府政策引导和科技资金投入是实现钢铁企业技术创新能力快速提升的重要途径。     

Public Debt and Economic Growth in Emerging Market Economies

This paper empirically studies the relationship between public debt and economic growth for selected emerging market economies by performing panel data estimations. The results reveal a statistically significant positive correlation between public debt and the subsequent growth rate of per capita gross domestic product (GDP). Population and investment are also positively correlated with per capita growth, whereas the initial level of real GDP per capita exerts a negative influence on growth, implying conditional convergence. Other variables such as the inflation rate, the trade balance or the exchange rate do not yield a statistically significant effect with respect to economic growth.     

Flexible estimation of price response functions using retail scanner data

Kalyanam and Shively [1998. Estimating irregular pricing effects: a stochastic spline regression approach. Journal of Marketing Research 35 (1), 16–29] and van Heerde et al. [2001. Semiparametric analysis to estimate the deal effect curve. Journal of Marketing Research 38 (2), 197–215] have demonstrated the usefulness of nonparametric regression to estimate pricing effects flexibly. The empirical results of these two studies, however, also revealed that nonparametric regression may suffer from too much flexibility leading to nonmonotonic shapes for price effects. In this paper, we show how the problem of nonmonotonicity can be dealt with without losing the power of flexible estimation techniques. We propose a semiparametric approach based on Bayesian P-splines with monotonicity constraints imposed on own- and cross-price effects. In an empirical application, we illustrate that flexible estimation of own- and cross-price effects can improve the predictive validity of a sales response model substantially, even when price response curves were constrained to show a monotonic shape, as suggested by economic theory. We also discuss the consequences from an unconstrained estimation of price effects.