Bayesian Risk Management for Equity-Linked Insurance

This paper describes how to apply Markov Chain Monte Carlo (MCMC) techniques to a regime switching model of the stock price process to generate a sample from the joint posterior distribution of the parameters of the model. The MCMC output can be used to generate a sample from the predictive distribution of losses from equity linked contracts, assuming first an actuarial approach to risk management and secondly a financial economics approach. The predictive distribution is used to show the effect of parameter uncertainty on risk management calculations. We also explore model uncertainty by assuming a GARCH model in place of the regime switching model. The results indicate that the financial economics approach to risk management is substantially more robust to parameter uncertainty and model uncertainty than the actuarial approach.     

Value-at-risk in a market subject to regime switching

Many empirical researches report that value-at-risk (VaR) measures understate the actual 1% quantile, while for Inui, K., Kijima, M. and Kitano, A., VaR is subject to a significant positive bias. Stat. Probab. Lett., 2005, 72, 299–311. proved that VaR measures overstate significantly when historical simulation VaR is applied to fat-tail distributions. This paper resolves the puzzle by developing a regime switching model to estimate portfolio VaR. It is shown that our model is able to correct the underestimation problem of risk.     

“碳解锁”缝隙创新研究

对技术种群缝隙竞争演化模型的分析表明,在“碳锁定”背景下,低碳技术在主流市场会遭遇碳基技术体制的排挤,缝隙市场能为低碳技术的发展和应用提供受保护的空间,为实现“碳解锁”创造条件。缝隙创新分为竞争性缝隙创新和互补性缝隙创新两类,相应地,“碳解锁”缝隙创新战略分为替代战略和兼容战略。二者实现“碳解锁”的路径和方式不同,替代战略包括竞争性缝隙形成、缝隙积累与分叉、体制替代3个阶段,兼容战略包括互补性缝隙形成、体制兼容和体制低碳化转型3个阶段。在“碳解锁”路径选择时需权衡这两种战略的利弊。     

房价与经济波动的区制转移——基于STAR系列模型的实证研究

本文运用平滑转移自回归(STAR)系列模型定量分析了1998-2010年间我国经济波动区制转移(Regime Transition)过程及房价波动在其中的作用。研究结果表明,我国经济在受到外生刺激时会产生跳跃冲动,但能否出现区制转移现象取决于外生刺激的持续性,单纯依靠以往经济的表现不能充分地解释这种现象;房价作为外生变量有效地解释了经济波动中存在的动态转移过程,这表明房价波动中存在着先行信息并可用于预测未来经济走向。此外,经济波动转移过程并非不可逆转,足够的反向推动力能够扭转经济势头,这使得政策干预成为可能。     

外汇体制、税收与腐败

本文研究了外汇体制、税收和腐败之间的关系,比较了在有外汇管制和无外汇管制两种情况下,外汇体制对税收和腐败的影响。研究结果表明,当腐败对产出有正作用时,外汇管制将导致较高的税收和较严重的腐败。如果腐败对产出的正作用较小,那么外汇管制将导致税收增加。如果税收扭曲的作用非常大,那么外汇管制将导致腐败下降。当腐败对产出有负作用时,外汇管制将会导致较轻微的腐败和较高的税收。如果腐败对产出的正作用非常大,足以弥补由于高税收所造成的产出减少时,政府会采取外汇管制措施。如果腐败对产出的正作用较小,并且高税收对产出负作用很大,那么政府将采取没有外汇管制的体制。     

Price formation in the German biodiesel supply chain: a Markov‐switching vector error‐correction modeling approach

Changing linkages between agricultural and energy markets have attracted considerable attention in research and policy discussions during recent years. As one of the largest biofuel markets worldwide, the German biodiesel market is of particular interest. It has grown rapidly since the beginning of the new millennium, with this growth being driven mainly by political interventions. Vertical price transmission channels along the biodiesel supply chain are analyzed in this study. We examine the relationship between diesel and biodiesel prices, and between rapeseed oil, soy oil, and biodiesel prices between 2002 and 2008. Due to pronounced changes in market conditions and the policy framework, a regime‐dependent Markov‐switching vector error‐correction model is used. The regimes are characterized by markedly different price adjustment behaviors. Before 2005 and from late 2007 onward, a regime characterized by the strong orientation of biodiesel prices toward diesel prices dominates. Between 2005 and 2007, biodiesel and rapeseed oil prices are mutually interdependent. Frequent switches between the regimes of the price dynamics during this period indicate a high extent of uncertainty and instability in the market.     

琶洲城中村改造模式的征地创新思路

本文从广州市琶洲村改造的具体实践出发,深入剖析琶洲城中村改造模式的征地创新思路,认为该模式为我国征地改革提供了实践的论证,但该模式亟需解决政府监督权立法保障、用地单位用地程序立法保障、征地拆迁补偿标准争端解决机制立法保障等的法律问题。     

Markov区制转移模型与我国通货膨胀波动路径的动态特征

本文应用Markov区制转移模型，对我国1984年以来通货膨胀率的动态路径进行了模拟分析。估计和检验发现了我国通货膨胀路径中不仅存在高通胀区制和低通胀区制，也存在经济政策机制与通货膨胀率区制之间的相关性。通过与传统的自回归模型相比较，Markov区制转移模型考虑了通货膨胀率的内生转移机制，从而更好地拟合和刻画了通货膨胀率的数据生成过程。     

中国保障措施制度的发展对策研究

随着保障措施被世界各国越来越频繁的运用，中国与保障措施”打交道”越来越多，发展并完善中国的保障措施制度也成为一项十分紧迫的任务。本文从保障措施立法、国内产业、具体规定、前提条件等方面提出了完善中国保障措施制度的对策，从而促进中国保障措施制度的发展。