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.     

Modeling the Euro overnight rate

This paper describes the evolution of the daily Euro overnight interest rate (EONIA) by using several models containing the jump component, such as a single-regime ARCH-Poisson–Gaussian process, with either a piecewise function or an autoregressive conditional specification (ARJI) for the jump intensity, and a two-regime-switching process with jumps and time-varying transition probabilities. To model the jump intensity, we include the following effects which are significant for the occurrence of jumps: (1) the end of maintenance period effect because of reserve requirements, (2) the end of month effect, also known as the calendar day effect, caused mainly by accounting adjustments and finally, (3) the meeting effect caused by the meetings of the Governing Council of the European Central Bank (ECB). These effects lead to better performance and several of them are also included for the behavior of the transition probabilities. Since the target of the ECB is to maintain the EONIA rate close to the policy rate, we model the conditional mean of the overnight rate series as a reversion process to this policy rate, distinguishing two alternative speeds of reversion, specifically, a different speed if EONIA is higher or lower than the policy rate. We also study the jumps of the EONIA rate around the ECB's meetings by using the ex-post probabilities of the ARJI model. Finally, we develop a volatility forecasting analysis to measure the performance of the different candidate models.     

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。     

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。     

特保条款的歧视性--兼评对我国对外贸易的影响与启示

特保条款是指《中国入世议定书》第16条规定的“过渡期内特殊保障措施”条款,是我国入世时,发达国家强加给我国作为所谓“非市场经济国家”的不公平的歧视性保障措施条款,无论从性质、实施条件、还是程序上其歧视性远大于一般保障措施。该如何面对这一特殊条款,已成为影响我国对外贸易的重要因素。     

放弃成本、政府偏好与资本控制:一个审慎的机会主义汇率制度选择模型

本文在Obstfeld(1 996)第二代货币危机模型的基础上 ,建立了一个考虑经济结构、供给冲击以及金融风险的多因素汇率制度选择模型 ,以成本分析为工具解释了资本控制、各类成本和政府偏好对均衡的影响以及对汇率制度选择的影响。研究表明 :(1 )资本控制可以通过多种途径对均衡产生影响 ,在一定条件下可以利用资本控制措施使经济避免多重均衡 ;(2 )放弃成本对汇率制度选择发挥关键作用 ;(3 )较大的政府偏好促使政府选择固定汇率制度 ,在放弃成本不足够大的条件下 ,决策者也可以通过提高政府偏好或者实施资本控制措施来保护本国固定汇率制度 ;(4)对人民币现行汇率制度的放弃成本的估计表明 ,当前人民币汇率制度放弃成本正处于中间水平 ,因此有必要增大政府对固定汇率制度的偏好并且对资本帐户实施适度管理以保持人民币汇率的稳定 ,防范金融风险。至于未来人民币汇率波动幅度的扩大、资本项目自由化的进程以及人民币汇率制度何时回归真正的“管理浮动” ,应主要取决于人民币汇率制度放弃成本的有效降低     

汇率制度与货币政策——发展中国家和小国经济的思考

本文中,我们将研究在资本市场对外开放及汇率固定条件下货币政策的管理机制问题。我们的目标是探讨货币政策能否在此种情况下继续独立而有效地稳定国内经济。为此,我们建议两种制度上的约束。给定这些约束,我们证明货币政策仍然有效。同时,本文讨论了此种制度选择对发展中国家和小国经济的意义。     

Asymmetric business cycles: Theory and time-series evidence

We offer a theory of economic fluctuations based on intertemporal increasing returns: agents who have been active in the past face lower costs of action today. This specification explains the observed persistence in individual and aggregate output fluctuations even in the presence of i.i.d shocks because individuals respond to the same shock differently depending on their recent past experience. The exact process for output, the sharpness of turning points and the degree of asymmetry are determined by the form of heterogeneity. Our general formulation, under certain assumptions, reduces to a number of popular state space (unobserved components) models. We find that on US data our general formulation performs better than many of the existing econometric models, largely because it allows sharper downturns and more pronounced asymmetries than linear models, and is smoother than discrete regime shift models. Our estimates imply that only modest intertemporal returns are needed for our model to explain US GNP, and that heterogeneity across agents plays an important role in the propagation of business cycle shocks.     

地下水动态预报的一种新方法

预测作为决策的前提,在现化社会越来越为人们所重视,预测方法也越来越多。然而,有些预测方法由于对数据要求高、计算复杂,在目前计算机编程操作技术尚未被科技工作者所普遍掌据的情况下,显然是难以为实际工作者所接受的。鉴于此,本文介绍了一种新的预测方法:采用对时变参数建模和预测的方法来处理含有时变参数的预测模型,借以改善预测的精度。文中给出了三个较典型的应用实例,借以说明该方法的应用及不同情况下对时变参数K的处理方法。“新方法”对数据要求不高,计算简便、易为现场科技工作者所接受,预测精度也较高。应用实例表明:该方法用于地下水动态预测预报,可以获得非常满意的效果。