Variance bounds on the permanent and transitory components of stochastic discount factors

In this paper, we develop lower bounds on the variance of the permanent component and the transitory component, and on the variance of the ratio of the permanent to the transitory components of SDFs. Exactly solved eigenfunction problems are then used to study the empirical attributes of asset pricing models that incorporate long-run risk, external habit persistence, and rare disasters. Specific quantitative implications are developed for the variance of the permanent and the transitory components, the return behavior of the long-term bond, and the comovement between the transitory and the permanent components of SDFs.     

同时开市背景下AH股的股价联动性分析

文章选取57支A+H股票编制开盘价指数和收盘价指数,以2011年3月7日为分界点分为两个阶段,对A股和H股的股价之间的联动性,采用计量经济学方法进行实证研究。研究表明:同时开市之后A股和H股的股价联动性有所增强,H股股价对A股股价的影响更加明显。     

基于离散小波变换和奇异值分解的数字水印算法

当前数字作品的版权保护问题备受关注,数字水印是保护数字作品版权的有效手段。本研究针对大容量水印嵌入问题,提出一种基于离散小波变换和奇异值分解的灰度图像数字水印算法。首先,利用离散小波变换将原始图像分为LL、LH、HL和HH四个子带;其次,通过奇异值分解获得LL子带图像的对角矩阵S^l以及水印图像的对角矩阵S^w;然后,将矩阵S^l与S^u进行叠加来完成水印嵌入。该算法的突出特点为嵌入的水印容量大,且算法具有较强的鲁棒性。实验证明,嵌入水印后的图像在经受高斯噪声、椒盐噪声、旋转等攻击后,利用该算法仍能提取到有效的水印图像。     

中国地区间经济发展不平衡——水平测度和成因探究

在测度中国省区间经济发展不平衡程度的基础上,揭示了不平衡的影响因素:1989年至2008年间,中国省区间经济发展不平衡的状况不断加剧,加权变异系数、基尼系数和泰尔指数(II)增长了30%左右,泰尔指数(I)的增幅更是高达67%;人均GDP、国内资本存量、贸易开放度和第三产业增加值等因素显著加剧了地区间不平衡,教育水平的提高则显著抑制了地区间不平衡的扩大;失业率和城市化水平也对地区间不平衡产生了一定的影响,而外商直接投资对不平衡的影响作用是不确定的。     

中国寿险业发展的地区差异研究—基于O-B分解的实证

以中国199个地级市为研究对象,通过O-B分解可以将解释变量对被解释变量的影响分解为特征效应与系数效应的优势,对中国寿险业发展的地区差异的影响因素进行了定量分析,揭示寿险业发展的内在影响机制。实证结果表明:第一,寿险业的发展同时受到地区生产总值和城乡居民储蓄存款两个方面因素的影响,二者不可偏废;第二,寿险业发展的地区差异显著,且这一差异主要由特征差异引起。     

Performance evaluation of production systems monitored by statistical process control and off-line inspections

Quality and productivity performance measures are very often considered in separate phases of the production system design process. However, the production system architecture affects the efficiency of the quality control system as well as the quality control configuration has an impact on the performance of the production system.The paper proposes a new analytical method for evaluating the performance of production systems in which statistical process control (SPC) techniques are implemented. Machines behaviour is monitored by measuring quality characteristics of the produced parts through off-line inspection devices and sampling inspections. The numerical results show the good accuracy of the proposed method, provide new insight in the relations among the two areas and pave the way to the joint design of production logistics and quality control systems.     

城市化与能源消费关系的动态计量分析——以陕西省电力消费为例

运用经济计量方法,实证了陕西省城市化与能源消费之间的动态相关性,并利用因素分解模型定量测算出陕西城市化对能源消费变动的贡献份额.结果表明,陕西省城市化与能源消费量之间存在协整关系.但这种长期均衡的短期调整幅度不大;现阶段城市化对陕西能源需求的贡献作用尚比较小.且呈现逐年下降的趋势.因此,能源需求不会成为制约陕西省城市化进程中的瓶颈.     

Temporal variance of revealed preference on-street parking price elasticity

This paper utilises revealed-preference parking trend data from parking meters ex ante and ex post of a general 50% price increase in the hourly cost of on-street parking to estimate the on-street parking price elasticity of demand in an area of Dublin, Ireland. Estimates are presented for the aggregate price elasticity of demand level and individual estimates for specific time periods and days of the week. In terms of reduced parking frequency, the average price elasticity of demand reported is −0.29. Daily average estimates are consistent, with one notable exception being Thursday, a ‘late night shopping’ day for which a lower price sensitivity is reported. Morning periods are also shown to be more responsive than other time periods in the test area, indicating some potential for influencing morning inbound peak traffic levels.     

中国输出了“通货紧缩”或“通货膨胀”?

本文首次采用最新发展的有向无环图等技术方法,对中国是否输出通货紧缩以及是否输出通货膨胀这一问题展开综合性、系统性的研究。研究结果表明,在通货膨胀的国际传递中,作为世界第一大经济实体的美国发挥着主导作用,与此同时,无论是在中国通货紧缩时期还是在通货膨胀时期,中国对各主要贸易伙伴国物价水平的冲击均十分微小,因此,中国并非全球通货紧缩或通货膨胀的引发因素。在此研究过程中,最新发展的有向无环图技术等方法的综合运用,在很大程度上增强了本文分析结论的可靠性与合理性。     

The contribution of minimum wage valorization policy to the decline in household income inequality in Brazil: A decomposition approach

There is a vast literature that estimates the effect of the minimum wage on wage inequality in various countries. However, as the minimum wage directly affects nonlabor income of families in some countries (in the Brazilian case via the benefits of the pension system and of certain social programs), this article extends the empirical analysis by studying the effects of the minimum wage on the level of inequality of household income as a whole. To accomplish that we employ a decomposition method that gauges the contribution of the increases in the minimum wage that occurred in recent decades in Brazil through the labor and nonlabor sources of household income. The results show that the minimum wage had a contribution of 64 percent to the observed fall in income inequality between 1995 and 2014 and that pensions were the most relevant channel over this period.