MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA*

This paper analyses how systematic risk emanating from the macroeconomy is transmitted into stock market volatility using augmented autoregressive Generalised Autoregressive Conditional Heteroscedastic (AR‐GARCH) and vector autoregression (VAR) models. Also examined is whether the relationship between the two is bidirectional. By imposing dummies for the 1997‐1998 Asian and the 2007‐2009 sub‐prime financial crises, the study further analyses whether financial crises affect the relationship between macroeconomic uncertainty and stock market volatility. The findings show that macroeconomic uncertainty significantly influences stock market volatility. Although volatilities in inflation, the gold price and the oil price seem to play a role, it is found that volatility in short‐term interest rates and exchange rates are the most important, suggesting that South African domestic financial markets are increasingly becoming interdependent. Finally, the results show that financial crises increase volatility in the stock market and in most macroeconomic variables, and, by so doing, strengthen the effects of changes in macroeconomic variables on the stock market.     

存在冲突证据下的证据推理多属性决策方法

针对传统的证据推理方法对证据冲突处理能力的不足,在引入冲突参数的基础上提 出了新的证据推理算法,通过证明,新算法完全满足证据合成的4个公理。基于方案集间冲 突参数对决策结果影响差异最小化原则,提出了新的冲突参数优化模型,最后通过实例仿真 ,论证了新算法对解决证据间存在冲突时的多属性决策问题的可行性和优越性。     

欧洲模式：稳定、凝聚与经济增长

中国发展道路的独特性引起了国内外的普遍关注,但从欧洲模式研究的角度分析中国发展道路尚不多见。文章在综述国内外研究的基础上,分析欧洲模式的内涵和特征;从理论和实证两个角度分析欧洲稳定、凝聚与经济增长之间的关系;总结欧洲模式对中国发展道路的借鉴意义体现在两个方面：价格稳定有利于长期经济增长;公平和效率不是必然替代,而是相互促进。     

论货币政策与金融稳定的内生性冲突——基于资产价格和流动性分析的视角

本文首先综述了国际上关于货币政策对金融稳定影响的主要学术观点,然后应用Shin(2006)基础性的研究成果.提出了一个用于分析货币政策对金融稳定影响的理论框架.文章分析了在一个信贷约束市场上货币政策对金融稳定影响机制.研究表明,由于具有自强化反馈机制和不对称性特征,货币政策在追求自身目标实现过程中,有可能导致金融失衡.     

变权公式中参数α的性态分析

本文运用公平理论模式分析了决策者在决策指标变化时的心理反应状况对变权公式中参数α取值的影响,并给出了两者之间的量化关系式。     

COMPETITIVENESS AND STABILITY OF COLLUSIVE BEHAVIOR

We investigate the relationship between the degree of competition and the stability of collusive behaviour, by introducing the element of relative performance in the objective functions of the firms. We show that an increase in the degree of competition destabilizes the collusion. This relation differs starkly in the standard symmetric Cournot and Bertrand duopoly models, with the former being more unstable than the latter.     

绥芬河市新华街隧道围岩稳定分析

绥芬河市新华街隧道是目前黑龙江省最长的公路隧道,该隧道东起新华街,西至301国道,其最大埋深为101.1m,由于隧道穿越区域地质条件复杂,地应力较高,因此在前期施工过程中,已经出现了局部掉块现象。为了避免隧道在施工与运营期内出现大面积垮塌情况,本文对隧道的稳定性进行了分析评价,该隧道出现岩爆的可能极小,但是洞室围岩有塑性破坏的可能,为了防止由于塑性破坏诱发的塌落现象,建议采用4~5m的系统锚杆进行支护。     

基于数学期望的采购风险管理决策分析

风险决策中的期望值法是处理风险决策问题的常用方法。借助于期望值法,结合某企业的案例数据,对如何实现物流采购的最优化进行风险决策分析,并对最优方案进行了稳定性分析。     

A Critical Assessment of Basel III and its Implications on the Mauritian Banking Sector

This paper probes into the application of Basel III in Mauritius. Findings show that although Mauritian banks are well-capitalized and carry excess liquidity, they will have to restructure their balance sheets by incorporating highly liquid assets such as government securities. While Basel III will foster greater financial stability, this will translate into lower supply of credit, higher cost of credit and lower returns with potential strains on SME lending. Similarly, Bank of Mauritius’s ability to control credit growth will be hindered because banks’ existing leverage ratios are already higher than the stipulated minimum leverage ratio of 3%. To harness the full benefits of the reforms, additional measures tailored to the specificities of the Mauritian economy will be needed. Other challenges prevail like establishing robust data management, risk methodologies, reporting systems and IT architecture as well as identifying the timing and the size of the Countercyclical Capital Buffer. Local banks anticipate Basel IV in the coming years as a refined tool.