入境旅游对经济增长的动态影响及地区差异研究——以广东省和云南省的比较为例

利用1980—2008年的数据,采用变参数的状态空间模型分析了我国入境旅游与经济增长的动态关系,并以广东省和云南省为例,分析了两者关系的地区差异。研究结果表明,就全国整体而言,入境旅游与经济增长之间不是严格的双向因果关系;入境旅游对经济增长的产出弹性平均值为0.670,从现有统计数据来看,虽然入境旅游对经济增长有一定影响,但这种影响较小;从广东省与云南省的比较来看,广东省入境旅游对经济增长的平均产出弹性值远大于云南省,说明入境旅游对经济增长的影响存在显著的地区差异。     

中国农业现代化水平的测算与俱乐部收敛分析

目的 农业现代化建设是动态的过程,衡量不同时期各地区农业现代化的表现,及其收敛特征对实现乡村振兴和区域均衡发展有重要意义。方法 文章首先基于熵权法,借助2003—2020年中国30个省（市、自治区,不含港澳台和西藏）的面板数据,构建包含农业面源污染数据在内的8项大指标体系,测算中国各地区的农业现代化水平;其次,借助非线性时变因子俱乐部检验法,识别农业现代化水平的收敛组;最后,应用Ordered Logit和Ordered Probit模型检验俱乐部的成因。结果 研究发现,中国农业现代化总体水平不高,地区差距明显;30个省（市、自治区,不含港澳台和西藏）收敛于4个俱乐部,其中北京、上海、黑龙江3个地区收敛于高水平俱乐部、21个地区收敛于中高水平俱乐部、云南和重庆收敛于中等水平俱乐部、山西、甘肃、贵州和青海收敛于低水平俱乐部;进一步研究发现,技术创新、人力资本水平和农业保险对俱乐部融合具有促进作用。结论 因此,低水平俱乐部可以通过提升人力资本、加大科技投入、发展农业保险等路径实现向高水平俱乐部的趋同。     

考虑需求与价格--质量相关的补货与定价联合决策广义模型

文中基于顾客的购买行为,构建质量-价格敏感的时变需求函数;以利润最大化为目标建立了补货与定价联合决策广义模型,同步确定市场价格、订货批量和时间间隔;证明了模型存在唯一最优解的条件,并给出求解方法;讨论了研究问题的特例形式,表明模型具有广泛适用性。数值算例进一步分析了质量水平影响因子、产品变质率的变化速率对销售利润和决策变量的影响关系。     

基于区制转移模型的金融周期时变特征研究

基于由金融资产价格、金融规模和金融景气三个维度构成的金融周期指数,考量金融周期的阶段性特征,在马尔科夫区制转换模型加入自回归项,利用金融周期的自回归进行区制转换,刻画出金融周期的区制特征,选取最优Copula函数对金融周期和经济周期的关联性特征.结果表明:中国金融周期分为三个较为明显的阶段;中国金融周期分为扩张和收缩两种状态,且扩张和收缩两种状态都具有极高的稳定性;滞后2阶的金融周期和经济周期之间有较强的正相关关系.     

Does the Environmental Kuznets Curve Exist in the Chinese Regions?

ABSTRACT

This paper disentangles the existence of Environmental Kuznets Curve across the Chinese regions as autonomous areas. First it makes use of the time-varying method to measure that strand for thirty Chinese regions over the period 1997–2012. The influence of income on CO₂ emissions diminishes steadily from Western regions to Middle and Eastern regions. Lastly, we can observe that the validity of Environmental Kuznets Curve is exerted for one region, whilst the N-shaped curve is valid for the majority of the rest of the Chinese regions.     

Decomposing the Variation in Generic Advertising Response over Time

A time-varying parameter model of fluid milk and cheese demand reveals that changes in age composition, race composition, and food spending patterns away from home were most important to changes in generic advertising response over time. Advertising response elasticities indicate that generic advertising could be enhanced by targeting young children households for fluid milk, and Asian/Hispanic households for cheese. Results also indicate that shifting targeted advertising efforts to the away-from-home market may increase generic cheese advertising response.     

基于Rolling Regression及VAR-DCC-GARCH模型的股市时变协动研究——发达市场对中国大陆股市存在金融传染吗?

本文以2002年5月至2013年12月为研究区间,利用协整模型、滚动回归模型及VARDCC-GARCH模型对中国大陆股市与日本、香港、新加坡股市间的时变协动性进行了研究。结果表明:长期内,中国大陆股票市场与香港股市存在时变协整关系(截距与斜率均具有时变性),与新加坡股市存在着弱协整关系,但与日本股票市场不存在协整关系;中国大陆股市与香港股市、日本股市间的时变相关系数具有长记忆特征,而与新加坡股市时变相关系数并不具有持续性;亚洲发达经济体对中国大陆股市存在显著的金融传染效应。     

Time-Varying Dependency and Structural Changes in Currency Markets

This study employs Patton's (2006) conditional copula framework to model dynamic conditional joint distribution with currency data for Taiwan and its trading counterparties. Empirical findings suggest that the exchange rate of Taiwan tends to display high tail dependence with those of Asian countries during currency depreciations. Because financial events during the sample period may be the source of structural changes for dependence structure, this study applies Bai and Perron's (1998, 2003) approach to detect the internal structural breaks. Empirical results reveal significant structural changes in the persistence of dependence, especially during the financial crisis of 2008.     

Option pricing and hedging in different cyclical structures: a two-dimensional Markov-modulated model

The critical role of interest rate risk and associated regime-switching risk in pricing and hedging options is examined using a closed-form valuation model. Equity call options are valued under the proposed 2-dimensional Markov-modulated model in which asset prices and interest rates exhibit Markov regime-switching features. In addition, the relationship between cyclical structures and option prices are analyzed using a time-varying transition probability matrix. The proposed model can enhance the forecast transition probabilities in an out-sample period. The cycle-stylized effect of an economy exhibits different impacts on option prices and hedging strategies in a short- and a long-cycle economy. Our closed-form formula based on more realistic specifications with respect to business-cyclical structures in various financial markets is more appropriate for pricing and hedging options.     

A Non-Proportional Hazards Model with Hazard Ratio Functions Free from Covariate Values

A brief survey on methods to handle non-proportional hazards in survival analysis is given with emphasis on short-term and long-term hazard ratio modelling. A drawback of the existing model of this nature is that except at time zero or infinity, the hazard ratio for a unit increase in the value of a covariate depends on the starting value. With two or more covariates, the hazard ratio for a unit increase in one covariate with other covariates held fixed depends in an unintended way on the values of the other covariates. We propose an alternative way to model short-term and long-term hazard ratios without the above drawbacks through a judicious choice of covariate-time interactions. Under the new model, it is easier to describe the time-varying effect of each covariate on the hazard. Nonparametric maximum likelihood estimation for the new model can be carried out in the same way as for the existing model. We also propose a product version of the existing model, which overcomes its second drawback but not the first. The advocated covariate–time interaction model provides a better fit to the Veterans Administration lung cancer data set than the original and product versions of the existing model.