基于贝叶斯SV模型的通货膨胀水平与不确定性关系研究

针对我国通货膨胀水平与不确定性的时变性特征,分别建立了随机波动均值模型和非对称随机波动均值模型,在MCMC稳态模拟的框架下研究了我国通货膨胀水平与不确定性的动态关系。研究结果表明:我国通货膨胀不确定性中具有明显的持续性特征,并且通胀水平中虽然不存在与金融资产价格运动类似的杠杆效应,但是正向冲击增加了经济行为主体对未来不确定性的预期,由此将导致明显的"示范效应"和"追涨效应";特别是风险溢出系数的贝叶斯估计为正,反映了通胀不确定性对通胀水平的正向影响作用,说明我国目前的货币政策框架中含有相机抉择的成分因素。  

An Improvement of the Parameter Certainty Equivalence Method in Portfolio Selection

This paper discusses an improvement of the Parameter Certainty Equivalence method in portfolio selection. Specifically, we derive methods of portfolio selection that are superior to the Parameter Certainty Equivalence method from the viewpoint of maximizing expected utility. We additionally derive such a method from the Bayesian approach.  

A posteriori ratemaking using bivariate Poisson models

Recently, different bivariate Poisson regression models have been used in the actuarial literature to make an a priori ratemaking taking into account the dependence between two types of claims. A natural extension for these models is to consider a posteriori ratemaking (i.e. experience rating models) that also relaxes the independence assumption. We introduce here two bivariate experience rating models that integrate the a priori ratemaking based on the bivariate Poisson regression models, extending the existing literature for the univariate case to the bivariate case. These bivariate experience rating models are applied to an automobile insurance claims data-set to analyse the consequences for posterior premiums when the independence assumption is relaxed. The main finding is that the a posteriori risk factors obtained with the bivariate experience rating models are significantly lower than those factors derived under the independence assumption.  

Korean Currency Crisis and Regime Change:A Multivariate GARCH Model with Bayesian Approach

Regarding the question of when the Korean currency crisis actually started,several financial time series areexamined in a multivariate time series framework with the GeneralizedAutoregressive Conditional Heteroskedastic (GARCH) process.The likelihood ratio (LR) test is used to find a structural break with aselection of breakpoints.The posterior probability function of a breakpoint is also derived.Individual time series data show the existence of several breaks since July1997.A statistically significant structural break using the multivariate GARCHmodelwas found prior to 8 November 1997, the date when the domestic currencystarted to massively devalue.  

A Bayesian Approach to the Construction and Comparison of Alternative House Price Indices

Several repeat-sales models have been advanced over the years for estimating real estate price indices. This article proposes a general model which incorporates earlier works as special cases and compares the alternative repeat-sales models using posterior odds ratios as criteria. While the existing literature estimates the real estate indices from the sampling point of view, in this article indices are constructed and then compared using a Bayesian approach. In general, the two-error term models outperform the one-error models. The model with a nontemporal component proposed by Goetzmann and Spiegel is found to be superior in three out of four cities. There is a significant discrepancy among the returns and indices obtained from different models.