The relation between municipal and government bond yields in an era of unconventional monetary policy

In this paper, we investigate how the 5‐year Swedish municipal bond yield has been related to the corresponding yield on government bonds during the period that the Riksbank has conducted unconventional monetary policy in terms of bond purchases. Using daily Swedish data on bond yields from February 2015 to January 2018, we first conduct an event study to assess the short‐run effects of the Riksbank's bond‐purchase announcements. We then estimate bivariate vector autoregressive models to study the dynamic relationship between the yields. Results from the event study suggest that the accumulated short‐run effect of the Riksbank's announcements was to lower the government bond yield by approximately 40 to 50 basis points and municipal bond yields by 30 to 35 basis points. Our vector autoregressive analysis indicates—in line with the event study—that an unexpected decrease in the government bond yield initially increases the municipal bond‐yield spread. However, after approximately 4 weeks, the effect has been reversed and the municipal bond‐yield spread is lower than it was initially. By conducting this analysis, we contribute to the understanding of the transmission of unconventional monetary policy.     

跳频信号的归一化多普勒频差最大似然估计

针对双站定位涉及的跳频信号多普勒频差估计问题，提出了归一化的频差最大似然估计算法，利用两个定位站接收到的跳频脉冲串信号，构建一个关于基准跳频频率多普勒频差的似然函数，通过网格搜索得到使似然函数最大的多普勒频差估计，既解决了跳频信号在不同跳频频率上多普勒频差不一致的问题，又充分利用在不同频率的脉冲串信号提高了多普勒频差估计精度。通过仿真对算法的性能进行了评估，结果表明，与基于子空间的算法比较，在脉冲数达到240个时，所提算法执行效率提升30%以上。     

Identifying Worldviews on Corporate Sustainability: A Content Analysis of Corporate Sustainability Reports

Companies commonly issue sustainability or corporate social responsibility (CSR) reports. This study seeks to understand worldviews of corporate sustainability, or the corporate message conveyed regarding what sustainability or CSR is and how to enact it. Content analysis of corporate sustainability reports is used to position each company report within stages of corporate sustainability. Results reveal that there are multiple coexisting worldviews of corporate sustainability, but the most dominant worldview is focused on the business case for sustainability, a position anchored in the weak sustainability paradigm. We contend that the business case and weak sustainability advanced in corporate sustainability reports and by the Global Reporting Initiative are poor representations of sustainability. Ecological embeddedness, or a locally responsive strategy that is sensitive to local ecosystems, may hold the key to improved ecological sensemaking, which in turn could lead to more mature levels of corporate sustainability worldviews that support strong sustainability and are rooted in environmental science. This must be supported by government regulation. Copyright © 2017 John Wiley & Sons, Ltd and ERP Environment     

广义空间调制系统的正则化OMP检测算法

在广义空间调制（GSM）系统中，最大似然（ML）检测可以取得最优的检测性能，然而其计算复杂度随激活天线数的增加急剧增长。针对这一问题，提出了一种基于稀疏重构理论的低复杂度检测算法——正则化正交匹配追踪（ROMP）算法。该算法首先根据信道矩阵和当前残差的内积选取多个候选激活天线索引，接着对候选天线索引按正则化标准进行可靠性验证，剔除错误索引，缩小信号的搜索空间，最后通过求解最小二乘问题估计信号。仿真结果表明，与经典的正交匹配追踪（OMP）算法相比，所提算法以少许复杂度的增加为代价极大提升了检测性能，能够在检测性能与复杂度之间取得更好的折中。     

A hybrid information approach to predict corporate credit risk

This study proposes a hybrid information approach to predict corporate credit risk. In contrast to the previous literature that debates which credit risk model is the best, we pool information from a diverse set of structural and reduced‐form models to produce a model combination based on credit risk prediction. Compared with each single model, the pooled strategies yield consistently lower average risk prediction errors over time. We also find that while the reduced‐form models contribute more in the pooled strategies for speculative‐grade names and longer maturities, the structural models have higher weights for shorter maturities and investment grade names.     

Risk‐taking channel of monetary policy

One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. We propose a possible causal mechanism for the forecasting power of the term spread, deriving from the balance sheet management of financial intermediaries and the “risk‐taking channel of monetary policy.” Monetary tightening leads to the flattening of the term spread, reducing net interest margin and credit supply. We provide empirical support for the risk‐taking channel.     

A Polarization Index for Overlapping Groups

The well‐known index of income bipolarization proposed by Wolfson (1994) requires two groups to be split according to the median income and, therefore, to be non‐overlapping. The aim of this paper is to propose a new polarization index in the spirit of the Wolfson index. It allows for any possible partition of the population in two or more (also overlapping) groups. The new index maintains the simplicity and immediate comprehension of the Wolfson index, though being much more flexible. An application is then provided for German and Italian income data.     

Forecasting UK consumer price inflation using inflation forecasts

The inflation rate is a key economic indicator for which forecasters are constantly seeking to improve the accuracy of predictions, so as to enable better macroeconomic decision making. Presented in this paper is a novel approach which seeks to exploit auxiliary information contained within inflation forecasts for developing a new and improved forecast for inflation by modeling with Multivariate Singular Spectrum Analysis (MSSA). Unlike other forecast combination techniques, the key feature of the proposed approach is its use of forecasts, i.e. data into the future, within the modeling process and extracting auxiliary information for generating a new and improved forecast. We consider real data on consumer price inflation in UK, obtained via the Office for National Statistics. A variety of parametric and nonparametric models are then used to generate univariate forecasts of inflation. Thereafter, the best univariate forecast is considered as auxiliary information within the MSSA model alongside historical data for UK consumer price inflation, and a new multivariate forecast is generated. We find compelling evidence which shows the benefits of the proposed approach at generating more accurate medium to long term inflation forecasts for UK in relation to the competing models. Finally, through the discussion, we also consider Google Trends forecasts for inflation within the proposed framework.     

X频段高频谱纯度频率合成器设计

针对高灵敏度接收机对频率合成器的高技术指标要求，构建了一种融合了直接模拟、直接数字以及间接数字的频率合成技术方案，根据该方案，成功实现了频率合成器的工程研制。通过测试，频率合成器相位噪声达-112 dBc/Hz@5 kHz，杂散抑制优于-75 dBc，频率分辨率小于1 kHz，10 MHz跳频时间约为13 μs，满足了高灵敏度接收机对频率合成器的高技术指标要求，为高纯度频率合成器的实现提供了一条新途径。