Dynamic time series momentum of cryptocurrencies

This paper examines the momentum effect for twenty cryptocurrencies compared to the US stock market. For this purpose, we implement a dynamic modeling approach to define and test momentum periods that follow a formation period for interday and various intraday price levels. We find evidence that large proportions of the asset classes’ formation periods are followed by momentum periods, strongly supporting the momentum effect. In particular cryptocurrencies have significantly larger and longer momentum periods in all frequencies which we attribute to the lower derivability of their intrinsic value leading to a higher degree of noise traders in the market. A momentum trading strategy based on the identical approach outperforms a buy-hold strategy for both asset classes, while only cryptocurrencies have higher risk-adjusted returns and lower downside risks than a passive investment. We also find critical price levels during structural elements of the momentum period where the volatility shortly but intensively increases and consequently initiates a price impulse in the direction of the momentum.     

基于激光点云的高墩垂直度偏差分析方法

现代桥梁工程中高墩桥梁屡见不鲜,桥墩垂直度已成为评定桥墩施工质量的重要指标之一.以新疆某特大桥项目为依托,针对高墩垂直度检测结果实用性低的问题,提出一种采用三维激光扫描技术对高墩垂直度进行非接触测量分析的方法.利用三维激光扫描仪快速获取高墩结构全局点云信息,对桥墩点云进行拼接、降噪等预处理,采用编程算法实现了桥墩节段中心点和垂直度偏差的计算,并得到了垂直度偏差变化规律图.最后将该方法与传统方法进行对比.结果表明:利用三维激光扫描技术对高墩进行快速测量,能够获取桥墩中心轴线的三维空间线型,精确分析并定位最大偏差位置,显著提高垂直度测量结果的实用性,具有良好的工程应用前景,并为后续研究桥墩垂直度问题提供了新思路.     

The end of the flat tax experiment in Slovakia: An evaluation using behavioural microsimulation in a dynamic macroeconomic framework

The paper introduces a new way of linking microsimulation models with dynamic general equilibrium frameworks to obtain an evaluation of the impact of detailed tax and benefit measures on the aggregate economy. In the approach presented in this paper, income heterogeneity interacts with the macro-economy via aggregated individual labour supply decisions which influence, and are influenced by, the dynamic evolution of the real wage rate. The method involves a reduced-form representation of the information flow between the macroeconomic and microeconomic blocks. The practical usefulness of the approach is demonstrated by evaluating actual and hypothetical tax reforms that involve abandoning the flat tax system in Slovakia. A hypothetical move to a highly progressive tax structure is shown to generate some employment gains but is associated with a drop in aggregate income and tax revenue.     

Food fraud: economic insights into the dark side of incentives

In this review, we contextualise the articles in this special issue, relating them to existing food fraud research, and identify food fraud research trends, challenges and priorities for the near term. We accomplish these aims through a comprehensive review of research by food scientists, economists, other social scientists, legal experts, government research groups and international trade organisations. Existing food fraud research is heavily weighted towards food science, packaging and labelling, and legal areas of knowledge discovery. Moving forward, research is needed pertaining to general economic welfare outcomes from food fraud incidences, economic incentives to deter frauds, economic spillovers from fraud incidences to other food products and markets (domestic and international) and further delineation of the effect of different types of food fraud on consumer and producer welfare. The articles in this special issue make significant contributions to understanding of the role of food fraud in consumer decisions, measuring consumer welfare losses from fraud, food fraud spillover effects to other markets and new frameworks for fraud analysis.     

面源污染视角下江西省耕地利用效率研究

[目的]在面源污染视角下考察耕地利用效率,可以为推动耕地可持续利用提供理论和参考依据。[方法]文章基于2000—2014年我国13个粮食主产省(区)耕地投入产出的面板数据,运用SBM方向性距离函数将耕地面源污染因素纳入到传统的效率分析框架,从省际比较的维度对江西省耕地利用效率进行了测度与分析。[结果]考虑面源污染因素对耕地利用效率测算产生了一定的影响;江西省耕地利用效率值呈现阶段性特征,耕地利用效率排名比较稳定,近年来排名有上升趋势;江西省耕地利用绩效一般,且与最佳实践者存在较大的差距。[结论]忽视面源污染因素的耕地利用效率评估是失真和不符合实际的,宜将面源污染因素纳入到耕地利用效率的测度框架,以此来更科学地量化评估耕地利用绩效;设计和完善相关政策,以有效控制耕地面源污染;加强与先进省(区)的交流与合作,学习其农业可持续耕作技术与管理经验,进一步推动江西省耕地产出与资源、环境协调发展。     

Change-point detection for expected shortfall in time series

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the Wild Binary Segmentation (WBS) algorithm in Fryzlewicz (2014), this paper proposes a variant WBS procedure to detect and estimate change points of ES in time series. The strengthened Schwarz information criterion is also introduced to determine the number of change points. Monte Carlo simulation studies are conducted to assess the finite-sample performance of our variant WBS procedure about ES in time series. An empirical application is given to illustrate the usefulness of our procedure.     

Economic Impacts of the Possible China–US Trade War

This article uses a multi-country global general equilibrium (GE) model to numerically simulate the effects of possible China–US trade wars. We introduce an endogenous trade imbalance structure with trade cost into the model which helps to explore both tariff and non-tariff trade war effects. Our simulation results show that China will be significantly hurt by the China–US trade war, but negative impacts are affordable. The US can gain under unilateral sanction measures to China, but will lose if China takes retaliation measures. Comparing the effects under mutual trade war, China will lose more than the US. Introducing non-tariff barrier trade wars will intensify the negative effects, and comparatively negative effects to China are larger than to the US. Mexico’s involvement in trade war with the US will strengthen the negative effects and comparatively hurt the US more. Under non-cooperative and cooperative Nash bargaining equilibrium, the US can gain more than China in trade war negotiation, which means the US has stronger bargaining power than China. Additionally, trade wars between China and the US will hurt most countries and the world especially in GDP and manufacturing employment, but benefit their welfare and trade.     

On the need to compensate the compensating variation in CGE modeling

The message of this research is that in the standard calibrated setting of Computational General Equilibrium (CGE) models, the welfare measures typically used to compare benchmark with counterfactuals are numéraire dependent. This evaluation bias affects the compensating variation and the Konüs index of cost of living. We show that the equivalent variation is neutral regarding the choice of value units in calibrated models but would be affected as well in uncalibrated CGE models. We illustrate with a simple example and propose an even simpler theoretical solution to overcome these biases; all that is required to have correct welfare estimates is to compensate normalizing with a suitable price index. This type of correction is necessary to overcome the sometimes blind implementation of welfare measures in numerical general equilibrium analysis. We show that the induced quantitative errors may be substantial providing biased welfare estimates and misleading results.     

Does default point vary with firm size?

This article aims to improve the predictive ability of KMV model by distinguishing firm size. The evidence suggests that default point would vary with firm size. Using the method of particle swarm optimization, we obtain the optimal default point separately for large firms and small firms. Several statistical tests such as the model confidence set methodology show that our relatively tractable model is more likely to have the strongest predictive ability.