MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH

Motivated by the European sovereign debt crisis, we propose a hybrid sovereign default model that combines an accessible part taking into account the evolution of the sovereign solvency and the impact of critical political events, and a totally inaccessible part for the idiosyncratic credit risk. We obtain closed‐form formulas for the probability that the default occurs at critical political dates in a Markovian setting. Moreover, we introduce a generalized density framework for the hybrid default time and deduce the compensator process of default. Finally, we apply the hybrid model and the generalized density to the valuation of sovereign bonds and explain the significant jumps in long‐term government bond yields during the sovereign crisis.     

A note on the long rate in factor models of the term structure

In this paper, we consider factor models of the term structure based on a Brownian filtration. We show that the existence of a nondeterministic long rate in a factor model of the term structure implies, as a consequence of the Dybvig–Ingersoll–Ross theorem, that the model has an equivalent representation in which one of the state variables is nondecreasing. For two‐dimensional factor models, we prove moreover that if the long rate is nondeterministic, the yield curve flattens out, and the factor process is asymptotically nondeterministic, then the term structure is unbounded. Finally, we provide an explicit example of a three‐dimensional affine factor model with a nondeterministic yet finite long rate in which the volatility of the factor process does not vanish over time.     

Tourism,terrorism and political violence in Tunisia: Evidence from Markov-switching models

This study investigates the impact of terrorist attacks and political violence on the number of tourist arrivals and overnight stays in Tunisia. The dataset employed consists of monthly data that covers the period from January 2000 to September 2016, which includes several political and terrorist attacks in Tunisia and the region. Empirically, we investigate the true data generating process (DGP) of these two proxies of tourism activity by accounting for four statistical properties that characterize these series: (1) seasonality, (2) unit roots, (3) breaks, and (4) long memory behavior.Our empirical findings show strong evidence of stationarity, five breaks in the tourist arrival time series and spurious long memory behavior. By estimating a 3-state Markov switching model consisting of the mean, trend, and variance, we find that the Tunisian Jasmine revolution and two recent terrorist attacks, one at the Bardo National Museum on March 18, 2015 and the other at the tourist resort at Port El Kantaoui, Sousse on June 26, 2015, played an important role in influencing the tourism activity of the country. Our empirical findings show also that local shocks have a more important impact than international shocks in influencing tourism activity. Interestingly, we find that the effects of terrorist shocks have a long duration compared to political violence shocks. Several security, marketing, and economic policies have been proposed and discussed in the paper.     

The effects of anticipated goal‐inconsistent behavior on present goal choices

Prior work has examined how, in the pursuit of long‐term goals, past goal behavior influences present goal choices. Instead, the present work focuses on how anticipating future goal behavior, specifically future goal‐inconsistent behavior, influences present goal choices. For example, how anticipating overspending on an upcoming vacation influences current spending behavior. The authors propose that the effect of anticipated goal‐inconsistent behavior on present goal choice is moderated by the perceived changeability of the future behavior. When future goal‐inconsistent behavior is perceived as changeable, consumers tend to imagine it away, and it has no systematic effect on present goal choices. However, when future goal‐inconsistent behavior is perceived as unchangeable, consumers accept it as a matter of fact, and systematic effects occur. Specifically, some consumers not only fail to buffer against future goal‐inconsistent behavior's negative consequences, but tend to exacerbate those consequences by increasing their goal‐inconsistent behavior in the present. Four studies examine this surprising behavior, using an individual difference (the response‐to‐failure scale) to identify when and for whom it occurs. The studies demonstrate the role of perceived changeability using various manipulations across multiple critical goal domains such as spending, eating, and academics.     

Volatility forecasting: long memory,regime switching and heteroscedasticity

In this article, we account for the first time for long memory, regime switching and the conditional time-varying volatility of volatility (heteroscedasticity) to model and forecast market volatility using the heterogeneous autoregressive model of realized volatility (HAR-RV) and its extensions. We present several interesting and notable findings. First, existing models exhibit significant nonlinearity and clustering, which provide empirical evidence on the benefit of introducing regime switching and heteroscedasticity. Second, out-of-sample results indicate that combining regime switching and heteroscedasticity can substantially improve predictive power from a statistical viewpoint. More specifically, our proposed models generally exhibit higher forecasting accuracy. Third, these results are widely consistent across a variety of robustness tests such as different forecasting windows, forecasting models, realized measures, and stock markets. Consequently, this study sheds new light on forecasting future volatility.     

Medicaid and long‐term care: The effects of penalizing strategic asset transfers

Medicaid provides a critical source of insurance for long‐term care, and individuals may strategically offload assets (typically to children) to meet the means‐tested eligibility requirement. In this article, we quantify the extent of such behavior using variation in the penalty for improper parent‐to‐child transfers induced by the Deficit Reduction Act of 2005. We estimate difference‐in‐differences models based on the hypothesis that only individuals with high levels of nursing home risk (high risk) will alter transfers because of the Act. We find that over a 2‐year horizon, high‐risk individuals reduced transfers to children on the extensive margin by 11 percent and that the average total amount of transfers decreased by $4,860. The results hold only for coupled respondents. We also conduct a triple‐differences analysis to examine heterogeneity with financial literacy and find that even those with a low level of financial literacy responded to the penalty.     

Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration

Given that the United States is an engine of global stock market while China is the largest emerging market with a cornucopia of anomalies in particular, it is vital to investigate the risk-return relationship in the two markets. This paper brings new insights not only into risk-return tradeoff, but also to the leverage effect, with the application of the fractionally co-integrated vector auto-regression (FCVAR) model capturing the fractional cointegrated relationship and long memory property. Results show that China stock markets own the property of double long memory but the US markets don’t. Most of all, in the US market, a positive risk-return tradeoff exists for the whole sample while after the crisis, even we find the negative relation, it’s not a volatility feedback effect but low risk and high returns. However, there is only a volatility feedback effect in China stock markets. Besides, there is a leverage effect in the US market, while Chinese market exhibits a reverse one, another anomaly, indicating significant difference in the two markets again.     

DZ-1A重整预加氢催化剂的长周期工业应用

DZ-1A催化剂开车一次成功,8个月以后进行了标定,结果表明,该催化剂的加氢油各项指标达到了重整原料油要求.现在已经连续运转5α.该催化剂是一种性能优良、寿命较长的催化剂.     

构建长期激励性经营者年薪制的结构分析

经营者年薪制是西方企业普遍采用的薪酬激励制度,也是我国企业经营者薪酬制度改革的方向。设计长期激励性经营者年薪制是构建企业长期激励机制的基础,而年薪制结构是年薪制激励效果的基础。