Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach

This paper uses a spatial econometrics approach to study the industry risks in China’s stock market. We comprehensively consider the real linkage and information risk transmission channels and analyze the risk spillovers of specific determinants. Our empirical results show the following: 1) The real linkage channel and information channel are both effective transmission channels for driving spillover effects, and the information channel is of the utmost importance. 2) The spillover effects of specific determinants exist and are persistent. The superposition of spillover effects may lead to extreme risk. 3) The transmission channels and spillover effects are asymmetric in different regimes.     

Patterns of poverty among elderly Americans: a latent class Markov model

This article studies poverty persistence and the role of social security programmes on poverty among elderly in the US. We use a Latent Markov model to disentangle unobserved heterogeneity and state dependence. Because of its dynamic nature, unobserved heterogeneity is modelled to vary over time. This allows to capture different latent states of poverty that change over time. Result indicates the existence of three unobserved types evolving over time according to their propensity to be poor. Moreover, a strong persistence in poverty especially for women, individuals living alone and ethnic minorities is found. Finally, the estimates indicate that giving social assistance tends to reduce poverty.     

Insurance activity,real output,and geopolitical risk: Fresh evidence from BRICS

This paper fills some empirical gaps by evaluating the causal associations among insurance premiums, real output, and geopolitical risk in BRICS (Brazil, Russia, India, China, South Africa) from 1985 to 2017. We utilize a newly-developed Granger-causality quantile analysis to assess the causal relationships among the series under consideration in each distribution quantile. Our empirical results reveal unidirectional causality that runs from real output and geopolitical risk to insurance activities in Brazil and South Africa. We also observe bi-directional lower-tail causality among real output, insurance premiums, and geopolitical risk in Russia. Findings also present bi-directional causality among real output, insurance premiums, and geopolitical risk at different quantiles. Knowledge of these causal relationships can prevent governments from conducting a ‘one-size-fits-all’ policy.     

The long-run reversal in the long run: Insights from two centuries of international equity returns

We perform the most comprehensive test of long-term reversal in national equity indices ever done. Having examined data from 71 countries for the years 1830 through 2019, we demonstrate a strong reversal pattern: the past long-term return negatively predicts future performance. The phenomenon is not subsumed by other established cross-sectional return patterns, including the value effect. The long-term reversal is robust to many considerations but highly unstable through time. Finally, our findings support the overreaction explanation of this anomaly.     

Assessing the contribution of artisanal fisheries to food security: A bio-economic modeling approach

Artisanal fisheries are an important food source in many developing regions. Quantitative bio-economic models are needed that comprehensively assess artisanal fisheries’ contribution to food security. Our model combines standard resource economics theory with the literature on food systems. It explains impacts of environmental variations and market development on output, prices and ultimately food security. The application to the Senegalese purse-seine fishery reveals that total sector rents account for 2% of per capita yearly food expenditures for the coastal inhabitants. We examine the relative importance of main drivers and the vulnerability of different regions. Market development plays a crucial role: The resource is of far greater relevance for remote regions.     

跨国并购执行阶段财务风险研究

改革开放以来,中国经济持续高速增长,国内市场逐步开放,国家对“一带一路”的推进也使越来越多的企业试图通过海外并购的方式扩大其国际市场份额,以此提高企业竞争力。但即便有国家政策的支持,想要完成海外并购依旧是困难重重,因此,系统分析所存在的财务风险并加以控制变成重中之重。论文对跨国并购现状进行概述,随后重点分析在执行阶段所存在的几点财务风险,并提出相应的防范建议。     

Estimating yield curves of the U.S. Treasury securities: An interpolation approach

Following the approach of interpolation, this paper proposes the multiple exponential decay model to fit yield curves for both the U.S. TIPS market and the conventional Treasury security market. Several estimation methods, including the unconstrained/constrained nonlinear minimization, quadratic programming, and the iterative linear least squares, are applied to estimate the unknown parameters according to different curve‐fitting purposes. Comparisons between the proposed model and the alternatives show that the multiple exponential decay successfully (1) adapts to a variety of shapes associated with yield curves, (2) (partially) keeps in line with the economic interpretations of Nelson–Siegel summarized by Diebold and Li ( 2006 ), and (3) dominates the competing models in curve‐fitting performance measured by mean fitted‐price errors over the sample period. In addition, the exact specification of a nonparametric interpolation model is pinned down by applying three statistical tools, which enable us to jointly take into account validity, optimality, and parsimoniousness of the proposed model.     

Optimal social security tax with myopic agents

Myopic agents lack the foresight to save for their own old age. It is generally believed that correcting myopia is a rationale for a pay-as-you-go (PAYG) pension system. This view has been supported by existing literature showing that the optimal PAYG social security tax should increase when people are more myopic. In this paper we obtain new results opposed to the traditional view. By establishing a very standard general equilibrium OLG model with myopic agents and endogenized marginal product of capital, we show that the optimal social security tax should be lower when people are more myopic. Our numerical analysis also shows that the welfare cost of the social security tax increases with people's degree of myopia. These results suggest that correcting myopia is not a clear rationale for the PAYG social security.     

粮食安全与农业结构调整水平的协整分析*——以广东省为例

[目的]实现我国粮食安全与农业结构调整之间(即粮食增产和农民增收)关系的协调,较长时间以来是学界、政界关注的重要议题,但定量分析两者之间内在依存关系的研究一直欠缺。[方法]文章采用协整分析及Granger因果关系检验方法,以广东为例,对我国粮食安全(用粮食总产量来衡量)与农业结构调整水平之间的协整性及因果关系进行了研究。[结果]广东粮食总产量与反映农业结构调整水平的3个指标之间均存在长期均衡关系,且农作物播种面积中粮食作物面积对广东粮食总产量影响最大,每下降1%,粮食总产量下降0. 659 548%。短期内,反映农业结构调整水平的3个指标对广东粮食总产量的影响均存在波动,但由短期偏离拉向长期均衡的牵动作用均较弱。Granger因果关系检验表明农业在国民经济中的比重、农作物播种面积中粮食作物面积早期对广东粮食总产量产生单向影响,但影响程度相对较弱。[结论]提出应从农业结构调整以外的因素着手提高我国粮食安全水平,并通过调整农业区域结构去缓解我国粮食供求市场的结构性矛盾。     

Matching food security and malnutrition indicators: evidence from Southeast Asia

This article aims to understand the relation between household food security and individual undernutrition. The multitude of indicators available raises the question which aspects of food security are captured by the respective indicator. In our analysis, we first assess the relation between the dimensions of food security and households’ socioeconomic characteristics. Second, we examine whether household indicators detect undernutrition in children. Finally, we investigate the role of individual‐specific characteristics for child undernutrition. The analysis is based on a novel data set of 1,200 rural households from Cambodia and Lao PDR, which combines household‐ and individual‐level data. We capture household food security by three indicators including a dietary diversity score, a consumption behavior measure, and an experiential measure. Individual nutrition status is measured via anthropometric indicators. Our results show that different household‐level indicators capture fundamentally different aspects of food security. Moreover, household food security fails to explain stunting for children under five. Dietary diversity indicators, however, explain underweight in children to a small extent. We call for more research on intrahousehold allocation of food and stress the implications of our research for the design and targeting of food and nutrition support programs.