Oil price and Gulf Corporation Council stock indices: New evidence from time-varying copula models

Using a time-varying GJR copula approach, we determine the conditional dependence of the GCC stock indices on oil price between 2007 and 2016. We show how to improve the forecasting accuracy of the co-movement of energy and stock prices in an equally weighted portfolio. Contrary to prior findings, we demonstrate that due to the different co-movements across the GCC stock indices, portfolios of oil assets and several GCC stocks are less likely to be affected by systemic risk. The different co-movements across several stock indices over time provide different entry and exit points for stock investors. This approach is in line with the ‘buy low/sell high’ adage.     

FINANCE,DISTRIBUTION AND THE ECONOMIC OBJECTIVE OF FINANCIAL COOPERATIVE INSTITUTIONS

This paper proposes a model where the structure rather than the size of the financial sector explains its influence on income distribution. Because of information asymmetries, a financial sector dominated solely by profit‐maximizing financial intermediaries will increase income and wealth inequality as it gives preferential access to credit for high‐income agents, whereas a diversified inclusive financial sector with alternative models of finance, like cooperatives, will reduce the inequality gap. No full convergence in income distribution can be realized through finance only and there is still a need for redistribution policies. Accordingly, an objective function for cooperative financial institutions should define a desired pricing behaviour that can increase the income of members at a rate higher than the average growth rate of the economy.     

基于G1法的飞行签派员资质能力评估

为了强化飞行签派员的人员资质管理,提升签派员的运行控制能力,保证民航行业持续稳定安全,结合法规和国航西南分公司运行控制中心的考核制度,从知识、技能、从业经验、专业任职资格、业绩成果及工作态度等6个方面构建了飞行签派员能力评估体系,采用G1法确定指标权重并进行综合打分,以国航"7·10"误关组件导致座舱失压后继续飞行事件为例,对评估指标进行实例验证,为航空公司评估飞行签派员资质能力提供了一套实际可用的量化指标和系统化评估方法。     

Sparse estimation of dynamic principal components for forecasting high-dimensional time series

We present the sparse estimation of one-sided dynamic principal components (ODPCs) to forecast high-dimensional time series. The forecast can be made directly with the ODPCs or by using them as estimates of the factors in a generalized dynamic factor model. It is shown that a large reduction in the number of parameters estimated for the ODPCs can be achieved without affecting their forecasting performance.     

基于库存理论的铁路始发直达运输产品设计

将库存理论运用到铁路始发直达运输产品设计,能够有效实现运输服务组织成本与库存成本的有机统一。为实现库存成本在铁路始发直达运输中的加载,在考虑周期非完整情况下的库存成本的同时,将铁路运输和库存成本纳入同一目标函数,在装卸车地库存能力约束下,构建基于库存理论的铁路始发直达运输产品设计模型,确定成本最小的铁路始发直达运输产品设计方案。以赤峰地区至山东省煤炭运输网络为例,设计方案有效降低了成本,有助于吸引客户选择铁路运输,以及辅助铁路运营单位研究调整始发直达运输产品方案。     

Does bond market development enhance the banking sector’s efficiency in resource allocation? Industry-level evidence from Korea

Korea’s financial system used to be bank-based, with banks playing the leading role in financing corporations. As highlighted by Park et al. (2019), however, bond markets have developed rapidly in Korea and other Asian countries. The corporate bond market competes with banks as a source of finance for large borrowers. As such, bond markets may affect banking sector operation, a process known as disintermediation. In this paper, we examine whether bond market development improves the efficiency of resource allocation in Korean bank lending. We propose two channels through which bond market development affects the efficiency of bank lending. Since the two channels have opposing effects on the efficiency of banking, the issue must be settled by empirical analysis. We find that bank loans are much less efficient than bond financing in allocating resources across industries. Furthermore, banks are particularly inefficient in resource allocation in industries that rely more on bond financing. This suggests that competition from bond financing does not improve allocative efficiency of bank loans.     

海南城乡居民消费水平差异性分析和预测

从1985-2018年海南城乡居民收入、消费数据出发，分别建立消费关于收入、消费差距关于收入差距的自回归模型，结果表明农村居民当期消费更易受近期收入和消费水平的影响，具有不稳定性。再利用GM(1,1)模型预测城乡居民收入差距，结合自回归模型，完成未来10年海南城乡消费差距的预测：收入差距和消费差距将呈直线递增趋势，收入差距的增幅高于消费差距增幅。缩小海南城乡居民消费差距的根本途径在于缩小收入差距，应因地制宜，切实提高农民收入水平。     

Optimal granularity for portfolio choice

Many optimization-based portfolio rules fail to beat the simple 1/N rule out-of-sample because of parameter uncertainty. In this paper we suggest a grouping strategy in which we first form groups of equally weighted stocks and then optimize over the resulting groups only. This strategy aims at balancing the trade-off between the benefits from optimization and the losses from estimation risk. We rely on Monte-Carlo simulations to illustrate the performance of the strategy, and we derive the optimal group size for a simplified setup. Furthermore, we show that estimation risk also has an impact via the criterion by which the assets are sorted into groups (like the expected excess returns or betas), but does not negate the grouping approach. We relate our work to linear asset pricing models, and we conduct out of sample back-tests in order to confirm the validity of our grouping strategy empirically.     

Inequalities of opportunity in the access and use of telecommunication services in Togo

The liberalization of the telecommunications sector in Togo aimed at ensuring access to a better quality of telecommunication services at affordable prices to everyone. While the liberalization policy has increased competition in the sector and reduced significantly telecommunication services prices charged to costumers, statistics on the access and use of telecommunication services in Togo reveal disparities with respect to individuals' socio-economic characteristics which could be an indication of the existence of inequalities of opportunities in the access and use of these services.This paper investigates the inequalities of opportunity in the access and use of telecommunication services in Togo using a parametric approach. The results of estimations indicate that, inequalities of opportunities are larger for men and the elderly than respectively women and youths and are more pronounced in urban areas and regions such as the Plateaux and Savanna regions. Moreover, the circumstance variables such as the ‘place of residence’ and the ‘region’ are the key variables in explaining the inequalities of opportunities in the access and use of telecommunication services in Togo. So, policies toward reducing inequalities of opportunity in the access and use of telecommunication services in Togo should be designed with regards to men, the elderly, and people living in urban areas and regions such as the Plateaux and Savanna regions.