我国商品市场景气转折点的分析与预测

1999年以来我国商品市场已经经历了三轮景气波动,目前正处于第三次景气波动的上升期.通过VAR模型对商品市场先行合成指数、一致合成指数、先行扩散指数以及一致扩散指数的预测,结合各指标的数据特征分析,可以判断2008年上半年我国商品市场仍保持快速发展,这一轮景气波动的波峰在2008年6月左右到来,并于2009年8月左右完成该轮景气周期.     

道琼斯瑞银商品指数研究及对我国的启示

以商品价格为基础的商品指数在国际上已有50多年的历史,在这半个多世纪当中,商品指数无论在商品市场中还是在对宏观经济的分析中都扮演了极其重要的角色。尤其是进入20世纪90年代,随着全球经济、金融一体化程度的不断提高,为满足各类期货交易商套保和投机的需要,商品指数更是进入了一个蓬勃发展的新阶段。作为国际商品指数的代表,道琼斯瑞银商品指数不仅跟踪资金量巨大,而且其权重的设计和商品的选择颇具特色。为了完善和推动我国商品指数及其相关衍生产品的发展,本文对道琼斯瑞银商品指数的基本架构、编制方法、衍生产品等进行了详细的研究,并提出对我国商品指数的启示。     

全球股市、汇市、商品市场联动性研究

本文分析了以下变量之间的联动性关系：1、道琼斯指数、上证指数、恒生指数之间的联动性;2、美元指数与大宗商品、黄金价格之间的联动性;3、美元指数与道琼斯指数的联动性;4、股市与大宗商品市场之间的联动性。在此基础上,研究了不同市场变化的先后关系,并根据目前的形势对相关市场的未来走势作出预测。     

国际商品市场与股票市场的溢出效应——基于中美数据的VAR-MGARCH分析

基于VAR-MGARCH-BEKK模型,对国际商品市场与中美股票市场之间的均值与波动溢出效应进行了经验分析。结果表明,国际商品市场与中美股票市场之间存在着相互的均值溢出效应,国际商品市场对中美股票市场存在波动溢出效应,同时,美国股票市场对国际商品市场存在波动溢出效应;另外,中国应该尽快编制科学合理并适合自身国情的商品指数。     

全球股市、汇市、商品市场联动性研究

本文分析了以下变量之问的联动性关系:1、道琼斯指数、上证指数,恒生指数之间的联动性;2、美元指数与大宗商品、黄金价格之间的联动性;3、美元指数与道琼斯指数的联动性;4、股市与大宗商品市场之间的联动性.在此基础上,研究了不同市场变化的先后关系,并根据目前的形势对相关市场的未来走势作出预测.     

商品指数基金资金规模谜团破解

自2002年以来,全球大宗商品市场风生水起,尤其是国际原油价格从$20／桶攀升至峰值$147／桶;但自2008年年中以来,各类品种价格又大幅连续跳水,仅仅几个月时间价格便已回归至4年前的水平。大宗商品价格如此诡异走势的背后潜藏着美元汇率问题、国际经济形势演绎、全球通胀压力变化以及世界对于发展中国家基本商品需求的过分炒作等因素,但国际商品指数基金也推波助澜地强化了商品市场的整体走势。但由于商品指数基金缺乏相关披露机制,大众很难获得他们的参与资金数据,而这些数据对于我们分析商品走势又极具启发意义。有鉴于此,本文尝试给出一个破解商品指数基金资金规模的通用办法。     

基于货币流动的商品投资策略分析

在货币发行的快速增长的背景下,新增货币量往往在短期内聚集在某些商品上,经过对物价指数的分解分析,新增货币主要流向房地产市场.在长期中,增发货币会导致所有商品价格上涨.因此,除房地产外的商品投资将是抵御通胀的投资方向.本文经过对现货、中远期、期货和商品市场指数这四种商品投资方式的比较分析,认为中远期市场是最妥当的抵御货币...     

我国外汇占款对CPI影响的实证分析

本文主要针对外汇占款的变化所引起的CPI指数的变化进行研究。通过研究外汇占款变化引起的商品市场上交易货币量变化,货币市场上利率的变化,资本市场上证券价格的变化,对CPI指数的影响。另外通过分析外汇占款变化引起的广义货币量的变化对CPI影响进行分析。并分析影响CPI上涨的因素,建立模型进行量化分析,并对应该如何解决这一问题提出建议。     

我国省际货币存量指数（1979--2009）的比较研究

本文设计了＂货币存量指数（DBI指数）＂,对我国各省份货币的相对多寡进行了对比分析,发现省际之间DBI指数差异很大。笔者认为,这种差异从性质上讲是市场运行的结果,是随着我国这么多年货币化、市场化以及市场一体化程度不断提高,价格信号引导、市场竞争机制不断强化,供求互动、产业发展、商品在全国范围内流动以及生产要素在全国范围内配置的结果,这个结果最终统计显现在存量货币的空间结构上,它的主要影响因素是贷款派生、商品和劳务输出、国外省外资金流入、产业结构、省域价格水平、货币流通速度等等。     

我国商品期货价格指数编制方法的现状与国际比较研究

文章选取了国内外商品指数最新的编制方案,分析了我国商品期货价格指数编制方法的现状,然后在分析国外著名商品价格指数编制的基础上,从指数的编制目的和原则、商品选择、权重设计和比较、合约选择比较、指数计算五个方面,综合比较国内外商品价格指数编制方法的区别,借鉴国外商品指数的编制经验,提出了相关结论及改进期货指数编制的建议.文...     

Bayesian Premium Rating with Latent Structure

We propose a fully Bayesian approach to non-life risk premium rating, based on hierarchical models with latent variables for both claim frequency and claim size. Inference is based on the joint posterior distribution and is performed by Markov Chain Monte Carlo. Rather than plug-in point estimates of all unknown parameters, we take into account all sources of uncertainty simultaneously when the model is used to predict claims and estimate risk premiums. Several models are fitted to both a simulated dataset and a small portfolio regarding theft from cars. We show that interaction among latent variables can improve predictions significantly. We also investigate when interaction is not necessary. We compare our results with those obtained under a standard generalized linear model and show through numerical simulation that geographically located and spatially interacting latent variables can successfully compensate for missing covariates. However, when applied to the real portfolio data, the proposed models are not better than standard models due to the lack of spatial structure in the data.     

The deliberation around accounting techniques: accounting for depreciation and foreign exchange in an Indian jute company, 1870-1900

This paper examines the way two accounting techniques, namely depreciation and foreign exchange, were deliberated on, between 1870 and 1900, in an Indian jute company whose shareholders resided in the UK. The arena for these deliberations was the conflictual relationship between controlling and non-controlling shareholders as to how best to account for depreciation and foreign exchange especially when the particular accountings affected distributional issues such as the dividend decision. The purpose of this paper is to analyse and explain the processes by which a company's accounting practices emerge and develop as a contest between different interests. Accounting framed the parameters of the deliberations and provided the language of power and dissent. The paper uses a rich archive that includes narrative and accounting material.     

Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility

We introduce an expected utility approach to price insurance risks in a dynamic financial market setting. The valuation method is based on comparing the maximal expected utility functions with and without incorporating the insurance product, as in the classical principle of equivalent utility. The pricing mechanism relies heavily on risk preferences and yields two reservation prices - one each for the underwriter and buyer of the contract. The framework is rather general and applies to a number of applications that we extensively analyze.     

International harmonization of Japanese accounting standards

Historically, Japanese accounting standards have been quite distinct from International Accounting Standards (IASs) which have been perceived as being modelled on British-American accounting standards. However, in the 1990s, after the publication of E32 in 1989 and the IASC-IOSCO Agreement in 1995, the Business Accounting Deliberation Committee (BADC), the standards-setting body in Japan, has pursued a policy of harmonization with IASs. Accounting standards relating to consolidated financial statements of companies that make cross-border offerings of securities or operate worldwide are being revised drastically. This paper focuses on the development of international accounting harmonization and its impact on Japan.     

Commodity financialization and sector ETFs: Evidence from crude oil futures

We investigate the diversification benefits of energy assets in the setting of commodity financialization using data on crude oil futures and Sector ETFs (SPDRs). Correlations between commodities and financial assets increased during the post-Commodity Futures Modernization Act (CFMA)/commodity bull cycle period, resulting in lower benefits of diversification. However, we find that conditional correlations between crude oil futures and sector ETFs meaningfully increased only since the 2008–09 financial crisis. The results therefore suggest that the financial crisis, rather than CFMA regulation, explains changes in the diversification benefits of commodities. Moreover, we find that oil futures returns are less correlated with SPDRs than with the S&P index. Thus, energy futures, and crude oil in particular, offer the potential for diversification benefits in sector-style investing.     

Multiple Dimensions of Accounting in the Development of GAAP

The phrase 'accepted accounting principles' underlying financial statements is a forerunner of today's accounting standards. Here, it is argued that history shows that the term 'principles' is often most vague in debates on the development of those standards. The reasons for and consequences of that vague use are varied and complex. This article provides insights not highlighted in earlier analyses of the periods reviewed. While debates like the rule- versus principle-based standards are set up as two-dimensional, the many dimensions of accounting often allow argument to be easily diverted. The debate/argument thus remains unresolved. For progress to be achieved in the establishment of accounting standards the many dimensions of accounting must be acknowledged and attempts to divert debate minimized. Those with a stake in the development of accounting standards need to consider the total scene of the related accounting. In a particular debate, dimensions under scrutiny must be stated, with any others in that total scene being acknowledged even if kept constant.     

Life Insurance Policies with Statistical Heterogeneous Population

In the paper we consider an endowment insurance contract with a twelve months maturation time. Using the majorization order and Schur-convex functions we derive upper and lower bounds of the premium, the death and survival benefits for a hetrogeneous population of insureds. The bounds are obtained for the exponential, Balducci, and linear approximations.     

＂Differences＂are the Biggest Obstacle

China has the greatest numbers of both teachers and students worldwide ,who teach and learn English. Therefore ,to analyze the obstacles of learning English for Chinese is necessary. This article gives the idea of differences between Chinese and English mainly in languages and cultures fields. Through these we can see clearly that ＂differences＂ are the biggest obstacle in language learning.     

Aims and Scope

正The focus of the China Journal of Accounting Research is to publish theoretical and empirical research papers that use contemporary research methodologies to investigate issues about accounting,finance,auditing and corporate governance in China.the Greater China region and other emerging markets.The Journal also publishes insightful commentaries about     

英美“新批评”文论的重新审视

新批评是一个在二十世纪影响重大的文学批评流派,它与形式主义、结构主义文论,一起支撑起文本批评的理论与实践基石。但历来人们对其评价都多少有些偏颇,本文力图更客观地审视其理论。本文也初步得出新批评与形式主义在理论根基上的相异之点。