发达国家央行拉开加息序幕

2011年初以来,由于石油等国际大宗商品价格大幅上升,发达国家的通货膨胀压力日益增大。文章在依次分析欧洲、英国、美国的经济与通胀发展形势乃至其货币政策决策者观点后指出,欧洲中央银行加息拉开了发达国家央行加息的序幕,预计年内欧央行还可能加息;英格兰银行将视经济情况决定年内加息时机;美联储在退出量化宽松货币政策后,可能于今年底或明年初提高美元基准利率。     

Early warning systems and systemic banking crises in low income countries: A multinomial logit approach

This paper estimates an early warning system (EWS) for predicting systemic banking crises in a sample of low income countries in Sub-Saharan Africa. Since the average duration of crises in this sample of countries is longer than one year, the predictive performance of standard binomial logit models is likely to be hampered by the so-called crisis duration bias. The bias arises from the decision to either treat crisis years after the onset of a crisis as non-crisis years or remove them altogether from the model. To overcome this potential drawback, we propose a multinomial logit approach, which is shown to improve the predictive power of our EWS compared to the binomial logit model. Our results suggest that crisis events in low income countries are associated with low economic growth, drying up of banking system liquidity and widening of foreign exchange net open positions.     

Testing the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal unit root test

We investigate the dynamic behavior and seasonal property (with regime shift) of inflation in the Middle East and North Africa (MENA) countries. Our investigation uses the quantile regression approach developed by Koenker and Xiao (2004) and the newly developed seasonal unit root test of Narayan and Popp (2011) respectively. Our empirical results show that the inflation rates are not mean-reverting, and they show the asymmetries in their dynamic adjustment. Further, we find a seasonal unit root does not exist in the inflation rate for any country in this study. This finding implies that shocks do not have lasting effects on the inflation rate.     

A minimum variance benchmark to measure the performance of pension funds in Mexico

We propose the use of the minimum variance portfolio as weighting method in a strategy benchmark for pension funds performance in Mexico. By performing three discrete event simulations with daily data from January 2002 to May 2013, we test this benchmark's weighting method against the Max Sharpe ratio one and a linear combination of both benchmarks (minimum variance and Max Sharpe). With the Sharpe ratio, the Jensen's alpha significance test and the Huberman and Kandel’ (1987) spanning test, we found that the three benchmarks have a statistically equal performance. By using Bailey's (1992) risk exposure, market representativeness and turnover benchmark quality criteria, we found that the min variance is preferable for the publicly traded Mexican defined contribution pension funds.     

An empirical examination of the impact of the Sarbanes Oxley Act in the reduction of pension expense manipulation

Since the Sarbanes Oxley Act of 2002 (SOX) attempts to make managers more accountable for the fair presentation of reported earnings in their financial statements, we expect managers to manipulate pension expense less during the three years after the passage of SOX than during the three years preceding the passage of SOX. Our results reveal that for smoothing firms the magnitude of pension expense manipulation during the three years after the passage of SOX on average increases instead of decreases. On the other hand, for benchmark firms the magnitude of pension expense manipulation during the three years after the passage of SOX on average decreases as expected. This research provides mixed evidence concerning the effectiveness of SOX in making financial statement reporting more transparent and representative of actual financial position, in the area of pension expense.     

发达国家中央银行职能的理论与实践探讨

金融危机以来,主要发达国家的中央银行持续实施量化宽松政策,这在一定程度上模糊了货币政策与财政政策的界限,引起经济学界关于中央银行独立性问题的讨论。文章分析了中央银行独立性的概念和理论,回顾了主要发达国家量化宽松政策的实施过程,指出随着世界经济的逐步恢复与量化宽松政策的逐步退出,理顺政府与中央银行关系、强化中央银行的独立性对于保持经济长期稳定增长具有重要意义。     

Achieving smooth asymptotics for the prices of European options in binomial trees

A new binomial approximation to the Black–Scholes model is introduced. It is shown that, for digital options and vanilla European call and put options, a complete asymptotic expansion of the error in powers of n ^?1 exists. This is the first binomial tree for which an asymptotic expansion has been shown to exist.     

Determinants of capital budgeting methods and hurdle rates in Nordic firms

We study the determinants for the choice of capital budgeting methods and the setting of hurdle rates (WACCs) in five Nordic countries. Combining survey data with a rich set of determinants, including ownership data, CFO characteristics, and financial data, we find that the use of the Net Present Value method and the sophistication of the capital budgeting are related to firm characteristics, variables proxying for real option features in investments and CFO characteristics (age and education). We also find support for significantly higher hurdle rates than motivated by economic theory. The premium is weakly positively related to managerial short‐term pressure and strongly negatively related to the sophistication level of the firm’s capital budgeting.     

ISO system implementation in small and medium companies from new EU member countries: A tool of managerial and marketing benefits development

The article analyses processes of ISO quality system implementation in small and medium size companies in the new EU member countries. Being a managerial standard by its definition, ISO is important for companies not only in improving their management system an upgrading/sustaining quality of the output. As an internationally recognised and certificated system, ISO plays a significant role in developing international partnerships and developing overall competitiveness of enterprises. This is especially important for SMEs from new EU member-states, since they are relatively unknown to their international counterparts. Having a certified ISO system, such enterprises can speed-up development of partnerships and joining of international supply chains. This strongly influences motivations of ISO system implementation.On the basis of data that covers 8 years period in three countries, author argues that motivations to implement ISO system significantly differ from the benefits that are experienced after its implementation. Marketing and sales arguments play role of the main motivators before ISO system implementation, while managerial benefits are mainly stated as the most important after the system is implemented. The change of opinions is generated by the SME managers’ personal experience, which fills the gap between expectations and realities.     

监管引领银行业着力提升服务实体经济质量和水平

近年来吉林省银行业金融机构加快改革发展,不断完善体制机制、提升服务水平,从而有力地支持和促进了全省经济持续健康发展。2012年,是＂十二五＂规划实施承上启下的重要一年。在新的形势下,应准确把握监管政策导向,引领银行业更加注重服务实体经济发展,努力提升银行业服务实体经济的质量和水平。     

How to classify failures when collecting data for safety-instrumented systems in the oil and gas industry

The oil and gas industry places a high value on achieving high reliability and availability on safety critical equipment. To achieve this, assessments of the reliability performances of such equipment are required, both before and during the production phase. The fact that the reliability data available to support the assessments is often sparse or insufficiently detailed presents a challenge. These assessments also typically require insights into the system in which the equipment is used and information about failure detection. However, this ensemble information is often difficult to achieve in the way the data are collected today. As a response to this challenge, one suggested option is to collect reliability data using one acknowledged failure mode classification specifically designed to assess the reliability of safety-instrumented systems. This is a classification adopted from the International Electrotechnical Commission standard 61508. In this article, we discuss the pros and cons of adopting this failure mode classification in generic reliability data collection in the oil and gas industry. One argument discussed is that the data may lack relevant information about the associated safety system and thus be valid for a specific system only, not for generic equipment and systems in general. Hence, should the classification be implemented, the collected data should be used with care.     

Performance measurement systems in higher education: How levers of control reveal the ambiguities of reforms

This paper focuses on the introduction of new performance measurement system (PMS) for measuring teaching performance in Universities. The adoption of such PMS should prompt significant changes in existing control processes, but the goals of reform do not automatically translate into the desired organisational responses. Given the impact of PMS on management controls, the nature of such ambiguities may be better investigated using a framework that allows management control systems (MCS) to be taken in account. This paper investigates key actors' perceptions regarding the introduction of PMS through the lens of the levers of control (Simons, 1995, 2000). A qualitative analysis is conducted on interviews held with Italian university teaching managers and heads of programmes to examine the ambiguities arising from the implementation of a PMS.Several ambiguities emerge, both within and between the levers analysed, suggesting some reasons for the (partial) ineffectiveness of PMS reforms. In particular, the belief systems lever is crucial in making reforms acceptable, bureaucratic procedures are important in the diagnostic control systems lever, and performance indicators operate as a boundary system lever. Our findings show that administrative and academic actors perceive the interactive control capacity of PMS differently.     

Using qualitative types of risk assessments in conjunction with FRAM to strengthen the resilience of systems

Abstract

In this paper, we look into how some qualitative types of risk assessments can be used in conjunction with functional resonance analysis method (FRAM) to strengthen the resilience of systems. In FRAM, variation in relation to meeting specified functions is central, but risk and uncertainty considerations are not an integral part. We suggest to add to FRAM an assessment of the modelling choices and judgements using strength of knowledge considerations and a qualitative sensitivity analysis. In this way, an improved basis for assessing and strengthening system resilience with FRAM is established. We illustrate the idea with a simple example from the oil and gas industry.     

Valuing the project: a knowledge-action response to network governance in collaborative research

The delegation of research to self-directed networks is a relatively new strategy to focus academic endeavour on public priorities. Networks involve policy-makers, knowledge producers and knowledge users in unfamiliar governance and management relationships. Here we reflect, as practitioners, on research networks as complex governance systems and on their projects as knowledge-action systems designed to deliver public value. Projects represent the currency in which delegated research is issued, but their conversion into monetary grants and awards diverts attention from their potential as boundary organizations or communities of practice in the production of societal knowledge and understanding. Recognizing and supporting projects as scalable components of enduring knowledge-action systems, rather than as transient instances of research funding, is key to sustaining delivery of public value under conditions of network governance.