Modelling dynamic storage function in commodity markets: Theory and evidence

In this work, we derive a model to investigate the optimal storage policy in metal commodity markets. From an inter-temporal setting, we carry out a criterion driving the stockholding decisions based on Tobin's q rule in which marginal benefits from holding inventories can be compared with marginal storage costs.We estimate the model for the world copper market by taking into account both spot price and convenience yield equations. In our sample, the estimated models are statistically robust and economically coherent with the theory, even though the patterns of the inventory accumulation process show high sensitivity to the uncertainty about worldwide economic conditions.     

中国大陆物流经济联系空间结构实证分析

区域经济联系的强度和方式主要由物流流量大小及其空间结构综合反映。物流经济联系是指区域间通过交通运输设施、通讯设备等物流基础设施，进行物质交流产生的相互联系与作用关系。以全国31个省区(不包括港、澳、台)作为地域研究单元，从实证的角度，通过各省区物流经济联系的基础设施、发展水平的等级差异测度，分析物流经济联系强度大小的省区差异；通过各省区物流经济联系主导类型的定量分析，反映物流经济联系方式的省区差异；通过省区物流中心城市、主要物流联系通道、区际货流联系范围的空间结构特征定量分析，综合反映区域物流经济联系的点、线、面空间特征。     

中国期权市场运作规则的制定与验证研究

笔者以郑商所期权核心规则制定和期权模拟测试结果为例进行分析。介绍中国期权市场运作研究项目背景,研究期权市场的重要功能、期权市场与期货市场关系,探讨中国期权上市的可行性以及如何进一步做好期权上市准备工作、加快上市步伐等实际运作问题。     

Commodity price cycles and heterogeneous speculators: a STAR–GARCH model

We propose an empirical commodity market model with heterogeneous speculators. While the power of trend-extrapolating chartists is constant over time, the symmetric impact of stabilizing fundamentalists adjusts endogenously according to market circumstances: Using monthly data for various commodities such as cotton, sugar or zinc, our STAR–GARCH model indicates that their influence positively depends on the distance between the commodity price and its long-run equilibrium value. Fundamentalists seem to become more and more convinced that mean reversion will set in as the mispricing enlarges. Commodity price cycles may thus emerge due to the nonlinear interplay between different trader types. The paper represents the authors’ personal opinion and does not necessarily reflect the views of the Deutsche Bundesbank.     

家用汽车需求预测

本文首先用定性预测方法分析了家用汽车需求的主要影响因素，论证了其平稳增长的特性。然后用定量预测方法，在灰色系统模型等单一预测模型的基础上，引入了组合预测模型，通过使组合预测误差平方和最小，得到了各个单一预测方法的权重系数，建立了最优组合预测模型。对预测结果进行对比分析，验证了最优组合预测方法的准确性。最后运用所建立的最优组合预测模型对家用汽车在最近几年的需求量进行了预测。     

无形资产价值评估中的实物期权方法

无形资产是企业资产的重要组成部分,它在一定程度上代表着企业的竞争实力。无形资产的价值评估是无形资产转让过程中的核心问题,现行无形资产价值评估方法大多仅考虑无形资产的重置成本现值和未来收益现值,而忽视未来投资时机的最优选择问题。实物期权方法是对传统的无形资产价值评估方法的有益补充和完善。本文介绍了典型的实物期权模型以及运用实物期权进行无形资产价值评估的方法,分析了这些方法的利弊。在此基础上给出了一种简便的运用实物期权理论进行无形资产价值评估的方法,期望能为无形资产价值评估提供一种新的思路和方法。     

中国经济改革的经验与启示

中国经济改革最根本的经验就是发展社会主义市场经济,社会主义基本经济制度与市场经济相结合,实现国有经济的市场化与发挥国有经济的主导作用相结合,国家的宏观调控与市场机制的基础作用相结合,提高效率与促进公平相结合,坚持独立自主同参与经济全球化相结合,坚持公共部门的公益性与利用市场运作相结合。中国经济学的建设与发展要坚持以马克思主义为指导,建设具有中国特色的经济学理论,走自主发展的道路。     

Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets

This study examines dynamic linkages between exchange rates and stock prices for seven East Asian countries, including Hong Kong, Japan, Korea, Malaysia, Singapore, Taiwan, and Thailand, for the period January 1988 to October 1998. Our empirical results show a significant causal relation from exchange rates to stock prices for Hong Kong, Japan, Malaysia, and Thailand before the 1997 Asian financial crisis. We also find a causal relation from the equity market to the foreign exchange market for Hong Kong, Korea, and Singapore. Further, while no country shows a significant causality from stock prices to exchange rates during the Asian crisis, a causal relation from exchange rates to stock prices is found for all countries except Malaysia. Our findings are robust with respect to various testing methods used, including Granger causality tests, a variance decomposition analysis, and an impulse response analysis. Our findings also indicate that the linkages vary across economies with respect to exchange rate regimes, the trade size, the degree of capital control, and the size of equity market.     

经济结构转型升级路径下的增长分析

可持续增长是对现实中经济增长的挑战,这表明经济增长受到众多因素的制约,对某地区增长模型的分析佐证了这一认识。经济结构升级换代是区域可持续增长的关键。新古典理论通过外生的技术进步来解释可持续增长;内生增长理论认为,内生的技术进步使资本边际收益不变,从而投资导致经济长期增长。两种理论都认为,技术进步是区域经济可持续增长的"原动力"。     

Exchange market pressure and primary commodity – exporting emerging markets

This paper studies short-term sensitivity between exchange market pressure and various domestic and external factors in primary commodity-exporting emerging markets. The paper focuses on the top country-commodity groups in sugar, cereal, fuels, ores and coffee during the pre-peak and post-peak commodity price periods across floating and pegged exchange rate regimes, using the price of crude oil as a general benchmark. Employing a panel model and panel VAR analysis, the paper finds the heterogeneity of response patterns unique to country-commodity groups and exchange rate regimes. According to the results, in flexible regimes, volatility occurs via the foreign exchange market, interest rates, and domestic credit cycles, feeding into the social costs for structurally weaker economies. Hard exchange-rate pegs often result in a drain on international reserves as the terms of trade deteriorate following post-price peaks, leading to unpopular depreciation. These results accentuate concerns over uneven international trade patterns, an open economy’s short-term foreign exchange policy, and speculative capital flows. Such sensitivity has broad implications for macroeconomic balance and the sustainability of implied exchange rate targets in the presence of a foreign exchange constraint across emerging markets.     

Bad volatility is not always bad: evidence from the commodity markets

ABSTRACT

Using exchange-traded fund (ETF) options data, we examine the predictive power of variance risk premium on returns of four commodities: crude oil, natural gas, gold and silver. We also analyze the predictive power of upside and downside variance risk premiums using a decomposition model conditional on the direction of the underlying market movement. We find that both the undecomposed and decomposed variance risk premiums are able to predict commodity prices. The decomposed variance risk premiums, however, outperform the undecomposed premium. The importance of upside and downside variance risk premiums differs across markets, related to hedging demand. In energy markets, both upside and downside premiums have strong predictive power, while in precious metal markets, only the upside premium is predictive.     

期权定价理论在风险投资决策中的应用探析

鉴于风险投资决策传统方法的局限性及风险投资的期权特性,根据金融期权的定价方法,引出实物期权的定价公式。通过计算风险投资项目中实物期权的价值,比较分析NPV法与实物期权定价法的差异,可得出在风险投资中引入实物期权的思想,对风险投资者作出正确的投资决策,以及对风险资本的保值增值有重大的指导意义。     

Volatility transmission between stock and foreign exchange markets: a connectedness analysis

ABSTRACT

This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to May 2018. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.     

运用梯度理论研究大连地区经济发展对策

文章论述了大连地区经济发展研究的意义,并且运用梯度理论、层次分析法等对大连地区进行经济梯度划分。在此基础上,就各等级地区提出了具体的发展战略和对策。     

An options-based approach to forecast competing bids: evidence for Canadian takeover battles

During takeover battles, a tender offer provides a call option right to the target’s shareholders: it guarantees the offered price but maintains the chance of a higher offer. We present an options-based approach to estimate the probability and expected value of higher competing takeover bids using target stock price data. Analysing Canadian takeover battles in the period 1997 to 2007 we find that during the 5 trading days prior to the occurrence of an increased takeover bid, the estimated probability of a higher bid exceeds 80% on average and the expected value of a potential competing bid almost matches the realized value.