长株潭核心区土地利用生态风险多尺度调控决策

根据长株潭核心区1989、1996、2000和2008年的遥感影像数据资料,提取区域土地利用变化数据进行时间、空间及功能尺度特征分析。结果表明,长株潭核心区土地利用生态风险调控的尺度选择具有多尺度性。8—9年是最佳的时间分析尺度,2km左右的分析粒径是最佳的空间分析尺度,而功能尺度则是融合了时间与空间尺度及生态功能的特征,具有更复杂的变化,并依据分析结果提出了多尺度的差异化土地利用生态风险调控策略。     

FINANCIAL DEREGULATION AND RELATIVE RISK OF AUSTRALIAN INDUSTRY*

In the early 1980s the Australian economy underwent a period of rapid financial deregulation and liberalisation, the key symbol of this process being the floating of the exchange rate in December 1983. It has been suggested that one effect of such regulatory change is to alter the risk characteristics of economic units most directly impacted by the changes. In this vein, Brooks and Faff (1995) examined banking industry risk and found that deregulation coincided with a stabilising of the beta risk of banks. However, financial deregulation was expected to have widespread effects across the economy. Accordingly, in this paper we further test for possible effects by examining the level and stability of the beta risk of individual stocks and portfolios in other industries in both prederegulation and post-deregulation periods. From a comparison of the two periods we find that the effects on beta levels vary across industries. However in general post-deregulation betas have become stable across a large range of key industry classifications. This provides interesting insights into the effects of financial deregulation on relative risk and why different industries may have different experiences.     

Does financial globalization promote risk sharing?

In theory, one of the main benefits of financial globalization is that it should allow for more efficient international risk sharing. In this paper, we provide an empirical evaluation of the patterns of risk sharing among different groups of countries and examine how international financial integration has affected the evolution of these patterns. Using a variety of empirical techniques, we conclude that there is at best a modest degree of international risk sharing, and certainly nowhere near the levels predicted by theory. In addition, only industrial countries have attained better risk sharing outcomes during the recent period of globalization. Developing countries have, by and large, been shut out of this benefit. Even emerging market economies, many of which have reduced capital controls and all of which have witnessed large increases in cross-border capital flows, have seen little change in their ability to share risk. We find that the composition of flows may help explain why emerging markets have not been able to realize this presumed benefit of financial globalization. In particular, our results suggest that portfolio debt, which had dominated the external liability stocks of most emerging markets until recently, is not conducive to risk sharing.     

Financial Globalization,International Business Cycles and Consumption Risk Sharing*

In spite of two decades of financial globalization, consumption‐based indicators do not seem to signal more international risk sharing. We argue that the fraction of idiosyncratic consumption risk that gets shared among industrialized countries has actually increased considerably over the period 1980–2000 and, in particular, during the 1990s—from around 30 to more than 60 percent. However, standard consumption‐based measures of risk sharing—such as the volatility of consumption conditional on output or international consumption correlations—have been unable to detect this increase because consumption has also been affected by the concurrent decline in the volatility of output growth in most industrialized countries since the 1980s. First, the volatility of output at business‐cycle frequencies has declined by more than has the volatility of permanent fluctuations. Since consumption reacts mainly to permanent shocks, it appears more volatile in relation to current changes in output. This effect seems to have offset the tendency of financial globalization to lower the volatility of consumption conditional on output. Second, because the variability of permanent global shocks has also fallen, international consumption correlations have also generally not increased as financial markets have become more integrated.     

Risk–risk versus standard gamble procedures for measuring health state utilities

Contingent valuation (CV) has been widely used to measure the potential benefits derived from different policy decisions. However, doubt now exists about the validity of the CV method and alternative approaches to benefit valuation have been proposed. The paper reports on the results of a study which was designed to test the viability of two of the most prominent of the alternatives: the risk–risk (RR) and standard gamble (SG) approaches. If individual preferences are consistent with the axioms of von Neumann–Morgenstern expected utility theory (EUT) then the two methods should generate the same interval scales for any given set of health states. However, the results show that SG utilities are substantially higher than RR ones, thus casting doubt on these axioms. The paper discusses alternatives to EUT which might better expalin the discrepancies found. It also considers whether the results might be explained in terms of status-quo bias and/or by the relative difficulty of RR questions. The results presented may have important implications for other areas of applied research in which there exists uncertainty about outcomes.     

Measuring Exchange Rate Uncertainty: The Case of the Australian Dollar 1969 to 1987

In this article indices of exchange rate uncertainty are measured from the perspective of potential impacts on trade flows. Empirical evidence based on movements in the Australian dollar spot rates and forward rates indicates that there has been an increase in currency risk between 1969 and 1987, which is not surprising given the progressive relaxation of the exchange rate regime during this period. More surprising is the finding that exchange rate uncertainty indices have risen relative to domestic financial price uncertainty indices. This would not have been expected to occur if increased currency risk had been solely due to growing instability of the underlying economic environment. However, since there is evidence that currency risk has been offset by domestic risk, the risk burden of diversified international traders may not have been adversely affected.     

风险规避、信息臻别与水稻品种的采用

本文通过实证研究表明在一个追求利润而采用新品种但需要缓解风险、臻别信息的过程中,外部推广机构行为较农户自身禀赋相比影响更为显著,但是大多数农户对公共机构的权威性的认同更多的是出于对国家和科学的信任而敢于采用新品种。由于农户自身无法有效地对新品种作出信息臻别,农户行为表现出明显的风险规避特征。     

中国外汇投资的风险研究——基于国家外汇投资公司投资美国黑石集团的案例分析

国家外汇投资面临着一系列风险,包括政治风险、法律风险、汇率风险、市场风险、特定项目风险等。中国国家外汇投资公司2007年投资入股的美国黑石集团在过去20多年以来取得的辉煌业绩吸引越来越多的注意力,上市后的黑石集团能否如虎翼,取决于黑石集团对未来可能面临的风险的控制和外部环境及舆论等发生变化后的应对措施。本文从上市公司监管、税收政策、业务发展等几方面对美国黑石集团的发展风险做了系统分析,以更有助于理解中国外汇投资所存在的各种风险。     

Factors associated with increased hospital costs in patients treated with lipid-based amphotericin B for empirical therapy

Summary

Lipid-based amphotericin B agents have been studied in a number of clinical settings and patient populations, most notably as empirical therapy for patients at-risk for systemic fungal infection and for patients with documented invasive disease. In clinical practice, lipid-based therapies have been considered second- or even third-line therapy due to concerns about costs. However, few analyses have been conducted to determine those factors associated with empirical antifungal therapy and lipid-based agents that are most likely to influence hospital costs and length of stay.

The purpose of this analysis is to determine which demographic, treatment, and clinical outcome factors contribute to increased hospital costs and length of stay in patients treated empirically with a lipid-based amphotericin B agent.

A retrospective analysis of 89 patients enrolled in the clinical study was performed to assess hospital costs and length of stay following the start of empirical antifungal therapy. Bivariate and multivariate regressions were performed to identify variables most likely to affect hospital costs and length of stay.

Allogeneic bone marrow transplant (BMT) status, days of treatment, doubling of baseline creatinine, and dialysis were found to be predictive both of increased hospital costs and length of stay. Length of stay and number of concomitant nephrotoxic agents also were found to affect hospital costs.

Overall, risk factors and clinical outcomes associated with nephrotoxicity increased hospital costs and length of stay in patients treated empirically with lipid-based antifungal agents. Renal dialysis also increased hospital cost significantly. For empirical antifungal therapy, providers should consider both patient-specific risk factors and product-specific outcomes in selecting an appropriate agent.     

The impact of unemployment on inequality and poverty in OECD countries

The purpose of this research is to examine the contribution of unemployment to income inequality and poverty in various OECD countries. These relationships have been explored using Luxembourg Income Study micro-data. Considerable differences across OECD countries are revealed through the use of within-household unemployment distributions. These differences help to explain most of the observed divergences in the relationship between unemployment and income distribution, in conjunction with the heterogeneous influence of social benefits on the economic position of the unemployed in these countries. A sub-group decomposition analysis corroborates the limited effect of unemployment on income distribution in most of the considered countries. However, it seems clear that the unemployed are among those with the highest risk of experiencing poverty.
JEL classification: D31, I32, J31.     

Participation in universal prevention programmes

We analyse family decisions to participate in community-based universal substance-abuse prevention programmes through the framework of expected utility theory. Family functioning, which has been shown to be a good indicator of child risk for substance abuse, provides a useful reference point for family decision making. Our results show that well-functioning families (with children at low risk for substance use) should have the lowest incentive to participate, but that high-risk families may also opt out of prevention programmes. For programmes that are most effective for high-risk youth, this could be a problem. Using data from the Strengthening Families Programme (SFP) and the Washington Healthy Youth Survey (HYS), we empirically test the implications of our model and find that at least for one measure of family functioning those families with children most likely to be at risk for substance use are opting out of the programme.     

Estimating the Marginal Contribution to Systemic Risk by A CoVaR‐model Based on Copula Functions and Extreme Value Theory

In this paper, we quantify the contribution to systemic risk of a single financial institution by utilizing a analytical framework based on the principles of Extreme Value Theory (EVT) for modelling the marginal distributions and on the properties of copula functions for describing the dependence structure between the financial system and the single financial institution. Among the several systemic risk measures proposed nowadays by academics and estimated by public data, we choose to adopt as systemic risk metric the Conditional Value‐at‐Risk (CoVaR). We select a co‐risk measure like the CoVaR because of its macro‐dimension that allows us to integrate the dependence structure of the single financial institution and of the whole financial system in the systemic risk measurement. While the copula functions have been utilized in some pioneer studies on this area, the EVT principles have not yet been implemented in such a context of systemic risk contribution measurement.     

我国生物制药上市公司投资风险评价——基于主成分-聚类分析法

以我国15家生物制药行业上市公司为研究样本,利用聚类分析法,对15家生物制药行业上市公司进行聚类识别,将样本公司分为3类;对投资风险评价指标进行主成分分析,据此计算了15家样本公司的投资风险,并根据比较结果进行了排序。结果表明,我国多数生物制药上市公司的投资风险均衡。     

Risky Habits: on Risk Sharing,Habit Formation,and the Interpretation of International Consumption Correlations*

Standard international economic models with life cycle/permanent income consumption behavior predict that international portfolio diversification leads to high bilateral consumption correlations. Thus international consumption correlations have been empirically estimated as a test of international portfolio diversification and risk sharing. In this paper we investigate the international consumption correlations generated by a more general model which incorporates habit formation in consumption. We show that, in the presence of a common shock, habit formation itself can generate positive international consumption correlations even in the absence of any international risk sharing. Empirical evidence presented in this paper suggests habit formation characterizes consumption behavior among most of the G‐7 countries. Thus, the extent of international portfolio diversification may be even lower than that suggested by previous research which studied international consumption correlations.     

政策缝隙、风险源与社会稳定风险评估

公共政策在中国发展进程中成为经济增长、体制改革和国家转型的依赖工具、手段和路径。政策的后果也是社会不稳定的一个来源。在推进公共政策的社会稳定风险评估过程中,关键的问题是如何识别风险源。文章在案例研究的基础上,提炼出"政策缝隙"概念,用来理解社会不稳定的来源。政策缝隙体现在对实质性利益调整或再分配的过程中,政策文本出现了时间、空间和不同社会群体之间的不一致现象,而政策不一致即成为风险源。在评估出风险源基础上,实现源头治理的关键是以科学和民主的方式来制定精细化方案弥补政策缝隙。     

基于县域金融风险的定量预测与控制问题研究

目前,我国县域金融机构的信贷风险管理实践中存在着信贷风险识别与评价手段落后、筛选机制不健全,对贷款风险五级分类的划分标准尚停留在定性分析的阶段,严重影响了县域金融信贷风险分类的准确性。以维护县域金融信贷安全运行为前提,在方法与对策上探讨县域金融机构信贷风险的防范、预警与化解机制,为五级分类的准确性提供一定的依据,为我国农信社信贷风险分类预警指标体系与分类模型的完善提供有益的借鉴和参考。     

我国企业债券融资、财务风险和债券评级

影响我国债券评级的决定因素有以下三点:(1)影响债券评级最关键的因素是发债企业总资产的规模,即企业资产规模越大,其评级越高;(2)政府政策对该发债项目或行业支持与否时债券评级有正的影响,即发债项目或其所在行业是有国家政策明确支持的,其评级可能越高;(3)企业的财务风险如资产负债率和长期负债比率等对债券评级没有显著的影响,企业的绩效如资产收益率对债券评级也没有显著的影响.目前评级机构的评级不能反映企业财务风险与绩效的好坏,债券上市后评级的动态调整也几乎不存在.这说明我国目前企业债券市场的信用风险评级与欧美的债券市场存在极大的差异.     

Average drawdown risk reduction and risk tolerances

We investigate the effects of average drawdown risk reduction on US mutual funds. Due to numerous evidence of the asymmetric distribution of portfolio returns, the asymmetric risk measures have extensively been used in risk management during the recent decades with extensive usages on the n-degree lower partial moment (LPM) methodology. Unlike the previous literature, we use the n-degree average drawdown risk measure, which is a special case of n-degree LPM, to empirically investigate the impacts of n-degree average drawdown risk reduction on the risk tolerances generated by the US mutual funds.The evidence shows that skewness does not impose any significant problem on the n-degree A-DRM model. Moreover, the effect of changing the tolerances of average drawdown risk in the n-degree A-DRM models is a reduction in the fund returns. The n-degree CA-DRM optimization model reduces investors׳ risk more than other models. Thus, the A-DRM can be accommodated with risk-averse investors׳ approach. The efficient set of mean–variance choices from the investment opportunity set, as described by Markowitz, shows that the n-degree CA-DRM algorithms create this set with lower risk than other algorithms. It implies that the mean–variance opportunity set generated by the n-degree CA-DRM creates lower risk for a given return than covariance and CLPM.     

Utility Functions whose Parameters depend on Initial Wealth

Conventional one-period utility functions in Economics assume that initial wealth only enters preferences through the definition of final wealth. Consequently, those utility functions most utilized (i.e., exponential and quadratic) have implausible risk characteristics. The authors characterize a new class of utility function whose risk parameters depend upon initial wealth and obtain several desirable results. In particular, investors with quadratic and exponential utility functions can have decreasing risk aversion, and risky assets in a quadratic utility multi-asset environment do not have to be inferior as implied by the traditional framework.     

Time-varying beta: a boundedly rational equilibrium approach

The conditional CAPM with time-varying betas has been widely used to explain the cross-section of asset returns. However, most of the literature on time-varying beta is motivated by econometric estimation using various latent risk factors rather than explicit modelling of the stochastic behaviour of betas through agents’ behaviour, such as momentum trading. Misspecification of beta risk and the lack of any theoretical guidance on how to specify risk factors based on the representative agent economy appear empirically challenging. In this paper, we set up a dynamic equilibrium model of a financial market with boundedly rational and heterogeneous agents within the mean-variance framework of repeated one-period optimisation and develop an explicit dynamic behaviour CAPM relation between the expected equilibrium returns and time-varying betas. By incorporating the two most commonly used types of investors, fundamentalists and chartists, into the model, we show that there is a systematic change in the market portfolio, risk-return relationships, and time varying betas when investors change their behaviour, such as the chartists acting as momentum traders. In particular, we demonstrate the stochastic nature of time-varying betas. We also show that the commonly used rolling window estimates of time-varying betas may not be consistent with the ex-ante betas implied by the equilibrium model. The results provide a number of insights into an understanding of time-varying beta.