A generalised method of moments: Comparison of discrete heath-jarrow-morton interest rate models

This paper tests a new methodology; the discrete time no arbitrage-based model of Heath, Jarrow and Morton (1990). Several discrete stochastic models of the term structure based on restrictions placed on the variance of the forward rate process are tested. The explanatory power of different forward rate processes are examined and compared on the basis of how well they model interest rate dynamics. Hansen's (1982) generalised method of moments is employed to estimate the models' parameters with a minimum of assumptions. Overall, the constant forward rate volatility model, (Ho and Lee's model, 1986) shows the best fit.     

存货质押融资分阶段利率决策模型的构建

随着保理融资各交易阶段的进行,保理商所承受的风险相对由高至低,保理商利润非负的临界质押率水平及利率水平都发生了相应的动态变化。从价格波动规律出发,以进出口保理融资业务为代表,在满足下侧风险限制条件下,提出保理商针对各交易阶段提供融资业务利率的决策模型,并在此基础上分析保理融资中质押率、价格、违约可能性与利率的相互关系。研究得出利率水平随着各交易阶段的进行呈逐渐降低的趋势,灵活把握融资各阶段质押物价值、违约等风险因子变化,有利于降低融资风险性。     

房地产利益集团的影响分析与治理对策

房地产利益集团导致住房供应失衡、价格攀升,扭曲住房制度改革,危害经济健康发展,对构建和谐社会十分不利。为约束房地产利益集团,在分析房地产利益集团的构成和行为特点的基础上,阐明其对经济和社会两方面的负面影响,提出了治理房地产利益集团的基本策略。     

Causality of interest rate,exchange rate and stock prices at stock market open and close in Hong Kong

By an ARIMA approach and verified by the Granger causality tests, the causality of daily interest rate, exchange rate and stock prices in Hong Kong were explored for the period 1986 to 1991. Depending on the subperiods being considered, sporadic unidirectional causality from closing stock prices to interest rate, and weak bi-directional causality between stock prices and the exchange rate were found. The overall evidence, however, appears to show that the Hong Kong market efficiently incorporated much of the interest rate and exchange rate information in its price changes both at daily market close and open.The author would like to acknowledge helpful comments from two anonymous referees, helpful suggestions by Dr Daniel Cheung and research assistance from Theresa Tam. This project is supported by a research grant from the Institute of Social Studies, The Chinese University of Hong Kong.     

Dynamic branching and interest rate competition of commercial banks: Evidence from Hungary

I supplement previous models of bank competition by incorporating the endogenous branching choices of commercial banks. I apply a dynamic structural model of banks' branching and interest rate choices to a unique bank-level dataset on Hungarian commercial banks during 2004–2007. I find that banks charge a premium in interest rates for relative branch network dominance, and banks with relatively smaller networks are less likely to close branches. I present significant and robust estimates of branch setup costs and scrap values, and discuss the potential use of branching restrictions as regulatory tools to alter lending rates and consumer surplus.     

A note on the sensitivity analysis of the internal rate of return

In this note we discuss the sensitivity analysis of the internal rates of return (IRR). We show that the use of partial derivatives can be misleading in the identification of key drivers of an investment project's performance. To remedy this shortcoming, we propose the use of an alternative sensitivity measure called the Differential Importance Measure. The analysis shows that, even if the theoretical conditions for using the Net Present Value or the IRR as valuation criteria apply, the sensitivity analysis results for the two indicators may differ.     

从经济学角度看建设市场主体之间的利益冲突与激励机制

1 委托代理问题及其存在的原因委托代理关系是随着社会化大生产的发展而产生的,广泛的社会分工和企业内部分工,使经济主体之间产生了广泛的委托代理关系。在建设市场中,业主计划投资建设某工程项目,由于信息不足,特别是工程建设专业技术信息不足,业主亲自谋划组织实施工程项目所获得的“利益”,还不如委托给专门的工程承包商去办能带来更多的“收益”。因此,投资人即业主选择某承包商为其提供组织项目实施的专业技术服务,与此同时授予承包商一定的决策权利,并依据其提供服务的数量和质量支付相应的报酬。业主就属于委托人,被授权…     

一种基于MATLAB的V带传送可靠性分析方法

V型带传送系统在农业、矿山、石油等机械设备中有着广泛的应用。采用常规方法设计的V带传动系统,可靠性分析与计算繁琐、不准确,无法确定设计系统的工作可靠程度。本文基于MATLAB对V带传送系统进行可靠性分析,通过建立可靠性数学模型,确定软件设计流程,完成计算程序编写、图形界面开发和程序的调试,进行实例计算验证,节省了机械设计人员对于V带传送可靠度的计算与分析时间。     

美国、日本等国家和中国台湾地区利率自由化的经验与启示

美国、日本、印度、智利等国家以及中国台湾地区利率自由化的经验与教训对中国利率市场化有着重要的启示。通过对其利率自由化步骤和过程的分析可以看出,金融市场比较成熟是其改革的前提,逐步放宽管制是其改革步骤,即在金融市场比较成熟的条件下推进利率自由化。中国不能直接照搬这些操作,而应该先培育金融市场,待实现利率市场化之后,再参考这些经验,深化利率改革。     

石油美元的回流、影响及政策建议

石油美元已成为国际资本市场上一支不可忽视的力量。石油美元规模剧增的根本原因是石油市场供求失衡,内部原因是石油出口国国内吸收不足,制度性因素是石油以美元定价,外部因素是全球流动性过剩和国际投机活动盛行。在经济和金融全球化背景下,石油出口国更加注重从长期性、战略性角度利用石油美元。石油美元投资趋于多元化,投资方式趋向市场化。石油美元的回流使得美国有足够的资本流入弥补经常项目的逆差,从而使全球经济失衡维系在“脆弱的均衡”上。石油美元对国际资本流动和国际金融市场产生影响,并给国际衍生品市场带来巨大的不确定性。进入新兴市场的石油美元往往具有游资性质,增加新兴市场国家的金融体系风险。我国应积极拓展与石油出口国家的经贸与能源合作,高度关注石油美元对未来主要国际货币地位的影响以及对我国宏观经济运行的影响i借鉴石油出口国在外汇管理方面的有益经验,以审慎的态度和着眼长远的角度来管理外汇储备。     

美国成品油管道管输能力分配机制及其启示

以用户分类模式、长期托运方及新托运方管输能力分配机制为着眼点,以美国巴克艾伙伴公司和科洛尼尔管道公司为例,详细剖析美国成品油管道的管输能力分配机制。中国成品油管道的公平开放尚处于初期阶段,在深化成品油管道市场化进程中,首先应保证油气设施信息的公开和透明,制订标准的公平开放制度,而后根据中国油气市场行业实际情况逐步细化开放机制。借鉴美国成品油管道管输能力分配机制,对于中国成品油管输能力分配机制,建议:制订全国统一的成品油管网准入制度;搭建统一的管输能力交易平台;考虑地区差异,在统一按历史运输量进行用户分类的模式下,不同地区可根据具体情况对用户分类的具体阈值进行一定程度调整;在管道发生拥塞时,针对长期托运方采取基于历史运输量按比例进行分配的方式;新托运方的管输能力分配采取抽签的方式;监管体系透明化。     

Competition and innovation in telecommunications: An empirical analysis of innovative telecommunications in the public interest

According to current opinion, competition in telecommunications stimulates innovation. However, there are reasons to believe that at least in some circumstances competition might lead to a decrease in product innovation. In this paper a cross-sectional statistical analysis is carried out on data for the OECD countries. A positive correlation is indeed found between competition and innovation. However, the level of economic development is an important mediating variable. The economies of emerging technologies in the local loop lead to the conclusion that especially in the mobile segment competition will stimulate innovation.     

An economic analysis of the impacts of trade liberalization on Asian dairy market

This paper develops an economic analysis of the impacts of further trade liberalization scenarios on Asian dairy markets, using a world dairy model incorporating both vertical and spatial characteristics of the world dairy sector. Japan and Korea’ producers will suffer much bigger losses from trade liberalization than other countries in the region; Japan and Korea’s producers get much more protection from trade distortions than from domestic subsidy. India is a potential competitive exporter if Asia is liberalized. China and India are potential competitive exporters under global free trade. South East Asia and other South Asian countries remain importers under free trade. Greater trade liberalization around the world increases exports for potential exporters and/or ease importing pressure for potential importers. The increasing order of competitiveness of Asian dairy economies sectors is found to be Japan, Korea, South East Asia, other South Asia, China and India. China and India consumers would lose from world trade liberalization, but the other countries’ consumer surplus will increase.     

欧盟-伊朗支付系统INSTEX结算机制影响分析及建议

2019年初,为了充分维护欧洲企业的利益,德法英三国合作设立支持贸易往来工具(INSTEX)结算机制,绕开美元支付捆绑,通过以物易物的模式与伊朗进行商贸往来。虽然INSTEX机制被寄予摆脱美元霸权、维护伊核协议等期望,但在实际运行中仍遇到很多复杂问题,易货交易机制的可行性有待验证,伊朗对INSTEX机制并不积极,欧盟内部需要加强协调配合。INSTEX机制不仅给伊核问题带来新的变数,同时给国际政治经济格局带来新变化,为全球去美元化提供新框架,给人民币国际化带来新启示。建议中国石油企业密切跟踪,重点关注,谨慎对待,提前做好中国加入INSTEX机制的预案,从内部制度调整、人才选拔、流程优化等方面做好准备,协助政府开展有关工作,为促进在伊朗业务的健康发展创造有利条件。     

A cointegration rank test of market linkages with an application to the U.S. natural gas industry

This research applies recently developed cointegration techniques to the measurement of market linkages when the data are nonstationary. Likelihood based tests for cointegration are applied to data from natural gas spot markets. The results indicate that natural gas spot markets at dispersed locations in the pipeline network are strongly connected. Most of the market pairs examined in the gas pipeline network satisfy a more stringent condition for perfect market integration.     

亚洲地区中东原油溢价问题探讨

由于中东的一些石油输出国对同一时间出口到不同地区的同一原油采用不同的计价公式,使得亚洲地区的主要石油进口国一直在为进口中东原油支付不合理的高价,而且与欧美地区相比,“亚洲溢价”呈现出逐渐增加的趋势。“亚洲溢价”损害了亚洲石油进口国的利益,越来越为亚洲石油进口国政府和石油消费者所关心。随着我国从中东进口的原油量的增加,“亚洲溢价”对我国的影响也越来越大。但是这个问题涉及政治、经济、历史、地缘等多种因素,需要亚洲各国民间和政府做出一致的长期努力。中国作为亚洲政治、经济大国,应该利用自己的优势,发挥更加积极的作用,促使中东有关产油国对改变现行原油作价机制引起高度重视。     

基于Solidworks & SimMechanics的机构运动分析与仿真

介绍了几种常用机构运动分析的方法及特点,重点阐述了以Solidworks和SimMechanics 为工具,通过机构的实体造型、建立机构模型、设置各模块参数及仿真参数等环节,对摆动导杆机构和曲柄摇块机构在给定驱动力下的运动性能进行分析与仿真,绘制了机构关键点的运动特性曲线,得到了机构运动的仿真动画。指出这种机构运动分析...     

Globalization and the Renewal of Asian Business Networks

How are Asia's business networks responding to the growing integration of the region into the global economy? To address the question the paper identifies two distinct types of Asian business network originating in two different institutional contexts. It is argued that these original contexts have imprinted upon dominant firms' governance structures and influence their preferred networking mode. Consequently, the renewal of business networks reflects the pressures of globalization and the governance structures of the dominant organizational forms in the networks. Two types of network (global commodity chains and family business groups) are described and the global pressures for change bearing upon them outlined.