Time-varying relationship of news sentiment,implied volatility and stock returns

I examine the relationship between aggregate news sentiment, S&P 500 index (SPX) returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment and stock returns. This relationship is asymmetric whereby changes in VIX are larger following negative news and/or stock market declines. Vector autoregression (VAR) analysis of the dynamics and cross-dependencies between variables reveals a strong positive relationship between previous and current period changes in implied volatility and stock returns, while current period and lagged news sentiment has a significant positive (negative) relationship with stock returns (changes in VIX). I develop a simple trading strategy whereby high (low) levels of implied volatility signal attractive opportunities to take short (long) positions in the underlying index, while extremely negative (positive) news sentiment signals opportunities to enter short (long) index positions. The investor fear gauge (VIX) appears to perform better than news sentiment measures in forecasting future returns.     

Valuation of environmental improvements in continuous time with mortality and morbidity effects

We present a model for valuing environmental improvements in continuous time, for individuals that can be either healthy (H) or ill (I), with constant transition between the states and constant mortality rates in each state, when environmental quality affects welfare, mortality and morbidity. The values in states H and I, VSL(H) and VSL(I), are derived from two Bellman dynamic programming equations. The individual's valuation of (small) instantaneous environmental changes, and of permanent environmental changes (“environmental investments”), are shown to depend on both VSL(H) and VSL(I), for each of the states H and I. We show that VSL(I) may exceed VSL(H), and the value of environmental improvements in the ill state may exceed those in the healthy state, in particular for short-lasting illness and when the marginal value of consumption is lower in state I than in state H.     

中医体质辨识结合六味地黄汤治疗老年性阴道炎患者的临床效果

目的探讨中医体质辨识结合六味地黄汤治疗老年性阴道炎患者的临床效果。方法选取2017年6月至2018年6月沈阳市大众医院收治的老年性阴道炎患者104例作为研究对象,随机分为对照组和观察组,每组52例。对照组采用常规治疗方法,观察组在常规治疗基础上采取中医体质辨识结合六味地黄汤的治疗方法。比较两组的治疗效果,以及治疗前后症状体征改善情况、阴道健康状况。结果观察组治疗有效率为96.15%,高于对照组的73.08%,差异有统计学意义(P<0.05)。两组治疗前症状体征积分比较,差异无统计学意义(P>0.05);治疗后,观察组带下量(0.93±0.19)分、白带异味(0.65±0.24)分、阴道灼热(0.63±0.20)分、外阴瘙痒(0.71±0.25)分,低于对照组,差异有统计学意义(P<0.05)。两组治疗前阴道健康积分比较,差异无统计学意义(P>0.05);治疗后,观察组阴道黏膜(1.01±0.38)分、阴道湿润(0.95±0.33)分、阴道弹力(1.32±0.34)分、阴道pH值(0.67±0.36)分、阴道清洁度(0.54±0.25)分,低于对照组,差异有统计学意义(P<0.05)。结论在老年性阴道炎的治疗中,采取中医体质辨识结合六味地黄汤的治疗方法,能够提高治疗有效率,改善症状体征及阴道健康,临床效果显著。     

The role of miniatures in computable general equilibrium modelling : Experience from ORANI

ORANI is a large general equilibrium model of the Australian economy used by policy analysts and university research workers. This paper describes the role of miniature models in the development and application of ORANI. Miniature versions of ORANI have been useful in (a) explaining results; (b) detecting errors; (c) conducting sensitivity analyses; (d) experimenting with new specifications; and (e) teaching. The present paper concentrates mainly on (a) and (b). A miniature model is developed to explain ORANI results for the effects of increases in protection, reductions in the real costs of labour, increases in oil prices and increases in real aggregate demand.     

Review of Microstructural Evidence of Magmatic and Solid-State Flow

Evidence of magmatic flow includes: (a) parallel to sub-parallel alignment of elongate euhedral crystals (e.g., of feldspar or hornblende) that are not internally deformed, (b) imbrication (‘tiling’) of elongate euhedral crystals that are not internally deformed, (c) insufficient solid-state strain in regions between aligned or imbricated crystals to accommodate phenocryst rotation, (d) elongation of microgranitoid enclaves without plastic deformation of the minerals, (e) magmatic flow foliations and elongate microgranitoid enclaves deflected around xenoliths, and (f) schlieren layering (if due to flow sorting) in the absence of plastic deformation of the minerals involved. These features are consistent with rotation of crystals in a much weaker medium, namely a melt phase, at a stage when the magma has become viscous enough to preserve the alignment. Evidence of solid-state flow includes: (a) internal deformation and recrystallization of grains, (b) recrystallized “tails,” (c) elongation of recrystallized aggregates (e.g. of quartz and mica), (d) grainsize reduction, (e) fine-grained folia anastomosing around less deformed relics, (f) microcline twinning, (g) myrmekite, (h) flame perthite, (i) boudinage of strong minerals, typically with recrystallized aggregates of weaker minerals (e.g. quartz and mica) between the boudins, (j) foliation passing through, rather than around enclaves, and (k) heterogeneous strain with local mylonitic zones. Several criteria suggest “submagmatic flow,” including recrystallized feldspar, inferred transitions from magmatic imbrication to solid-state S/C arrangements, evidence of c-slip in quartz, and especially evidence of migration of residual melt into lower-pressure sites. Recent experimental studies indicate that a change from grain-supported flow to suspension flow typically occurs in deforming magmas at melt contents of between 20% to 40%, and that large amounts of strain may accumulate in magmas without being recorded by the final fabric. At lower melt percentages, perhaps as low as a few percent, depending on the minerals and their shapes, strain may be accommodated by: (a) melt-assisted grain-boundary sliding, (b) contact-melting assisted grain-boundary migration, (c) strain partitioning into melt-rich zones, (d) intracrystalline plastic deformation (c-slip in quartz indicating plastic deformation at temperatures near the granite solidus), and (f) transfer of melt to sites of low mean stress. The only indication of strain in the absence of crystal plasticity may be an alignment of crystals. Moreover, magmatic flow microstructures may be destroyed by fracturing, crystal plasticity and recrystallization before the magma reaches its solidus. Many rocks show evidence of solid-state flow superimposed on magmatic flow. Evidence of magmatic flow is commonly preserved in deformed felsic metamorphic rocks: for example the alignment of rectangular K-feldspar megacrysts and of microgranitoid enclaves. However, absence of alignment does not preclude a magmatic origin for K-feldspar megacrysts in felsic gneisses, as magmatic flow may cease before the magma becomes viscous enough to preserve an alignment.     

Cheap Talk in the Classroom: How Biased Grading at School Explains Gender Differences in Achievements, Career Choices and Wages

In this paper, I provide a theoretical explanation for the gender differences in education and on the labour market that are observed empirically in most OECD (Organisation for Economic Cooperation and Development) countries, including the US Within a cheap talk model of grading, I show that biased grading in schools results in (1) boys outperforming girls in maths and sciences, (2) boys having more top and more bottom achievers in maths and sciences than girls, (3) girls outperforming boys in reading literacy, (4) female graduates enrolling in university studies more often than male graduates, (5) the predominance of female students in arts and humanities at the university, (6) the predominance of male students in maths and sciences at the university and (7) the gender wage gap on the labour market for the highly educated.     

On the dynamics of inflation persistence around the world

We study the dynamics of inflation persistence in 45 countries for the period 1960–2008 using a recently developed test for multiple changes in persistence, which decomposes the sample information between adjacent I (0) and I (1) periods. We find that: (i) inflation persistence and average inflation tend to fall and rise at the same time; (ii) in some countries there are changes in the level of inflation which do not seem to be related to changes in inflation persistence; (iii) around half of the countries analyzed do not present any burst of I (1) behavior, and hence have stationary inflation throughout; (iv) for the other half, we detect switches of the type I (0) ? I (1) ? I (0), hence, inflation persistence, when it has occurred, has been temporal; and, (v) for about half of the countries in which inflation has presented I (1) behavior, persistent inflation lasted more than a decade. In addition, we find that in the last 50 years there have been mainly two episodes where long bursts of I (1) inflation took place simultaneously among groups of countries. In general, the “Great Inflation” occurred during the seventies and eighties in advanced economies, whereas it occurred during the eighties and nineties in emerging economies, particularly in Latin America.     

Erratum

In attempting to replicate the results on this investigation, Doug Almond and Bhashkar Mazumder have found a programming error in the original code Adriana Lleras-Muney wrote (mean education levels for 1960 and 1970 were calculated inadvertently using the 1970 and 1980 data). Although the qualitative results and conclusions of the paper are unaffected, this error affects the aggregate OLS and TSIV results. The author of the paper is grateful to Almond and Mazumder for pointing out this error.
The OLS value reported in Table 3 (page 208) was − 0·017(0·004), the corrected coefficient should be − 0·036(0·0043). The IV value reported in Table 4 (page 210) was − 0·051(0·026), the corrected coefficient is − 0·063(0·024).
Since Larry Katz also uncovered some minor typographical errors in the state data variables used as controls in the paper (the old and corrected data sets are posted at the author's web site at www.princeton.edu/~alleras ) the author has taken this opportunity to report results without any state controls for future reference. The OLS coefficient without state controls is − 0·036(0·0043) and the IV without state controls − 0·058(0·023).
In table 5 (page 211), the corrected IV coefficients are as follows: Panel A (quarter of birth): − 0·048(0·023); Panel B (by gender): males: − 0·057(0·034); females − 0·037(0·033); Panel C (exclude 40, 50 and 60): − 0·058(0·024); Panel D (interact cohort dummies and 1970): − 0·066(0·025); Panel E (by regions): north − 0·036(0·066), south − 0·057(0·035), west − 0·057(0·058), midwest − 0·032(0·047).     

Inter- and intracountry effects of the Covid-19 pandemic on wages and economic growth

This paper aims to investigate the impact of the Covid-19 pandemic on technological knowledge, wage inequality, and economic growth, by proposing a Direct-Technical-Change model with two economies, an Innovative and other Follower. Six hypotheses are considered: (i) decrease in the unskilled-labor supply, (ii) decrease in the absolute advantage of unskilled labor, (iii) decrease in the intensity of the unskilled sector, (iv) hypothesis (i) combined with a lower decrease in the skilled-labor supply, (v) hypothesis (ii) combined with a lower decrease in the absolute advantage of skilled labor, (vi) all the variations previously considered. By comparing the steady states before and after the shock, we find an increase in the technological-knowledge bias that favors the skill-intensive sector, which positively affects the skill premium. However, in hypotheses (i) and (iv), the decrease in the relative supply of unskilled labor dominates the effect on the skill premium, which thus decreases. The economic growth rate is always penalized except for hypothesis (iii). Hypotheses (ii) and (iv) are undesirable because they increase wage inequality and penalize economic growth. Governments should support innovative activity, the engine of technological-knowledge progress, and thus economic growth, but with caution not to exacerbate the skill premium.     

Retail and Wholesale Margins in Successive Cournot Oligopolies

This paper studies the determination of retail and wholesale prices in successive Cournot oligopolies. It is shown that (i) the ratio of retail to wholesale margins increases (decreases, resp.) as the retail part of the market becomes less (more, resp.) competitive; (ii) the ratio of margin in one part of the market to total margin increases (decreases, resp.) as that part of the market becomes less (more, resp.) competitive; (iii) the decline in final consumer price is larger (smaller, resp.) if the entry of additional firm occurs in less (more, resp.) competitive part of the market. The results of the paper are applied to the case of third degree price discrimination.     

Scaling Up Learning Models in Public Good Games

We study three learning rules (reinforcement learning (RL), experience weighted attraction learning (EWA), and individual evolutionary learning (IEL)) and how they perform in three different Groves–Ledyard mechanisms. We are interested in how well these learning rules duplicate human behavior in repeated games with a continuum of strategies. We find that RL does not do well, IEL does significantly better, as does EWA, but only if given a small discretized strategy space. We identify four main features a learning rule should have in order to stack up against humans in a minimal competency test: (1) the use of hypotheticals to create history, (2) the ability to focus only on what is important, (3) the ability to forget history when it is no longer important, and (4) the ability to try new things.     

奥利司他与二甲双胍联用对肥胖型2型糖尿病患者的疗效及对体重指数、胰岛β细胞功能指数、胰岛素抵抗指数水平的影响

目的探讨奥利司他与二甲双胍联用对肥胖型2型糖尿病(T2DM)患者的疗效及对体重指数(BMI)、胰岛β细胞功能指数(HOMA-β)、胰岛素抵抗指数(HOMA-IR)水平的影响。方法选取2018年2月至2020年2月大连市第四人民医院收治的肥胖型T2DM患者83例作为研究对象,按随机数字表法分为联合组41例与对照组42例。对照组予以盐酸二甲双胍片治疗,联合组则在对照组的基础上增用奥利司他胶囊治疗。两组进行为期3个月的治疗,比较两组临床疗效,治疗前后BMI、HOMA-β、HOMA-IR水平,微炎症状态变化情况,药物不良反应发生情况。结果治疗后联合组空腹血糖(FBG)、餐后2h血糖(2hPBG)、糖化血红蛋白(HbA1c)水平明显低于对照组(P<0.05)。治疗后联合组BMI以及HOMA-IR明显低于对照组,而HOMA-β明显高于对照组,差异有统计学意义(P<0.05)。治疗后联合组血清肿瘤坏死因子-α(TNF-α)、白细胞介素-6(IL-6)水平明显低于对照组(P<0.05)。两组头痛、低血糖、腹泻以及胃肠胀气发生率比较差异无统计学意义(P>0.05)。结论奥利司他与...     

Equilibrium in Sealed High Bid Auctions

There is a voluminous theoretical literature on sealed high-bid auctions (auctions in which bids are sealed and the high bidder pays his bid). See for example, Vickery (1961), Myerson (1981), riley and Samuelson (1981), Milgrom and Weber (1982), Mathews (1983), Maskin and Riley (1984), Holt(1980) Cox, Smith and Walker (1988). A critical property on which this literature relies is the existence of equilibrium in which buyers' bidding strategies are monotonic in their types. This enables the analyst to perform comparative statics as the distribution of types changes, and to compare the welfare properties of the high-bid auction with those of other auction institutions.     

Asymmetric impacts of ICT and energy intensity on agricultural productivity: Evidence from Asia-Pacific region

In the contemporary times of rising food insecurity and malnutrition, the agricultural sector needs more attention. This study aims to investigate the asymmetric impacts of information and communication technologies (ICTs), energy intensity, urbanization, and inequality on agricultural productivity for 20 Asia-Pacific countries from 1990 to 2020. To investigate asymmetric impacts, the study employs the panel nonlinear autoregressive distributed lag (NARDL) model. The estimated results revealed that positive and negative shocks in ICT, energy intensity, and urbanization have asymmetric impacts on agricultural productivity in the long run, whereas symmetry is observed in short-run impacts. It is found that a 1% increase (decrease) in ICT and urbanization increases (decreases) agricultural productivity by 0.292% (0.662%) and 2.717% (2.759%), respectively, whereas a 1% increase (decrease) in energy intensity decreases (increases) agricultural productivity by 0.252% (0.216%) in the long run. Furthermore, the results of the Dumitrescu-Hurlin panel causality test point out the existence of bi-directional causality between agricultural productivity and the independent variables (ICT, energy intensity, urbanization, and inequality). Based on the findings, the study suggests that the Asia-Pacific countries should increase the application of ICT and use energy more efficiently in agriculture to boost agricultural productivity.     

MRI of Budd-Chiari syndrome

A retrospective study was undertaken to reassess the various magnetic resonance imaging (MRI) features of Budd-Chiari syndrome (BCS). MRI examinations of 22 patients with pathologically confirmed BCS were studied. Spin-echo (SE) T1- (TR = 300–450 ms/TE = 12–15 ms), and SE T2-weighted (TR = 1600–2000 ms/TE = 30–60/90–120 ms) MRI images were obtained in all patients. Gradient-recalled-echo (GRE) images (TR = 7–60 ms/TE = 3–19 ms, flip angle = 10–40°) were obtained in 14 patients. MRI showed thrombosis of three or two hepatic veins in 19 (86%) and 3 (14%) patients, respectively. Spontaneous intrahepatic anastomoses was depicted in five (23%) patients. Ascites appeared in 15 patients (68%). Thrombosis or external compression of the inferior vena cava (IVC) by an enlarged caudate lobe was depicted in six (27%) and five (23%) patients, respectively. Prominent azygos and hemiazygos veins were demonstrated in seven (32%) patients (six of whom had thrombosis of the IVC). MRI showed hepatomegaly in all patients and enlarged caudate lobe in 18 (82%) patients. SE T1- and SE T2-weighted MRI images revealed inhomogeneous signal intensity of hepatic parenchyma in 14 (64%) patients. SE T1- and SE T2-weighted MRI images showed homogeneous signal intensity of hepatic parenchyma in eight (36%) patients. Our results demonstrate that BCS displays various features on MRI images, and such information is important for diagnosis.     

Vulnerability and poverty dynamics in Vietnam

Drawing upon the Vietnam Household Living Standards Survey (VHLSS) data that cover the whole of Vietnam in 2002 and 2004, ex ante measures of vulnerability are constructed. These are then compared with static indicators of poverty (i.e. the headcount ratio in a particular year). Detailed analyses of the panel data show that (i) in general, vulnerability in 2002 translates into poverty in 2004; (ii) vulnerability of the poor tends to perpetuate their poverty and (iii) sections of the nonpoor but vulnerable slip into poverty. Durable reduction in poverty is conditional on (i) accurate identification of the vulnerable, (ii) their sources of vulnerability and (iii) design of social safety nets that would enable the vulnerable to reduce risks and cope better with rapid integration of markets with the larger global economy.     

保护流域森林植被建立绿色防洪堤坝

根据 １９９８ 年我国洪灾的形成原因及特点, 分析森林植被的防洪作用, 包括防止水土流失、江河淤积、净化水源、改善水质、削减洪峰、调节水量等功能, 最后提出建立生态防洪堤坝的措施, 其中包括天然保护工程、森林植被恢复工程、坡地改造工程、小流域治理工程和绿色防洪堤坝建设的支撑体系。     

Trading with Tigers: A Technical Analysis of Southeast Asian Stock Index Futures

ABSTRACT

Our paper examines the profitability of technical trading rules in Southeast Asian (SEA) ‘tiger cub’ stock index futures markets during and after the global financial crisis (GFC) of 2007/2008. Using daily closing price data from 2007 to 2012, we explore technical trading rules such as exponential moving averages (EMA (20), EMA (100), EMA (20,100)) and moving average convergence divergence (MACD) in Indonesia, Malaysia, the Philippines and Thailand. The findings reveal that after applying trading rules that account for transaction costs and risk, abnormal profits cannot be achieved above a na&inodot;¨ve ‘buy-and-hold’ strategy (with the exception of EMA (100) and EMA (20,100) in Indonesia, and EMA (20,100) in both the Philippines and Thailand). There appears to be some degree of success with the application of longer-term trading rules; however, unless transaction costs can be reduced, investors are best advised to pursue passive investment approaches. Despite the economic uncertainty associated with the GFC and ongoing market volatility, it appears that SEA tiger cub stock index futures markets are weak-form efficient.     

The demand for home-produced and imported alcoholic beverages in Cyprus: the AIDS approach

The purpose of this paper is to investigate the demand and its composition between home-produced and imported for alcoholic beverages in Cyprus. The methodological approach used is the Almost Ideal Demand System (AIDS), both in static and dynamic terms. Empirically, the AIDS, both in its static and dynamic version, was estimated using time-series (1970-1992) for three sets of data which include: (1) alcoholic beverages (wine-beer-other brandies) broken down between home-produced and imported (model A); (2) alcoholic beverages only without disaggregation between home-produced and imported (model B), and (3) aggregate alcoholic beverages (wine-beer-other brandies) and food (model C). Zellner's iterative estimation procedure was used for estimating the model. The empirical findings: (1) strongly support the dynamic version of the AIDS over its static alternative; and (2) provide certain guidelines concerning economic policies relating to an increase in government revenues and changing the composition between home-produced and imported consumption of alcoholic beverages. These basic findings could be considered relevant to the policy makers in the light of Cyprus' accession to the EU.     

红光治疗仪联合甲钴胺治疗中老年糖尿病周围神经病变患者的临床疗效

目的探讨红光治疗仪联合甲钴胺治疗中老年糖尿病周围神经病变(DPN)患者的临床疗效。方法选取2018年1—12月于沈阳经济技术开发区人民医院内分泌科治疗的中老年DPN患者160例作为研究对象,按照治疗方法不同分为单纯红光治疗仪治疗组(A组)、甲钴胺治疗组(B组)、红光治疗仪联合甲钴胺治疗组(C组)、对照组(D组),每组40例。比较两组患者空腹血糖(FPG)、餐后2 h血糖(2hPBG)、超氧化物歧化酶(SOD)、震动感觉阈值(VPT)、多伦多临床评分系统(TCSS)评分、治疗减分率。结果治疗后,C组的FPG、2hPBG、VPT水平均明显低于其他3组,SOD明显高于其他3组(P<0.05);B组的FPG、2hPBG水平均明显低于D组、A组(P<0.05);A组的FPG、2hPBG水平均明显低于D组(P<0.05)。治疗后与A、B、D 3组比较,C组TCSS评分明显降低(P<0.05);A组与B组TCSS评分比较差异无统计学意义(P>0.05),A组与B组TCSS评分均明显低于D组(P<0.05)。治疗减分率A组为17.48%,B组为18.64%,C组为31.24%,D组为8.37%,C组治疗减分率明显高于其他3组(P<0.05)。结论运用红光治疗仪联合甲钴胺治疗中老年DPN疗效显著,与单纯红光治疗仪、甲钴胺治疗比较优势明显,可显著改善DPN患者的临床症状。