票据产品以Shibor为基准定价的探索

该文首先分析了票据产品以Shibor为基准定价的重要意义,认为它有利于扩展和验证Shibor的基准性、有利于规范票据产品定价、有利于加速利率市场化改革进程;进而探讨了交通银行在票据产品以Shibor为基准定价方面所作的有益探索,认为Shibor作为市场基准利率,在票据市场运用的广度和深度势必会不断提高,交通银行会继续在票据市场加大Shibor的运用力度,巩固Shibor的市场基准地位。     

江浙沪地区企业短期融资券发展状况调查

自2005年4月首只短券发行以来,江浙沪二省一市企业积极利用短券进行融资。发行短券有效降低了区域内企业融资成本,改善了融资结构,提高了企业的影响力,而且江浙沪已成为短券融资最多的地区之一。然而,与江浙沪二省一市的经济结构、产业特点相比而言,企业在短期融资券方面的需求仍受多方面的限制,主要是相对严格的管理抑制了企业发行意愿,民营企业和中小企业的发行需求难以满足。     

Using Numerical Dynamic Programming to Compare Passive and Active Learning in the Adaptive Management of Nutrients in Shallow Lakes

This paper illustrates the use of dual/adaptive control methods to compare passive and active adaptive management decisions in the context of an ecosystem with a threshold effect. Using discrete‐time dynamic programming techniques, we model optimal phosphorus loadings under both uncertainty about natural loadings and uncertainty regarding the critical level of phosphorus concentrations beyond which nutrient recycling begins. Active management is modeled by including the anticipated value of information (or learning) in the structure of the problem, and thus the agent can perturb the system (experiment), update beliefs, and learn about the uncertain parameter. Using this formulation, we define and value optimal experimentation both ex ante and ex post. Our simulation results show that experimentation is optimal over a large range of phosphorus concentration and belief space, though ex ante benefits are small in our example. Furthermore, realized benefits may critically depend on the true underlying parameters of the problem. Le présent article illustre l'utilisation des méthodes de contrôle adaptatif pour comparer les décisions de gestion adaptative active et passive dans le cas d'un écosystème ayant un effet de seuil. À l'aide des techniques de programmation dynamique en temps discret, nous avons conçu un modèle des charges optimales en polluants phosphorés en tenant compte, à la fois, de l'incertitude quant aux charges naturelles et de l'incertitude quant au niveau critique des concentrations en phosphore au‐delà desquelles le recyclage des éléments nutritifs débute. Nous avons modélisé la gestion active en incluant la valeur prévue de l'information (ou de l'apprentissage) dans la structure du problème; par conséquent, l'agent peut perturber le système (l’expérience), actualiser ses croyances et découvrir les paramètres incertains. À l'aide de ce modèle, nous avons caractérisé et évalué l'expérience optimale ex ante et ex poste. Les résultats de notre modèle de simulation ont montré que l'expérience est optimale pour un large éventail de concentrations en phosphore et de croyances, bien que les avantages ex ante soient faibles dans le cas de notre exemple. Les avantages réalisés pourraient dépendre des paramètres sous‐jacents réels du problème.     

Misallocation and productivity effects of the Smoot–Hawley tariff

Using a newly created microeconomic archive of US imports at the tariff line level for 1930–1933, we construct industry-level tariff wedges incorporating the input–output structure of US economy and the heterogeneous role of imports across sectors of the economy. We use these wedges to show that the average tariff rate of 46% in 1933 substantially understated the true impact of the Smoot–Hawley (SH) tariff structure, which we estimate to be equivalent to a uniform tariff rate of 70%. We use these wedges to calculate the impact of the Smoot–Hawley tariffs on total factor productivity and welfare. In our benchmark parameterization, we find that tariff protection reduced TFP by 1.2% relative to free trade prior to the Smoot–Hawley legislation. TFP fell by an additional 0.5% between 1930 and 1933 due to Smoot–Hawley. We also conduct counterfactual policy exercises and examine the sensitivity of our results to changes in the elasticity of substitution and the import share. A doubling of the substitution elasticities yields a TFP decline of almost 5% relative to free trade, with an additional reduction due to SH of 0.4%.     

金融市场创新产品运行监测分析报告

从2006年开始,中国人民银行上海总部金融市场管理部以2004年以来人民银行推出的金融创新产品为基础,持续进行跟踪评估。跟踪结果表明,2007年,金融创新产品运行平稳,基础性产品规模迅速扩大,交易类创新产品规模呈爆炸性增长;金融创新产品的流动性显著提高;对扩大直接融资比例、降低融资成本、管理金融风险、推动利率市场化进程等方面发挥着重要作用。监管部门应坚持将丰富创新产品类型作为金融市场的核心环节加以推动,重点考虑逐步放宽对创新产品的投资限制,解决市场运行的环境问题。金融创新产品对于扩大Shibor作为基准利率的使用,可以发挥更大的推动作用。     

男性网络消费增加解密网购服装的男性顾客

长久以来老是让人捉摸不透的男性顾客正在越来越频繁地上例购买服装，而shopBop网的员工们正在摩拳擦掌地准备迎战     

关于人民币国际化的几点思考

文章认为，人民币国际化在给我们带来收益的同时，也会带来诸如影响国内宏观调控实施效果等挑战，因此，人民币国际化之路不能一蹴而就，而应从货币职能、地域以及市场开放等多个层面分步有序推进。针对现实情况，文章建议，当前应均衡、平稳推进跨境人民币结算业务；有步骤、有选择地推动人民币产品创新；扩大境外人民币债券发行规模，并防范资金违规回流。     

Asymmetry and downside risk in foreign exchange markets

Abstract

This paper evaluates the double gamma distribution as a means of modelling asymmetry in the conditional distribution of financial data. To do this the model is applied to ten exchange rate series covering mature and emerging market countries. A second contribution of this paper is to highlight the link between the double gamma distribution and the measurement of the second lower partial moment (or semi-variance). The resulting empirical performance of the double gamma model is found to be mixed when compared to a symmetric GARCH-t model. Estimates of conditional downside risk based on the double gamma model are constructed for each series. The results for the Malaysian Riggit, Zimbabwe Dollar and the Korean Won demonstrate the extreme downside volatility experienced by these countries during the emerging markets currency crisis.     

The application of micro‐modelling to predicting total market mix potential

In this paper, following a review of the historical development of research methods for predicting volume sales and brand shares of new products, a new model (MicroTest) is described which uses information gathered in a concept/product test for volume prediction. The model makes use of brand‐related parameters (such as advertising and distribution), attitudinal predispositions (e.g. “experimentalism"), and circumstantial factors as input to the model, and these are described, together with the method of integrating these for predicting at the individual respondent level. Individual results are then accumulated across a sample of individuals, and grossed up to provide national sales estimates.

The paper describes the various development stages undergone in the construction of the model, and the techniques used to assist this process. In particular, the way in which Artificial Intelligence techniques such as “rule induction” was used is discussed. Finally, the paper discusses the way in which the basic model may be extended, and some recent work which used the model to generate a measure of cumulative penetration.