Pricing mortgage insurance contracts under housing price cycles with jump risk: evidence from the U.K. housing market

Previous studies have investigated the determinants of housing price cycles in the housing market; however, we observed the phenomenon of housing price jumps in the 2007 subprime crisis. This paper presents a discussion on the housing price cycle and abnormal price jumps to describe the behavior of housing prices in the United Kingdom. The empirical results show that the impact factors of housing cycles are market risk and the switching factor. Furthermore, the impact factors of jump risks include the bursting of the housing bubble and financial crises. Therefore, in this paper, we employ the Markov switching model with jump risks to value the MI contracts and analyze the influences of housing price cycles, jump risks, risks of market interest rate, and the prepayment risks on MI premiums. The results of sensitivity analysis show that more volatile housing price index returns, as well as longer periods of higher volatility in housing prices, raise MI premiums. Moreover, the MI premium is positively related to the absolute value of the average jump amplitude and the shock frequency of abnormal events. There is the tradeoff between the market interest rate and the prepayment risk. The influences of market interest rate are different on MI premium with/without prepayment risks.     

Effects of Employees' Uniform on Company Image and Employees' Self-perceptions and Customers' Perceptions

The purpose of the study is to investigate how different styles of employee uniforms affect customers' perceptions of the hotel image and employees' self-perceptions. The results of the study indicated a significant relationship between uniforms and employees' job performance. Significance also existed between employees' job satisfaction and styles of uniform. A significant relationship between styles of uniform and customers' perception of employee performance was found as well.     

中国贸易条件变动的宏观经济效应——理论解析与动态计量检验

通过构建包含贸易条件的DSGE模型和SV-TVP-FAVAR模型,依次对中国贸易条件变动的宏观经济效应展开理论解析和动态计量检验。研究发现:(1)贸易条件变动对宏观经济的冲击很大程度上依赖于贸易弹性的高低,当贸易弹性较高时,贸易条件恶化尽管有助于促进就业和经济增长,但对消费和投资将产生显著的"挤出效应";(2)货币政策目标对贸易条件变动的动态传导机制具有重要影响,以价格稳定为目标的货币政策能够有效缓解贸易条件恶化对消费和投资的"挤出效应";(3)中国贸易条件恶化对宏观经济主要变量的影响在短期内和中长期内存在明显不同,并且在不同时期也表现出显著的阶段性差异,相比于两次金融危机时期,经济新常态下贸易条件恶化的产出效应和价格效应相对较小,并且对消费和投资产生的"挤出效应"也有所下降。     

面向郑州航空经济综合实验区的郑州物流企业应对策略研究

2013年3月7日,郑州航空经济综合实验区获国务院批复,成为国内首个获批的国家级航空经济实验区,这无疑给郑州航空物流业务的发展带来新的契机,但也给郑州物流企业带来了不小的挑战.文章正是在这样的背景下深入分析郑州航空物流发展的现状,指出郑州市物流企业面临的机遇与挑战,最后提出郑州物流企业应改变物流观念、调整业务模式、转变运输方式,积极参与航空物流竞争,以期促进郑州航空物流业务的发展.     

The Impact of Short-Sales Constraints on Liquidity and the Liquidity–Return Relations

Baker and Stein's (2004) model predicts that individual stock liquidity, commonality in liquidity across stocks, the contemporaneous correlation between stock returns and liquidity, and the degree of high liquidity associated with low subsequent stock returns decrease in the absence of short-sales constraints relative to in the presence. To test these theoretical predictions, we examine both the component stocks of the Taiwan 50 index and other nonindex stocks for the sample period before and after the removal of short-sales constraints on the former and use trading turnover and Amihud's (2002) illiquidity ratio as the measure of liquidity to proxy for investor sentiment. Overall, our empirical results are consistent with these theoretical predictions and therefore provide evidence in support of Baker and Stein's (2004) model.     

Ergodic properties of conditional forecast functions of stable systems

Summary This paper analyzes the behavior of conditional forecast functions in stable systems. We study convergence of optimal forecast functions, of forecast functions obtained by conditioning on previous values, and conditional and joint densities.The research was done as part of the author's master thesis under Mordecai Kurz. The author thanks Mordecai Kurz, Carsten Nielsen, and Ho-Mou Wu for a careful reading of the paper and the Statistics Department of Stanford University for financial support. This research was supported in part by Fondazione ENI Enrico Mattei of Milan, Italy.     

A dynamic general equilibrium model for public R&D investment in Taiwan

In terms of economic development policies, public research and development (R&D) investment may be one of the most critical and useful tools in Taiwan, having frequently played a role in leading related overall investment in Taiwan. Although the impact channels of R&D investment are varied and complex, its benefits in terms of the development of human capital, industrial productivity, and basic research are clear. With the rapid growth of the private sector in the Taiwan economy, it is, however, debatable whether the government should continue to use the public financial budget to invest in R&D. By using a computable general equilibrium (CGE) model to simulate the impact of public R&D investment on the economy in Taiwan, the empirical evidence of the present paper is that public R&D investment gives rise to different short-term and medium-term impacts on real GDP that are mostly felt in the third or fourth years of their implementation among different industries. These impacts then gradually converge back to equilibrium in the long run. Public R&D investment boosts the technology of high-tech industries and increases exports, but it also crowds out the output of primary industries. Although the public R&D investment has a positive effect on the real wage, its effect on inflation should not be overlooked. Because of the pros and cons surrounding the impact of public R&D investment on industries and the economy, the study provided by the present paper can serve as valuable reference not only to decision-makers in government agencies but also to academic researchers.     

关于我国货币需求与实际货币缺口的经验研究——基于二阶局部调整模型的分析

本文利用二阶局部调整模型对我国的货币需求函数进行了定量估计.估计结果表明,实际产出、名义利率、通货膨胀率、股票市价总值以及货币替代率均对我国的狭义和广义货币需求产生了显著的影响.分析表明,我国近年来的利率和汇率政策仍然是以稳定通货膨胀为主要任务的;通过利率调整或者人民币升值等货币政策改善我国货币供求状况的过程中,应进一步关注各宏观经济变量对货币需求的影响动态.     

Organizational climate for innovation and creative teaching in urban and rural schools

Due to the impact of knowledge-based economies, all countries strive to foster creative education. Research has demonstrated that creativity is influenced both by individual characteristics and by the environment. Previous research examining creative teaching by teachers in Taiwan has typically focused on the relationships between creative teaching and innovative personal characteristics, school leaders’ behaviors, and internal motivation. The purpose of this study was to move beyond prior research to investigate the relationship between creative teaching behaviors and innovation-fostering elements of the organizational climate in schools. In addition, we examined the impact on teacher creativity of urban versus rural school location.     

低利率时期的货币政策效果——台湾地区及日本经验

日本央行在最近一波的景气衰退中被指为货币政策操作不佳,因其似乎只专注降低利率而忽视其它传递管道.货币政策在景气差的低利率时期是否能有效果是本文所要探讨的.台湾地区货币主管部门在上一波不景气中也不断以调降利率作为因应,因此本文利用VAR(向量自我回归)模型分别针对台湾地区及日本这两段经济不景气的低利率时期进行讨论分析.根据冲击反应分析显示,不论是台湾地区或日本在观察样本期间都得到货币政策无效的结论,其中台湾地区可能存在"投资陷阱";日本则发现存在"流动性陷阱".