协约型环境模式的有效性及其对中国环境管理的启示

本文通过描述和分析协约型环境政策的基本演进过程,对协约型环境政策模式的效果及其实施背景进行了深入的评析,指出中国环境政策与环境实践仍处于欧洲环境管理演进历程的初级阶段的现实,对协约型环境政策模式作为“第三策略选择”在中国的环境政策中应用的可行性展开了讨论。     

Polarization patterns in economic development and innovation

This paper examines the polarization of economic development in African economies. Based on nonparametric and bipolarization frameworks, we find that countries tend to cluster in two classes, and that bipolarization has been accelerating over the period 1966–2008. We relate the evolution of income bipolarization to specialization in a country. The main sectors that tend to reduce income bipolarization are mining and services. We also study the effects of innovation on income polarization. In particular, we analyze short-run and long-run effects of innovation and their inter-relationship with income polarization. We show that the impact of innovation differs depending on its origin and its type. If innovation is resident, then trademarks outweigh patents. On the contrary, if the origin of innovation is non resident, then patents have a greater effect. Moreover, there is an adjustment process between trademarks residents and patents residents. In the short-run, when trademarks residents are too high, they quickly fall back toward patents residents level. We do not observe such adjustments between trademarks non residents and patents non residents. Last, unexpected shocks that affect patents (res. trademarks) have a permanent (res. transitory) effects on income polarization.     

TESTING CATCHING‐UP BETWEEN THE DEVELOPING COUNTRIES: “GROWTH RESISTANCE” AND SOMETIMES “GROWTH TRAGEDY”

This paper provides empirical evidence that there is no convergence between the GDP per‐capita of the developing countries since 1950. Relying upon recent econometric methodologies (non‐stationary long‐memory models, wavelet models and time‐varying factor representation models), we show that the transition paths to long‐run growth (the catch‐up dynamics) are very persistent over time and non‐stationary, thereby yielding a variety of potential steady states (conditional convergence). Our findings do not support the idea according to which the developing countries share a common factor (such as technology) that eliminates per‐capita output divergence in the very long run. Instead, we conclude that growth is an idiosyncratic phenomenon that yields different forms of transitional economic performance: growth tragedy (some countries with an initial low level of per‐capita income diverge from the richest ones), growth resistance (with many countries experiencing a low speed of growth convergence), and rapid convergence.     

Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models

A new literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of UHF-GARCH models to forecast future volatilities on irregularly spaced data. We also compare the out-sample performance of these generalized autoregressive conditional heteroskedastic (GARCH) models with the realized volatility method. We propose a procedure to account for the time deformation problem and show how to use these models for computing daily Value at Risk (VaR).     

Cumulant instrument estimators for hedge fund return models with errors in variables

We revisit the factors incorporated in asset pricing models following the recent developments in financial markets – i.e., the rise of shadow banking and the change in the transmission channel of monetary policy. We propose two versions of the Fung and Hsieh (2004) hedge fund return model, especially an augmented market model which accounts for the new dynamics of financial markets and the procyclicality of hedge fund returns. We run these models with an innovative Hausman procedure, tackling the measurement errors embedded in the models factor loadings. Our empirical method also allows for confronting the drawbacks of the instruments used to estimate hedge fund asset pricing models.     

Nonconvergence in the Variation of the Hedging Strategy of a European Call Option

In this paper we consider the variation of the hedging strategy of a European call option when the underlying asset follows a binomial tree. In a binomial tree model the hedging strategy of a European call option converges to a continuous process when the number of time points increases so that the price process of the underlying asset converges to a Brownian motion, the Bachelier model. However, the variation of the hedging strategy need not converge to the variation of the limit process. In fact, it is shown that the asymptotic variation of the hedging strategy may be of any order.