Copula-based multivariate GARCH model with uncorrelated dependent errors

Multivariate GARCH (MGARCH) models are usually estimated under multivariate normality. In this paper, for non-elliptically distributed financial returns, we propose copula-based multivariate GARCH (C-MGARCH) model with uncorrelated dependent errors, which are generated through a linear combination of dependent random variables. The dependence structure is controlled by a copula function. Our new C-MGARCH model nests a conventional MGARCH model as a special case. The aim of this paper is to model MGARCH for non-normal multivariate distributions using copulas. We model the conditional correlation (by MGARCH) and the remaining dependence (by a copula) separately and simultaneously. We apply this idea to three MGARCH models, namely, the dynamic conditional correlation (DCC) model of Engle [Engle, R.F., 2002. Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics 20, 339–350], the varying correlation (VC) model of Tse and Tsui [Tse, Y.K., Tsui, A.K., 2002. A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics 20, 351–362], and the BEKK model of Engle and Kroner [Engle, R.F., Kroner, K.F., 1995. Multivariate simultaneous generalized ARCH. Econometric Theory 11, 122–150]. Empirical analysis with three foreign exchange rates indicates that the C-MGARCH models outperform DCC, VC, and BEKK in terms of in-sample model selection and out-of-sample multivariate density forecast, and in terms of these criteria the choice of copula functions is more important than the choice of the volatility models.     

基于供应链的中国银行业现金物流管理探析

分析了目前现金物流管理的现状,提出了在供应链框架下构建新的现金物流管理模式,同时针对第三方现金物流管理,给出了建立仿真模型的思路和对运算结果的分析.结果显示,商业银行将现金物流业务外包具有现实可行性,能够实现中国银行业现金物流管理的低成本和高效率的战略目的.     

The Productivity Commission Inquiry Report into Mental Health—A Commentary from a Health Economics Perspective

The Productivity Commission's Inquiry Report into Mental Health makes extensive recommendations to improve population mental health as a means of further enhancing productivity and economic growth. While providing an invaluable high‐level vision for reforming current mental health and social systems at a programmatic level, it lacks supporting evidence that would guide implementation of specific recommendations. We discuss important methodological considerations used to measure the output of the mental health sector and present clinical and cost‐effectiveness evidence, supporting selected recommendations. We suggest the development of a broad‐based health technology assessment process to facilitate consistent decision making across health and other government sectors.     

Leadership research in Asia: Taking the road less traveled?

Asia is a geographical region with a cultural emphasis on power distance, paternalism, collectivism, and social relations. Leadership in this area plays an important role in organizational processes and outcomes; however, whether this role is similar to that outlined in the mainstream leadership research and non-Asian settings is yet to be confirmed. In this Special Issue on ??Leadership in Asia,?? we selected six papers and identified four emerging themes. First, several mainstream leadership theories are applicable in Asia. On the other hand, we also identified processes and effects that are unique in Asia. Second, leadership in Asia affects organizational outcomes. Third, a strong emphasis on families and social ties among Asian corporations highlights intriguing leadership dynamics in this part of the world. Finally, new context-specific leadership constructs are identified and discussed. In light of these findings, we discuss the future directions of leadership research in Asia.     

资源型城市产业转型熵及其对策——基于力学分析的视角

资源型城市若要实现可持续发展,产业必须转型。文章从力学视角分析了资源型城市产业转型熵,首先指出资源型城市产业系统的开放性,定义了产业转型熵,然后从力学视角分析其推动力、牵引力、支撑力和压力四大影响因素,构建力学模型分析资源型城市产业转型熵,最后提出应营造更加开放的发展环境、增强政策的指导性与实践性、大力发展中小型企业,为促进资源型城市产业转型与可持续发展的理论研究提供新思路。     

中国产业生态化水平的静态与动态分析——基于省际数据的实证研究

本文通过构建产业生态化水平评价指标体系,运用多种分析方法,对我国各省(直辖市、自治区)的产业生态化水平进行了静态分析与动态分析,并探讨了各地区产业生态化水平的特点、形成原因及其影响。结果表明,我国各省(直辖市、自治区)的产业生态化水平可以划分成领先区、发达区、中等区和落后区这样四大类型,进入本世纪以来四大类区域的产业生态化水平均在逐年提高,但区域之间呈现出差距不断拉大的趋势,其原因主要是发展思路与相关制度不完善、区域间经济与技术基础存在差异、产业生态化实施内容和路径上的差异、区域产业结构和产业转移造成的差异等,区域产业生态化水平差异将对我国区域经济社会发展产生严重影响。上述研究结论可为我国实施产业生态化发展提供理论依据和实证支持。     

困境与出路——银行保险专业化问题研究

银行保险作为举足轻重的保险销售渠道,其模式一直是学界研究、业界倚重、监管关注的热点。本文在评述国内外相关研究成果的基础上,提出银保模式选择是市场主体逐利行为、自身风控能力和政府管制三个因素共同作用的结果。针对当前银保发展中的突出问题,笔者借鉴世行的建议及英美、台湾等地的经验,提出银行保险专业化的改革思路,认为这是当前银保经营参与各方共赢的可选模式,并对银保模式专业化变革的具体方式和需要关注的重点问题进行了研究。     

污水生物除磷技术若干研究进展

传统脱氮除磷工艺通常因为除磷、脱氮二者的矛盾使处理水的氮、磷难以同时达标,近年来提出的生物脱氮除磷新技术及由此理论开发出的新型工艺有效地解决了这一矛盾。在介绍传统的生物除磷工艺的基础上,重点分析了生物除磷技术的发展趋势,并对以反硝化除磷工艺为代表的生物除磷新技术如A2N工艺、DEPHANOX工艺、HITNP工艺、UCT工艺及BCFS工艺原理及特点等做了简要分析。     

Accelerated restructuring in rural China fueled by ‘increasing vs. decreasing balance’ land-use policy for dealing with hollowed villages

Rapid industrialization and urbanization in China has produced a unique phenomenon of ‘village-hollowing’, shaped by the dual-track structure of socio-economic development. This paper analyzes the phenomenon of ‘village-hollowing’, identifying the processes and influences that have driven their evolution, and highlighting the challenge that the locking-up of unused rural housing land in ‘hollowed villages’ presents for China in the context of concerns over urban development and food security. The paper examines the ‘increasing vs. decreasing balance’ land-use policy has been adopted by the Chinese government in response to the problem, which seeks to balance increases in urban construction land with a reduction in rural construction land. The implementation of the scheme is discussed through a case study of Huantai county in Shandong province, drawing attention to its contested and contingent nature. It is argued that the policy is a top-down approach to rural restructuring that necessarily requires the acquiescence of local actors. However, it is noted that failures to adequate engage with local actors has led to resistance to the policy, including violent protests against the demolition of housing. The paper suggests that lessons might be learned from Europe by incorporating elements of ‘bottom-up’ planning into the process. As such, the paper demonstrates that rural restructuring in China is a dynamic, multi-scalar and hybrid process that shares common elements and experiences with rural restructuring in Europe and elsewhere, but which is also strongly shaped by the distinctive political, economic, social and cultural context of China.     

基于违约概率的消费信贷风险分析与度量

提高消费信贷风险管理的技术，有效控制信贷风险已成为我国商业银行在开展消费信贷业务过程中所面临的首要问题。由于消费信贷风险暴露具有一定的时滞性，使得某一时点的不良贷款率不能反映真实的违约水平。本文通过一个偿还能力模型讨论了消费者负债率与消费信贷预期违约率之间的定量关系，并比较了不良贷款率与实际违约率的收益与风险损失，为商业银行消费信贷管理提供了一个新的思路和相应的政策建议。