Alternative modeling for long term risk

In this paper, we propose an alternative approach to estimate long-term risk. Instead of using the static square root of time method, we use a dynamic approach based on volatility forecasting by non-linear models. We explore the possibility of improving the estimations using different models and distributions. By comparing the estimations of two risk measures, value at risk and expected shortfall, with different models and innovations at short-, median- and long-term horizon, we find that the best model varies with the forecasting horizon and that the generalized Pareto distribution gives the most conservative estimations with all the models at all the horizons. The empirical results show that the square root method underestimates risk at long horizons and our approach is more competitive for risk estimation over a long term.     

Option pricing with discrete time jump processes

In this paper we propose new option pricing models based on class of models with jumps contained in the Lévy-type based models (NIG-Lévy, Schoutens, 2003, Merton-jump, Merton, 1976 and Duan based model, Duan et al., 2007). By combining these different classes of models with several volatility dynamics of the GARCH type, we aim at taking into account the dynamics of financial returns in a realistic way. The associated risk neutral dynamics of the time series models is obtained through two different specifications for the pricing kernel: we provide a characterization of the change in the probability measure using the Esscher transform and the Minimal Entropy Martingale Measure. We finally assess empirically the performance of this modelling approach, using a dataset of European options based on the S&P 500 and on the CAC 40 indices. Our results show that models involving jumps and a time varying volatility provide realistic pricing and hedging results for options with different kinds of time to maturities and moneyness. These results are supportive of the idea that a realistic time series model can provide realistic option prices making the approach developed here interesting to price options when option markets are illiquid or when such markets simply do not exist.     

社区银行发展的经济学分析与路径选择

社区银行是一种充满生命力的经营模式。从发达国家的实践来看，社区银行的蓬勃发展得益于正确的市场定位、明晰的产权结构、强力的政策扶持以及有序的金融监管。从经济学上看，这一模式的存在是源于金融专业化分工的客观要求、在特定的领域拥有信息和交易成本的比较优势。建立一个覆盖城乡的社区银行体系能够弱化我国经济发展中典型的二元经济结构。结合我国国情，社区银行的发展路径包括：改造现存的部分地方中小银行，由民营资本组建新的社区银行，将民间金融组织引导规范成社区银行。此外，社区银行的有效运行还需要建立健全法律体系、建立存款保险制度等配套措施。     

中国金融危机与农产品价格走势的协整研究

本文基于当前美国金融危机背景,选取了有代表性的我国经济指标,利用2005—2008年的月度数据,运用单位根检验和协整检验,对其与农产品价格进行了协整分析,指出该时期内我国居民消费价格指数和农产品价格指数的时间序列均带有一阶差分,证实了我国经济增长与农业经济增长存在稳定的协整关系。最后,基于实证结果分析了金融危机阶段农业对我国国民经济的影响,为相关职能部门进行决策提供了依据。     

创新管理开辟现代物流企业安全管理新途径

随着市场经济的发展,传统储运业正在积极向现代物流业转化,安全管理工作也随之发生了许多新的变化。因此,在现代物流企业的安全管理中,只有对安全管理的模式进行改革和创新,才能确保企业的安全。     

Remittances and deforestation in developing countries: Is institutional quality paramount?

This study examines the impact of remittance inflows on deforestation in developing countries. We also investigate the role of institutional quality in enhancing remittances’ effect in reducing deforestation. Our results suggest that overall remittances reduce deforestation. We show that remittances’ reduction effect on deforestation is greater in middle-income countries than in low-income countries. Considering institutional quality, our findings suggest that, for the entire sample, and in low- and middle-income countries, control of corruption, political stability, government effectiveness and rule of law act to reduce deforestation. Moreover, institutional quality enhances the impact of remittances on reducing deforestation in the entire sample and in middle-income countries. In contrast, in low-income countries, institutional quality does not complement remittances to reduce deforestation.These results imply that, to reduce deforestation rates, the focus should not only be on economic development, but to an even greater extent, on institutional quality.     

Non-monetary poverty in Togo: a multidimensional approach

The monetary approach is not sufficient to understand the multiple dimension of poverty. The purpose of this research is therefore to measure and analyze multidimensional poverty reduced to a single non-monetary dimension and according to the characteristics of household heads. Based on the non-monetary variables provided by the most recent country survey (QUIBB 2006), we use Multidimensional Correspondence Analysis techniques to construct a Composite Poverty Indicator. The results of the non-poverty index suggest that the poorest are large families and households in rural areas. The deprivation is also more serious in households whose heads are male, aged between 51 and 99 and less educated. The findings are the same for the monetary approach at the poverty line, leading to the conclusion that both types of poverty are quite strongly and positively correlated. Finally, we propose some recommendations for socioeconomic policies.     

Measuring transnational leakage of forest conservation

Forest conservation in one country can influence the degree of conservation or deforestation in other countries because of international linkages of the forest products industry and markets and a lack of global coordination. Thus leakage and offsetting losses of environmental quality may be present. This paper develops an analytical framework for measuring this leakage and estimates its magnitude via general equilibrium modeling. We find that the magnitude of leakage depends upon the price elasticities of supply of and demand for forestry products across the countries and degree of cooperation in forest conservation. We estimate that a significant portion (42%-95%) of the reduced forestry production implemented in a country/region can be transferred to elsewhere, offsetting environmental gains. Leakage generally diminishes as more countries cooperate, but cooperation among only a few countries does not always dramatically reduce leakage. Thus forest conservation efforts and associated environmental quantity gains in a country or group of countries can be seriously undermined in terms of global net conservation gain in the absence of effective global cooperation. Our results also point to the importance of taking leakage into account in evaluating local or regional forest carbon sequestration projects.     

“两方向决策”论与可持续发展：关于人口发展与资源环境协调的理论探讨

本文回顾了我国人口理论研究的成果 ,说明在进一步作人口发展与资源环境协调的理论研究时要强调人的主体性与能动作用 ,提出了人在利用和改造资源环境发展社会经济过程中须坚持“两方向决策”论 ,进而阐述了“两方向决策”论在可持续发展研究中的意义。     

Tracking precursors of entrepreneurial intention: the case of researchers involved in eco-label industry

This article is based on the adaptation of Ajzen’s theory of planned behavior (TPB) to build an entrepreneurial intention framework tailored to the specific context of researchers involved in eco-label industry, who can be perceived as nascent entrepreneurs. The entrepreneurial intention model is tested on a convenience sample of researchers involved in eco-label industry from a wide range of countries. The configurational effect of research experience, personal attitude, funding instruments and entrepreneurial education level is tested for causal condition related to entrepreneurial intention of 25 eco-label researchers. The qualitative approach of data reveals that research experience and personal attitude relate positively to entrepreneurial career intentions and that these relationships are mediated by entrepreneurial education level. A multi-sided online platform connecting innovators and potential investors is considered a suitable solution for funding respondents’ results of research and innovation activities. Stimulating entrepreneurial motivations and intentions may help researchers to better adapt to alternative career perspectives. Results of this study suggest several ways to stimulate entrepreneurial career choices among researchers involved in eco-label industry.