Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market

In rational, efficiently functioning and complete markets, returns on derivative and underlying securities should be perfectly contemporaneously correlated. Due to market imperfections, one of these markets may reflect information faster. The use of high-frequency data and the choice for a small unit time interval to measure these lead-lag relations comes at the cost of some or many missing observations, causing traditional estimators to either under- or overestimate covariances and correlations. We use a new estimator to estimate lead-lag relationships between the cash AEX index, options and futures. We find that futures returns lead both options and cash index returns by approximately 10 minutes. The relationship between options and the cash market is not completely unidirectional.     

Negotiation support using the Graph Model for Conflict Resolution

The Graph Model for Conflict Resolution is a flexible methodology for systematically studying strategic conflicts in the real world, and is therefore a natural tool for negotiation support. The basic definitions underlying the graph model are reviewed, and the techniques for analysis and interpretation are discussed. The modeling and analysis of a case study, an international trade negotiation concerning the export of Canadian softwood lumber to the United States, are used to demonstrate the practical application of the Graph Model for Conflict Resolution as a negotiation support tool. The modeling and analysis is carried out using the GMCR software system. The ability of the Graph Model for Conflict Resolution to provide insights and advice to negotiators is emphasized.     

International trade in a differentiated good: Trade elasticities in the world rice market

In many previous rice trade models, the commodity has been regarded as a homogeneous product. However, homogeneity is not an appropriate assumption, given the various types of rice that are traded and consumed. Parameters estimated from these models, therefore, do not reflect the real world market for rice and, hence, may mislead decision makers who use the results for policy evaluation purposes. This study uses an Armington approach to model the world rice trade as a differential good market and to derive trade elasticity parameters.     

发展区域文化激发创造活力--关于加强柳州市文化建设的思考

文章在探讨区域文化的战略意义的基础上,阐述了加强柳州市文化建设的战略意义、指导思想、遵循的基本原则,探讨了推进柳州文化建设的对策,提出了通过实施十大工程和系列保障措施来促进柳州文化发展的思想.     

The Role of Holding Company Financial Information in the Insurer-Rating Process: Evidence From the Property-Liability Industry

We examine data for the year ended December 31, 1997 for 80 publicly traded property‐liability insurers that have Best financial strength ratings of their consolidated insurance‐operating subsidiaries. These firms employ a holding company structure, in which a parent owns the stock of multiple insurance‐operating subsidiaries. The operating subsidiaries prepare a consolidated annual report using the Statutory Accounting Principles (SAP), and an analogous set of financial statements based on the Generally Accepted Accounting Principles (GAAP) is released by the parent. We find that the financial characteristics important in determining ratings at the individual firm level—capitalization, liquidity, profitability, and size—are also important at the group level. Further, financial ratios from holding company statements are incrementally useful in the ratings' process, after group‐level ratios have been taken into account. Robustness tests based on a subsample of holding companies with minimal investment outside of the property‐liability industry reinforce our conclusion that parent company statements influence consolidated group ratings. However, our data do not allow us to separate the relative contribution of the GAAP model and underlying transactions to the ratings decision.     

Output-inflation tradeoffs in 34 countries

This article examines the responsiveness of real output to the variability of inflation and aggregate demand. In the manner of Lucas (1973), estimates of the output-inflation tradeoff are computed for a large sample of countries. This measure is then correlated with the variances of the inflation rate and the growth rate in nominal income. Because differences in inflation variance (and hence the tradeoff) are viewed as the outcomes of differences in demand variance, correlations between these two variables are also reported. Cross-time and cross-country results provide a good measure of support for Lucas and the notion that attempts to exploit the tradeoff weaken it.     

Using bald eagles to indicate the health of the Great Lakes' environment

The bald eagle (Haliaeetus leucocephalus) is one of the most studied birds of North America, and a great amount of natural life‐history information, including the response of various stressors on the eagles' ability to reproduce, are well known. In Michigan, the eagle has been chosen to track the trends of bioaccumulative compounds of concern across watersheds in the state. The state has been divided into major watersheds, and 20% of these are surveyed each year. A control area in northern Minnesota, Voyageurs National Park, is also sampled annually. We report here on the methods used, the preliminary results of the 1999 field season, and how differences in mercury concentrations varied over a 10‐year period. Mercury in feathers of nestling eagles declined over time only in Lakes Michigan and Huron, but have not decreased among other subpopulations in Michigan. Concentrations of polychlorinated biphenyls (PCBs) and 4,4′‐DDE in blood plasma from nestling eagles have declined over time for most subpopulations; however, they remain greater for breeding areas associated with the Great Lakes' food web. Sea eagles of the genus Haliaeetus are a good sentinel species to track trends in bioaccumulative compounds in aquatic systems.     

我国企业债券市场供给与需求的均衡分析

与股票和国债市场相比，我国企业债券市场的发展一直显得相对滞后与缓慢，我国企业债券市场清淡有其供求方面的主要原因，通过供求分析，为我国企业债券市场的健康发展提出了一些建设性的建议。