我国支线航空发展:痛并快乐着

我国现在规划从民航大国向民航强国迈进。要实现这个宏伟蓝图,不仅需要从航空制造业方面讲我国能够实现具有自我知识产权的核心机型,而且从航空运输业来说需要实现支线航空的长足可持续性发展。发现支线航空也是实现民航强国的一个重要保障点。我国支线航空目前正在干线航空和高铁的夹缝中艰难前行,痛并快乐着。     

沪深A、B股市场分割的实证研究——基于GARCH模型的收益率波动引导关系

运用计量经济学中GARCH模型和Granger因果性检验。分阶段实证检验了B股市场自对内开放以及汇率制度改革以来,沪深两市A、B指收益率波动的引导关系。得到的结论主要有：B股市场对内开放以来,沪深两市收益率波动的引导关系以及A、B指收益率波动的引导关系有所增强;特别是汇率制度改革以来,A、B股市场收益率波动的引导关系表现得更加显著。     

多媒体、网络技术在英国文学教学中的应用

摘要:一直以来,英国文学课始终面临着教学内容庞杂、课时少、教学手段陈旧、教学目的不明确、学生兴趣不浓厚等诸多问题。多媒体、网络技术的发展为解决上述问题,改革英国文学课传统教学模式提供了可能。通过以教学实例为证,探讨了多媒体课件、网络自主学习平台,以及博客、讨论群等网络技术手段如何在英国文学课教学中得以整合并有效应用。     

货币供给、货币流通速度与经济波动

通过修正的计算货币流通速度的指标,结合广义货币供给增加量来考察我国货币冲击对经济波动的影响,利用1997—2011年的季度数据通过建立VAR模型、格兰杰因果关系检验、脉冲响应及方差分解来实证检验我国货币冲击对经济波动的影响。     

损失模型的风险比较及其应用

在金融、经济和管理等领域经常需要比较不同的风险。相对于常用的VaR和TVaR等风险度量方法而言,基于随机序的风险比较更具全局性。本文首先在损失金额和损失次数模型下,讨论了基于止损序的风险比较问题;然后讨论了保费原理对风险序的保持情况;最后应用累积赔付额数据对本文的理论模型进行了实证检验。     

卖空交易与市场波动性、流动性研究——基于中国香港证券市场的实证分析

本文利用中国香港证券市场数据实证研究了卖空交易机制与市场流动性和波动性的关系。研究结果表明:卖空交易额变动与市场流动性变动之间并没有长期协整关系,但在短期内卖空交易机制会在一定程度上为市场提供流动性;从长期来看市场流动性变化是卖空交易额变化的原因。卖空交易额变化可以解释市场波动性的变化,卖空交易额增加,则市场波动性也将放大,即在一定程度上卖空交易机制会增加市场的波动性。秩和检验显示:推出卖空机制后会显著提升市场流动性和波动性;启用Up-Tick会显著降低市场流动性和波动性,反之反是;暂停"卖空价规则"对卖空交易额没有显著影响,但可显著提升市场波动性和流动性。     

Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach

Increasing attention has been focused on the analysis of the realized volatility, which can be treated as a proxy for the true volatility. In this paper, we study the potential use of the realized volatility as a proxy in a stochastic volatility model estimation. We estimate the leveraged stochastic volatility model using the realized volatility computed from five popular methods across six sampling-frequency transaction data (from 1-min to 60- min) based on the trust region method. Availability of the realized volatility allows us to estimate the model parameters via the MLE and thus avoids computational challenge in the high dimensional integration. Six stock indices are considered in the empirical investigation. We discover some consistent findings and interesting patterns from the empirical results. In general, the significant leverage effect is consistently detected at each sampling frequency and the volatility persistence becomes weaker at the lower sampling frequency.     

油价冲击、货币政策调整与产出波动——基于中国的经验证据

本文基于我国2001-2010年宏观经济月度数据,采用SVAR模型分析了国际油价波动时,央行货币政策在排除回应油价干扰与未排除干扰下的反应差异及油价波动对产出的影响。研究发现,在排除货币政策回应油价波动干扰后,通过脉冲响应函数反映的油价波动对产出的短期负面影响消失。方差分解结果显示,长期内产出波动由油价冲击和货币政策解释的比例分别为5716%和32480%,比排除干扰前分别下降了2569%和4560%。这说明我国油价冲击带来的经济衰退主要是因为货币政策及其回应油价冲击紧缩所致。此外,面对油价的短期冲击,CPI指数并未随着生产者购进价格指数上升而上升,产出也未发生明显的衰减;但在较长时间内,油价上升会因为相对价格的改变,而影响CPI水平和货币政策,从而对产出产生显著的负面影响。     

Option pricing in the moderate deviations regime

We consider call option prices close to expiry in diffusion models, in an asymptotic regime (“moderately out of the money”) that interpolates between the well‐studied cases of at‐the‐money and out‐of‐the‐money regimes. First and higher order small‐time moderate deviation estimates of call prices and implied volatilities are obtained. The expansions involve only simple expressions of the model parameters, and we show how to calculate them for generic local and stochastic volatility models. Some numerical computations for the Heston model illustrate the accuracy of our results.     

Monetary integration vs. real disintegration: single currency and productivity divergence in the euro area #

Productivity slowdown plays a prominent role in the build-up of the euro area crisis. This phenomenon affected member countries asymmetrically, causing divergence in their productivity trends. Recent research traces this divergence back to monetary integration. After reviewing the arguments that link real “disintegration” of the euro area to its monetary integration, we assess them empirically by modelling the evolution of labour productivity using a panel of sectorial data. The results indicate that monetary unification may actually have fostered divergence in productivity trends, and suggest some economic policy measures that could prevent further divergence.