Block recursion and structural vector autoregressions

In applications of structural VAR modeling, finite-sample properties may be difficult to obtain when certain identifying restrictions are imposed on lagged relationships. As a result, even though imposing some lagged restrictions makes economic sense, lagged relationships are often left unrestricted to make statistical inference more convenient. This paper develops block Monte Carlo methods to obtain both maximum likelihood estimates and exact Bayesian inference when certain types of restrictions are imposed on the lag structure. These methods are applied to two examples to illustrate the importance of imposing restrictions on lagged relationships.     

CO‐INTEGRATING VAR MODELS AND ECONOMIC POLICY

This paper surveys some relevant contributions to the economic literature on co‐integrating vector autoregressive (VAR) models [vector error correction mechanisms (VECMs)], emphasizing their usefulness for economic policy. It further discusses some theoretical aspects that are necessary for a complete understanding of their potential. The theoretical introduction of the co‐integrating VAR model is followed by an illustration of its applications to monetary policy, fiscal policy and exchanges rates as well as in establishing the effects of structural bilateral shocks between countries (the so‐called global VAR, or GVAR, models). Special attention is paid to the VECM capacities of being used in conjunction with dynamic stochastic general equilibrium models and of jointly specifying the short‐ and long‐run dynamics, thus representing the steady‐state of economic systems (by means of the co‐integration relations) and the short‐run dynamics around it.     

FDI流量变化对中国宏观经济的影响分析

改革开放以来,我国利用FDI的总额不断增长,规模不断扩大,为经济发展作出了极大贡献。为了解FDI对我国经济的具体影响,文章利用我国1983—2008年统计资料中的时间序列数据,利用VAR模型分析FDI对我国经济发展的影响和贡献。     

U.S. Canned Tuna Supply and Demand

Abstract

A 3SLS econometric model is used to estimate price elasticities of supply and demand for domestically produced and imported canned tuna in the U.S. market. In addition, a VAR model is developed to examine the relations between imports and domestically produced canned tuna. For domestically produced canned tuna, a 3SLS estimation of a structural econometric model yielded a coefficient for price elasticity of supply of 0.2 and of own-price demand of ?0.3. Such price inelasticities are expected of a fishery exploited at or near its maximum yields (inelastic supply), and a consumer product widely viewed as almost a necessity in a well-stocked pantry (inelastic demand). In addition, the model yielded a cross-price elasticity of demand with respect to the price of imported canned tuna of 0.45. Additional results include an income elasticity U.S. demand for domestically packed tuna of 0.83; a cross-price elasticity with the price of bread (a complement) of ?0.33, a cross-price elasticity for the price of ground meat (a substitute) of 0.30. With respect to imported canned tuna in the U.S. market, the corresponding elasticities estimated in the model are ?1.3 (own-price demand), 3.5 (income elasticity), ?1.2 (cross-price with the price of bread) and 2.5 (cross-price with the price of ground meat).

For canned tuna company managers, the results provide useful information about the likely effects on sales that would come from their own price changes, from changes in the price of imported canned tuna, and from price changes in the markets for complementary and substitute products. They can also use our results in discussions with U.S. trade negotiators, who are frequently faced with disputes over tariffs, market access, and other trade issues.     

皖港贸易对皖服务业影响的实证研究

建立了VAR模型试图分析这皖港之间的进出口贸易对安徽服务业发展的影响类型及影响程度,联合检验的结果是皖港进出口贸易是皖服务业发展的原因,单独检验的结果认为安徽从香港的出口贸易是安徽服务业的发展的一个内在原因;脉冲分析认为,安徽对香港的出口贸易对安徽服务业的发展有着显著的、积极而持久的影响,而安徽从香港的进口贸易对安徽服务业的影响相对不够显著;方差分解的结果与脉冲图像分解的结论一致。最后提出一些政策建议和措施。     

关于VaR在风险管理中的研究综述

风险管理技术日益成为金融工程与金融管理领域最重要的研究对象之一,而风险度量技术则是风险管理的核心与基础。只有在准确度量风险暴露头寸的基础上才能更好的进行风险管理。风险测量技术从最早的简单静态的资产-负债管理不断演化发展,时至当下,VaR技术成为最为风靡的风险度量技术。计算VAR的技术方法层出不穷,主要可分为三类:参数法(包括各种正态参数法、加权平均法等);非参数法(包括历史模拟法和蒙特卡洛模拟法);半参数法(包括极值理论等)     

创业决策研究观点分析与发展趋势展望

随着全球创业活动日益活跃,创业研究已经成为管理学界发展较快的研究领域之一,其中创业决策逐渐发展为一个重要的研究方面,成为学者们探索创业行为规律的新视角。本文通过对国内外学者关于创业决策研究文献的梳理,总结出创业机会——机会识别——创业决策研究路径、风险感知——风险倾向——创业决策研究路径、创业环境——机会认知——创业决策研究路径、环境不确定——效果推理——创业决策等关于创业决策不同的研究路径,同时对现有研究成果进行了述评,指出了其中存在的问题,并进一步阐述了创业决策研究未来的研究方向。     

车架厂贮气筒焊装线研究与改善

运用工作研究的操作分析和动作分析方法,对某汽车焊装线流程和节拍进行了详细的测定与分析,对有关不规则操作和不合理动作等问题提出了改进优化方案,实践证明改进效果明显。     

基于EIQ—ABC分析法的T宠物用品公司仓储管理实证分析

EIQ-ABC分析法是仓储管理中有效的定量分析方法,它充分挖掘订单资料的数据信息,为仓储管理提供可靠的数据支持。在对T宠物用品配送中心的实证研究中,重点应用IQ-ABC分析、IK-ABC分析和IQ-IK交叉分析对订单资料进行多维度分析,并根据分析结果提出了货位规划和货物管理等仓储管理方面的建议。     

Demographic changes, saving, and current account: An analysis based on a panel VAR model

This paper empirically investigates the macroeconomic effects of demographic changes, focusing on saving rates and current account balances. The econometric investigation based on the panel VAR model shows substantial demographic effects on national saving rates and current account balances in the major advanced (G-7) countries. An increase in the dependency rate significantly lowers saving rates, especially public saving rates. Further, a higher dependency rate significantly worsens current account balances.