On geometric ergodicity of the commodity pricing model

We provide a simple proof of geometric ergodicity for Samuelson's (1971) commodity pricing model. The proof yields a rate of convergence to the stationary distribution stated in terms of model primitives. We also provide a rate of convergence for prices to the stationary price process, and for the joint distribution of the state process to the stationary state process.     

HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES

We study a finite-dimensional approach to the Heath–Jarrow–Morton model for interest rate and introduce a notion of approximate consistency for a family of functions in a deterministic and stochastic framework. This amounts to asking the decrease of the minimum distance in least squares sense. We start from a general linearly parameterized set of functions and extend the theory to a nonlinear Nelson–Siegel family. Necessary and sufficient condition to have approximately consistency are given as well as a criterion of stability for the approximation.     

A novel approach to portfolio selection using news volume and sentiment

In this study, we develop a novel approach to portfolio diversification by integrating information on news volume and sentiment with the k-nearest neighbors (kNN) algorithm. Our empirical analysis indicates that high news volume contributes to portfolio risk, whereas news sentiment contributes to portfolio return. Based on these findings, we propose a kNN algorithm for portfolio selection. Our in-sample and out-of-sample tests suggest that the proposed kNN portfolio selection approach outperforms the benchmark index portfolio. Overall, we show that incorporating news volume and sentiment into portfolio selection can enhance portfolio performance by improving returns and reducing risk.     

美国经济周期变动中的货币政策研究

随着美国经济周期的演进,经济运行呈现出相对平稳且较高水平的增长.这一过程伴随了以凯恩斯主义、货币主义、"泰斯规则"为理论基础的货币政策选择.在中介目标的选取及政策的实施效果上,货币政策在平稳经济周期中的作用正在形成一个透明、有效、优化的路径,减缓了短期经济周期的剧烈波动,延长了经济增长的周期.     

贸易自由化进程的国家利益分析

文章以国家利益为视角,分析从GATT到WTO的贸易自由化进程,说明国家利益是贸易自由化的内在动力,中国在贸易自由化进程中既要遵循国际惯例,更要遵循“国家利益原则”。     

An Overview of China’s Bond Markets

I.Introduction China's success in developing a fully functioning capital market depends in large part onwhether it succeeds in establishing a thriving market for bonds.The government has,untilrecently,restricted the types of bonds that can be issued in China.But China has realizedthat there are powerful financial reasons to promote the expansion and deepening of theChinese bond market.Among the most important are,first,that bonds would be desirableadditions to the portfolios of Chinese insur…     

我国《零售商供应商公平交易管理办法》有效性分析与经济学反思

一般认为,由于市场失效的存在,因此必须借助政府的力量加以规制,以保证社会福利的最大化。但是现实中规制政策却常常失效。本文利用实地访谈、问卷调查等手段对我国不久前刚刚出台的《零售商供应商公平交易管理办法》实施效果进行了有效性评估,发现政策基本无效。对此,我们尝试从交易费用经济学的视角,对其原因进行了分析阐释。结合上述分析,文章最后对规制失灵是否意味着需要强化规制、规制中的政府角色以及公共利益的本质等三项问题进行了反思,并给出了相关政策建议。     

Barriers to offering special interest tour products to the Chinese outbound group market

As Chinese outbound tourists expand in numbers and diversity, they may seek more challenging special interest tourism (SIT) activities. Tourists' participation in SIT activities can be profitable to a wider range of providers, enhance destination image, and enrich tourists' experiences. This research investigated the opportunities for offering SIT products to the China outbound group market by interviewing 20 Chinese outbound tour operators to examine the extent of interest in developing the product as well as factors driving or hindering the development. Findings revealed four types of barriers that influence operators’ willingness to incorporate SIT activities in their product offerings. Drawing on a critical social theory approach that focuses on 'enlightenment' and 'critique', this paper argues the validity of these perceived barriers - operators are risk-averse for institutionalised practical, social, cultural, and policy-related reasons.     

Remodeling international tourism demand: Old theory and new evidence

The purpose of this study is to advance the tourism demand theory by excluding simultaneous effects of exchange rates and prices in empirical models, formulating an alternative pricing modus operandi consistent with recent research in the area, and demonstrating the efficacy of the use of an industrial production index (IPI) as a proxy for income. A panel fully modified ordinary least squares (FMOLS) method is employed to estimate the inbound tourism demand for Turkey. Study findings suggest that the inclusion of exchange rates and prices, as mutually exclusive components, can be misleading; the IPI is not a good proxy for income; and country-specific coefficients need to be analyzed to accurately explain determinants of tourism demand for countries in the panel.     

2011年4月国际金融市场运行综述

2011年4月,美元指数加速下行;美元短期利率小幅走低,欧元短期利率继续走高;主要国家中长期国债收益率走低;全球主要股指振荡上涨。