Stock Price Index and Exchange Rate Nexus in African Markets

This paper examines the relationship between stock price index and exchange rate in six African markets using monthly data for the period January 2007 to October 2015. A quantile regression approach is used. This methodology is shown to perform better than the ordinary least squares estimators, particularly when the conditional distribution is heterogeneous. Our empirical evidence reveals an interesting pattern in the association of these two financial markets in Africa, which shows that the negative relationship between stock and foreign exchange markets is more apparent when exchange rates are extremely low or high. The negative relationship between the two variables is in line with the portfolio balance effect.     

What hinders innovation performance of services and manufacturing firms in Mexico?

Barriers to innovation are heterogeneous, of financial and non-financial nature. The importance of barriers to innovation and their actual influence on innovation depend on firms’ characteristics such as sectoral affiliation, technological behavior and their response to perceived obstacles to innovation. Firms either continue to engage in innovation, or they avoid the activity altogether. This paper explored the nature and perceived importance of the obstacles to innovation that firms confront, in a developing-country context; we build on survey data about firms in Mexico. Our findings suggest that two kinds of policy interventions should help offset a firm’s perception of barriers to innovation. On the one hand, policies should enhance the innovation capacity of firms interested in innovation; on the other hand, policies need to tackle factors that reduce the interest of firms in innovation. Policies that boost demand for locally generated innovations would assist in achieving both these goals.     

Assessment of the effect of the financial crisis on agents’ expectations through symbolic regression

Agents’ perceptions on the state of the economy can be affected during economic crises. Tendency surveys are the main source of agents’ expectations. The main objective of this study is to assess the impact of the 2008 financial crisis on agents’ expectations. With this aim, we evaluate the capacity of survey-based expectations to anticipate economic growth in the United States, Japan, Germany and the United Kingdom. We propose a symbolic regression (SR) via genetic programming approach to derive mathematical functional forms that link survey-based expectations to GDP growth. By combining the main SR-generated indicators, we generate estimates of the evolution of GDP. Finally, we analyse the effect of the crisis on the formation of expectations, and we find an improvement in the capacity of agents’ expectations to anticipate economic growth after the crisis in all countries except Germany.     

老年人旅游消费影响因素的实证研究——以洪山区为例

通常的研究认为,消费与收入有关,旅游消费也不例外。对洪山区老年旅游者进行问卷调查和实证分析,得到如下结论：影响老年人旅游消费的主要因素是个人旅游偏好和空余时间的安排;同时,老年人大都关注体力和健康因素,而对花费和经济因素则一般不太关注。最后,基于实证研究的结论对如何提高中国老年人旅游需求提出了增强旅游资源的宣传发展特色旅游、加大政府投入,完善基础设施,提高服务水平等建议。     

Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk

Pre-test estimators (PTE) are considered which are optimal under a Bayes risk among PTE with general measurable sets as “regions of significance” for the test statistic t associated with the estimate of a given regression coefficient. Asymptotic and some finite sample results are stated and numerical experiments are commented on.     

Mean squared error of the empirical best linear unbiased predictor in an orthogonal finite discrete spectrum linear regression model

The mean squared error (MSE) of the empirical best linear unbiased predictor in an orthogonal finite discrete spectrum linear regression model is derived and a comparison with the MSE of the best linear unbiased predictor in this model is made. It is shown that under weak conditions these two mean square errors are asymptotically the same.     

On Minimally-supported <Emphasis Type="Italic">D</Emphasis>-optimal Designs for Polynomial Regression with Log-concave Weight Function

This paper studies minimally-supported D-optimal designs for polynomial regression model with logarithmically concave (log-concave) weight functions. Many commonly used weight functions in the design literature are log-concave. For example, and exp(−x ²) in Theorem 2.3.2 of Fedorov (Theory of optimal experiments, 1972) are all log-concave. We show that the determinant of information matrix of minimally-supported design is a log-concave function of ordered support points and the D-optimal design is unique. Therefore, the numerically D-optimal designs can be constructed efficiently by cyclic exchange algorithm.     

创新驱动下中国区域高质量发展——基于平衡充分发展水平的门槛分析

创新驱动是破解中国区域不平衡不充分发展的突破口,是实现高质量发展的助推器。采用2003—2017年中国30个省市(因数据缺失,不包括西藏地区和港澳台地区)面板数据,运用全局参比Malmquist模型测度了中国区域高质量发展水平,并通过构建指标体系分别对中国各省市的平衡发展和充分发展水平进行了评价,然后通过门槛回归模型分析了在不同平衡和充分发展水平下创新驱动对于高质量发展的影响机制。结果发现:①区域高质量发展水平呈现出先下降后上升的变化趋势;②各省市平衡和充分发展水平均呈现上升趋势,但各省市之间的变化情况差异较大,有明显的空间集聚特征;③在不同的平衡及充分发展水平下,创新驱动对高质量发展的影响机制是不同的,当平衡充分发展水平较低时,创新驱动对高质量发展没有显著影响;当平衡充分发展达到一定水平时,创新驱动对高质量发展起到一定的促进作用;随着平衡充分发展水平的进一步提高,创新驱动对高质量发展的促进作用越来越大。     

Forecasting China's GDP growth using dynamic factors and mixed-frequency data

Forecasting GDP growth is important and necessary for Chinese government to set GDP growth target. To fully and efficiently utilize macroeconomic and financial information, this paper attempts to forecast China's GDP growth using dynamic predictors and mixed-frequency data. The dynamic factor model is first applied to select dynamic predictors among large amount of monthly macroeconomic and daily financial data and then the mixed data sampling regression is applied to forecast quarterly GDP growth based on the selected monthly and daily predictors. Empirical results show that forecasts using dynamic predictors and mixed-frequency data have better accuracy comparing to traditional forecasting methods. Moreover, forecasts with leads and forecast combination can further improve forecast performance.     

中国资本账户开放进程中跨境证券投资对国内金融市场的影响*

随着中国资本项目开放进程的推进,跨境证券投资对国内金融市场的冲击日益增强。在此背景下,本文首先通过构建考虑了资本市场收益率以及有管理浮动汇率制度的IS LM BP模型对跨境证券投资与中国国内金融市场的相互影响机理进行了理论探究,并基于中国2005年7月—2016年8月的月度数据,运用马尔科夫区制转移向量自回归模型对中国资本账户开放进程中跨境证券投资与人民币汇率、股票市场收益率、短期利率的联动关系进行了实证分析。研究结果表明：第一,四者的关联性存在明显的区制特征,区制1主要包括次贷危机时期（2007—2008年）、欧债危机时期（2010—2012年）以及后金融危机时期（2015—2016年）,经济呈现“股票市场收益率较低、跨境证券投资较少、短期利率较高、金融市场波动性大”的状态;区制2主要包括次贷危机前夕（2005—2006年）、次贷危机后的量化宽松时期（2009—2010年）以及欧债危机后的调整期（2013—2014年）,经济呈现“股票市场收益率较高、跨境证券投资较多、短期利率较低、金融市场波动性小”的状态。第二,当处于资本市场化进程较快、金融市场波动性较大的区制阶段（区制1）时,跨境证券投资与国内金融市场的联动关系更加明显。本文研究结论对于我国进一步开放资本市场具有借鉴价值和政策启示。