Bivariate mixed normal GARCH models and out-of-sample hedge performances

This study compares bivariate mixed normal GARCH models with standard bivariate GARCH models in terms of the percentage variance reduction of the out-of-sample hedged portfolio and also statistical significance tests of performance improvements using Superior Predictive Ability statistics. All competing models are applied to corn and wheat futures and empirical results demonstrate that the standard BEKK-GARCH model significantly outperforms the other competing GARCH models at shorter horizons. However, as the hedge horizon is extended to longer than 10 days, it is evident that the mixed normal BEKK-GARCH model is the best at the usual significance level of 5%.     

Commodity Prices and Unit Root Tests

Price theory suggests that commodity prices should be stationary series. Yet, tests for unit roots rather frequently imply that these prices are not stationary. This seeming inconsistency is investigated by applying alternative specifications of unit root tests to prices of corn, soybeans, barrows and gilts, and milk. The preponderance of evidence suggests that nominal prices do not have unit roots, but the results are sensitive to the specification of the test equation. Accounting for a structural change that shifts the mean appears to be an important issue in unit root tests.     

浅议会计电算化的内部控制

文章认为 ,企事业单位会计电算化实施后 ,带来了会计业务处理的内容和方式 ,会计信息载体等方面的变化 ,大大增加了会计内部控制的难度和复杂性。应从组织机构设置、会计电算化岗位责任制度、会计电算化系统操作制度、会计电算化系统软硬件管理制度及会计资料管理制度等方面入手 ,建立和完善电算化会计内部控制制度     

浅议地质调查项目实验测试工作预算方法--存在的问题及建议

按现行的预算编制要求,地质调查实验测试费用需拆分至相关财务费用科目并作为执行和审计的依据,但经估算,拆分数据与实际发生费用相去甚远。实验测试经费预算中存在的问题：(1)预算编制中无法“精细预算”、预算标准与实际情况不吻合;(2)实验测试工作周期不确定、受野外工作情况制约,实验测试类委托业务无法严格按照预算执行。对改进实验测试预算编制方法的建议：(1)实验测试预算管理跳出“费用科目”拆分,在预算中以工作手段体现,建议在预算附表中增加“实验测试费”表;(2)实验测试预算不区分是否为委托业务;(3)对实验测试工作手段标准进行动态调整;(4)给出实验测试工作适当的预算调整空间。     

我国农村劳动力的就业意向选择分析——以统筹城乡综合配套改革试验区重庆市为例

农村劳动力的就业意向选择问题研究是对农村富余劳动力转移就业问题研究的进一步深化。该文以统筹城乡综合配套改革试验区重庆农村劳动力资源为主要研究对象,以其当前就业意向性选择为切入点,对影响农村劳动力当前就业意向的不同偏好因素进行分析,对其相关特征变量进行了详细的描述性统计分析,并采用多元Logit模型进行实证分析。研究结果表明,重庆山区农村劳动力当前就业意向存在着明显的性别差异,男性农村劳动力素质总体上优于农村女性劳动力,两者平均年龄仍较高,男性农村劳动力更倾向于外出务工或经商就业,但总体收入仍不理想。务农就业意向的农村劳动力与务工、自主创业或经商就业意向的农村劳动力相比,在年龄、耕地、收入等变量方面存在显著劣势差异。农村劳动力的人力资本、家庭禀赋和所在村劳动力人口数等变量对其不同的就业意向选择具有重要影响和显著差异。     

林业上市公司资本结构及其影响因素的实证研究

利用主成分分析方法将反映林业上市公司资本结构影响因素的总资产、总资产增加率等15个指标归纳为两个主成分(“公司规模与盈利性”、“股权结构与成长性”),并以这两个主成分为解释变量,以资本结构度量指标为被解释变量进行多元线性回归分析,以测度这两个主成分影响林业上市公司资本结构的方向和程度。     

Tests for the Role of Risk Aversion on Input Use

For risk-averting agents, risks alter production decisions while the existence of institutions to insure against adverse states of nature will likely restore decisions toward levels under risk neutrality. In this article, conditions are identified on a stochastic technology to test   H^rn _0,≤  : that risk averters choose smaller input levels than risk neutral agents, and   H^ra _0,≤  : that an increase in risk aversion reduces input use. A robust statistical method to test for dominance is adapted to stochastic production relations. It is found that   H^rn _0,≤  is likely true for nitrogen application on Iowa corn. Weaker evidence is found in favor of   H^ra _0,≤  .     

On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices

Continuous-time models of natural resource prices usually preclude the possibility of large changes (jumps) resulting from unexpected events. To test for the presence of jumps and/or ARCH effects, we combine bounds and the Monte Carlo test technique to obtain finite-sample, level-exact p -values. We apply this methodology to stumpage prices from the Pacific Northwest and find evidence of jumps and ARCH effects. To assess the impact of neglecting jumps on the decision to harvest old-growth timber, we develop an autonomous, infinite-horizon stopping model for which we provide a new method of resolution. Our numerical results show the importance of modeling jumps explicitly.     

Precautionary Saving and Endogenous Labor Supply with and without Intertemporal Expected Utility

We analyze precautionary saving behavior in a framework with labor and nonlabor income risks, an endogenous supply of labor, and a representation of preferences that disentangles attitudes toward risk, attitudes toward intertemporal substitution, and ordinal preferences for consumption and leisure. This preference structure allows us to disentangle and to describe in an intuitive way the different forces that determine precautionary saving “in the small” and “in the large.”     

董事会秘书与信息披露质量

2006年实施的新《公司法》从法律意义上第一次确认了董事会秘书的高管地位,董秘能否提高上市公司的信息披露质量值得深入研究。本文运用Kim和Verrecchia(2001)度量信息披露质量的方法,通过对沪深300指数成份股公司进行实证分析发现:新《公司法》实施后我国上市公司的信息披露质量得到了显著提高;董秘持股会降低信息披露质量,而董秘的年龄、任职时间、教育水平、兼任情况和相关经验等对信息披露质量没有显著影响,这说明董秘的个人特征还没有很好地发挥作用,董秘制度的实施还有待进一步完善。