一个包含异质信念的GARCH模型

文章利用信息交易量得到投资者异质信念的代理变量,给出一个包含投资者异质信念的GARCH（1,1）模型。该模型的估计结果表明,上海证券市场与纽约证券市场上都存在明显的投资者异质信念现象,且异质信念显著放大了中、美证券市场上的投资风险。     

基于灰色数列GM(1,1)模型的灾后旅游业综合收入预测——以汶川地震后的都江堰市为例

文章以地震前原始统计数据为基础,以灰色系统理论贯穿,借助于DPS数据处理系统,着力于建立灰色GM(1,1)模型,并对之进行检验,在此基础上,综合地震对都江堰市旅游的影响,对后续几年的旅游综合收入进行预测,获得相关的预测效果。     

Instrumental variables and wavelet decompositions

The application of wavelet analysis provides an orthogonal decomposition of a time series by time scale, thereby facilitating the decomposition of a data series into the sum of a structural component and a random error component. The structural components revealed by the wavelet analysis yield nearly ideal instrumental variables for variables observed with error and for co-endogenous variables in simultaneous equation models. Wavelets also provide an efficient way to explore the path of the structural component of the series to be analyzed and can be used to detect some specification errors. The methodology described in this paper is applied to the errors in variables problem and simultaneous equations case using some simulation exercises and to the analysis of a version of the Phillips curve with interesting results.     

The endogeneity of the Optimum Currency Area criteria in East Asia

The Asian financial crisis in mid-1997 has increased interest in policies to achieve greater regional exchange rate stability in East Asia. It has renewed calls for greater monetary and exchange rate cooperation. A country's suitability to join a monetary union depends, inter alia, on the trade intensity and the business cycle synchronization with other potential members of the monetary union. However, these two Optimum Currency Area criteria are endogenous. Theoretically, the effect of increased trade integration (after the elimination of exchange fluctuations among the countries in the region) on the business cycle synchronization is ambiguous. Reduction in trade barriers can potentially increase industrial specialization by country and therefore resulting in more asymmetry business cycles from industry-specific shocks. On the other hand, increased trade integration may result in more highly correlated business cycles due to common demand shocks or intra-industry trade. If the second hypothesis is empirically verified, policy makers have little to worry about the region being unsynchronized in their business cycles as the business cycles will become more synchronized after the monetary union is formed. This paper assesses the dynamic relationships between trade, finance, specialization and business cycle synchronization for East Asian economies using a Generalized Method of Moments (GMM) approach. The dynamic panel approach improves on previous efforts to examine the business cycle correlations — trade link using panel procedures, which control for the potential endogeneity of all explanatory variables. Based on the findings on how trade, finance and sectoral specialization have effects on the size of common shocks among countries, potential policies that can help East Asian countries move closer toward a regional currency arrangement can be suggested. The empirical results of this study suggest that there exists scope for East Asia to form a monetary union.     

Exchange-rate volatility and export performance: Do emerging market economies resemble industrial countries or other developing countries?

Authors who do not distinguish between Emerging Market Economies (EMEs) and other developing countries, find evidence of negative and significant effects of exchange-rate volatility on trade. We investigate the effects of real exchange-rate volatility on exports of ten EMEs and eleven other developing countries that were not classified as EMEs over our estimation period. We use panel-data sets that cover the periods 1980:Q1–2006:Q4 for the EMEs and 1980:Q1–2005:Q4 for the other developing countries. We use two estimation methods — generalized method of moments (GMM) estimation and time-varying-coefficient (TVC) estimation. The TVC procedure removes specification biases from the coefficients, revealing the underlying stable parameters of interest. We obtain similar results as previous authors for only the eleven non-EME developing countries we consider. In contrast, our results for the EMEs do not show a negative and significant effect of exchange-rate volatility on the exports of the countries considered. Our findings suggest that the open capital markets of EMEs may have reduced the effects of exchange-rate fluctuations on exports compared with those effects in the cases of other developing countries.     

Optimal debt contracts and product market competition with exit and entry

We show how competition in oligopolies, with the possibility of failure and exit of a levered incumbent, affects the ex-ante design of optimal debt contracts. When a levered firm's profits are unobservable, a debt contract imposes the threat of nonrenewal to induce truthful revelation. Because nonrenewal impacts the future profitability of the surviving competitor, the contract influences the competitor's pricing strategy and the equilibrium profits of both firms. The optimal contract is quite different from a standard debt contract, and induces the competitor to be less aggressive, resulting in higher equilibrium prices and profits, and higher returns for investors.     

我国商品房价格影响因素的实证分析

在定性分析商品房价格影响因素基础上提出相应假设,并利用中国1999—2008年房地产相关数据进行实证检验,结果表明,中国房地产价格与M1和城镇投资正相关,与银行信贷呈负相关,而与居民收入之间的关系不明确,说明房地产价格已经脱离我国经济发展的基本面,需要采取引导房地产消费与投资、扩大信贷等政策措施推进房地产市场的良性发展。     

The quality of a firm's exports: Where you export to matters

What drives export quality? Using Portuguese firm-level data on exports by product and destination market, we find that f.o.b. unit values increase systematically with distance, and tend to be higher in shipments to richer nations. These relationships reflect not only the sorting of firms across markets, but also the within-firm variation of unit values across destinations. Within product categories, higher-productivity firms tend to ship greater quantities at higher prices to a given market, consistent with higher quality. In addition, firm productivity tends to magnify the positive effect of distance on within-product unit values, suggesting that high-productivity, high-quality firms are more able to serve difficult markets.     

柱后衍生法测定食用油中黄曲霉毒素B_1含量的研究

通过使用柱后衍生系统,建立柱后碘衍生法测定食用油中黄曲霉毒素B_1含量的方法。结果表明:黄曲霉毒素B_1在0.5~55.0 ng/mL浓度范围内具有良好的线性相关性,相关系数为0.999;对黄曲霉毒素B_1浓度0.4、2.0、20.0ng/mL的标准品进行6次平行分析,重复性结果良好,回收率范围为85.8%~106.2%,方法检出限为0.050μg/kg。     

How costly are debt crises?

The aim of this paper is to assess the short and medium-term impact of debt crises on GDP. Using an unbalanced panel of 154 countries from 1970 to 2008, the paper shows that debt crises produce significant and long-lasting output losses, reducing output by about 10 percent after 8 years. The results also suggest that debt crises tend to be more detrimental than banking and currency crises. The significance of the results is robust to different specifications, identification and endogeneity checks, and datasets.