Pricing default swaps: Empirical evidence

In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model outperforms directly comparing bonds' credit spreads to default swap premiums. We find that the model yields unbiased premium estimates for default swaps on investment grade issuers, but only if we use swap or repo rates as proxy for default-free interest rates. This indicates that the government curve is no longer seen as the reference default-free curve. We also show that the model is relatively insensitive to the value of the assumed recovery rate.     

Financial Stress Regimes and the Macroeconomy

Some financial stress events lead to macroeconomic downturns, while others appear to be isolated to financial markets. We identify financial stress regimes using a model that explicitly links financial variables to macro‐economic outcomes. The stress regimes are identified using an unbalanced panel of financial variables with an embedded method for variable selection. Our identified stress regimes are associated with corporate credit tightening and with NBER recessions. An exogenous deterioration in our financial conditions index has strong negative effects in economic activity, and negative amplification effects on inflation in the stress regime. These results are obtained with a novel factor‐augmented vector autoregressive model with smooth‐transition regimes (FASTVAR).     

中国贸易条件变动趋势分析——基于1993-2017年月度数据的研究

基于1993-2017年月度数据研究发现:中国三大贸易条件指数(2010=100)中价格贸易条件上下波动明显,标准差为6.0;收入贸易条件长期稳步上升,近三年相对于最高点下降了15%~20%;要素贸易条件一直呈上升趋势,标准差为66.2.人民币汇率一次性大幅度变动时,中国价格贸易条件有显著变动.人民币显著升值时,价格贸易条件马上明显改善,但维持时间不长,随后又发生逆转.人民币一次性大幅度贬值导致价格贸易条件长期恶化有一定的时滞.国外发生经济或金融危机而中国宏观经济较稳定发展期间,中国价格贸易条件改善.为此,我国应积极推动人民币汇率向均衡汇率靠拢,针对性地采取限产计划,以提升国际分工地位,从根本上改善贸易条件和增加经济福利.     

Modified efficient importance sampling for partially non‐Gaussian state space models

The construction of an importance density for partially non‐Gaussian state space models is crucial when simulation methods are used for likelihood evaluation, signal extraction, and forecasting. The method of efficient importance sampling is successful in this respect, but we show that it can be implemented in a computationally more efficient manner using standard Kalman filter and smoothing methods. Efficient importance sampling is generally applicable for a wide range of models, but it is typically a custom‐built procedure. For the class of partially non‐Gaussian state space models, we present a general method for efficient importance sampling. Our novel method makes the efficient importance sampling methodology more accessible because it does not require the computation of a (possibly) complicated density kernel that needs to be tracked for each time period. The new method is illustrated for a stochastic volatility model with a Student's t distribution.     

旅游目的地"社区参与"的三种典型模式比较研究

本文在分析研究国内外相关文献、理论并实地考察国内许多旅游目的地"社区参与"案例的基础上,从中选取3个典型(案例)的社区参与模式进行了比较分析,试图从实证的角度更深入地探索和解析旅游目的地"社区参与"的内在本质、特点、内容或方式,进而探索和寻求旅游目的地"社区参与"更有效的途径与方式.     

中国城市经济增长的效率与差异

本文在利用Malmquist指数和一系列反映地区差异的统计指标对中国216个地级市1990~2004年经济增长的效率和差异进行描述的基础上,针对2000年以来中国城市经济表现出的新特点,采用因子分析和空间计量方法分析了影响中国城市经济增长的主要因素,结果表明216个地级市TFP整体呈现增长趋势,城市经济的地区差异明显且呈扩大趋势。2000年以来影响中国城市经济增长的因子强度依次为:地理位置、产业结构与市场化水平和要素投入等。     

Farms’ technical inefficiencies in the presence of government programs*

We focus on determining the impacts of government programs on farms’ technical inefficiency levels. We use Kumbhakar's stochastic frontier model that accounts for both production risks and risk preferences. Our theoretical framework shows that decoupled government transfers are likely to increase (decrease) DARA (IARA) farmers’ production inefficiencies if variable inputs are risk decreasing. However, the impacts of decoupled payments cannot be anticipated if variable inputs are risk increasing. We use farm‐level data collected in Kansas to illustrate the model.     

中小企业股票市场化发行定价的半参数自组织模型与实证

随着深圳交易所中小企业板块的正式启动,我国中小企业新股发行的市场化定价方式必将启用。本文采用基于自组织数据挖掘GMDH算法的半参数模型的定价方法,将GMDH算法与半参数模型方法结合起来。不仅利用计算机的自动拟合优选最优复杂度模型,从而大大简化了非参数部分估计。创造了半参数模型崭新的实现方式,并达到了理想的定价效果,而且可以发挥半参数模型的特有优势。进行模型结构分析。经过实证和检验证明了这种模型用于我国股票发行定价的有效性和合理性。为完全市场化股票发行方式下确定股票的发行价格提供了新的方法。     

我国加工贸易区位分布及其优化的研究

本文从我国东中西部、三大经济圈和各省份等三个角度分析了20世纪90年代中期以来我国加工贸易区位分布及变迁的特征;然后归纳了影响加工贸易区位分布及其变迁的主要因素;最后,从协调区域经济发展的角度出发,提出了优化我国加工贸易区域布局的对策。