中国输出了“通货紧缩”或“通货膨胀”?

本文首次采用最新发展的有向无环图等技术方法,对中国是否输出通货紧缩以及是否输出通货膨胀这一问题展开综合性、系统性的研究。研究结果表明,在通货膨胀的国际传递中,作为世界第一大经济实体的美国发挥着主导作用,与此同时,无论是在中国通货紧缩时期还是在通货膨胀时期,中国对各主要贸易伙伴国物价水平的冲击均十分微小,因此,中国并非全球通货紧缩或通货膨胀的引发因素。在此研究过程中,最新发展的有向无环图技术等方法的综合运用,在很大程度上增强了本文分析结论的可靠性与合理性。     

The generalized value at risk admissible set: constraint consistency and portfolio outcomes

Generalized value at risk (GVaR) adds a conditional value at risk or censored mean lower bound to the standard value at risk and considers portfolio optimization problems in the presence of both constraints. For normal distributions the censored mean is synonymous with the statistical hazard function, but this is not true for fat-tailed distributions. The latter turn out to imply much tighter bounds for the admissible portfolio set and indeed for the logistic, an upper bound for the portfolio variance that yields a simple portfolio choice rule. The choice theory in GVaR is in general not consistent with classic Von Neumann–Morgenstern utility functions for money. A re-specification is suggested to make it so that gives a clearer picture of the economic role of the respective constraints. This can be used analytically to explore the choice of portfolio hedges.     

A closed-form solution to American options under general diffusion processes

This paper investigates American option pricing under general diffusion processes. Specifically, the underlying asset price is assumed to follow a diffusion process in which both the dividend yield and volatility are functions of time and the underlying asset price. Using the generalized homotopy analysis method, the determination of the early exercise boundary is separated from the valuation procedure of American options. Then, an exact and explicit solution for American options on a dividend-paying stock is derived as a Maclaurin series. In addition, the corresponding optimal early exercise boundary and the Greeks are obtained in closed-form solutions. A nonlinear sequence transformation, the Padé technique, is used to effectively accelerate the convergence of the partial sums of the infinite series. As the homotopy constructed in this paper is based on a generalized deformation with a shape parameter and kernel function, the error of the homotopic approximation could be reduced further for a fixed order. Numerical examples demonstrate the validity, effectiveness, and flexibility of the proposed approach.     

Models for stock returns

Historically, the normal variance model has been used to describe stock return distributions. This model is based on taking the conditional stock return distribution to be normal with its variance itself being a random variable. The form of the actual stock return distribution will depend on the distribution for the variance. In practice, the distributions chosen for the variance appear to be very limited. In this note, we derive a comprehensive collection of formulas for the actual stock return distribution, covering some sixteen flexible families. The corresponding estimation procedures are derived by the method of moments and the method of maximum likelihood. We feel that this work could serve as a useful reference and lead to improved modelling with respect to stock market returns.     

The structure of strategy-proof random social choice functions over product domains and lexicographically separable preferences

We characterize the class of dominant-strategy incentive-compatible (or strategy-proof) random social choice functions in the standard multi-dimensional voting model where voter preferences over the various dimensions (or components) are lexicographically separable. We show that these social choice functions (which we call generalized random dictatorships) are induced by probability distributions on voter sequences of length equal to the number of components. They induce a fixed probability distribution on the product set of voter peaks. The marginal probability distribution over every component is a random dictatorship. Our results generalize the classic random dictatorship result in Gibbard (1977) and the decomposability results for strategy-proof deterministic social choice functions for multi-dimensional models with separable preferences obtained in LeBreton and Sen (1999).     

我国城镇职工养老保险待遇水平的影响因素研究

文章以2001-2012年省级面板数据为基础,利用可行的广义最小二乘法(FGLS),对影响我国养老保险待遇水平的因素进行了定量研究。研究表明:在职职工年人均缴费额、职退比、人均GDP、人均财政收入对我国养老保险待遇水平有显著的正向影响,城市化率对养老保险待遇水平有显著的负向影响,其中,在职职工年人均缴费额和职退比是影响我国养老保险待遇水平的最主要因素。我国调整养老保险待遇水平缺乏科学的依据,具体表现在养老保险待遇水平与居民人均消费性支出不相关。     

Forecasting economic time series using score-driven dynamic models with mixed-data sampling

We introduce a mixed-frequency score-driven dynamic model for multiple time series where the score contributions from high-frequency variables are transformed by means of a mixed-data sampling weighting scheme. The resulting dynamic model delivers a flexible and easy-to-implement framework for the forecasting of low-frequency time series variables through the use of timely information from high-frequency variables. We verify the in-sample and out-of-sample performances of the model in an empirical study on the forecasting of U.S. headline inflation and GDP growth. In particular, we forecast monthly headline inflation using daily oil prices and quarterly GDP growth using a measure of financial risk. The forecasting results and other findings are promising. Our proposed score-driven dynamic model with mixed-data sampling weighting outperforms competing models in terms of both point and density forecasts.     

Innovation efficiency of semiconductor industry in China: A new framework based on generalized three-stage DEA analysis

Considering the interrelationships between periods and the influences of non-operational factors, a new framework based generalized three-stage DEA model, grey relational analysis theory and disparity disassembly model is proposed in this paper. Then, we measure the technical efficiency, scale efficiency, and pure technical efficiency of innovation in China's semiconductor industry between 2009 and 2014. In addition, we conducted projection analysis of the inputs to innovation and the disparities analysis in innovation efficiency across the industrial chain and within each segment. The results of our analyses reveal four key findings. The overall innovation efficiency of China's semiconductor industry is increasing; however, each segment of the industrial chain had different trends and different levels of innovation efficiency. All segments show a consistently upward trend except for package testing, which dipped in 2012 due to the time lag between the inputs and outputs associated with major technological advancements. The most efficient innovation is occurring in design and package testing, followed by manufacturing, materials, and equipment, in that order. Low levels of innovation efficiency were found to be the most significant factor restricting further improvement in the design, manufacturing, and equipment segments of the industrial chain. But the opposite is true for the package testing segment, where pure technical efficiency is the main factor. A range of redundancies in input were found across the industrial chain, mostly in manufacturing and equipment. These two segments are capital-intensive and characterized by a high level of technical complexity coupled with a long research cycle. The disparities in innovation efficiency in and between the segments decreased over the period. However, interestingly, the main disparities were found among the enterprises within each segment, which we attribute to the Chinese government's concerted efforts to support particular companies. Package testing and manufacturing had the highest levels of disparity due to relatively high agglomeration of these two segments. The materials segment had the lowest disparity, with equipment and design falling somewhere in-between.     

Women Mayors and Management of Spanish Councils: An Empirical Analysis

This paper analyzes the relationship between the gender of mayors in Spanish local government and different budget items. It uses a sample of local budgets for 8,112 town councils between 2002 and 2010, totaling 64,361 observations. The Spanish context is characterized by decentralization of public responsibility to a greater extent than in neighboring countries, feeding the debate on the operational efficiency of local government and the importance of gender in public management. Results show that councils with women mayors have lower annual interest and debt repayment obligations and have higher expenditure on security, protection, and social promotion. Thus, the presence of women in politics may serve to improve councils’ economic situations, which is necessary not only for social justice but also for economic efficiency. In addition, in councils with more inhabitants, women mayors are more common, but women are less likely to occupy the office for longer periods.     

Systemic risk in European financial and energy sectors: Dynamic factor copula approach

We perform an analysis of systemic risk in financial and energy sectors in Europe using daily time series of CDS spreads. We employ the factor copula model with GAS dynamics from Oh and Patton (2018) for the purpose of estimating dependency structures between market participants. Based on the estimated models, we perform Monte Carlo simulations to obtain future values of CDS spreads, and then measure the probability of systemic events at given time points. We conclude that substantially higher systemic risk is present in the financial sector compared to the energy sector. We also find that the most systemically vulnerable financial and energy companies come from Spain.