国际贸易对我国CO2排放增长的影响——基于SDA与LMDI结合的分解法

本文采用结构分解法与对数平均迪氏指数相结合的新分解方法,将我国CO2排放的增长分解为能源效率效应、能源替代效应、技术效应、国内最终需求效应、出口效应、进口效应6项,并重点考察了出口效应、进口效应以及两者的综合效应。结果表明,1992-2005年期间,我国CO2排放呈现出加速增长的趋势,主要是由国内需求所推动,而非国际贸易效应。出口起到了较大的增排效应,而进口具有显著的减排效应,两者相抵后的综合效应较小,但2002年以后国际贸易对CO2排放增长的影响开始显著增强。其他因素对CO2排放增长的影响表现为:能源效率的提高具有显著的减排效应,而能源替代从减排效应转为增排效应,技术效应具有持续增强的增排效应。     

Choosing instrumental variables in conditional moment restriction models

Properties of GMM estimators are sensitive to the choice of instrument. Using many instruments leads to high asymptotic asymptotic efficiency but can cause high bias and/or variance in small samples. In this paper we develop and implement asymptotic mean square error (MSE) based criteria for instrument selection in estimation of conditional moment restriction models. The models we consider include various nonlinear simultaneous equations models with unknown heteroskedasticity. We develop moment selection criteria for the familiar two-step optimal GMM estimator (GMM), a bias corrected version, and generalized empirical likelihood estimators (GEL), that include the continuous updating estimator (CUE) as a special case. We also find that the CUE has lower higher-order variance than the bias-corrected GMM estimator, and that the higher-order efficiency of other GEL estimators depends on conditional kurtosis of the moments.     

Mean reversion in international stock markets: An empirical analysis of the 20th century

This paper analyzes mean reversion in the stock markets of 18 OECD countries during the years 1900–2009. In this period it takes stock prices about 18.5 years, on average, to absorb half of a shock. However, using a rolling-window approach we establish large fluctuations in the speed of mean reversion over time. The highest mean reversion speed is found for the period including the Great Depression and the start of World War II. Furthermore, the early years of the Cold War and the period containing the Oil Crisis of 1973, the Energy Crisis of 1979 and Black Monday in 1987 are also characterized by relatively fast mean reversion. We document half-lives ranging between 2.0 and 22.6 years. Our results suggest that the speed at which stocks revert to their fundamental value is higher in periods of high economic uncertainty, caused by major economic and political events.     

The impact of mean reversion of bank profitability on post-merger performance in the banking industry

This research study examines the tendency for serial correlation in bank holding company profitability, finding significant evidence of reversion to the industry mean in profitability. The paper then considers the impact of mean reversion on the evaluation of post-merger performance of bank holding companies. The research concludes that when an adjustment is made for the mean reversion, post-merger results significantly exceed those of the industry in the first 5 years after the merger.     

On behavioral heterogeneity

Summary. An index of behavioral heterogeneity for every finite population of households is defined. It is shown that the higher the index of behavioral heterogeneity the less sensitive depends the aggregate consumption expenditure ratio upon prices. As a consequence, a high index implies a tendency for the Jacobian of aggregate demand to have a dominant negative diagonal.Received: 12 May 2003, Revised: 13 February 2004, JEL Classification Numbers: D 11, E 10.Financial support by Deutsche Forschungsgemeinschaft, grants HI 232/2-3 and KN 567/1-1, is gratefully acknowledged.     

The European Union currencies and the US dollar: from post-Bretton-Woods to the Euro

In this paper we study the evolution of the US dollar real exchange rate vis-à-vis the European Union currencies in the floating post-Bretton-Woods era, both before and after the birth of the Euro. In the first period we find that most of the persistence shown by this rate is due to the movements of the US dollar during the mid-1980s. Once these effects are isolated, we can conclude that the US dollar real exchange rate exhibits stationarity with those currencies that are closely linked to the German Mark. However, when we include the observations covering the period during which the Euro was created, we cannot reject the unit root null hypothesis for any currency.     

CKLS框架下短期利率模型的比较分析

在CKL5框架下，采用GMM估计方法，使用我国银行间同业拆借市场、国债回购市场和交易所国债回购市场上的利率数据，对各短期连续时间利率模型进行了参数估计和模型比较。实证结果表明，我国三个市场上的利率波动存在极为显著的均值回复特征。就模型对短期利率变化的解释能力和捕捉利率波动的能力而言，各模型也存在着显著的差异。     

Exact arbitrage and portfolio analysis in large asset markets

Summary. We provide a detailed portfolio analysis for a financial market with an atomless continuum of assets. In the context of an exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios (normalized riskless, mean, cost, factor and mean-variance efficient portfolios) to furnish exact portfolio compositions in terms of explicit portfolio weights. Such an analysis has not been furnished before in the context of the asymptotic arbitrage pricing theory (APT). We also characterize conditions under which a mean-variance efficient portfolio is a benchmark portfolio used in the EAPT to proxy essential risk. We illustrate our results with several examples of specific financial markets. Received: May 30, 2002; revised version: August 15, 2002 RID="*" ID="*"Some of the results reported here constituted part of Cowles Foundation Discussion Paper– No. 1139 circulated under the title “Hyperfinite Asset Pricing Theory”; additional results were obtained when Sun visited the Department of Economics at Johns Hopkins University during March 2002. This paper was presented at the Conference on Economic Design held at NYU on July 6–9, 2002 Correspondence to: M. A. Khan     

区间时间序列预测准确度探讨

区间时间序列在决策过程中提供重要的信息,特别是在经济发展、人口政策、规划管理或金融监管等方面,因此如何计算出预测区间的精确度成为一个重要议题。本文提出两种区间预测准确度分析的方法,通过估计预测结果的平均区间误差平方和及平均相对区间误差和,比较不同预测方法的优劣。并由预测区间与实际区间的重叠位置,充分说明预测方法所具有的有效性。这些分析预测区间准确度的方法,将为管理者提供更客观的决策空间。