Price reversals versus price continuations: the transitory price effects of futures trading extension on the underlying stock market

This paper examines the transitory price effects of index futures trading extension on the underlying stock market. Based on the model formulation of George and Hwang (1995) and Amihud and Mendelson (1987) and using the Hong Kong data, we find that the extension of futures trading hour helps to reduce the opening pricing errors and change the correlations between daytime and overnight stock returns. Our finding adds to the literature that the trading behavior of derivatives has a significant influence on the transitory price changes of the underlying cash products.

财政政策与货币政策对私人投资的影响研究——基于有向无环图的应用分析

结合最新发展的"有向无环图"(DAG)技术,本文研究我国财政与货币政策对私人投资的影响,并考察政策工具在传导过程中的有效性及其动态关系。研究结果表明,尽管"信贷渠道"在我国货币政策传导中发挥着主导作用,但由于货币到信贷传导环节的断裂,使得"信贷渠道"自身存在着较大的政策局限性,与此同时,财政政策对私人投资的影响具有较强的独立性和有效性。递归的预测方差分解分析则表明本文结论是稳健的。在此研究过程中,最新DAG技术的运用不仅增进了我们对政策变量与实体经济部门"同期因果关系"的理解,而且克服了Granger因果检验等传统研究方法的局限性,进而在很大程度上增强了本文分析框架的有效性与合理性,并为我国未来宏观调控政策的选择与安排提供了重要的参考依据。     

面对入世后产业结构调整扩大就业的政策措施

中国加入WTO引起产业的结构调整,加大了结构性失业,使就业形势更为严峻。文章分析了WTO后中国第一、二、三产业的调整及其对就业的影响,提出了中国就业政策调整的十一大措施。     

出口信用保险对我国出口贸易影响的实证分析——基于与出口退税因素比较之视角

出口作为拉动经济发展的三驾马车之一,在我国经济发展中起到举足轻重的作用,为了促进出口贸易的发展,我国实施了多项出口贸易鼓励政策。本文对出口退税、出口信用保险、出口贸易三个变量进行协整分析,并通过VAR模型估计以及脉冲响应函数及方差分解的实证分析,得出三个变量的相互关系;同时通过两个因素的实证比较,得出出口信用保险虽然在短期内对出口贸易的影响还不够显著,但从长期看却是显著的,并且要大于出口退税对出口贸易的影响程度,最后提出发展我国出口信用保险的政策建议。     

Agricultural land-use dynamics: Assessing the relative importance of socioeconomic and biophysical drivers for more targeted policy

A detailed understanding of multiple human and environmental factors influencing land allocations among agricultural uses can facilitate more efficient and targeted land policy. To show this, we used a comprehensive dataset of socioeconomic, physiographic, and climatic indicators to investigate potential determinants of land-use in Australia’s intensive agricultural region during the period 1992–2010. We applied a seemingly unrelated regressions land-use shares spatial error model with random effects coupled with variance decomposition analysis to identify the statistical significance, direction and magnitude of observed associations between land-use and its drivers.Population: density, rainfall, equity ratio, and access to markets were the most influential policy-relevant land-use factors. Land allocations to cereals and livestock production were significantly influenced by spatiotemporal rainfall and temperature variability. Improved pastures, cereals, annual and perennial crops plantations were larger in regions with better access to markets. Increases in equity ratio (i.e., better financial position) were associated with larger land allocations to improved pastures and annual crops and smaller extensive grazing area. Marginal associations were detected between land-use and output prices, and higher population density was associated with lower shares for all high value agricultural land-uses. The results suggest that improved transportation infrastructure, zoning regulations, and mechanisms to reduce farm debt exposure and risks from climate variability could have significant impact on the configuration of the Australian agricultural landscape.     

次贷危机前后中国内地与亚洲主要股票市场联动性分析

2007年美国房地产市场上引发了一场次贷危机,由这场危机开始引发了全球性的金融危机。本文通过协整检验和建立误差修正模型分析亚洲六个主要股票市场之间的关联关系,次贷危机前后各阶段检验结果表明六个市场之间存在协整关系。利用方差分解和格兰杰因果检验来确定短期影响因素,本文重点研究其他股市对中国内地股市的影响,结果表明,在次贷危机发生之前中国内地股市受其他经济体股市波动的影响较大,次贷危机之后中国内地股市对其他股市的影响变大。方差分解的结果说明中国内地股市的波动绝大部分来自于自身的冲击。