银行理财产品收益率市场化演进机制研究——基于修正Hotelling模型的理论分析与实证检验

本文利用修正的Hotelling模型对我国银行理财产品收益率的市场化演进机制进行了理论分析,并使用2005至2019年的银行理财产品历史数据进行了实证检验,得到了一系列结论。第一,收益率落后的\"输家\"银行下期将以更大的相对幅度提高其收益率,呈现出\"输家\"追赶\"赢家\"的锦标赛竞争机制。第二,上述竞争机制受到\"输家\"银行排名、不同银行之间收益率差距和监管政策的影响。\"输家\"银行排名越靠后、不同银行之间的收益率差距越大,那么,下期\"输家\"银行提高其理财产品收益率的相对幅度就越大,不同银行之间的竞争行为就越强烈;与之相对的,监管政策越严,则不同银行之间的竞争强度越弱。本文的研究结论对进一步深入理解我国存款市场化利率的形成机制、加强对商业银行的监管和引导有一定的借鉴和启示意义。     

Dynamical analysis of corporate bonds based on the yield spread term-quality surface

Our aim of this research is to propose a model which estimates implied relative credit reliability from the yield spread of defaultable bonds and evaluates their spread risk. We introduce “yield spread term-quality surface” (YSTQS) which is defined on the space of duration and credit reliability of the issuers, and express their yield spread. First, we review the general pricing theorem of defaultable bonds with unpredictable recovery in the no-arbitrage context based on the external hazard rates. Second, we show that the dynamics of state variables determine the shape of the YSTQS, and they drive the YSTQS if the loss-adjusted hazard rates are described by a function of them. Finally, we show an empirical analysis of our model with daily yield spread, duration, and the credit ratings of corporate bonds.

物流设施选址问题中时间满意度函数的定义及应用

建立了顾客对等待时间的满意度与物流设施和需求点间的距离之间的函数关系,描述了时间满意度函数的拟合方法并给出了函数的拟合原则,最后以集覆盖问题为例说明了时间满意度函数的应用。     

基于EGARCH模型的我国向美国出口变动杠杆效应分析

本文运用EGARCH计量模型,对我国向美国出口增速变动进行杠杆效应分析。模型结果显示,出口增速在负向冲击下比受到正向冲击时的波动更加剧烈。次贷危机的恶化,也将会对我国向美国出口增速产生较大的负面影响,从而影响我国的整体出口。对此,文章给出了相关建议。     

The expected real yield and inflation components of the nominal yield curve

The term structure of real yields and expected inflation are two unobserved components of the nominal yield curve. The primary objectives of this study are to decompose nominal yields into their expected real yield and inflation components and to examine their behaviour using state-space and regime-switching frameworks. The dynamic yield-curve models capture three well-known latent factors – level, slope, and curvature – that accurately aggregate the information for the nominal yields and the expected real and inflation components for all maturities. The nominal yield curve is found to increase slightly with a slope of about 120 basis points, while the real yield curve slopes upward by about 20 basis points, and the expected inflation curve is virtually flat at slightly above 2 per cent. The regime-switching estimations reveal that the nominal yield, real yield and expected inflation curves have shifted down significantly since 1999.     

Global slack and domestic inflation rates: A structural investigation for G-7 countries

Recent papers have argued that one implication of globalization is that domestic inflation rates may have now become more a function of “global”, rather than domestic, economic conditions, as postulated by closed-economy Phillips curves.This paper aims to assess the empirical importance of global output in determining domestic inflation rates by estimating a structural model for a sample of G-7 economies. The model can capture the potential effects of global output fluctuations on both the aggregate supply and the aggregate demand relations in the economy and it is estimated using full-information Bayesian methods.The empirical results reveal a significant effect of global output on aggregate demand in most countries. Through this channel, global economic conditions can indirectly affect inflation. The results, instead, do not seem to provide evidence in favor of altering domestic Phillips curves to include global slack as an additional driving variable for inflation.     

Estimating demand curve in the Korean VoIP telecommunications market

The VoIP (Voice over Internet Protocol) market in Korea is showing rapid growth since domestic carriers initiated the service in 2006. These carriers are now seeking new revenue sources from various convergence services and are increasing investment into VoIP. In particular, local exchange carriers (LECs), formerly reluctant to invest in technologies that would cannibalize their local telephone revenue, have started to invest in VoIP, in recognition of the current convergence of media and the telecommunications industry, as well as in the face of intensifying competition. In this study, we determined that VoIP call rates and landline telephony call rates were the most important factors affecting VoIP call demand, in addition to network externality. We also verified that landline telephony is no longer a supplement to VoIP, but rather, a substitute that has considerable influence on VoIP call demand. Empirical evidence is expected to be considered in policy decision making on current issues in the IT industry, such as access prices or competitiveness assessment. The current empirical analysis on the Korean VoIP industry and the adherence to lessons learned from policy enforcement should provide valuable information to countries seeking to develop their own VoIP industries, as well as to businesses developing new strategies based on the VoIP market.     

Using inverted Engel curves to estimate material standards of living in a household

This article demonstrates how to estimate latent total consumption expenditure or material standard of living in households by inverting estimated Engel curves. While the conventional estimator, total purchase expenditure, is unbiased for latent total household consumption expenditure, it is not variance minimizing since it is an un-weighted sum. In two stages, this article derives a variance-minimizing, unbiased estimator by first estimating and inverting Engel curves; then combining the estimators from the inverted Engel curves. The employed latent variable method allows for utilization of non-expenditure relations. The suggested method may help improve the accuracy in studies of consumption inequality and tax evasion.      

民用建筑火灾CFAST模拟及分析

运用CFAST6.0区域火灾模拟软件,针对一个典型的民用建筑起火房间进行火灾模拟计算,得出着火房间上层烟气温度、走廊烟气层高度、走廊下层烟气温度及走廊中CO浓度等随时间变化的火灾参数,运用Origin软件对各参数进行数据处理得出相应的变化曲线,并结合曲线进行了详细分析。