Do Central Banks React to House Prices?

We estimate the Federal Reserve's, the Bank of England's, and the Bank of Japan's responses to house prices. We show that generalized method of moments estimates of a Taylor rule augmented with house prices are biased and dispersed. We then use full‐information methods and estimate the policy rule together with a VAR for the nonpolicy variables. These estimates are also biased. We propose an alternative approach and estimate a dynamic stochastic general equilibrium model embedded with a monetary rule with a direct response to house prices. We find that house prices played a separate role in the reaction functions of these central banks.     

全要素生产率、人民币汇率与中国贸易收支——基于跨期最优选择理论的实证研究

文章首先以跨期最优分析框架为基础建立以中国贸易收支为研究对象的理论模型,然后基于中国1999-2009年省际面板数据,运用面板FMOLS估计方法,从全国和地区两个层面对中国全要素生产率、人民币实际汇率与中国贸易收支的关系展开实证分析。研究表明,中国贸易部门内资企业和外资企业的全要素生产率提升均对中国实际贸易余额增长产生了正面影响,其中东部地区的促进作用最为强劲;中国非贸易部门全要素生产率与其实际贸易余额负相关,其中东部和中部地区非贸易部门全要素生产率提升会显著减少该地区的实际贸易差额;人民币实际有效汇率提升对中国实际贸易收支具有显著的负面影响,并按照东部、中部和西部地区依次加重。根据上述分析结果,文章提出了调节中国贸易收支的相关政策建议。     

基于像素级估计的视频显著性检测

为了减少背景噪声干扰,准确地从复杂视频中提取显著目标,提出一种具有时空一致性的视频显著区域检测算法。将视频帧划分为超像素,以超像素为基本单元提取光流特征,在时空一致性原则指导下动态融合颜色、边界信息和光流特征,获取视频显著图。在此基础上,借助视频帧的细节和区域特征对视频显著图进行细化增强。实验结果表明,算法的准确率[CD*2]召回率曲线在复杂图像数据库中高于传统经典算法,具有足够高的鲁棒性,能够减少相机运动和背景运动以及突变情况对跟踪检测的影响。所提方法能够在各种运动模式下和外观复杂场景中较为完整地提取显著目标,可作为预处理技术,改善目标跟踪、行为检测、视频压缩等的性能。     

Model selection in random effects models for directed graphs using approximated Bayes factors

With the development of an MCMC algorithm, Bayesian model selection for the p ₂ model for directed graphs has become possible. This paper presents an empirical exploration in using approximate Bayes factors for model selection. For a social network of Dutch secondary school pupils from different ethnic backgrounds it is investigated whether pupils report that they receive more emotional support from within their own ethnic group. Approximated Bayes factors seem to work, but considerable margins of error have to be reckoned with.     

上海股市收益与波动的周内效应研究

股市周内效应一直是金融投资者关注的焦点问题，许多学者已做了大量研究，但多数文献将收益与波动的周内效应分开来进行研究和检验，忽视了波动与收益的共生性，其结果缺乏严密性和说服力。针对这种情况，提出平行数据GARCH模型并给出了参数的极大似然估计方法，进而对上海股市收益和波动的周内效应进行检验，既反映收益与风险存在共生关系，又避免了分别判断收益和波动的周内效应所致的缺点。     

An empirical comparison of continuous-time models of implied volatility indices

We explore the ability of alternative popular continuous-time diffusion and jump-diffusion processes to capture the dynamics of implied volatility indices over time. The performance of the various models is assessed under both econometric and financial metrics. To this end, data are employed from major European and American implied volatility indices and the rapidly growing CBOE volatility futures market. We find that the addition of jumps is necessary to capture the evolution of implied volatility indices under both metrics. Mean reversion is of second-order importance though. The results are consistent across the various metrics, markets, and construction methodologies.     

农作物面积空间抽样调查研究进展

农作物面积信息对于准确估计农作物产量、制定农业政策和确保国家粮食安全具有重要意义。该文主要总结了国内外农作物面积空间抽样调查方法,主要回顾了美国、欧盟和中国的农作物面积空间抽样调查的发展历程。该文还预测了农作物面积空间抽样调查的发展趋势,希望能对农作物面积调查的研究和应用提供指导。     

基于前向结构的高动态突发信号载波同步算法

为实现高动态突发通信系统载波快速同步,提出了一种新的基于前向结构的突发信号载波同步算法,采用多级处理方案分级实现多普勒变化率、多普勒频偏及载波相位的估计及恢复。理论分析及数值仿真表明,在高动态低信噪比条件下,新算法的载波同步信噪比损失小于1 dB,且对多普勒变化率及信号电平参数不敏感,实现复杂度低,能够满足高实时性应用需求。     

软件项目进度估算的模糊方法

软件项目进度的估算是软件项目管理的重要组成部分,当开发新型项目时,由于没有历史经验,精确的甚至基于概率的估算方法都比较困难,而且可信度也较低,文章采用了模糊-概率的方法来进行进度的估算,在模糊运算中采用基于卷积的模糊算子,该算子具有扩散性较低的特点。     

The Significance of Credit Rationing on Real Investment Activity – A Test for the Significance of Capital-Market Imperfection in Japan

Does bank credit matter to the real investment finance of firms? If so, to what kind of firms does it matter, and why? Despite the progress of research in this field, there is still little empirical consensus on these problems. This paper contributes to the understanding of capital-market imperfection in Japan by answering these questions. I introduce new methods to test the significance of credit rationing and show that bank credit is indeed a very important determinant of real investment activity of small firms. The availability of long-term loans has particularly significant effects on the investment opportunities of small firms, although large firms with capital of more than 1 billion yen are free from credit rationing. JEL Classification Numbers: C51, E44, G21.