我国信贷资金分布与宏观经济波动关系的实证研究

银行信贷将为经济短期内实现反转提供强有力的支撑,但是,信贷资金的各个部分对宏观经济有不同的效应。对信贷及其组成部分与经济周期的关系进行计量检验,得到的结论是:信贷资金的分布与经济增长率的周期性波动存在明显的内在联系;而且,中长期贷款和建筑贷款的周期性波动提前于经济增长,工业贷款和商业贷款的周期性波动与经济增长率相对一致。因此,宏观调控部门应积极引导信贷资金流向效应明显的领域。     

BOUNDING WRONG‐WAY RISK IN CVA CALCULATION

A credit valuation adjustment (CVA) is an adjustment applied to the value of a derivative contract or a portfolio of derivatives to account for counterparty credit risk. Measuring CVA requires combining models of market and credit risk to estimate a counterparty's risk of default together with the market value of exposure to the counterparty at default. Wrong‐way risk refers to the possibility that a counterparty's likelihood of default increases with the market value of the exposure. We develop a method for bounding wrong‐way risk, holding fixed marginal models for market and credit risk and varying the dependence between them. Given simulated paths of the two models, a linear program computes the worst‐case CVA. We analyze properties of the solution and prove convergence of the estimated bound as the number of paths increases. The worst case can be overly pessimistic, so we extend the procedure by constraining the deviation of the joint model from a baseline reference model. Measuring the deviation through relative entropy leads to a tractable convex optimization problem that can be solved through the iterative proportional fitting procedure. Here, too, we prove convergence of the resulting estimate of the penalized worst‐case CVA and the joint distribution that attains it. We consider extensions with additional constraints and illustrate the method with examples.     

Qualitative Robustness of S*-estimators of Multivariate Location and Dispersion

S-estimators of multivariate location and dispersion are favored for their robustness against outliers. The computations of the exact S -estimators, however, are difficult, if not impossible. We consider S*-estimators, a variant of the S-estimators which is commonly computed in reality. It is shown under very general conditions that S*-estimators are qualitatively robust with respect to a wide range of metrics, including Prohorov metric and a weak affine invariant metric based on Vapnik-Cervonenkis sets. The result follows from a continuity result of the S*-functionals and almost everywhere continuity result of the corresponding estimators in finite-sample cases.     

A global robustness measure for input–output projections from ESA and SNA tables

Input–output (interindustry) data are in wide use in empirical research and constitute an integral part of the European System of Accounts (ESA) and of the System of National Accounts (SNA). In a strict sense, however, these data are merely estimates of the true economic relationships. Therefore, we suggest a measure of robustness of input–output projections with respect to errors or changes in the underlying Leontief matrix. Our measure is based on the mathematical theory of norms and characterizes a complete Leontief matrix. Thereby, no assumptions are required on the distribution of the matrix elements. We discuss alternative numerical-computing algorithms and provide useful bounds and approximation formulas. The paper concludes with a large set of empirical sample applications.     

The relationship between policies and growth in transition countries

This paper combines Hendry’s general to specific procedure and Leamer’s Extreme Bounds analysis to assess the robustness of the relationship between growth in transition countries and a set of variables included in other studies. The results indicate a robust relationship between inflation and growth. A significant long–term effect of liberalization on growth is not found, which throws doubt on previous empirical studies of the relationship between liberalization and growth. However, the long–term benefits from liberalization may be indirect, via macro stability. Robustness tests also throw doubt on the effect of fiscal and exchange rate policies on growth. JEL classification: P24, P41, C23.     

Ad Hoc分群网络节点故障补偿算法

首先指出了Ad Hoe分群网络中节点故障对网络的影响，着重分析了群首节点、网关节点发生故障时所导致的网络分割，使得通信受阻，并针对这一现象提出了重新选举关键节点的补偿算法，最后对补偿前后的网络性能进行仿真、比较，结果表明采用这一算法的网络有较好的鲁棒性，性能明显优于补偿前。     

我国对金砖国家出口贸易潜力测算——基于引力模型的实证分析

运用加入金融发展指标等变量后的贸易引力模型,从总量和行业两个层面测算了我国对金砖国家的出口贸易潜力。在总量层面上,详细分析了影响贸易潜力的因素;在行业层面上,根据贸易潜力值差异,进而从行业层面深化出口贸易潜力分析,将31个出口行业划分为贸易过度、贸易正常和贸易不足三种类型,并针对不同国家的出口潜力情况提出具体建议,稳健性分析表明回归结果可靠。     

Markov Perfect Equilibrium: I. Observable Actions

We define Markov strategy and Markov perfect equilibrium (MPE) for games with observable actions. Informally, a Markov strategy depends only on payoff-relevant past events. More precisely, it is measurable with respect to the coarsest partition of histories for which, if all other players use measurable strategies, each player's decision-problem is also measurable. For many games, this definition is equivalent to a simple affine invariance condition. We also show that an MPE is generically robust: if payoffs of a generic game are perturbed, there exists an almost Markovian equilibrium in the perturbed game near the initial MPE. Journal of Economic Literature Classification Numbers: C72, C73.     

On a Robustness of Quantile Hedging: Complete Market's Case

Recently, Föllmer and Leukert have introduced the notion of quantile-hedging. In their paper [3], three types of quantile-hedging-problems in particular have been formulated: i.e.problem of maximizing the probability of successproblem of minimizing the cost for a given probability of successproblem of minimizing 'a downside-risk'and reduced to certain simple statistical-tests.In this article, under an elementary complete-market with unknown (to the investor) constant drift of the risky-asset setting, we will measure a certain robustness of quantile-hedging against the uncertainty of the drift. We will discriminate the robustness by whether the associated statistical-test has uniformly the most powerful test function against alternatives. We claim that the solution of 3 is robust if the sign of the drift is known, the solution of 2, not robust, and the solution of 1, robust to some extent, which is affected by the shape of the contingent claim.     

Semiparametric econometric estimators for a truncated regression model: a review with an extension

Econometric estimators for a truncated regression model are reviewed. For each estimator, the motivations, the key assumptions, the asymptotic distribution and estimates for the asymptotic variance matrix are presented; also a new estimator is suggested. We select five practical estimators among those, and compare them through a Monte Carlo study where the response variable is simulated but the covariates are drawn from a real data set. Some practical and computational issues are addressed as well.