西宁近48a来气温变化的多时间尺度分析

利用Morlet小波分析了1954￣2001年西宁市年平均气温距平时间序列的小波变化特征,揭示了气温变化的多时间尺度结构,分析了其中存在的主要周期振荡和突变点,并与功率谱分析结果进行比较。结果表明:西宁市年平均气温存在多时间尺度的周期变化特征,西宁市年平均气温存在3.5a,准11a和准24a的主周期。西宁市的气温变化存在着明显的多时间尺度,即年代际尺度和年际尺度的周期性变化,20￣32a时间尺度具全域性外,其它尺度的局部化特征则很强。西宁市的气温变化还显示出突变点分布和及其位相结构。21世纪初西宁市年均气温还将处在一个偏冷期。通过功率谱和小波变换方法在诊断气温变化上的应用,得出功率谱在诊断气温变化中一些缺点,而小波变换方法能分析气温序列随时间变化的多层次结构,功率谱分析方法由于自身原因难以做到这一点。     

我国海洋资源开发综合效益的评价探讨

从海洋资源开发形成的产业产值效益角度，选取海米岸线产值、人均产值、占GDP比重等3个相对指标，采用均方差权重法对我国沿海备省、市区海洋资源开发的综合效益做出评价；依据沿海各省、市区海洋资源开发的综合效益评价值及排序结果，把该区划分为3种类型：。低等综合效益开发区，中等综合效益开发区，高等综合效益开发区；得出海洋资源开发的综合效益不仅与资源条件有关，还与各地的经济发展水平、人口数量及其协调程度有关等结论。     

我国房地产价格影响因素及其作用效应的计量检验

目前,房地产价格的过快增长已经成为影响民生的突出问题,房地产价格的增长远远超过了居民消费和收入水平的增长。我国政府已经将遏制部分城市房价过快上涨势头、满足人民群众的基本住房需求、促进房地产市场平稳健康发展作为房地产市场的宏观调控目标。因此对房地产价格的影响因素进行实证研究,可以为我国宏观政策的制定与实施提供经验证据。     

城市住宅价格与宏观经济变量的关系分析——基于VAR模型的实证研究

通过分析选取住宅价格指数(HPI)、国内生产总值增长率(GDP)、1-3年期银行贷款利率(IR)作为内生变量,滞后两期的广义货币供应量(M2)作为外生变量,建立了向量自回归模型。并在此基础上,运用协整分析、脉冲响应函数、方差分解和格兰杰因果检验等研究方法对住宅价格指数与宏观经济变量之间的动态相关关系进行了研究。研究结果表明,我国的住宅价格与所选用的宏观经济变量之间存在一定交互响应作用,并就此提出了相关建议。     

Futures Trading Activity and Commodity Cash Price Volatility

Abstract:   This paper examines the lead‐lag relationship between futures trading activity (volume and open interest) and cash price volatility for major agricultural commodities. Granger causality tests and generalized forecast error variance decompositions show that an unexpected increase in futures trading volume unidirectionally causes an increase in cash price volatility for most commodities. Likewise, there is a weak causal feedback between open interest and cash price volatility. These findings are generally consistent with the destabilizing effect of futures trading on agricultural commodity markets.     

Information flows within and across sectors in Chinese stock markets

We examine the patterns of information flows within and across sectors of the two Chinese stock exchanges in Shanghai and Shenzhen during 1994–2001. Using the generalized forecast error variance decomposition, we find a high degree of interdependence, indicating that the sectors are highly integrated and sector prices reflect information from other sectors. Industry is the most influential sector in both exchanges, while Finance in Shenzhen is the least integrated with other sectors. Implications of the findings for investors and policymakers are also discussed.     

关于后验矩的近似计算

文章介绍了数理统计中实数或向量参数的正函数的后验平均、方差和预测密度的近似计算。     

Stochastic Volatility for Lévy Processes

Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The model for the mean-reverting time change is then generalized to include non-Gaussian models that are solutions to Ornstein-Uhlenbeck equations driven by one-sided discontinuous Lévy processes permitting correlation with the stock. Positive stock price processes are obtained by exponentiating and mean correcting these processes, or alternatively by stochastically exponentiating these processes. The characteristic functions for the log price can be used to yield option prices via the fast Fourier transform. In general mean-corrected exponentiation performs better than employing the stochastic exponential. It is observed that the mean-corrected exponential model is not a martingale in the filtration in which it is originally defined. This leads us to formulate and investigate the important property of martingale marginals where we seek martingales in altered filtrations consistent with the one-dimensional marginal distributions of the level of the process at each future date.     

How much does the business group matter in Korea?

We partition the variances of profits of the companies associated with Korean business groups into business group‐specific effects, industry effects, and affiliate company‐specific effects, which roughly match corporate‐parent effects, industry effects and business unit effects, respectively, in the extant literature. We find substantial corporate‐parent effects (here, business group effects) along with industry effects and business unit effects (here, affiliate company‐specific effects). This finding may indicate that business groups play an important role in developing countries by circumventing market inefficiencies. Our results also suggest that these effects tend to be smaller in large business groups and to decrease over time. Copyright © 2002 John Wiley & Sons, Ltd.     

中国金融创新对货币需求影响的实证分析

本文对1999～2006年的季度数据进行回归分析,采用协整研究和方差分解的计量经济学的研究方法,就我国金融创新的变化对货币需求的影响进行了详细的实证研究,得出下列结论:a.国民收入,市场化进程和金融创新是影响货币需求的主要因素;b.金融创新对货币需求的影响从长期来看呈上升趋势,且不稳定。