中国能源强度的空间分布与收敛研究——基于动态空间面板模型的分析

区域间的空间溢出和技术溢出效应日益显著,在进行能源强度收敛研究时不可忽略空间依赖性和时间动态性。在考虑空间维度的地理邻近性和时间维度的动态性的基础上,采用动态空间面板模型分析中国29个省区能源强度的空间分布、动态变化趋势以及收敛情况,研究表明：从中国能源强度的空间分布来看,呈现东低西高的格局,并且存在空间自相关现象;从动态趋势看,能源强度的空间自相关指数在2005年之后趋于稳定,东、中、西部的能源强度均呈现持续下降的趋势;从总体趋势来看,能源强度存在绝对盯收敛,不存在绝对届收敛,但存在显著的条件卢收敛。提高能源效率以及缩小区域能源效率差异,应充分利用空间溢出效应,鼓励能源强度低的地区的技术溢出到能源强度高的地区,从而加快全国区域间能源强度的收敛速度。     

SDR货币篮子中人民币的国际化定位——汇率市场波动传染与波动聚类的实时甄别

随着人民币国际化进程的逐步推进,SDR货币篮子中人民币的国际化定位引人瞩目。本文基于非线性MSBIARCH模型,实时甄别人民币市场与美元市场、英镑市场、日元市场、欧元市场之间的波动传染关系,以及波动传染作用下汇率市场的波动聚类态势,进而识别SDR货币篮子中人民币的国际化定位,旨在为及时防范并规避人民币市场的波动风险提供参考。研究发现,汇率市场经由“经济基本面”“市场情绪”以及“市场预期”对外发挥波动传染作用,人民币市场与美元市场之间存在双向波动传染关系,与英镑市场、欧元市场以及日元市场之间存在单向波动传染关系。不同汇率市场之间的波动传染关系表现出时间区制转移特征,汇率市场的波动聚类态势也呈现时变特征。汇率市场发挥波动传染作用的时间与汇率市场呈现波动聚类态势的时间相匹配,均集中在极端经济事件期、不规则事件期以及政策颁布事件期。国际汇率市场的波动传染作用导致了人民币市场的波动聚类态势,而人民币市场的波动传染作用仅强化了国际汇率市场的波动聚类态势,SDR货币篮子中人民币的国际化程度有待进一步提高。     

Risk management under extreme events

This article presents two applications of extreme value theory (EVT) to financial markets: computation of value at risk (VaR) and cross-section dependence of extreme returns (i.e., tail dependence). We use a sample comprised of the United States, Europe, Asia, and Latin America. Our main findings are the following. First, on average, EVT gives the most accurate estimate of VaR. Second, tail dependence of paired returns decreases substantially when both heteroscedasticity and serial correlation are filtered out by a multivariate GARCH model. Both findings are in agreement with previous research in this area for other financial markets.     

全球经济衰退背景下的中印自由贸易区建设——基于实证的研究

中国和印度作为世界上最大的两个发展中国家,相互间经贸合作稳步推进,已互为对方的对外贸易、投资和经济交流的重要伙伴。在全球经济衰退的大背景下,"龙象"合作对包括两国和全球在内的三方都是有好处的。本文通过对双方经济开放度、贸易结合度、贸易竞争性与经济互补性、以及贸易量与GDP之间关系的实证研究,计算了GDP对贸易额的弹性系数,分析表明,中印两国构建自由贸易区不仅具有现实的政治经济基础,更是在日益恶化的世界经济环境下中印和世界的理性选择,只有中印两国携手,才可以稀释衰退的负面影响。     

由金融抑制到金融深化的路径选择——国际比较与中国经验

上世纪90年代以来,一些实施金融深化发展战略的发展中国家相继爆发了金融危机,这不仅加剧了学术界的理论争论并产生某种理论偏向,而且更是使那些正在或准备实施金融深化战略的发展中国家对金融深化理论产生了动摇和怀疑。在对金融深化理论进行综述和评价的基础上,结合发展中国家的金融改革实践,对金融深化理论和实现路径提出了一些看法。     

The dynamics of price elasticity of demand in the presence of reference price effects

The authors derive an expression for the price elasticity of demand in the presence of reference price effects that includes a component resulting from the presence of gains and losses in consumer evaluations. The effect of reference price is most noticeable immediately after a price change, before consumers have had time to adjust their reference price. As a result, immediate-term price elasticity is higher than long-term elasticity, which describes the response of demand long after a price change, when reference price effects are negligible. Furthermore, because of the differential effect of gains and losses, immediate-term price elasticity for price increases and price decreases is not equal. The authors provide a quantitative definition for the terms immediate term and long term, using the average interpurchase time and the discrete “memory” parameter. Practical consequences of the distinction between immediate- and long-term elasticities for the estimation and use of elasticity values are discussed. Gadi Fibich (fibich@math.tau.ac.il) is an associate professor in the Department of Applied Mathematics at Tel Aviv University. This research grew out of his interest in applications of mathematical modeling to economics and management science. He is currently working on auction theory. Arieh Gavious (ariehg@bgumail.bgu.ac.il) is a senior lecturer in the Department of Industrial Engineering at Ben Gurion University, Israel. His interest is in application of game theory to economics and management science problems. His current interest is in auction theory. Oded Lowengart (odedl@bgumail.bgu.ac.il) is a senior lecturer in the Department of Business Administration at Ben Gurion University, Israel. His research interests are in the areas of modeling pricing effects on consumer behavior at both aggregate and disaggregate levels, product positioning, and market share forecasting and diagnostics.     

日本优衣库(UNIQLO)服装经营之道

优衣库（UNIQLO）是日本著名的服装品牌,它向各个年龄层的消费者提供时尚、优质的休闲服装,是日本服装零售业的龙头老大。公司的创始人柳井正在2008年登上日本首富宝座,成为日本历史上凭借服装产业位居《福布斯》榜首的第一人。2009年的销售额达到6600多亿日元。优衣库（UNIQLO）的成功经营之道,独特的经营理念,成本领先战略的应用,良好的营销运作模式以及在中国发展的实践,对我国服装业的生产经营有着许多可以借鉴的宝贵经验。     

Limit theorems for multivariate discrete distributions

According to the usual law of small numbers a multivariate Poisson distribution is derived by defining an appropriate model for multivariate Binomial distributions and examining their behaviour for large numbers of trials and small probabilities of marginal and simultaneous successes. The weak limit law is a generalization of Poisson's distribution to larger finite dimensions with arbitrary dependence structure. Compounding this multivariate Poisson distribution by a Gamma distribution results in a multivariate Pascal distribution which is again asymptotically multivariate Poisson. These Pascal distributions contain a class of multivariate geometric distributions. Finally the bivariate Binomial distribution is shown to be the limit law of appropriate bivariate hypergeometric distributions. Proving the limit theorems mentioned here as well as understanding the corresponding limit distributions becomes feasible by using probability generating functions.     

State dependence in access to credit

This paper investigates whether firms’ access to credit is characterized by state dependence. We introduce a first-order Markov model of credit restriction with sample selection that makes it possible to identify state dependence in presence of unobserved heterogeneity. The results, based on a representative sample of Italian firms, show that state dependence in access to credit is a statistically and economically significant phenomenon and that this is more prominent among medium-large firms.     

The Local Whittle Estimator of Long-Memory Stochastic Volatility

We propose a new semiparametric estimator of the degree of persistencein volatility for long memory stochastic volatility (LMSV) models.The estimator uses the periodogram of the log squared returnsin a local Whittle criterion which explicitly accounts for thenoise term in the LMSV model. Finite-sample and asymptotic standarderrors for the estimator are provided. An extensive simulationstudy reveals that the local Whittle estimator is much lessbiased and that the finite-sample standard errors yield moreaccurate confidence intervals than the widely-used GPH estimator.The estimator is also found to be robust against possible leverageeffects. In an empirical analysis of the daily Deutsche Mark/USDollar exchange rate, the new estimator indicates stronger persistencein volatility than the GPH estimator, provided that a largenumber of frequencies is used.