内蒙古人口结构、收入增长与城镇居民储蓄率的实证研究

从历年反映人口结构的相关数据中,发现内蒙古的人口结构在逐渐变化,劳动人口对未成年人口的抚养比率逐渐降低,对老年人口的抚养比率却逐渐提高。内蒙古人口年龄结构类型逐步进入老年型,而人口老龄化势必会对居民储蓄率产生一定的影响。本文选取了1985-2012年的相关变量数据,通过建立向量自回归模型及协整检验、脉冲响应函数和方差分析等一系列针对非平稳时间序列建模的分析方法,在一定的经济理论基础之上,分析了人口结构、收入增长对内蒙古居民储蓄率的影响。本文在人口结构、收入增长与居民储蓄率的实证分析中,首先验证了凯恩斯的绝对收入理论,不考虑人口结构的改变,得出影响储蓄率的主要因素并不是收入,也说明凯恩斯的绝对收入理论并不能很好的解释内蒙古当期的储蓄现象。然后又以莫迪利安尼的生命周期假说为理论基础建模,得出的结论与生命周期假说一致。人口老龄化会导致储蓄率的下降,而且人口结构的变化对储蓄率的影响远大于收入。长期来看,由储蓄率、收入增长率、负担少儿系数和负担老年系数这四个变量构成的经济系统是稳定的。     

基于SVAR模型的法定存款准备金率对宏观经济各变量的影响分析

准备金率是央行近年来使用频率最高的货币政策工具,它直接影响货币供应量,间接影响价格水平、利率以及股市。文章通过自回归模型（SVAR）、脉冲响应函数以及方差分解技术考察准备金率对宏观经济变量的影响,结果显示：存款准备金率的变动对三个变量的影响是不同的,其中对M1影响最大,对CPI影响较小,对于股市影响也较小且比较短暂。     

An alternative definition of individual bioequivalence

Several definitions of individual bioequivalence of two formulations of a medical treatment (drug) have been proposed recently. These definitions attempt to adapt the criterion of average bioequivalence, which would be deficient if substantive treatment heterogeneity were present. In some of the proposed definitions, relatively large differences of means can be compensated by differences in the measurement-error variances. We propose a definition based on a simple latent-variable model which overcomes this anomaly and need not involve the U.S. Food and Drug Administration's 80/125 rule. Our approach is based on a moment-matching estimator of the discrepancy between the outcomes underlying the subjects' responses. The distribution of this estimator is a linear combination of independent χ² variates; asymptotically, it can be approximated by a normal distribution. Evidence of individual bioequivalence corresponds to rejecting the hypothesis that the discrepancy is greater than a specified threshold. The approach is illustrated by reanalysing two bioequivalence trials.     

MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES

We examine the performances of several popular Lévy jump models and some of the most sophisticated affine jump‐diffusion models in capturing the joint dynamics of stock and option prices. We develop efficient Markov chain Monte Carlo methods for estimating parameters and latent volatility/jump variables of the Lévy jump models using stock and option prices. We show that models with infinite‐activity Lévy jumps in returns significantly outperform affine jump‐diffusion models with compound Poisson jumps in returns and volatility in capturing both the physical and risk‐neutral dynamics of the S&P 500 index. We also find that the variance gamma model of Madan, Carr, and Chang with stochastic volatility has the best performance among all the models we consider.     

Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent

We propose a multivariate nonparametric technique for generatingreliable short-term historical yield curve scenarios and confidenceintervals. The approach is based on a Functional Gradient Descent(FGD) estimation of the conditional mean vector and covariancematrix of a multivariate interest rate series. It is computationallyfeasible in large dimensions and it can account for nonlinearitiesin the dependence of interest rates at all available maturities.Based on FGD we apply filtered historical simulation to computereliable out-of-sample yield curve scenarios and confidenceintervals. We back-test our methodology on daily USD bond datafor forecasting horizons from 1 to 10 days. Based on severalstatistical performance measures we find significant evidenceof a higher predictive power of our method when compared toscenarios generating techniques based on (i) factor analysis,(ii) a multivariate CCC-GARCH model, or (iii) an exponentialsmoothing covariances estimator as in the RiskMetrics^TM approach.     

Bilateral Trade Balances: Evidence from Malaysia*

This study examines the impacts of real exchange rates on the bilateral trade balances of Malaysia with the USA, Japan and Singapore. The results for the long‐run cointegrating vectors show that depreciation or devaluation of real exchange rates will improve bilateral trade balances. In the short run, there is some evidence of the J‐curve phenomenon. Changes in real money supply contribute greatly to changes in real exchange rates. Generally, changes in real exchange rates contribute significantly to changes in bilateral trade balances. Monetary policy can be used to influence bilateral trade balances.     

Pricing options on discrete realized variance with partially exact and bounded approximations

We derive efficient and accurate analytic approximation formulas for pricing options on discrete realized variance (DRV) under affine stochastic volatility models with jumps using the partially exact and bounded (PEB) approximations. The PEB method is an enhanced extension of the conditioning variable approach commonly used in deriving analytic approximation formulas for pricing discrete Asian style options. By adopting either the conditional normal or gamma distribution approximation based on some asymptotic behaviour of the DRV of the underlying asset price process, we manage to obtain PEB approximation formulas that achieve a high level of numerical accuracy in option values even for short-maturity options on DRV.     

具有约束的均值——半偏差投资组合优化模型

这篇文章以Markowitz的组合投资决策模型为基础,针对该模型以及其改进模型中风险计量方法的缺陷,提出了以半偏差测度风险的思想,并建立了相应的组合投资优化模型。