我国交强险索赔频率影响因素分析 ——基于GAM和广东、河南、湖北、山东的经验数据

为分析我国交强险各因素对索赔频率的影响,以2016年广东、河南、湖北、山东四省的保单数据为样本,采用广义可加模型（GAM）对其保单中的驾驶员年龄、汽车车龄和汽车重量进行非参数分析,并对公路里程数等变量进行参数分析。结果表明：索赔频率有明显的地区差异,公路里程数对索赔频率有正向的影响,其中除汽车车型对索赔频率没有影响外,其余变量均有显著影响。     

基于“已实现”波动率的ARFIMA模型预测实证研究

本文采用二次移动平均方法平衡影响"已实现"波动率预测精度的测量误差和市场微观结构误差,利用沪深300指数高频数据实证研究,结果表明"已实现"波动率序列的分布是非正态分布且具有长记忆性,对数"已实现"波动率序列接近于正态分布;最后建立ARFIMA模型,并对波动率进行了预测研究。     

Exploiting the monthly data flow in structural forecasting

A quarterly stochastic general equilibrium (DSGE) model is combined with a now-casting model designed to read timely monthly information as it becomes available. This implies (1) mapping the structural quarterly DSGE with a monthly version that maintains the same economic restrictions; (2) augmenting the model with a richer data set and (3) updating the estimates of the DSGE׳s structural shocks in real time following the publication calendar of the data. Our empirical results show that our methodology enhances the predictive accuracy in now-casting. An analysis of the Great Recession also shows that our framework would have helped tracing the DSGE׳s structural shocks in real time, obtaining, for example, a more timely account of the 2008 contraction.     

确定流水步距的新方法

组织无节奏流水的关键是确定流水步距，传统的方法以潘特考夫斯基法最为常见。它是从整体出发求流水步距，不易理解。文章提出来的新方法着重从局部出发来求流水步距，先假定一个流水步距，然后再调整、确定，易于理解。     

集中供暖监控系统节能技术现状与展望

目前,我国集中供热系统的节能水平普遍不高,锅炉燃料燃烧效率低,风煤比不合理;远近端热用户温差大,水力失调现象严重;监控系统无法实现供暖参数计算等功能;热负荷调节缺乏理论依据;所有热用户采用统一方式进行调节,而不考虑建筑物的实际运作时间等问题。本文对现有的集中供暖系统的主要节能技术做了简要总结,主要有锅炉房优化配置、变频调速及量调节节能技术、换热站及管网远程监控、热负荷计算及分时分区与气候补偿等方法。文章概略分析了各种节能方法的优缺点,并对集中供暖节能技术的发展前景做了总结与展望。     

Asymmetric effects of households’ financial participation on banking diversification

This paper examines banks’ diversification–performance nexus from the perspective of demand, the magnitude of households’ financial participation, with bank data from 22 European countries over the period from 2002 to 2009. We argue that the magnitude of households’ financial participation develops asymmetric diversification effects on banks’ performance. The empirical investigation herein provides evidence for the asymmetric influence of households’ financial participation on the effect of banks’ income diversification on their performance. Our findings suggest that banks should take into account the deposit interest rates and the variety of households’ investment habits when they operate toward diversification.     

The Comovements of Capital Inflows in the Frequency Domain: Evidence from Emerging Countries

Abstract:

This paper analyzes the correlations between capital inflows and business cycles in emerging countries, and also investigates the comovements of capital inflows, by capital types, within and across regions (Asia, Latin America, and Europe) in the frequency domain. In general, bank loans show positive correlations with business cycles at all frequencies across emerging countries. In addition, I find that the dynamic correlations between capital types are high at low frequencies and become lower at the higher frequency domains. The cohesion (comovements within a region) and cross-cohesion (comovements across regions) differ in accordance with the capital types and frequency domains.