Asymmetric ACD models: Introducing price information in ACD models

This paper proposes an asymmetric autoregressive conditional duration (ACD) model, which extends the ACD model of Engle and Russell (1998). The asymmetry consists of letting the duration process depend on the state of the price process. If the price has increased, the parameters of the ACD model can differ from what they are if the price has decreased. The model is applied to the bid-ask quotes of two stocks traded on the NYSE and the evidence in favour of asymmetry is strong. Information effects (Easley and O'Hara 1992) are also empirically relevant. As the model is a transition model for the price process, it delivers `market forecasts' of where prices are heading. A trading strategy based on the model is implemented using tick-by-tick data.While remaining responsible for any error in this paper, the authors would like to thank R. Anderson, G. Le Fol, C. Gouriéroux, J. Jasiak, W. Pohlmeier, A. Roell, O. Scaillet, S. Wei and three anonymous referees for useful remarks and suggestions on previous versions. The authors would also like to thank A. Ruttiens from KBC-CBC for useful discussions on practical issues related to trading. Support of the European Commission Human Capital and Mobility Program through the network `Econometric inference using simulation methods' is gratefully acknowledged. This paper presents research results of the Belgian Program on Interuniversity Poles of Attraction initiated by the Belgian State, Prime Minister's Office, Science Policy Programming. The scientific responsibility is assumed by the authors.     

Economic liberalization and welfare in a model with an informal sector

The paper reexamines the conventional results relating to inflow of foreign capital, removal of protectionism and structural reform programmes, in a small open economy in terms of a two-sector general equilibrium model with an informal sector. The paper shows that in the presence of labour market distortion and a protectionist policy, inflow of foreign capital may be desirable irrespective of the pattern of trade of the economy due to its favourable impact on welfare. But the welfare implications of tariff reductions and/or structural adjustment programmes, such as deregulating the formal sector labour market, depend crucially on the economy's trade pattern. The paper provides an answer to the question as to whether in a developing economy labour market reform and tariff reform should go hand-in-hand or whether one should precede the other for welfare improvement.
JEL classification: F10, F13, F21, O17.     

汇率决定理论的新近发展:文献综述

传统汇率决定理论对于现实经济中汇率实际变动情况的解释能力十分低下.20世纪80年代以来,学术界不断寻求突破,以期为汇率如何决定这一基本命题提供更为合理的解释.在这一过程中,不断有新的文献出现,从不同的方面对传统的汇率理论进行补充、发展和替代.鉴于此,本文试图对汇率决定理论的新近发展进行梳理和介绍,借以为国内经济学界研究汇率决定问题提供一个理论参考.     

关于建立城市循环经济体系的思考

建设城市循环经济体系是全人类在21世纪努力追求的一个重要目标。本文在比较分析传统经济与循环经济的基础上,重点讨论了城市循环经济体系的基本特征和构建内容,并提出了我国建设城市循环经济体系的思路与对策。     

How to control a chaotic economy?

An economic system which exhibits chaotic behaviour has been stabilized on various periodic orbits by use of the Ott-Grebogi-Yorke method. This procedure has been recently applied to controlling chaotic phenomena in physical, chemical and biological systems. We adopt this method successfully for Feichtinger's generic model of two competing firms with asymmetrical investment strategies. We show that the application of this control method to the particular economic process considered brings a substantial advantage: one can easily switch from a chaotic trajectory to a regular periodic orbit and simultaneously improve the system's economic properties. Numerical simulations are presented in order to illustrate the effectiveness of the whole procedure.The work was supported by the Alexander von Humboldt-Stiftung and by the Polish National Council (KBN) Grant No 2 P302 038 04.     

构建自然与社会相协调的生态经济城市

城市走经济生态化发展之路,是人类文明进步的标志,是其自身发展的方向。近年来,我国很多城市都提出了建设生态经济城市。本文在结合我国国情的基础上,提出了建设生态经济城市的对策和设想,以期推动我国城市生态化和生态经济城市建设工作的开展。     

循环经济认知误区的实证分析

随着传统经济增长模式危机的出现，世界各国纷纷提出并开始建立循环经济。循环经济作为一种崭新的社会经济发展模式，人们对其认识还存在种种误区，其中认为循环经济是一种最终实现“全新的封闭式的零排放的资源利用方式”、“可解决一切环境问题”的观点最为典型。那么，是否真的存在完美的全社会物质循环呢？实现这种循环的代价是什么？本文以物质循环为基本假设条件，应用扩张环境分析用投入产出模型对社会实现全循环的可能性进行了理论探讨．并以日本为例应用该模型对日本物质循环现状和在现有条件下实现全循环的可能性及其成本进行了实证分析，论证了在现有条件下实现全社会完美的物质循环的难点。     

我国生态工业园区的建设、发展与完善——基于烟台开发区生态工业园区发展状况的调查分析

本文通过对烟台开发区生态工业园区发展现状与建设经验的调查分析,指出树立科学发展观,发展循环经济,建立促进循环经济发展的法律法规体系和科学的评价指标体系,有利于推动我国生态工业园区的发展与完善,对指导和发展我国生态工业园区有特别重要的意义。     

西部经济开发与环境的关系及和谐模式

在经济高速增长的同时,环境保护与经济发展二者之间相互促进、相互制约,相互矛盾而又相互统一。在资源有限的前提下,如何达到经济发展与环境保护和谐的模式,本文通过分析西部开发对自然环境及经济环境的影响以及环境的改变对经济环境所产生的影响,得出经济发展与环境呈正相关的因果关系,通过对目前经济开发与环保之间现有模式的分析,构建了经济与环境并重和谐发展的模型。     

市场经济条件下的期刊经营策略浅探

分析了期刊市场的形势，指出了市场经济下经营和发展期刊的5种策略：明确市场定位；提高期刊质量；拓宽发行渠道；开辟与期刊相关的经营业务；实现期刊的管理创新。