Pricing default swaps: Empirical evidence

In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model outperforms directly comparing bonds' credit spreads to default swap premiums. We find that the model yields unbiased premium estimates for default swaps on investment grade issuers, but only if we use swap or repo rates as proxy for default-free interest rates. This indicates that the government curve is no longer seen as the reference default-free curve. We also show that the model is relatively insensitive to the value of the assumed recovery rate.     

Financial Stress Regimes and the Macroeconomy

Some financial stress events lead to macroeconomic downturns, while others appear to be isolated to financial markets. We identify financial stress regimes using a model that explicitly links financial variables to macro‐economic outcomes. The stress regimes are identified using an unbalanced panel of financial variables with an embedded method for variable selection. Our identified stress regimes are associated with corporate credit tightening and with NBER recessions. An exogenous deterioration in our financial conditions index has strong negative effects in economic activity, and negative amplification effects on inflation in the stress regime. These results are obtained with a novel factor‐augmented vector autoregressive model with smooth‐transition regimes (FASTVAR).     

Modified efficient importance sampling for partially non‐Gaussian state space models

The construction of an importance density for partially non‐Gaussian state space models is crucial when simulation methods are used for likelihood evaluation, signal extraction, and forecasting. The method of efficient importance sampling is successful in this respect, but we show that it can be implemented in a computationally more efficient manner using standard Kalman filter and smoothing methods. Efficient importance sampling is generally applicable for a wide range of models, but it is typically a custom‐built procedure. For the class of partially non‐Gaussian state space models, we present a general method for efficient importance sampling. Our novel method makes the efficient importance sampling methodology more accessible because it does not require the computation of a (possibly) complicated density kernel that needs to be tracked for each time period. The new method is illustrated for a stochastic volatility model with a Student's t distribution.     

我国大麦价格波动特征及其影响因素分析

[目的]大麦价格剧烈波动会直接影响大麦种植户的生产积极性和大麦产业的平稳发展,研究大麦价格波动特征及其影响因素,有助于提升大麦产业链相关主体识别和应对市场风险的能力,促进大麦产业的健康发展。[方法]文章先采用HP滤波法和ARCH类模型分析了2011年4月至2017年2月我国大麦价格波动特征,然后采用脉冲响应函数分析了我国大麦价格波动影响因素。[结果]我国大麦价格波动存在明显的季节性和周期性,样本期内总体上呈现逐渐下降趋势;我国大麦价格具有显著的波动集聚性,我国大麦价格具有显著的不对称性;在该文选择的影响因素中,大麦进口量和国际大麦价格是影响我国大麦价格波动的主要因素。[结论]该文提出必须保障并提高国内大麦合理产能、完善大麦价格监测预警体系、加强国内大麦进口企业整合和推动大麦进口来源多元化的政策建议。     

基于排队论的公交站点停车位优化及实证分析

优化设计公交站点停车位数是站点建设的一步重要工作,停车位数过多或过少都会影响公交系统的运营效率和服务质量。鉴于此,此文将探讨基于排队理论的公交站点停车位数优化方法,并以武汉市街道口站为例,运用该方法进行了实证分析,以期对武汉市的公共交通建设提供理论上的参考。     

西北5省区“生态环境—经济发展—城镇化”耦合协调发展及预测分析

［目的］探讨“生态环境—经济发展—城镇化”三维系统（以下简称“EEU”系统）协调发展关系,以期为推动三者全面协调发展提供参考。［方法］文章以西北5省区为例,在构建EEU系统评价指标体系的基础上,运用熵权法、耦合协调模型、GIS工具和灰色预测模型对西北各省区EEU系统耦合协调发展进行分析。［结果］2003—2017年西北5省区EEU系统评价值呈上升趋势,经济发展和城镇化系统评价值呈波动上升态势,明显高于生态环境系统评价值; 耦合度水平较高,协调度整体由过度发展大类向协调发展大类演变; 各省区协调度上升等级不同且未能达到优质协调等级,协调发展的制约因素有经济发展滞后型和生态环境滞后型两大类; 未来5年各省区协调度将稳步提升,但演进差异明显。［结论］提出要遵循科学方法,补齐生态环境短板;突破薄弱环节,推进系统协调发展;重点关注甘肃,实现区域协同发展的对策建议。     

漳州市农业资源可持续高效利用开发模式

随着漳州市农业的纵深发展,人口与资源的矛盾日趋尖锐,为缓解人多地少的矛盾和压力,解决农业可持续发展的问题,文章提出适合漳州地区推广的6种农业资源可持续高效利用开发模式。     

昌黎县沙地农业可持续发展的几种模式

针对广阔沙地资源,从1998年开始昌黎县进行以打井、配电、修路、发展农田防护林网等为主要内容的开发,摸索出沙地保护地蔬菜生产、乔木保护沙地果园、沙地节水高效种植、沙地防风林生态建设和畜禽养殖、农副产品加工等5种高效利用模式,为沙地资源深度开发和持续利用探索了路子。