人民币与东盟国家货币汇率动态关联性分析

本文运用VAR-MGARCH-BEKK模型,从报酬溢出和波动溢出的角度,对人民币与东盟国家货币汇率间动态关联性进行实证研究,发现相比二次汇改前,人民币与菲律宾比索、泰铢之间存在双向波动溢出效应而对东盟其他国家货币汇率不存在波动溢出效应,二次汇改后人民币与大部分东盟国家货币汇率之间联动有明显增强。最后,本文尝试对人民币深化与东盟国家货币汇率合作,提出相应的政策建议以推动人民币在东盟国家的区域化进程。     

社会资本对桃农生产技术效率的影响及对策研究——基于陕西省铜川市桃业的调查

利用铜川地区桃农调研数据,构建随机前沿生产函数模型,将社会资本各维度加入技术效率损失项,测算桃农生产技术效率水平,分析社会资本对桃农生产技术效率的影响。结果表明:桃农的平均生产技术效率为79.38%,存在着一定程度的技术无效率;在社会资本各维度中,关系网络,集体行动以及信息交流的改善能够显著提高桃农生产技术效率,而干群关系、信任与团结对桃农生产技术效率的影响未通过显著性检验。因此,改善桃农关系网络,集体行动,信息交流状况,是提高桃农生产技术效率的有效途径。     

The Term Structure of Implied Forward Volatility: Recovery and Informational Content in the Corn Options Market

Using a flexible method, we develop the term structure of volatility implied by corn futures options with differing maturities, and evaluate its ability to predict subsequent realized price volatility. The implied forward volatilities anticipate realized volatility well. For the nearby interval, the implied forward volatilities provide unbiased forecasts, and are superior to forecasts based on historical volatilities. For more distant intervals, early-year options predict the direction and magnitude of future volatility changes about as well as a three-year moving average and better than a naïve forecast. However, later-year options display less forecast power in part due to reduced trading activity.     

世界遗产地农户旅游生计效率及影响因素研究——以广东丹霞山为例

农户可持续生计对实施乡村振兴战略意义重大。基于可持续生计框架,提出旅游生计效率的概念及理论模型,构建生计资本的投入指标(旅游用地面积、旅游资金投入及劳动力投入)和以家庭旅游年收入为主的生计产出指标,采用随机前沿模型计算了广东省丹霞山128个农户的旅游生计效率。结果表明,农户旅游生计效率总体水平较高,均值为0.7485,旅游对提升农户生计效率作用显著。旅游用地、资金及劳动力的投入具有边际递减效应,农户需合理配置投入要素才能有效提高生计效率。家庭区位条件、教育水平、人情开支、旅游技能以及旅游生计方式数量对旅游生计效率有正向影响。     

Will cotton make a comeback in Mali?

With the decline of cotton especially in the marginal cotton areas, farmers have been using more of the cotton‐financed inputs on the cereals. The cotton para‐statal company (CMDT) has made a virtue out of this recommending diversification for these regions. Following the world price spike in 2010, the Malian government responded with a substantial price increase for cotton in 2011 of 38% to rejuvenate the Malian sector. This article looks at the impact of this price policy in the cotton economy and the potential of new cereal technology and marketing strategy to raise incomes and facilitate the diversification. Given the importance of the marketing decision of selling later after the recovery of cereal prices from the harvest collapse, a discrete stochastic programming model was developed for three‐stage decision making. Then, the recent changes in the cotton economy and government fertilizer subsidies were analyzed along with the introduction of the new technology marketing of sorghum. Cotton and maize continue to dominate the economy but the combined sorghum technology marketing increases farmers’ incomes by 16% to 21% and eases the return to normal cotton prices, after the 2011 price spike, as well as the removal of the fertilizer subsidies.     

渔船作业效率及政策研究

本文使用随机前沿生产模型研究了沿海某市渔船的作业效率,结果显示:抽样渔船的平均作业效率只有33%;渔船出海频率过高和性能落后是导致其效率低下的主要原因;船员工资的增加则提高了生产效率。为了提高渔船作业效率,建议采取以下措施:保持和增加资源存量,进一步降低捕捞强度,提高渔船的准入门槛、进行技术扶持、引入外部资金以及帮助渔民转产转业等。     

基于前沿生产函数的黑龙江省煤炭城市的技术效率研究

本论文针对黑龙江省经济增长数量很大但经济增长质量不高的现状,采用随机前沿方法,分析了黑龙江省4个煤炭城市10年的技术效率。结果表明,黑龙江省各煤炭城市的技术效率普遍不高,但都呈现稳步上升的趋势。在要素投入不变的情况下,改变经济增长方式,提高技术效率水平,将成为黑龙江省今后经济发展的一个重要方向。     

我国证券市场公司特质波动能够被定价吗——基于“非资产定价模型分解法”的测度与检验

根据我国A股市场数据,运用非资产定价模型分解法将个股风险分解为市场风险、行业层面风险和公司特质风险,并通过实证检验得出如下结论:(1)从1995年到2010年的15年中,我国证券市场的平均公司特质风险经历了下降和上升的U型趋势,并且时间序列平稳;(2)公司特质风险在个股波动中的比例不断升高,逐渐成为个股风险的主要来源;(3)在三个层面风险中,只有市场风险具有市场收益的预测能力,公司特质风险和行业层面风险则不具备这样的能力。上述实证结果表明,公司特质风险没有被市场收益定价,也就是说,在我国证券市场上,特质风险只是反映了公司层面信息的不确定性。