Time diversification and security preferences: A stochastic dominance analysis

We use stochastic dominance to test whether investor should prefer riskier securities as the investment horizon lengthens. Return distributions for stocks, bonds, and U.S. Treasury bills are generated for holding periods of one to 25 years by simulation. For each holding period, stochastic dominance tests are run to establish preferences between the alternative security classes. Contrary to previous mean-variance based studies, we find no evidence that high-risk securities (stocks) dominate low-risk securities (bonds, Treasury bills) as the investment horizon lengthens. However, we do find that corporate bonds systematically dominate government bonds.     

Working Less and Bargain Hunting More: Macroimplications of Sales during Japan's Lost Decades

Standard New Keynesian models have often neglected temporary sales. In this study, we ask whether this treatment is appropriate. We use Japanese scanner data covering the last two decades and find a negative correlation between the frequency of sales and hours worked. We then construct a model that takes households' decisions regarding their allocation of time for work, leisure, and bargain hunting into account. We show that the decline in hours worked explains the rise in the frequency of sales. The real effect of monetary policy shocks weakens by around 40% due to temporary sales, but monetary policy still matters.     

An Analysis of Trade Patterns and the Effects of the Real Exchange Rate Movements in East Asia

This article investigates the patterns of vertical specialization in trade among China, Japan and Korea, and the effects of real exchange rate fluctuations under a multistage production process. By extending the models of Yi (2003, 2010), we derive two distinct features of vertical specialization and test them using Time-Varying Parameter (TVP) VAR. We find that a positive shock to China’s final good consumption increases the intermediate goods trade between Korea and China, with expanding magnitude over time. In addition, the positive effect of a real exchange rate depreciation on intermediate goods trade is strengthened through the competitiveness-enhancing channel, with this effect being more pronouncing in Korea-China trade than in Korea-Japan trade.     

Dynamic Currency Linkages and Their Determinants: An Empirical Study for East Asian Economic Community Region

In this article, Copula GARCH models have been employed to study the inter-temporal process of currency market co-movements between ASEAN+6 countries (referred to in this study as East Asian Economic Community) and ASEAN+6 currency market index. Empirical results show that the sample countries of the region exhibit varying levels of currency co-movements with the Asian benchmark. Markov regime switching results show that many of the countries which had high dependences with the regional currency index as was found in copula estimations had also overlapping currency market cycles. Using Principal Component Analysis, we find that three statistical factors explain exchange rate co-movements which came out to be trade linkages, economic risk, and currency market openness in our dynamic panel data estimation.     

丘陵山区农民专业合作社发展的时空分异与演变特征以重庆市为例

目的 以重庆市为例, 基于2001—2018年农民专业合作社微观面板数据,探究丘陵山区农民专业合作社发展的时空分异与演变特征,以期为农民专业合作社的建立与发展提供参考。方法 文章采用最近邻指数、Ripley''s L指数、核密度分析等方法,对农民专业合作社的时空分异和演变特征展开研究。结果 （1）从时间序列上看,农民专业合作社数量变化呈现3个增长阶段：2001—2006年低速增长,2007—2010年快速增长,2011—2018年缓慢增长。农民专业合作社产业类型由少变多并逐步趋向综合类发展;（2）在空间扩展上,农民专业合作社整体先从渝西、渝中地区向渝东北扩展,再扩展至三峡库区带,但不同产业类型各阶段空间分布特征相异且变化明显;（3）在空间格局上,农民专业合作社除渝东南地区分布较少外其余地区均分布较广,除牲畜、家禽、花木、果蔬产业呈随机分布外,其余产业及合作社整体呈显著聚集分布;（4）不同产业类型农民专业合作社对空间尺度的依赖性不同。牲畜、家禽、花木、果蔬、食用菌、粮油6类合作社随着空间距离的增加集聚强度先增强后减弱;（5）空间集聚分布呈现差异化,各产业类农民专业合作社均形成单个或多个集聚中心,主要聚集中心为奉节县、渝西地区。结论 自2001年以来,随着重庆经济的发展和乡村振兴战略的逐步推进,重庆市农民专业合作社持续发展,改变了原本主要以规模分散生产经营的家庭作业模式。因此,今后应依托其优越的区位条件、不断增强的消费需求,利用信息技术、科学管理办法,培育出更高效、更能凸显当地特色的农民专业合作社。同时也要扎实推进渝东南地区新型农业经营主体的培养工程。     

基于多源遥感数据的马铃薯收入保险应用研究

目的 研究面向创新型农业保险业务中缺少及时准确的第三方作物产量结果用于灾损理赔的问题。引入多源卫星遥感测产技术,识别测产关键因子,构建产量模型。方法 文章运用多元线性回归分析方法,选取山西省马铃薯主产县岚县为研究区,计算基于Sentinel2影像的植被指数,结合气象卫星数据与实测单产数据,筛选关键因子,建立马铃薯单产遥感测产经验模型。结果 采用GF-2影像分割与Sentinel2长势时序识别岚县马铃薯种植面积为8 477.65hm²,精度检验Kappa值为0.72。保险公司岚县承保马铃薯面积2 476.37hm²,承保覆盖率为29.21%。测产结果显示,马铃薯单产与区域关键期地表温度参数相关性较好,岚县遥感测产获得平均单产为13.76 t/hm²,实地测产获得平均单产为14.06 t/hm²,误差百分比为2.13%,分乡镇平均误差百分比为22.97%,基本满足理赔业务需求。在2018年保险期结束后一周内,保险公司启动快速赔付,支付赔款125.29万元,赔付率48.46%。结论 遥感测产具有大范围、时效性好、可靠性高等特点,能够迅速为创新型保险产品提供测产理赔结果,提高理赔效率,保障农民收入。     

用PERT法求解不确定网络中活动时间参数的改进研究

基于计划评审技术(PERT)中β分布的假设,阐述了常规三时估计方法的不足,提出了相应解决对策,即采用限定概率三时估计法分别建立了β分布和Gamma分布拟合方差最小模型,用微粒群算法求解模型,并且将求解结果与常规三时估计方法进行了对比研究。实例证实,对于不同类型的活动,可以选择合理的分布类型并利用限定概率三时估计法,对各个活动的持续时间服从的分布密度函数进行拟合,从而提高PERT的精度和效率。     

黄河流域城市群综合承载力评价及时空分异演进

选取2008—2018年黄河流域七大城市群的面板数据,通过熵权法、Moran系数、核密度估计建立城市群综合承载力评价指标体系,并从时间和空间的维度对黄河流域城市群的综合承载力状况进行时空分异演进分析。研究结论如下:黄河流域城市群综合承载力呈现显著空间自相关,城市之间承载力发展不均衡,黄河流域城市群综合承载力现出向中高水平的路径依赖发展趋势。研究认为,提升黄河流域城市群的综合承载力应积极探索富有地域特色的发展战略,以中心城市为核心加强城市群内各城市协同发展,创新机制促进高质量发展。     

基于时间与作业成本的物流成本核算模型与方法

在物流作业成本法的基础上,加进了基于物流时间的物流成本核算方法,构建了物流成本核算的T-A模型。试图通过基于时间与作业相结合的物流成本核算模型与方法,对企业物流成本进行管理,以进一步挖掘物流隐性成本,为企业降低成本提高利润提供新的途径和思路。