Examining the change in wellbeing following a holiday

Building on existing evidence that tourism contributes to wellbeing, this study aims to investigate how both hedonic and eudaimonic wellbeing changes after a holiday. A longitudinal inquiry involving three waves of observation (during, the fourth week, and the eighth week following a holiday) was carried out in five tourism cities in China, using Latent Growth Curve models to analyze change. Results suggest that life satisfaction – an indicator of hedonic wellbeing – does not decline as expected whereas other indicators of hedonic wellbeing declined dramatically in the first month and then mildly in the second month following a holiday. Comparatively, eudaimonic wellbeing declined gradually and mildly during the same two-month intervals. Higher levels of optimal tourism experiences predicted slower declines of both hedonic and eudaimonic wellbeing. Theoretical, methodological, and practical implications are discussed.     

Exploiting commodity momentum along the futures curves

This study examines novel momentum strategies in commodities futures markets that incorporate term-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn significantly higher risk-adjusted returns than a traditional momentum strategy, which only invests in the nearest contracts. Moreover, when incorporating conservative transaction costs we observe that our low-turnover momentum strategy more than doubles the net return compared to a traditional momentum strategy.     

The nature of trade,global production fragmentation and inflationary dynamics: Cross-country evidence

This study investigates under which circumstances trade has impact on inflation dynamics by examining the independent effects of trade intensity, intra-industry trade and trade on value added. Trade in goods is decomposed into consumption (final) goods and intermediate inputs to deepen the assessment of the role of the globalisation of production activities on inflation dynamics. Open-economy new Keynesian Phillips curve (NKPC) analyses suggest that inflation is sensitive to domestic factors and that the relevance of external factors changes with respect to the nature of trade, country groups and time. Vertical intra-industry trade in intermediate inputs and value-added trade play important role, whereas final goods trade has no statistically significant effect on inflation dynamics.     

Impact of distance on the arrivals,behaviours and attitudes of international tourists in Hong Kong: A longitudinal approach

This study revisits the impact of distance on international tourist behaviours in Hong Kong. This work divides and cross-validates the concept of distance into physical and cultural distance. This work also proposes an alternative cultural distance measure by introducing optimal weight amongst Hofstede's dimensions and then compares the proposed measure with the traditional Kogut and Singh's and Kandogan's measures. By using data from the Visitor Profile Report of the Hong Kong Tourism Board and the World Trade Organisation from 2002 to 2017, along with latent growth curve modelling, multivariate regression and panel data analysis, findings confirmed the significant role of physical and cultural distance. In addition, quadratic relationships are detected using cross-validation methods. The effect of physical distance on tourist demands clearly dominates that of cultural distance in the overall market. The problem of spurious correlation and the results of three cultural distance measures are also discussed.     

等概率条件下的转弯型堆垛机作业效率的计算研究

转弯型堆垛机是自动化立体仓库中实现货物自动存取的关键设备,文中对转弯型堆垛机效率问题进行研究。在假定等概率拣取货物的条件下,分别推求转弯型堆垛机的平均单一作业和复合作业循环周期和作业效率的计算公式,并利用华南理工大学仓储综合实验室的基本数据进行了作业效率的实证计算,从而为自动化立体仓库系统的建设设计和有效管理提供依据。     

基于EGARCH模型的我国向美国出口变动杠杆效应分析

本文运用EGARCH计量模型,对我国向美国出口增速变动进行杠杆效应分析。模型结果显示,出口增速在负向冲击下比受到正向冲击时的波动更加剧烈。次贷危机的恶化,也将会对我国向美国出口增速产生较大的负面影响,从而影响我国的整体出口。对此,文章给出了相关建议。     

2007年Shibor运行综述

该文从Shibor为债券市场产品定价、为票据业务定价、为金融创新产品定价、为商业银行内部转移定价提供基准四个方面分析了Shibor在市场化产品定价中的重要地位,认为Shibor报价已为货币市场提供了一条完整的市场利率曲线,极大地促进了货币市场的快速发展。     

Robustness and U.S. Monetary Policy Experimentation

We study how a concern for robustness modifies a policymaker's incentive to experiment. A policymaker has a prior over two submodels of inflation‐unemployment dynamics. One submodel implies an exploitable trade‐off, the other does not. Bayes' law gives the policymaker an incentive to experiment. The policymaker fears that both submodels and his prior probability distribution over them are misspecified. We compute decision rules that are robust to misspecifications of each submodel and of the prior distribution over submodels. We compare robust rules to ones that Cogley, Colacito, and Sargent (2007) computed assuming that the models and the prior distribution are correctly specified. We explain how the policymaker's desires to protect against misspecifications of the submodels, on the one hand, and misspecifications of the prior over them, on the other, have different effects on the decision rule.     

WTI crude oil Futures in portfolio diversification: The time-to-maturity effect

The aim of the paper is to analyze the diversification effect brought by crude oil Futures contracts, the most liquid commodity Futures, into a portfolio of stocks. The studies that have documented the very low- and essentially negative-correlations between commodities and equities typically rely on normally distributed returns, which is not the case for crude oil Futures and stocks indexes. Moreover, the particular time-to-maturity chosen for the Future contract used as an investment vehicle is an important matter that needs to be addressed, in presence of forward curves switching between backwardation and contango shapes.Our goal in this paper is twofold: (a) we introduce copula functions to have a better representation of the dependence structure of oil Futures with equity indexes; (b) using this copula representation, we are able to analyze in a precise manner the “maturity effect” in the choice of crude oil Future contract with respect to its diversification benefits. Our finding is that, in the case of distant maturities Futures, e.g., 18 months, the negative correlation effect is more pronounced whether stock prices increase or decrease. This property has the merit to avoid the hurdles of a frequent roll over while being quite desirable in the current trendless equity markets. Empirical evidence is exhibited on a database comprising the NYMEX WTI crude oil Futures and S&P 500 index over a 15 year-time period.     

Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

We consider a model for interest rates where the short rate is given under the risk-neutral measure by a time-homogeneous one-dimensional affine process in the sense of Duffie, Filipović, and Schachermayer. We show that in such a model yield curves can only be normal, inverse, or humped (i.e., endowed with a single local maximum). Each case can be characterized by simple conditions on the present short rate r _t . We give conditions under which the short rate process converges to a limit distribution and describe the risk-neutral limit distribution in terms of its cumulant generating function. We apply our results to the Vasiček model, the CIR model, a CIR model with added jumps, and a model of Ornstein–Uhlenbeck type. Supported by the Austrian Science Fund (FWF) through project P18022 and the START program Y328. Supported by the module M5 “Modeling of Fixed Income Markets” of the PRisMa Lab, financed by Bank Austria and the Republic of Austria through the Christian Doppler Research Association. Both authors would like to thank Josef Teichmann for most valuable discussions and encouragement. We also thank various proofreaders at FAM and the anonymous referee for their comments.