汇率波动对外商直接投资的影响 ——基于知识资本模型从产业角度的实证检验

本文运用知识资本模型分别从国别和产业的角度对汇率波动与国际直接投资(FDI)进行实证检验。该模型考虑到资源禀赋对FDI的影响,并将FDI细分为垂直型和水平型;同时,为了使计量更加精确,本文还将模型中汇率的波动分解为一价定律失效导致的波动和不可解释的原因导致的波动;最后,本文还检验了美元盯住制对FDI的影响。结果发现,东道国货币贬值是否有利于吸引FDI取决于该国FDI是以水平型还是垂直型为主,同时,美元盯住制对FDI没有促进作用。     

中国居民货币需求结构及其对货币需求函数的影响

失业率对中国居民货币需求量存在显著性关系,证券收益率与改革的市场化进程对货币需求存在不同层次的影响。M2的动态模型显示,失业率、利率及市场化率一期滞后值对M2有显著性影响,当期居民收入及其一期滞后值也对M2有显著性影响。因此,中国货币当局应充分关注利率、失业率以及中国市场经济改革进程对微观主体——居民货币需求的影响,以使货币政策更好地促进经济发展。     

The economic impacts of river rehabilitation: A regional Input-Output analysis

We developed a model to predict the impacts of river rehabilitation activities on the local economy. The model is based on the Input-Output analysis technique and was applied to the planned rehabilitation project for the River Thur in northern Switzerland, along the 4 km stretch between the communities of Bürglen and Weinfelden. We estimated changes in local employment and local economic output resulting from government spending on rehabilitation, associated changes in adjacent land use, and increased recreational activity. Accounting for land use changes required a modification of the conventional Input-Output analysis technique which should be of general interest. We accounted for uncertainty in the data and in some of the model assumptions by using a probabilistic formulation and propagating uncertainty through the model equations. As time-consuming local surveys were beyond the scope of this study, we used the Location Quotient non-survey technique to construct the local technical coefficients from national data and local employment data. This implies that the model can be applied quite easily to a different study area in Switzerland as long as local employment data are available. For each CHF 1 million expenditure per year on rehabilitation activities in our study region, we estimate an extra 8 fulltime employment equivalents (standard deviation, σ = 0.4 fte) and an increased output of CHF 1.4 million (σ = CHF 0.05 million). The low uncertainty of these estimates can be partly attributed to the structure of Input-Output analysis and partly to the fact that we estimated changes in the economic output, rather than output itself. In addition to the above impacts, we estimate that increased recreational use of the area will increase output by as much as CHF 0.17 million (σ = CHF 0.12 million) and employment by as much as 1.7 fulltime employment equivalents (σ = 1.3 fte), depending on the specific rehabilitation option selected.     

商业银行零售管理及目标客户流失概率预测研究

随着金融脱媒趋势逐渐凸显，商业银行以批发业务为主的盈利模式受到了极大的挑战。零售业务逐渐成为未来商业银行利润空间的主要组成部分。同时，商业银行越来越重视零售客户关系的管理与维护，并且逐渐意识到对目标客户行为数据进行分析的重要性。分析商业银行零售客户的流失因素及流失概率是客户行为分析的重要方面。研究表明，影响商业银行零售目标客户流失的因素较多，在诸多影响因素中，经COX模型的筛选，客户年龄、观察期内客户使用的产品数等因素对目标客户流失的解释作用是十分显著的。这些因素或正向或负向地作用于目标客户流失概率。     

Modelling short- and long-term effects in the aggregate demand for soft drinks

A dynamic regression model for non-durable commodity demand is specified based on the additive unobserved components seasonal model with causal variables. The seasonal component which includes retailer stock effects is modelled as a seasonal ARMA process with fixed temperature effects. The non-seasonal component incorporates both short-run consumer responses and long-run adaptation to steady-state growth paths. Aggregation effects on per capita demand caused by the increase of new consumers as real income grows are investigated and the resulting growth trends accounted for. It is shown that neglecting these trends in the long-run adaptation process is likely to produce biased predictions and misleading estimates of crucial response parameters.     

Effects of Monetary and Macroprudential Policies—Evidence from Four Inflation Targeting Economies

We examine the effects of monetary and macroprudential policies in the Asia‐Pacific region, where many inflation targeting economies have adopted macroprudential policies in order to safeguard financial stability. Using structural panel vector autoregressions that identify both monetary and macroprudential policy actions, we show that tighter macroprudential policies used to contain credit growth also have a significant negative impact on macroeconomic aggregates such as real GDP and the price level. The similar effects of monetary and macroprudential policies may suggest a complementary use of the two policies at normal times. However, they could also create challenges for policymakers, especially during times when low inflation coincides with buoyant credit growth.     

Performance of information criteria for selection of Hawkes process models of financial data

We test three common information criteria (IC) for selecting the order of a Hawkes process with an intensity kernel that can be expressed as a mixture of exponential terms. These processes find application in high-frequency financial data modelling. The information criteria are Akaike’s information criterion, the Bayesian information criterion and the Hannan–Quinn criterion. Since we work with simulated data, we are able to measure the performance of model selection by the success rate of the IC in selecting the model that was used to generate the data. In particular, we are interested in the relation between correct model selection and underlying sample size. The analysis includes realistic sample sizes and parameter sets from recent literature where parameters were estimated using empirical financial intra-day data. We compare our results to theoretical predictions and similar empirical findings on the asymptotic distribution of model selection for consistent and inconsistent IC.     

人员高效配置的新模式——推行“X-X”和“T-T”型人员配置方案的构想

基于现有人力资源无法适应工程量的波动、单一的技能掌握无法实现员工角色类型转变的状况。目前单一的"I"型人员配置模式成为制约公司迅速发展的"瓶颈"。方案从现代人力资源管理的角度去探求适用、可行、高效的人力资源配置新模式——即"X-X"、"T-T"型人员配置模式。     

A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries

In this paper we propose a flexible model to describe nonlinearities and long-range dependence in time series dynamics. The new model is a multiple regime smooth transition extension of the Heterogeneous Autoregressive (HAR) model, which is specifically designed to model the behavior of the volatility inherent in financial time series. The model is able to simultaneously approximate long memory behavior, as well as describe sign and size asymmetries. A sequence of tests is developed to determine the number of regimes, and an estimation and testing procedure is presented. Monte Carlo simulations evaluate the finite-sample properties of the proposed tests and estimation procedures. We apply the model to several Dow Jones Industrial Average index stocks using transaction level data from the Trades and Quotes database that covers ten years of data. We find strong support for long memory and both sign and size asymmetries. Furthermore, the new model, when combined with the linear HAR model, is viable and flexible for purposes of forecasting volatility.     

基于TOPSIS模型的湖南省经济可持续发展评价

在和谐社会发展理念的基础上,建立了湖南省可持续发展指标体系;并运用层次分析法(AHP)和TOPSIS模型进行了实证分析。结果表明,湖南省在第十个"五年计划"期间的可持续发展综合指数得到了显著的提高,但某些单项指标还比较低,如城镇化水平,低于全国水平。