基于滚动窗口马尔科夫链预测模型的股票指数波动情况研究

文章运用基于滚动窗口的马尔科夫链预测模型,对上证综指的变动进行研究,创新地给出概率转移矩阵、极限概率以及预测准确率的时变特征,并首次给出马尔科夫链预测模型的最优窗口长度和状态定义阀值。研究揭示,大盘波动幅度与大盘的极限概率有着密切的关系;股指期货推出后大盘平盘概率占据主导地位,平稳性显著提高,马尔科夫链预测模型的预测准确率也有了较大提高。     

The impact of single windows on trade

This paper is the first that quantifies the impact of single windows (SWs) on international trade globally. SWs function as a single point of entry and exit of the goods traded internationally and are therefore intended to facilitate trade. Using a structural gravity model for a panel of 176 countries from 1995 to 2017, we apply a log–log and a Poisson pseudo-maximum-likelihood estimator (PPML) with multidimensional fixed effects to evaluate the extent to which export and import flows vary depending on whether or not countries have operational SWs. The main results from the linearised gravity model suggest that total trade between two countries with functioning SWs increases by about 37%, of which 23 corresponds to exports and 14 to imports. The result from the PPML estimation also indicates a positive and significant effect, which is however much smaller in magnitude.     

经济大省物流业效率动态演化及其影响因素

经济全球化背景下,经济大省既要积极参与国内经济体系分工,又要嵌入国际产业分工体系,这对区域流通能力提出了较高的要求。而物流业作为社会流通能力的核心,不仅是区域经济发展的加速器,也是推动产业结构转型升级的重要抓手。提升物流业效率,实现传统物流业向现代物流业转型,对于促进生产、拉动消费与调整产业结构,具有重要意义。运用基于超效率数据包络分析模型的视窗分析模型测算2005-2012年我国五个经济大省物流业效率值,并构建灰色综合关联度模型分析区域物流业效率演化发展影响因素可以发现,不同省份物流业效率演化规律差异显著,如广东物流业效率呈现"U"型演化趋势,江苏物流业效率呈现线性加速增长演化趋势,山东物流业效率呈现倒"V"型演化趋势,浙江物流业效率呈现平缓的倒"V"型演化趋势,河南物流业效率呈现斜"N"型演化趋势。物流业效率的核心影响因素存在区域差异,如对广东物流业效率影响最大的因素是城镇化;而同属长江三角洲经济圈的江苏和浙江的物流业效率最主要的影响因素都是人力资源;产业结构对山东省物流业效率的影响最大;影响河南省物流业效率最主要的因素是制度因素。因此,为有效提升经济大省物流业发展效率,在物流业全面对外开放形势下,各省应因地制宜采取相应的对策。     

Has the Exchange Rate Pass‐Through changed in South Africa?

This paper uses the two‐stage exchange rate pass‐through (ERPT) framework instead of the direct pass‐through (PT) from the exchange rate to consumer inflation to assess the variation in the ERPT for South Africa from 1994 to 2014. The paper uses rolling‐window estimation to examine the possibility of change in the ERPT over time. In addition, it investigates the asymmetric behaviour of the ERPT over the business cycle. The results indicate that the ERPT for South Africa is complete in the first stage but incomplete in the second stage. It implies that retailers do not pass all the cost to consumers. The first‐stage ERPT has declined slightly since the Global Financial Crisis. Weak domestic demand and possibly the concentration of firms in the manufacturing sector are the main forces behind this low PT. Moreover, there is evidence of asymmetry in the first‐stage ERPT in that it tends to rise in the upturn phase of the economy compared to the downturn. The second‐stage ERPT shows a considerable decline since the adoption of the inflation‐targeting regime. Similar to the first‐stage case, the PT is muted in the downturn but rises in the expansionary phase by about 10%.