应用轨迹灵敏度计算临界切除时间的新方法研究

文章提出了一种可以描述故障后系统稳定程度的灵敏度指标,根据系统稳定性逐渐恶化指标趋于零的特点,计算了系统部分参数的临界值;根据稳定指标与故障切除时间在一定范围内的良好线性关系,估算了系统故障临界切除时间;并在单机无穷大系统与10机典型新英格兰系统下进行验证,证明了该方法的正确性。     

Do investors actually value sustainability? New evidence from investor reactions to the Dow Jones Sustainability Index (DJSI)

Research Summary: Research exploring investor reactions to sustainability has substantial empirical limitations, which we address with a large‐scale longitudinal financial event study of the first global sustainability index, DJSI World. We examine investor reactions to firms from 27 countries over 17 years that are added, deleted, or continue on the index. We find that once relevant controls and comparisons to observationally equivalent firms beyond the index are included, DJSI events have only limited significance and/or materiality. Nonetheless, investors' valuation of sustainability around the world has evolved over time, involving diminishing reactions to U.S. firms and increasing benefits, particularly of continuation on the index, over time. The study highlights the importance of careful analysis and longitudinal global samples in making inferences about the financial effects of social performance. Managerial Summary: The debate about how investors perceive corporate social responsibility (CSR) predates Milton Friedman's famous statement that the only social responsibility of business is to increase profits. Although extensive research has studied whether sustainability contributes to financial performance, we have yet to understand whether investors believe it pays off. This financial event study of reactions to the addition, continuation, and deletion from DJSI World, the first global sustainability index, shows that investors care little about DJSI announcements. Nonetheless, there is some evidence that global assessments of sustainability are converging and that investors may increasingly be valuing continuation on the DJSI, suggesting that firms may gain at least limited benefits from reliable sustainability activities.     

基于主成分分析的我国房地产业周期波动研究

运用主成分分析法构造房地产业景气综合指标（主成分）,第一主成分贡献率为0．96829,说明它保留了原始变量96．829％的信息,在房地产业周期波动分析中就可以把其他主成分舍弃。第一主成分与原始变量的相关系数p称为因子负荷量为0．70632,表明第一主成分反映了商品房销售额指标70．632％的信息。选择商品房销售额指标作为代表,来研究房地产业周期变动的特征和规律性是可行的。运用时间序列加法模型和乘法模型分析了我国房地产业周期波动的特征和规律性,我国房地产业循环波动的周期为12-13年。     

Reconsidering the Relationship between Inflation and Relative Price Variability

It has long been popularly believed that the relationship between inflation and relative price variability (RPV) is positive and stable. Using disaggregated CPI data for the United States and Japan, however, this study finds that the relationship is neither linear nor stable over time. The overall relationship is approximately U‐shaped around a nonzero threshold inflation rate. RPV therefore changes not with the inflation rate per se, but with the deviation of inflation from the threshold inflation rate. More importantly, the relationship is by no means stable over time but instead varies significantly in a way that coincides with regime changes of inflation or monetary policy. The relationship was positive during the period of high inflation of the 1970s and the early 1980s, as has been documented by a number of previous studies, whereas it takes a U‐shape profile during the Great Moderation. The results are robust to the use of core inflation, which excludes the traditionally volatile prices of food and energy. This paper then presents a modified version of the Calvo‐type sticky price model to describe the observed empirical regularities. Simulation experiments show that the modified Calvo model fits the data well, and that the underlying relationship hinges upon the degree of price rigidity, which is systematically related to inflation regime. For countries and periods with low inflation rates, the relationship takes a U‐shape as price adjustment is more sticky. In a high‐inflation environment, when price setting becomes more flexible, the U‐shaped profile vanishes.     

基于参保时段配比的社会养老保险历史债务估算方法——以2005年基本养老保险制度为基础

社会养老保险的历史债务及其估算一直是学界关注的一个热点问题。本文提出历史债务估算的一种新方法——以“中人”基本养老金为基础、按照其在旧制度的工作年限与新制度下的缴费年限之比确定“中人”历史债务,并以2005年修改的基本养老保险制度为基础建立估算模型。这一方法适合于任一统筹地区。文章还根据某地的实际数据,对该地区的历史债务进行估算。     

Restricted forecasting with VAR models: An analysis of a test for joint compatibility between restrictions and forecasts

A restricted forecasting compatibility test for Vector Autoregressive Error Correction models is analyzed in this work. It is shown that a variance–covariance matrix associated with the restrictions can be used to cancel out model dynamics and interactions between restrictions. This allows us to interpret the joint compatibility test as a composition of the corresponding single restriction compatibility tests. These tests are useful for appreciating the contribution of each and every restriction to the joint compatibility between the whole set of restrictions and the unrestricted forecasts. An estimated process adjustment for the test is derived and the resulting feasible joint compatibility test turns out to have better performance than the original one. An empirical illustration of the usefulness of the proposed test makes use of Mexican macroeconomic data and the targets proposed by the Mexican Government for the year 2003.     

The mean-variance investment problem in a constrained financial market

This paper extends the mean-variance analysis and the two-fund separation theorem to a market with some constraints, such as, the incompleteness, prohibition of short-selling, and partial information, with stochastic interest rate, and with stochastic volatility for risky assets. By maximizing a quadratic utility of terminal wealth, we show that the efficient frontier for the problem is a straight line in the mean-standard-deviation diagram. The quadratic utility function exhibits mean-variance efficiency. Our results apply to portfolios of claims in a single period, multiperiod, and continuous time.     

Working time flexibility components and working time regimes in Europe: using company-level data across 21 countries

Working time flexibility comprises a wide variety of arrangements, from part-time, overtime, to long-term leaves. Theoretical approaches to grouping these arrangements have been developed, but empirical underpinnings are rare. This article investigates the bundles that can be found for various flexible working time arrangements, using the Establishment Survey on Working Time and Work–Life Balance, 2004/2005, covering 21 EU member states and 13 industries. The results from the factor analyses confirmed that working time arrangements can be grouped into two bundles, one for the employee-centred arrangements and second for the employer-centred arrangements, and that these two bundles are separate dimensions. We also tested the stability of the factor analysis outcome, showing that although we find some deviations from the pan-Europe and pan-industry outcome, the naming of the components as flexibility for employees and flexibility for employers can be considered rather stable. Lastly, we find three country clusters for the 21 European countries using the bundle approach. The first group includes the Northern European countries along side Poland and Czech Republic, the second group the continental European countries with UK and Ireland, and lastly, the southern European countries with Hungary and Slovenia.     

Searching for synchrony

Authorities working on economic-crime investigation in Finland are trying to change their form of collaboration from the sequential passing of documents towards parallel, interorganizational collaboration: the on-line investigation of an ongoing crime. The synchronization of events and the outputs of various participants proved to be difficult in this emerging process. This new model of crime investigation also requires a new kind of time management. This article explores how the change is being constructed in everyday practice by examining three economic-crime-investigation cases. It is claimed that individual efforts to manage time allocation suffice only in terms of co-ordination of events. It is suggested that a successful shift to parallel, interorganizational collaboration requires more than the common marking of calendars. The object of the work and the forms of interaction should be taken as subjects of reflective negotiation. New kinds of collective time-management tools are needed in this effort.