中央银行沟通、实际干预与通货膨胀稳定

近年来,中央银行沟通已成为一种重要的货币政策工具。本文把中央银行沟通因素引入修正的卢卡斯总供给函数,发现加大中央银行沟通力度有利于引导通货膨胀预期,稳定通货膨胀。采用2003-2009年月度数据,利用结构向量自回归方法对中央银行沟通及实际干预在稳定通货膨胀中的作用进行实证研究,主要结论如下:(1)正的中央银行沟通冲击能有效降低通货膨胀预期以及名义通货膨胀率,且时滞短;(2)正的实际干预(包括银行贷款利率、央票利率及货币供应量)冲击,在短期内不但不能降低通货膨胀预期及名义通货膨胀率,反而会加剧通货膨胀,出现"价格之谜"现象。此外,本文对大多数情况下我国中央银行沟通模棱两可的合理性进行了解释。     

Vandalism and tourism settings: An integrative review

Although wide agreement exists in the literature concerning the presence of vandalism in tourism, very little attention has been given to studying the phenomenon. This paper reviews published literature that addresses vandalism, its manifestation in tourism and its prevention. The review provides a comprehensive analysis of empirical research on the motivations for vandalism, deviant visitor behaviour and intervention strategies to manage such behaviours in tourism settings. The paper reviews the micro-level and macro level forces influencing vandalism and provides a definition, thematic analysis of current literature on motivation of vandalism and common themes in vandalism prevention. The analysis demonstrates a range of intervention strategies to curb vandalism. An evolution towards the use of more refined proactive techniques is apparent in recent work. The review provides a foundation for further work by theorists and practitioners.     

Multimodality in GARCH regression models

It is shown empirically that mixed autoregressive moving average regression models with generalized autoregressive conditional heteroskedasticity (Reg-ARMA-GARCH models) can have multimodality in the likelihood that is caused by a dummy variable in the conditional mean. Maximum likelihood estimates at the local and global modes are investigated and turn out to be qualitatively different, leading to different model-based forecast intervals. In the simpler GARCH(p,q) regression model, we derive analytical conditions for bimodality of the corresponding likelihood. In that case, the likelihood is symmetrical around a local minimum. We propose a solution to avoid this bimodality.     

Applying intervention analysis to financial performance data: The case of US airlines and September 11th

Using intervention analysis I assess the effect of the September 11 terrorist attack on the performance of the US airline industry. The estimated initial effect supports the US federal government decision to provide a $5 billion cash compensation to the airlines. However, the long-run effect is found to be much smaller than the losses reported by the industry in 2001 and 2002. Also, the analysis suggests that not all of the airlines were equally affected by the terrorist act and that investors were fairly rational pricing major airline stocks, but were less accurate with the stocks of smaller regional carriers.

A structural threshold model of the exchange rate under optimal intervention

By considering a social trade-off between targeting the exchange rate and minimizing intervention costs, nonlinear exchange rate dynamics can be captured by a structural threshold model. This article provides a theory-based empirical exchange rate model and shows how to put the model into an empirical investigation. To estimate the structural threshold model, we propose a two-step procedure which separately estimates the permanent and temporary fundamentals of the foreign exchange market. A demonstration of our approach is applied to 1981Q3-2008Q3 Taiwan’s foreign exchange market, with a brief review of its monetary policies and central bank given prior. Estimation results are consistent with theoretical predictions and many intervention operations of Taiwan’s central bank are successfully identified.     

Bundesbank intervention effects through interest rate policy

This paper investigates the effects of the changes in the Bundesbank's discount and Lombard interest rates on the volatility of European Union country exchange rates relative to the German mark during 1987–93. The first year of the sample period contains the last major realignment in the ERM before its ‘breakdown’ in 1993. Using a parsimonious EGARCH model, we find that the conditional volatility of these exchange rates increased in response to interest rate changes, regardless of the rate change direction. This finding is in direct conflict with Bundesbank's public statements that indicate that its interest rate policy was designed to calm its foreign exchange markets.     

政府控制、政府干预与管理者自利——基于财务困境视角的经验研究

本文以中国上市公司为样本,研究政府控制、政府干预对财务困境公司管理者自利行为的影响。研究发现,政府干预程度较低的地区,发生财务困境时管理者明显节制了自身的自利行为;但在政府干预较严重的地区,财务困境公司在职消费的倾向加重。在非政府控制的公司中,发生财务困境时管理者没有收敛其自利行为;与之相比,政府为实际控制人的财务困境公司在职消费与超常薪酬显著降低。上述结果表明,制度环境层面上的政府干预干扰了公司外部治理机制,从而加重了困境公司管理者代理问题,而在政府控制的困境公司,管理者则面临着较强的制度规范和行政约束。     

Japanese and U.S. interventions in the yen/U.S. dollar market: estimating the monetary authorities’ reaction functions

This paper uses recently released official data on the foreign exchange market interventions of the Japanese monetary authorities in the yen/U.S. dollar market during the period 1991–2001 to examine the motivation for the intervention policy. We also compare the Japanese intervention policy with the U.S. intervention policy. Our results suggest that the Japanese authorities regularly responded to deviations of the yen/U.S. dollar exchange rate from a short-term and a long-term exchange rate target. By contrast, the U.S. authorities intervened only occasionally and seemed to have merely reinforced Japanese interventions.     

Creating Early Success in Financial Accounting: Improving Performance on Adjusting Journal Entries*

Adjusting journal entries constitute a necessary component of accrual basis accounting and are critical to the accuracy of financial statements. However, accounting students often struggle to comprehend these accounting entries, which is a concern given that failure to understand early topics in accounting courses has been found to impact course performance and selection of undergraduate major. Perceiving accounting as a language, we utilize psycholinguistic theory to understand how an instructor may improve coherence of students’ mental structures of accounting problems. We conduct an experiment to investigate the extent to which a simple instructor intervention, requiring that the initial deferral transaction be recorded, is able to improve student performance on the subsequent deferral adjustments, and whether this improvement is consistent across problem sets that differ in task difficulty. Consistent with our theoretical prediction, we find that this intervention results in improved performance. The beneficial effect of the intervention is found to differ across problem‐set task difficulty. Implications for accounting education are discussed.     

Automatic ARIMA modeling including interventions, using time series expert software

This article has three objectives: (a) to describe the method of automatic ARIMA modeling (AAM), with and without intervention analysis, that has been used in the analysis; (b) to comment on the results; and (c) to comment on the M3 Competition in general. Starting with a computer program for fitting an ARIMA model and a methodology for building univariate ARIMA models, an expert system has been built, while trying to avoid the pitfalls of most existing software packages. A software package called Time Series Expert TSE-AX is used to build a univariate ARIMA model with or without an intervention analysis. The characteristics of TSE-AX are summarized and, more especially, its automatic ARIMA modeling method. The motivation to take part in the M3-Competition is also outlined. The methodology is described mainly in three technical appendices: (Appendix A) choice of differences and of a transformation, use of intervention analysis; ( Appendix B) available specification procedures; ( Appendix C) adequacy, model checking and new specification. The problems raised by outliers are discussed, in particular how close they are from the forecast origin. Several series that are difficult to deal with from that point of view are mentioned and one of them is shown. In the last section, we comment on contextual information, the idea of an e−M Competition, prediction intervals and the possible use of other forecasting methods within Time Series Expert.