企业投资效率演进与中国总产出波动

本文将企业投资效率的变动过程引入包含名义和实际刚性等多种结构特征的新凯恩斯主义宏观模型,并用贝叶斯极大似然方法估计了模型的结构参数。边际数据密度比较结果显示,刚性价格-工资模型能够较好的解释实际数据。同时,我们还就企业投资效率冲击对实际总产出波动的解释力和历史贡献进行了评估,波动性分解的结果说明投资效率冲击对产出波动具有30%以上的解释力,是所有冲击中贡献最大的。历史分解和反事实模拟的结果显示投资效率是动态演化的,在本届政府的两个任期内,投资效率呈现总体改善趋势,相对于十五计划时期,十一五计划时期的投资效率更稳定、效率水平也更高。投资效率改善对2006年后产出增长有显著拉动作用,需要强调的是,如果没有投资效率改善所形成的产出拉动,2008年金融危机所导致的经济衰退要比实际情形严重很多倍。     

“多项连乘和加总”的因素分解法在能源平衡表中的应用

本文对各种研究方法进行分类比较,并指出它们之间的相通性;接着指出在实证研究中普遍存在由于经济部门、产业结构、能源种类等划分的宽口径带来的实验误差：宽口径处理方法的盛行一方面是由于详尽数据的获得存在难度;另一方面,是因为国内外现有研究都是采取“单项连乘和”的形式,这极大限制了分解表达式的涵盖范围和因子种类。为了克服实证研究误差,本文提出将“单项连乘和”扩展成“多项连乘和的加总”形式,并对这种新的方程形式进行因素分解的计算和求解,最后将新方法运用到北京市2000年-2011年的能源平衡表中,分解终端能源消费,获得了细致合理的实验结果。     

Decomposing the sales promotion bump accounting for cross-category effects

Extant research on the decomposition of unit sales bumps due to price promotions considers these effects only within a single product category. This article introduces a framework that accommodates specific cross-category effects. Empirical results based on daily data measured at the item/SKU level show that the effects of promotions on sales in other categories are modest. Between-category complementary effects (20%) are, on average, substantially larger than between-category substitution effects (11%). Hence, a promotion of an item has an average net spin-off effect of (20 − 11 =) 9% of its own effect. The number of significant cross-category effects is low, which means that we expect that, most of the time, it is sufficient to look at within-category effects only. We also find within-category complementary effects, which implies that competitive items within the category may benefit from a promotion. We find small stockpiling effects (6%), modest cross-item effects (22%), and substantial category-expansion effects (72%). The cross-item effects are the result of cross-item substitution effects within the category (26%) and within-category complementary effects (4%). Approximately 15% (= 11% / 72%) of the category-expansion effect is due to between-category substitution effects of dependent categories.     

Target volatility option pricing in the lognormal fractional SABR model

We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula of Itô's calculus yields an approximation formula for the price of a target volatility option in small time by the technique of freezing the coefficient. A decomposition formula in terms of Malliavin derivatives is also provided. Alternatively, we also derive closed form expressions for a small volatility of volatility expansion of the price of a target volatility option. Numerical experiments show the accuracy of the approximations over a reasonably wide range of parameters.     

The dynamics of ex-ante weighted spread: an empirical analysis

We model the evolution of the ex-ante weighted spread (EWS) embedded in an open Limit Order Book (LOB) and investigate the impact of observed market-related variables on the spread. Our modeling involves decomposing the joint distribution of the weighted spread into simple and interpretable distributions. Our main results have several implications: (i) EWS features high persistence in autocorrelation; (ii) lower-level LOB remains liquid even after a high trade imbalance; (iii) lower- and higher-level LOB react to temporal spread change and trade imbalance in different ways; and (iv) both trade durations and quote durations have seasonality effects. We also show, through a simple high frequency trading exercise, that the use of the model can be economically important. Further, our model provides an estimation of market resilience.     

A note on decomposing the Malmquist productivity index by means of subvector homotheticity

Summary. This paper introduces a decomposition of the Malmquist productivity index into component indexes. The motivation is to derive an analogue of the decomposition of the T?rnqvist index into productivity and quality change provided by Fixler and Zieschang (1992) to the Malmquist index. Since we employ no second order approximations, this decomposition requires additional structure, namely a generalized version of Shephard's (1970) inverse homotheticity, which we dub subvector homotheticity. We show that subvector homotheticity is necessary and sufficient for our decomposition. Received: July 10, 1998; revised version: August 11, 1999     

PISA: What makes the difference?

The large difference in the level and variance of student performance in the 2000 PISA study between Finland and Germany motivates this paper. It analyses why Finnish students showed a significantly higher performance by estimating educational production functions for both countries, using a unique micro-level dataset with imputed data and added school type information. The difference in reading proficiency scores is assigned to different effects, using Oaxaca–Blinder and Juhn–Murphy–Pierce decomposition methods. The analysis shows that German students and schools have on average more favorable characteristics except for the lowest deciles, but experience much lower returns to these characteristics in terms of test scores than Finnish students. The role of school types remains ambiguous. Overall, the observable characteristics explain more of the variation in test scores in Germany than in Finland.      

Valuation of American options under the CGMY model

In the present work, we concentrate on the analytical study of American options under the CGMY process. The decomposition formula of the American option and the integral equation for the optimal-exercise boundary are established in explicit forms. Moreover, an analytical approximation formula is obtained for the American value. This approximation is valid when time to maturity is either very short or very long. Numerical simulations are provided for European options, optimal-exercise prices and approximate values for American options.     

中国居民财产分布不均等及其原因的经验分析

使用中国社会科学院经济研究所收入分配课题组1995年和2002年调查数据,本文对中国居民财产分布的不均等情况进行了描述,对这一不均等状况进行了分析。本文发现,中国居民的财产分布差距出现了快速而且明显扩大的趋势,这一扩大的趋势主要来自于城乡之间差距的急剧拉大。其中,城镇公有住房的私有化过程既造成了此间城镇财产差距的缩小,同时又扩大了城乡之间乃至全国财产的收入差距;而随着土地收益的下降,土地价值在农村居民财产总值中相对份额降低,造成其原本具有的缩小全国财产差距的作用减弱。另外,本文还认为,居民的金融资产对总财产分布不平等的推动作用将会进一步增强。     

Decomposition of tourism greenhouse gas emissions: Revealing the dynamics between tourism economic growth,technological efficiency,and carbon emissions

This study proposes an analytical framework for decomposing the national tourism carbon footprint and carbon efficiency to identify the dynamics between economic growth, technological efficiency, and environmental externality. Using the environmentally extended input–output model and decomposition methods, tourism carbon changes are decomposed into the economic factors of total consumption and purchasing patterns, and the production factors of industry input structure and technological improvement. This macro-level approach provides a basis for 1) assessing whether total tourism emissions increase in direct proportion to tourism consumption over time, 2) tracing the underlying determinants and their effects on tourism emissions expansion and eco-efficiency performance, and 3) comparing the carbon performance of the tourism industry against the national average. Based on the example of Taiwan, the results demonstrate that we are a long way from the goal of using the technological efficiencies of production to offset tourism-based carbon emissions.