瑞士空气污染管制法及PM10和PM2．5的限排措施

瑞士的环境质量在世界上堪称一流,这得益于瑞士严格执行政府1985年出台的《空气污染管制条例》,在控制PM10和PM2．5排放方面,要求明确,措施得当。瑞士PM10和PM2．5的最大排放源分别为农林和居住与商业。瑞士在道路交通、铁路、水运和航空运输、施工机械与设备、燃烧、工业设备与生产流程以及农业等领域均采取了一系列的减排措施,如,规定柴油的含硫量不得超过10mg／kg,各种车辆须加装可以过滤包括PM2．5的新型高效尾气排放过滤器等等。瑞士的经验表明,有效控制PM10和PM2．5的排放量,一是要细化规章制度,二是要有必要的技术手段。     

Financial Exposure and the International Transmission of Financial Shocks

This paper analyzes the transmission mechanism of banking sector shocks in an international real business cycle model with heterogeneous bank sizes. We examine to what extent the financial exposure of the banking sector affects the transmission of foreign banking sector shocks. In our model, the more exposed domestic banks are to the foreign economy via lending to foreign firms, the greater are the spillovers from foreign financial shocks to the home economy. The model highlights the role of openness to trade and the dynamics of the terms of trade in the international transmission mechanism of banking sector shocks: spillovers from foreign banking sector shocks are greater the more open the home economy is to trade and the less the terms of trade respond to foreign shocks.     

Emerging markets and heavy tails

Emerging countries are held to be subject to more frequent and more pronounced external and internal shocks than their developed counter-parts. This suggests that key variables pertaining to their markets, including their exchange rates, will be marked by greater likelihood of extreme observations and large fluctuations. We focus on the hypothesis that compared to developed country exchange rates, emerging country exchange rates will be more pronouncedly heavy-tailed. We find support for the hypothesis using recently proposed robust tail index estimation methods which, in particular, perform well under heavy-tailed dependent GARCH processes that are often used for modeling exchange rates. According to the estimation results reported in the paper, variances may be infinite for several emerging country exchange rates. Tail index values ζ = p ∈ (2.6, 2.8) appear to be at the dividing boundary between the two sets of countries: while the moments of order p ∈ (2.6, 2.8) are finite for most of the developed country exchange rates, they may be (or are) infinite for most of the emerging country exchange rates. We also study the impact of the on-going financial and economic crisis, and find that heavy-tailedness properties of most exchange rates did not change significantly with the onset of the crisis. At the same time, some foreign exchange markets have experienced structural changes in their heavy-tailedness properties during the crisis.     

A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach

This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency. The model is then applied to daily stock returns and exchange rate changes for six major industrial countries over the 1990–2010 period. The dependence and tail dependence among the above four market statuses are asymmetric for most countries in the negative correlation regime, but symmetric in the positive correlation regime. These results enrich the findings in the existing literature and suggest that analyzing cross-market linkages within a time-invariant copula framework may not be appropriate.     

Impact of macro-economic surprises on carry trade activity

Can official news and policy announcements affect foreign exchange speculation? A widespread speculative strategy in foreign exchange markets is carry trade. This paper explores the links between macro-economic news and foreign exchange options to identify macro-economic fundamentals most relevant to the pricing of downside risk – measured by risk reversals options contracts – to carry trade activity. Focusing primarily on the Japanese yen carry trade, we identify a significant impact of macro-economic surprises on dollar/yen risk reversals. The effect is sizeable, with news related to bilateral trade balance of particular concern. Moreover, there is a close link between risk reversals and speculative futures positions in Japanese yen. This allows us to quantify a substantial effect of macro-economic news on carry trade activity, with the cost of hedging as the transmission mechanism.     

Fuzzy logic,trading uncertainty and technical trading

From the market microstructure perspective, technical analysis can be profitable when informed traders make systematic mistakes or when uninformed traders have predictable impacts on price. However, chartists face a considerable degree of trading uncertainty because technical indicators such as moving averages are essentially imperfect filters with a nonzero phase shift. Consequently, technical trading may result in erroneous trading recommendations and substantial losses. This paper presents an uncertainty reduction approach based on fuzzy logic that addresses two problems related to the uncertainty embedded in technical trading strategies: market timing and order size. The results of our high-frequency exercises show that ‘fuzzy technical indicators’ dominate standard moving average technical indicators and filter rules for the Euro-US dollar (EUR-USD) exchange rates, especially on high-volatility days.     

Scale economies and input price elasticities in microfinance institutions

We evaluate the efficiency of microfinance institutions (MFIs) using a structural approach which also captures these institutions’ outreach and sustainability objectives. We estimate economies of scale and input price elasticities for lending-only and deposit-mobilizing MFIs using a large sample of high-quality panel data. The results confirm conjectures that improvements in efficiency can come from the growth or consolidations of MFIs, as we find substantial increasing returns to scale for all but profitability-focused deposit-mobilizing MFIs. Our results support the existence of a trade-off between outreach and sustainability. All inputs are inelastic substitutes, but we find differences in own-price elasticities in lending-only and deposit-mobilizing MFIs.     

Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009

This paper develops a macro-finance model of the Brazilian economy and its sovereign debt markets that allows for domestic and international macroeconomic influences as well as swings in investor confidence. It finds significant evidence of common trends in the US and Brazilian economies and bond markets as well as spillover effects from US inflation and business cycles to the Brazilian economy. The US Fed Funds rate influences Brazilian sovereign spreads, as do Brazilian inflation and policy rates. The Brazilian confidence factor dominates the behavior of the spreads during periods of crisis and we find that it also has a powerful effect on the level and volatility of macroeconomic variables. These results suggest that the macro-finance approach could throw light upon the behavior of other economies that are troubled by sovereign risk.     

Imports and TFP at the firm level: the role of absorptive capacity

This paper estimates the effect of the decision to import intermediate goods and capital equipment on Total Factor Productivity (TFP) at the firm level on a panel of Spanish firms (1991–2002). We use two alternative approaches. In the first, we estimate TFP and apply a diff‐in‐diff estimator with a control group constructed by propensity‐score matching. In the second, direct method, we estimate TFP with imported inputs as a state variable in one stage. Both approaches show that the effect of a firm's decision to source intermediates and capital equipment abroad on its TFP depends critically on its capacity to absorb technology, measured by the proportion of skilled labour.     

Economic policy uncertainty in the US: Does it matter for the Euro area?

We investigate the effects of a US economic policy uncertainty shock on some Euro area macroeconomic aggregates via Structural VARs. We model the indicators of economic policy uncertainty recently developed by  Baker et al. (2013) jointly with the aggregate price indexes and alternative indicators of the business cycle for the two above indicated economic areas. According to our SVARs, a one standard deviation shock to US economic policy uncertainty leads to a statistically significant fall in the European industrial production and prices of −0.12% and −0.06%, respectively. The contribution of the US uncertainty shock on the European aggregates is shown to be quantitatively larger than the one exerted by an Euro area-specific uncertainty shock.