农村金融生态环境与金融效率指标体系构建及互动分析

分别建立农村金融生态环境和金融效率评价指标体系,并从理论上分析二者的互动机制。然后运用Granger因果检验法,对1985-2008年农村金融生态环境和金融效率关系进行实证分析,结果显示二者存在Granger因果关系,建议通过优化农村金融生态环境来促进金融效率提高,并带来自身进一步改善。     

非线性时序模型LM检验的两类临界值检验统计功效比较

本文基于模拟方法比较了不同非线性时序模型的LM检验的功效和规模,同时也考虑一般化线性检验BDS检验参与比较,目的在于探讨蒙特一卡洛渐近法检验与自举法（bootstrap）检验的两类临界值的统计功效何者更为有效。通过实证与对比分析,结果表明,当样本小于200或自回归系数接近单位根,或者线性性检验是ARCHT或BDS时,就可以考虑应用自举法临界值而非渐近临界值。而且还发现,BDS检验仅在一般性上优于LM检验。     

工具变量法综列单位根检验的有偏性及其修正

Chang（2002）基于非线性工具变量估计，提出了对截面相关综列数据进行单位根检验的SN检验，在综列数据生成过程不舍飘移和时间趋势时具有良好的表现。但我们的研究表明，在非平稳综列数据含有确定性趋势时，SN检验是有偏的，不再服从标准正态的渐近分布，而需要进行修正。本文基于蒙特卡罗仿真试验提出了一种简便的修正方法，修正后的SN检验统计量渐近分布为标准正态分布。仿真结果表明，修正后的SN检验具有更好的有限样本性质和较高的检验势。     

Forecasting the UK economy with a medium-scale Bayesian VAR

We estimate a Bayesian VAR (BVAR) for the UK economy and assess its performance in forecasting GDP growth and CPI inflation in real time relative to forecasts from COMPASS, the Bank of England’s DSGE model, and other benchmarks. We find that the BVAR outperformed COMPASS when forecasting both GDP and its expenditure components. In contrast, their performances when forecasting CPI were similar. We also find that the BVAR density forecasts outperformed those of COMPASS, despite under-predicting inflation at most forecast horizons. Both models over-predicted GDP growth at all forecast horizons, but the issue was less pronounced in the BVAR. The BVAR’s point and density forecast performances are also comparable to those of a Bank of England in-house statistical suite for both GDP and CPI inflation, as well as to the official Inflation Report projections. Our results are broadly consistent with the findings of similar studies for other advanced economies.     

A sneeze in the U.S., a cough in Japan,but pneumonia in Taiwan? An application of the Markov-Switching vector autoregressive model

This paper examines the lead–lag relationships among the output of Taiwan, Japan and the U.S. Three testing methods are employed: the traditional linear Granger causality test, Hiemstra and Jones' [Hiemstra, C., Jones, J.D., 1994. Testing for linear and nonlinear Granger causality in the stock price-volume relation. Journal of Finance 49, 1639–1664] nonlinear Granger causality test and Warne's [Warne, A., 2000. Causality and regime inference in a Markov-S switching VAR, Working Paper no. 118, Sveriges Riksbank, Stockholm.] Granger causality test under the Markov-Switching model. We find that the causal ordering is unclear and depends on the model we used. Because Markov-Switching model imposes few restrictions in estimation, we tend to use its estimated results but bear in mind that the evidence is sensitive. First, the common shock hypothesis is found that most probably exists between Taiwan and the U.S. Next, we conclude that Japan tends to lead Taiwan's output, to a certain extent. Last, there is no causal ordering between the U.S. and Japan economies.     

欧盟REACH法令对中国化工产品出口的影响分析

欧盟REACH法令的实施将促进我国化学工业的发展,但在短期内会导致我国出口欧盟化工产品和进口化工产品成本上升,降低出口产品竞争力,部分产品甚至退出欧盟市场,其他国家可能纷纷效仿欧盟,引起连锁反应。应对该种技术性壁垒,我国政府和行业协会应加大宣传REACH法令的力度,加快国内相关立法,推进国内实验室的GLP认证工作。另外,化学品生产企业应提高自身产品质量,做好化学品注册的可行性分析和预注册工作。     

The relationship between developed equity markets and the Pacific Basin's emerging equity markets

Using a trivariate vector autoregression (VAR) model with a proper control for heteroscedasticity, this paper investigates the relationships between the two largest equity markets in the world—the U.S. and Japan—and the four Asian emerging equity markets: Hong Kong, Korea, Singapore, and Taiwan. Evidence indicates that the links between the developed markets and the Asian emerging markets (AEMs) began to increase after the stock market crash in October 1987, and have significantly intensified since the outbreak of the Asian financial crisis in July 1997.     

Causality effects in return volatility measures with random times

We provide a structural approach to identify instantaneous causality effects between durations and stock price volatility. So far, in the literature, instantaneous causality effects have either been excluded or cannot be identified separately from Granger type causality effects. By giving explicit moment conditions for observed returns over (random) duration intervals, we are able to identify an instantaneous causality effect. The documented causality effect has significant impact on inference for tick-by-tick data. We find that instantaneous volatility forecasts for, e.g., IBM stock returns must be decreased by as much as 40% when not having seen the next quote change before its (conditionally) median time. Also, instantaneous volatilities are found to be much higher than indicated by standard volatility assessment procedures using tick-by-tick data. For IBM, a naive assessment of spot volatility based on observed returns between quote changes would only account for 60% of the actual volatility. For less liquidly traded stocks at NYSE this effect is even stronger.     

Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts

We construct a DSGE-VAR model for competing head to head with the long history of published forecasts of the Reserve Bank of New Zealand. We also construct a Bayesian VAR model with a Minnesota prior for forecast comparison. The DSGE-VAR model combines a structural DSGE model with a statistical VAR model based on the in-sample fit over the majority of New Zealand’s inflation-targeting period. We evaluate the real-time out-of-sample forecasting performance of the DSGE-VAR model, and show that the forecasts from the DSGE-VAR are competitive with the Reserve Bank of New Zealand’s published, judgmentally-adjusted forecasts. The Bayesian VAR model with a Minnesota prior also provides a competitive forecasting performance, and generally, with a few exceptions, out-performs both the DSGE-VAR and the Reserve Bank’s own forecasts.     

Electricity price forecasting: A review of the state-of-the-art with a look into the future

A variety of methods and ideas have been tried for electricity price forecasting (EPF) over the last 15 years, with varying degrees of success. This review article aims to explain the complexity of available solutions, their strengths and weaknesses, and the opportunities and threats that the forecasting tools offer or that may be encountered. The paper also looks ahead and speculates on the directions EPF will or should take in the next decade or so. In particular, it postulates the need for objective comparative EPF studies involving (i) the same datasets, (ii) the same robust error evaluation procedures, and (iii) statistical testing of the significance of one model’s outperformance of another.