On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices

Continuous-time models of natural resource prices usually preclude the possibility of large changes (jumps) resulting from unexpected events. To test for the presence of jumps and/or ARCH effects, we combine bounds and the Monte Carlo test technique to obtain finite-sample, level-exact p -values. We apply this methodology to stumpage prices from the Pacific Northwest and find evidence of jumps and ARCH effects. To assess the impact of neglecting jumps on the decision to harvest old-growth timber, we develop an autonomous, infinite-horizon stopping model for which we provide a new method of resolution. Our numerical results show the importance of modeling jumps explicitly.     

The Nested PIGLOG Model: An Application to U.S. Food Demand

A new demand system is introduced, the Nested PIGLOG model, nesting thirteen other demand systems including five that are also new. This new model and its nested special cases are applied to models of U.S. food demand that include food-at-home (FAH), food-away-from-home (FAFH), and alcoholic beverages. Although nested tests and out-of-sample forecasting performance favor generalizing models to a certain degree, statistically insignificant improvements to in-sample-fit and even poorer out-of-sample forecast accuracy undermine further generalizations. Based on a subset of preferred models, FAFH is found to be price and income elastic compared to FAH which is price and income inelastic.     

Policy uncertainty and international financial markets: the case of Brexit

ABSTRACT

This study assesses the impact of the Brexit probability on both the UK and on international financial markets, for the first and the second statistical moments. As financial markets are by nature highly interlinked, one might expect that the uncertainty engendered by Brexit also has an impact on financial markets in several other countries. We first estimate the time-varying interactions between UK policy uncertainty, which to a large extent is attributed to uncertainty about Brexit and UK financial market volatilities. Second, we use two other measures of the perceived probability of Brexit before the referendum, namely daily data released by Betfair and results of polls published by Bloomberg. Based on these data sets, and using both panel and single-country SUR estimation methods, we analyse the Brexit effect on levels of stock returns, sovereign CDS, 10-year interest rates in 19 predominantly European countries, and those of the British pound and the euro. We show that Brexit-induced policy uncertainty will continue to cause instability in key financial markets and has the potential to damage the real economy in both the UK and other European countries. The main losers outside the UK are the ‘GIIPS’ economies: Greece, Ireland, Italy, Portugal and Spain.     

经济转型时期江苏省吸引FDI的现状与建议

通过对经济转型时期江苏省利用外资的现状分析,基于EG协整检验,本文对江苏省吸引外商直接投资的影响因素展开实证研究,分析结果表明江苏省原有的土地和劳动力优势已弱化,而高技术人才对吸引FDI和经济发展的影响显著,经济开放度对吸引外商直接投资也有影响,最后从产业、教育和港口建设等方面对江苏省在经济转型期吸引外商直接投资提出相应政策建议。     

Local asymptotic normality for randomly censored models with applications to rank tests

For randomly right censored models we study the asymptotic behaviour of linear (rank) statistics under local alternatives. The results can be used to evaluate the asymptotic power of the corresponding tests. For instance we treat the question how to choose the best scores in order to derive asymptotically optimal (rank) tests under certain alternatives.     

Detecting jumps from Lévy jump diffusion processes

Recent asset-pricing models incorporate jump risk through Lévy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of small and big Lévy jumps with new nonparametric tests. The tests allow for robust analysis of their separate characteristics and facilitate better estimation of return dynamics. Empirical evidence of both small and big jumps based on these tests suggests that models for individual equities and overall market indices require incorporating Lévy-type jumps. The evidence of small jumps also helps explain why jumps in the market index are uncorrelated with jumps in its component equities.     

浅议地质调查项目实验测试工作预算方法--存在的问题及建议

按现行的预算编制要求,地质调查实验测试费用需拆分至相关财务费用科目并作为执行和审计的依据,但经估算,拆分数据与实际发生费用相去甚远。实验测试经费预算中存在的问题：(1)预算编制中无法“精细预算”、预算标准与实际情况不吻合;(2)实验测试工作周期不确定、受野外工作情况制约,实验测试类委托业务无法严格按照预算执行。对改进实验测试预算编制方法的建议：(1)实验测试预算管理跳出“费用科目”拆分,在预算中以工作手段体现,建议在预算附表中增加“实验测试费”表;(2)实验测试预算不区分是否为委托业务;(3)对实验测试工作手段标准进行动态调整;(4)给出实验测试工作适当的预算调整空间。     

我国P2P借贷市场有效性实证研究

中国互联网金融发展迅速。截至2017年3月底,中国P2P互联网金融借贷运营平台数量达2458家、贷款余额累计超4000亿元人民币,但P2P网贷市场累计问题平台数量已达853家并呈上升趋势。本文定义了P2P互联网金融借贷市场\"有效性\"概念,实证检验中国P2P网贷市场的有效性。研究结果表明,中国P2P网贷市场尚未达到弱市有效;投资人不是完全理性,他们更偏好于收益率而非风险规避;\"好\"的借款人比\"差\"的借款人更容易借到款。