Shaking the tree: an agency-theoretic model of asset pricing

Summary. In this paper, we develop an agency-theoretic extension of the Lucas asset pricing model and examine the resulting asset price dynamics. In the model, an agent of the firm can expand or contract the firms output and dividend payments in response to exogenous shocks, although expansions become increasingly costly for the agent to maintain. Analysis of numerical simulations shows that the time-series of equilibrium asset prices exhibits both significant time-varying conditional heteroskedasticity, and longer memory persistence.We would like to thank Beth Shorish for her patience and guidance during this project, as well as conference participants at the 1998 North American Econometric Society Summer Meetings, Montreal, and the 53rd Econometric Society European Meetings, Berlin for their many useful comments.     

Long memory and level shifts: Re-analyzing inflation rates

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation, where the shifts may be caused by sudden oil price shocks, we examine whether evidence for long memory (indicated by the relevance of an ARFIMA model) in G7 inflation rates is spurious or exaggerated. Our main findings are that apparent long memory is quite resistant to level shifts, although for a few inflation rates we find that evidence for long memory disappears. First version received: March 1998/final version received: October 1998     

Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model

Empirically, elements of both fractional long memory and threshold non-linearity are present in the real exchange rates of the G-7 countries against the US, notably in the EU countries. Estimated half lives of deviations from PPP using median unbiased corrections to conventional linear autoregressive models corroborate existing evidence related to the PPP paradox as half lives range from at least four years to an infinite number of years. In contrast, for each EU country, accounting for threshold non-linearity results in estimated half lives that can be less than three years even with the allowance for fractional long memory.     

全球价值链下中国增加值贸易的核算及网络特征研究

基于投入产出模型和社会网络分析,利用世界投入产出表相关数据,对2000—2014年中国的增加值贸易进行核算,并分析全球增加值贸易的网络特征。研究结果显示：（1）从出口目的地来看,中国向美国、日本、德国等国家的增加值出口较大;（2）从行业来看,中国的纺织业、除汽车和摩托车之外的其他产品批发业、采矿业等行业的增加值出口较大;（3）根据网络密度的计算结果,世界范围的各国（地区）贸易联系程度在增强;（4）中国的相对点度数和点强度有上升的趋势,而日本和美国有下降的趋势,说明中国在世界增加值贸易格局中的地位在提升,不过美国仍在世界增加值贸易格局中占据主导地位;（5）核心边缘分析结果表明核心国家（地区）的数目经历了先增加后减少的过程,边缘国家（地区）数目则先减少后增加。其中,中国的核心度一直在增加,日本和美国的核心度呈现下降的趋势。因此,为了扩大增加值贸易,增强国际贸易的话语权,中国政府有必要采取调整进出口税率等政策,并重视与美国等国家的双边贸易合作,以实现双赢的结果。     

城市肌理的传承与更新——河西古镇开发中街道空间的延续

城市肌理是随着人类社会历史的发展而逐步演化的产物,是一个城市人文记忆和历史信息的载体,如何在城市肌理中延续城市的历史文脉,解读城市的人文记忆,构筑城市的美好未来,必然成为城市发展的重中之重。在河西古镇开发中如何保护原有城市肌理,延续城市的历史文脉,做到保护城市的历史信息和风貌特征的同时,又能改善人居环境,使新的城市肌理能够"有机切入"原有肌理,成为一个必须重视的现实问题。     

基于并联FIR滤波器组的Hammerstein预失真器

采用预失真技术对功率放大器的记忆非线性失真进行补偿的关键是预失真器建模的准确性,尤其是模型对功率放大器逆记忆特性的描述能力。针对目前预失真器模型对功率放大器逆记忆效应描述不充分的问题,提出了将查找表(LUT)级联一个具有并联结构的有限长单位冲激响应(FIR)滤波器组作为实现形式的Hammerstein预失真器,以提高传统Hammerstein预失真器的补偿性能,并采用一种两步算法对其参数进行辨识。仿真实验表明,提出的Hammerstein预失真器能更好地补偿带强记忆效应的功率放大器的非线性失真。     

Persistence,mean reversion and non-linearities in the US housing prices over 1830–2013

The objective of this study is to provide a direct estimate of the degree of persistence of measures of nominal and real house prices for the US economy, covering the longest possible annual sample of data, namely 1830–2013. The estimation of the degree of persistence accommodates for non-linear (deterministic) trends using Chebyshev polynomials in time. In general, the results show a high degree of persistence in the series along with a component of non-linear behaviour. In general, if we assume uncorrelated errors, non-linearities are observed in both nominal and real prices, but this hypothesis is rejected in favour of linear models for the log-transformation of the data. However, if autocorrelated errors are permitted, non-linearities are observed in all cases, and mean reversion is found in the case of logged prices, though given the wide confidence intervals, the unit root null hypothesis cannot be rejected in these cases.     

一种级联两箱通用数字预失真器及其辨识算法

提出了一种由单形规范线性分段(SCPWL)函数与记忆多项式级联的数字预失真器,并给出了复数域两步最小二乘参数辨识算法。不同于以往一种预失真器适用一种功放模型的情况,所提的预失真算法利用SCPWL函数的分段特性以及记忆多项式的非线性记忆特性,在完成参数辨识的同时自动地调整结构,可适用于传统以及强非线性新型功放模型的线性化补偿。将所提预失真器分别应用于传统记忆多项式、两箱模型以及新型包络跟踪功放。经过计算机仿真,功放输出的幅频特性和频谱曲线表明所提预失真器能够有效地补偿多种功放的非线性特性。算法仿真比较结果也表明,针对包络跟踪功放,所提复数两步最小二乘算法的邻道泄漏比(ACLR)可改善约35 dB,性能优于最小均方(LMS)类算法约30 dB。     

战后美国城市发展的新特点

"二战"后,美国城市发展从原来的传统城市化,转入大规模的人口郊区化,郊区"卧城"大量产生.20世纪80年代以来,美国进入"后工业"社会城市发展时期,产生了"边缘城市"与"无边缘城市"等城市空间新类型,同时也面临资源、居住和社会经济等方面的问题.     

虚拟团队交互记忆系统对团队绩效的影响!——任务复杂性的调节作用

利用对45个虚拟团队的调研数据,通过相关分析和回归分析,探讨了虚拟团队的虚拟性对交互记忆系统的影响、交互记忆系统的各维度对团队绩效的影响及任务复杂性对两者间关系的调节作用。研究结果显示:虚拟团队的虚拟性和交互记忆系统之间存在相关关系;虚拟团队交互记忆系统的3个维度(专长度、可信度和协调度)对团队绩效具有较强的预测作用;任务复杂性对交互记忆系统与团队绩效的关系产生负向调节作用。