Multiple curve Lévy forward price model allowing for negative interest rates

In this paper, we develop a framework for discretely compounding interest rates that is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the classical as well as the Lévy Libor market model, it allows in a natural way for negative interest rates and has superb calibration properties even in the presence of extremely low rates. Moreover, the measure changes along the tenor structure are significantly simplified. These properties make it an excellent base for a postcrisis multiple curve setup. Two variants for multiple curve constructions based on the multiplicative spreads are discussed. Time‐inhomogeneous Lévy processes are used as driving processes. An explicit formula for the valuation of caps is derived using Fourier transform techniques. Relying on the valuation formula, we calibrate the two model variants to market data.     

Accuracy of forward freight agreements in forecasting future freight rates

Participants in the maritime industry place much interest in the Forward Freight Agreements (FFA/FFAs), being an indispensable tool for hedging shipping freight risk. Our article innovates by directly comparing the FFA predictions with their actual future settlement prices as well as by examining contracts going forward as far as next calendar year. We combine straightforward comparison measurements with cointegration analysis to test for the accuracy and efficiency of the FFA projections. We find that FFAs display limited usefulness in predicting future freights, only slightly superior than simple naïve models. The shorter the contract period and the smaller the vessel the better the forecast. We also find FFAs being relatively good predictors of future market direction but missing the turning points of the market cycles.     

The trilogy of China cotton markets: The lead–lag relationship among spot,forward, and futures markets

China is a leading participant in the world cotton market. China’s distinctive regulatory structure and procedures and business environment provide an opportunity to explore some unique market dynamics. This study investigates the interrelationship among the spot, futures, and forward cotton markets in China over a period of a major policy change: A temporary State reserve program for cotton that was established in 2011 and ended in 2014. This government intervention significantly distorted the way farmers, manufacturers, and speculators interacted and was not sustainable. Overall, our results support futures market’s dominant role in the price discovery process.     

International spillovers from US forward guidance to equity markets

We quantify the international spillovers of explicit Federal Open Market Committee (FOMC) policy rate guidance used as an unconventional monetary policy tool at the zero lower bound of the policy rate on international equity markets, considering equity indices of both advanced and emerging economies. We find that stimulatory explicit FOMC policy rate guidance announcements at the zero lower bound led to higher equity prices in a number of advanced and emerging economies. Moreover, we find that equity indices of economies with lower sovereign ratings rose by more, consistent with the risk-taking channel of monetary policy.     

服务业FDI的前向关联和中国制造业生产率增长——基于行业面板数据的实证分析

本文采用制造业行业面板数据,运用投入产出表构建服务业FDI对制造业的前向关联指标,并基于DEA方法将制造业的全要素生产率增长分解为技术效率增长和技术进步增长的基础上,探讨服务业FDI是否通过前向关联促进了中国制造业的生产率增长。研究发现,服务业FDI通过前向关联显著促进了中国制造业的技术水平提升和技术效率改善,但主要是通过提升制造业的技术水平来促进制造业全要素生产率增长。     

正演模拟技术指导下的小断层精细刻画

断层对油气运移、聚集起着至关重要的控制作用,是一种很重要的地质构造。随着油气勘探开发的不断深入,小断层所形成的油气藏越来越具有商业价值。小断层和岩性突变的反射特征在地震剖面上具有一定的相似性,为了在解释中进一步明确其反射特征的差异,精确刻画出小断层,分别设计了3m、5m小断层地质模型和砂岩叠置模型,正演模拟得到相应的地震剖面,分析其地震响应特征。研究表明,小断层发育部位反射波组有统一错断现象、小断层在横向上具有一定的延伸长度等,都有别于岩性突变造成的单一反射层错断和延伸短等特征。     

深度融入全球价值链会缩小还是扩大地区差距？——中间品前向关联与后向关联的反向影响

地区生产通过中间品进口（前向关联）融入全球价值链带来的技术溢出效应可以促进经济活动的空间扩散,进而有利于缩小地区差距;而地区生产通过中间品出口（后向关联）融入全球价值链通常会促使生产要素向发达地区集聚,进而产生经济极化效应并扩大地区差距;中间品前向关联与后向关联对地区差距的反向作用受到地区经济贸易水平和结构以及制度环境的制约和影响,因而在经济实践中表现出地区、贸易伙伴、制度环境等多方面的异质性。以2000—2013年中国30个省级区域为研究样本,采用各地区地级市夜间灯光亮度的基尼系数衡量地区差距,运用投入产出模型测度中间品前向和后向关联指数,分析表明：整体上看,中间品前向关联有利于缩小地区差距,而中间品后向关联促使地区差距扩大;前向关联的经济扩散效应主要体现在东部省份,且得益于从OECD国家进口中间品;后向关联的经济极化效应则只在中部省份显著存在,且主要源自对非OECD国家出口中间品;产品和要素市场化程度越高的地区中间品前向关联缩小地区差距的效应越明显。因此,应优化中间品贸易的产品结构和空间布局,适当增加从发达国家的高质量中间品进口,推动中间品出口扩张从“集约边际”向“广延边际”转变,加快产品和要素市场化改革进程,以形成深度融入全球价值链与区域经济协调发展的联动机制,构建双循环新发展格局。     

Affine multiple yield curve models

We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or Heath–Jarrow–Morton modeling, can be consolidated. We model a numéraire process and multiplicative spreads between Libor rates and simply compounded overnight indexed swap rates as functions of an underlying affine process. Besides allowing for ordered spreads and an exact fit to the initially observed term structures, this general framework leads to tractable valuation formulas for caplets and swaptions and embeds all existing multicurve affine models. The proposed approach also gives rise to new developments, such as a short rate type model driven by a Wishart process, for which we derive a closed‐form pricing formula for caplets. The empirical performance of two specifications of our framework is illustrated by calibration to market data.     

The Market Response to Beating After‐tax Earnings Targets Revisited using Analysts’ Pre‐tax Earnings Forecasts and Concurrent Tax Note Disclosures

We investigate whether the premium for achieving after‐tax earnings targets is informed by the availability of pre‐tax and after‐tax earnings forecasts. We find evidence the premium is discounted for firms achieving only after‐tax earnings forecasts compared with firms achieving both forecast targets. This is likely due to the uncertainty about future profitability and earnings quality created by failing to attain pre‐tax earnings targets. For firms achieving only pre‐tax earnings forecasts, no premium is documented. Taken together, our results indicate that while pre‐tax earnings forecasts may not move the market, they have an informational role in providing a context for assessing the achievement of after‐tax earnings targets. We also consider the usefulness of the tax note disclosures of deferred tax assets from carry‐forward losses for assessing the premium for achieving after‐tax earnings targets. Reflecting the duality of this tax deferral, we find evidence that recognition of these tax assets conveys information about lower earnings quality when recognition is likely to be opportunistic (in the case of firms achieving only after‐tax forecasts), and provides a signal of future profitability (in the case of firms achieving only pre‐tax forecasts).     

Heterogeneity in Consumer Demands and the Income Effect: Evidence from Panel Data

This paper uses unique Spanish panel data on household expenditures to test whether unobservable heterogeneity in household demands (taste, etc.) is correlated with total expenditures (income). The main finding is that tastes are indeed correlated with income for about half of the goods considered, implying that cross‐sectional estimates of income elasticities for these goods are biased. The goods are the following: food eaten outside home, alcohol and tobacco, transportation, and energy. The elasticity of alcohol and tobacco is more than halved when taking unobserved heterogeneity into account. For transportation, the bias is sufficiently large to misclassify the good as a luxury.