New‐Keynesian Models and Monetary Policy: A Re‐examination of the Stylized Facts*

Using an empirical New‐Keynesian model with optimal discretionary monetary policy, we estimate key parameters—the central bank's preference parameters; the degree of forward‐looking behavior in the determination of inflation and output; and the variances of inflation and output shocks—to match some broad characteristics of U.S. data. The parameterization we obtain implies a small concern for output stability but a large preference for interest rate smoothing, and a small degree of forward‐looking behavior in price‐setting but a large degree of forward‐looking in the determination of output. Our methodology also allows us to carefully examine the consequences of alternative parameterizations and to provide intuition for our results.     

Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion

The paper presents some security market pricing results in the setting of a security market equilibrium in continuous time. The theme of the paper is financial valuation theory when the primitive assets pay out real dividends represented by processes of unbounded variation. In continuous time, when the models are also continuous, this is the most general representation of real dividends, and it can be of practical interest to analyze such models.
Taking as the starting point an extension to continuous time of the Lucas consumption-based model, we derive the equilibrium short-term interest rate, present a new derivation of the consumption-based capital asset pricing model, demonstrate how equilibrium forward and futures prices can be derived, including several examples, and finally we derive the equilibrium price of a European call option in a situation where the underlying asset pays dividends according to an Itô process of unbounded variation. In the latter case we demonstrate how this pricing formula simplifies to known results in special cases, among them the famous Black–Scholes formula and the Merton formula for a special dividend rate process.     

大芦湖低渗透油藏注水开发认识与实践

通过对大芦湖低渗透油藏注水开发的分析研究,提出了低渗透油藏低含水期采油、超前调配、均衡注水等多种注水开发认识,从理论上进行了论证,现场应用效果显著,为提高同类油藏的注水开发效果提供了参考。     

审计“免疫系统”预警功能在审计关口前移中的应用重点研究

在阐述审计免疫系统功能理论的基础上,将研究视角定位于审计免疫系统的预警功能在审计关口前移中的应用,确定了其研究重点,并认为审计免疫系统的预警功能强大,但它不能完全预测问题,而我们却可以将重要的审计关口前移,设置合理的审计模块,构建立体的审计模型,把审计免疫系统的预警功能应用其中,让它提前发出警报,让审计人员尽早感知风险。同时提出了建议:地方审计机关应进一步加大对审计免疫系统的应用研究,充分挖掘其功能,特别是将现有的四大功能应用到审计业务上。     

Anomaly in China＇s Dollar-RMB

Newly-established data on onshore deliverable US dollar-RMB forwards and the Shanghai lnterbank Offered Rate from Oetober 2006 to April 2009 reveal significant violations of covered interest rate parity. This paper explains the cause of this anomaly. Deviations in the forward market are caused by an increase in US dollar-to-RMB conversion restrictions. Given that Chinese monetary authorities want to prevent market participants from taking advantage of the predictable appreciation of the RMB, China＇s State Administration of Foreign Exchange has to tighten up the control on US dollar-to-RMB conversions. Under the tightened conversion restrictions, similar deviations will resurface in the forward market whenever hot money inflow increases. One way to avoid covered interest rate parity violations in the forward market is to decrease hot money inflow into China by maintaining a stable and credible exchange rate policy.     

Alternative Defaultable Term Structure Models

The objective of this paper is to consider defaultable term structure models in a general setting beyond standard risk-neutral models. Using as numeraire the growth optimal portfolio, defaultable interest rate derivatives are priced under the real-world probability measure. Therefore, the existence of an equivalent risk-neutral probability measure is not required. In particular, the real-world dynamics of the instantaneous defaultable forward rates under a jump-diffusion extension of a HJM type framework are derived. Thus, by establishing a modelling framework fully under the real-world probability measure, the challenge of reconciling real-world and risk-neutral probabilities of default is deliberately avoided, which provides significant extra modelling freedom. In addition, for certain volatility specifications, finite dimensional Markovian defaultable term structure models are derived. The paper also demonstrates an alternative defaultable term structure model. It provides tractable expressions for the prices of defaultable derivatives under the assumption of independence between the discounted growth optimal portfolio and the default-adjusted short rate. These expressions are then used in a more general model as control variates for Monte Carlo simulations of credit derivatives. Nicola Bruti-Liberati: In memory of our beloved friend and colleague.     

Monitoring process mean level using auxiliary information

In this study, a Shewhart‐type control chart is proposed for the improved monitoring of process mean level (targeting both moderate and large shifts which is the major concern of Shewhart‐type control charts) of a quality characteristic of interest Y. The proposed control chart, namely the M_r chart, is based on the regression estimator of mean using a single auxiliary variable X. Assuming bivariate normality of (Y, X), the design structure of M_r chart is developed for phase I quality control. The comparison of the proposed chart is made with some existing control charts used for the same purpose. Using power curves as a performance measure, better performance of the proposedM_r chart is observed for detecting the shifts in mean level of the characteristic of interest.     

ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM

The Dybvig‐Ingersoll‐Ross (DIR) theorem states that, in arbitrage‐free term structure models, long‐term yields and forward rates can never fall. We present a refined version of the DIR theorem, where we identify the reciprocal of the maturity date as the maximal order that long‐term rates at earlier dates can dominate long‐term rates at later dates. The viability assumption imposed on the market model is weaker than those appearing previously in the literature.     

Factors influencing hedging decision: evidence from Brazilian citrus growers

The purpose of this study was to analyse the hedging behaviour of 98 citrus growers from the State of Sao Paulo, Brazil. Marketing behaviour was modelled as a choice between spot market, short and long‐term forward contracts. A multinomial logistic regression model was used to evaluate the role of behavioural, personal and managerial variables in the choice. Results indicated that the factors which explain the use of forward contracts by citrus growers are the following: risk propensity; trade with juice processing companies; farming diversification; overconfidence in management; participation in pools; use of management tools; and technical assistance. The results can be useful for farmers, policymakers, government agencies, traders and extension agents.     

The Forex Forward Puzzle: The Career Risk Hypothesis

We conjecture that the forward puzzle may reflect career risks. When professional investors observe public danger signals about a currency, they require a premium for holding it. We find evidence of this in Exchange Rate Mechanism rates. As deep discounts do signal danger, we next specify nonlinear variants of the Fama regression to capture this risk. We also decompose the forward premium into a long-memory trend and short-term component. We find empirical evidence for a career risk premium; risk is in fact dominant in the trend component while the short-term component loads more on expectations. All confidence intervals are calculated via Monte Carlo.