Empirical Evidence on Corporate Risk‐Shifting

We study empirically whether nonfinancial firms’ behavior is consistent with systematic risk‐shifting. We compare firms’ operating risk before and after a debt issue, under the assumption that if there is any risk‐shifting it is most likely to occur right after a debt issue. We document a significant increase in firms’ operating risk, even after adjusting for industry influences. The risk‐shifting is higher for firms with no subsequent debt issues, and for firms with lower credit ratings. Other determinants are earnings volatility, size of debt issue, and whether the bond is callable.     

组织工程用三维多孔支架制备技术研究进展

综述了近几年组织工程用三维多孔支架的制备技术及研究成果,传统技术包含微球烧结法、溶液浇铸/粒子沥滤法、热致相分离/冷冻干燥法、静电纺丝法、快速成型法等;超临界技术包括超临界CO2发泡法、超临界CO2乳剂制模法、超临界CO2静电纺丝法、超临界辅助相分离法、超临界CO2溶剂去除法、离子液体聚合物混合干燥法等。重点评述了超临界流体技术在组织工程用三维支架制备中的发展前景。     

OpenGL矿山虚拟设计及其应用

设计了系统的基本思路,在Visual Studio 2008数据库的基础上,利用OpenGL对矿山巷道,硐室设计等进行三维可视化虚拟,并通过数学模型,对矿井设计进行分析与纠错处理,用C#实现系统的功能。     

露天边坡工程及FLAC数值分析

以高西沟露天煤矿的西北边帮作为研究对象,运用FLAC3D数值模拟软件,经过数值计算得到边坡安全系数为1.57,其与工程类比法计算得到的数值差不多,知该数值分析方法不仅能快速、准确的算出边坡的稳定性系数,还能够形象的描绘边坡的滑移临界场,是一种有效的边坡稳定性分析的方法。     

矿井通风三维可视化系统及优化

系统建立了三维仿真框架,建立了三维空间属性模型和非空间属性模型,分别对空间数据和非空间数据进行储存和管理。并建立了Hardy-Cross迭代模型和离散反馈型神经网络模型优化通风网络模型。并以C#语言来实现系统的功能。     

Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons

The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual frequencies. Data consists of metal-commodity prices at a monthly and quarterly frequencies from 1957 to 2012, extracted from the IFS, and annual data, provided from 1900 to 2010 by the U.S. Geological Survey (USGS). We also employ the (relatively large) list of co-variates used in Welch and Goyal (2008) and in Hong and Yogo (2009).We investigate short- and long-run comovement by applying the techniques and the tests proposed in the common-feature literature. One of the main contributions of this paper is to understand the short-run dynamics of metal prices. We show theoretically that there must be a positive correlation between metal-price variation and industrial-production variation if metal supply is held fixed in the short run when demand is optimally chosen taking into account optimal production for the industrial sector. This is simply a consequence of the derived-demand model for cost-minimizing firms. Our empirical evidence fully supports this theoretical result, with overwhelming evidence that cycles in metal prices are synchronized with those in industrial production. This evidence is stronger regarding the global economy but holds as well for the U.S. economy to a lesser degree.Regarding out-of-sample forecasts, our main contribution is to show the benefits of forecast-combination techniques, which outperform individual-model forecasts – including the random-walk model. We use a variety of models (linear and non-linear, single equation and multivariate) and a variety of co-variates and functional forms to forecast the returns and prices of metal commodities. Using a large number of models (N large) and a large number of time periods (T large), we apply the techniques put forth by the common-feature literature on forecast combinations. Empirically, we show that models incorporating (short-run) common-cycle restrictions perform better than unrestricted models, with an important role for industrial production as a predictor for metal-price variation.     

Granular institutional investors and global market interdependence

We study the propagation of global investment risk across markets through the granular view of institutional investors. Applying the conditional value-at-risk estimation to micro-level weekly observations of international mutual funds between 2003 and 2011, we find that idiosyncratic shocks to large institutional investors explain both aggregate market risk and cross-market risk interdependence. Conditional on the US capital markets being in financial distress, idiosyncratic shocks to the top 10% largest funds investing in the US explain about 40% of the risk fluctuations in other non-US markets. The findings are also economically and statistically significant for the top largest funds investing in non-US markets, with the effects becoming especially large during the global financial crisis of 2007–09. These results are robust after controlling for common risk factors and applying alternative measures of idiosyncratic shocks.     

Capital flows to emerging market economies: A brave new world?

We examine the determinants of net private capital inflows to emerging market economies (EMEs) since 2002. Our main findings are: First, growth and interest rate differentials between EMEs and advanced economies and global risk appetite are statistically and economically important determinants of net private capital inflows. Second, there have been significant changes in the behavior of net inflows from the period before the recent global financial crisis to the post-crisis period, especially for portfolio inflows, partly explained by the greater sensitivity of such flows to interest rate differentials since the crisis. Third, capital controls introduced in recent years do appear to have discouraged both total and portfolio net inflows. Finally, we find positive effects of unconventional U.S. monetary policy on EME inflows, especially portfolio inflows. Even so, U.S. unconventional policy is one among several important factors influencing flows.     

Measurement of Quality of Life and Well‐Being in France: The Drivers of Subjective Well‐Being

Ever since the publication of the Stiglitz Report, France has been heavily involved in the measurement of well‐being. The French Statistical Institute (INSEE) has expanded the scope of its existing surveys. It has also launched an innovative experimental survey which, drawing upon a single statistical source, aims for the first time to explore the different dimensions of both objective and subjective quality of life, as highlighted in the Stiglitz Report. It allows us to study, at the individual level, correlations between these dimensions and the accumulation of deprivations. It has enabled us to better understand the links between determinants generally referred to as objective dimensions of quality of life (such as health or education) and subjective well‐being. This information is of paramount importance for policy makers who cannot act directly on the level of people's satisfaction but can only act upon the levers of objective dimensions. This paper presents the main findings of the experimental survey.     

Bailout uncertainty in a microfounded general equilibrium model of the financial system

This paper develops a micro-founded general equilibrium model of the financial system composed of ultimate borrowers, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood of governmental bailouts on leverage, interest rates, the volume of defaults and the real economy. The distinction between risk and uncertainty is implemented by applying the multiple priors framework to beliefs about the probability of bailout.Results of the analysis include: (i) An unanticipated increase in bailout uncertainty raises interest rates, the volume of defaults in both the real and financial sectors and may lead to a total drying up of credit markets. (ii) Lower exante bailout uncertainty is conducive to higher leverage, which in turn raises moral hazard and makes the economy more vulnerable to expost increases in bailout uncertainty. (iii) Bailout uncertainty affects the likelihood of bubbles, the amplitude of booms and busts as well as the banking and the credit spreads. (iv) Higher bailout uncertainty is associated with higher returns’ variability in diversified portfolios and higher systemic risks, (v) Pre-crisis expansionary monetary policy reinforces those effects by inducing higher aggregate leverage levels. (vi) The larger the change in bailout uncertainty and the change in aversion to this uncertainty, the stronger the pre-crisis buildup and the deeper the ensuing crisis.A central policy implication of the analysis is that the vaguest is bailout policy prior to a crisis, the lower is the magnitude of investments destroyed or missed due to errors in evaluating bailout and other intervention policies. On the other hand, the clearer is bailout policy upon the eruption of a crisis, the smaller the contraction of credit and the destruction of investment activity.