中日韩FTA的潜在经济影响研究——基于动态递归式CGE模型的研究

区域性FTA已经成为世界贸易自由化的新趋势,中韩日FTA的构建对于3国经济融合将产生巨大的推动作用。本文首先回顾了中日韩FTA的相关研究与谈判进程;然后分析了中日韩3国的贸易结构、特征与趋势;最后,结合FTA资本聚集效应,按时间序列构建动态递归式一般均衡模型,分析了中日韩FTA对3国国内生产总值、福利(EV)、外贸进出口、贸易条件等产生的各种潜在经济影响。     

The Role of Local Agglomeration Economies and Regional Characteristics in Attracting FDI: Italian Evidence

The objective of this paper is to test for the importance of local agglomeration externalities in determining inward foreign direct investment (FDI) intensity, viewed as a measure of regional attractiveness to FDI. The links between the degree of FDI inflow penetration into Italy and its determinants at the regional level are examined using alternative fixed effects panel data model specifications, also extended to include spatial effects. It is found that sectoral and regional specificities are relevant in attracting inward FDI into Italy and the different effects of intra‐sector and inter‐sector spillovers can be distinguished. There is also evidence that the importance of agglomeration spillovers connected to the geographical distance varies across regions, indicating both substitution and complementarity effects from FDI inflows into neighboring regions.     

Time Series Modelling of Daily Tax Revenues

We provide a detailed discussion of time series modelling of daily data in general and daily tax revenues in particular. The main feature of the daily tax revenue series is the pattern within calendar months. Standard time series methods for seasonal adjustment and forecasting cannot be used since the number of banking days per calendar month varies and because there are two levels of seasonality: between months and within months. We propose a daily time series model based on unobserved components that allows for the classic decomposition into trend, seasonal plus irregular, but it also includes components for intra-monthly, trading-day and length-of-month effects. Such components typically rely on stochastic cubic spline, polynomial and dummy variable functions. State space techniques are used for the recursive computation of the likelihood and forecasts functions with special allowance for irregular spacing. The model is operational for daily forecasting at the Dutch Ministry of Finance. We present the model specification and discuss estimation and forecasting results up to December 1999. A comparative forecast evaluation is also presented.     

The effect of alternative approaches to design instruction (structural or functional) on students’ mental models of technological design processes

The study aimed to examine the relationship between alternative approaches towards problem solving/design teaching (structural or functional), students’ mental modeling of the design process, and the quality of their solutions to design tasks. The structural approach emphasizes the need for an ordered and systematic learning of the design process stages, while the functional approach emphasizes the teaching and study of design functions (rather than stages). Participants were 80 seventh graders, divided into two groups, who were taught a unit on technological problem solving by either approach in the course of 14 classes (21 h) during a semester. Before, during and after the design process of a technological solution the students represented their perception of the design process. The results for both groups were analyzed in terms of: (a) types of models generated; (b) changes in type of models along the learning/design process; (c) defining characteristics of the design process models. Significant differences between the groups’ models were found for most variables examined. The functional approach was more effective than the traditional structural approach for supporting the construction of holistic, flexible, and effective mental models of the design process of technological solutions.     

上证指数收益率波动的实证分析：基于ARCH族模型

股价指数的收益率序列具有时变波动性、厚尾特征、波动性群集等特点,传统的计量分析无法刻画这些特点。文章利用ARCH族模型,选取2003年1月20日～2013年12月12日上证指数每日收益率共2621个数据对其波动进行定量与定性的分析,结果显示,上证指数日收益率存在高阶的ARCH效应,杠杆效应,波动集聚性特征,条件方差对日收益率有很强的影响,其中EGARCH模型在反映股市波动性方面优于其他模型。     

稳健的HAC法在多元平稳时间序列之间伪回归中的应用

本文在传统HAC法的基础上,将截断参数M设定为样本容量T,并推导新的模型显著性检验Wald*统计量的极限分布。通过比较分析,表明Wald*统计量能大大减少伪回归概率,且新统计量比传统检验统计量更加稳健,但是也发现新的统计量具有一定程度的检验水平扭曲,原因在于截断参数M的设定忽略了AR过程的持久性、MA过程的滞后阶等因素,从而导致Wald*存在检验水平扭曲,说明M的设定不当会产生伪回归和检验水平扭曲现象。     

基于相依违约的上市公司担保风险度量研究

本文运用基于相依违约的混合模型度量上市公司担保风险,并进行了实证研究。结果表明:此模型能很好的预测上市公司对外担保的违约概率,可对上市公司信用进行评级;在敏感性分析中,违约概率对波动率、无风险利率和相依结构比较敏感,这能为风险管理提供一定的参考。     

福建省城镇居民收入差距对消费影响的实证分析——基于Panel Date模型的分析

运用Panel Date模型,针对福建省不同收入阶层城镇居民收入差距对消费影响进行实证分析,得出收入差距对消费特别是消费支出具有显著影响,同时得出福建省消费结构不合理的结论。最后提出从提高收入、缩小收入差距与优化消费结构两方面促进福建城镇居民消费的政策建议。     

On the Application of Conditional Independence to Ordinal Data

A special log linear parameterization is described for contingency tables which exploits prior knowledge that an ordinal scale of the variables is involved. It is helpful, in particular, in guiding the possible merging of adjacent levels of variables and may simplify interpretation if higher-order interactions are present. Several sets of data are discussed to illustrate the types of interpretation that can be achieved. The simple structure of the maximum likelihood estimates is derived by use of Lagrange multipliers.