Spectral Risk Measures: Properties and Limitations

Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility functions. A number of problems are identified with both types of spectral risk measure. The general lesson is that users of spectral risk measures must be careful to select utility functions that fit the features of the particular problems they are dealing with, and should be especially careful when using power SRMs.

Sticky prices, fair wages, and the co-movements of unemployment and labor productivity growth

This paper studies the co-movements of unemployment and labor productivity growth for the U.S. economy. Measures of co-movements in the frequency domain indicate that co-movements between variables differ strongly according to the frequency. First, long-term and business cycle co-movements are larger than short-term co-movements. Second, co-movements are negative in the short and long run, but positive over the business cycle. A New Keynesian model that combines nominal rigidity on the goods market (sticky prices) and real rigidity on the labor market (fair wages) is shown to be quantitatively consistent with the observed co-movements both in the long term and over the business cycle. However, the model fails to explain the short-term co-movements.     

On the performance of the ordinary least squares method under an error component model

Starting from the one-dimensional results by Wang et al (1994) we consider the performance of the ordinary least squares estimator in comparison to the best linear unbiased estimator under an error component model with random effects in units and time. Upper bounds are derived for the first-order approximation to the difference between both estimators and for the spectral norm of the difference between their dispersion matrices.     

光谱失配误差对光伏组件测试的影响研究

光伏组件测试中,太阳模拟器的光谱辐照度分布、光伏组件的光谱响应度、PN结温度等是影响测试结果的主要因素。本文从太阳模拟器光谱失配误差产生的原因出发,研究了光谱失配误差的理论处理方法,并使用脉冲模拟器对单晶硅、非晶硅光伏组件进行了实验分析,给出了减小或修正光谱失配误差对光伏组件测试结果影响的措施建议。     

基于广义交叉谱密度方法的线性和非线性格兰杰因果关系检验

鉴于现行的均值格兰杰因果关系检验或者无法检验非线性的格兰杰因果关系,或者存在“维数灾难”问题,我们利用Chung 和 Hong (2007) 的广义交叉谱方法提出了一个能统一检验线性和非线性均值格兰杰因果关系的检验统计量。我们的广义交叉谱检验统计量渐近服从一个标准正态分布,它不但能考虑所有滞后阶的信息,而且避免了“维数灾难”问题。蒙特卡罗试验结果表明广义交叉谱检验具有良好的有限样本表现。     

非平稳条件下的市场可预测性问题研究

本文研究了非平稳对线性、非线性可预测性检验的影响,从非平稳角度解释了"非线性可预测性难题"。在此基础上对传统的Box-Pierce-Ljung线性检验法和广义谱密度非线性检验法进行了修正,并运用严格的理论证明和蒙特卡罗模拟证实了它们在大样本和有限样本情况下的非平稳稳健性。最后,运用修正的检验方法对我国第一只股指期货标的沪深300统一指数的可预测性进行了分析。本文结论对于我国金融市场实证研究具有重要的指导意义,也反映了我国新兴金融市场的独有特性以及成熟统计方法在我国的实用性。     

不同层次货币供给与消费波动的关联效应比较——来自我国频域的经济证据

利用我国改革开放30年以来的月度数据,从频域的视角量化及比较分析了三个不同层次货币供给和实质消费波动间的关联效应。谱分析结果表明:我国各层次货币供给与消费波动均存在长短不一的周期波动;随着货币层次的变化,消费与货币供给波动间的相关性沿频率梯度做出规律的响应;佐证了M0与消费相关关系最为密切,其次为M1和M2这一经典命题在我国的成立;不同层次货币供给与消费波动间的时差存在差异,且亦与波动频率密切相关。     

光谱颜色复制模型概述

利用光谱复制技术提高颜色复制精度,减少同色异谱现象,是目前颜色高保真复制方法研究的一个主流方向。本文总结回顾了各经典光谱模型,并对打印机适用的基于回归的经典光谱模型和基于物理过程的关键光谱模型进行介绍。其中打印机适用的基于回归的经典光谱模型包括适用于单色打印机的MmTay-Davies模型、适用于网目调多色印刷的Neugebauer模型、添加n值优化的Yule-Nielsen光谱反射率模型、Clapper-Yule光谱反射率模型、细胞化Neugebauer模型、细胞化Yule-Nielsen光谱模型、YNSN光谱模型以及细胞化YNSN模型。通过控制模型中的各可变参数,不断优化模型,可提高光谱颜色复制的精度。     

我国货币供应时序结构的奇异谱分析

时间序列的结构分析是深入研究原始序列的重要前提。应用奇异谱分析并以极大熵谱估计为辅助,对我国广义货币供应量M2进行时间序列结构分析,结果显示:改革开放以来,我国广义货币供应量M2除了趋势项外,还具有周期分别约为10年、4～5年和3年,方差解释能力依次为23.22%、7.48%和3.44%的主周期波动成分;所有的周期波动成分的振幅均随时间而增大;长期趋势在改革开放前期增长速度较慢,而在中后期增长速度较快。     

Exchange rate misalignments,capital flows and volatility

This study investigates the effect of three dimensions of exchange rate misalignments—(i) distance (absolute misalignments), (ii) direction (overvaluation or undervaluation), and (iii) degree (small or large misalignments)—on the overall as well as short-cycle exchange rate volatility. Using data from 1988 to 2014, we find that relative PPP-based exchange rate misalignments increase exchange rate volatility. For developed and developing countries, this increase in volatility is driven mainly by large undervalued misalignments of the U.S. dollar. This finding might be linked to interventions targeting the loss in domestic producers’ competitiveness in global markets. Interestingly, in the case of developed countries, we find this adverse effect on exchange rate volatility also for small absolute misalignments; exchange rate movements close to equilibrium may be associated with ambiguity with respect to future movements in developed countries, which can result in higher exchange rate volatility. Further, the results suggest that, when the dollar is highly undervalued, capital flows have a stabilizing effect on exchange rate volatility in developed countries but a destabilizing effect in developing countries. The finding is consistent with investors’ strategy of taking exchange rate overvaluation and undervaluation into account when engaging in cross-border investments.