Asymmetric ACD models: Introducing price information in ACD models

This paper proposes an asymmetric autoregressive conditional duration (ACD) model, which extends the ACD model of Engle and Russell (1998). The asymmetry consists of letting the duration process depend on the state of the price process. If the price has increased, the parameters of the ACD model can differ from what they are if the price has decreased. The model is applied to the bid-ask quotes of two stocks traded on the NYSE and the evidence in favour of asymmetry is strong. Information effects (Easley and O'Hara 1992) are also empirically relevant. As the model is a transition model for the price process, it delivers `market forecasts' of where prices are heading. A trading strategy based on the model is implemented using tick-by-tick data.While remaining responsible for any error in this paper, the authors would like to thank R. Anderson, G. Le Fol, C. Gouriéroux, J. Jasiak, W. Pohlmeier, A. Roell, O. Scaillet, S. Wei and three anonymous referees for useful remarks and suggestions on previous versions. The authors would also like to thank A. Ruttiens from KBC-CBC for useful discussions on practical issues related to trading. Support of the European Commission Human Capital and Mobility Program through the network `Econometric inference using simulation methods' is gratefully acknowledged. This paper presents research results of the Belgian Program on Interuniversity Poles of Attraction initiated by the Belgian State, Prime Minister's Office, Science Policy Programming. The scientific responsibility is assumed by the authors.     

Trade and Renewable Resources in a Second Best World: An Overview

We provide an overview and introduction to the emerging field of trade and renewable resources, and discuss the potential impact of trade liberalization on welfare and resource conservation. A key factor determining the effect of trade reform is the institutional context or property rights regime, and our survey is organized such that it loosely follows the development of new insights with respect to institutions in this literature. This implies a transition from the benevolent planners model to the polar opposite benchmark of open access in the 1990s. Currently the pendulum is swinging back towards management and regulation, but institutions are treated as endogenous. We discuss and compare various key models in some detail and search for common ground between protagonists and antagonists of free trade. Paper based on Keynote address by Erwin Bulte, 12th Annual Conference of the European Association of Environmental and Resource Economists, Bilbao (Spain), June 28–30, 2003.     

持续利用的自然资源价格论

本文提出了自然资源持续利用的福利准则及价格构成，并且还阐述了有关自然资源持续利用的价格理论问题。旨在完善自然资源的价格理论体系。     

The Productivity of US States since 1880

This study uses state-level variation in labor productivity levels at twenty-year intervals between 1880 and 1980 to examine the relative importance of institutional and geographical influences in explaining observed and persistent differences in standards of living over time and across regions. Focusing on fundamental rather than proximate influences, we find that both institutional characteristics and some physical geography characteristics account for a high proportion of the differences in state productivity levels: states with navigable waterways, a large minerals endowment, and no slaves in 1860, on average, had higher labor productivity levels throughout the sample period. However, we find little support for two other influences that have previously received attention—climate and latitude.     

Partial International Coordination in the Great Fish War

This study extends the great fish war model of Levhari and Mirman [Levhari, D. and Mirman, L. (1980) Bell Journal of Economics 11: 322–344] by incorporating a multiple country context into the model and investigates the existence of a partial coordination Nash equilibrium. First, findings of this paper suggest that a partial coordination scheme is sustainable only in limited cases. Any coalition that has more than two member countries cannot be sustained. Second, the existence and the number of coordinating countries depend critically on the magnitude of the biological and preference parameters. Finally, if the coalition is assumed to be a dominant player, there always exist one or two welfare-improving sustainable coalitions and the size of the sustainable coalitions depends on the parameters of the problem.     

Full-cost pricing in the classical competitive process: A model of convergence to long-run equilibrium

In the last 10–15 years a lot of attempts has been devoted to study the calssical process of convergence of market prices toward natural prices. The two forces that one has thought could achieve this target were capital mobility, that determines the dynamics of output, and demand-supply forces, that determine the dynamics of prices. In this article a model of classical competition is proposed in which a full-cost pricing mechanism is adopted in the rule of evolution of market prices. An asymptotical stability result of long-run equilibrium is proved for a two-commodity model with and without a final demand.     

Analysis of Visitor Decision Making System When Visiting Natural Recreation Sites by Multinomial Logit Model

Multinomial Logit Model has analyzed the relationship between the frequency of visits to recreation areas and the motivational factors affecting the visits. Kastro Environment Preserving Site that is located in the Black Sea coast of Marmara region in Turkey, has been chosen as the site for this study. Kastro bay is a natural park that is visited only for recreational visits. The study has been conducted on a photogenic study group due to the proximity factor of Kastro bay close to Istanbul. Kastro bay is a popular recreational park due to its characteristic advantages such as a 200 m wide and approximately 2.5 km long beach and with its high quality vegetation. The vegetation type includes ash tree, oak tree, black pine, sand lily etc. Kastro bay is also the site for the Mediterranean seals (Monachus-monachus) which are at the level of extinction. Approximately 50,000 visitors visit the region during the months of July and August. It has been concluded that there is high direct correlation between the frequency of visits and the motivational factors. It has been determined that the visits are mostly based on the sea and the ecological tourism.Jel: O13, Q20, Q26, Q51, Q56, Q57     

自然保护地自然资源资产产权制度现状辨析

“建立以国家公园为主体的自然保护地体系”是党的十九大所提出的国家公园体制建设的新方向。实现自然保护地的有效保护管理是其重要内容，关键在于通过改革形成科学、合理的自然资源资产产权制度，而厘清自然资源资产产权制度的现状则是进行改革的前提。首先，对现行法律进行系统梳理，明确法律所认定的自然保护地中的自然资源类型。其次，从自然资源的产权种类及所有权改变、用益物权流转三方面总结了自然保护地自然资源资产的产权制度现状。再者，从各类自然保护地申报设立的条件和环保督查中反映出来的问题两方面入手分析了自然保护地的自然资源保护管理现状，从国家公园体制试点采取的措施出发分析了目前的改革探索，并提炼出自然保护地自然资源资产产权制度存在的四大问题，即自然资源资产产权的界定和要求较局限、自然资源所有权行使人虚位、公权与私权的利益协调机制不健全、改革探索中物权途径面临制度障碍。最后，从自然资源资产产权制度设计的角度提出了改革的4个方向。     

基于高频数据的深圳基金市场日内周期性研究

本文利用深市基金指数高频数据,采用Anderson和Bollerslev(1997)提出的弹性傅立叶回归(FlexibleFourierFormregression,即FFF回归)方法首次对深市基金市场进行了日内周期性的研究。通过对高频收益的定性分析,发现基金市场具有同股票市场相似的周期性,并对这一周期性进行了初步的理论解释。通过FFF方法,将该周期因子进行滤波处理以后,基金指数高频绝对收益不再具有明显周期性。FFF回归能较好地确定日内周期因子。     

对宁波发展战略的思考

作者认为 ,宁波的发展应该跳出“三江口”范围 ,即余姚江、奉化江、甬江三江交汇相连的目前的城市中心区 ,加快城市东扩 ,形成特大型组团式城市格局。城市建设要根据宁波滨海、跨江、傍河、枕湖的特点 ,展现亲水特色 ,将宁波建成生态城市。