聚丙烯纤维硅粉水泥土力学性质试验研究

在硅粉水泥土中掺加聚丙烯纤维配制试样,进行无侧限抗压强度试验和不同围压下的三轴试验,结果表明:聚丙烯纤维的掺加可以有效提高水泥土体的强度,且土体强度随纤维掺加量的增加而增强;随着围压的提高,水泥土试件的破坏应力和破坏应变均逐渐增大,掺入聚丙烯纤维的水泥土试件在不同围压下的破坏应力均高于同条件下未掺加纤维的试件。     

Dynamic panel cointegration approaches to the estimation of money demand functions

This paper investigates properties of the money demand functions of Group of Six (G6) member countries (Canada, France, Italy, Japan, U.K., and U.S.) using the estimation and inference techniques of panel cointegration. Empirical analyses are conducted by estimating money demand equations of G6 countries individually and as a whole, allowing heterogeneity in individual specific fixed effects across countries through dynamic, nonstationary panel estimation techniques. By using recently developed panel cointegration techniques, the paper contributes to the literature of money demand studies by improving the power performance of the relevant estimation and inference procedures. It reports fully modified OLS (FMOLS) estimation results of the money demand model for different data frequencies, to find varying signs and magnitudes of real income, interest rates and inflation elasticities of money demand for G6 nations.     

Is doing good good for you? how corporate charitable contributions enhance revenue growth

This study examines the impact of corporate philanthropy growth on sales growth using a large sample of charitable contributions made by U.S. public companies from 1989 through 2000. Applying Granger causality tests, we find that charitable contributions are significantly associated with future revenue, whereas the association between revenue and future contributions is marginally significant at best. We then identify the mechanism underlying our findings. Our results are particularly pronounced for firms that are highly sensitive to consumer perception, where individual consumers are the predominant customers. In addition, we document a positive relationship between contributions and customer satisfaction. Overall, our evidence suggests that corporate philanthropy, under certain circumstances, furthers firms' economic objectives. Copyright © 2009 John Wiley & Sons, Ltd.     

Monotonicity in asset returns: New tests with applications to the term structure,the CAPM,and portfolio sorts

Many theories in finance imply monotonic patterns in expected returns and other financial variables. The liquidity preference hypothesis predicts higher expected returns for bonds with longer times to maturity; the Capital Asset Pricing Model (CAPM) implies higher expected returns for stocks with higher betas; and standard asset pricing models imply that the pricing kernel is declining in market returns. The full set of implications of monotonicity is generally not exploited in empirical work, however. This paper proposes new and simple ways to test for monotonicity in financial variables and compares the proposed tests with extant alternatives such as t-tests, Bonferroni bounds, and multivariate inequality tests through empirical applications and simulations.     

Are microfinance markets monopolistic?

Do microfinance institutions (MFIs) operate in a monopoly, monopolistic competition environment or are their revenues derived under perfect competition markets? We employ the Panzar–Rosse revenue test on a global panel data to assess the competitive environment in which MFIs of five selected countries operate: Ecuador, India, Indonesia, Peru and Philippines, over the period 2005–2009. We estimate the static and the dynamic revenue tests, with analyses of the interest rate and the return on assets. We control for microfinance-specific variables such as capital-assets-ratio, loans-assets and the size of the MFI. The analyses also account for the endogeneity problem by employing the fixed-effects two-stage least squares and the fixed-effects system generalized method of moments. Our results suggest that MFIs in Peru and India operate in a monopolistic environment. We also find weak evidence that the microfinance industry in Ecuador, Indonesia and Philippines may operate under perfect competition.     

压力测试及其在金融机构风险管理中的运用

本文研究和评价了目前被国际大型金融机构积极采用的风险管理工具:压力测试。作者通过将压力测试与VaR作比较等方法详细阐述了压力测试的特征、使用方法和缺陷,并且进一步分析指出压力测试在金融机构风险管理中的作用及其最新发展状况和趋势,最后着重分析了压力测试在我国运用和发展的前景并提出建议。     

Efficient rank tests for semiparametric competing risk models

We consider a semiparametric competing risk model given by k independent survival times. The paper offers an asymptotic treatment of tests for the semiparametric null hypothesis of equality of the underlying risks. It turns out that modified rank tests are asymptotically efficient for certain semiparametric submodels, where the baseline hazard is a nuisance parameter. In addition, the asymptotic relative efficiency of the present tests is derived. A comparison of asymptotic power functions can then be used to classify various tests proposed earlier in the literature. For instance a chi-square type test is efficient for proportional hazards. Data driven tests of likelihood ratio type are proposed for cones of alternatives. We will consider certain stochastically increasing alternatives as a special example. The paper shows how the concept of local asymptotic normality of Le Cam works for hazard oriented models.     

青田水利枢纽通航水流条件试验研究

青田水利枢纽虽位于瓯江较为顺直的河段,但受支流、潮汐及下游河道收窄的影响,建成后枢纽通航水流条件较为复杂。基于水工整体物理模型试验,对青田水利枢纽建成后的通航水流条件进行了模拟研究。模型试验研究表明,枢纽及主要通航建筑物布置基本合理,但设计方案在运行中容易出现斜流问题,尤其是在中、小流量情况下,从而影响到船舶安全进出引航道,导致通航保证率得不到保障。试验采取调整导航墙及航线等措施,对原方案进行了优化,最终提出了航道及通航建筑物的推荐布置方案,以及最大通航流量。同时对支流入汇、潮汐影响等问题进行了研究,探讨论证了在推荐布置方案及控制流量下的通航安全性。     

Huntington's disease,critical illness insurance and life insurance

We describe briefly a model of Huntington's disease (HD), a highly penetrant, dominantly inherited, fatal neurological disorder. Although it is a single-gene disorder, mutations are variable in their effects, depending on the number of times that the CAG trinucleotide is repeated in a certain region of the HD gene. The model covers: (a) rates of onset, depending on CAG repeat length as well as age; (b) post-onset rates of mortality; and (c) the distribution of CAG repeat lengths in the population. Using these, we study the critical illness and life insurance markets. We calculate premiums based on genetic test results that disclose the CAG repeat length, or more simply on a family history of HD. These vary widely with age and policy term; some are exceptionally high, but in a large number of cases cover could be offered within normal underwriting limits. We then consider the possible costs of adverse selection, in terms of increased premiums, under various possible moratoria on the use of genetic information, including family history. These are uniformly very small, because of the rarity of HD, but do show that the costs would be much larger in relative terms if family history could not be used in underwriting. We point out some difficulties involved in applying a moratorium that recognises simply a dichotomy between ‘carriers’ and ‘non-carriers’ of any mutation in a gene when these mutations are, in fact, very variable in their effects. These complexities suggest that restrictions on the disclosure, rather than on the use, of genetic information, if it became established as a principle, could deprive insurers of information needed for risk management even if not used in underwriting.     

The Spatial Durbin Model and the Common Factor Tests

Abstract

The spatial Durbin model occupies an interesting position in the field of spatial econometrics. It is the reduced form of a model with cross-sectional dependence in the errors and it may be used as the nesting equation in a more general approach of model selection. Specifically, in this equation we obtain the common factor tests (of which the likelihood ratio is the best known) whose objective is to discriminate between substantive and residual dependence in an apparently misspecified equation. Our paper tries to delve deeper into the role of the spatial Durbin model in the problem of specifying a spatial econometric model. We include a Monte Carlo study related to the performance of the common factor tests presented in the paper in small sample sizes.