An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components

Portuguese Economic Journal - A set of RLS-type models with ARMA and ARFIMA dynamics is estimated and compared in a forecasting exercise with ARFIMA, GARCH and FIGARCH models. It is an extension of...     

Productivity Growth: Technological Progress and Technical Efficiency

Atlantic Economic Journal -     

Impulse response function analysis of the impacts of land value-added tax policy on government performance

In this study, an epsilon-based network data envelopment analysis is employed to construct assessment mechanisms for government performance. Moreover, performance indicators of two dimensions of tax collection efficiency and financial effectiveness are measured. We propose a vector autoregression model in which all economic variables are regarded as dependent variables to address the disadvantages of traditional regression model. The conclusions are as follows: (a) measures of tax collection efficiency deteriorated, whereas those of financial effectiveness improved. (b) In an impulse response analysis of the model, an increase in government-published land values produced significantly increased tax collection efficiency.     

Volatility forecasting: long memory,regime switching and heteroscedasticity

In this article, we account for the first time for long memory, regime switching and the conditional time-varying volatility of volatility (heteroscedasticity) to model and forecast market volatility using the heterogeneous autoregressive model of realized volatility (HAR-RV) and its extensions. We present several interesting and notable findings. First, existing models exhibit significant nonlinearity and clustering, which provide empirical evidence on the benefit of introducing regime switching and heteroscedasticity. Second, out-of-sample results indicate that combining regime switching and heteroscedasticity can substantially improve predictive power from a statistical viewpoint. More specifically, our proposed models generally exhibit higher forecasting accuracy. Third, these results are widely consistent across a variety of robustness tests such as different forecasting windows, forecasting models, realized measures, and stock markets. Consequently, this study sheds new light on forecasting future volatility.     

How capital markets assess the credibility and accuracy of CSR reporting: Exploring the effects of assurance quality and CSR restatement issuance

This research examines how the credibility and accuracy of corporate social responsibility (CSR) disclosures enhance market confidence by exploring their effect on the cost of capital. How do capital markets react to higher-quality assurance of CSR reporting? Can the hypothetical reduction in the cost of capital that assurance quality produces be explained by restatements of previous information given in these CSR reports? We explore the relationship between assurance quality, as a proxy for credibility and market confidence, and the mediating effect of CSR restatements as indicators of accuracy. We propose regression models with a sample of CSR reports issued by European companies. Building upon the signalling and legitimacy theories, the results support the positive effect of higher assurance quality statements on market confidence by confirming a decrease in the cost of capital; assurance quality gives an indication of credibility to the capital market and restatements related to methodological updates signal accuracy. The reduction in the cost of capital brought on by higher assurance quality appears to be determined by the issuance of CSR restatements, which create legitimacy for both client companies and assurance providers. CSR reporting and assurance have reached a greater level of maturity as demonstrated by the evolution of these practices and financial market perceptions.     

跨入新世纪的石油、能源和经济发展记"2001·北京--世纪石油论坛"

“2001·北京——世纪石油论坛”于10月23～24日在北京举行。论坛由国家经贸委主办,中国石油天然气集团公司、中国石油化工集团公司、中国海洋石油总公司和中国化工进出口总公司协办,国家经贸委经济研究中心和3E信息咨询公司承办。这是在“9·11”恐     

征占用林地生态公益林价值评估的探讨

国家重点工程建设常常需要征占用生态公益林的林地.在进行补偿时,如何评估此生态公益林林木的价值呢?不同评估方法,其评估价值有很大的差异.本文将征占用林地的天然生态公益林的评估价值定为以培育中径材为目标的同类林分用材林评估价值的三倍至五倍.作者认为这样的评估价值最接近现行市场交易价,能够为征占用单位和林木所有者所接受.     

加大关键性领域改革力度奠定经济发展体制基础

2005年,是我国改革与发展继往开来的重要年份。我国将要完成“十五”规划提出的各项主要任务,并向全面建设小康社会的第二个五年迈进;同时,加入世贸组织的三年过渡期基本结束,开始跨进范围更广、层次更深的开放型经济。2005年能否保持经济平稳较快增长,不仅关乎年度宏观经济稳定,而且涉及能否为“十一五”期间奠定坚实的、可持续的基础,甚至将影响到整个“十一五”时期的经济走势。因此,今年经济工作不仅应实现年度宏观调控的四大目标(经济增长、物价稳定、就业增加和国际收支基本平衡),而且还要为延长经济上升期创造有利条件。一、目前我国…