Bounds for Functions of Dependent Risks

The problem of finding the best-possible lower bound on the distribution of a non-decreasing function of n dependent risks is solved when n=2 and a lower bound on the copula of the portfolio is provided. The problem gets much more complicated in arbitrary dimensions. When no information on the structure of dependence of the random vector is available, we provide a bound on the distribution function of the sum of risks which we prove to be better than the one generally used in the literature.     

WTO financial services commitments: Determinants and impact on financial stability

The paper investigates the factors that have influenced WTO members to take on their chosen level of liberalization commitments in the framework of liberalization of trade in financial services and the impact of such commitments on financial sector stability. The most important factors are economic growth, current account, trends in banking sector development, policy restrictiveness, and peer-group effects. The econometric evidence suggests that more liberal commitments may be associated with greater vulnerability to currency and banking crises—most likely a short-term effect, which should be mitigated with time through increased market efficiency and better resource allocation.     

中国通货膨胀预期及其影响因素分析——基于混频无套利Nelson-Siegel利率期限结构扩展模型

综合国债市场的利率期限结构信息以及不同频率的宏观信息,本文构建混频无套利Nelson-Siegel利率期限结构扩展模型,在对不同期限债券进行一致性定价理论约束下,提取了中国通货膨胀预期的期限结构并对其进行影响因素分析。研究结果表明,本文模型提取的通胀预期期限丰富、结果稳健,具有较好的参考价值。通胀预期水平和变动响应主要受货币增长率、通胀率及全球食品价格变动等国内外相关宏观变量的影响,与国债收益率因子之间的关系不显著;国债收益率因子对中长期通胀预期的方差波动具有较强解释力,表明国债定价反映了未来通胀的不确定性。本文研究有助于充分利用我国宏观与金融市场信息条件,有效发现和锚定通胀预期,一方面,研究结果可为政策制定者和市场投资者提供科学的决策参考,另一方面,研究方法对丰富宏观金融领域的分析框架具有参考价值。     

基于边限检验理论关于我国R&D投入和经济增长关系的实证研究——从分解视角的考虑

基于我国1991~2006年间数据,运用边限检验理论对我国R&D投入和经济增长之间的关系进行了实证研究,结果表明:我国R&D投入和经济增长之间存在长期的稳定关系,从短期来看,上期GDP增量和本期企业R&D投入对我国经济增长的促进作用显著;从长期关系看,企业R&D投入对经济增长的推动作用为正,而政府R&D投入、金融机构的R&D贷款对经济增长的推动作用为负。     

Metaheuristic algorithms for the multistage hybrid flowshop scheduling problem

We consider the multistage hybrid flowshop scheduling problem, in which each stage consists of parallel identical machines. The problem is to determine a schedule that minimizes the makespan for a given set of jobs over a finite planning horizon. Since this problem class is NP-hard in the strong sense, there seems to be no escape from appealing to heuristic procedures to achieve near-optimal solutions to real life problems. First, a series of new global lower bounds to be used to estimate the minimum makespan are derived. Then, two new metaheuristic algorithms first sequence and then allocate jobs to machines based on a particular partition of the shop. The optimization procedure is based on simulated annealing and the variable-depth search. Computational experiments show the efficiency of the proposed procedures.     

ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS

We develop a theory of robust pricing and hedging of a weighted variance swap given market prices for a finite number of co‐maturing put options. We assume the put option prices do not admit arbitrage and deduce no‐arbitrage bounds on the weighted variance swap along with super‐ and sub‐replicating strategies that enforce them. We find that market quotes for variance swaps are surprisingly close to the model‐free lower bounds we determine. We solve the problem by transforming it into an analogous question for a European option with a convex payoff. The lower bound becomes a problem in semi‐infinite linear programming which we solve in detail. The upper bound is explicit. We work in a model‐independent and probability‐free setup. In particular, we use and extend Föllmer's pathwise stochastic calculus. Appropriate notions of arbitrage and admissibility are introduced. This allows us to establish the usual hedging relation between the variance swap and the “log contract” and similar connections for weighted variance swaps. Our results take the form of a FTAP: we show that the absence of (weak) arbitrage is equivalent to the existence of a classical model which reproduces the observed prices via risk‐neutral expectations of discounted payoffs.     

中国 R & D 强度区位分布条件因素的差异分析--基于稳健MM估计的EBA模型的实证研究

依据空间计量经济学的相关理论,运用稳健MM估计的EBA （异常值检验的极值边界分析）模型,采用中国30个省际区域2002～2012年的面板数据,实证研究中国东部、中部、西部地区R&D强度区位分布条件的“稳健性（Robust ）”影响因素。结果表明：我国东部、中部、西部各地区的R&D强度存在差异,且其影响因素也不尽相同。R&D强度较高的东部地区,科技水平、市场规模、固定资产投资、要素禀赋等4个因素对中国R&D强度具有抗干扰的“稳健性”影响;R&D强度中等的中部地区,3个“稳健性”影响因素是政府公共政策、科技水平和要素禀赋;而对于R&D强度较低的西部地区,技术创新和要素禀赋对提高R&D强度作用具有“稳健性”。由此揭示我国R&D强度的发展规律以及各区域间的差异性,并根据实证结论提出一些政策建议,为各地区制定科技政策目标和实施方案提供经验证据和决策参考。     

基于有界协整方法的中国进口需求弹性研究

有界检验是由Pesaran等(2001)新提出的一种协整分析方法,本文利用这一方法对改革开放以来中国进口贸易与其决定因素之间的长期关系和需求弹性进行了分析。结果表明,无论是长期还是短期,中国的进口需求相对于价格缺乏弹性,但相对于收入具有较高的弹性。这一结论具有重要的政策含义:其一,某些国家力图通过促使人民币升值来缓解其贸易赤字的做法是缺乏论据支持的;其二,中国经济的增长是世界经济的积极贡献因素。     

中国货物贸易出口量的影响因素--基于引力模型的极值边界分析

对外贸易是拉动经济增长的三驾马车之一,我国出口贸易对经济的增长作用一直非常显著,因此对贸易出口量影响因素的深入研究十分必要。本文依据国际贸易理论,对贸易“引力模型”进行扩展,引入极值边界分析方法（Extreme Bounds Analysis , EBA ）,采用2003～2012年省际区域面板数据,对我国货物贸易出口量的影响因素进行实证检验,得出的结论是各省外商直接投资、进口额、工业产值、固定资产投资、税收收入、最终消费是我国货物贸易出口量的“稳健性（Robest ）”影响因素,并据此提出促进对外贸易发展相关政策建议。