Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison

We use several U.S. and euro‐area surveys of professional forecasters to estimate a dynamic factor model of inflation featuring time‐varying uncertainty. We obtain survey‐consistent distributions of future inflation at any horizon, both in the U.S. and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that accounts for inflation uncertainty. Our results suggest that following the Great Recession, inflation anchoring improved in the United States, while mild de‐anchoring occurred in the euro area. As of our sample end, both areas appear to be almost equally anchored.     

增信服务还是腐蚀效应:论金融科技等新兴产业发展过程中的风险信号

提出行业性风险暴发的"腐蚀效应"理论,即存在着一种特殊的行业风险暴发过程:行业中各个企业的倒闭是沿着企业的资质链从低到高的顺序发生的.该过程的存在得到了数据回归证实.对于科技金融等新兴行业,警惕和积极防范腐蚀效应,对防范行业性风险具有重要意义.对于客户信任高度依赖的新兴行业,如金融科技等,最容易出现腐蚀效应.因此,在一度高速膨胀的网络贷款领域出现腐蚀效应具有一定必然性."腐蚀效应"的存在也否定了当前把网络贷款行业大面积爆雷的原因归咎于其开展"增信服务"的普遍观点,真正引发风险的原因是网络贷款行业中的企业资质参差不齐和无序竞争造成的无谓成本的大幅增加.从政府对行业的管理视角来看,在促进行业发展时不忘记防范风险十分重要.这在实质上是对制度-制度接口的设计问题.因此应当以制度设计理论来指导防范风险政策的制定,才能取得更好的效果.     

城镇群空间结构与要素集聚

依据城镇化发展过程中要素空间集聚理论，展开区域经济发展的空间经济结构研究。通过城市引力、克鲁格曼指数计算，比较分析城镇群内部城市吸引力和城市产业分布的差异性，通过人口与生产空间分布集中度指标和不一致系数的测算，分析了山西省城镇群空间要素集聚效应。研究表明，山西省的城镇群规划与要素空间集聚趋势整体一致，城市间产业分工体系基本形成，城镇群的要素集聚效应明显，但人口与生产分布仍存在不一致性。研究认为，山西省城镇群发展应该继续明确各城市的产业分工和特色，引导劳动力和资本要素的合理流动，实现人口与生产空间分布的一致。     

Cluster Analysis for mixed data: An application to credit risk evaluation

Credit risk is one of the main risks faced by a bank to provide financial products and services to clients. To evaluate the financial performance of clients, several scoring methodologies have been proposed, which are based mostly on quantitative indicators. This paper highlights the relevance of both quantitative and qualitative features of applicants and proposes a new methodology based on mixed data clustering techniques. Indeed, cluster analysis may prove particularly useful in the estimation of credit risk. Traditionally, clustering concentrates only on quantitative or qualitative data at a time; however, since credit applicants are characterized by mixed personal features, a cluster analysis specific for mixed data can lead to discover particularly informative patterns, estimating the risk associated with credit granting.     

Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach

In order to challenge the existing literature that points to the detachment of Bitcoin from the global financial system, we use daily data from August 17, 2011–February 14, 2020 and apply a risk spillover approach based on expectiles. Results show reasonable evidence to imply the existence of downside risk spillover between Bitcoin and four assets (equities, bonds, currencies, and commodities), which seems to be time dependent. Our main findings have implications for participants in both the Bitcoin and traditional financial markets for the sake of asset allocation, and risk management. For policy makers, the findings suggest that Bitcoin should be monitored carefully for the sake of financial stability.     

Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?

This paper investigates not only the question of whether there is exchange rate pass‐through (ERPT) but also the extent to which the pass‐through is asymmetric or state‐dependent in the BRICS countries. Using monthly data from 1999:M1 to 2019:M12 and non‐linear smooth transition vector autoregressive (STVAR) model, our results provide evidence of period‐specific ERPT between the upper and lower regime periods, governed by the selected transition variables. The results further suggest that the pass‐through of exchange rate is higher when the economy is experiencing large appreciations and expansions as well as large depreciations and recessions. Theimplication for these findings is that ERPT is strongly affected by the state of the economy.     

Farm size and productivity growth in the United States Corn Belt

In recent decades, agricultural production in the U.S. has continued to shift to large-scale operations, raising concerns about the economic viability of small and midsized farms. To understand whether economies of size provided an incentive for the consolidation of production, the study estimates the total factor productivity (TFP) of five size classes of grain-producing farms in the U.S. Heartland (Corn Belt) region. Using quinquennial Agricultural Census data from 1982 to 2012 the study also compares TFP growth rates across farm sizes to gain insight into whether observed productivity differences are likely to persist. The finding of a strong positive relationship between farm size and TFP suggests that consolidation of production has contributed to recent aggregate productivity growth in the crop sector. The study estimates the extent to which sectoral productivity growth can be attributed to structural change versus other factors including technological change. The study also explores some tradeoffs associated with policies that raise the productivity of small versus large farms.     

Network structure,portfolio diversification and systemic risk

We investigate the effect of portfolio diversification on banking systemic risk, where the network effect is incorporated. We analyze three kinds of interbank networks, namely, random networks, small-world networks and scale-free networks. We show that the effect of portfolio diversification on banking systemic risk depends on interbank network structures and shock types. First, systemic risk increases first and then reduces with the increase of the level of portfolio diversification in the case of the individual shock. Second, in the case of the systemic shock, systemic risk reduces with the increases of the level of portfolio diversification. Third, banking systems with scale-free network structures are the most stable, and those with small-world network structures are the most vulnerable.