Initial Margin Requirements, Volatility, and the Individual Investor: Insights from Japan

Initial margin requirements represent: (1) a cost impediment to the wealth constrained investor and (2) a potential way of mitigating excessive volatility. However, prior empirical research finds that margins are not an effective tool in reducing volatility. We consider the possibility that margins primarily affect certain stocks and investors. Specifically, we test whether margins affect individuals who, as a group, we believe to be the investors most affected when margin requirements change. Our initial empirical tests, however, do not support this contention.     

Stakeholder Returns of Islamic Banks Versus Conventional Banks

Sharia principle shaping the Islamic banking model is most determinant on collection and deployment of funds with its ban on interest. This study aims to look at the results of funded activities in isolation for a healthier comparison between Islamic and conventional deposit banks with respect to their financial stakeholders. The differences are reflected as lower asset returns and lower returns for depositors of Islamic banks. These differences sustain throughout normal and crisis periods. Our findings show that despite differences in asset structures and returns, Islamic banks retain similar returns for shareholders to position themselves close to and in competition with their conventional counterparts.     

中美汇率利率互动效应研究：2000-2011

本文应用非线性平滑转换模型研究了2000-2011年中美名义汇率与名义利差之间的动态非线性关系．研究发现：中美名义汇率与名义利差之间存在着负相关关系,汇率对利率的影响呈现出非对称性特征。当名义汇率在7—8之间时,汇率的变动会引起两国利差的较大变动;当人民币被高估或低估时,汇率对利率的影响程度大大降低。     

Jeffcott转子系统分岔点预测

首先简述了一种用于转子轴承系统的稳定性量化分析方法,即首先利用数值积分对高维非线性转子系统进行解耦,将Rn轨线映射为一系列R1映像轨线,然后在R1观察空间中定义轨线的稳定裕度,根据轨线稳定裕度利用灵敏度技术预测动力系统的分岔点。最后,对一个单跨转子模型试验台建立了动力学方程,并利用上述方法通过2个算例预测了系统发生分岔的参数值和分岔特性。预测结果与直接数值积分法在庞加莱截面得到的分岔参数值基本一致,但由于该方法利用了灵敏度技术,所以其分岔点的搜索过程比直接数值积分法中的试探法要快得多。     

基于协整模型的农副食品加工业季度固定资产投资分析

建立了我国农副食品加工业2004～2010年季度固定资产投资规模与行业主营业务利润率、全国居民季度食品消费总支出,两种价格条件下的系统模型。发现固定资产投资规模与行业主营业务利润率、全国居民季度食品消费总支出的不同滞后期值之间存在"协整"关系,据此解释了农副食品加工业近年来固定资产投资规模与行业主营业务利润率"同涨"的原因。     

全球价值链形成的动力系统及运行机制研究

全球价值链的形成可以归因于条件系统、动力系统和组织系统。全球价值链的动力系统主要包括促进全球价值链形成的各种动力及其各自在系统中所处的地位和相互作用关系。文章从力学和经济学的双重视角分析了全球价值链形成的动力机制,研究结论显示：全球价值链的形成必须依赖于一定强度的链接力。市场需求是全球价值链形成的动力引擎,一旦引擎启动后,就衍生出一对推动力与离散力。比较优势、规模经济、专业化经济是推动力的来源,而运输成本、协调成本及制度成本的增加构成了离散力的主要来源。     

Why do commercial banks hold government bonds? The case of Japan

We investigate the determinants of the demand for Japanese government bonds (JGBs) by commercial banks in Japan. In particular, by estimating portfolio equations for JGB demand and bank loans, based on a panel data set from the late 1990s to the 2000s, we rigorously test the popular assertion that the long stagnation of the real economy caused a shift in the portfolios of commercial banks from bank lending to JGBs. We find that the popular assertion is not empirically supported. Rather, the portfolio shift from loans to JGBs has been caused by a fall in the ratio of the loan rate to unit lending costs, or the bank’s price–cost margin for lending.     

Firm performance and corporate finance in New Zealand

Low productivity growth in New Zealand has been a paradox. We study New Zealand firms’ profitability, in terms of profit margin and return on assets (ROA), from the viewpoints of productivity enablers using firm-level panel data. We find that tangible fixed investment and a research and development (R&D) tax incentive are associated with higher profitability performance. In addition, the firm size is found to be a key determinant of profit margin. By contrast, we do not find any evidence that intangible investment can improve the profitability. The global financial crisis has not changed the leverage effect on ROA in New Zealand, while the impact of R&D became more prominent after the crisis.     

How to measure competition in an economy in transition

This paper attempts to find a robust method of measuring competition when firms' operational activities are subject to frictions. The first part theoretically tests the indicative quality of two competition measures, the price‐cost margin (PCM) and the profit elasticity, in a model of monopolistic competition. The second part studies the empirical performance of the indices for a panel of Ukrainian manufacturing firms. This study offers a new approach to measuring profit elasticity that relies on structural estimation of a production function. The estimation methodology retrieves a productivity index that is adjusted to imperfect competition. The proposed method of measuring profit elasticity is found to be robust to frictions, but the PCM and traditional profit elasticity are biased, especially when the intensity of competition is low. Empirical findings show that competition exhibits a significantly positive correlation with aggregate productivity performance, while its impact on firm productivity is nonlinear.     

生产价格的成因、基础及其现实意义

社会必要劳动决定的社会价值是在整个社会范围内通过市场竞争形成的。平均利润归根到底只是来源于剩余价值,生产价格是社会规模上的价值。从整个社会角度看,社会商品总生产价格同总价值是一致的。社会需要不仅制约着市场价值的确定,而且也制约着生产价格的形成,市场价值和生产价格在社会需要的基础上统一起来。