中国制成品出口的技术结构变迁——基于动态化分类方法的考察

本文使用1985-2006年53个国家人均GDP数据和制成品出口数据,运用动态化分类方法,考察了中国制成品出口的技术结构变迁。本文发现:(1)在过去二十多年中,同其他经济体一样,中国制成品出口的技术结构仍然主要遵循比较优势原则发生变迁;(2)尽管中国制成品出口的技术结构已得到大幅度提升,但是中国目前依然没有摆脱以低技术制成品出口为主导的局面。基于世界制成品出口技术结构的演进规律,本文预计,在未来一段时期内,中国低技术制成品的出口份额将继续下降,中偏下技术制成品的出口份额不会大幅上升,甚至有可能开始小幅回落,中等、中偏上技术制成品的出口份额会表现不俗,高技术制成品的出口份额也会有所提升,但大幅提升的可能性很小。当然,出口技术结构升级的道路并不平坦,依然充满着挑战。     

贸易网络中心性对国际证券资本流动的影响研究——基于全球市场的经验数据

基于1990—2019年全球131个国家(地区)的进出口贸易等数据构建贸易网络中心性测度指标,采用面板回归模型实证检验贸易网络中心性对国际证券资本流动的影响效应。结果表明：贸易网络中心性水平提升,该国国际证券资本(净)流入将受到抑制;抑制作用的机制通过影响股票和债券的国际投资得以实现,次贷危机期间及发达国家所受到的抑制效果更趋明显;抑制作用的强弱受各国的股市波动率、银行业发展水平和贷款风险溢价等因素影响,套利因素将促使资本经由处于贸易网络中心的国家流到边缘国家。我国应结合贸易网络中心优势产生的外部影响力和控制力,优化政策体系,提高国际证券资本配置效率。     

我国农产品出口遭遇技术性贸易壁垒的原因及对策

随着经济全球化和贸易自由化的不断发展,各国采取的贸易保护措施发生了很大的变化。调查表明,国外技术性贸易壁垒对我国出口的影响日益显著。论文针对此种情况,分析其产生的原因并提出应对措施。     

The generalized Gudermannian distribution: inference and volatility modelling

In this paper, we introduce a new distribution, called generalized Gudermannian (GG) distribution, and its skew extension for GARCH models in modelling daily Value-at-Risk (VaR). Basic structural properties of the proposed distribution are obtained including probability density and cumulative distribution functions, moments, and stochastic representation. The maximum likelihood method is used to estimate unknown parameters of the proposed model and finite sample performance of maximum likelihood estimates are evaluated by means of Monte-Carlo simulation study. The real data application on Nikkei 225 index is given to demonstrate the performance of GARCH model specified under skew extension of GG innovation distribution against normal, Student's-t, skew normal and generalized error and skew generalized error distributions in terms of the accuracy of VaR forecasts. The empirical results show that the GARCH model with GG innovation distribution produces the most accurate VaR forecasts for all confidence levels.     

Comparing voluntary sustainability initiatives and product carbon footprinting in the food sector,with a particular focus on environmental impacts and developing countries

Two types of private voluntary standards used in the food sector are analyzed in this article. Namely, sustainability initiatives that encourage best practice management on farms for environmental, social and economic gains, and also product carbon footprints (PCFs) that estimate the climate impact of products across entire supply chains. Concern is sometimes voiced about the potential negative impacts of both on exports from developing countries, especially related to outcome‐based PCF initiatives which involve complex calculations and could present particular burdens for small producers. It is argued here that both approaches have a role to play in the conservation of our environment, though both have advantages and disadvantages. The article concludes with recommendations for policy‐makers and standard setters.     

The local fractional bootstrap

We introduce a bootstrap procedure for high‐frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an estimator based on a ratio of realized power variations. Our new resampling method, the local fractional bootstrap, relies on simulating an auxiliary fractional Brownian motion that mimics the fine properties of high‐frequency differences of the Brownian semistationary process under the null hypothesis. We prove the first‐order validity of the bootstrap method, and in simulations, we observe that the bootstrap‐based hypothesis test provides considerable finite‐sample improvements over an existing test that is based on a central limit theorem. This is important when studying the roughness properties of time series data. We illustrate this by applying the bootstrap method to two empirical data sets: We assess the roughness of a time series of high‐frequency asset prices and we test the validity of Kolmogorov's scaling law in atmospheric turbulence data.     

情绪指数与市场收益: 纳入中国波指( iVX) 的分析

本文在 Baker 和 Wurgler( 2006， 2007) 研究框架的基础上， 将中国波动率指数( iVX) 作为一个新的情绪代理变量，结合传统的封闭式基金折价率、股票换手率和 IPOs 的数量等变量，运用主成分分析法构建了中国 A 股市场的情绪指数， 并分析了情绪指数与市场收益之间的依赖关系和预测效果． 研究发现，情绪指数与市场收益呈负向关系． 然而，其当期依赖关系并不显著，而情绪指数对其后第三周的市场收益有较显著的负向预测关系． 中国波指的加入能够明显提高这种预测效果; 相反，IPOs 的数量则并不是一个有效的情绪代理变量． 此外， 采用前两个主成分的加权并不比仅采用第一主成分构建情绪指数在市场收益预测方面表现得更好， 甚至表现得更差． 最后，分析了情绪效应的不对称性，发现正情绪指数对未来收益的影响要远远大于负情绪指数．     

Background risk and nonprofit endowment portfolio volatility

This article focuses on endowed operating public charities that receive income not only from sources such as donations, grants, and service fees but also from endowment portfolios. Using the Form 990 data between 2009 and 2016, this study examines if the risk from nonendowment income sources, namely background risk, is relevant to endowment portfolio volatility, and if there are any differences across four types of nonprofits where endowment assets are the most concentrated, including museums, universities and colleges, K‐12 schools, and hospitals. The results show that the association between background risk and endowment portfolio volatility is significant and negative for universities; however, it is either nonsignificant or significantly positive for other types of organizations. This study extends research on university endowments to other types of endowed nonprofits. The findings imply different endowment objectives and reflect different asset allocation strategies across types of organizations.     

海外市场多元化对出口绩效的影响机制研究

随着经济全球化的深入和中国经济进入新常态,"中企西进"态势日趋明显,海外市场多元化战略(diversifivation,DIV)成为众多中国出口企业的战略选择.那么,DIV是如何影响企业出口绩效的呢?基于制度理论视角构建了海外市场多元化战略影响出口绩效作用机制的理论模型.研究发现DIV抑制而非促进了企业出口绩效,异质性资源加剧了这种负面影响,而完善的制度环境缓解了这种负面影响.由此说明,完善的制度环境是DIV促进企业出口绩效的必要条件.如果制度环境不完善,企业异质性资源越强,DIV对出口绩效的负面影响反而更大.     

机构投资者、高管变更与股价波动

基于2004年—2012年的中国上市公司数据,从高管变更的视角研究了机构投资者的公司治理效应,并尝试从投资者行为的角度解析高管变更事件对公司股价波动的影响机理.实证结果表明:第一,对于那些业绩亏损的公司,机构投资者的撤离能够形成较强的外部压力,迫使当任高管离职.而对于那些业绩仍然维持盈利的公司,机构投资者的施压作用则不明显.总体上,业绩好坏始终是公司高管被迫离任的主要原因,而机构投资者则是通过"用脚投票"的方式起到了推波助澜的作用.第二,高管强制变更会被机构投资者解读为负面信号,新高管的上任并不会挽回机构投资者的持股信心.第三,噪音交易者(中小个体投资者)倾向于将亏损公司的高管变更事件解读为利好消息,其踊跃买入行为则构成了公司股价在高管强制变更后发生波动加剧现象的直接原因.