货币政策反应函数渠道对金融周期影响时变机制的实证研究

在关于货币政策影响经济主体风险承担水平,进而影响金融周期波动机制的研究中,基于风险承担渠道的相关研究较为成熟.区别于以往相关研究多关注货币政策实际采取的立场,文章基于货币政策反应函数渠道探讨了数量型与价格型货币政策反应函数对金融周期波动影响的时变机制.滚动回归的实证结果显示:无论数量型货币政策规则还是价格型货币政策规则,货币政策对信贷波动反应的敏感性主要影响金融周期的波动,但在价格型货币政策规则下,基于信贷视角观察金融周期波动时,货币政策信贷敏感性与货币政策资产价格敏感性对金融周期影响差异较小;较之于价格型货币政策规则,货币政策对信贷波动反应的敏感性在数量型货币政策规则下,对金融周期波动的影响更显著,并在一定程度上表现出随时间扩大的趋势.文章的创新之处在于:强调了货币政策通过政策反应函数渠道而非以往研究中较多关注的狭义风险承担渠道影响金融周期波动的事实,并构建计量模型对货币政策反应函数渠道影响金融周期波动的时变机制进行了详细刻画.     

A new financial stress index model based on support vector regression and control chart

Financial stress index (FSI) is considered to be an important risk management tool to quantify financial vulnerabilities. This paper proposes a new framework based on a hybrid classifier model that integrates rough set theory (RST), FSI, support vector regression (SVR) and a control chart to identify stressed periods. First, the RST method is applied to select variables. The outputs are used as input data for FSI–SVR computation. Empirical analysis is conducted based on monthly FSI of the Federal Reserve Bank of Saint Louis from January 1992 to June 2011. A comparison study is performed between FSI based on the principal component analysis and FSI–SVR. A control chart based on FSI–SVR and extreme value theory is proposed to identify the extremely stressed periods. Our approach identified different stressed periods including internet bubble, subprime crisis and actual financial stress episodes, along with the calmest periods, agreeing with those given by Federal Reserve System reports.     

网络外部性对双渠道供应链信息分享的影响

研究了网络外部性对双渠道供应链信息分享的影响。分别建立了存在网络外部性和不存在网络外部性下的双渠道供应链模型，通过比较零售商信息分享和不分享下其与制造商的期望利润。研究发现：当未考虑产品的网络外部性时，零售商不与制造商分享其市场需求信息，与已有研究一致。当考虑了产品网络外部性且网络外部性较小时，零售商仍不与制造商分享市场需求信息；然而，当网络外部性较大时，零售商与制造商分享其市场需求信息。此外，零售商与制造商共享其市场需求信息有助于增加制造商和供应链利润。     

“一带一路”沿线国家设施联通对贸易利益的影响

以全球价值链（GVC）参与为视角，基于2005—2015年40个“一带一路”沿线国家与我国的增加值贸易数据，采用静态面板固定效应模型实证分析交通基础设施和通信基础设施对“一带一路”沿线国家贸易利益的影响。结果发现，加强交通和通信基础设施建设有利于提高一国出口中所包含的国内增加值，增进该国的贸易利益。作用机制研究表明，交通基础设施和通信基础设施都能够通过降低贸易成本促进贸易利益的提升，其中通信基础设施还能够通过提高贸易的时间效率对贸易利益产生积极影响。因此，“一带一路”沿线国家应以设施联通为依托，加强本国的交通和通信基础设施建设，把握参与国际生产分工的主动权，以实现共同发展繁荣。     

On hysteretic vector autoregressive model with applications

This paper proposes a new hysteretic vector autoregressive (HVAR) model in which the regime switching may be delayed when the hysteresis variable lies in a hysteresis zone. We integrate an adapted multivariate Student-t distribution from amending the scale mixtures of normal distributions. This HVAR model allows for a higher degree of flexibility in the degrees of freedom for each time series. We use the proposed model to test for a causal relationship between any two target time series. Using posterior odds ratios, we overcome the limitations of the classical approach to multiple testing. Both simulated and real examples herein help illustrate the suggested methods. We apply the proposed HVAR model to investigate the causal relationship between the quarterly growth rates of gross domestic product of United Kingdom and United States. Moreover, we check the pairwise lagged dependence of daily PM2.5 levels in three districts of Taipei.     

影子银行、地方政府债务及金融发展动态关系研究——基于省级面板VAR模型

基于2004—2017年中国省级面板数据,运用面板向量自回归(PVAR)模型,使用系统GMM估计、脉冲响应函数、方差分解以及格兰杰因果关系检验等方法分析了影子银行、地方政府债务及金融发展之间的动态关系.结果表明:影子银行、地方政府债务与金融发展水平三者之间存在动态耦合关系.在地方政府融资能力受到约束的情况下,影子银行为地方政府提供了多元的融资方式,在增加政府融资能力的同时提升了政府债务水平;而地方政府债务需求显著推动了影子银行规模的快速发展.同时,影子银行过度扩张危害了金融市场的健康发展,降低金融发展水平,继而使地方政府的融资渠道受到约束.但金融发展并不能有效约束影子银行规模,原因在于,政府融资需求是影子银行的主要动力,若不能控制地方政府的借贷行为则无法从源头解决问题.监管机构在去杠杆的过程中,应该综合考虑影子银行与地方政府债务、金融发展之间的动态关系,如此才能够实现预期的政策效果.     

Response strategy to environment context factors using a lean and agile approach: Implications for firm performance

Based on the environment-strategy performance perspective and dynamic capabilities framework, we develop a theoretical model and hypotheses specifying how supply chain collaboration as a response to environment context factors – competitive intensity, supply uncertainty, technological turbulence and market turbulence, using a lean and agile strategy may influence firm performance. We test the model using partial least square structural equation modelling on data collected from a field survey with responses from 152 manufacturing firms representing a variety of industries. Empirical findings generally support the relationship between collaboration and firm performance using a lean and agile strategy. Also, for firms in industries that face environments characterised by high supply uncertainty and competitive intensity with, technological turbulence, the study finds evidence of a direct relationship between these environmental factors and supply chain collaboration. The findings provide an initial strategic response framework for appropriately aligning a lean and agile supply chain strategy through collaboration with environment context factors to achieve firm performance improvements.     

城市综合体建设面临的一系列问题探讨--以南通市为例

随着房地产调控和城市化进程的加快，商业地产越来越受到开发商的青睐。城市综合体作为商业地产的典型代表以其多结构多层级的功能组合迅速提升区域价值而拥有了“城中之城”的美誉，在东部地区二三线城市大量涌现。但城市综合体带动城市发展的同时，也引发了一系列风险亟待关注。     

不同冷链服务模式下生鲜农产品供应链决策

基于单物流服务商、单供应商和单零售商构成的生鲜农产品供应链，构建3种冷链服务模式：承诺模式、提前要求模式与延后要求模式，探讨不同冷链服务模式对定价与冷链服务水平、企业绩效的影响。研究发现：某种冷链服务模式是否有利于消减数量与质量损耗依赖于产品易腐性、冷链服务成本及其分担比例。供应链成员无法在承诺模式与提前要求模式下形成统一的模式偏好。当物流服务商承担的冷链服务成本比例较低时，相比于提前要求模式，供应商偏好承诺模式，否则，偏好提前要求模式。承诺模式比提前要求模式更有利于物流服务商，然而对于零售商，结果正好相反。数值实验表明，虽然供应链成员无法对冷链服务模式形成整体的一致性偏好，但仍可实现局部的一致性偏好。     

The 2015 welfare reform of the National Basic Livelihood Security System in South Korea: Effects on economic outcomes

In July 2015, South Korea’s National Basic Livelihood Security System (NBLSS) was reformed for the purposes of eliminating welfare blind spots and reducing poverty. The reform is expected to affect the recipients’ economic behaviours and choices. In this study, we used changes in benefits and eligibility for the NBLSS under the customised benefit system to identify the effects of the change in the NBLSS on a proposed set of economic outcomes – income, labour supply, consumption, savings, poverty reduction. To estimate the effects, we used data from the 10th–12th waves of the Korea Welfare Panel Study and employed a difference‐in‐differences framework integrated with the propensity scores. We found that the NBLSS helps the poor to reduce financial and material hardships through income and consumption increments, but that it does not provide disincentives to the recipients from participating in the labour market or from saving.