Factor stochastic volatility with time varying loadings and Markov switching regimes

We generalize the factor stochastic volatility (FSV) model of Pitt and Shephard [1999. Time varying covariances: a factor stochastic volatility approach (with discussion). In: Bernardo, J.M., Berger, J.O., Dawid, A.P., Smith, A.F.M. (Eds.), Bayesian Statistics, vol. 6, Oxford University Press, London, pp. 547–570.] and Aguilar and West [2000. Bayesian dynamic factor models and variance matrix discounting for portfolio allocation. J. Business Econom. Statist. 18, 338–357.] in two important directions. First, we make the FSV model more flexible and able to capture more general time-varying variance–covariance structures by letting the matrix of factor loadings to be time dependent. Secondly, we entertain FSV models with jumps in the common factors volatilities through So, Lam and Li's [1998. A stochastic volatility model with Markov switching. J. Business Econom. Statist. 16, 244–253.] Markov switching stochastic volatility model. Novel Markov Chain Monte Carlo algorithms are derived for both classes of models. We apply our methodology to two illustrative situations: daily exchange rate returns [Aguilar, O., West, M., 2000. Bayesian dynamic factor models and variance matrix discounting for portfolio allocation. J. Business Econom. Statist. 18, 338–357.] and Latin American stock returns [Lopes, H.F., Migon, H.S., 2002. Comovements and contagion in emergent markets: stock indexes volatilities. In: Gatsonis, C., Kass, R.E., Carriquiry, A.L., Gelman, A., Verdinelli, I. Pauler, D., Higdon, D. (Eds.), Case Studies in Bayesian Statistics, vol. 6, pp. 287–302].     

The microeconometric estimation of treatment effects—An overview

Summary The need to evaluate the performance of active labour market policies is not questioned any longer. Even though OECD countries spend significant shares of national resources on these measures, unemployment rates remain high or even increase. We focus on microeconometric evaluation which has to solve the fundamental evaluation problem and overcome the possible occurrence of selection bias. When using non-experimental data, different evaluation approaches can be thought of. The aim of this paper is to review the most relevant estimators, discuss their identifying assumptions and their (dis-)advantages. Thereby we will present estimators based on some form of exogeneity (selection on observables) as well as estimators where selection might also occur on unobservable characteristics. Since the possible occurrence of effect heterogeneity has become a major topic in evaluation research in recent years, we will also assess the ability of each estimator to deal with it. Additionally, we will also discuss some recent extensions of the static evaluation framework to allow for dynamic treatment evaluation. The authors thank Stephan L. Thomsen, Christopher Zeiss and one anonymous referee for valuable comments. The usual disclaimer applies.     

包含逆向物流的供应链库存控制问题研究

逆向物流的参与使得供应链库存管理问题更加复杂，为了切合物流运作的实际，本文在介绍逆向物流库存控制的最新理论——收集商管理库存（CMI）的基础上，引入逆向物流产品回收率a和修复率b两参数，建立了逆向物流产品到达服从泊松分布，产品修复周期为L的连续库存控制模型。经求解，模型的订货周期T和订货批量Q与修复周期L无关，是关于回收率a和修复率b的减函数且都较经典EOQ模型的订货周期和订货批量小。     

THE WELFARE GAINS OF FINANCIAL LIBERALIZATION: CAPITAL ACCUMULATION AND HETEROGENEITY

Research has shown that, absent individual heterogeneity and under complete markets, the welfare impact of financial openness is quantitatively limited. Not only are inequalities in wealth and labor productivity a feature of most societies, but also financial markets suffer from many well‐known frictions. This paper demonstrates that, when households face borrowing constraints and uninsurable idiosyncratic shocks to income, the welfare implications of financial liberalization are considerable. For instance, the average increase in welfare of a typical emerging market economy that switches from a closed capital market to perfect capital mobility is equivalent to a permanent increase in average consumption of roughly 5.4%. This is about 3.9 times more than the welfare gains of the same policy under a complete markets environment without any individual heterogeneity. We show that individual heterogeneity accounts for two thirds of this additional increase in the average welfare gain; market incompleteness accounts for the remaining third. In our calibration, the median household in capital‐scarce countries is in favor of international financial integration. However, if the pivotal voter is wealthy enough then such reform might not be implemented, since richer households have a vested interest in capital market closedness.     

UNEMPLOYED BUT OPTIMISTIC: OPTIMAL INSURANCE DESIGN WITH BIASED BELIEFS

This paper analyzes how biased beliefs about employment prospects affect the optimal design of unemployment insurance. Empirically, I find that the unemployed greatly overestimate how quickly they will find work. As a consequence, they would search too little for work, save too little for unemployment and deplete their savings too rapidly when unemployed. I analyze the use of the “sufficient‐statistics” formula to characterize the optimal unemployment policy when beliefs are biased and revisit the desirability of providing liquidity to the unemployed. I also find that the optimal unemployment policy may involve increasing benefits during the unemployment spell.     

Replication: Belief elicitation with quadratic and binarized scoring rules

Researchers increasingly elicit beliefs to understand the underlying motivations of decision makers. Two commonly used methods are the quadratic scoring rule (QSR) and the binarized scoring rule (BSR). Hossain and Okui (2013) use a within-subject design to evaluate the performance of these two methods in an environment where subjects report probabilistic beliefs over binary outcomes with objective probabilities. In a near replication of their study, we show that their results continue to hold with a between-subject design. This is an important validation of the BSR given that researchers typically implement only one method to elicit beliefs. In favor of the BSR, reported beliefs are less accurate under the QSR than the BSR. Consistent with theoretical predictions, risk-averse subjects distort their reported beliefs under the QSR.     

"物流科学技术"的研究和发展前沿

本文首先介绍了中国物流概念的最早属性、具体内涵、行为性质和使用领域等四个方面都与日本、西方流行的物流概念存在差别,为此有必要为中国的物流概念--" 物的流动"给出一个新的英文名词MF(Material Flow).第二,指出中国物流科学技术的研究和发展严重落后,特别是经济界物流科学技术的研究和发展,与其作为国民经济发展的第三大支柱产业群的地位很不相称.第三,探讨了经济界、社会界和自然界物流科学技术研究和发展的前沿问题.最后提出了物流科学技术学科体系的发展设想,包括四个部分:一是物流科学技术基础学科;二是物流科学技术工程学科;三是物流科学技术理论学科;四是物流科学技术其它学科,共有40个一、二级学科,多数学科需要开拓和创建.     

铁路跨河整孔现浇简支箱梁支架的设计与施工

铁路客运专线子牙新河特大桥,由于河流常年有流水,为了保障地方水系的通畅,施工的支架体系需要跨越河流,满堂支架无法满足要求,所以采用桩基础（条形基础）、钢管立柱、砂箱、分配梁、贝雷梁、模板分配梁等组成的支架体系跨越河流进行现浇施工,对现浇支架的设计、检算和施工技术进行了总结,为今后类似工程提供参考。     

老年2型糖尿病患者sCD40L-基质金属蛋白酶与颈动脉超声指标的关系

目的研究老年2型糖尿病（T2DM）患者血清sCD40L介导基质金属蛋白酶的表达,与颈动脉内膜中层厚度、粥样斑块稳定性之间的关系,探讨老年2型糖尿病sCD40L-基质金属蛋白酶对动脉粥样硬化斑块的影响。方法对102例老年男性2型糖尿病患者与共62例老年健康男性,采用ELISA法分别测定sCD40L、MMP-1的血清水平,颈动脉超声检查IMT厚度及粥样斑块的类型。结果老年2型糖尿病组SDP,FPG,TC,UA,sCD40L,MMP—1水平明显高于正常对照组,P〈0．05有统计学意义。对照组62例中15例有斑块（25．8％）,糖尿病组102中73例有斑块（71．6％）,两组比较有统计学意义（x2=32．54,P〈0．05）。糖尿病组MMP-1水平及危险程度不同,其动脉斑块检出率亦不同（X2=16．88。P〈0．05）。以颈动脉斑块分型与危险程度之间作秩相关分析,二者存在正相关,（相关系数Kendall’staub=0．521,P〈0．05）,随着MMP-1水平及危险程度的增加,颈动脉斑块类型亦增加。DM组患者外周血sCD40L与MMP-1水平呈显著性正相关关系。P〈0．05。结论老年T2DM患者血浆sCD40L和MMP-1水平的增高,加速动脉粥样硬化斑块的形成和扩大,而且使粥样斑块的稳定性变差,增加心血管的危险性。     

物流实体论

本文根据大物流理论,首次提出物流实体理论。物流是一个综合实体,由运输、储存、装卸搬运和流通加工四个独立的实体环节组成。配送和物流信息处理不是物流实体组成的独立环节。运输、储存、装卸搬运是物流实体不可缺少的三大环节,其中运输和储存是两个核心环节,装卸搬运是一个重要辅助环节。流通加工是物流实体的一个扩展环节。物流功能从属于物流实体,物流由物流功能组成的说法是不合适的。