国际原油价格与农产品价格的波动效应研究——基于VAR-DVEC模型

利用1997年3月—2012年12月数据,建立VAR模型研究国际原油价格对国内大豆价格、玉米价格和小麦价格的动态冲击;同时运用DVEC和DVEC-TARCH模型分析国际原油价格波动和国内主要农产品价格波动的关联性和非对称性。结果发现:国际原油价格和国内大豆价格互为Granger原因,国际原油价格对大豆价格影响程度最大,对玉米价格的影响次之,对小麦价格影响不明显;国际原油价格波动主要来自自身前期波动,而大豆价格波动同时受到自身和外部冲击的影响。大豆价格波动呈发散趋势,玉米和小麦价格波动趋于收敛;国际原油价格和大豆价格波动具有非对称性,玉米和小麦价格的非对称性则不显著。     

Till Death Do Us Part: Marital Status and U.S. Mortality Trends, 1986 – 2000

Although the association of being married and a lower mortality rate has been well established, most previous research on marital status and mortality did not consider potential change in this relationship over time. In this study, I adopted a survey cohort perspective to examine both overall and cause‐specific mortality trends by marital status from 1986 to 2000 in the United States. On the basis of data from the National Health Interview Survey‐Longitudinal Mortality Follow‐up (N = 517,314), I found that mortality generally decreased or remained stable for the married from the 1986 to 2000 NHIS cohort, except for diabetes deaths. There is evidence showing divergent mortality trends between the married and unmarried, especially the widowed. Race and gender variations are examined.     

2015年国际原油价格分析与趋势预测

在回顾2014年国际原油市场主要发展历程的基础上,从两方面对2015年油价走势进行了发展态势展望和预测分析。研究认为:受全球经济形势复杂多变,复苏进程缓慢、脆弱而不均衡以及供需基本面因素的主要作用,在产量相对过剩情况下,2015年油价上半年依旧延续下跌趋势,国际原油价格还将在低位震荡,下半年或出现企稳反弹,全年油价波动幅度小于2014年。预计Brent原油均价为50~65美元/桶,WTI原油均价为45~60美元/桶。     

甘肃省出生缺陷1：2配对病例对照研究

为了解甘肃省出生缺陷死亡率及易患因素,为“甘肃省出生缺陷干预工程”项目的实施提供可干预的核心因素。根据甘肃地理特点及经济状况,按随机分层整群抽样方法,抽取了4个县,共42个乡为调查点。结果显示四县市婴儿总死亡率15.8‰(98例),出生缺陷死亡率7.7‰。甘肃省出生缺陷前五位的致病因素依次为:母亲孕早期接触农药史;母亲孕前一月服药史;母亲孕期接触农药史;母亲孕早期感染史;既往流产史。     

Uncertain Benefits Estimates for Reductions in Fine Particle Concentrations

The Environmental Protection Agency's (EPA's) estimates of the benefits of improved air quality, especially from reduced mortality associated with reductions in fine particle concentrations, constitute the largest category of benefits from all federal regulation over the last decade. EPA develops such estimates, however, using an approach little changed since a 2002 report by the National Research Council (NRC), which was critical of EPA's methods and recommended a more comprehensive uncertainty analysis incorporating probability distributions for major sources of uncertainty. Consistent with the NRC's 2002 recommendations, we explore alternative assumptions and probability distributions for the major variables used to calculate the value of mortality benefits. For metropolitan Philadelphia, we show that uncertainty in air quality improvements and in baseline mortality have only modest effects on the distribution of estimated benefits. We analyze the effects of alternative assumptions regarding the value of reducing mortality risk, whether the toxicity is above or below the average for fine particles, and whether there is a threshold in the concentration‐response relationship, and show these assumptions all have large effects on the distribution of benefits.     

基于非参多元Expectile模型的原油价格风险测度研究—宏观不确定性视角

当下政治经济环境存在诸多不确定性,原油价格随着不确定性的增加而大幅波动,因此在当前不确定性环境中建立一个有效的风险预测模型具有重要的实际意义。本文基于非参多元Expectile模型,选取2010年1月5日至2020年1月6日的美国西德克萨斯原油价格的日度数据,构建同时包含地缘政治风险、经济政策不确定性等六个宏观不确定性变量的原油价格风险预测模型。此外,引入APARCH模型和基于蒙特卡罗方法的GARCH模型,比较以上三个模型预测能力。最后,基于预测的VaR值计算调整的Sharpe比率。结论表明,整体上,非参多元Expectile模型能较好处理多个宏观变量包含的信息,具有更高的预测能力。在不确定性事件叠加发生的时期预测表现依然优于其他模型,减少了不确定性增加导致原油市场波动幅度增加带来的风险,具有更强的稳定性。因此,在经济转型的关键时期,本研究可为政策制定者和监管当局面临不确定性上升环境下建立有效的原油价格风险预测模型提供参考,制定应对政策防范化解风险,同时也为投资者在当前复杂的国际形势下提供预测参考,尽量规避损失同时获取收益。     

Forecasting mortality rates via density ratio modeling

The authors propose a semiparametric approach to modeling and forecasting age‐specific mortality in the United States. Their method is based on an extension of a class of semiparametric models to time series. It combines information from several time series and estimates the predictive distribution conditional on past data. The conditional expectation, which is the most commonly used predictor in practice, is the first moment of this distribution. The authors compare their method to that of Lee and Carter.     

提高退休年龄与降低替代率：城镇职工基本养老金的财政支出研究

目前,中国法定退体年龄与最优退休年龄存在不同步的现象,所建最优退休年龄经济模型的结果表明人口死亡概率与最优退休年龄的动态经济规律。按照这个规律,中国目前应提高退休年龄。但通过对城镇职工的年龄预测及对其赡养率和缴费率的敏感性分析,笔者认为解决目前财政压力的关键是适当降低养老金替代率,而提高退休年龄应运步推行。     

The choice among past trends as a basis for the prediction of future trends in old-age mortality

We explored the extent to which projections of future old-age mortality trends differ when different projection bases are used. For seven European countries, four alternative sets of annual rates of mortality change were estimated with age–period log-linear regression models, and subsequently applied to age-specific all-cause mortality rates (80+) in 1999 to predict mortality levels up to 2050. On average, up to 2050, e80 is predicted to increase further by 2.33 years among men and 4.03 years among women. Choosing a historical period of 25 instead of 50 years results in higher predicted gains in e80 for men but lower gains for women. Choosing non-smoking-related mortality instead of all-cause mortality leads to higher gains for women and mixed results for men. In all alternatives there is a strong divergence of predicted mortality levels between the countries. Future projections should be preceded by a thorough study of past trends and their determinants.