双斜率因子动态Nelson-Siegel利率期限结构模型及其应用

利率期限结构是利率产品定价的基础和核心,对利率市场化具有重要意义。根据我国债券市场的特点,本文对动态Nelson-Siegel模型进行扩展,引入第二个斜率因子,构造双斜率因子动态利率期限结构模型,增强收益率曲线近端的静态拟合和动态预测能力。本文提出的模型嵌套了动态Nelson-Siegel模型,是对动态Nelson-Siegel模型的实质性推广,极大似然比检验证明了第二个斜率因子引入的必要性。本文以状态空间模型的卡尔曼滤波构造样本似然函数,采用双折线优化算法计算模型参数的极大似然估计。基于我国银行间市场债券交易收益率数据的实证分析表明,双斜率因子模型能够显著改善动态Nelson-Siegel模型对收益率曲线近端的拟合能力,同时对短期预测能力也有改善。此外,第二个斜率因子反映出宏观经济活动对利率期限结构的滞后影响,扩展后的模型能捕捉我国利率期限结构更多的动态变化特征,给相关主体提供更具价值的参考信息。     

中国商品期货回报与现货价格变化测度研究——基于便利收益模型的视角

本文基于便利收益模型(CYM)的视角推导出商品期限结构、期货回报并对期货回报进行分解。选取我国三个商品期货交易所相关数据作为样本,对我国商品期货回报与现货价格变化进行测度研究。研究发现,在样本期内,商品期货回报和现货价格变化之间不存在密切关系;以展期收益或预期现货价格变化为条件的商品风险溢价具有时变性;平均展期收益反映了现货价格变化对风险溢价的预期偏离;期货期限结构、便利收益和展期收益准确地预测了现货价格变化。上述研究结果为我国商品期货回报与现货价格变化的测度和管理以及商品期货投资决策设计提供了一些有帮助的理论借鉴和操作性较强的方法选择。     

Toward Defining the Causal Role of Consciousness: Using Models of Memory and Moral Judgment from Cognitive Neuroscience to Expand the Sociological Dual‐Process Model

What role does “discursive consciousness” play in decision‐making? How does it interact with “practical consciousness?” These two questions constitute two important gaps in strong practice theory that extend from Pierre Bourdieu's habitus to Stephen Vaisey's sociological dual‐process model and beyond. The goal of this paper is to provide an empirical framework that expands the sociological dual‐process model in order to fill these gaps using models from cognitive neuroscience. In particular, I use models of memory and moral judgment that highlight the importance of executive functions and semantic memory. I outline each model as it pertains to the aforementioned gaps in strong practice theory. I then use the models from cognitive neuroscience to create an expanded dual‐process model that addresses how and when conscious mental systems override and interact with subconscious mental systems in the use of cultural ends for decision‐making. Finally, using this expanded model I address the sociological debate over the use of interview and survey data. My analysis reveals that surveys and interviews both elicit information encoded in declarative memory and differ primarily in the process of information retrieval that is required of respondents.     

Culture‐Inclusive Theories of Self and Social Interaction: The Approach of Multiple Philosophical Paradigms

In view of the fact that culture‐inclusive psychology has been eluded or relatively ignored by mainstream psychology, the movement of indigenous psychology is destined to develop a new model of man that incorporates both causal psychology and intentional psychology as suggested by Vygotsky (1927). Following the principle of cultural psychology: “one mind, many mentalities” (Shweder et al., 1998), the Mandala Model of Self (Hwang, 2011a,b) and Face and Favor Model (Hwang, 1987, 2012) were constructed to represent the universal mechanisms of self and social interaction that can be applied to any culture; both models can be used as conceptual frameworks for analyzing mentalities of people in any given culture. Taking research works from Foundations of Chinese Psychology: Confucian Social Relation as exemplars (Hwang, 2012), this article illustrates how to construct culture‐inclusive theories of Confucianism by multiple philosophical paradigms. The mechanism of culture‐inclusive theory can be applied to explain qualitative research findings on lifeworld events of people in a particular society. It can also be utilized to predict results of quantitative research conducted to verify theoretical propositions in the scientific microworld by empirical methods.     

The Middle‐class in the German Welfare State: Beneficial Involvement at Stake?

The working‐class is typically regarded as the driving force of welfare state development. Yet, some argue that the middle‐classes' beneficial involvement in the welfare state is crucial for its financial sustainability and popular legitimacy. Against this backdrop, we investigate how recent welfare state reforms in Germany which affect the status of the middle‐class are viewed and discussed by this group. Germany is a particularly interesting case because its welfare state is seen to be centred on the desires of the middle‐class, especially through its focus on status maintenance and horizontal redistribution over the life‐course. However, the move from status maintenance to minimum income support in unemployment provision and the strengthening of private old age provision challenge this assumption. Thus, we ask how the German middle‐class views the emerging abandonment of the principle of status maintenance and the shift from collective to individual responsibility. Based on qualitative material from focus groups, we find that individual responsibility is generally supported, but that the state is still assigned responsibility for providing basic levels of social security. Furthermore, for those groups seen as less capable of acting individually responsible (e.g. the poor or long‐term unemployed) the ‘inducement’ of – or assistance for – individually responsible behaviour by the state is demanded. Overall, while the principle of ‘individual responsibility’ seems to find some resonance among the middle‐class members interviewed, they still try to balance individual and collective responsibility.     

Garbage‐can Policy‐making Meets Neo‐liberal Ideology: Twenty Five Years of Redundant Reform of the English National Health Service

The garbage‐can theory of decision‐making (Cohen et al. 1972), has been adapted into a perspective on policy‐making, with adaptations of the approach placing notable emphasis upon the health sector (Kingdon 2006; Paton 2006). This article creates an adapted ‘garbage‐can’ framework to help explain each stage of the reform of the English National Health Service (NHS) over the last 25 years. The emergence of the key idea and resultant policy at each stage of reform of the English NHS has been arational and indeed sometimes irrational. Policy has reflected advocacy by policy‐salesmen (Kingdon 2002), proffering ‘solutions’ to ill‐defined problems and answers to unasked questions, and politicians' short‐termist responses at each decision‐point. Yet the garbage‐can alone is not enough: if arationality rules in policy‐making day to day, this does not mean that there is not an overall ideological context, trend or bias in reform. The article also posits that ‘market reform’ has derived from the ideological hegemony of a naive anti‐statism (hostility to a misleadingly defined and often mythological ‘centralist state’) in public services and enthusiasm for market competition rather than any evidence‐based application of pro‐market ideas to health policy. A question arises: how are these two approaches (short‐term arationality and longer‐term ideological bias) combined in explanation of how policy over time is biased in a particular direction while seemingly arbitrary and directionless at each messy decision‐point. The article attempts to combine the insights of a garbage‐can approach with wider explanations of ideological hegemony.     

Capitalizing the Crisis? Explanatory Factors for the Design of Short‐time Work across Organisation for Economic Co‐operation and Development Countries

This article looks at the financial and economic crisis 2008–10 in 18 Organisation for Economic Co‐operation and Development states and seeks to investigate explanatory paths for the subsidization of further education within short‐time work programmes. Several hypotheses are put to the test: first, a classical partisan difference argument; second, a varieties of capitalism approach proposing a successful joint rallying of employers and employees for subsidization in coordinated market economies; and, lastly, the merged hypothesis that right‐wing parties in a coordinated economic context might subsidize feeling the pressure to overcompensate an ‘issue ownership’ of left parties in the field of employee‐friendly policies. We identify four explanatory paths: coordinated economies in the sample subsidized when they were economically closed or highly indebted. The results also support our combined hypothesis, that New Zealand – a left‐governed liberal market economy – and right‐governed coordinated market economies of the non‐Scandinavian type subsidized.     

Place‐defending and the denial of racism

This paper introduces the concept of place‐defending and articulates its implications for locality‐based social policy. Place‐defending is the protection of one's local area from unfavourable assessments, in this case of being labelled or perceived as a racist space. Place attachment and identifications with place are drivers of place‐defending. Person‐place relationships and their implications for locality‐based social policies have not yet received sufficient consideration in the literature—a significant oversight considering the current policy focus in Australia and the United Kingdom on locality‐based social policy. In this study of local anti‐racism in the Australian context, place‐defending involved the denial of racism and performances of place that reproduced the discourse of tolerance. Print media coverage of the release of national data on racism was analysed alongside a series of interviews with individuals working on anti‐racism at both local and state/federal levels. Four tools of place‐defending are discussed: direct action to defend place; spatial deflections; use of minority group members to discredit claims of racism; and critiques of those who make claims about racism. The tools of place‐defending operated to construct localities as places of tolerance, potentially undermining the case for anti‐racism.     

Addressing common forms of child maltreatment: evidence‐informed interventions and gaps in current knowledge

This paper reviews interventions for preventing the occurrence and recurrence of major types of child maltreatment. We begin with an overview of the challenges of establishing evidence‐based interventions to prevent child abuse and neglect in many countries, and underscore the importance of this need with child maltreatment incidence rates in the USA, and how much each type and subtype contribute to child out‐of‐home placement. Next, we identify the well‐supported, supported and promising interventions for each child maltreatment type and subtype, according to their level of research evidence using an evidence‐based clearing house. The paper closes with a discussion of the implications for practice, evaluation, policy and agency management, including intervention knowledge gaps that showcase areas that need additional practice research.     

Divorced mothers' self‐perception of their divorce‐related communication with their children

This is a qualitative study of divorce‐related communication between mothers and children, as recounted by 20 Jewish Israeli mothers. We adopt the communication privacy management theory, focusing on mothers' subjective experiences of communication, their management of dialectic tension between concealment and disclosure – namely, not only what mothers choose to disclose to and hide from their children, but also the feelings, concerns and perceptions that drove their communication. The mothers' reports convey the challenges and dilemmas they faced when communicating with their children about their divorce and its repercussions; the main one being their obligation to maintain a good father image and their wish to preserve a strong maternal figure. The ‘child's well‐being’ was the dominant criterion in the mothers' decision to reveal or conceal divorce‐related information. Clinical suggestions are made.