论通货膨胀对投资决策的影响

企业进行投资决策时，通常只考虑货币的时间价值，而不考虑通货膨胀，本文从理论和决策方法上探讨了通货膨胀对投资决策的影响。     

COMPONENTS OF VARIANCE MODELS WITH TRANSFORMATIONS

Power transformations are a popular way to improve the agreement between the observations and the assumptions in a statistical model. In this paper it is assumed that the data, after appropriate power transformation Λ, satisfies a variance components model, with independent Gaussian components. The focus is on inference for quantities which have an interpretation regardless of the choice of Λ (Carroll & Ruppert, 1981) – in particular the intraclass correlation coefficient ρ, the predicted probability of a new observation being less than a specified value and the predicted quantile. It is shown that, in the case Λ= 0, the asymptotic variance of ρ is the same, whether or not one treats Δ as estimated or as known. This supports an empirical conjecture of Solomon (1985). For predicted probabilities and predicted quantiles the variance when A is estimated is shown to be only slightly greater than the variance assuming Δ is known, except in the tails of the distribution where there can be substantial difference between the two variances.     

关于盈亏平衡分析两个模型的研究

在投资项目评估中，盈亏平衡分析是一种常用的方法，一般来说，它不考虑通货膨胀因素．但是由于通货膨胀的存在，盈亏平衡点会发生变化，这样投资项目评估的可靠性也将受到影响．文章在假定通货膨胀存在的条件下，通过对两种模型（模型Ⅰ和Ⅱ）的分析，发现模型Ⅱ的盈亏平衡产量小于模型Ⅰ的盈亏平衡产量，但二者都大于通常意义下的盈亏平衡产量．文中还阐述了通货膨胀条件下，盈亏平衡点不变的条件．     

Codependent Cycles of Chinese Inflation

A test and decomposition of the codependent cycles of the consumer price index (CPI), agricultural producer price index (APPI) and M2 reveals that the sharp cyclical fluctuations in agricultural producer prices largely stem from the grain price fluctuations induced by factors such as land enclosure and the impact on APP of the abrupt changes in pork prices and other factors. Therefore, changing the current policy of grain purchasing price subsidies to one of subsidies to grain production and sales will reduce the impact of grain prices and other factors on APP and inflation. The weak cyclic codependence among APP, CPI and M2, along with the strong cyclic codependence between M2 and CPI, has given rise to a “shuttle-shaped” intersection of cyclic elements. This indicates that China’s monetary policy goal has been alternating between curbing inflation and stimulating growth. When the APP cycle is basically stable, China can implement a moderately easing monetary policy to stimulate economic growth, but this must be based on a 1.5 or so margin of increase in the codependent cycle components of M2. When APP rises sharply or is in the rising phase of cycle elements, China should emphasize APP control, and should delay the moderately easing monetary policy till the APP cycle becomes stable or is in the downlink phase.     

The statistical impact of inflation on interest rates

Understanding the behavior of interest rates is of central importance in finance. This is due to the fact that interest and forward rates serve as underlyings for many fixed income products. Furthermore, interest rate-based quantities may be used as numeraires when it comes to computing present values of future payoffs. An important macroeconomic factor which is likely to trigger interest rates is inflation. In this paper we extend a well-known continuous time interest rate model by incorporating inflation. Finally, we apply a statistical test to real data to explore the goodness-of-fit of the inflation-based model.     

How to stop salami science: promotion of healthy trends in publishing behavior

The career of scientists often depends on the number of their published works. This fact leads to the overproduction of low-quality papers burying the important articles and making the knowledge less accessible. One of the methods to counteract these negative aspects might lie in the promotion of healthy trends in publishing behavior. In the present work, the theoretical analysis of a new bibliometric measure is presented, and its potential impact on the publishing strategies is carefully discussed.     

A Note on Collinearity Diagnostics and Centering

The usual approach for diagnosing collinearity proceeds by centering and standardizing the regressors. The sample correlation matrix of the predictors is then the basic tool for describing approximate linear combinations that may distort the conclusions of a standard least-square analysis. However, as indicated by several authors, centering may eventually fail to detect the sources of ill-conditioning. In spite of this earlier claim, there does not seem to be in the literature a fully clear explanation of the reasons for this bad potential behavior of the traditional strategy for analyzing collinearity. This note studies this issue in some detail. Results derived are motivated by the analysis of a well-known real dataset. Practical conclusions are illustrated with several examples.     

中国的通货膨胀及其不确定性

采用1990年1月以来居民消费价格指数(CPI)的月度数据,运用随机域回归模型、系列随机域的非线性检验方法和贝叶斯估计方法,对中国通货膨胀率与通货膨胀不确定性的关系进行了实证分析。研究发现:通货膨胀率与通货膨胀之间具有双向关系。通货膨胀率引起了通货膨胀不确定性,两者呈现U型关系;较高的通货膨胀不确定性引起通货膨胀率先升后降,呈现倒U曲线关系。     

付氏变换法反褶积的新算法

应用离散付氏变换的反褶积方法，当X(k)存在零点时，求解H(k)困难。采用广义离散付氏变换可以解决这个问题。本文提出的算法既能解决X(k)有零点的问题，又可保留DFT算法的反褶积快速计算特性。     

货币政策中介目标选择的建模分析

通过建立包括总供给、总需求、货币需求和货币供应方程在内的宏观经济模型，分析了中国在物价稳定目标下面临不同冲击时的货币政策中介目标选择问题。尽管在货币需求冲击下，利率中介目标优于货币供应量中介目标，但由于利率目标的局限性，中国将来不宜采取单纯以利率为中介目标的货币政策框架，而宜采取以利率为操作目标，以通货膨胀目标为“名义锚”的货币政策框架。