中国和美国信贷冲击跨境溢出效应的比较研究

本文构建了基于符号约束识别的GVAR模型,并用以考察中国和美国的信贷市场冲击对全球41个国家的不同溢出效应.研究结果表明,中国紧缩性信贷市场冲击对本国实体经济有显著的负效应,但仅限于短中期;而美国信贷冲击对本国乃至全球经济都具有相当大且持久的负影响.中国信贷冲击的跨国效应较小,且主要通过贸易渠道.中国信贷市场的本国冲击能解释中国产出近10%的波动,但无论是本国效应还是跨境传导,总需求冲击仍是驱动中国经济周期波动的最主要力量.     

Subset threshold autoregression

We develop in this paper an efficient way to select the best subset threshold autoregressive model. The proposed method uses a stochastic search idea. Differing from most conventional approaches, our method does not require us to fix the delay or the threshold parameters in advance. By adopting the Markov chain Monte Carlo techniques, we can identify the best subset model from a very large of number of possible models, and at the same time estimate the unknown parameters. A simulation experiment shows that the method is very effective. In its application to the US unemployment rate, the stochastic search method successfully selects lag one as the time delay and five best models from more than 4000 choices. Copyright © 2003 John Wiley & Sons, Ltd.     

二十世纪上半叶中国农村婚姻制度探微

20世纪上半叶中国社会经历了剧烈的变迁。农村的婚姻制度并没有在择偶方式即“父母之命，媒妁之言”上发生根本的变化。“父母之命”依然代表着农村择偶方式的主流。而在一些交通便利、距离大城市较近的农村，尤其是沿海、沿江的农村地区出现了一些新变化。择偶方式要产生根本的变化将是一个长期的过程。     

Forecasting in the presence of level shifts

This article addresses the problem of forecasting time series that are subject to level shifts. Processes with level shifts possess a nonlinear dependence structure. Using the stochastic permanent breaks (STOPBREAK) model, I model this nonlinearity in a direct and flexible way that avoids imposing a discrete regime structure. I apply this model to the rate of price inflation in the United States, which I show is subject to level shifts. These shifts significantly affect the accuracy of out‐of‐sample forecasts, causing models that assume covariance stationarity to be substantially biased. Models that do not assume covariance stationarity, such as the random walk, are unbiased but lack precision in periods without shifts. I show that the STOPBREAK model outperforms several alternative models in an out‐of‐sample inflation forecasting experiment. Copyright © 2005 John Wiley & Sons, Ltd.     

空间自回归模型中的强相合性

(n,n)表示在空间自回归模型Zij=αZi-1,j βZi,j-1-αβZi-1,j-1 εij中参数(α,β)的Guass-Newton估计,根据已知的结论:当α=β=1时,{n3/2)((^αn)-α,(^β)n-β)}收敛于二元正态随机向量分布即limn{n3/2(^αn)-α,(^β)n-β))′}(D→)N2(0,Γ),其中Γ=diag(2,2).利用双参数强鞅收敛定理,可以证明,当r<(3)/(2)时,nr(n-α,n-β)→(-0).a.e.     

通货膨胀与股票收益:需求冲击与供给冲击效应分解

将影响宏观经济波动的冲击分解为两类:供给冲击和需求冲击,并考察它们对通货膨胀和股票收益关系的影响.一个简化的理论模型表明,供给冲击导致通货膨胀与股票收益负相关,而需求冲击则导致通货膨胀与股票收益正相关;供给冲击下通货膨胀和价格水平都是逆经济周期的,而需求冲击下通货膨胀和价格水平则是顺经济周期的.以上结果也得到中国经验数据的支持.中国的经验还表明,短期股票收益动态更大程度上由供给冲击决定,而短期通货膨胀动态则主要由需求冲击决定.在总体或长期上,实际股票收益和通货膨胀呈现负相关关系,归因于两类冲击中供给冲击的效应占相对主导地位.     

Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach

This paper compares the in‐sample fitting and the out‐of‐sample forecasting performances of four distinct Nelson–Siegel class models: Nelson–Siegel, Bliss, Svensson, and a five‐factor model we propose in order to enhance the fitting flexibility. The introduction of the fifth factor resulted in superior adjustment to the data. For the forecasting exercise the paper contrasts the performances of the term structure models in association with the following econometric methods: quantile autoregression evaluated at the median, VAR, AR, and a random walk. As a pattern, the quantile procedure delivered the best results for longer forecasting horizons. Copyright © 2011 John Wiley & Sons, Ltd.     

外力作用下平面密排钢珠结构中力的分布研究

利用统计和对称情况各向等概率的分析方法,定量研究了外力作用下平面密排钢珠系统结构中力的作用情况和分布情况,并得出了系统内部不同区域力的分布规律。     

人口增长率的非参数自回归预测模型

针对传统的人口增长预测模型不能理想地捕获我国人口增长率数据的非线性性特征，本文基于局部线性非参数估计理论，对我国建国以来的年人口增长率建立了非参数自回归NAB．（1）模型，并对2000年-2003年的年人口增长率进行了预测，计算结果表明，相对于参数自回归模型而言，非参数自回归模型能够很好地解决人口增长预测这一非线性问题，预测精度较高．     

一种优化分配田径全能运动训练时间的方法

如何合理地在全能项目中分配训练时间,以获得最大的总分增益?本文提出了一种优化算法,并编制了实用计算机程序。可定量地搜索并且优化地分配运动员应该在各个项目上的训练时间,使得在一个特定的训练周期内,总分获得最大程度的增益。计算机模拟分析结果表明:在同一段时间内,用本文提供的方法安排训练获得的总分增益,比平均地把训练时间分配到各个项目上获得的总分增益,大约大20%左右。