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The Quadratic-Form Representation of the Pre-Averaging Estimator

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Journal of Statistical Science and Application 2014年第4期2卷 142-147页

作者： Selma Chaker bank of Canada

Volatility forecasts are central to many financial issues, including empirical asset pricing finance and risk management. In this paper, I derive a new quadratic-form representation of the pre-averaging volatility est... 详细信息

关键词： Realized volatility market microstructure noise eigenfunction stochastic volatility models Mincer-Zamowitz regression.

Climate Change and Domestic Migration in China

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Chinese Journal of Urban and Environmental Studies 2018年第3期6卷 96-119页

作者： YANG Junhe The World bank

This paper constructs theoretical and empirical models to investigate, under the influences of China’s hukou policy, the relationship between spikes in temperatures and temporary migrations of Chinese rural residents. Applying weather data from both the provincial and county levels, the paper first demonstrates the negative impacts of extremely high temperatures on agricultural production. Then, using a fixed effect model, and applying an individual-level panel dataset,which includes information from more than 30,000 Chinese rural residents, the paper shows that the likelihood of a rural resident’s future choice to work outside his or her village increases when crop yields decrease. This result confirms the hypothesis built in the paper’s utility maximization theoretical model of an individual rural resident. To mitigate the risks brought about by disasterinduced agricultural production decreases, the paper proposes reforms of, and improvements in existing agricultural policy insurance services.

关键词： Temperature shock agricultural production temporary migration agricultural insurance

Enhancing the Capacity of Tax Administrations to Develop Tax Policy

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Belt and Road Initiative Tax Journal 2022年第1期3卷 16-24页

作者： Marcello Estevao Tatiana Falcao World bank

Building capacity in tax administrations will be key in coping with the new challenges arising from the new ways of doing *** article discusses three topics that will require the building of new assessment and tax collection capabilities within tax administrations,namely:the digital economy,cryptocurrency taxation,and environmental *** proposes issues that will require further attention and consideration by tax administrations wishing to collect the rent attributed to these *** is contended that new capacities will have to be developed not just to handle the“new”forms of doing business,but also to generate income and to allow for a harmonized environment that facilitates and draws investment to Belt and Road Initiative *** transformation ought to occur while“traditional”issues in international tax administration and cooperation persist.

关键词： International tax Digital economy Climate change Cryptocurrency Belt and Road Initiative Tax administration Capacity building

Fintech Leads the Development of Global Finance

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China Economic Transition 2020年第2期3卷 1-7页

作者： LIU Liange the bank of China

At present,a new round of technological and industrial revolution is rapidly reshaping the *** accelerated transformation of old growth momentums into new ones makes fintech a heated topic across various *** article w... 详细信息

关键词： heated momentum shaping

Monetary Policy,Liquidity and bank Risk-Taking

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Frontiers of Economics in China-Selected Publications from Chinese Universities 2023年第2期18卷 171-197页

作者： JIANG Hai ZHANG Xiaolin TANG Shenfeng CHEN Chuanglian College of Economics Jinan UniversityGuangzhou 510632China School of Economics and Finance South China University of TechnologyGuangzhou 510006China bank of Dongguan Co.Ltd. Dongguan 523000China

The great impact of monetary policy on bank risk-taking,facilitated by a liquidity mechanism,significantly complicates the macro-prudential supervision ***,limited scholarly research has delved into this particular ***,in this paper,the liquidity variable is introduced into the dynamic linear model to depict the liquidity mechanism by which monetary policy affects bank *** on micro-data from 133 commercial banks in China,this paper empirically tests using systematic Gaussian mixture models estimation and a panel smooth transition regression *** findings reveal that while monetary policy does not exhibit a significant risk-shifting effect.A marked liquidity transmission effect,however,is observed,whereby easy monetary policy noticeably exacerbates bank *** impact becomes more pronounced as liquidity levels *** most significant negative impact of monetary policy on bank risk-taking occurs when bank liquidity reaches approximately 43%.Moreover,when banks maintain high levels of liquidity,the statutory deposit reserve ratio exerts a greater regulatory effect than other monetary policy *** monetary policy imposes noticeably weaker restraints than expansionary monetary policy,particularly in banks with higher liquidity ***,the interplay between monetary policy and bank risk-taking is contingent upon not just the liquidity level of banks,but also their asset size and capital adequacy.

关键词： monetary policy liquidity mechanism bank risk-taking

Does World bank Underestimate the Purchasing Power Parities in Developing Countries——A Measurement Study Based on Modified Balassa-Samuelson Effect

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Does World Bank Underestimate the Purchasing Power Parities ...

The Importance of Evidence for the Integration of Traditional and Complementary Medicine into Western Healthcare?

作者： XIE Chang CHANG Kun Dongbei University of Finance and Economics People's bank of China Qinhuangdao Sub-branch

World bank published in 2014,the purchasing power parities data of all the countries in the 2011 round of ICP and each country’s GDP converted by purchasing power *** data shows that the economic aggregate of the developing countries rose sharply compared with that before converted,which raised some doubts about whether their purchasing power parities are systematically *** an in-depth analysis of the existing literature on the measurement of the purchasing power parities bias which arc not sufficient,this paper works out a method to measure the purchasing power parities bias in underdeveloped regions by taking EU-OECD as a reference system and on the basis of the modified Balassa-Samuclson effect(BS effect) *** results show that the purchasing power parities in Asia Pacific,Africa,and west Asia are systematically underestimated by 30%,so that the economic aggregate of these regions is seriously overestimated,which is calculated with purchasing power parities as a currency conversion *** main reasons for the underestimation of the purchasing power parities in the underdeveloped regions are as follows:the lower quality of the basic price data,the difficult coordination between the representativeness and comparability of the standard products,and the influence of the expenditure weights in the global aggregation method of purchasing power parities.

关键词： purchasing power parities bias BS effect real exchange rate price level

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World Journal of Traditional Chinese Medicine 2016年第1期2卷 74-79页

作者： Nicola Robinson Allied Health Sciences School of Health & Social Care London South Bank University

Policy makers should consider improving access to treatments normally considered outside of healthcare in the west, particularly given the recent WHO strategy. However, research on integrating traditional and complementary medicines(T&CM) into conventional health care is lacking. T& CM approaches, may provide a cost effective option given the increase in chronic diseases with evidence of effectiveness of T& CM being key if such approaches are to be offered as part of integrative patient care, in most countries, an integrated healthcare approach is unavailable to patients. Evidence based clinical guidelines on T& CM should influence care provision. However evidence that is available may not even be cited. Poor use of evidence may possibly be a reflection of lack of knowledge and/or biases of guideline developers but additionally stakeholders vary in their perceived need for evidence to implement health policy change. Journal editors should focus on publishing high quality manuscripts, with clear rationales, design and reporting frameworks. Researchers should consider carrying out careful feasibility studies prior to conducting trials taking into account the UK Medical Research Council's framework on complex interventions. Examples of feasibility studies highlighting their importance for trial design are given in this paper. If preparation for more definitive studies is conducted this will in turn improve the quality of research being designed, executed and published and subsequently encourage the inclusion of evidence by guideline developers. Robust evidence is necessary in order to inform governments' health policies providing appropriate T&CM interventions which can ultimately help to provide best patient care.

关键词： Integrated medicine traditional and complementary medicine clinical guidelines evidence based medicine Delphi Technique acupuncture

The Future of Multilateralism in the Post-pandemic World

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China & World Economy 2023年第1期31卷 62-87页

作者： Ligang Song Vishesh Agarwal Crawford School of Public Policy Australian National UniversityAustralia World bank Australia

This paper applies an endogenous institutionalist framewwork to understand the evolution of the rules-based international trading system since the end of World WarⅡ.We argue that the initial success of the General Agreement on Trade and Tariffs and re-enforcement that led to the formation of the WTO can be explained by three major factors:the hegemonic position of the US,the belief that international trade would foster prosperity and peace,and Cold War ***,declining US hegemony along with a shift in global comparative advantage in labor-intensive manufacturing led to a shift from multilateral towards preferential trade agreements since the ***,the WTO faces several new challenges,including increasing geo-political competition between the US and China,increasing digitization of commerce,and disrupted supply chains following CO VID-19.A functioning WTO that facilitates global economic re-integration remains crucial to ensure a strong recovery from the pandemic and continued long-term prosperity and stability of the global economy.

关键词： endogenous institutional change GATT international trade institutions WTO

Research on Credit Default Swaps Pricing Considering Moral Hazard Incentive under Reduce-Form Model

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Journal of Systems Science and Systems Engineering 2024年第3期33卷 311-329页

作者： Liang Wu Kangjie He Zhe Guo School of Mathematical Science Henan Institute of Science and TechnologyXinxiang453003China Public Front Office Department Industrial and Commercial Bank of ChinaZhengzhou450000China

Equilibrium pricing of credit default swaps(CDS)promotes efficient identification of credit risk in the market,which in turn leads to efficient allocation of ***,even when CDS have been priced in equilibrium,i.e.,when premiums are equal to anticipated payments,the moral hazard incentives of CDS buyers increase with CDS ***,it becomes an interesting research direction to study the impact of moral hazard incentives on the trading mechanism or pricing of derivatives(CDS).Most of the existing literature on the impact of moral hazard incentives in CDS pricing on derivatives trading mechanisms takes a macro perspective and focuses on the agreement risk *** literature exploring the analysis of the impact of moral hazard on the probability of agreement default from a micro perspective is not yet *** this in mind,this paper focuses on the mechanisms by which“fraud”,an extreme manifestation of micro-moral hazard incentives,affects the probability of *** paper introduces for the first time the concept of“claiming fraud”by credit protection buyers,which is different from the macro perspective of moral hazard incentives,and thus defines a specific extreme form of moral hazard ***,to address the intrinsic feature of the lack of economic explanatory power of the reduce-form model,this paper introduces a moral hazard incentive factor into the reduce-form model,and proposes a moral hazard state variable as a function of the asset value of the reference entity,which gives the reduce-form model strong economic explanatory power,and the default predictability is reduced by the description of the reduce-form *** terms of the object of study,this paper considers the issue of moral hazard incentives in the presence of claiming fraud in two reference entities to further explore the impact of moral hazard incentives on default protection at the micro level in terms of cyclic ***,based on the

关键词： Financial engineering moral hazard incentive claiming fraud reduce-form model probability of default calculation CDS pricing