The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula

This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, and the second one is to analyze the dependence behavior of oil prices, expectations of investors and stock returns from January 02, 1990, to June06, 2017. Lyapunov exponents and Kolmogorov entropy determined that the oil price and the stock return series exhibited chaotic behavior. TAR-TR-GARCH and TAR-TR-TGARCH copula methods were applied to study the co-movement among the selected variables. The results showed significant evidence of nonlinear tail dependence between the volatility of the oil prices, the expectations of investors and the stock returns. Further, upper and lower tail dependence and comovement between the analyzed series could not be rejected. Moreover, the TAR-TR-GARCH and TAR-TR-TGARCH copula methods revealed that the volatility of oil price had crucial effects on the stock returns and on the expectations of investors in the long run.

Inflationary effects of oil prices and domestic gasoline prices:Markov-switching-VAR analysis

The purpose of this study is to contribute to the literature by studying the effects of sudden changes both on crude oil import price and domestic gasoline price on inflation for Turkey, an emerging country. Since an inflation targeting regime is being carried out by the Central Bank of Turkey, determination of such effects is becoming more important. Therefore empirical evidence in this paper will serve as guidance for those countries, which have an in- flation targeting regime. Analyses have been done in the period of October 2005-December 2012 by Markovswitching vector autoregressive （MS-VAR） models which are successful in capturing the nonlinear properties of variables. Using MS-VAR analysis, it is found that there are 2 regimes in the analysis period. Furthermore, regime changes can be dated and the turning points of economic cycles can be determined. In addition, it is found that the effect of the changes in crude oil and domestic gasoline prices on consumer prices and core inflation is not the same under different regimes. Moreover, the sudden increase in gasoline price is more important for consumer price infla- tion than crude oil price shocks. Another finding is the presence of a pass-through effect from oil price and ga- soline price to core inflation.

On the Influence Factors of Second-hand House Prices in First-tier Cities——Empirical Analysis Based on Panel Data

With the arrival of the ＂housing stock＂ in first - tier cities, the second - handhousing^market will become the dominant property market. This ardcle aim to the first - tiercities of second - hand housing prices and new home price index for the empirical analysis, thedata related to the cointegration analysis found that the result of the first -tier cities real estatemarket in China, the new home price index is the significant factors influencing the second -hand house price indexi For Beijing, Shanghai second - hand housing and new home price in-dex time series johans test, found that there exists cointegration relationship between two varia-bles,the new city real estate market prices out of a line on the secondary market have clearguide. Therefore, the real estate market regulation aiming at the first -tier cities and the＂housing stock＂ should take the second - hand housing market as the main direction, startingwith the sale price and influencing factors of new houses. At the same time, in different cities,we should adhere to the city＇ s policies, reflect the policy differentiation, promote the reformof the real estate supply side, and promote the return of housing properties.

The relationship between international crude oil prices and China＇s refined oil prices based on a structural VAR model

With the frequent fluctuations of international crude oil prices and China＇s increasing dependence on foreign oil in recent years, the volatility of international oil prices has significantly influenced China domestic refined oil price. This paper aims to investigate the transmission and feedback mechanism between international crude oil prices and China＇s refined oil prices for the time span from January 2011 to November 2015 by using the Granger causality test, vector autoregression model, impulse response function and variance decomposition methods. It is demonstrated that variation of international crude oil prices can cause China domestic refined oil price to change with a weak feedback effect. Moreover, international crude oil prices and China domestic refined oil prices are affected by their lag terms in positive and negative directions in different degrees. Besides, an international crude oil price shock has a signif- icant positive impact on domestic refined oil prices while the impulse response of the international crude oil price variable to the domestic refined oil price shock is negatively insignificant. Furthermore, international crude oil prices and domestic refined oil prices have strong historical inheri- tance. According to the variance decomposition analysis, the international crude oil price is significantly affected by its own disturbance influence, and a domestic refined oil price shock has a slight impact on international crude oil price changes. The domestic refined oil price variance is mainly caused by international crude oil price disturbance, while the domestic refined oil price is slightly affected by its own disturbance. Generally, domestic refined oil prices do not immediately respond to an international crude oil price change, that is, there is a time lag.

Investment in deepwater oil and gas exploration projects:a multi-factor analysis with a real options model

Deepwater oil and gas projects embody high risks from geology and engineering aspects, which exert substantial influence on project valuation. But the uncer- tainties may be converted to additional value to the projects in the case of flexible management. Given the flexibility of project management, this paper extends the classical real options model to a multi-factor model which contains oil price, geology, and engineering uncertainties. It then gives an application example of the new model to evaluate deepwater oil and gas projects with a numerical analytical method. Compared with other methods and models, this multi-factor real options model contains more project information. It reflects the potential value deriving not only from oil price variation but also from geology and engi- neering uncertainties, which provides more accurate and reliable valuation information for decision makers.

从经济学分析何时能买得起房

近年来，“房奴（mortgageslave）”“蜗居（Dwemng Narrowness）”“胶囊旅馆（capsule hotel）”这些词汇频频涌现，它们都来自于一个热门的问题——买房。从大城市到小城市，近几年房价近乎飞涨，由几百元一平方米上升到几千元一平方米，再到几万元一平方米，更有天价豪宅。一平方米就几十万元，一套下来已上亿元!房价升高是经济发展的必然过程，是世界各国经济发展中遇到的必然命题，但如果与工资上涨速度相比悬殊过大，这就是一个危险的信号，在警告人们要正视这个问题并且正确的去解决它。针对“房价”这个热门话题我们进行一下讨论。关键词：买房（Buyingahouse）；房价（housingprice）。

CONSUMER-DRIVEN GROUP BUYING： TRICK OR TREAT TO RETAIL STORES？

Group buying （GB） has emerged and evolved into various forms over the past decade. We investigate a distinct form of GB, namely consumer-driven group buying, whereby some consumers form purchase groups to visit stores together and negotiate for discounts. We refer to these consumers as GB consumers that differ from regular consumers who visit stores individually and pay regular prices. Visited by a purchase group, a store has to make an immediate decision to serve their demand in its entirety. Turned down by the first store it visits, the purchase group continues to visit the other store. After accommodating GB demand, the stores use remaining stocks to serve regular consumers. We demonstrate that GB can be a treat to stores that adopt proper policies to utilize it as an instrument to reach consumers. The stores are able to accommodate group demand at a price lower than regular price in most circumstances but still manage to earn stable profits. The presence of regular consumers has a subtle effect on equilibrium formation, by strengthening the stores＇ power in negotiating with GB consumers to make group price weakly increase with group size. Moreover, competing stores are able to manipulate the interactions between purchase groups and collectively earn a higher total profit than a monopolist store when GB consumers account for a small fraction of market base and competition is intense.

Make or Buy in the Presence of Strategic Competition on Substitutable Products

In this paper,we study make-or-buy decisions with the consideration of retail-level competition,in which a supplier provides substitutable products to two retailers.One incumbent retailer is capable of producing the product in-house and makes the make-or-buy decision,while the rival retailer can only outsource from the supplier.Intuitively,the incumbent will not outsource if the wholesale price is higher than its production cost.However,we illustrate this may not be true when the supplier also supplies the retail rival.In this case,the incumbent may accept a high wholesale price to limit the supplier's incentive to serve the retail rival on particularly favorable terms.Moreover,under certain circumstances,the supplier may charge a wholesale price lower than its production cost to attract orders from the incumbent,which can generate for the supplier and the incumbent a higher total profit than the situation in which the incumbent makes the product in-house.

Transfer Pricing in BEPS Project and China's Response

A major concern on base erosion and profit shifting(BEPS)is transfer pricing,which is discussed in BEPS Action Items 8-10 and 13.Actions 8-10 contain revised guidance,which ensures that transfer pricing rules secure outcomes that better align operational profits with the economic activities that generate them,as well as guidance on transactions involving cross-border commodity transactions and on low value-adding intra-group services.Action 13 contains a three-tiered standardized approach to transfer pricing documentation,including a minimum standard on country-by-country reports(CbCRs).However,the approach of Actions 8-10 still focuses on the restoration of the dysfunctional rules built on the arm's length principle,which is rooted in the principle of separate independent entity.The threshold of Action 13 excludes many large multinational enterprises(MNEs)from the CbCR requirement and deprives developing countries access to the information of MNEs below the threshold.Chapter 6 of the Chinese Corporate Income Tax Law,under the title"Special Tax Adjustments,"provided the legal foundations of transfer pricing and transfer pricing documentation in China.To effectively implement the BEPS package in China and to comprehensively update the existing Circular 2,the State Taxation Administration(STA)released a Discussion Draft of a Circular on Implementation Measures for Special Tax Adjustments in September 2015,ranging from Action 3(controlled foreign company rules),Action 8-10(aligning transfer pricing outcomes with value creation)to Action 13(transfer pricing documentation and country-by-country reporting)in details.Right now,a series of patches,such as the STA Bulletins 45,42,64,and 6,have been made to replace a substantial part of Circular 2.