This paper uses a Value at Risk （VaR） approach to evaluate a country financial vulnerability, by analyzing the risk exposure of its Central Bank, as if their assets are subject to market risk. The Brazilian currency...This paper uses a Value at Risk （VaR） approach to evaluate a country financial vulnerability, by analyzing the risk exposure of its Central Bank, as if their assets are subject to market risk. The Brazilian currency exchange swaps contracts （USS/Brazilian Reais） are submitted to a delta-normal VaR method, in order to evaluate the market risk of each swaps series, by modeling the variance of the daily returns, from August 1999 to January 2003. All daily returns series exhibited heteroscedasticity in the conditional variance and sudden changes in the unconditional variance. The points of changes of the unconditional variance were determined through the Iterative Cumulative Sum of Squares （ICSS） algorithm, and the conditional variance was modeled with Markov-Switching-Generalized Autoregressive Conditional Heteroscedasticity （SWGARCH） in order to capture heteroscedasticity and regime change. The results lead to two main conclusions： First, a VaR model must incorporate heteroscedasticity and regime switching in order to describe the variance of the tested series, submitted to brisk changes of economic and political scenarios. Second, a volatility-based VaR do not necessarily generate forward-looking indicators, but rather coincident indicators of possible financial vulnerabilities. The future research will evolve towards evaluating the effects of the Basel III recommendations as if they could be applied to this crisis period.展开更多
The nature and origin of a fundamental quantum QSPR （QQSPR） equation are discussed. In principle, as any molecular structure can be associated to quantum mechanical density functions （DF）, a molecular set can be r...The nature and origin of a fundamental quantum QSPR （QQSPR） equation are discussed. In principle, as any molecular structure can be associated to quantum mechanical density functions （DF）, a molecular set can be reconstructed as a quantum multimolecular polyhedron （QMP）, whose vertices are formed by each molecular DF. According to QQSPR theory, complicated kinds of molecular properties, like biological activity or toxicity, of molecular sets can be calculated via the quantum expectation value of an approximate Hermitian operator, which can be evaluated with the geometrical information contained in the attached QMP via quantum similarity matrices. Practical ways of solving the QQSPR problem from the point of view of QMP geometrical structure are provided. Such a development results into a powerful algorithm, which can be implemented within molecular design as an alternative to the current classical QSPR procedures.展开更多
Do Eurozone＇s countries converge or diverge over time？ In this paper, the issue of the Eurozone cohesion is analyzed, with emphasis on the North-South axis. The dynamics of 10 economic variables covered the general ...Do Eurozone＇s countries converge or diverge over time？ In this paper, the issue of the Eurozone cohesion is analyzed, with emphasis on the North-South axis. The dynamics of 10 economic variables covered the general performance （GDP, consumption）, price environment （prices and interest rates）, both public and private financial variables and competitiveness （real effective exchange rates, unit labor costs etc.）. The complex analysis of the data indicates that whereas in the most of analyzed variables neither convergence nor divergence can be identified, in the all important competitiveness area the long term divergence between the North and the South of the Eurozone is undeniable. Unless addressed, this dynamics may constitute significant, and perhaps ultimate, threats to the Eurozone cohesion and perhaps to its existence.展开更多
This study was performed to investigate the spectral characteristics of micro-seismic signals observed during the rupture of coal. Coal rupture micro-seismic observations were obtained on a test system that included a...This study was performed to investigate the spectral characteristics of micro-seismic signals observed during the rupture of coal. Coal rupture micro-seismic observations were obtained on a test system that included an electro-hydraulic servo pressure tester controlled by a YAW microcomputer, a micro-seismic sensor, a loading system, and a signal collection system. The results show that the micro-seismic signal increases with increasing compressive stress at the beginning of coal rupture. The signal remains stable for a period at this stage. A large number of micro-seismic signals appear immediately before the main rupture event. The frequency of micro-seismic events reaches a maximum immediately after the coal ruptures. Micro-seismic signals were decomposed into several Intrinsic Mode Functions (IMF's) by the empirical mode decomposition (EMD) method using a Hilbert-Huang transform (HHT). The main fre- quency band of the micro-seismic signals was found to range from 10 to 100 Hz in the Hilbert energy spectrum and from marginal spectrum calculations. The advantage of applying an HHT is that this can extract the main features of the signal. This fact was confirmed by an HHT analysis of the coal micro-seis- mic signals that shows the technique is useful in the field of coal rupture.展开更多
Since the foreign exchange reform on July 21^st 2005, the flexibility of RMB exchange rate has becoming big, so has the foreign exchange risk. How to effectively manage foreign exchange risk has become an emergent tas...Since the foreign exchange reform on July 21^st 2005, the flexibility of RMB exchange rate has becoming big, so has the foreign exchange risk. How to effectively manage foreign exchange risk has become an emergent task to enterprises. This paper introduces the method of foreign exchange forecast which is the base of foreign exchange risk management, and then deeply discusses different measures of managing the risk.展开更多
Andersen and Jordan （1968） aimed to measure efficiency of monetary and fiscal actions on real GDP by employing a time-series model which was called as St. Louis Model afterwards. Although the model is performed in m...Andersen and Jordan （1968） aimed to measure efficiency of monetary and fiscal actions on real GDP by employing a time-series model which was called as St. Louis Model afterwards. Although the model is performed in many countries similarly, the results differ from each other in accordance with the economic structure of relevant country In this regard, the aim of this paper is to investigate the effectiveness of monetary and fiscal policies on real activity and to find out causal relationship among questioned variables using OLS and causality methodologies in Turkish economy over the period 1998：1-2010： IV. Empirical findings indicate that only monetary policy has a significant positive effect on economic activity in the short run, Nonetheless, neither monetary nor fiscal policy has significant impact on real output in the long run. Causality analysis shows that there exists a unidirectional causality running from real output and money stock to government expenditures. Moreover, not surprisingly, it is also found that crisis experiences of Turkey in sample period have highly adverse impact on real activity. Causality analysis suggests us considering government expenditures as explained variable instead of real output. Hence, it can be concluded that St. Louis Model total spending equation is not applicable for Turkish economy during 1998-2010 periods展开更多
In this paper, in order to investigate whether the impact of different forms of interest rate differential may pass on to the flexible price monetary model, two flexible price monetary models, which are separately der...In this paper, in order to investigate whether the impact of different forms of interest rate differential may pass on to the flexible price monetary model, two flexible price monetary models, which are separately derived from the generalized monetary models with log-level interest rate differential and that with interest rate differential, are tested for China yuan to US dollar exchange rate. Through Johansen maximum likelihood method, we find that there is little support in the cointegrating coefllcient estimates for both flexible price monetary models for yuan/dollar exchange rate. However, the latter is generally better than the former in the light of sum of squared residual and log likelihood statistics. Therefore, we conclude that there is no transitive impact of different forms of interest rate differential on the flexible price monetary model.展开更多
文摘This paper uses a Value at Risk （VaR） approach to evaluate a country financial vulnerability, by analyzing the risk exposure of its Central Bank, as if their assets are subject to market risk. The Brazilian currency exchange swaps contracts （USS/Brazilian Reais） are submitted to a delta-normal VaR method, in order to evaluate the market risk of each swaps series, by modeling the variance of the daily returns, from August 1999 to January 2003. All daily returns series exhibited heteroscedasticity in the conditional variance and sudden changes in the unconditional variance. The points of changes of the unconditional variance were determined through the Iterative Cumulative Sum of Squares （ICSS） algorithm, and the conditional variance was modeled with Markov-Switching-Generalized Autoregressive Conditional Heteroscedasticity （SWGARCH） in order to capture heteroscedasticity and regime change. The results lead to two main conclusions： First, a VaR model must incorporate heteroscedasticity and regime switching in order to describe the variance of the tested series, submitted to brisk changes of economic and political scenarios. Second, a volatility-based VaR do not necessarily generate forward-looking indicators, but rather coincident indicators of possible financial vulnerabilities. The future research will evolve towards evaluating the effects of the Basel III recommendations as if they could be applied to this crisis period.
文摘The nature and origin of a fundamental quantum QSPR （QQSPR） equation are discussed. In principle, as any molecular structure can be associated to quantum mechanical density functions （DF）, a molecular set can be reconstructed as a quantum multimolecular polyhedron （QMP）, whose vertices are formed by each molecular DF. According to QQSPR theory, complicated kinds of molecular properties, like biological activity or toxicity, of molecular sets can be calculated via the quantum expectation value of an approximate Hermitian operator, which can be evaluated with the geometrical information contained in the attached QMP via quantum similarity matrices. Practical ways of solving the QQSPR problem from the point of view of QMP geometrical structure are provided. Such a development results into a powerful algorithm, which can be implemented within molecular design as an alternative to the current classical QSPR procedures.
文摘Do Eurozone＇s countries converge or diverge over time？ In this paper, the issue of the Eurozone cohesion is analyzed, with emphasis on the North-South axis. The dynamics of 10 economic variables covered the general performance （GDP, consumption）, price environment （prices and interest rates）, both public and private financial variables and competitiveness （real effective exchange rates, unit labor costs etc.）. The complex analysis of the data indicates that whereas in the most of analyzed variables neither convergence nor divergence can be identified, in the all important competitiveness area the long term divergence between the North and the South of the Eurozone is undeniable. Unless addressed, this dynamics may constitute significant, and perhaps ultimate, threats to the Eurozone cohesion and perhaps to its existence.
基金support for this work provided by the National Science and Technology Planning Project (No. 2009BAK54B03)the National Natural Science Foundation of China (No. 50834005)
文摘This study was performed to investigate the spectral characteristics of micro-seismic signals observed during the rupture of coal. Coal rupture micro-seismic observations were obtained on a test system that included an electro-hydraulic servo pressure tester controlled by a YAW microcomputer, a micro-seismic sensor, a loading system, and a signal collection system. The results show that the micro-seismic signal increases with increasing compressive stress at the beginning of coal rupture. The signal remains stable for a period at this stage. A large number of micro-seismic signals appear immediately before the main rupture event. The frequency of micro-seismic events reaches a maximum immediately after the coal ruptures. Micro-seismic signals were decomposed into several Intrinsic Mode Functions (IMF's) by the empirical mode decomposition (EMD) method using a Hilbert-Huang transform (HHT). The main fre- quency band of the micro-seismic signals was found to range from 10 to 100 Hz in the Hilbert energy spectrum and from marginal spectrum calculations. The advantage of applying an HHT is that this can extract the main features of the signal. This fact was confirmed by an HHT analysis of the coal micro-seis- mic signals that shows the technique is useful in the field of coal rupture.
文摘Since the foreign exchange reform on July 21^st 2005, the flexibility of RMB exchange rate has becoming big, so has the foreign exchange risk. How to effectively manage foreign exchange risk has become an emergent task to enterprises. This paper introduces the method of foreign exchange forecast which is the base of foreign exchange risk management, and then deeply discusses different measures of managing the risk.
文摘Andersen and Jordan （1968） aimed to measure efficiency of monetary and fiscal actions on real GDP by employing a time-series model which was called as St. Louis Model afterwards. Although the model is performed in many countries similarly, the results differ from each other in accordance with the economic structure of relevant country In this regard, the aim of this paper is to investigate the effectiveness of monetary and fiscal policies on real activity and to find out causal relationship among questioned variables using OLS and causality methodologies in Turkish economy over the period 1998：1-2010： IV. Empirical findings indicate that only monetary policy has a significant positive effect on economic activity in the short run, Nonetheless, neither monetary nor fiscal policy has significant impact on real output in the long run. Causality analysis shows that there exists a unidirectional causality running from real output and money stock to government expenditures. Moreover, not surprisingly, it is also found that crisis experiences of Turkey in sample period have highly adverse impact on real activity. Causality analysis suggests us considering government expenditures as explained variable instead of real output. Hence, it can be concluded that St. Louis Model total spending equation is not applicable for Turkish economy during 1998-2010 periods
基金This project is supported by National Natural Science Foundation of China （70371055）
文摘In this paper, in order to investigate whether the impact of different forms of interest rate differential may pass on to the flexible price monetary model, two flexible price monetary models, which are separately derived from the generalized monetary models with log-level interest rate differential and that with interest rate differential, are tested for China yuan to US dollar exchange rate. Through Johansen maximum likelihood method, we find that there is little support in the cointegrating coefllcient estimates for both flexible price monetary models for yuan/dollar exchange rate. However, the latter is generally better than the former in the light of sum of squared residual and log likelihood statistics. Therefore, we conclude that there is no transitive impact of different forms of interest rate differential on the flexible price monetary model.
