This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The margin...This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.展开更多
This paper focuses on the impacts and effects of China’s growth of the three industries and price structural change on the real GDP growth rate.First of all,it presents a new accounting method for decomposing growth ...This paper focuses on the impacts and effects of China’s growth of the three industries and price structural change on the real GDP growth rate.First of all,it presents a new accounting method for decomposing growth rates on the basis of existing accounting method for decomposing growth rates.By using this method,we can identify the impacts and effects of structural changes on the growth rate.The paper uses a new decomposition method to recalculate China’s industry-based real GDP growth rates between 1952 and 2019,focuses on the driving effect of growth of the three industries on the real GDP growth,and the impacts of price structural change on GDP growth rate and the contributin of the growth of the three industries on GDP growth rate.By analysis,this paper shows that between 1952 and 2019 China’s economic growth was mainly driven by the secondary industry,which had contributed to the economic growth by over 50%,the role of the tertiary industry in driving economic growth rose,but that of the secondary industry declined over the time;in the short run,the overall effect of the price structural changes of the three industries has a little impact on the economic growth,but the price change of each industry has strong effects,and the price structural change has signifi cantly changed the effect of the growth of the three industries on the real economic growth;in the long term,the price structural change plays a relatively big hindering effect on economic growth due to the Baumol’s cost disease.展开更多
In a declining market for goods,we optimize the net profit in business when inventory management allows change in the selling prices n times over time horizon.We are computing optimal number of changes in prices,respe...In a declining market for goods,we optimize the net profit in business when inventory management allows change in the selling prices n times over time horizon.We are computing optimal number of changes in prices,respective optimal prices,and optimal profit in each of the cycle for a deteriorating product.This paper theoretically proves that for any business setup there exists an optimal number of price settings for obtaining maximum profit.Theoretical results are supported by numerical examples for different setups(data set)and it is found that for every setup the dynamic pricing policy out-performs the static pricing policy.In our model,the deterioration factor has been taken into consideration.The deteriorated units are determined by the recurrence method.Also we studied the effect of different parameters on optimal policy with simulation.For managerial purposes,we have provided some“suggested intervals”for choosing parameters depending upon initial demand,which help to predict the best prices and arrival of customers(demand).展开更多
文摘This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.
基金funded by the general project(72073031)of the National Natural Science Foundation of China and the key project(19ZDA069,16ZDA043)of the National Social Science Fund of China.
文摘This paper focuses on the impacts and effects of China’s growth of the three industries and price structural change on the real GDP growth rate.First of all,it presents a new accounting method for decomposing growth rates on the basis of existing accounting method for decomposing growth rates.By using this method,we can identify the impacts and effects of structural changes on the growth rate.The paper uses a new decomposition method to recalculate China’s industry-based real GDP growth rates between 1952 and 2019,focuses on the driving effect of growth of the three industries on the real GDP growth,and the impacts of price structural change on GDP growth rate and the contributin of the growth of the three industries on GDP growth rate.By analysis,this paper shows that between 1952 and 2019 China’s economic growth was mainly driven by the secondary industry,which had contributed to the economic growth by over 50%,the role of the tertiary industry in driving economic growth rose,but that of the secondary industry declined over the time;in the short run,the overall effect of the price structural changes of the three industries has a little impact on the economic growth,but the price change of each industry has strong effects,and the price structural change has signifi cantly changed the effect of the growth of the three industries on the real economic growth;in the long term,the price structural change plays a relatively big hindering effect on economic growth due to the Baumol’s cost disease.
文摘In a declining market for goods,we optimize the net profit in business when inventory management allows change in the selling prices n times over time horizon.We are computing optimal number of changes in prices,respective optimal prices,and optimal profit in each of the cycle for a deteriorating product.This paper theoretically proves that for any business setup there exists an optimal number of price settings for obtaining maximum profit.Theoretical results are supported by numerical examples for different setups(data set)and it is found that for every setup the dynamic pricing policy out-performs the static pricing policy.In our model,the deterioration factor has been taken into consideration.The deteriorated units are determined by the recurrence method.Also we studied the effect of different parameters on optimal policy with simulation.For managerial purposes,we have provided some“suggested intervals”for choosing parameters depending upon initial demand,which help to predict the best prices and arrival of customers(demand).