金融稳定需要防范和化解金融市场之间的风险传染。与以往文献只是探究两个市场的风险传染不同,本文利用高维VAR for VaR模型将中国的汇市、债市、大宗商品、金融期货和股市等五个金融市场纳入统一框架,分析这5个金融市场在不同状态的风...金融稳定需要防范和化解金融市场之间的风险传染。与以往文献只是探究两个市场的风险传染不同,本文利用高维VAR for VaR模型将中国的汇市、债市、大宗商品、金融期货和股市等五个金融市场纳入统一框架,分析这5个金融市场在不同状态的风险溢出效应,这有助于捕捉冲击在不同金融市场之间传播而产生的间接影响。Wald检验和后验分析表明5个市场间只在危机或泡沫状态时存在明显的风险溢出效应。同时,本文利用压力测试发现单个市场的短期冲击影响会被其他金融市场如股市消化吸收,但4个金融市场都处于正常状态会明显降低其他金融市场如股市的左尾风险。此外,本文提出利用单个金融市场在同一时点的不同分位数计算每个金融市场在同一时点的预期收益、波动风险和崩盘风险,这种做法的好处在于结果更加稳健以及减轻极端值的影响。在此基础上,本文进一步探究金融市场间是否能够对冲彼此的波动风险和崩盘风险。结果显示大宗商品市场和金融期货市场能够有效地对冲其他金融市场的波动风险和崩盘风险,但汇市、债市和股市无法对冲其他金融市场的波动风险和崩盘风险。展开更多
Larix gmelinii var.principis-rupprechtii(Mayr.)Pilger is an important native tree species in North China with advantages of fast growth,straight trunk,and good wood properties.The multi-year and multi-site breeding re...Larix gmelinii var.principis-rupprechtii(Mayr.)Pilger is an important native tree species in North China with advantages of fast growth,straight trunk,and good wood properties.The multi-year and multi-site breeding research of families of the species has not been reported previously.Based on diameter at breast height(DBH),height and volume of 25 families on four experimental sites,we calculated variance components,genetic parameters,juvenile and mature trait correlations and made genotype main effect plus genotype×environment interaction effect(GGE)biplot based on the breeding values estimated using the method of best linear unbiased prediction(BLUP).Compared with height,DBH and volume had higher heritability and larger variation coefficients,making them the more suitable traits for family selection and evaluation.Based on these,GGE biplots containing 20 combinations of site×age were drawn using data at 13 to 17 years when the interactions between family and location were strong.Test sites classifications based on DBH,and volume were inconsistent,with two categories for DBH and one for volume.The Guyuan site was the most suitable with strong discriminating ability,high representativeness and stability among tree ages.Integrating the ranking results of DBH and volume,families 66,76,82 and 111 were high-yielding and stable,families 78 and96 were high-yielding with above average stability,families72 and 79 were high-yielding with below average stability,whereas stability of family 100 was inconsistent between DBH and volume.Early selection based on DBH was convenient and reliable,and can be made at seven years.This study provides support for the selection of Larix gmelinii var.principis-rupprechtii families in Hebei province and an example for the application of stem analysis data from multiple sites in tree breeding.展开更多
文摘金融稳定需要防范和化解金融市场之间的风险传染。与以往文献只是探究两个市场的风险传染不同,本文利用高维VAR for VaR模型将中国的汇市、债市、大宗商品、金融期货和股市等五个金融市场纳入统一框架,分析这5个金融市场在不同状态的风险溢出效应,这有助于捕捉冲击在不同金融市场之间传播而产生的间接影响。Wald检验和后验分析表明5个市场间只在危机或泡沫状态时存在明显的风险溢出效应。同时,本文利用压力测试发现单个市场的短期冲击影响会被其他金融市场如股市消化吸收,但4个金融市场都处于正常状态会明显降低其他金融市场如股市的左尾风险。此外,本文提出利用单个金融市场在同一时点的不同分位数计算每个金融市场在同一时点的预期收益、波动风险和崩盘风险,这种做法的好处在于结果更加稳健以及减轻极端值的影响。在此基础上,本文进一步探究金融市场间是否能够对冲彼此的波动风险和崩盘风险。结果显示大宗商品市场和金融期货市场能够有效地对冲其他金融市场的波动风险和崩盘风险,但汇市、债市和股市无法对冲其他金融市场的波动风险和崩盘风险。
基金supported by the Key Research and Development Program of Hebei Province[20326333D]Science and Technology Promotion Demonstration Project of forestry and grassland in Hebei Province[Hebei TG[2019]001]Science and Technology Promotion Demonstration Project of forestry and grassland in Hebei Province[Hebei TG[2020]013]。
文摘Larix gmelinii var.principis-rupprechtii(Mayr.)Pilger is an important native tree species in North China with advantages of fast growth,straight trunk,and good wood properties.The multi-year and multi-site breeding research of families of the species has not been reported previously.Based on diameter at breast height(DBH),height and volume of 25 families on four experimental sites,we calculated variance components,genetic parameters,juvenile and mature trait correlations and made genotype main effect plus genotype×environment interaction effect(GGE)biplot based on the breeding values estimated using the method of best linear unbiased prediction(BLUP).Compared with height,DBH and volume had higher heritability and larger variation coefficients,making them the more suitable traits for family selection and evaluation.Based on these,GGE biplots containing 20 combinations of site×age were drawn using data at 13 to 17 years when the interactions between family and location were strong.Test sites classifications based on DBH,and volume were inconsistent,with two categories for DBH and one for volume.The Guyuan site was the most suitable with strong discriminating ability,high representativeness and stability among tree ages.Integrating the ranking results of DBH and volume,families 66,76,82 and 111 were high-yielding and stable,families 78 and96 were high-yielding with above average stability,families72 and 79 were high-yielding with below average stability,whereas stability of family 100 was inconsistent between DBH and volume.Early selection based on DBH was convenient and reliable,and can be made at seven years.This study provides support for the selection of Larix gmelinii var.principis-rupprechtii families in Hebei province and an example for the application of stem analysis data from multiple sites in tree breeding.
