This paper studies the connection between the stock market and real output in China and compares it with benchmark countries,employing a novel vector autoregression with asymmetric leads(VARwAL)model.It makes two cont...This paper studies the connection between the stock market and real output in China and compares it with benchmark countries,employing a novel vector autoregression with asymmetric leads(VARwAL)model.It makes two contributions.First,it finds that the time profile of the Chinese stock market's response to real output shocks suggests no evidence of a distorted relationship due to manipulation of Chinese real output data or domination of the Chinese stock market by individual investors.Rather,the Chinese stock market is relatively more responsive to real output,in line with the larger share of manufacturing in the Chinese economy.Electricity output and industrial profits,two different,less-manipulable time series,yield similar results.Second,it presents the first use of VARwAL impulse responses to detect stock market bubbles:VARwAL captures the 2015 bubble in China successfully.Over the full sample period,China's stock market appears to have been less prone to bubbles than the US stock market.展开更多
Competition policy has great relevance to all the firms in any economy. Even though it is unlikely that small and medium-sized enterprises （SMEs） have enough market power to constrain competition through a misuse of...Competition policy has great relevance to all the firms in any economy. Even though it is unlikely that small and medium-sized enterprises （SMEs） have enough market power to constrain competition through a misuse of such power, they may still face prosecution if they are involved in a boycott of competitors or suppliers, price-fixing, output-restriction and other monopoly agreements. This article discusses antitrust issues pertaining to SMEs with a focus on China＇s Anti-Monopoly Law （AML） and its implementation rules. Contrary to the popular view that SMEs benefit from competition laws, evidence shows that they are reluctant to get involved in antitrust litigation against large firms partly because of the high legal costs involved. There is an urgent need to promote an awareness of antitrust compliance in China and to educate SMEs about the need to avoid breaching the new antitrust law and its associated regulations. In the meantime, SMEs should take full advantage of the antitrust laws to fight against the abuse of market dominance directed at them, and to gain equal opportunities to market access.展开更多
In this study,we propose an efficient approach to the calculation of risk measures for an insurer's liability from writing a variable annuity with guaranteed benefits.Our approach is based on a novel application o...In this study,we propose an efficient approach to the calculation of risk measures for an insurer's liability from writing a variable annuity with guaranteed benefits.Our approach is based on a novel application of the Hermite series expansions on the transition density of a diffusion process to the insurance setting.We compare our method with existing methods in the literature,including the analytical method,spectral method and Green's function method,and illustrate its substantial advantages in calculating risk measures for variable annuities with different guarantee structures.The improved efficiency makes our method flexible to practical implementation in reporting risk measures on a daily basis.We also conduct a sensitivity analysis of the risk measures with respect to key parameters.展开更多
基金the Cooperatio Program,Research Area Economics,at Charles University,Czechia.
文摘This paper studies the connection between the stock market and real output in China and compares it with benchmark countries,employing a novel vector autoregression with asymmetric leads(VARwAL)model.It makes two contributions.First,it finds that the time profile of the Chinese stock market's response to real output shocks suggests no evidence of a distorted relationship due to manipulation of Chinese real output data or domination of the Chinese stock market by individual investors.Rather,the Chinese stock market is relatively more responsive to real output,in line with the larger share of manufacturing in the Chinese economy.Electricity output and industrial profits,two different,less-manipulable time series,yield similar results.Second,it presents the first use of VARwAL impulse responses to detect stock market bubbles:VARwAL captures the 2015 bubble in China successfully.Over the full sample period,China's stock market appears to have been less prone to bubbles than the US stock market.
文摘Competition policy has great relevance to all the firms in any economy. Even though it is unlikely that small and medium-sized enterprises （SMEs） have enough market power to constrain competition through a misuse of such power, they may still face prosecution if they are involved in a boycott of competitors or suppliers, price-fixing, output-restriction and other monopoly agreements. This article discusses antitrust issues pertaining to SMEs with a focus on China＇s Anti-Monopoly Law （AML） and its implementation rules. Contrary to the popular view that SMEs benefit from competition laws, evidence shows that they are reluctant to get involved in antitrust litigation against large firms partly because of the high legal costs involved. There is an urgent need to promote an awareness of antitrust compliance in China and to educate SMEs about the need to avoid breaching the new antitrust law and its associated regulations. In the meantime, SMEs should take full advantage of the antitrust laws to fight against the abuse of market dominance directed at them, and to gain equal opportunities to market access.
基金support from the National Natural Science Foundation of China under Grants No.71501196,No.71721001,and No.U1811462the Natural Science Foundation of Guangdong Province of China under Grant No.2014A030312003the Innovative Research Team Project of Guangdong Province of China under Grant No.2016WCXTD001.
文摘In this study,we propose an efficient approach to the calculation of risk measures for an insurer's liability from writing a variable annuity with guaranteed benefits.Our approach is based on a novel application of the Hermite series expansions on the transition density of a diffusion process to the insurance setting.We compare our method with existing methods in the literature,including the analytical method,spectral method and Green's function method,and illustrate its substantial advantages in calculating risk measures for variable annuities with different guarantee structures.The improved efficiency makes our method flexible to practical implementation in reporting risk measures on a daily basis.We also conduct a sensitivity analysis of the risk measures with respect to key parameters.
