Dissecting income segregation: Impacts of concentrated affluence on segregation of poverty

This article investigates how income inequality shapes residential segregation by income. Using agent-based modeling, it develops a residential preferences model that is capable of generating results mimicking empirical income segregation patterns. Simulation analysis shows how varying income inequality produces differential residential mobility outcomes that alter income segregation profiles. The model is used to capture the distinct impacts of households’ moves into richer or poorer neighborhoods, and how these impacts are further differentiated with respect to the moving household’s income. The article demonstrates how aggregating such diverse outcomes of micro-level interactions at a meso-level can help us to better understand the changes in macro-level income segregation patterns. Analyzing residential mobility patterns carefully, the article suggests that i) segregation of affluence and of poverty can trigger each other via initiating cascades of residential mobility and housing prices, and ii) increasing income inequality can disrupt housing market and lead to shortages in affordable housing, which can yield high residential instability and eviction rates among the poorest stratum.     

基于变结构VECM的FDI与行业收入差距关系研究

通过计算基尼系数反映行业收入差距变化.利用GDP增长率作为控制变量建立误差修正模型,反映给定经济增长水平,外商直接投资对行业收入不平等的影响.利用误差修正模型的系数检验,判断外商直接投资对行业收入差距的影响方式和影响程度.实证结果表明1994年以后外商直接投资对行业收入不平等存在长期均衡关系.给定经济增长水平,外商直接投资增加会加大行业收入不平等程度,但增加幅度递减.     

Microscopic models for welfare measures addressing a reduction of economic inequality

We formulate a flexible micro‐to‐macro kinetic model which is able to explain the emergence of income profiles out of a whole of individual economic interactions. The model is expressed by a system of several nonlinear differential equations which involve parameters defined by probabilities. Society is described as an ensemble of individuals divided into income classes; the individuals exchange money through binary and ternary interactions, leaving the total wealth unchanged. The ternary interactions represent taxation and redistribution effects. Dynamics is investigated through computational simulations, the focus being on the effects that different fiscal policies and differently weighted welfare policies have on the long‐run income distributions. The model provides a tool which may contribute to the identification of the most effective actions toward a reduction of economic inequality. We find for instance that, under certain hypotheses, the Gini index is more affected by a policy of reduction of the welfare and subsidies for the rich classes than by an increase of the upper tax rate. Such a policy also has the effect of slightly increasing the total tax revenue. © 2015 Wiley Periodicals, Inc. Complexity 21: 89–98, 2016     

Two-part fractional regression model with conditional FDH responses: an application to Brazilian agriculture

We extend the notion of a two-part fractional regression model with conditional free disposal hull efficiency responses to accommodate two-stage regression analysis. The two-part regression model includes the binomial model with a nonlinear specification for the expected response in (0,1] and is a more general formulation in the context of fractional regressions. We use nonlinear least squares to assess the effect of covariates in the conditional efficiency response. The approach is applied to Brazilian agricultural county data, as reported in the Brazilian agricultural census of 2006. The efficiency measure is output oriented and assumes variable returns to scale. Output is rural gross income and inputs are land expenses, labor expenses and expenses on other technological inputs. The covariates affecting production are credit, technical assistance, a rural development index, income concentration, measured by the Gini index, and regional dummies. Overall Brazilian rural production performance responds positively to all covariates.

     

Stability Analysis of nth Order Nonlinear Impulsive Differential Equations in Quasi–Banach Space

Abstract

This article is about Ulam’s type stability of n^th order nonlinear differential equations with fractional integrable impulses. It is a best procession to the stability of higher order fractional integrable impulsive differential equations in quasi–normed Banach space. Different Ulam’s type stability results are obtained by using the definitions of Riemann–Liouville fractional integral, Hölder’s inequality and the beta integral inequality.     

投资者情绪和市场利率对证券市场指数收益影响特点的动态刻画

本文基于2006年10月到2015年6月市场层面的投资者情绪和上证综指收益率,刻画了投资者情绪和市场利率对证券市场指数收益率的影响。首先,本文通过误差修正模型研究了短期层面投资者情绪对证券市场收益的影响特点,补充了以往在长期层面和整体收益水平上投资者情绪对市场收益影响的研究。由于市场层面的投资者情绪会受到宏观政策影响,之后本文将市场利率作为政策因素,通过分位数回归分析了不同市场收益水平下,市场利率和剔除了宏观政策因素的投资者情绪对市场收益的影响。研究结果表明:投资者情绪和证券市场收益之间的关系在短期层面上更为显著;当我国的证券市场环境处于“牛市”时,市场利率和投资者情绪均会对证券市场指数收益产生显著的影响,且随着市场收益水平的逐步上升,市场利率的反向作用和投资者情绪的正向作用均会逐渐加强。     

Mean-chance model for portfolio selection based on uncertain measure

This paper discusses a portfolio selection problem in which security returns are given by experts’ evaluations instead of historical data. A factor method for evaluating security returns based on experts’ judgment is proposed and a mean-chance model for optimal portfolio selection is developed taking transaction costs and investors’ preference on diversification and investment limitations on certain securities into account. The factor method of evaluation can make good use of experts’ knowledge on the effects of economic environment and the companies’ unique characteristics on security returns and incorporate the contemporary relationship of security returns in the portfolio. The use of chance of portfolio return failing to reach the threshold can help investors easily tell their tolerance toward risk and thus facilitate a decision making. To solve the proposed nonlinear programming problem, a genetic algorithm is provided. To illustrate the application of the proposed method, a numerical example is also presented.     

The Economics of Social Stratification in Premodern Societies

We present a microeconomic model of social stratification, which includes an endogenous fertility component. In the model, egalitarian and stratified societies coexist. The latter are divided into 2 hereditary classes: a warrior elite and a productive class. The model entails that the extra cost warriors must incur to train and equip their children for war determines the relative sizes of both classes and the degree of economic inequality. Higher costs of warrior children imply a greater economic advantage for warriors and a smaller ratio of warriors to producers. These results are consistent with the historical evidence. Finally, we explore conditions under which the social contributions of the warrior elite could discourage a revolution.     

The stability of nonlinear neutral differential systems

In this paper, the author uses the method of inequality analysis to study the stability of nonlinear neutral differential systems. Some criteria for being exponentially stable in the large inC ₁ space are obtained.     

基于一类积分不等式上的中立型时滞微分方程的稳定性

利用一类积分不等式以及参数变易法,Jensen不等式,给出了更为一般的中立型时滞微分系统的Lyapunov稳定性的判别准则,推广和改进了一些文献中有关中立型微分方程的Lyapunov稳定性的结论.     

On robustly exponential stability of uncertain neutral systems with time-varying delays and nonlinear perturbations

The issue of robustly exponential stability for uncertain neutral-type systems is considered in this paper. The uncertainties are nonlinear and the delays are time-varying. In terms of a linear matrix inequality (LMI), the new sufficient stability condition with delay dependence is presented. The model transformation and bounding techniques for cross terms are avoided based on an integral inequality. Two illustrative examples are proposed to show the effectiveness of our method.     

股票回报率与汇率的关系——基于中国的实证

考察了上海股票市场A股的回报率与人民币汇率的关系．首先,经过单位根检验发现：股票回报率与人民币名义汇率是一阶单整。接着,利用Engle—Granger协整检验得到：在5％的显著性水平下,股票回报率与人民汇率没有长期均衡关系,但不能够拒绝短期单方向的Granger因果关系,即人民币名义汇率是股票回报率的Granger原因．     

Persistent inequality and social relations: An intergenerational model

This paper studies the influence of individual social capital on the persistence of socioeconomic inequality. The set of social relations constitute a form of capital that provides the individual with a wide range of resources. Social capital interacts with other forms of capital, particularly with human capital, to enhance inequality. The overlapping-generations model proposed here focuses on the long-term investment processes in human and social capital. When these effects are considered, a society may end up divided into two groups. The first comprises people stuck in a trap of low intergenerational mobility resources. The second group includes people with increasing levels of education and social capital. Within the last group, income inequalities persist due to initial differences in social capital.     

Application in stochastic volatility models of nonlinear regression with stochastic design

In regression model with stochastic design, the observations have been primarily treated as a simple random sample from a bivariate distribution. It is of enormous practical significance to generalize the situation to stochastic processes. In this paper, estimation and hypothesis testing problems in stochastic volatility model are considered, when the volatility depends on a nonlinear function of the state variable of other stochastic process, but the correlation coefficient |ρ|≠±1. The methods are applied to estimate the volatility of stock returns from Shanghai stock exchange. Copyright © 2009 John Wiley & Sons, Ltd.     

An asset return model capturing stylized facts

In this paper, we seek a model for asset returns which reproduces several well-documented stylized facts:1. log returns are not Gaussian; 2. absolute log returns are serially correlated, but the log returns are not; 3. the Taylor effect. There are many attempts to deal with the first, using various log-Lévy models for the asset; some of these are successful in fitting the unconditional distribution of log returns, but cannot of course reproduce the second stylized fact. We propose to model the returns with a hidden two-state Markovian regime (as in J Appl Econ 13:217–244, 1998), conditional on the value of which the returns have different distributions. A key observation is that if the means of the returns in the different regimes are the same, then the log returns are automatically uncorrelated, so we fit to index data under this restriction. By choosing symmetric hyperbolic distributions for the conditional returns, we are able to fit well the unconditional distributions, the autocovariances of absolute returns and the Taylor effect. Moreover, we find that a common regime model explains simultaneously these statistics for the S&P500, FTSE, DAX, Nikkei and CAC40. Implications for investment and option pricing are discussed.     

The Dynamic Interaction of Speculation and Diversification

A discrete time model of a financial market is developed, in which heterogeneous interacting groups of agents allocate their wealth between two risky assets and a riskless asset. In each period each group formulates its demand for the risky assets and the risk‐free asset according to myopic mean‐variance maximizazion. The market consists of two types of agents: fundamentalists, who hold an estimate of the fundamental values of the risky assets and whose demand for each asset is a function of the deviation of the current price from the fundamental, and chartists, a group basing their trading decisions on an analysis of past returns. The time evolution of the prices is modelled by assuming the existence of a market maker, who sets excess demand of each asset to zero at the end of each trading period by taking an offsetting long or short position, and who announces the next period prices as functions of the excess demand for each asset and with a view to long‐run market stability. The model is reduced to a seven‐dimensional nonlinear discrete‐time dynamical system, that describes the time evolution of prices and agents' beliefs about expected returns, variances and correlation. The unique steady state of the model is determined and the local asymptotic stability of the equilibrium is analysed, as a function of the key parameters that characterize agents' behaviour. In particular it is shown that when chartists update their expectations sufficiently fast, then the stability of the equilibrium is lost through a supercritical Neimark–Hopf bifurcation, and self‐sustained price fluctuations along an attracting limit cycle appear in one or both markets. Global analysis is also performed, by using numerical techniques, in order to understand the role played by the chartists' behaviour in the transition to a regime characterized by irregular oscillatory motion and coexistence of attractors. It is also shown how changes occurring in one market may affect the price dynamics of the alternative risky asset, as a consequence of the dynamic updating of agents' portfolios.     

k-STABILITY OF NONLINEAR NEUTRAL DELAY SYSTEMS

In this paper,we first introduce the concept of k-globally asymptotic stabi- lity and present a differential-difference inequality with infinite delay.By com- bining nonlinear inequality and nonlinear variation-of-parameters formula,we derive the k-globally asymptotic stability criteria for nonlinear neutral system with infinite delay.In the end of this paper,an example is given to illustrate our theory.     

Sparse Partially Linear Additive Models

The generalized partially linear additive model (GPLAM) is a flexible and interpretable approach to building predictive models. It combines features in an additive manner, allowing each to have either a linear or nonlinear effect on the response. However, the choice of which features to treat as linear or nonlinear is typically assumed known. Thus, to make a GPLAM a viable approach in situations in which little is known a priori about the features, one must overcome two primary model selection challenges: deciding which features to include in the model and determining which of these features to treat nonlinearly. We introduce the sparse partially linear additive model (SPLAM), which combines model fitting and both of these model selection challenges into a single convex optimization problem. SPLAM provides a bridge between the lasso and sparse additive models. Through a statistical oracle inequality and thorough simulation, we demonstrate that SPLAM can outperform other methods across a broad spectrum of statistical regimes, including the high-dimensional (p ? N) setting. We develop efficient algorithms that are applied to real datasets with half a million samples and over 45,000 features with excellent predictive performance. Supplementary materials for this article are available online.     

基于MCMC算法的人民币汇率市场的分析——双门限非对称GARCH模型的应用

本文旨在考察,汇改后美元/人民币汇率前期收益的影响下,人民币汇率市场上非美元/人民币汇率收益均值和波动不对称的程度。为了捕捉非美元汇率收益的均值和波动不对称的特点,我们设定双门限非线性的GARCH模型,结合GJR效应(即加入非美元收益利空或利好消息的影响),利用基于MCMC算法的贝叶斯推断来完成。应用中我们选取了美元(欧元、日元、港元)/人民币日汇率数据进行分析,发现了门限非线性的结果,表明在美元和非美元汇率本身双重变化的影响下,非美元汇率收益的均值和波动同时表现出非对称的特点。并且在美元收益利好消息的影响下,美元汇率对非美元汇率的溢出效应明显增强,非美元表现出低均值回归的特点。     

New stability theorem for periodic Nicholson’s model with mortality term

This article mainly explores a class of non-autonomous delayed Nicholson’s blowflies model with a nonlinear density-dependent mortality term. By combining Lyapunov function method with differential inequality approach, some novel assertions are gained to guarantee the existence and exponential stability of positive periodic solutions for the addressed model, which generalize and refine the corresponding results in some recent published literature.