我国潜在产出、自然利率与均衡汇率的联合估计及其应用

本文以开放经济下的新凯恩斯宏观经济动态模型为理论依据,基于状态空间模型方法对我国潜在产出、自然利率以及均衡汇率在统一的框架下进行了定量估计,并进一步计算出相应的产出缺口、实际利率缺口与实际汇率缺口,以此作为参照指标对我国宏观经济波动态势、名义利率调整行为以及人民币汇率水平的合理性进行系列分析。分析表明,本文所得到的估计结果不仅是合理、可靠的,而且可以作为我国宏观经济波动态势判断、货币政策制定和效果评价的有用参考。     

中国利率风险溢酬:时变特征与影响因素

利率风险溢酬是长期利率的组成部分,解读它所包含的信息、寻找它的来源有着重要的经济意义。本文先使用利率仿射模型,计算出先验的中国国债利率期限溢酬,然后构建VECM模型,运用脉冲响应、方差分析等技术,分析国债利率的风险溢酬和主要宏观经济变量的动态关系,发现宏观变量对溢酬的影响在当期和滞后几期有明显差异,CPI和GDP是影响最大的两个因素,但信贷供应量和M1的作用也较大。我们同时也发现银行间市场投资者比交易所市场投资者更易受到宏观经济的影响。     

A Bayesian approach to term structure modeling using heavy‐tailed distributions

In this paper, we introduce a robust extension of the three‐factor model of Diebold and Li (J. Econometrics, 130: 337–364, 2006) using the class of symmetric scale mixtures of normal distributions. Specific distributions examined include the multivariate normal, Student‐t, slash, and variance gamma distributions. In the presence of non‐normality in the data, these distributions provide an appealing robust alternative to the routine use of the normal distribution. Using a Bayesian paradigm, we developed an efficient MCMC algorithm for parameter estimation. Moreover, the mixing parameters obtained as a by‐product of the scale mixture representation can be used to identify outliers. Our results reveal that the Diebold–Li models based on the Student‐t and slash distributions provide significant improvement in in‐sample fit and out‐of‐sample forecast to the US yield data than the usual normal‐based model. Copyright © 2011 John Wiley & Sons, Ltd.     

A Pricing Model for American Options with Gaussian Interest Rates

In this paper we introduce a new methodology to price American put options under stochastic interest rates. We derive an analytic approximation that can be evaluated very fast and is fairly accurate. The method uses the so-called forward risk adjusted measure to derive analytic prices. We show that for American puts the correlation between the stock price and the interest rate has different influences on European option values and early exercise premiums.     

债券价值对市场利率变化的敏感度

有关长期债券的价值对市场利率变化的敏感度高于短期债券的价值对市场利率变化的敏感度,本文给出了它成立的条件及它不成立的条件.     

中国银行间拆借利率扩散模型的极大拟似然估计

本文用极大拟似然估计法估计了中国银行间市场七天拆借利率扩散模型的参数。并用自助法对众多不同的模型进行了广义拟似然比检验。结论表明:中国货币市场利率具有均值回复效应:利率敏感系数γ值为1.421265,对利率水平具有较高敏感性。     

一种基于人脸区域的图像质量客观评价算法

提出了一种基于人脸区域的图像质量客观评价模型算法,该算法将整个图像区域划分为感兴趣区域(人脸区域)和不感兴趣区域,对这两个区域内的图像损伤,在计算中分别赋予不的权重,以体现人眼的感知兴趣.实验证明通过该模型算法得到的客观评价结果与人眼的主观感觉具有更好的一致性.     

An Encryption Algorithm for Region of Interest in Medical DICOM Based on One-Dimensional eλ-cos-cot Map

Today, with the rapid development of the Internet, improving image security becomes more and more important. To improve image encryption efficiency, a novel region of interest (ROI) encryption algorithm based on a chaotic system was proposed. First, a new 1D eλ-cos-cot (1D-ECC) with better chaotic performance than the traditional chaotic system is proposed. Second, the chaotic system is used to generate a plaintext-relate keystream based on the label information of a medical image DICOM (Digital Imaging and Communications in Medicine) file, the medical image is segmented using an adaptive threshold, and the segmented region of interest is encrypted. The encryption process is divided into two stages: scrambling and diffusion. In the scrambling stage, helical scanning and index scrambling are combined to scramble. In the diffusion stage, two-dimensional bi-directional diffusion is adopted, that is, the image is bi-directionally diffused row by column to make image security better. The algorithm offers good encryption speed and security performance, according to simulation results and security analysis.     

独立项目的久期预估与融资优化研究

项目投资与融资匹配程度,不仅关系到项目资金成本的大小,还体现对项目利率风险的对冲。基于债券久期的概念内涵,提出了项目久期与融资结构久期的概念及计算方法。以具体项目的投融资为案例进行研究,对案例公司已拟定的针对独立项目的债券融资方案进行投融资久期匹配、各期现金流匹配评价,并从市场利率曲线中发现融资成本优化空间,从投融资久期差及各期投融资现金流量差中找到优化融资的方案。以此提出结论：项目久期与融资结构久期的匹配是降低项目利率风险的重要手段;应综合融资结构久期与项目久期、现金流大小选择融资结构。     

人力资本培训投资的博弈分析

针对人力资本组合投资模式仅定性分析职员和企业对人力资本投资行为的特点,应用博弈论进行了相应的定量分析,将贝克尔投资模式与组合投资模式相结合,建立了确定企业投资比率的计算公式,为企业进行人力资本培训投资提供了定量的决策依据。