Han A.,CAS Academy of Mathematics and Systems Science |
Zheng G.-H.,Peoples Bank of China |
Wang S.-Y.,CAS Academy of Mathematics and Systems Science
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | Year: 2010
Traditional approach to establish coincident index fails to capture the dynamic structure of business cycle and cannot describe the relationships among macroeconomic sections. This paper proposes to apply the generalized dynamic-factor model (GDFM), which addresses the above problems, to conduct prosperity analysis of the financial cycle in China. However, this approach, based on frequency domain principal components and thus on two-sided filtering of observable variables, leads to the lag of application. Therefore, we firstly adjust one-sided filtering in the end of sample data. Then, GDFM is employed to construct the coincident index of the financial cycle in China, which is calculated from coincident indexes of a few sub-cycles obtained simultaneously.
Tang J.,Chiang Mai University |
Zhou C.,Northwest Normal University |
Yuan X.,Yunnan Normal University |
Sriboonchitta S.,Peoples Bank of China
Scientific World Journal | Year: 2014
This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCHEVT-copula model.We first use the univariate ARMA-GARCH model tomodel each natural gas return series. Second, the extreme value distribution (EVT) is fitted to the tails of the residuals to model marginal residual distributions.Third, multivariate Gaussian copula and Student t-copula are employed to describe the natural gas portfolio risk dependence structure. Finally, we simulate N portfolios and estimate value at risk (VaR) and conditional value at risk (CVaR). Our empirical results show that, for an equally weighted portfolio of five natural gases, the VaR and CVaR values obtained fromthe Student t-copula are larger than those obtained fromthe Gaussian copula.Moreover, when minimizing the portfolio risk, the optimal natural gas portfolio weights are found to be similar across the multivariate Gaussian copula and Student t-copula and different confidence levels. © 2014 Jiechen Tang et al.
Xiong X.,Huazhong Agricultural University |
Tian J.,Huazhong Agricultural University |
Ruan H.,Peoples Bank of China
China Agricultural Economic Review | Year: 2011
Purpose - As a major agricultural province in central China, Hubei Province mainly carries out the peasant household credit investigation system through rural credit cooperatives (RCCs). The purpose of this paper is to evaluate the efficiency of the peasant household credit investigation system in Hubei RCCs and provide some evidence and ideas to the formulation of relevant policies. Design/methodology/approach - First, this paper briefly reviews the related literature of the efficiency in credit investigation system; second, the paper gives a brief description of the data envelopment analysis (DEA) model and designs the indicators for efficiency evaluation; third, the paper accounts data sources and processing methods; and finally, the paper performs the empirical analysis and draws a conclusion. Findings - The paper finds that the efficiency of the resource allocation in both regions is unoptimistic, the general efficiency is somewhat low, and it shows the trend of declination. The efficiency of pure technology in two regions represents the adverse trend. Every year's average scale efficiency in both regions is higher than the pure technology efficiency. Originality/value - The main contributions of this paper include the first use of DEA model to practically evaluate the efficiency of credit investigation system based on 54 samples of RCCs in Hubei Province and the horizontal and vertical comparisons of the results. The conclusions of this paper not only make the efficiency of credit investigation system in the province's 54 credit cooperatives comparable but also has a great application value to the actual decision-making departments in formulating credit policies, and each credit cooperative in further building the credit investigation system according to its own conditions. Moreover, it has certain reference value to other similar studies. Copyright © 2011 Emerald Group Publishing Limited. All rights reserved.
Dongyan-Li,North China Electrical Power University |
Donghua-Yang,North China Electrical Power University |
Diankun-Mu,Peoples Bank of China
2010 International Conference on Future Information Technology and Management Engineering, FITME 2010 | Year: 2010
With the continuous development of human resources accounting, the problem of human capital measurement has been more concerned. This paper, proceeding from a property point, and based on achievement of the current income, measures the value of Human Capital © 2010 IEEE.
Hua Z.,Jinan Nursing Vocational College |
Guodong L.,Peoples Bank of China |
Tengfei Z.,China Construction Seventh Engineering Division Corporation Ltd.
Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013 | Year: 2014
This paper present it is necessary to develop low carbon economy in China. Additionally, considering the current development status of the low carbon economy in China, this paper puts forward relevant policy suggestions on China's low carbon economy in three aspects of legal measures, economic measures and administrative measures. © 2013 IEEE.