New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles

In this paper, we extend the Johansen-Ledoit-Sornette (JLS) model by introducing fundamental economic factors in China (including the interest rate and deposit reserve rate) and the historical volatilities of targeted and US equity indices into the original model, which is a flexible tool to detect bubbles and predict regime changes in financial markets. We then derive a general method to incorporate these selected factors in addition to the log-periodic power law signature of herding and compare the prediction accuracy of the critical time between the original and the new JLS models (termed the JLS-factor model) by applying these two models to fit two well-known Chinese stock indices in three bubble periods. The results show that the JLS-factor model with Chinese characteristics successfully depicts the evolutions of bubbles and “antibubbles” and constructs efficient end-of-bubble signals for all bubbles in Chinese stock markets. In addition, the results of standard statistical tests demonstrate the excellent explanatory power of these additive factors and confirm that the new JLS model provides useful improvements over the standard JLS model

区域环境绩效测度及收敛性分析

Combining the characteristics of GM direction distance function, non- radial DEA model and Luenberger productivity indicators, we develop a non-radial global DEA model to measure eco-performance of different regions. Using the data from 1995 to 2011 of 30 provinces, we have calculated the eco-performance and its decomposition index. The results showed that the level of eco-performance at annual growth rate of 1%, where the technical efficiency at annual decrease rate of 0.6% ,technological progress at an annual growth rate of 1.6%. in the Samples study period of eco-performance, technical efficiency and technological progress of the cumulative growth rate of 16.7%, -9.2% and 25.9% respectively. Regional eco-performance and its decomposition index showed a ladder-like distribution, in turn decreases from east to west; Convergence test results show that these is existing four convergence clubs of eco-performance and six divergent individuals. Areas with high eco-performance tend to be converged with higher eco-performance Areas; areas with low eco-performance seem tend to converged with lower eco-performance areas

Exploring the relation between urbanization and residential CO2 emissions in China: a PTR approach

Recent empirical work suggests that urbanization and residential CO2 emissions are related. This paper investigates the nonlinear impact of urbanization on residential CO2 emissions over the period 1997–2011 in China by applying the Candelon et al. (2012) methodology. The results show that the relationship between urbanization and residential CO2 emissions is negative over the sample which is inconsistent with the previous studies. In addition, we find the absolute difference of the estimated coefficients in two regimes of urbanization is significant. Keywords: Panel threshold model, urbanization, residential CO2 emissions

生产要素、FDI、环境污染与中国经济增长源泉——基于BM生产率指数的分解

In this paper,we divide fixed capital stock into domestic fixed capital stock and foreign fixed capital stock (FDI stock), then by consideration of the environmental deletion, we make use of the BM productivity index to decompose the source of economic growth from 1998 to 2011. The findings show that, as a whole, the contribution share of TFP, labor input, domestic capital, FDI and environmental consumption to economic growth was 4.33%, 3.67%, 48.1%, 18% and 25.9% respectively. Regional Statistics found that the area which the largest contributions share TFP of to economic growth was eastern, and the economic growth of central depends on capital than others, and the economic growth of western depends on FDI than others. The results of this paper tell us that ,at present, China’s economic growth is much more depending on capital and there is difference among three areas. The contribution of TFP to economic growth is limited, China’s economic growth has been more exploited environment which is not sustainable. So transforming economic growth mode is inevitable

Exploring the relation between urbanization and residential CO2 emissions in China: a PTR approach

Recent empirical work suggests that urbanization and residential CO2 emissions are related. This paper investigates the nonlinear impact of urbanization on residential CO2 emissions over the period 1997–2011 in China by applying the Candelon et al. (2012) methodology. The results show that the relationship between urbanization and residential CO2 emissions is negative over the sample which is inconsistent with the previous studies. In addition, we find the absolute difference of the estimated coefficients in two regimes of urbanization is significant. Keywords: Panel threshold model, urbanization, residential CO2 emissions

Investor Sentiment and Irrational Speculative Bubble Model

This paper dynamically extends the noise trading model (DSSW model) via describing the limited rational investors’ sentiment more specifically, and using the bipolar sigmoid activation function in the neural network system to depict noise traders’ overreaction to the past changes of fundamental value. And then we construct an irrational speculative bubble model according to some relevant theoretical hypothesis, which can measure the scale of stock market bubbles precisely. Moreover, we also explore the plausible rang of speculative bubbles on the basis of the irrational bubble model. Finally, we can conclude from the results of corresponding simulations that the existence of irrational bubbles in the market is strongly linked to noise traders’ misperceptions and their inherent sentiments during the investment, as well as their overreaction to the historical impacts of fundamental value. Particularly, we find that, under the condition of given simulation parameters, the larger the proportion of noise traders exists in the market, the higher the degree of irrational speculative bubbles is included in the risky assets, and the more violent the fluctuations of stock market bubbles are

Investor Sentiment and Irrational Speculative Bubble Model

This paper dynamically extends the noise trading model (DSSW model) via describing the limited rational investors’ sentiment more specifically, and using the bipolar sigmoid activation function in the neural network system to depict noise traders’ overreaction to the past changes of fundamental value. And then we construct an irrational speculative bubble model according to some relevant theoretical hypothesis, which can measure the scale of stock market bubbles precisely. Moreover, we also explore the plausible rang of speculative bubbles on the basis of the irrational bubble model. Finally, we can conclude from the results of corresponding simulations that the existence of irrational bubbles in the market is strongly linked to noise traders’ misperceptions and their inherent sentiments during the investment, as well as their overreaction to the historical impacts of fundamental value. Particularly, we find that, under the condition of given simulation parameters, the larger the proportion of noise traders exists in the market, the higher the degree of irrational speculative bubbles is included in the risky assets, and the more violent the fluctuations of stock market bubbles are

生产要素、FDI、环境污染与中国经济增长源泉——基于BM生产率指数的分解

In this paper,we divide fixed capital stock into domestic fixed capital stock and foreign fixed capital stock (FDI stock), then by consideration of the environmental deletion, we make use of the BM productivity index to decompose the source of economic growth from 1998 to 2011. The findings show that, as a whole, the contribution share of TFP, labor input, domestic capital, FDI and environmental consumption to economic growth was 4.33%, 3.67%, 48.1%, 18% and 25.9% respectively. Regional Statistics found that the area which the largest contributions share TFP of to economic growth was eastern, and the economic growth of central depends on capital than others, and the economic growth of western depends on FDI than others. The results of this paper tell us that ,at present, China’s economic growth is much more depending on capital and there is difference among three areas. The contribution of TFP to economic growth is limited, China’s economic growth has been more exploited environment which is not sustainable. So transforming economic growth mode is inevitable

基于非径向BML-DEA模型的中国地区工业环境绩效测度

Combining the characteristics of BM direction distance function, non- radial DEA model and Luenberger productivity indicators, we develop a non-radial BML-DEA model to measure Environmental Performance. And by using the panel data of 30 provinces from 1997 to 2011 in China, we measure and analysis the regional industrial eco-efficiency. The results show that the overall growth of industrial Environmental Performance of the region comes mainly from technological progress rather than efficiency improvements, the highest average annual growth rate of areas are Beijing, Shanghai, Jiangsu and Guangdong. The effect from three pollutants on industrial Environmental Performance by descending is SO2, CO2 and Smoker, and the contribution of the three pollutants deal more balanced. There are significant differences among industrial Environmental Performance and its decomposition ingredients in different regions. The growth rate of industrial Environmental Performance in east is significantly higher than other regions, but the growth rate of efficiency is not superior to the center and west, and even slightly lower than the center. Therefore, regions need to enhance the efficiency in using the resources

基于非径向BML-DEA模型的中国地区工业环境绩效测度

Combining the characteristics of BM direction distance function, non- radial DEA model and Luenberger productivity indicators, we develop a non-radial BML-DEA model to measure Environmental Performance. And by using the panel data of 30 provinces from 1997 to 2011 in China, we measure and analysis the regional industrial eco-efficiency. The results show that the overall growth of industrial Environmental Performance of the region comes mainly from technological progress rather than efficiency improvements, the highest average annual growth rate of areas are Beijing, Shanghai, Jiangsu and Guangdong. The effect from three pollutants on industrial Environmental Performance by descending is SO2, CO2 and Smoker, and the contribution of the three pollutants deal more balanced. There are significant differences among industrial Environmental Performance and its decomposition ingredients in different regions. The growth rate of industrial Environmental Performance in east is significantly higher than other regions, but the growth rate of efficiency is not superior to the center and west, and even slightly lower than the center. Therefore, regions need to enhance the efficiency in using the resources