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| 1 | Dynamic connectedness between stock markets in the presence of the COVID‑19 pandemic:does economic policy uncertainty matter?显示文摘This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty(EPU)in eight countries where COVID-19 was most widespread(China,Italy,France,Germany,Spain,Russia,the US,and the UK)by implementing the time-varying VAR(TVP-VAR)model for daily data over the period spanning from 01/01/2015 to 05/18/2020.Results showed that stock markets were highly connected during the entire period,but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020.Moreover,we found that the European stock markets(except Italy)transmitted more spillovers to all other stock markets than they received,primarily during the COVID-19 outbreak.Further analysis using a nonlinear framework showed that the dynamic connectedness was more pronounced for negative than for positive returns.Also,findings showed that the direction of the EPU effect on net connectedness changed during the pandemic onset,indicating that information spillovers from a given market may signal either good or bad news for other markets,depending on the prevailing economic situation.These results have important implications for individual investors,portfolio managers,policymakers,investment banks,and central banks. | Manel Youssef Khaled Mokni Ahdi Noomen Ajmi | 2021 | Financial Innovation2021，7，1： | 2 |
| 2 | 安全视角下煤矿物流系统生产效率协整研究显示文摘与发达国家相比,我国煤矿物流系统安全生产水平仍然比较落后,安全问题严重影响到煤矿的生产效率。基于1995-2011年我国煤炭安全事故与生产效率相关数据,对安全与生产效率进行界定并量化后,运用ADF检验、Johansen协整检验、Granger因果关系检验和VECM对煤矿物流系统安全与生产效率的关系进行了研究。通过研究发现:在长期均衡下,煤炭物流系统属于安全依赖型系统;在短期内,生产效率自身存在潜在的滞后期影响,而安全投入则可以采取分步骤、分时期的政策应对安全对生产效率的短期波动影响。 | 王金凤 王俊淇 冯立杰 | 2014 | 矿业研究与开发2014，34，3： | 0 |
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