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AbstractFollowing the approach of interpolation, this paper proposes the multiple exponential decay model to fit yield curves for both the U.S. TIPS market and the conventional Treasury security market. Several estimation methods, including the unconstrained/constrained nonlinear minimization, quadratic programming, and the iterative linear least squares, are applied to estimate the unknown parameters according to different curve‐fitting purposes. Comparisons between the proposed model and the alternatives show that the multiple exponential decay successfully (1) adapts to a variety of shapes associated with yield curves, (2) (partially) keeps in line with the economic interpretations of Nelson–Siegel summarized by Diebold and Li (), and (3) dominates the competing models in curve‐fitting performance measured by mean fitted‐price errors over the sample period. In addition, the exact specification of a nonparametric interpolation model is pinned down by applying three statistical tools, which enable us to jointly take into account validity, optimality, and parsimoniousness of the proposed model.

Along with the high growth rate of economy and fast increasing air pollution, clean energy, such as the natural gas, has played an important role in preventing the environment from discharge of greenhouse gases and harmful substances in China. It is very important to accurately forecast the demand of natural gas in China is for the government to formulate energy policies. This paper firstly proposes a combined forecasting model, name GM-S-SIGM-GA model, to forecast the demand of natural gas in China from 2011 to 2017, by constructing the grey model (GM(1,1)) and the self-adapting intelligent grey model (SIGM), respectively ; then, it employs a genetic algorithm to determine the combined weight coefficients between these two models. Finally, using the tendency index (the annual changes of the share of natural gas consumption from the total energy consumption), which completely reveal the annual natural gas consumption share among the market, to successfully adjust the fluctuated changes for each data period. The natural gas demand data from 2002 to 2010 in China are used to model the proposed GM-S-SIGM-GA model, and the data from 2011 to 2017 are used to evaluate the forecasting accuracy. The experimental results demonstrate that the proposed GM-S-SIGM-GA model is superior to other single forecasting models in terms of the mean absolute percentage error (MAPE ; 4.48%), the root mean square error (RMSE ; 11.59), and the mean absolute error (MAE ; 8.41), respectively, and the forecasting performances also receive the statistical significance under 97.5% and 95% confident levels, respectively.

This paper examines the extent of asymmetric effects and the hypothesis of Japanese dominance in East Asian financial integration by analyzing the transmission mechanism to local interest rates from interest rates originating in both Japan and the US. The results support a weak version of the hypothesis in the cases of Malaysia and Taiwan, since there exist unidirectional causality effects from Japan. In addition, empirical evidence indicates that the sensitivity of local interest rates to US interest rate has declined in Korea and Thailand after they abandoned pegged exchange rate regimes in the post-crisis period.

AbstractFrom environmental scanning perspective, this study examines the mediated relationship among organizational slack (OS), open innovation search (IS), and high-tech small and medium enterprises (SMEs) performance. We also propose that this mediated relationship is moderated by organizational risk (OR) and government subsidy (GS). We tested our model by using a sample of 244 high-tech SMEs. Our empirical results indicate that open IS partially mediates the positive relationship between OS and SMEs' performance, and the mediated relationship is strengthened by OR and GS. These findings offer important implications for both SMEs and government to effectively promote firm performance.