西方资产定价理论中的实体经济因素考察——以CAPM模型与B-S期权定价模型为例

本文根据马克思主义经济学有关实体经济因素决定虚拟资本价格的基本原理,分析和评价了CAPM与B-S模型;认为CAPM模型的建模思路存在重大错误;同时还发现,利息率是虚拟资本价格决定中与实体经济连接的重要桥梁,但在虚拟资本价格决定中,仅有利息率一个指标并不能充分反映实体经济的决定作用;本文还因B-S模型建模思路充分考虑了实体经济因素,而从马克思主义经济学角度给予客观评价。     

金融中介理论述评

随着博弈论、信息经济学和交易成本经济学等经济理论的发展,金融学家陆续提出了一些关于金融中介存在的理论和模型,形成相对独立的金融中介理论。本文在对西方各主要代表性学说进行简要综述的基础上,结合金融体系的最新发展变化对金融中介理论进行比较与评析。     

金融中介理论综述及评析

随着博弈论、信息经济学和交易成本经济学等经济理论的发展,金融学家陆续提出了一些关于金融中介存在的理论和模型,形成相对独立的金融中介理论。本文在对西方各主要代表性学说进行简要综述的基础上,结合金融体系的最新发展变化对金融中介理论进行比较与评析。     

战略理论新发展:交易成本理论视角下的战略理论--兼对资源基础战略理论的批判

资源基础战略理论经济学分析基础是自由竞争市场均衡模型，其对交易成本的漠视给战略理论的发展带来诸多的限制。现实战略实施环境中存在交易成本是企业战略存在的基础，也是交易成本理论运用到战略理论的切入点。交易成本的引入提高了战略理论的解释力与说服力，这集中体现在对持续竞争优势分析模型与战略三过程（价值创造、价值保护、价值分割）模式的修正与拓展上。     

基于证券市场买卖价差存货模型的介绍

Demsetz(1968)的《交易成本》一文奠定了买卖价差理论的基础,随着《交易成本》的发表,越来越多的学者投身到研究做市商的报价行为上来,根据研究思路的不同,金融市场微观结构理论的发展可分存货模型和信息模型两个阶段。对买卖价差及期货市场流动性理论的介绍,有利于奠定文章实证研究的理论基础。     

略论空间财政的研究对象与研究范式

本文探讨了"空间财政"的一般性问题。在以蒂布特模型为范例的研究范式分析中,系统梳理了新旧两种范式在体现财政行为空间属性特征、对待市场和辖区边界限制、处理迁移成本上的异同。在此基础上,结合"冰山运输成本"在空间经济学理论范式下对市场边界的刻画作用,通过定义财政行为的空间交易成本,探索了地方财政理论建模的新路径。最后,从理论研究与实证研究相契合的角度,探讨了空间财政研究的未来实践与应用问题。     

经济学成本观探讨

成本问题一直是经济学研究的核心问题.从古典经济学主要探讨生产成本到新制度经济学主要探讨交易成本,从人本经济学主要探讨生命成本到行为经济学主要探讨心智成本,这些不同的成本理论从不同的视角论述了经济学关于稀缺资源有效利用和合理配置问题.成本理论的发展表明经济学从受环境约束的全能的决策者发展到受心智约束的现实的决策者,使经济学成为人的科学,人真正成为经济学的主体.这是经济学对人类价值观的回归,也是经济学人本主义精神的具体表现.     

从交易成本的争议到契约理论的深化 --新制度经济学企业理论发展述评

从交易成本的争议入手过渡到新制度经济学建立在交易成本分析基础之上的企业的契约理论的形成是本文的核心。在对该理论的研究成就和发展历程考察的基础上，对该理论存在的主要问题与不足给予了深入的分析。     

从交易成本视角研究政府采购电子化

政府采购支出在政府公共支出中占相当大的比重,通过降低政府采购成本,可以节省公共开支,提高财政资金的使用效率,实现政府采购的目标。因此,研究政府采购成本控制对促进政府采购事业的发展、完善我国财政支出管理具有积极意义。交易成本作为制度经济学的重要概念,被广泛应用。本文应用交易成本理论、委托代理理论等经济学理论,研究了政府采购电子化对降低政府采购中的交易成本的作用。通过电子化政府采购,能够降低交易成本、规范采购行为,保障政府采购过程的公平竞争、公开透明和公正。     

中国区域金融差异对经济发展的影响——基于空间经济学FC模型的实证分析

中国区域经济发展不平衡,很大程度上是由于金融发展水平存在差异性。结合空间经济学非对称FC模型的理论,构建区域金融差异影响的实证模型,并用面板数据模型进行检验,从一个新的视角来分析区域金融差异对经济发展的影响。结论表明,东部和西部区域金融发展对区域经济发展的影响具有积极的推动作用,中部区域金融水平的影响不显著。交易成本的降低将促使东部地区经济发展,却会使得中西部地区的经济出现衰退现象。另外,劳动力要素、政府政策支持和科研技术水平的提高也是推动我国经济发展的主要动力。     

Changes in the institutional environment and the institutions of governance: extending the contributions of transaction cost economics within the management control literature

Transaction cost economics (TCE) has been proposed as a useful approach for examining management control (MC) issues. The purpose of this paper is to explore the articulation of TCE and MC through the use of the work of early institutional economist John R. Commons. In keeping with Commons’ work, we incorporate institutional change as important to considerations of the viability of alternative forms of governance including various management control practices. Also consistent with Commons’ work, our paper elaborates upon the significance of the concepts of “asset specificity” and “opportunism” through an illustrative analysis of contemporary efforts to de-regulate the utilities industry in the State of California, and the related role of Enron Corporation in those de-regulatory efforts. This context provides a rich backdrop to highlight the joint articulation of TCE and MC issues.     

Bivariate Survival Models for Coupled Lives

This article presents alternative models for modeling the dependence of the time of deaths of coupled lives and applies these to a data set from a life annuity portfolio. The data indicates a very high positive correlation in the time of deaths between coupled lives. The analysis concludes that a mixed frailty copula model with Gompertz marginals fits the data very well. Another model that fits the data well is based on a generalized Frank copula.     

Models,simulation and convergence in the polity: An essay

The essay sets out to illustrate humanity’s dependence on the ubiquity of modelling and simulation. As such, the essay raises issues that are inherent in modelling and simulation now and others that are likely to in the future. The emphasis will be on the ubiquity of modelling and simulation, and not on any instance of its practice. It does not describe the outcome of a particular research project but describes situations that are likely to face modelling and simulation as the polity searches for guidance, no more, on the degree of relevance, reasonableness and robustness modelling, and simulation may offer on the conduct of life in a world now showing signs of overcrowding. The polity often assumes that modelling and simulation represent reality more closely than they actually do leading to important differences between the real world occupied by all life on Earth and the world portrayed by models and simulations. The rapid advance of computer power has led to increasingly complicated models whatever their form. The boundary between complication and complexity is fuzzy, but once crossed the guidance sought from modelling and simulation becomes increasingly opaque. Complexity involves dynamic interactions (situations) between six themes (social, technology, economics, ecology, politics and values/norms (the STEEPV acronym)) creating the notion of convergence related to situations. The essay makes reference to convergence of nanotechnology, biotechnology, information technology and cognitive sciences (NBIC) that has led to ideas of improving human performance. In reality NBIC is not about nanotechnology, which is not a unified field, but about the convergence of many threads of science, technology and engineering, and society. Models and simulations have played such an extraordinary but largely unnoticed part in this convergence that they may be regarded as the convergence and that its progress depends upon them. Perhaps there are no better examples than the penetration of mathematics and computable models into biology and living systems. If human performance can be improved its genesis will lie there providing the real world allows convergence in desirable ways rather than expecting the natural world to become obedient to computable, partial models.     

基于Copula函数的保险公司经济资本配置研究

经济资本的度量及配置是风险管理的核心内容。本文利用Copula函数构建保险公司总体风险的联合分布函数,结合TCE方法来度量保险公司经济资本,并利用动态规划方法对经济资本最优配置模型求解。最后结合中国人民财产保险股份有限公司的数据进行实证。通过研究发现,我国财险公司内部偿付能力状况较好,但险种结构有待优化。     

假冒伪劣治理的经济博弈分析

对假冒伪劣的治理是我国经济体制转轨中一个令人关切的问题.假冒伪劣商品严重威胁着消费者的健康和生命安全,已成为社会经济肌体上的毒瘤.本文通过构造博弈模型,分析了其存在根源,进而得出从多方面综合整治的对策.     

Mental models and social representations of hazards: the significance of identity processes

This article examines the social influence processes that underpin the development of individual mental models of hazards and analyses the role that identity processes play in determining the nature and plasticity of the representations of risk that an individual will employ. It outlines the nature of the mental models approach (Morgan, Fischhoff, Bostrom and Atman, in press) to developing interventions in risk communication. It describes how social representations theory (Moscovici, 1988) can be used to account for the genesis and maintenance of a mental model of a hazard. In doing so, it is argued that mental models of hazards are social constructions, serving identifiable social purposes for the subculture in which they are elaborated, and that they are generally shared by the members of that subculture. However, within a group or subculture, there will be some individual variation in access to and use of a mental model of a hazard. It is suggested here that these variations are largely predictable on the basis of identity processes (Breakwell, in press). The implications of this analysis for risk communication strategies is explored.     

Factor Copula Approaches for Assessing Spatially Dependent High-Dimensional Risks

In this article, we propose an innovative approach for modeling spatial dependence among losses from various geographical locations. The proposed model converts the challenging task of modeling complex spatial dependence structures into a relatively easier task of estimating a continuous function, of which the arguments can be the coordinates of the locations. The approach is based on factor copula models, which can capture various linear and nonlinear dependence. We use radial basis functions as the kernel smoother for estimating the key function that models all the spatial dependence structures. A case study on a thunderstorm wind loss dataset demonstrates the analysis and the usefulness of the proposed approach. Extensions to spatiotemporal models and to models for discrete data are briefly introduced, with an example given for modeling loss frequency with excess zeros.     

A Revised Lesson for Accounting Measurement from Transaction Cost Economics

This paper disputes the view, put forward in an earlier issue of Australian Accounting Review, that transaction cost economics (TCE) shows that market values of assets are not appropriate in balance sheets and that the usefulness of balance sheets is therefore diminished. This view ignores the role of production costs, complexity and contracting costs in asset-ownership decisions, which reflect various incentives, including a trade-off between production costs and transaction governance costs. In fact, TCE theory lends some support to the provision of market values.     

Analysing long memory and asymmetries

The paper presents evidence on nonlinearities in Finnish financial time series. The analysis concentrates on the so-called long-memory property which is examined using, various alternative test procedures. This analysis makes use of relatively long monthly Finnish time series which cover the period 1922–1996. The results give some evidence on long memory but one cannot say that the results would overwhelmingly support the existence of long memory in Finnish time series. There are, however, considerable differences between variables and the results are quite sensitive in terms of the treatment of short memory which also applies to different ways of prefiltering the data. Clearly more work is required to obtain more affirmative results in this respect. One way, of doing that is to apply asymmetric time models to find the source of nonlinearity. When that is done with the Finnish data some weak evidence on asymmetry is obtained.     

Estimation of zero-intelligence models by L1 data

A unit volume zero-intelligence (ZI) model is defined and the distribution of its L1 process is recursively described. Further, a generalized ZI model allowing non-unit market orders, shifts of quotes and general in-spread events is proposed and a formula for the conditional distribution of its quotes is given, together with a formula for price impact. For both the models, MLE estimators are formulated and shown to be consistent and asymptotically normal. Consequently, the estimators are applied to data of six US stocks from nine electronic markets. It is found that more complex variants of the models, despite being significant, do not give considerably better predictions than their simple versions with constant intensities.