Spanning with American options

In this paper, we investigate the existence of multiperiod American options generating dynamically complete markets. We show that if a primitive security separates states at the terminal date, then generically there exist multiperiod American options on that security generating dynamically complete markets. We also provide an example of an economy in which multiperiod American options on a primitive security generate dynamically complete markets, while multiperiod European options do not.     

人民币均衡实际汇率及错位程度的测算研究:1960～2005

在比较各种均衡汇率理论优缺点的基础上,本文基于均衡实际汇率理论,应用多种计量经济方法实证分析了1960~2005年期间的人民币实际有效汇率,估计出人民币均衡实际汇率,进而测算了人民币名义汇率和实际有效汇率错位情况。研究结果表明,从名义汇率错位情况来看,1994年及以前的名义汇率都是高估的,1995年及以后的名义汇率是低估的。从实际有效汇率错位情况来看,1960~2005年人民币实际有效汇率出现了两阶段低估、三阶段高估情况。     

新凯因斯DSGE模型与货币政策法则之汇率动态分析

对于小型开放经济而言,当经济存在价格僵硬的情况下,中央银行在面对不同冲击发生时,各政策法则执行对汇率波动的影响及动态调整过程差异较大。从中国台湾地区的情况为案例来看,在稳定汇率波动方面:当国内技术冲击时,货币法则优于利率法则;当国外通货膨胀时,利率法则优于货币法则;当国外利率冲击时,执行利率法则或货币法则,其结果无显著差异。在汇率动态调整方面:当国外利率调升时,中央银行执行利率法则与货币法则下,汇率的瞬时反应为过度贬值;当国外物价膨胀时,执行利率法则与货币法则下,汇率的瞬时反应表现为立即升值;当国内技术进步冲击时,因为国外冲击对小型开放经济体系影响力道较强,使得国内技术进度对体系的影响相对较小,其中在利率法则下,汇率微幅贬值,而在货币法则下,汇率微幅升值。     

试论我国经常项目均衡管理的基本思路及实现机制

经常项目外汇均衡管理机制的构建是我国实现外汇均衡管理的一个重要组成部分。由于经常项目均衡在国际收支均衡中的基础性作用,在现阶段人民币资本项目尚未完全可兑换情况下,这种机制构造既有迫切性更有挑战性。本文比较系统地探讨了我国经常项目外汇均衡管理思路及实现机制设想,旨在对现行经常项目外汇管理制度扬弃的基础上,以总量风险管理与均衡管理为视角,探索人民币可兑换进程中外汇监管有效性与经营便利性相统一的经常项目外汇均衡管理的机制,以期对我国经常项目外汇管理的体制转型实现我国经常项目乃至我国国际收支的可维持性起到积极促进作用。     

On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin

Analytic evaluation of the deficit at the time of ruin is shown to be simplified when the residual equilibrium density function associated with the claim size distribution has a certain property. This result is used to show that the conditional distribution of the deficit is a mixture of Erlangs (gamma with integer shape parameters) if the same is true of the claim size distribution. This unifies and generalizes previous results involving combinations of exponentials and a particular Erlang distribution. Extensions are then discussed.     

The computable general equilibrium analysis of the reduction in tariffs and non-tariff measures within the Korea-Japan-European Union free trade agreement

The trilateral Korea-Japan-EU FTA with the removal of tariffs can contribute to the increase GDPs of Korea, Japan, and the EU. The reduction of NTMs gives more benefits from the Korea-Japan-EU FTA. In particular, trilateral Korea-Japan-EU FTA with the reduction of both import tariffs and NTMs can give the larger increases in Korea, Japan and the EU’s GDPs, exports, and imports. Furthermore, the Korea-Japan-EU FTA also provides the positive welfare effects to all participating countries such as Korea, Japan the EU. And it can also contribute to increase the whole world’s welfare level. Thus, the Korea-Japan-EU FTA will be a win-win FTA strategy not only to Korea, Japan, and EU but also to the global world.     

A global game with strategic substitutes and complements: Comment

In Karp et al. (2007), an argument is made to show existence of Bayesian–Nash equilibrium in global games that may include both strategic substitutes and complements. This note documents a gap in the proof of that statement.     

Macroeconomic implications of voucher privatization in a model with incomplete information

Voucher privatization implies a significant wealth transfer from state to private agents who, in turn, would increase consumption. This paper investigates the consequences of this wealth effect on the macroeconomic equilibrium in a high unemployment economy. The model builds on a two-stage sequential game between the government and private agents. We verify the existence of a pooling equilibrium in which private agents cannot guess whether a policy of fast privatization will be continued in the future or not. This configuration presents an endogenous probability of privatization slowdown; as a consequence, the wealth effect is moderated and the genuine fast privatizer government bears an “undue” credibility cost in terms of employment     

Marshall on equilibrium and time: a reconstruction

This paper's aim is to offer a reconstruction of the Marshallian conception of equilibrium and time. Its main features are as follows. First, I argue that the hallmark of this conception is to posit an interrelationship between two equilibrium concepts — market-day and normal equilibrium. I claim that they are part and parcel and cannot be analysed separately. Second, my reconstruction gives a central role to the market period. Third, I argue that the so-called short and long-period equilibrium concepts refer to the same unique concept of normal equilibrium. Fourth, I argue that Marshall’s value theory admits the effective existence of disequilibrium states. A Marshallian disequilibrium refers to cases where market-day and normal values fail to coincide, this state of affairs going along, however, with market clearing. I also propose an alternative interpretation of Marshall's corn model wherein perfect information is considered the linchpin of achieving equilibrium. Finally, I argue that my reconstruction avoids a series of interpretative pitfalls.     

Application fee manipulations in matching markets

In some well-known hospital–intern type of matching markets, hospitals impose mandatory application fees on internship applicants to consider their applications. Motivated by this real-life phenomenon, we study the application fee overreporting incentives of hospitals in centralized matching markets by assuming that interns have finite budgets to spend on such fees. Our main theorem shows that no stable mechanism is immune to application fee manipulations. Interestingly, under any stable rule, hospitals might not only obtain better matchings but also increase their application fee revenues through overreporting their application fees. In the restricted domains in which either side has homogeneous preferences or each hospital has only one available position, every stable mechanism turns out to be immune to application fee overreportings.