Investment Horizon and Composition of Optimal Portofolio: International Evidence

Little attention has been paid in the literature to the impact of different investment horizons on the portfolio compositiondespite its importance to portfolio managers. One exception isthe study by Gunthorpe and Levy (1994) on the U.S. stock market.Our paper extends the same study to the stock markets of Japan,Hong Kong and Korea. Using 40 individual stocks in each market,our results support those of Gunthorpe and Levy (1994) in thatthe composition of an optimal portfolio depends heavily on theinvestment horizon. When the investment horizon lengthens, theproportion of defensive stocks becomes larger while that ofaggressive stocks becomes smaller.     

Testing for Vertical Fiscal Externalities

The purpose of this paper is to design a test of whether the vertical external effects associated with tax base sharing among local and regional governments have become internalized via the intergovernmental transfer system. Such tests are important in the sense that the income tax rates chosen by different levels of government will generally be correlated, even if the resource allocation is optimal from society's point of view. By using panel data for the Swedish local and regional public sectors, the results imply that an increase in the regional income tax rate induces the municipalities in the region to decrease their income tax rates. In addition, we are able to reject the null hypothesis that the vertical external effects have become internalized.     

Evidence on the efficacy of interest-rate risk disclosures by commercial banks

This paper documents evidence on the efficacy of maturity-gap disclosures of commercial banks in indicating their net interest income that is exposed to interest-rate risk. For the large sample of banks that filed call reports from 1990 to 1997, a period that includes a wide range of interest rate movements, we find that (i) one-year maturity gap measures are significantly related to the one-year- and three-years-ahead change in net interest income, (ii) fixed-rate and variable-rate instruments differ in explanatory ability, and (iii) the one-to-five-year aggregate gap measures also have some power in explaining three-year-ahead changes in net interest income. These findings hold after controlling for the ex post growth in assets as well as the amount of rate-sensitive assets and liabilities (a competing set of explanatory variables). Because the Securities and Exchange Commission (SEC)'s [Securities and Exchange Commission (SEC), (1997). Disclosure of accounting policies for derivative financial instruments and derivative commodity instruments and disclosure of qualitative and quantitative information about market risk inherent in derivative financial instruments, other financial instruments, and derivative commodity instruments. Release Nos. 33-7386; 3438223; IC-22487; FR-48; International Series No. 1047; File No. S7-35-95 (January 31, 1997), Washington, DC] tabular disclosures are finer than maturity-gap data, our findings mitigate concerns about the usefulness of the SEC's market-risk-disclosure requirements. Furthermore, they suggest contrary to the claims of certain banks that the omission of prepayment and early withdrawal risk from gap measures does not totally compromise the ability of gap data to indicate interest-risk exposures.     

U.S. Monetary Regimes and Optimal Monetary Policy in the Euro Area

Monetary policy in the United States has been documented to have switched from reacting weakly to inflation fluctuations during the 1970s, to fighting inflation aggressively from the early 1980s onward. In this paper, I analyze the impact of the U.S. monetary policy regime switches on the Eurozone. I construct a New Keynesian two‐country model where foreign (U.S.) monetary policy switches regimes over time. I estimate the model for the U.S. and the Euro Area using quarterly data and find that the United States has switched between those two regimes, in line with existing evidence. I show that foreign regime switches affect home (Eurozone) inflation and output volatility and their responses to shocks, substantially, as long as the home central bank commits to a time‐invariant interest rate rule reacting to domestic conditions only. Optimal policy in the home country instead requires that the home central bank reacts strongly to domestic producer‐price inflation and to international variables, such as imported goods relative prices. In fact, I show that currency misalignments and relative prices play a crucial role in the transmission of foreign monetary policy regime switches internationally. Interestingly, I show that only marginal gains arise for the Euro Area when the European Central Bank (ECB) adjusts its policy according to the monetary regime in the United States. Thus, a simple time‐invariant monetary policy rule with a strong reaction to Producer Price Index (PPI) inflation and relative prices is enough to counteract the effects of monetary policy switches in the United States.     

广西中期工业化纵深发展的战略思考

2011年,广西经济总量突破万亿,进入中期工业化阶段。接下来广西应该走怎样的工业化道路,是需要认真思考的问题。文章通过构建TCI指数,指出广西目前的重型化工业道路是一条不能实现经济可持续发展的道路。广西的工业发展需要走一条最优工业化道路,即按照广西的要素禀赋结构,选择最优工业技术水平,使企业具有自生能力,以最快的速度实现资本积累、技术进步和产业升级。     

IT外包的投资、再谈判机制分析

本文从IT承包商(vendor)和客户(client)的角度考虑去设计最优契约。由于客户方的需要,或者是由于契约的不完全性导致契约经常需要再谈判,而且由于契约修改后的执行问题也可能引起法律诉讼,因此对于如何决定事前的投资、谈判利润分配和契约诉讼的赔偿都是一系列要解决的问题,本文正是根据这些问题的提出而逐步展开的。     

供给侧改革背景下我国城市建设用地最优规模分析

本文基于边际等值原理，综合城市经济效益、社会效益、环境效益以及建设效益，构建多因子城市建设用地最优规模决策模型，并结合我国城市建设用地供给实际进行分析。结果显示：2001～2015年，我国城市发展经历了从建设用地短缺到最优及至过剩的过程，对建设用地增长的强依赖逐渐转变为弱依赖。城市建设用地增长与边际建设效益弱相关；与边际经济效益之间呈库兹涅茨倒U型曲线关系；与边际社会效益呈正相关、边际环境效益呈负相关。目前我国城市建设用地已经达到最优规模，其中建设用地供给与经济发展失调，是导致净效益下降的主要动因。     

REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING

In this paper, we examine irreversible investment decisions in duopoly games with a variable economic climate. Integrating timing flexibility, competition, and changes in the economic environment in the form of a cash flow process with regime switching, the problem is formulated as a stopping‐time game under Stackelberg leader‐follower competition, in which both players determine their respective optimal market entry time. By extending the variational inequality approach, we solve for the free boundaries and obtain optimal investment strategies for each player. Despite the lack of regularity in the leader's obstacle and the cash flow regime uncertainty, the regime‐dependent optimal policies for both the leader and the follower are obtained. In addition, we perform comprehensive numerical experiments to demonstrate the properties of solutions and to gain insights into the implications of regime switching.     

Regulation of relationships between heterogeneous farmers and an aquifer accounting for lag effects

Many environmental problems are due to damage caused by pollutants that accumulate with a time lag following their emission. In this study, we focus on nitrates used in agriculture, which can pollute groundwater many years after their initial application. A dynamic optimal control problem with heterogeneous farmers is proposed. The usual structural parameters such as the discount rate, the natural clearing rate and the lagged time interval between the occurrence of soil‐level pollution and the impact on groundwater are taken into account. We also examine pollution as caused by a continuous set of farms characterised by their individual performance index and by their individual marginal contribution to the pollution. The issue is further investigated by taking account of change in the information context, successively related to perfect information and to asymmetric information. As a result, when the delay between the spreading of N‐fertilizer and the impact on the aquifer increases, that is, the longer the lag, the steady‐state pollution stock and the steady‐state shadow price of the stock both increase. Moreover, we show that the optimal regulation may require a decreasing amount of fertilizer over time, even in the case of initial underpollution.     

特许权价值、最优关闭策略和存款保险定价

随着存款保险制度的推出以及金融机构退出机制的完善，国家声誉将逐渐退出银行无形资本。在激励相容的金融监管趋势下，特许权价值等市场约束力量会显著影响到商业银行的风险承担。在此逻辑基础上，以我国16家上市商业银行为研究对象，一方面探讨特许权价值影响下不同产权结构的商业银行的最优救助机制，另一方面通过最优救助临界指标，利用银行重组模型，推导合理的存款保险风险差别费率。