Asset price volatility in a nonconvex general equilibrium model

Summary. Asset prices and returns are known to vary significantly more than␣output or aggregate consumption growth, and an order of magnitude in excess of what is justified by innovations to fundamentals. We study excess price volatility in a lifecycle economy with two assets (claims on capital and␣a public debt bubble), heterogeneous agents, and increasing returns to financial intermediation. We show that a relatively modest nonconvexity generates a set valued equilibrium correspondence in asset prices, with two␣stable branches. Price volatility is the outcome of an equilibrium selection mechanism, which mixes adaptive learning with “noise”, and alternates stochastically between the two stable branches of the price correspondence. Received: March 19, 1998; revised version: June 2, 1998     

科研机构转制清产核资实务操作研究

转制科研单位的清产核资是一项政策性、系统性很强的工作,其复杂程度也高于一般的日常清产核资。同时,转制清产核资能否规范操作,不仅关系到国有资产是否流失,同时也关系到转制单位集体和职工的合法利益。依据国家现行的有关转制政策,对转制清产核资实施过程中有关财产清查、产权界定、价值重评(或资产评估)以及资本金核定等环节的实施程序、方法和标准,如何进行规范性操作进行了探索。     

Social responsibility,moral hazard,and collateral requirement: Evidence from a quasi-natural experiment in India

The stakeholder theory predicts that corporate social responsibility (CSR) activities reduce the morale hazard problem between creditors and corporate firms and decrease the requirement of collaterals in debt transactions. Consistent with this theory, our analysis shows that there is a negative relationship between CSR and secured debt in a cross-section of firms. Further, by using the mandatory CSR regulation implemented in India as a quasi-natural experiment setting, we observe the same negative relationship across periods in firms that were impacted by the regulation. These results suggest that CSR activities may substitute collaterals for obtaining debt from financial institutions, especially banks.     

定向降准的传导机制与传导效果研究

本文建立异质性的商业银行效用函数模型与网络结构模型，分析定向降准资金在不同类型商业银行和不同行业贷款中的传导机制，并使用因子增广向量自回归模型检验了十四轮定向降准货币政策的传导效果。结果显示：定向降准货币政策的资金传导存在着堵点。虽然释放的流动性可以增加商业银行的贷款规模和整体收益，但是在追求最大化与流动性约束的前提下，较多资金进入了收益更高的房地产业与金融业，农村金融机构并未成为农业贷款的主力军。政策建议是：严格审核商业银行申请定向降准资金的用途，防范逆向选择；严格审核定向降准资金的流向，防范道德风险；给予更多的政策支持，引导资金顺利进入农村金融机构和农业贷款领域，更好地发挥定向降准支持农业发展与促进内循环发展的作用。