中国股市波动性研究——基于Shiller-Sentana-Wadhwani模型

股票市场的价格波动并非像传统金融学所说得那样围绕公司基本价值进行小幅震荡，常常表现出大幅波动的特征。本文采用基于garch模型作出的Shiller-Sentana-Wadhwani模型对中国股票市场成立十多年的股价波动进行实证研究，得出中国股票市场存在反馈交易且其程度随着股价波动的增大而提高、随着涨跌限制而加大的结论。     

论再生混凝土在生态建筑中的意义

该文从建筑产品物流必须符合生态序要求出发，提出了再生混凝土是生态建筑的发展方向，并对再生混凝土的研究方向提出了建议。     

通过加总推出的总供给曲线

总供给曲线的推导是宏观经济学中的最重要内容之一。在大多数宏观经济模型中 ,在推导总供给曲线时 ,加总问题 (aggregationproblem)往往被忽略。一般认为 ,总供给曲线是各企业供给曲线的简单算术和或是一个代表性企业供给曲线的简单放大。但是 ,在现实中 ,各个企业是不同的。只有在非常严格的条件下 ,总供给曲线与企业供给曲线在性质上才是等价的。考虑到中国经济的制度性特点并在解决加总的一系列技术问题的基础上 ,本文推导出了在企业劳动生产率服从均匀分布情况下的总供给曲线。通过这种方法推出的总供给曲线具有许多传统总供给曲线所不具有的新性质。笔者希望本文能为进一步研究处于微观经济和宏观经济之间的往往被忽视的一块重要领域 (“中观经济领域”)做出贡献。     

Distinguishing external from internal scale effects: The case of public infrastructure

The recent applied production theory literature focusing on the economic performance of firms has increasingly recognized the importance of scale effects on costs and therefore efficiency. These scale effects may include short run returns due to fixity of privately demanded inputs (i.e., capital, long run internal returns to scale, and external factors affecting costs. Since these different types of scale effects can be thought of as shifts in and movements along cost curves, the different cost effects of such factors can be identified in a framework which explicitly takes them into account in the definition ofscale.In this article we formalize such a framework, and then use it to measure short run, long run (internal) and external scale effects from fixity of private capital, nonconstant returns to scale and public infrastructure. We then use these measures to identify the impacts of these different scale factors on productivity growth. The focus on public infrastructure as an important external scale factor is motivated by the current theoretical and policy interest in this issue; we show how a structural production theory model provides a rich basis for the analysis of the cost effects of infrastructure investment.     

Do Institutions Cause Growth?

We revisit the debate over whether political institutions cause economic growth, or whether, alternatively, growth and human capital accumulation lead to institutional improvement. We find that most indicators of institutional quality used to establish the proposition that institutions cause growth are constructed to be conceptually unsuitable for that purpose. We also find that some of the instrumental variable techniques used in the literature are flawed. Basic OLS results, as well as a variety of additional evidence, suggest that (a) human capital is a more basic source of growth than are the institutions, (b) poor countries get out of poverty through good policies, often pursued by dictators, and (c) subsequently improve their political institutions.     

总量均衡区间与宏观调控应确立的若干新原则

现代市场经济条件下,供给方调整其生产规模所需的成本可称为调节成本。由于存在调节成本,传统分析中的“总量均衡中心点”两侧便分别存在着“低位临界点”与“高位临界点”,这两点界定了一个特殊的“总量均衡区间”。“总量均衡区间”的出现对宏观调控将产生诸多重要影响,使之面临一系列新问题、新挑战。为有效应对这种新情况,在宏观调控实践中有必要相应地确立“近似均衡原则”、“适度超前原则”、“临界点原则”、“供给方原则”。     

On the distributional effects of exchange rate fluctuations

How do exchange rate movements affect different sectors of an economy? We address this question in a simple general equilibrium model, stressing the different exposures of various sectors to foreign competition, an aspect ignored in earlier contributions. The impact of exchange rate shifts is highly heterogenous across sectors. While a depreciation leads to a substantial competitiveness and welfare gain for agents with a high exposure to foreign competition, agents facing mostly domestic competition are adversely affected.     

Moments of renewal shot-noise processes and their applications

In this paper, we study the family of renewal shot-noise processes. The Feynmann–Kac formula is obtained based on the piecewise deterministic Markov process theory and the martingale methodology. We then derive the Laplace transforms of the conditional moments and asymptotic moments of the processes. In general, by inverting the Laplace transforms, the asymptotic moments and the first conditional moments can be derived explicitly; however, other conditional moments may need to be estimated numerically. As an example, we develop a very efficient and general algorithm of Monte Carlo exact simulation for estimating the second conditional moments. The results can be then easily transformed to the counterparts of discounted aggregate claims for insurance applications, and we apply the first two conditional moments for the actuarial net premium calculation. Similarly, they can also be applied to credit risk and reliability modelling. Numerical examples with four distribution choices for interarrival times are provided to illustrate how the models can be implemented.     

浅谈高速公路二灰碎石基层施工工艺与质量控制

随着高速公路建设技术的不断创新,二灰碎石技术就以其无可比拟的优势受到了广泛的关注,本文结合二灰碎石技术在高速公路建设过程中的广泛应用进行探讨,对其施工工艺和施工质量进行阐述,希望使读者能够对这种技术有更全面的了解。     

A new look at variation in employment growth in Canada: The role of industry,provincial, national and external factors

We examine fluctuations in employment growth using Canadian data from 1976 to 2010. We consider a wide range of models and examine the sensitivity of our findings to modelling assumptions. The results from our most preferred model, which we selected using the Bayesian Information Criteria, indicate that most of the variance in employment growth that is not due to the idiosyncratic error comes from domestic sources, with most of this coming from industry and provincial factors. Overall, we find that external and national factors play a much smaller role in employment fluctuations than in earlier research. We provide some possible explanations for these differences and discuss the implications of our findings for public policy and theory.