非线性动态投入产出模型与最大均衡增长率

投入产出模型是研究国民经济各生产部门在再生产过程中数量依存关系以及比例关系的有力工具。至今为止,大多数文献中研究的都是线性静态投入产出模型,有关动态投入产出模型的结果甚少。本文首先提出一种非线性动态投入产出模型,然后利用非线性泛函分析中有限维空间上的拓扑变理论,证明了该模型均衡解的存在性,并给出了在国民经济各部门按比例均衡增长的情况下,国民经济最大均衡增长率的定量估计式。     

我国房地产价格均衡分析及保障机制

经过一个轮回，我们对房地产的关注又一次超乎寻常，不只是因为它对国民经济的拉动和贡献，也因为在进入21世纪，尤其是2004年之后，房地产价格不断以较高的幅度增长，不断刷新城市房地产价格的记录。这样的价格增长是否是一种经济发展中的正常现象？在长期巨大潜在需求的推动下，是否仍然行驶在相对均衡的轨道上？是否在满足效率的基础上，能够保证社会福利的合理分配？这都指向一个问题：房地产的价格均衡。     

开放经济中内生增长的不确定性及其经济学分析

本文将Mino(2001)的两部门内生增长模型推广到开放经济系统中，同时引入资本投资的调整成本，证明了若最终产品部门的社会生产相对新人力资本部门而言是物质资本密集型，而私人生产是人力资本密集型，经济增长具有局部不确定性。本文进一步分析不确定性条件下经济的资源配置和价格动态，提供增长不确定性产生的经济解释。     

基于伯川德推测变差的有限理性动态寡头博弈的复杂性

本文在具有伯川德推测变差的推测变差模型的基础上,引入参与人的基本有限理性的动态产量调整行为,构建出动态调整系统,论证了企业调整速度在稳定域内时,静态伯川德推测变差均衡仍可作为稳定的动态均衡而实现。并用数值仿真的方法说明了当企业的产量调整速度不在稳定域内时,经济系统将会出现倍周期分岔或混沌等复杂动态。     

基于复杂系统理论的自适应供应链系统研究

供应链管理作为企业在复杂竞争环境中创造核心竞争能力的一种行为,具有结构、环境、行为等方面的动态、开放、突现等非线性特点,是典型的复杂系统。在分析供应链复杂性基础上提出了供应链适应能力的概念,并对供应链适应能力的驱动力进行分析,基于复杂系统理论建立了自适应供应链系统模型,以期为供应链企业的策略调整提供一种动态的方法。     

关于人力资本的一个动态内生增长模型的研究

文章研究一个关于人力资本修正的闲暇、劳动供给时间的内生增长模型,在经济系统的动态均衡路径上,依据Arrw＇sTheorem判断该模型存在均衡解,并实际证明该模型存在唯一均衡解,依据Tumovsky的研究作为基准参数,实际求得均衡解,应用Matlab软件模拟经济系统中的劳动供给时间、闲暇和消费关于实物资本K的进行弹性分析,发现经过人力资本修正的模型提高了劳动供给时间关于实物资本的替代弹性。     

关于人力资本的-个动态内生增长模型的研究

文章研究一个关于人力资本修正的闲暇、劳动供给时间的内生增长模型,在经济系统的动态均衡路径上,依据Arrw's Theorem判断该模型存在均衡解,并实际证明该模型存在唯一均衡解,依据Turnovsky的研究作为基准参数,实际求得均衡解,应用Matlab软件模拟经济系统中的劳动供给时间、闲暇和消费关于实物资本K的进行弹性分析,发现经过人力资本修正的模型提高了劳动供给时间关于实物资本的替代弹性.     

中国财政失衡的动态调整特征研究

本文借助格兰杰因果关系检验和区制转移向量误差修正模型研究中国财政失衡的动态调整特征。结果表明,中国财政政策具有可持续性,财政调整符合“同步”假说;中国财政调整存在明显的非线性特征,不同区制下财政调整速度存在明显差异,改革开放后呈现“弱调整”,财政由非均衡向均衡状态回归的速度和力度明显减弱,财政失衡状态的持续期更长。虽然近年来中国财政支出和财政收入的波动似乎有所减少,但非均衡误差波动却呈现扩大态势;与财政收入相比,财政支出的调整作用更强,此种财政调整模式对经济增长有利。中国财政非线性调整特征可从政府反应行为和市场化改革等方面进行解释。     

传化股份动态定价决策系统的设计

在我国推动管理会计发展的背景下,为使定价决策更加科学化、合理化和实时化,由杭州电子科技大学会计学院和传化集团共同组建的项目组提出并建立了动态定价系统.该系统主要根据传化股份原材料价格变化、顾客相关信息变化以及市场需求变动等因素进行产品销售价格的动态调整,综合了公司原有的成本传导系统和客户价值贡献系统.动态定价系统的内容包括定价流程设计、弹性计算、定价策略制定、定价模型和定价系统设计.     

基于系统动力学的供应商管理库存仿真模型研究

由于供应商管理库存系统是高阶次、非线性、多重反馈的复杂大系统,用传统线性系统的理论和方法难以描述。文中在分析供应商管理库存模式的基础上,论述了基于供应商管理库存系统所涉及的关键因素,通过因果关系分析,构建了基于供应商管理库存策略的供应链动态仿真模型。通过调整本模型中的参数,可从灵敏度和瓶颈环节两个方面对模型进行分析和优化,使企业能在整个供应链管理战略实施前进行仿真实验,为企业制定库存决策提供辅助和参考。     

基于信息不对称房价博弈模型的优化均衡研究

目前我国住宅市场存在严重的信息不对称,如何进行规制引起多方关注。首先利用房价博弈模型研究我国住宅市场信息不对称下的非理性均衡和精炼优化的序贯均衡,进而探求政府对市场房价经济优化规制后的理性序贯均衡,以此提出政府对住宅产业的规制方式和对策建议。     

货币供应量对价格体系的传导效应分析

货币作为中间目标变量存在于经济生活中的任何一部分。国民经济的健康运转离不开货币,而货币政策作为重要工具在宏观经济调控中起着举足轻重的作用。本文选用2004年1月-2014年3月货币供应量与价格指数的季度时间序列数据,通过非线性平滑转换模型,实证研究了货币供应量与价格体系之间的动态关系,得出我国货币供应量对价格体系具有较强的传导效应。在基于以上研究结果的基础上对我国货币政策提出了相关的政策建议。     

Asset price and wealth dynamics in a financial market with heterogeneous agents

This paper considers a discrete-time model of a financial market with one risky asset and one risk-free asset, where the asset price and wealth dynamics are determined by the interaction of two groups of agents, fundamentalists and chartists. In each period each group allocates its wealth between the risky asset and the safe asset according to myopic expected utility maximization, but the two groups have heterogeneous beliefs about the price change over the next period: the chartists are trend extrapolators, while the fundamentalists expect that the price will return to the fundamental. We assume that investors’ optimal demand for the risky asset depends on wealth, as a result of CRRA utility. A market maker is assumed to adjust the market price at the end of each trading period, based on excess demand and on changes of the underlying reference price. The model results in a nonlinear discrete-time dynamical system, with growing price and wealth processes, but it is reduced to a stationary system in terms of asset returns and wealth shares of the two groups. It is shown that the long-run market dynamics are highly dependent on the parameters which characterize agents’ behaviour as well as on the initial condition. Moreover, for wide ranges of the parameters a (locally) stable fundamental steady state coexists with a stable ‘non-fundamental’ steady state, or with a stable closed orbit, where only chartists survive in the long run: such cases require the numerical and graphical investigation of the basins of attraction. Other dynamic scenarios include periodic orbits and more complex attractors, where in general both types of agents survive in the long run, with time-varying wealth fractions.     

Positive welfare effects of trade barriers in a dynamic partial equilibrium model

We develop a simple two-region, cobweb-type dynamic partial equilibrium model to demonstrate the existence of optimal, possibly non-zero, trade barriers. A pure comparative statics analysis of our model suggests that a reduction of trade barriers, modeled as small but positive import tariffs, always enhances welfare. However, taking a dynamic perspective reveals that nonlinear trade interactions between two regions may generate endogenous price fluctuations which can hamper welfare. Finally, we allow special interest groups, such as consumers or producers from these two regions, to lobby for a particular level of trade barriers. Our model predicts that time-varying trade barriers may be another channel for market instability.     

卖方垄断市场结构下的价格管制研究

以价格自由和信息不对称下,垄断厂商的最优销售合同为基准,研究存在价格管制和信息不对称时,垄断厂商的最优销售合同。通过比较价格管制与价格自由两种情况下,垄断厂商最优销售合同及不同类型消费者剩余,发现不同的价格管制不影响垄断厂商的最优销售量和销售客户的决策,但影响不同类型消费者的剩余,产生不同的经济后果。提出政府应根据垄断厂商的定价策略进行相机价格管制的思想。     

Price distortion in the transition process: A CGE analysis of China's case

The correct evaluation of price distortion is a prerequisite for designing the correct price reform policy which is of tremendous importance in the transitions process from a centrally planned economy to a market economy. The purpose of this paper is to investigate the advantages and shortcomings of various criteria for evaluating price distortion. Based on the characteristics of a two-tiered planned-market system in Chinese economic reform, a computable general equilibrium (CGE) model has been built to evaluate quantitatively the degree of price distortion in the prevailing price system and the effects of price adjustments in order to propose a reasonable price reform policy. The difference between the planned price and the equilibrium price seems to be a better indicator for evaluating the degree of price distortion than others. Furthermore, this difference provides more accurate feedback for price reform policies in order to ensure a stable and controllable price reform process.     

From constrained optimization to constrained dynamics: extending analogies between economics and mechanics

Economic equilibrium models have been inspired by analogies to stationary states in classical mechanics. To extend these mathematical analogies from constrained optimization to constrained dynamics, we formalize economic (constraint) forces and economic power in analogy to physical (constraint) forces and the reciprocal value of mass. Agents employ forces to change economic variables according to their desire and their power to assert their interest. These ex-ante forces are completed by constraint forces from unanticipated system constraints to yield the ex-post dynamics. The differential-algebraic equation framework seeks to overcome some restrictions inherent to the optimization approach and to provide an out-of-equilibrium foundation for general equilibrium models. We transform a static Edgeworth box exchange model into a dynamic model with procedural rationality (gradient climbing) and slow price adaptation, and discuss advantages, caveats, and possible extensions of the modeling framework.

     

SPATIAL PRICE EQUILIBRIUM AND THE TRANSPORT SECTOR: A TRADE‐CONSISTENT SCGE MODEL

In spatial computable general equilibrium models, interregional trade ought to play an important role in determining the spatial price equilibrium. Although the Armington assumption is commonly employed to describe cross‐hauling, many of the existing models do not explicitly consider the behavior of transport firms. This paper presents a framework that is compatible with the Armington assumption and explicitly considers transport activities. In the model, the trade coefficient takes the form of a potential function, and the equilibrium market price becomes similar to the price index in the context of new economic geography. The features of the model are investigated by using the minimal setting, which comprises two nontransport sectors and three regions. Because transport costs are given exogenously, the commodity prices are determined relative to them. The model can be described as a system of homogeneous equations, where an output in one region can arbitrarily be determined similarly as a price in the Walrasian equilibrium.     

Output-inflation cycles in an economy with staggered wage setting

The question whether increased price flexibility is stabilizing in macromodels of the business cycle has been recently questioned by De Long and Summers (1986). The present paper is an attempt to reconsider the question by applying some methods from the theory of nonlinear dynamics, especially bifurcation theory, to the analysis of a dynamic model with sluggish price adjustment. It is argued that, when inflation plays a destabilizing role through the Mundell effect, a stable closed orbit representing the perfect-foresight dynamics of the output-inflation pair may appear in the vicinity of a stationary state. Moreover, bifurcation theory is applied to find analytical results about the relation between the amplitude of the cycles and the ‘degree’ of flexibility of prices. This relation is shown to be positive in a variety of cases.     

Arbitrage,speculation and futures price fluctuations with boundedly rational and heterogeneous agents

This paper proposes a dynamic model for the futures market with three types of investors. The bounded rationality and heterogeneity of investors are taken into consideration. The equilibrium of the system and its stability conditions are derived with mathematical analysis. In the equilibrium, the futures price and the spot price converge to the equilibrium simultaneously. The equilibrium is determined by many factors, including the risk appetite and the rationality of investors, the trading costs, the arbitrage basis price and the fundamental price. When the stability conditions are violated, complex dynamics will emerge in the market. As shown by the simulations, the arbitrage is likely to destabilize the market. Moreover, when investors have the high degree of rationality, the equilibrium will become unstable and the futures market is inefficient. Statistical analysis indicates that the model can reproduce the stylized facts observed in the futures market, such as long memory, volatility clustering and fat tail of returns.