THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING

Though liquidity is commonly believed to be a major effect in financial markets, there appears to be no consensus definition of what it is or how it is to be measured. In this paper, we understand liquidity as a nonlinear transaction cost incurred as a function of rate of change of portfolio. Using this definition, we obtain the optimal hedging policy for the hedging of a call option in a Black‐Scholes model. This is a more challenging question than the more common studies of optimal strategy for liquidating an initial position, because our goal requires us to match a random final value. The solution we obtain reduces in the case of quadratic loss to the solution of three partial differential equations of Black‐Scholes type, one of them nonlinear.     

进口冷轧钢板显微结构和力学性能对其冲压性能的影响

对4种常见进口冷轧钢板的化学成分、力学性能、显微组织和形变织构等特征性能进行了测定和分析,并探讨了显微结构和力学性能对冲压性能的影响方式和对应关系.研究表明,显微结构和力学性能与其冲压性能之间具有较强的关联性和一致性,应充分利用这种关联对应关系,为工程应用合理选材和质检监督中质量控制提供技术支持.     

WAGE FLEXIBILITY AND THE STABILITY ARGUMENTS OF THE NEOCLASSICAL SYNTHESIS

This note fills a lacuna in the neoclassical synthesis and completes its dynamic disequilibrium processes by including adjustments of the money wage rate in response to excess demand on the labour market. A Walrasian and a Keynesian variant are distinguished. While in the first case local asymptotic stability is always ensured, the equilibrium is unstable in the Keynesian case if money wages are too flexible relative to the adjustment speeds on the product and money markets.     

A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT

We integrate two approaches to portfolio management problems: that of Morton and Pliska (1995) for a portfolio with risky and riskless assets under transaction costs, and that of Cadenillas and Pliska (1999) for a portfolio with a risky asset under taxes and transaction costs. In particular, we show that the two surprising results of the latter paper, results shown for a taxable market consisting of only a single security, extend to a financial market with one risky asset and one bond: it can be optimal to realize not only losses but also gains, and sometimes the investor prefers a positive tax rate.     

中东欧经济危机前因后果透视

一、各国国际收支危机的发生 经常项目赤字和对外债务规模上升是所有中东欧国家经济危机特征的共性.进入21世纪前后,特别是2003年之后,在欧洲一体化进程不断深入和世界经济形势较好等因素促进下,东欧外资流入和产品出口都迅速增长;而来自西欧的资本流人和西欧提供的出口市场起到重要作用.如表1所示,2003-2007年间,中东欧国家出口和经济维持高速增长.     

六六六、滴滴涕标准溶液稳定性分析与气相色谱条件的优化

对气相色谱检测六六六、滴滴涕的进样口的温度进行了优化,并分析了六六六、滴滴涕标准工作液的稳定性。选取5个不同的进样口温度（165℃、185℃、205℃、225℃、250℃）,对3种不同浓度的标准溶液进行测定,比较分析测定结果．选择最优的进样口温度;并对六六六、滴滴涕标准工作液进行冰箱保存稳定性试验（保存时间分别为1个月、2个月、3个月）和全年不同气温下的气相色谱测试过程稳定性试验G拄样时间分别为0h、6h、12h）。结果表明,在5个进样口温度中,六六六、滴滴涕测定的最佳进样口温度为165℃;只要保存得当,六六六、滴滴涕标准工作液在冰箱内可稳定保存3个月以上;环境温度对于气相色谱测试过程六六六、滴滴涕标准工作液的稳定性具有明显影响。     

THE UNEQUALIZING EFFECTS OF ICT ON ECONOMIC GROWTH

We analyse the effects of information and communication technology (ICT) on levels and growth of per capita GDP in two different ways: (1) by treating ICT as a specific type of physical capital and as a variable that helps to correct for quality existing physical capital measures, and (2) by considering that telephone lines, personal computers and internet hosts are ‘bottleneck‐reducing’ factors that increase the productivity of labour by making easier the diffusion and processing of (non‐rivalrous and almost non‐excludable) knowledge. We compare the relative significance of the two hypotheses in level and growth estimates and find that, when separately taken, both of them improve upon the classical Mankiw et al. (Quarterly Journal of Economics, Vol. 107 (1992), pp. 407–437)/Islam (Quarterly Journal of Economics, Vol. 110 (1995), pp. 1127–1169) framework. These findings show that our approach captures dimensions of time‐varying country‐specific technological progress that previous approaches in the literature did not take into account.     

EXPLORING THE POTENTIAL EFFECTS OF FORECASTER MOTIVATIONAL ORIENTATION AND GENDER ON JUDGMENTAL ADJUSTMENTS OF STATISTICAL FORECASTS

The growing adoption of demand collaboration initiatives such as Collaborative Planning, Forecasting, and Replenishment (CPFR) has made judgmental adjustments of forecasts, an already widespread forecasting practice, an increasingly routine part of many logistics managers' responsibilities. This article investigates how logistics managers might improve forecast accuracy by judgmentally adjusting statistical forecasts and potential factors that may influence the effectiveness of such adjustments. In particular, our goal is to expand current knowledge in this area by focusing on individual differences, specifically motivation and gender, which have been thus far neglected in the extant literature. Our findings indicate that motivation has a significant effect on accuracy improvement and this relationship is moderated by gender. Managerial implications of these findings and future research opportunities are also presented.     

THE EFFECTS OF CULTURE AND HUMAN RESOURCE MANAGEMENT POLICIES ON SUPPLY CHAIN MANAGEMENT STRATEGY

Afirm's corporate culture and human resource management (HRM) policies have an important impact upon the success of that organization's supply chain management strategy. A model that examines the relationship between organizational culture, HRM policies, and the firm's transaction/relationship orientation toward its employees and the impact of these factors on its choice of supply chain partners is presented. The paper then discusses four different HRM/logistics strategies a firm can implement and examines the degree of cultural fit that is likely to develop in each of these four strategies. Finally, managers are provided with a list of questions that allow an assessment of the fit between the firm's human resource and logistics management strategies.     

ECONOMIC GROWTH AND THE EFFECTS OF FISCAL POLICY

The macroeconomic effects of fiscal policy are analyzed using a Keynesian growth model. Comparative static analysis shows that the long‐run effects of an increase in public spending and a decrease in taxation on economic growth and government budget balance depend on the relative size of marginal propensity to consume and invest and could be positive under certain conditions. Empirical estimates show that consumption and production structure have changed significantly from 1930s to 2007; both positive and negative effects on growth and budget balance of the same fiscal policy are found in different time periods.     

人民币加快升值对我国外贸发展的影响

编者按:近期,人民币对美元汇率突破了"7"区间,累计升值幅度超过了19%.汇率因素已经成为今后影响我国外贸发展的一个重要因素.本文通过对汇率变动与进出口增长的关系进行分析,结合汇改以来我国外贸形势,指出当前人民币加快升值对我国进出口的影响,为今后积极应对人民币升值带来的挑战提供了有益建议.     

论贸易摩擦的成因与影响

一、贸易摩擦分析的前提(一)市场经济的不完全性按照西方经济学的一般定义,完全竞争市场是指交换和竞争没有任何阻力和干扰的市场。它需要具备以下假定条件:第一,每一个产品或服务市场都有众多的生产者和消费者;第二,每一项产品或服务是同质的;第三,所有产品的成本和效益都是内     

ON THE STABILITY OF CONTINUOUS-TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET

In this paper we present some counterexamples to show that an uncritical application of the usual methods of continuous-time portfolio optimization can be misleading in the case of a stochastic opportunity set. Cases covered are problems with stochastic interest rates, stochastic volatility, and stochastic market price of risk. To classify the problems occurring with stochastic market coefficients, we further introduce two notions of stability of portfolio problems.     

AUTOMATIC REPLENISHMENT PROGRAMS: THE IMPACT OF ORGANIZATIONAL STRUCTURE

Many firms have shifted to response‐based supply chain systems instead of traditional push systems. Research results are presented covering a specific type of response‐based system, Automatic Replenishment Programs (ARPs), in which inventory restocking is triggered by actual sales. The paper looks at the influence of organizational structure, i.e., centralization versus decentralization, on ARP performance and information systems capabilities. Results are mixed. Decentralized firms reported higher performance relating to specific ARP‐related goals. However, no differences were found at a more global level when ARP relationship performance and profitability were examined. Even fewer differences were found between centralized and decentralized firms with respect to their information systems capabilities.     

PROLIFERATION OF ACADEMIC JOURNALS: EFFECTS ON RESEARCH QUANTITY AND QUALITY

There have been significant structural changes in research markets in recent years reflected in the increase in the number of academic journals. This paper uses a differential game model of authors and journal editors to examine the effects of an increase in competition among academic journals. Does an increase in the number of academic journals lead to an increase in scholarly articles published? Will an increase in publishing outlets adversely affect research quality? The results show greater competition does not affect research output and in fact enhances research quality. The number of journals and the relative discount rates of authors and editors are crucial determinants of the effects of competition.     

“占领华尔街”难撼白宫政策

美国引诱新兴市场国家大量投资美国国债,主要是通过贸易逆差,将流动性向国际社会释放,从而抬高大宗商品价格,将通货膨胀的祸水泼向全球。