美国马萨诸塞州机器人产业创新系统研究

美国马萨诸塞州形成了具有本地特色且构成完备的机器人产业创新系统,其技术创新和产业效益全球领先。该创新系统包含了三个子系统,在政策子系统中充分利用了联邦和州层面的一系列战略和政策部署;在创新主体子系统中包含了世界知名研究型大学以及一批独具特色中小型企业;在创新扩散子系统中包含了专业服务机构和活跃的风险投资。总结该州经验可得,我国未来应当抢先部署前沿机器人技术、充实机器人人才队伍和完备相关服务机构等。     

南京市旅游业协调发展评价：同步协调判别法

评价系统协调发展的"同步协调判别法",首先为系统的各子系统选择一些有代表性又可用一定指标度量的要素,按一定标准将要素分作三个等级,统计加总各类要素的数量,以之作为度量用的综合指标,并经归一化处理得各子系统的"状态数II.其次将子系统与一定的"状态空间"对应,在此空间中利用"状态数"确定子系统的"状态点"及"完全协调线";最后分别计算状态点与协调线的距离(偏离度d1)、状态点与原点的距离(优化度d2),借助它们便可评价各子系统发展的同步性及相应系统的协调性.以此方法对南京市由旅游业、生态环境和社会经济三个子系统组成的系统进行的协调性评价表明,"同步协调判别法"具有含义明确、简单、较客观、易操作、可比性强的特点,适用于评价复杂系统的协调发展问题.     

FINANCIAL RESTRUCTURING: IMPACT ON HOUSING

The purpose of this paper is to describe the primary factors that helped encourage the growth of savings and loan business and its development as the primary mortgage originating and investing intermediary. This will be followed by a discussion of how and why changes have been made to alter the sheltered environment of the business. Finally, the paper will focus on several options for the future structure of the savings and loan business and the implications each has on our mortgage delivery system and housing
The paper concludes that the country in general and its housing needs, in particular, would be best served by freeing up the asset and liability powers of thrifts. In order to meet the mortgage finance needs of the country, it is recommended that increased emphasis be put on making mortgages investment grade assets that will be able to compete with other investments for funds in the capital market generally. To do this, the government must refrain from price fixing (i.e., setting specific prepayment penalties, savings rates, etc.); establishing terms and conditions on mortgages (i.e., regulating mortgage forms); changing contractual provisions on mortgages (i.e., due-on-sale prohibitions), and avoiding noncompetitive behavior by government credit programs.     

Differential income taxation and household asset allocation

This article empirically investigates the effects of differential income taxation on households’ portfolio choice and asset allocation, applying a two-stage budgeting model of asset demand to German survey data. The model is structured into the discrete and the continuous asset choice. Cross-sectional variation in marginal tax rates, appropriately instrumented, as well as over-time variation from a major tax reform are used to identify the tax effects. Households with higher tax rates are found to have relatively greater demand for tax-privileged assets, such as nonowner-occupied housing, mortgage repayments, building society deposits, stocks, insurances and consumer credits, than households with lower tax rates. Demand at higher tax rates is lower for owner-occupied housing, bank deposits and bonds.     

基于自组织理论的产业集群共性技术创新研究

产业集群共性技术创新是一个由共性技术的识别、研发与商业化扩散构成的集体学习过程,对产业集群竞争力的提升与可持续发展意义重大。从经济系统自组织理论的视角对此进行了探索。理论模型及案例研究表明：产业集群共性技术创新是一个由创新行为主体子系统、创新服务主体子系统和创新环境子系统耦合而成的自组织系统。与此同时,子系统或要素间合作随机概率、自组织特征、自组织机制以及创新外部性的阶段性演变,共同推动了产业集群共性技术创新自组织系统从自创生、自生长向自维持阶段演进和跃迁,并由此决定了产业集群共性技术创新管理体制和组织模式的阶段性与多样性。     

House price,mortgage premium,and business fluctuations

This paper investigates the transmission mechanism of mortgage premium to characterize the relationship between the housing market and business cycle for the U.S. We find that mortgage premium is crucial for the amplification and propagation of the model to match the main properties of U.S. housing market and business cycles. The counterfactual analysis suggests that had the Federal Reserve raised the interest rate in 2003Q1, it would have curbed the housing market boom before the crisis, yet failed to alleviate the precipitous decline in housing market activity after the crisis. Moreover, the pre-emptive monetary policy aimed to contain the housing market boom can effectively lower volatilities of major economic aggregates; however, it also exerts a significantly negative effect on the levels of these economic aggregates. Thus, using monetary policy to stabilize asset price inflation involves a trade-off between the volatility and the level of economic activity.     

After the great recession : financial sophistication and housing leverage

US households face various choices in saving for retirement, with one of the most common decisions related to maintaining or paying off a mortgage. Using the 2010 and 2013 Survey of Consumer Finances, this study investigates the relationship between financial sophistication and mortgage decisions among middle-age households. A Heckman two-stage selection model is employed to investigate two separate decisions: mortgage holding and loan-to-value (LTV) ratios among mortgage holders. Results indicate that financial sophistication is positively associated with carrying a mortgage and higher LTV ratios. These results imply that financially sophisticated households may be using leverage to increase asset returns.     

Household’s optimal mortgage and unsecured loan default decision

How do households make optimal borrowing and default decisions when they have the option to borrow in multiple ways? In this paper, I analyze households’ optimal mortgage and unsecured loan borrowing and default decisions in the context of the recent recession. I model households as able to default on mortgage debt to walk away from capital losses, at the price of foreclosure. However, a household can also default on unsecured debt to maintain its home, in exchange for a longer exclusion from credit markets following default. Depending on the costs of each alternative, financially constrained households exhibit heterogeneity in optimal default decisions.Next, I analyze how mortgage loan modification policies, after a sudden drop in house prices, affect household choices in the mortgage and unsecured loan markets. The quantitative exercise shows that the government-driven mortgage modification program, initiated in 2009, reduces the mortgage default rate by 0.27% points. However, this increases the unsecured loan charge-off rate by 0.66% points.     

定向增发中的控股股东决策动机及特征解析

当前诸多理论对股权分置改革后定向增发成为主导的股权再融资方式给予了不同的解释,但是,多数属于在西方主流理论基础上的泛泛之谈,缺乏结合中国资本市场特定制度背景的深层次理论分析。本文从控股股东为理性人的角度,并结合当前定向增发有关理论研究成果,系统地提出了定向增发中控股股东认购股份的决策动机———资产上市、股权价值增值、维持或增加控制权、股权质押,以及在实施过程中的两种利益手段(低价认购股份和高价出售资产)。本文还分析了控股股东初始特征决定的获利空间是其决策动机的根本原因,笔者将初始特征归纳为控制权和资产保有量。因此本文的研究不但是在现有控股股东认购决策动机理论基础上的提炼和总括,而且还试图搭建符合我国现实制度背景的研究理论框架,并把对决策动机的研究延伸至控股股东先天特征,试图从本质上揭示控股股东的决策链条。     

A novel measure of liquidity premium: application to the Korean stock market

This study proposes a novel measure for an asset’s liquidity premium. Applying Brownian first-passage time distribution properties, we derive an explicit form of liquidity premium embedded in the asset price. Our liquidity premium measure is intuitive because it assesses the extent to which the value of the asset should be increased from the current market price if investors were allowed to retain the asset until they achieve an investment goal. This measure is readily available for assessing an asset’s liquidity because it does not require information on the asset’s transactional characteristics. Our empirical experiment using Korean stock market data suggests that the liquidity premium in this study is inversely related to Amihud’s (2002) illiquidity ratio, which is commonly used to measure stocks’ illiquidity.     

科技人才与科技创新协同度测度模型及应用

分析了科技人才与科技创新之间的相互作用,阐述了两者协同发展的机理。基于此,构建了科技人才子系统有序度模型、科技创新子系统有序度模型、复合系统协同度测度模型。对2006-2016年我国科技人才与科技创新复合系统相同基期和相邻基期协同度进行实证分析,结果表明,科技人才与科技创新复合系统相同基期协同度显著上升,科技人才与科技创新复合系统相邻基期协同度处于稳定的低度协同演变状态,科技人才子系统与科技创新子系统协同度增长幅度在协同作用中更加趋于一致,两个子系统趋于良好的互相促进过程中。最后,提出了促进该复合系统协同发展的对策建议。     

低地价引资增加了工业产值吗*——基于土地抵押贷款视角

本文通过构建一个DSGE模型发现,低价出让工业用地并不一定会显著增加工业产值。特别是对于严重依赖土地抵押贷款的地区,低地价使得抵押物价值下降,从而抬高了企业贷款成本,导致工业增长乏力。进一步地,本文对101个城市2000—2015年的面板数据进行了分析,发现低地价确实能够促进东部地区的工业增长,却对中西部地区的工业产值无明显的增进作用。考虑到东部、中西部对土地抵押贷款依赖度的差异,本文认为只有当某地区不依赖土地抵押贷款时,低地价才能显著地促进工业增长。     

Attention allocation and input proportions

This paper presents an alternative to the standard microeconomic analysis of the effects of a change in relative input prices. Managers are portrayed as struggling to control costs. Because a rise in the price of a given input ‘promotes’ operations intensive in that input in the managerial attention priority list, it induces tighter control of such operations and thus a lower relative utilization of the input. The deterministic model analyzed is akin to stochastic models studied by Radner and Rothschild.     

The efficiency of the Scandinavian banking sector – a wavelet quantile regression analysis

In this article, the Scandinavian housing financing market is analysed in order to determine whether the interest rate price-discovery processes of Denmark, Norway and Sweden are efficient. Based on wavelet quantile regression analysis, we find systematic positive asymmetric price transmission (APT) inefficiencies. We conclude that there is a very high propensity for mortgage lenders to directly increase its customers’ mortgage interest rates subsequently to an increase in its borrowing costs. However, after a corresponding borrowing cost decrease, the same mortgage lenders are very slow to decrease its customers’ mortgage rates. These positive coefficients for so-called APT effects are found in all Scandinavian countries, even if the coefficients for Norway were not statistically significant. Wavelet quantile regression analysis, with a focus on the relevant higher percentiles, is easily motivated since the mortgage rates are adjusted very infrequently. Moreover, wavelet decomposition allows a robust analysis at different time frequency scales, while simultaneously controlling for nonstationary trends, autocorrelation and structural breaks. Except for the still positive but yet insignificant and inconclusive coefficients for Norway, the result is very clear-cut. Regardless of which wavelet scaling decomposition or quantile coefficient that is studied – positive APT effects are clearly identified and confirmed on the Scandinavian mortgage market.     

中美货币政策变动与国内资产价格调控

后金融危机时代,美国持续量化宽松货币政策所带来的溢出效应已对中国资产价格调整产生实质性影响;美国货币政策变动后可通过利率和国际资本流入进行传导,能直接引起中国股票市场价格的剧烈波动并间接推动房地产价格的上涨;在中国房地产市场正处于深度调控背景下,美国货币政策的进一步放宽将对中国货币政策的适度紧缩形成强烈制约,使中国资产价格调控面临巨大的风险和隐患。     

Investor sentiment,information and asset pricing model

We present an asset pricing model with investor sentiment and information, which shows that the investor sentiment has a systematic and significant impact on the asset price. The equilibrium price's rational term drives the asset price to the rational, and the sentiment term leads to the asset price deviating from it. In our model, the proportion of sentiment investors and the information quality could amplify the sentiment shock on the asset price. Finally, the information is fully incorporated into prices when sentiment investors learn from prices. The model could offer a partial explanation of some financial anomalies: price bubbles, high volatility, asset prices' momentum effect and reversal effect.     

The impact of coal price fluctuations on China’s economic output

Due to the important role of coal in China’s macroeconomic growth, the price of coal significantly influences its economic output. Employing a VAR model, a cointegration test and a state-space model of time-varying variables, this article analyses the influence of coal price fluctuations on the volume and structure of China’s economic output, including both the strength and the time delay of such influence. This article further explores the corresponding relationships between coal price fluctuations and variations in the effects of these fluctuations to analyse the asymmetric influence of coal price fluctuations on China’s macroeconomy. Coal price fluctuations exerted significant long-term positive effects and short-term negative effects on China’s output variables, with an average delay of 11 months; they had positive effects on investment and consumption over the long term and an increasingly negative effect on imports and exports. The average delays were 9 months for investment, 6.5 months for consumption and 10 months for imports and exports. There was an asymmetric correlation between coal price fluctuations and the time-varying elasticity of their impact on GDP. The results in this study are consistent with the actual operating circumstances of the Chinese economy.     

STOCK PRICE VOLATILITY,NEGATIVE AUTOCORRELATION AND THE CONSUMPTION–WEALTH RATIO: THE CASE OF CONSTANT FUNDAMENTALS

Based on infinite horizon models, previous theoretical works show that the empirical stock price movement is not justified by the changes in dividends. The present paper provides a simple overlapping generations model with constant fundamentals in which the stock price displays volatility and negative autocorrelation even without changes in dividend. The horizon of the agents matters. In addition, as in recent empirical works, the aggregate consumption–wealth ratio ‘predicts’ the asset return. Thus, this framework may be useful in understanding different stylized facts in asset pricing. Directions for future research are also discussed.     

Fire sales by euro area banks and funds: What is their asset price impact?

The assets under management of investment funds have soared in recent years, triggering a debate on their possible implications for financial stability. We contribute to this debate assessing the asset price impact of fire sales in a novel partial equilibrium model of euro area funds and banks calibrated over the period between 2008 and 2017. An initial shock to yields causes funds to sell assets to address investor redemptions, while both banks and funds sell assets to keep their leverage constant. These fire sales generate second-round price effects. We find that the potential losses due to the price impact of fire sales have decreased over time for the system. The contribution of funds to this impact is lower than that of banks. However, funds’ relative contribution has risen due to their increased assets under management and banks’ lower leverage and rebalancing towards loans. Should this trend continue, funds will become an increasingly important source of systemic risk.     

Cross-market index with Factor-DCC

This paper proposes a new empirical methodology for computing a cross-market index – coined CMI – based on the Factor DCC-model. This approach solves both problems of treating high-dimensional data and estimating time-varying conditional correlations. We provide an application to a multi-asset market data composed of equities, bonds, foreign exchange rates and commodities during 1983–2013. This new methodology may be attractive to asset managers, since it provides a simple way of constructing passive portfolios customized on any asset class.