中国股票市场ES和VaR的实证比较分析

以我国股票收益率为研究对象,分别在正态分布和非正态稳定分布条件下对ES和VaR的凸性、次可加性和有效性进行了实证比较分析,发现:在非正态稳定分布条件下VaR不满足凸性和次可加性,ES满足凸性和次可加性,在正态分布条件下VaR和ES都满足凸性和次可加性;在两种分布条件下ES的有效性都高于VaR的有效性,而在非正态稳定分布条件下ES的优势更加明显。由于本文的收益率分布拟合检验表明我国的股票收益率服从非正态稳定分布,所以在我国股票市场上ES是比VaR更好的风险度量。     

自然垄断的"三位一体"理论

传统自然垄断理论是建立在规模经济、范围经济和成本劣加性基础之上的，本文认为社会总价值或总效用和社会净收益的优加性是比成本劣加性更好地定义自然垄断的概念，并在对规模经济、范围经济和网络经济重新定义的基础上，从规模经济、范围经济、网络经济“三位一体”角度重新解释了自然垄断概念，提出了自然垄断的“三位一体”理论，为自然垄断产业规制及其改革奠定理论和实证基础。     

Shared network investment

This paper discusses the case of inter-firm cost sharing in fixed-capital investment in business-related network. Such cooperation among individual firms differs in nature from the collusive conduct in pricing or production in the sense that decisions on short-term production remain independent. The model in this paper stylized a common network that reduces each member firm's variable cost of production. Firms benefit from pooling their investment in this network thanks to cost subadditivity of the investment. Different dues-assignment rules are found to affect firms' incentive in achieving collective efficiency.     

由自然垄断的动态性谈中国电信业的政府规制

自然垄断作为一个特殊的行业,由于成本的劣加性等原因导致企业垄断定价,为了减少消费者福利损失,政府不得不对自然垄断行业进行规制。然而由于技术、需求等方面的变化,这种垄断性并不具有永久性,使得政府的规制政策也作相应的调整。自然垄断行业动态性说明中国电信业政府规制的变化过程。     

On Choquet prices in a GEI-model with intermediation costs

This article analyses whether the representation of asset prices by Choquet integration can be justified from a general equilibrium point of view. We demonstrate that if transaction costs functionals are increasing in the volume of trade, positive homogeneous and satisfy an additivity condition, the equilibrium price functional typically does not satisfy all the Choquet properties. Whereas subadditivity and positive homogeneity can be shown to hold for the equilibrium price functional, this is generally not the case for monotonicity and additivity of prices for comonotone income streams.     

The Cost Structure of Australian Telecommunications

Since 1991 Australian telecommunications has undergone substantial reform. To a large extent, the economic correctness of pro-competitive policy depends on the non-existence of natural monopoly technology. This paper provides estimates of the Australian telecommunications system cost structure, and tests for subadditivity from 1943 to 1991. Additivity of the cost function after 1945 rejects the natural monopoly hypothesis and supports recent government policy. Diminished natural monopoly characteristics suggest that co-ordination between firms through networking can achieve similar economies as internal co-ordination within a monopoly. This finding is important, given the trend towards network unbundling, and service provision through interconnection.     

The structure of unstable power mechanisms

We study the structure of unstable power mechanisms. A power mechanism is modeled by an interaction form, the solution of which is called a settlement. By stability, we mean the existence of some settlement for any preference profile. Configurations that produce instability are called cycles. We introduce a stability index that measures the difficulty of emergence of cycles. Structural properties such as exactness, superadditivity, subadditivity and maximality provide indications about the type of instability that may affect the mechanism. We apply our analysis to strategic game forms in the context of Nash-like solutions or core-like solutions. In particular, we establish an upper bound on the stability index of maximal interaction forms.     

SCALE ECONOMIES IN MULTIPRODUCT FIRMS

As normally employed, multioutput cost functions impose a bias against a finding of economies of scale, because a firm's optimal expansion path generally does not entail constant proportions over the various outputs. This bias can be overcome using a cost function defined in terms of a scalar aggregate output. An empirical example using New York commercial banks bears out the argument. As a sidelight, it is also argued that the traditional concept of scale economies is appropriate for policy purposes even when it conflicts with the more recently developed condition of natural monopoly (subadditivity of the cost function).     

A Test for Granger-sausality in a multivariate ARMA model

The objective of this paper is to present a parametric test of Granger causality in a multivariate ARMA model. We derive the necessary and sufficient condition for Granger causality. We then relate our method to previous studies by examining Sims' nominal income and money data.     

Identifying Laffer Bounds: A Sufficient‐Statistics Approach with an Application to Germany

We derive a simple sufficient‐statistics test for whether a nonlinear tax‐transfer system is second‐best Pareto efficient. If it is not, then it is beyond the top of the Laffer curve and there exists a tax cut that is self‐financing. The test depends on the income distribution, extensive and intensive labor supply elasticities, and income effect parameters. A tax‐transfer system is likely to be inefficient if marginal tax rates are quickly falling in income. We apply this test to the German tax‐transfer system, and we find that the structure of effective marginal tax rates is likely to be inefficient in the region where transfers are phased out.     

银行顺周期性文献述评

本文对国内外有关银行顺周期性的文献进行了初步梳理。银行顺周期性在2008年国际金融危机后引起了广泛关注,对其发生机理,学术界从不同视角进行了解读。现行的监管体系由于更多地关注银行机构微观层次的稳健性而对宏观层面的风险关注不够。虽然最新的巴塞尔资本协议进行了有针对性地改进,但其实际效果如何仍有待检验。目前,对银行顺周期的讨论仍存在分歧,有待进行更深层次的研究。     

Circularity of the Malmquist productivity index

The geometric mean version of the Malmquist productivity index does not satisfy the circular test, and its component adjacent period indexes can give different productivity change measures for the same data. A fixed-base version of the index solves both problems, but it is not independent of the base period. It has been argued that time-neutrality of technical change is necessary and sufficient for all three properties to hold. We show that time-neutrality is sufficient, but not necessary, for all three properties. We develop a weaker version of time-neutrality that is necessary and sufficient for all three properties to hold. We thank a very perceptive referee for helpful comments, although content remains our responsibility. A longer working paper is available on request.     

A comparison of classical tests of criterion when determining Granger causality with a bivariate ARMA model

The necessary and sufficient conditions for determining Granger causality with a bivariate ARMA model have been presented by Granger (1969), Haugh and Pierce (1977) and Eberts and Steece (1984). However the literature fails to address the question as to which classical test criterion likelihood ratio, Lagrange multiplier, Rao efficient scoring or Wald should be employed. This study addresses this question via a simulation study.The author would like to acknowledge numerous suggestions and insight provided by Bert Steece and Sergio Koreisha, along with two anonymous referees.     

Bootstrapping the autoregressive distributed lag test for cointegration

We propose a bootstrap autoregressive-distributed lag (ARDL) test. By applying the appropriate bootstrap method, some weaknesses underlying the Pesaran, Shin and Smith ARDL bounds test are addressed including size and power properties and the elimination of inconclusive inferences. In addition, inferences based solely on the significance of the F-test and single t-test from the ARDL bounds test are not sufficient to avoid degenerate cases. The bootstrap ARDL test provides an additional test on the significance of coefficients on lagged levels of the regressors, which provides a better insight into the cointegration status of the model.     

Cost Savings From Generation and Distribution with an Application to Italian Electric Utilities*

In the last decade, the European Commission promoted a new regulatory framework aiming at a gradual liberalization of the energy markets. The introduction of competition among generators implies the need to separate generation from transmission and distribution activities. However, if savings can be reached by operating at different stages, vertical separation would increase the costs of providing power. This paper tests for the presence of economies from vertical integration on a sample of Italian local electric utilities and finds evidence of both multi-stage economies of scale and vertical economies. Even if the hypothesis of global subadditivity is not supported, our evidence suggests that a complete divestiture policy would entail efficiency losses. *For helpful comments and discussions, we thank two anonymous referees, Graziano Abrate, Bruno Bosco, Diego Piacentino, and participants at the 31st Annual Conference of the European Association for Research in Industrial Economics (EARIE), Berlin, Germany, 2–5 September, 2004, the 60th Congress of the International Institute of Public Finance (IIPF), Milan, Italy, 23–26 August, 2004, and seminars held at the Bocconi University, University of Lecce, University of Naples, University of Pavia, and University of Turin, where earlier versions of this paper were presented. The financial support of MIUR (COFIN 2002) and HERMES Research Center is gratefully acknowledged. The usual disclaimer applies. **HERMES, Center for Research on Regulated Services, Fondazione Collegio Carlo Alberto, Via Real Collegio 30, 10024 Moncalieri (TO), Italy, http://www.hermesricerche.it.     

The evolution of portfolio rules and the capital asset pricing model

The aim of this paper is to test the performance of capital asset pricing model (CAPM) in an evolutionary framework. We model an economy where a heterogeneous population of long-lived agents invest their wealth according to different portfolio rules, and prove that traders who either “believe” in CAPM and use it as a rule of thumb, or are endowed with genuine mean-variance preferences, under some very weak conditions, vanish in the long run.We show that a sufficient condition to drive CAPM or mean-variance traders’ wealth shares to zero is that an investor endowed with a logarithmic utility function enters the market.     

Tests for structural change,aggregation, and homogeneity

Structural change can be considered by breaking up a sample into subsets and asking if these can be aggregated or pooled. Strategies for constructing tests for aggregation and structural change in this setting have not received sufficient attention in the literature. Our methodology for testing generalizes to multiple regimes a discussion of Pesaran et al. (1985) for the case of two regimes. This treatment permits a unified approach to a large number of testing problems discussed separately in the literature, as special cases or as parts of a test of homogeneity. We also provide a simple alternative to much more complex testing strategies currently being researched and developed in testing for structural change.     

Incentive Matters!—The Benefit of Reminding Students About Their Academic Standing in Introductory Economics Courses

In this article, the authors illustrate how incentives can improve student performance in introductory economics courses. They implemented a policy experiment in a large introductory economics class in which they reminded students who scored below an announced cutoff score on the midterm exam about the risk of failing the course. The authors employed a regression-discontinuity method to estimate the causal impact of their policy on students’ performance on the final exam. The results suggest that the policy had a significant impact on students’ performance on the final exam. In fact, the gain in test scores was sufficient to boost a student's overall course grade by one letter grade.     

A test for strategic excess capacity

It is shown how, using data at the firm level, it may be possible to test for the existence of excess capacity as a strategic weapon to protect market share against competitors and potential entrants. If excess capacity has been found, it is also possible to test the extent of the threat, for example whether sufficient excess capacity is held to drive the firm's own profits to zero if all were employed. Yearly data for a brewery have been used as an example of the tests.     

Profit maximization and supermodular technology

A dataset is a list of observed factor inputs and prices for a technology; profits and production levels are unobserved. We obtain necessary and sufficient conditions for a dataset to be consistent with profit maximization under a monotone and concave revenue based on the notion of cyclic monotonicity. Our result implies that monotonicity and concavity cannot be tested, and that one cannot decide if a firm is competitive based on factor demands. We also introduce a condition, cyclic supermodularity, which is both necessary and sufficient for data to be consistent with a supermodular technology. Cyclic supermodularity provides a test for complementarity of production factors. We are very grateful to two anonymous referees for suggestions, comments, and corrections. We also thank Kim Border for his suggestions on an earlier draft.