我国能矿资源价格改革的经济学分析

根据能矿资源社会最优开采模型分析发现,我国能矿资源开发利用中存在政府失灵、行业垄断和外部成本问题,我国能矿资源开发价格构成体系存在严重缺陷.因此,应当完善我国能矿资源价格构成机制,妥善处理改革中的各种关系,推进我国能矿资源价格市场化改革.     

Arbitrage-Free Valuation of Exhaustible Resource Firms

We provide an arbitrage-free valuation of exhaustible resource firms through extending the Gibson and Schwartz (1990) model and also the Jamshidian and Fein (1990) solution to valuing an entire petroleum firm based on quoted oil futures. Our solutions are compared to accounting, traditional finance and to stockmarket valuations on a daily basis. An alternative expression of the valuations relative to stockmarket prices is in terms of the time varying implied 'market price' of convenience yield risk. Initial illustrations show that the implied convenience yield risk is not necessarily consistent between stockmarket and derivative market participants. Finally, we calculate the sensitivities of petroleum firm values to changes in oil prices, the convenience yield observable on NYMEX, and oil price volatilities. These partial derivatives show some of the complexities in the dynamic hedging process of using the contingent claims approach to valuing (and hedging) real assets.     

Logit Price Dynamics

We model retail price stickiness as the result of costly, error‐prone decision making. Under our assumed cost function for the precision of choice, the timing of price adjustments and the prices firms set are both logit random variables. Errors in the prices firms set help explain micro facts related to the size of price changes, the behavior of adjustment hazards, and the variability of prices and costs. Errors in adjustment timing increase the real effects of monetary shocks, by reducing the “selection effect.” Allowing for both types of errors also helps explain how trend inflation affects price adjustment.     

Equilibrium Price Dispersion in the Insurance Market

We consider price dispersion under nonsequential consumer search when a finite number of firms exists. We assume that firms have the same production technology. We find that single‐price equilibrium exists only when it is the highest possible price (monopoly price). Price dispersion is possible in equilibrium only when firms use mixed strategies. We also find that increased competition may increase price dispersion and the intensity of consumer search while reducing the expected profits of firms. The number of firms in the long run is increasing regarding expected market demand and decreasing regarding production cost and entry cost. We reinterpret some empirical observations reported in the literature.     

Equilibrium Correlations of Asset Price and Return

Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets. This paper complements the literature by building a simple dynamic general equilibrium with fully rational agents, and obtain closed form solutions for the implied auto- and cross-correlations. The length of time horizon, as well as the persistence of economic shock matter. Implications and future research directions are then discussed.     

Trading Frictions and House Price Dynamics

We model liquidity in housing markets. The model provides a simple characterization for the joint process of prices, sales, and inventory. We compare the implications of the model to certain properties of housing markets. The model can generate the large price changes and the positive correlation between prices and sales that we see in the data. Unlike the data, prices are negatively autocorrelated and high inventory predicts price appreciation. We investigate several amendments to the model. Informational frictions show promise.     

Equity Issues and Stock Price Dynamics

This paper presents an information-theoretic, infinite horizon model of the equity issue decision. The model predicts that (a) equity issues on average are preceded by an abnormal positive return on the stock, although for some firms the issue is preceded by a loss; (b) equity issues on average are preceded by an abnormal rise in the market; and (c) the stock price drops at the announcement of an issue. The model provides a measure of the welfare cost of asymmetric information; the welfare loss may be small even if the price drop at issue announcement is large.     

Nash Equilibrium Dynamics of Environmental and Human Capital

This paper explores the Nash equilibrium dynamics of environmental and human capital in an overlapping generations model. Environmental capital is degraded by consumption but can be improved by the voluntary provision of environmental goods. Human capital is formed by a child's learning effort together with his parent's human capital and environmental capital. We show that the laissez faire economy will be either stagnant, growing, or collapsing in the long-run, depending on the returns to scale of the learning technology with respect to the two kinds of capital, the initial state of the economy, and the relative price of the environmental and consumption goods. We also examine the role of the consumption tax policy of both the short-lived and long-lived government for correcting environmental externalities.     

Asset Price Dynamics and Infrequent Feedback Trades

This article combines the continuous arrival of information with the infrequency of trades, and investigates the effects on asset price dynamics of positive and negative-feedback trading. Specifically, we model an economy where stocks and bonds are traded by two types of agents: speculators who maximize expected utility, and feedback traders who mechanically respond to price changes and infrequently submit market orders. We show that positive-feedback strategies increase the volatility of stock returns, and the response of stock prices to dividend news. Conversely, the presence of negative-feedback traders makes stock returns less volatile, and prices less responsive to dividends.     

Cash Flow News and Stock Price Dynamics

We develop a new approach to modeling dynamics in cash flows extracted from daily firm-level dividend announcements. We decompose daily cash flow news into a persistent component, jumps, and temporary shocks. Empirically, we find that the persistent cash flow component is a highly significant predictor of future growth in dividends and consumption. Using a log-linearized present value model, we show that news about the persistent dividend growth component predicts stock returns consistent with asset pricing constraints implied by this model. News about the daily dividend growth process also helps explain concurrent return volatility and the probability of jumps in stock returns.     

The Dynamics of Location in Home Price

It is well established that house prices are dynamic. It is also axiomatic that location influences such selling prices, motivating our objective of incorporating spatial information in explaining the evolution of house prices over time. In this paper, we propose a rich class of spatio-temporal models under which each property is point referenced and its associated selling price modeled through a collection of temporally indexed spatial processes. Such modeling includes and extends all house price index models currently in the literature, and furthermore permits distinction between the effects of time and location. We study single family residential sales in two distinct submarkets of a metropolitan area and further categorize the data into single- and multiple-transaction observations. We find the spatial component is very important in explaining house price. Moreover, the relative homogeneity of homes within the submarket and the frequency with which homes sell affects the pattern of variation across space and time. Differences between single and repeat sale data are evident. The methodology is applicable to more general capital asset pricing when location is anticipated to be influential.     

Equilibrium Unemployment, Job Flows, and Inflation Dynamics

In order to explain the joint fluctuations of output, inflation and the labor market, this paper develops and estimates a general equilibrium model that integrates a theory of equilibrium unemployment into a monetary model with nominal price rigidities. The estimated model accounts for the responses of employment, hours per worker, job creation, and job destruction to a monetary policy shock. Moreover, search frictions in the labor market generate a lower elasticity of marginal costs with respect to output. This helps to explain the sluggishness of inflation and the persistence of output that are observed in the data.     

Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets

This paper compares centralized and fragmented markets, such as floor and telephone markets. Risk-averse agents compete for one market order. In centralized markets, these agents are market makers or limit order traders. They are assumed to observe the quotes of their competitors. In fragmented markets they are dealers. They can only assess the positions of their competitors. We analyze differences in bidding strategies reflecting differences in market structures. The equilibrium number of dealers is shown to be increasing in the frequency of trades and the volatility of the value of the asset. The expected spread is shown to be equal in both markets, ceteris paribus. But the spread is more volatile in centralized than in fragmented markets.     

Effects of Passive Intensity on Aggregate Price Dynamics

We find that passive intensity (PI), measured by the passive‐linked share of total stock market trading volume, is strongly related to the overall pattern of stock price movements. A one‐standard‐deviation increase in PI is associated with an 8% higher price synchronicity. We further investigate the channels through which this relation is established by separately analyzing its impact on aggregate systematic and idiosyncratic volatility of stock returns. PI has a positive effect on systematic volatility and a negative impact on firm‐specific volatility. Consistent with the effect of passive trading on price dynamics, we find evidence that PI is negatively associated with mutual funds alpha dissimilarity. After controlling for market and idiosyncratic volatility, a one‐standard‐deviation increase in PI corresponds to a 0.20% decrease in fund dissimilarity. Our findings are robust after controlling for various macro and corporate factors known to affect systematic or firm‐specific volatility.     

Equilibrium Investment Strategies and Output Price Behavior: A Real-Options Approach

The effects of competitive interactions on investment decisionsand on the dynamics of the price of a nonstorable commodityare studied in a model of incremental investment with time tobuild and operating flexibility. I find that an increase inuncertainty may encourage firms to increase their capacity.Furthermore, I show that it may be optimal to invest in additionalcapacity during periods in which part of the operational capacityis not being utilized. The impact of competition on the propertiesof the endogenous output price is dramatic. For example, I findthat price volatility may be increasing in the number of competitorsin the industry.     

Dynamics of Trade-by-Trade Price Movements: Decomposition and Models

In this article we introduce a decomposition of the joint distributionof price changes of assets recorded trade-by-trade. Our decompositionmeans that we can model the dynamics of price changes usingquite simple and interpretable models which are easily extendedin a great number of directions, including using durations andvolume as explanatory variables. Thus we provide an econometricbasis for empirical work on market microstructure using timeseries of transaction data. We use maximum likelihood estimationand testing methods to assess the fit of the model to one yearof IBM stock price data taken from the New York Stock Exchange.     

Price and Investment Dynamics: Theory and Plant-Level Data

We construct a model of a firm competing for market share in a customer market and making investments in physical capital. The firm is financially constrained and there are implementation lags in investment. Our model predicts that product prices should depend on costs and competitors' prices but respond weakly to demand shocks. Also, prices should be strongly related to investment. We estimate price and investment equations on panel data for Swedish manufacturing plants and find results that are qualitatively in line with these predictions, though the relation between investment and prices is stronger than predicted by our model.     

Equilibrium Dynamics in an Endogenous Growth Model of Money and Banking

We construct an analytically tractable endogenous growth model of money and banking where money provides "liquidity services" to facilitate transactions and banks convert non-reserve deposits into productive capital. We examine both the long- and short-run effects of changes in the money growth rate or the reserve requirement ratio. In response to a change in the required reserve ratio, the inflation rate and the growth rates of capital, real balances, and consumption need not adjust monotonically along the transition path. While the balanced growth equilibrium may be either a saddle or a source locally, the global dynamical system exhibits flip bifurcation.