风险厌恶与国有寡占市场的资源配置效率——以我国成品油市场为例

作为传统寡占理论与我国国情相结合的产物,国有寡占市场受到越来越多的关注。本文以风险厌恶倾向为切入点,从缺少职业经理人市场、优越的生存环境和目标多重性三方面分析了国有寡占企业风险厌恶倾向的成因,并构建理论模型分析这种风险厌恶倾向对国有寡占市场资源配置效率的影响。结果表明,风险厌恶倾向使国有寡占企业面对成本风险时,价格和产量相对利润最大化值分别升高和降低,面对需求风险时,价格和产量同时低于利润最大化值,两种情况都使国有寡占市场资源配置效率降低,而固定成本的升高会进一步加大资源配置效率的损失。本文最后以我国石化行业成品油市场为案例,验证理论模型的结论,并提出了政策建议。     

Rent Seeking and Allocative Efficiency

This paper considers a rent‐seeking game (specifically, a winner‐takes‐all contest) with incomplete information. By allowing for sequential moves, a Bayesian‐Stackelberg equilibrium can be constructed. It can be shown that, at the Bayesian‐Stackelberg equilibrium, it is always possible that the allocative efficiency argument fails. That is, there are cases in which the Stackelberg follower is more efficient but loses the contest. Using a specific class of distributions, it is also shown that sometimes the corrupt official will choose the Bayesian‐Stackelberg equilibrium over the Bayesian‐Nash equilibrium in order to maximise the expected bribe revenue. That is, when designing the rules of the rent‐seeking game, the dynamic nature of competition will be taken into account.     

Information Efficiency in Betting Markets: a Survey

The concept of information efficiency is central to many studies of financial markets, and these studies have been well surveyed to date. A betting market is an example of a simple financial market, but one which offers researchers the added advantage that it is characterized by a well-defined termination point at which each asset (or bet) possesses a definite value. In consequence, it is much more convenient to use this particular context to formulate tests of information efficiency, and from these tests to draw useful conclusions. This paper surveys the rapidly growing literature which has to date addressed this issue of information efficiency in betting markets.     

Information,Pricing and Efficiency in Cash and Futures Markets: The Case of Hogs

The price leadership roles among hog cash and futures markets are assessed to locate points of price discovery and to examine flows of information among these markets. Several years of data are analyzed using lead/lag causality analysis and strength of linear causality measures. Although significant instantaneous relationships exist among hog cash and futures markets, one-way causality tests indicate that generally the futures market dominates cash hog markets in the price discovery process.     

Duplicating and Pricing Contingent Claims in Incomplete Markets

The paper studies the problem of pricing contingent claims in the situation where the constraints imposed on an investor's portfolios are important. There are two types of rule of constraint: under a rigid rule, an investor must strictly limit his portfolios inside the constraint; under an elastic rule, an investor pays a penalty when the constraint is violated. The central problem of pricing a contingent claim is to determine the initial investment required to duplicate the contingent claim. The following results are obtained: (i) under elastic rules, the cost to duplicate a contingent claim exists and is unique;(ii) this cost depends nonlinearly and convexly on the contingent claim;(iii) the cost under rigid rules resulting from passing the penalty to infinity is also a nonlinear and convex function of the contingent claim. Owing to this nonlinearity, the cost of duplication may be or may not be the nonarbitrage price of the contingent claim; this depends on how the market organizes the production of contingent claims. The conclusion that the cost of duplication is a convex function of the contingent claim provides an explanation for why the service of providing contingent claims is often a highly profitable business. The main mathematical tool in the analysis is backward stochastic differential equations (BSDEs). In fact the cost to duplicate a contingent claim is the solution of a BSDE in which the contingent claim is the terminal value.     

Fiscal Policy with Heterogeneous Agents and Incomplete Markets

I undertake a quantitative investigation into the short run effects of changes in the timing of proportional income taxes for model economies in which heterogeneous households face a borrowing constraint. Temporary tax changes are found to have large real effects. In the benchmark model, a temporary tax cut increases aggregate consumption on impact by around 29 cents for every dollar of tax revenue lost. Comparing the benchmark incomplete-markets model to a complete-markets economy, income tax cuts provide a larger boost to consumption and a smaller investment stimulus when asset markets are incomplete.     

Income Taxation, Endogenous Factor Prices and Production Efficiency

In an analysis of a two‐type income tax model with endogenous wages, this paper shows that production efficiency is violated in the optimum with (i) non‐linear and (ii) linear income taxation if and only if a distortionary tax schedule is implemented. These findings complement earlier results of the literature. In passing, it is also shown that optima with non‐linear redistributive income taxation cannot be identified with the redistributive regime if the assumption of endogenous wages is taken seriously.     

A Brief Overview of the Economics of Incomplete Markets

This paper was motivated by my participation in the Economic Theory Symposium of the 1988 Australian Economics Congress, Canberra. It represents only one perspective on an immense literature. As the reader will notice, I have often referred to my own work. for two reasons. The first is because it is what I know best, the second is to provide an illustration of the in efficiency resulting from the incentive constraints editors face in contracting for surveys .     

基于股价异常波动的中国股市监管效率实证分析

证券市场监管究竟是有效的还是无效的,在理论上存在着长期争论。目前,证券市场监管的有效性只能通过实证的方法加以甄别。文章将监管股市的政策手段分为经济手段、法律手段、舆论手段和行政手段,并采用事件研究法对股价异常波动点对应的四种监管股市的政策事件产生的市场反应进行研究。研究结果表明:股价异常波动点的分布与监管政策事件存在着明显的对应关系,监管政策事件对中国股票市场波动的影响较大;近年来证券市场监管的力度在加强,监管的效率逐渐提高;相对于其他监管手段而言,经济手段的监管效率较高。     

不完全信息、反倾销威胁与最优出口贸易政策

通过扩展Brander和Spencer(1985)的基本模型,本文首先证明了,在反倾销威胁下,基于完全信息假设的最优出口贸易政策要求出口国政府给予低成本企业更高的出口补贴或更低的出口征税,在无效激励机制下必然导致出口企业隐匿自己的真实成本类型,基于完全信息假设的最优出口贸易政策失效。在此基础上,本文进一步论证了不完全信息和反倾销威胁下激励相容的最优出口贸易政策,该政策要求出口国政府依据进口国国内要求保护压力的大小,采用不同的出口征税和一次性转移支付政策组合,激励出口企业如实报告成本类型,并使国家整体福利最大化。     

Merging, Reputation, and Repeated Games with Incomplete Information

We relate and unify several results that appeared in the following domains: merging of probabilities, perturbed games and reputation phenomena, and repeated games with incomplete information. Journal of Economic Literature Classification Numbers: C72, D83.     

Search, Bargaining, Money, and Prices Under Private Information

This paper presents a model of money and search where bargaining determines prices and the quality of goods is private information. It studies how a lemons problem affects the purchasing power of money. There are multiple, Pareto-ranked equilibria. The superior equilibrium, where no lemons are produced, exists even if information about quality is relatively scarce. In other equilibria, there is price dispersion, and uninformed buyers pay higher prices than informed buyers for all goods. Taxing money balances (a proxy for inflation) makes buyers less selective, thus reducing the average quality of supply and the premium paid for known quality.     

资本配置、管理激励与内部资本市场效率

通过构造了一个多分部企业内部跨期资本配置模型,本文考察了内部资本市场的管理激励和配置效率问题,这是对企业内部资本市场配置效率研究的一个综合和扩展。本文的模型把内部资本市场“有效率论”和“无效率论”结合到一起,分析表明,在通过内部资本市场重新配置资本并能诱使两个经理努力工作的情况下,内部资本市场的效率可能高于、低于或等于两个单分部企业组合的效率,而不只是其中的某一种结果。     

能源使用效率与中国能源价格市场化

中国能源市场的上游价格已完成市场化并与国际接轨,而终端零售市场价格却仍然受到政府的严格管制.有证据表明,政府的这种管制很可能是出于对于能源价格上涨对经济增长和通货膨胀的负面影响的担忧.政府在价格管制的同时也对国内炼油、发电等下游企业进行补贴和税收减免,以缓解企业压力.从长期来看,这种管制不利于实现节能减排和经济转型,势必将影响居民的长期福利.但在现在的经济局势下,立刻解除管制必然会对经济产生过大的冲击,政府应该通过鼓励能源企业用户进行节能设备的投资,并在此过程中逐渐减少价格干预,才有可能最终实现能源终端消费市场的价格市场化并将其对经济增长的影响降到最低.     

Financial Bubbles: Excess Cash,Momentum, and Incomplete Information

We report on a large number of laboratory market experiments demonstrating that a market bubble can be reduced under the following conditions: 1) a low initial liquidity level, i.e., less total cash than value of total shares, 2) deferred dividends, and 3) a bid-ask book that is open to traders. Conversely, a large bubble arises when the opposite conditions exist. The first part of the article is comprised of twenty-five experiments with varying levels of total cash endowment per share (liquidity level), payment or deferral of dividends and an open or closed bid-ask book. We find that the liquidity level has a very strong influence on the mean and maximum prices during an experiment (P < 1/10,000). These results suggest that within the framework of the classical bubble experiments (dividends distributed after each period and closed book), each dollar per share of additional cash results in a maximum price that is $1 per share higher. There is also limited statistical support for the theory that deferred dividends (which also lower the cash per share during much of the experiment) and an open book lead to a reduced bubble. The three factors taken together show a striking difference in the median magnitude of the bubble ($7.30 versus $0.22 for the maximum deviation from fundamental value). Another set of twelve experiments features a single dividend at the end of fifteen trading periods and establishes a 0.8 correlation between price and liquidity during the early periods of the experiments. As a result, calibration of prices and evolution toward equilibrium price as a function of liquidity are possible.     

金融脆弱性、不完全信息、制度变迁与金融风险

本文通过将金融脆弱性、不完全信息以及制度变迁与金融风险的关系纳入到一个统一的逻辑思维框架体系内,揭示了金融风险理论的创始与发展基本上是沿着一条从"宏观假说"转向寻求"微观基础"、从"静态"转向"动态"的演变路径来进行的.在阐释四者之间内在的逻辑机理的同时,还指出制度金融风险理论与主流金融风险理论必将融和,从而表明转轨经济中的金融风险问题必然成为金融风险理论研究的未来发展方向,后者将在解释前者问题的过程中获得创新与发展的新机遇.