12个合同的故事

世行贷款高速公路项目道路养护设备采购12个合同同时招标的国际招标文件于2000年3月7日获得世行的不反对意见,2000年4月7日在<中国日报>上刊登了招标广告.到2000年6月9日投标截止时,12个合同共收到60份投标书,最少的合同只收到2份投标书,最多的一个合同收到10份投标书.评标报告于2000年11月6日递交世行审查.本次招标12个合同的投标情况和推荐的中标人的报价在本合同的排序如下表:     

The Design of Private Reinsurance Contracts

This article examines the effect of asymmetric information on the trading of underwriting risk between insurers and reinsurers and how it is mitigated in a context of long-term relationships. It begins by explaining how information problems affect the efficiency of the allocation of risk between insurers and reinsurers and how long-term implicit contracts allow the inclusion of new information in the pricing of reinsurance coverage. A key feature of these relationships is the reliance on loss-contingent rebates and commissions in the pricing of reinsurance coverage. We argue that when information is revealed only over time, long-term implicit contracts between insurers and reinsurers allow the inclusion of new information into reinsurance pricing. Because of this feature, the allocation of risk between insurers and reinsurers is more efficient. Specifically, such arrangements lead to more reinsurance coverage, higher insurer profits, and lower expected distress in the industry. Journal of Economic Literature Classification Numbers: G22, G13, L15, D81.     

The Valuation of Options on Futures Contracts

Rational restrictions are derived for the values of American options on futures contracts. For these options, the optimal policy, in general, involves premature exercise. A model is developed for valuing options on futures contracts in a constant interest rate setting. Despite the fact that premature exercise may be optimal, the value of this American feature appears to be small and a European formula due to Black serves as a useful approximation. Finally, a model is developed to value these options in a world with stochastic interest rates. It is shown that the pricing errors caused by ignoring the location of the interest rate (relative to its long-run mean) range from ?5% to 7%, when the current rate is ±200 basis points from its long-run value. The role of interest rate expectations is, therefore, crucial to the valuation. Optimal exercise policies are found from numerical methods for both models.     

The Effects of Banking Mergers on Loan Contracts

This paper studies the effects of banking mergers on individual business borrowers. Using information on individual loan contracts between banks and companies, I analyze the effect of banking consolidation on banks' credit policies. I find that in-market mergers benefit borrowers if these mergers involve the acquisition of banks with small market shares. Interest rates charged by the consolidated banks decrease, but as the local market share of the acquired bank increases, the efficiency effect is offset by market power. Mergers have different distributional effects across borrowers. When banks become larger, they reduce the supply of loans to small borrowers.     

审计的契约安排与独立性的互动机制

审计契约的内外两个层面分别为审计质量提供执业胜任能力与独立性的支持。利益主体在人格化上的分化使得外部审计契约采用了正式契约和非正式契约两种形式,共同为独立性提供制度安排。正式契约影响审计者的即时经济收益,决定了审计者不可能超然独立于特定的相对人;非正式契约影响审计者的未来经济收益,为独立性在制度安排上提供了一种救济。声誉是非正式契约的自履行机制,它与独立性形成了一种互动机制。一个良好的声誉机制包括信誉体系和司法救济两个方面,政府的作用就是推动信誉体系的建设和提供有效的司法救济。     

电力期货和电力期货合约的设计

引言 在传统的电力工业管理体制下,国家对电价实行严格管制,政府统一管理电价,对电价实行严格审计.在这样的硬性控制下,电价的波动很小,几乎没有独立发、输、配电企业,因此不会面临由于电价波动造成的风险.但随着电力体制向市场化方向改革的进行,电力市场中批发电价和零售电价都将逐步放开.电价通过市场竞价方式来确定,将不可避免地导致市场价格的波动.由于电力商品的特殊性,其需求弹性很小,这样电价很容易受电力供求关系的影响,从而使电价产生剧烈波动,例如一日内负荷处于高峰时的实时电价与负荷处于低谷时的实时电价可以相差几倍,有时甚至低谷电价可以为零或负值,而不同天、不同月份的电价则相差更大.这样,将使电力市场的参与者面临巨大的价格风险.     

The Use of Debt and Equity in Optimal Financial Contracts

We consider risk-neutral firms that must obtain external finance. They have access to two kinds of stochastic investment opportunities. For one, return realizations are costlessly observed by all agents. For the other, return realizations are costlessly observed only by the investing firm. We examine the optimal allocation of investment between the two projects and the optimal contract used to finance it. The optimal contractual outcome can be supported by appropriate (and determinate) quantities of debt and equity issues. Investments in projects with CSV problems are associated loosely with debt. Investments in projects with observable returns are associated with equity. Journal of Economic Literature Classification Numbers: G21, E51.     

The Quality Option and Timing Option in Futures Contracts

Often futures contracts contain quality options whereby the short position has the choice of delivering one of an acceptable set of assets. We explore the implications of the quality option on the futures price. We develop a method for pricing the quality option for the general case of n deliverable assets and provide numerical illustrations of its significance. Even when the asset prices are very highly correlated, this option can have nontrivial value, especially when there is a large number of deliverable assets. We analyze the impact of the timing option and its interaction with the quality option. A procedure is developed for valuing the timing option in the presence of the quality option, and some numerical estimates are obtained.     

The Quality Delivery Option in Treasury Bond Futures Contracts

This paper uses three methods to estimate quality option values for CBOT Treasury bond futures contracts. It presents evidence regarding: (1) payoffs from exercising this option at delivery, (2) estimates from a T-bond futures pricing model that incorporates this option, and (3) estimates obtained from an exchange option pricing formula. The results indicate that this option is worth considerably less than reported by Kane and Marcus (1986a) . For example, payoffs obtained by switching from the bond cheapest to deliver three months prior to delivery to the one cheapest at time of delivery average less than 0.30 percentage points of par.     

The Design of Optimal Insurance Contracts: A Topological Approach

This article deals with the optimal design of insurance contracts when the insurer faces administrative costs. If the literature provides many analyses of risk sharing with such costs, it is often assumed that these costs are linear. Furthermore, mathematical tools or initial conditions differ from one paper to another. We propose here a unified framework in which the problem is presented and solved as an infinite dimensional optimization program on a functional vector space equipped with an original norm. This general approach leads to the optimality of contracts lying on the frontier of the indemnity functions set. This frontier includes, in particular, contracts with a deductible, with total insurance and the null vector. Hence, we unify the existing results and point out some extensions.     

The Effects of Macroeconomic Factors on Pricing Mortgage Insurance Contracts

Numerous empirical studies, including Abraham and Hendershott (1996) , Muellbauer and Murphy (1997) , Leung (2004) , and Oikarinen (2009) , have identified a significant relationship between housing prices and macroeconomic factors. Using a linear regression on the comovement of macroeconomic factors and housing prices, this article employs an option‐pricing framework to price and hedge the fair premia of mortgage insurance (MI). Our model provides improved performance in terms of MI premium pricing, especially during periods that are characterized by high housing prices. Ignoring the impacts of macroeconomic factors on housing prices will lead to an underestimation of MI premia.     

债务抵押契约发展分析

本文分析了资产支持证券的一个品种——债务抵押契约的特点和结构，结合国家开发银行发行的“2005开元一期”债务抵押债券进行了分析，并提出了在发展债务抵押契约等产品时降低利率风险的建议。     

Contracts offered by bureaucrats

We examine the power of incentives in bureaucracies by studying contracts offered by a bureaucrat to her agent. The bureaucrat operates under a fixed budget, optimally chosen by a funding authority, and she can engage in policy drift, which we define as inversely related to her intrinsic motivation. Interaction between a fixed budget and policy drift results in low‐powered incentives. We discuss how the bureaucrat may benefit from stricter accountability as it leads to larger budgets. Low‐powered incentives remain even in an alternative centralized setting, where the funding authority contracts directly with the agent using the bureaucrat to monitor output.     

The Incentive Effects of Increasing Per-Claim Deductible Contracts in Automobile Insurance

A new rating system of automobile insurance for vehicle damage in Taiwan was launched in 1996, introducing a deductible that increases with the number of claims. In this article, we provide a theoretical rationale for the existence of an increasing per‐claim deductible system and show that the new system is most likely an optimal choice for those insured who tend to have lower claims probability when incentives are present. Using a unique dynamic data set, we are able to conduct a natural experiment to examine the incentive effects (both positive and negative) by looking at the change in claim tendency before and after switching between two deductible plans: an increasing per‐claim deductible and a zero deductible. Our results provide direct evidence of the effects of deductible structures on claim behavior.     

The Benefits of Political Connection: Evidence from Individual Bank-Loan Contracts

This paper investigates whether political connections improve the access of firms to financing. We propose three hypotheses to prove that political benefits exist. First, do politically connected firms obtain preferential treatment for bank loans? Second, if these firms do obtain preferential treatment, do they benefit from government-owned banks (GOBs) more than from privately owned banks? Third, is the preferential treatment from GOBs enhanced during presidential election years? We examine these three questions by using detailed data on political connections and 69,332 individual bank-loan contracts for listed firms in Taiwan from 1991 to 2008. The empirical results generally support our hypotheses.