违约风险与贷款定价:一个基于期权方法和软预算约束的新模型

由于忽视了软预算约束导致的"优先原则"不成立以及由此产生的还贷道德风险等现实问题,贷款定价传统期权方法在中国的适用性受到了影响。通过引入信贷合同效率,本文构造了二维违约风险,并据此建立了贷款定价的新模型。新模型解决了上述问题,得到以下结论:第一类与第二类违约风险的联动对贷款定价的影响是不确定的,第一类与第二类违约风险相关度越高则贷款定价越低,贷款期限与贷款定价之间的关系受违约风险构成的影响等。     

PROPOSAL FOR A NEW MEASURE OF CORRUPTION, ILLUSTRATED WITH ITALIAN DATA

Standard cross-national measures of corruption are assembled through surveys. We propose a novel alternative objective measure that consists of the difference between a measure of the physical quantities of public infrastructure and the cumulative price government pays for public capital stocks. Where the difference is larger between the monies spent and the existing physical infrastructure, more money is being siphoned off to mismanagement, fraud, bribes, kickbacks, and embezzlement; that is, corruption is greater. We create this measure for Italy's 95 provinces and 20 regions as of the mid-1990s, controlling at the regional level for possible differences in the costs of public construction.     

SCREENING FOR A CHRONIC DISEASE: A MULTIPLE STAGE DURATION MODEL WITH PARTIAL OBSERVABILITY

We estimate a dynamic multistage duration model to investigate how early detection of diabetes can delay the onset of lower extremity complications and death. We allow for partial observability of the disease stage, unmeasured heterogeneity, and endogenous timing of diabetes screening. Timely diagnosis appears important. We evaluate the effectiveness of two potential policies to reduce the monetary costs of frequent screening in terms of lost longevity. Compared to the status quo, the more restrictive policy yields an implicit value for an additional year of life of about $50,000, whereas the less restrictive policy implies a value of about $120,000.     

A BUFFER STOCK MODEL OF THE DEMAND FOR MONEY BY THE PERSONAL SECTOR

This paper examines the forward-looking rational expectations buffer stock model of Cuthbertson and Taylor (1987) in the context of the personal sector of the UK. The buffer stock model is evaluated for both narrow and broad money definitions in the UK using the encompassing the VAR methodology of Mizon (1984). This suggests that the buffer stock model is a congruent model, and that the broad definition is the most appropriate aggregate with which to model buffering behaviour — in line with previous studies, Mizen (1992). Further analysis of the models, in the light of Hendry (1988), confirms this view.     

A NEW ARCHITECTURE FOR THE U.S. NATIONAL ACCOUNTS

The key elements of a new architecture for the U.S. national accounts have been developed in a prototype system constructed by Dale W. Jorgenson and J. Steven Landefeld, Director of the Bureau of Economic Analysis, U.S. Department of Commerce. The focus of the U.S. national accounts is shifting from economic stabilization policy toward enhancing the economy's growth potential. A second motivation for the new architecture is to integrate the different components of the decentralized U.S. statistical system and make them consistent.     

基于产出模型的耕地价格评估方法

要实现耕地资源的可持续利用，需要建立耕地资源可持续利用的经济约束机制，而这种机制必须以耕地资源价值核算为基础。文章详细分析了耕地产出的影响因子，并针对具体情况，初步确立了适宜我国国情的耕地产出模型，提出了相应的耕地价格评估方法，同时以江苏省吴江市为例，对该方法进行了实际应用，并和他人的研究成果进行了比较，评述了本方法的优缺点。     

A NOTE ON COMPUTATION OF THE DOUBLE-HURDLE MODEL WITH DEPENDENCE WITH AN APPLICATION TO TOBACCO EXPENDITURE

This note shows how the sample likelihood of the full double-hurdle model with dependence can be reformulated to allow estimation with standard econometric software. An illustrative example is provided, using data on tobacco expenditure by households in the 1984 UK Family Expenditure Survey.     

基于VAR模型的通货膨胀与经济增长关系研究

通货膨胀是衡量宏观经济运行是否稳定和健康的重要指标。通货膨胀与经济增长之间的关系,是当前理论界密切关注的重大经济问题。计量经济分析结果表明,通货膨胀与经济增长具有双向的格兰杰因果关系,通货膨胀受自身波动的影响较大,上游产品价格明显上涨会对未来通货膨胀形成较大的压力,货币供应量较快增长会对通货膨胀产生一定的影响。     

组合预测模型在区域物流需求预测中的应用

针对单一预测方法用于区域物流需求量预测存在的不足,文章提出了基于预测有效度的组合预测模型,即通过组合多个单一模型的预测结果,发挥各自的优点,提高预测的精确度。以广东省江门市为例,分别采用线性回归模型、灰色GM(1,1)模型和组合预测模型对其物流需求量进行了预测,实证结果表明区域物流需求组合预测模型能够取得更高的预测精度。     

具有行业和区域特征的中国创新活动模型

利用Panel Data模型对1998—2002年间中国各省(西藏除外)14个最具有创新能力的行业数据进行分析,结果表明,企业自身的研发能力、相关企业的集聚、学校研发的成果与能力以及研发中介机构等区域创新技术基础要素的地理集中在创新过程中起着基础作用。不同区域创新技术基础要素对创新的影响程度不同。同时,区域创新技术基础要素之间也存在相互作用,这种交流进一步促进了创新的发展。     

THE RISK‐FREE RATE IN A FINITE HORIZON MODEL WITH BEQUESTS

This paper studies the risk‐free rate in an overlapping generations economy with bequests. It is shown that the risk‐free rate depends on risk aversion, the elasticity of intertemporal substitution, the share of wealth invested in human wealth, life expectancy, and the preference for bequests. In a standard life‐cycle context, mortality increases the subjective time rate of discount, and thus increases the compensation required to postpone consumption. This latter effect is offset in a bequest‐driven model of the type considered here, leading to much more powerful income effects. In this sense, the model provides a bequest‐motive explanation for the risk‐free rate puzzle put forward by Weil in 1989.     

华中旅游圈的空间结构模式及发展战略研究

旅游资源分布的区域性决定了旅游活动的差异性,以城市为核心形成旅游地域系统是现代旅游业发展的一个典型特征。本文以点轴发展理论和圈层空间结构理论为指导,对华中旅游圈的空间结构模式和发展战略进行了研究。     

THE AD-AS MODEL AND ITS SOLUTIONS: SOME NEW RESULTS IN A DISEQUILIBRIUM PERSPECTIVE*

This paper discusses the logical foundation and the solutions of a microfounded aggregate demand … aggregate supply model under the disequilibrium hypothesis. We first show that a) the latter hypothesis is the only one ensuring model consistent expectations and that b) price predetermination, more than price flexibility, should be embodied in an AD-AS framework. Then we develop a full AD-AS scheme, both under excess supply and excess demand for labour. We prove that in the latter case no well defined equilibrium exists. Finally, we discuss stability and perform some comparative statics exercises.