经济学研究与数学方法--从诺贝尔奖看数学在经济研究中的地位和作用

本文从32届诺贝尔经济学奖获奖成果和事实出发，分析了数学在经济学研究中的地位和作用，指出了经济理论与经济现象的一致性是推动经济学发展的根本动力，也是数学发展的源泉。经济理论的深化要经济学家与数学家的共同合作。     

Memorability of Nobel Prize laureates in economics

In this article, a measure for the Relative Memorability of Nobel Prize winners is proposed, based on an exponential forgetting curve. The intention is to provide a measure that captures the fading nature of memories with respect to individual Nobel Prize winners in the cultural collective memory. For fame and achievement of Nobel Prize laureates, measurement methods are already developed. However, from a cultural viewpoint, the question is how well these persons are remembered. Applying the concept of memorability, as defined in this article, to Nobel laureates in Economics, Milton Friedman, Paul Krugman and Joseph Stiglitz turn out to be the top-three economists in the collective memory. Moreover, the ranking of economists according the collective memory, their fame and their achievement produce quite different results.     

A note on the periodicities in the logistic analyses of growth processes

In real life growth processes there is always an intrinsic finite response time. This means that these systems do not respond instantaneously so that the logistic modeling of such processes should be formally described by a delayed logistic equation. This poses enormous difficulties to their time evolution modeling as there are no analytical solutions to the delayed logistic equation. In this paper we show that by performing a conventional Verhulst logistic modeling of the corresponding time series data, associated with a fine-coarse analysis of the resulting residuals, we can disclose the underlying periodicities due to the finite time response effects.     

Growth and inflation forecasts for Germany a panel-based assessment of accuracy and efficiency

We analyse forecasts of professional forecasters for Germany regarding the time span from 1970 to 2004. This novel panel data set renders it possible to assess the accuracy and efficiency of growth and inflation forecasts more efficiently than in previous studies. We argue that the forecasts are, on average, unbiased and weakly—but not strongly—efficient. Using model confidence sets suggested by Hansen et al. (2004), we find that, besides the effect of diverging forecasting dates, no other substantial differences in forecasting quality among forecasters exist. Nevertheless, on the basis of a direction-of-change analysis we argue that it is not always advisable to listen to the majority of forecasters.

美日诺贝尔科学奖多获得性成因分析及对中国科研管理的启示

自2015年屠呦呦获得诺贝尔生理医学奖以来,国内引发了众多学者对于诺贝尔科学奖的极大关注。纵观诺贝尔科学奖100多年的颁发历程,美国无疑是获奖最多的国家,而日本则是亚洲获奖最多的国家。为此,分析了美国、日本诺贝尔科学奖多获得性的主要成因,并提出针对中国科研管理的一些引领性建议和可能性举措。     

劳动力市场搜寻与匹配理论——2010年诺贝尔经济学奖得主的重要贡献

彼得.戴蒙德、戴尔.莫滕森和克里斯托弗.皮萨里德斯三人因在劳动力市场搜寻与匹配理论及其应用的突出贡献,共同获得2010年诺贝尔经济学奖。其中,戴蒙德通过提出著名的戴蒙德悖论,开创了劳动力市场搜寻与匹配理论框架;在此基础上,莫滕森认为,建立工资公告等匹配机制有助于劳动力市场博弈实现均衡,从而拓展了摩擦性失业相关理论研究;而皮萨里德斯则通过推动匹配函数与工资议价等的确立,进一步完成了劳动力市场搜寻与匹配理论的系统化过程。借鉴该理论,中国劳动力市场应做出提高信息传播效率、提高农村的信息水平、政府制定针对性相关政策等改进。     

Professional forecasts of interest rates and exchange rates: Evidence from the Wall Street Journal’s panel of economists

We analyze economists’ forecasts of interest rates and exchange rates from the Wall Street Journal. We find that a majority of economists produced unbiased forecasts but that none predicted directions of changes more accurately than chance. Most economists’ forecast accuracy is statistically indistinguishable from a random walk model in forecasting the Treasury bill rate, but many are significantly worse in forecasting the Treasury bond rate and the exchange rate. We also find systematic forecast heterogeneity, support for strategic models predicting the industry employing the economist matters, and evidence that economists deviate less from the consensus as they age.     

Application of logistic analysis to the history of physics

Recently, two analyses have tried to put technological progress in a larger context. One interpretation hypothesizes that technological progress is likely to continue at increasingly higher rates of change. Another interpretation, which includes data from the beginning of the universe to the present, suggests that the universe is approaching a transition point in a logistic development of complexity. This logistic development is similar to the way ideas or products diffuse in a population, i.e., the rate of discovery in a field of knowledge is proportional to the amount discovered and the amount to be discovered. To test a part of this hypothesis, a leading indicator field (fundamental physics) was identified and the events in the history of this field were analyzed. Twelve subfields were identified and grouped into six stages. Each stage seemed to demonstrate a logistic-like development. By analyzing both the median time of development and the characteristic time of development of these stages, the overall development of this one field was found to suggest logistic development. These data seem to indicate that development in fundamental physics is slowing down, with at least one subfield beyond string physics yet to be developed. The data tend to support the hypothesis that a knowledge field can develop logistically.     

财务危机预测模型的构建

基于Logistic回归模型,选取中国制造业上市公司作为样本对财务危机预测进行研究。从企业的盈利能力、营运能力、偿债能力、成长能力、现金流量等方面出发,选取了10个财务预警指标,经过回归分析得出,总资产收益率、总资产周转率、资产负债率、主营业务增长率、经营活动现金净流量对负债的比率五项财务指标对上市公司发生财务危机有重要影响。从而提出要从提高盈利能力、提升营运能力、增强偿债能力、提高成长能力、保障现金流的充足几方面来应对财务危机。     

Cross-country evidence on the quality of private sector fiscal forecasts

This paper provides evidence of the quality of private sector forecasts of the budget balance between 1993 and 2009 for a sample of 29 countries, grouped into advanced and emerging countries. We find large differences across the two groups: forecasts for advanced economies are much more accurate than for emerging economies and much less subject to a bias towards optimism (i.e. they are less likely to forecast a bigger budget balance than the realization). Forecasts for both groups, however, exhibit a tendency toward forecast smoothing: forecasts are revised slowly so that revisions to forecasts can be systematically predicted based on past revisions. This tendency proves costly around turning points in the economy when the budget balance moves sharply but the corresponding forecasts only adjust very slowly to the reality of the situation.     

Reassessing the empirical validity of the human-capital augmented neoclassical growth model

We reassess Mankiw, Romer and Weil's [mrw] version of the Solow model using, as did mrw, cross-sectional data to estimate the steady-state equation governing income per capita levels. The model fails in two critical areas. First, plausible factor shares obtained by mrw are not robust to the substitution of two measures of human capital that are more precise than the secondary school enrollment rates used by mrw. Second, the null hypothesis of an exogenous and identical level of technology in all countries is rejected. We also explain why the Solow model performed well despite the above shortcomings.     

诺贝尔经济学奖获得者的区域经济学思想分析

诺贝尔经济学奖获得者的区域经济学思想,涉及区域差异与贸易、区域经济发展、区域竞争与合作等,这些思想之间具有一定的关联。诺奖得主的学术观点反映出经济学研究越来越关注区域(空间)问题,区域经济研究越来越转向宏微观兼顾,研究方法更加精细化。诺贝尔经济学获奖者的区域经济学思想对区际贸易及我国区域经济差异等具有较强的解释力。受诺贝尔经济学获奖者区域经济学思想的启发,中国的相关研究应更加关注空间因素,注重对具有中国特色的事物及现象的研究,使区域经济研究向规范和精细化方向发展,同时关注制度创新研究,建立中国特色的区域经济学。     

Optimal fiscal policy in the neoclassical growth model revisited

This paper studies optimal taxation in a version of the neoclassical growth model in which investment becomes productive within the period, thereby making the supply of capital elastic in the short run. Because taxing capital is distortionary in the short run, the government׳s ability/desire to raise revenues through capital income taxation in the initial period or when the economy is hit with a bad shock is greatly curtailed. Our timing assumption also leads to a tractable Ramsey problem without state-contingent debt, which can give rise to debt-financed budget deficits during recessions.     

Forecasting technology diffusion: a new generalisation of the logistic model

The present research proposes a new generalisation of the logistic model aiming at technology diffusion forecasting. Regarding criticisms and failures reported in the literature to apply logistic function for long-term forecasting, in our work we focused on short-term accuracy of forecast. To formulate the model, based on mathematical approximation, at first the differential equation governing the diffusion process is found and then by solving the derived differential equation, the forecast function is obtained. In all steps, mathematical tools from numerical analysis are used. We compared the New Generalized Logistic Model with eight of the most renowned models in the literature. The model led to more accurate fits and forecasts than those obtained from other models we applied for comparison.     

Adding cycles into the neoclassical growth model

We propose a stochastic Solow growth model where a cyclical component is added to the total factor productivity process. Theoretically, an important feature of the model is that its main equation takes a state space representation where key parameters can be estimated via an unobserved component approach without involving capital stock measures. In addition, the dynamic properties of the model are mostly unaffected by the newly introduced cyclical component. Empirically, our novel framework is consistent with secular U.S. empirical evidence.     

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Motivated by economic-theory concepts – the Fisher hypothesis and the theory of the term structure – we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector autoregressions (VAR) in levels and in differences, a cointegrated VAR and a non-linear VAR with threshold cointegration based on data from Germany, Japan, UK and the US. Following a traditional comparative evaluation of predictive accuracy, we subject all structures to a mutual validation using parametric bootstrapping. Ultimately, we utilize the recently developed technique of Mallows model averaging to explore the potential of improving upon the predictions through combinations. While the simulations confirm the traded wisdom that VARs in differences optimize one-step prediction and that error correction helps at larger horizons, the model-averaging experiments point at problems in allotting an adequate penalty for the complexity of candidate models.