含有货币变量的宏观经济模型简析

现代宏观经济分析中,一般均衡框架是必不可少的重要因素。但是传统的一般均衡模型通常缺乏实际经济运行过程中一种不可或缺的因素———货币。所以,在传统的均衡或者非均衡模型中引入货币变量,并且判断和分析货币变量及货币政策的作用机制,就成为了货币经济学面对的一个挑战。通过对Tobin货币模型、货币内在效用模型和现金在先模型的分析表明,货币在经济中应该起到的确切作用和所承担的功能,尚未完全被清楚地认识,这为货币政策传导机制和作用机制过程中存在的不确定性留有大量理论探索的余地。     

利率期限结构理论研究综述

本文主要对利率期限结构的理论研究做综述,以20世纪70年代初和90年代末为分界线,70年代以前称为传统的利率期限结构,主要以描述性研究为主;70年代以后称为现代利率期限结构,主要以随机模型研究为主;从20世纪90年代末,开始了两极分化发展。本文分为三个部分：第一部分对20世纪70年代之前传统利率期限结构的描述性理论作了概括;第二部分是现代利率期限结构的定量模型,包括均衡模型和无套利模型;第三部分则主要介绍20世纪90年代末以来的一些最新研究进展,包括市场模型和宏观金融模型等。     

Eksamen i forsikringsvidenskab og statistik ved københavns universitet. l′ del. den skriftlige prøve

Abstract

Es kann nicht fehlen, dass sich der von Mises in zwei jüngst erschienenen Abhandlungen ¹ “Fundamentalsätze” und. “Grundlagen der Wahrscheinlichkeitsrechnung” in Lichtensteins mathem. Zeitschrift, 4 und 5. Band. angebahnten Neuordnung der Wahrscheinliehkeitsrechnung eine solche der mathematischen Statistik (in der Folge m. St.) anschliesst. Der genannte Forscher hat sie auch bereits angekündigt, ² Ibid. Band 5. S. 52. Wenn ich es trotzdem unternehme, in diesem Zeitpunkte mich über die Grundlagen dieser Wissenschaft zu äussern, so habe ich die Auffassung, dass bei dieser Neuordnung die Bedürfnisse der Praxis nicht übersehen werden sollten. Die Entwicklung, welche die theoretische Statistik auf Grund einer axiomatisch fundierten Wahrscheinlichkeitsrechnung mogölicherweisenehmen könnte, lässt die Befürchtung nicht von der Hand weisen, dass die der Forschung abträgliche Kluft, die dermalen zwischen den mathematisch orientierten und den Verwaltungs-Statistikern besteht, sich noch erweitere. Es ist an sich zu beklagen, dass die grosse schöpferische Arbeit der Ersteren auf die Praxis so gut wie keinen Einfluss genommen hat. In unseren Quellenwerken werden alljährlich grosse Mengen von Absolut- und Relativzahlen ohne jeden Anhaltspunkt fär ihre kritische Wertung veröffentlicht, obgleieh schon in der ersten theoretischen Statistik (von Theodor Wittstein), also schon vor mehr ala 50 Jahren, die bezäglichen Anforderungen klar formuliert und nachmalig des öfteren wiederholt wurden.     

夫妻联合长期护理保险的定价模型与应用

在人口老龄化和人口长寿背景下,社会对老年长期护理保障的需求不断增长,基于家庭保障的理念,本文将多元寿险模型推广到夫妻联合长期护理保险,构建了健康、轻度失能、重度失能和死亡的马尔科夫四状态转移模型,并在联合个体状态转移相互独立的假设下给出了夫妻联合长期护理保险定价模型.最后基于中国老年健康影响因素跟踪调查微观数据,实现了...     

高龄人口死亡率预测模型的比较与选择

高龄人口死亡率预测模型是人口预测、养老金成本和债务评估以及长寿风险度量与管理的基础。我国大陆地区高龄人口死亡数据量少、数据波动性大,如何选择适合我国高龄数据特点的死亡率预测模型,是重要的研究课题。本文在归纳总结死亡率预测模型研究进展的基础上,先采用数据较为充分的台湾地区高龄死亡数据,选用Lee-Carter、CBD、贝叶斯分层模型等八种死亡率模型,对模型的拟合效果、预测效果和稳健性做出比较。在此基础上,基于修正和平滑后的我国大陆人口死亡数据,采用CBD模型和贝叶斯分层模型建模和预测。结果显示:贝叶斯分层模型能捕捉我国大陆高龄死亡率数据的历史波动,预测区间能够涵盖全部死亡率的真实值,但预测区间过宽,生存曲线不收敛;相比之下,CBD模型对我国大陆地区高龄死亡率的拟合和预测较好,预测区间和生存曲线合理。在长寿风险度量中,建议采用CBD模型。     

人寿保险公司应税所得确认模式的国际比较

目前,世界上主要有三种确认人寿保险公司应税所得的模式,即以会计报告为基础的主流模式、以英国为代表的I-E模式、以新西兰为代表的I-E U模式。在不同模式的选择上不存在一个真理性的客观标准,从不同目的出发、在不同的约束条件和各具差异的税制传统下存在不同的选择。     

A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates

In this paper, we first propose a multi-dimensional Bühlmann credibility approach to forecasting mortality rates for multiple populations, and then compare forecasting performances among the proposed approach, the CBD model, the Lee-Carter model (LC), the joint-k (JoK-LC), the co-integrated (CoI-LC), and the augmented common factor (ACF-LC) Lee-Carter models for multiple populations. Mortality data from the Human Mortality Database are fitted to the underlying mortality models for both genders of three well-developed countries (the US, the UK, and Japan) and both genders of a developed country (France) and a developing country (Poland) with an age span 25–84 and a wide range of fitting year spans. Empirical illustrations show that the proposed multi-dimensional Bühlmann credibility approach contributes to more accurate forecast results, measured by AMAPE (average of mean absolute percentage errors over all fitting year spans), than the CBD, LC, JoK-LC, CoI-LC and ACF-LC models for three forecasting year spans 2004–2013 (10-year wide), 1994–2013 (20-year wide) and 1984–2013 (30-year wide).     

Multi-population mortality models: fitting,forecasting and comparisons

We review a number of multi-population mortality models: variations of the Li & Lee model, and the common-age-effect (CAE) model of Kleinow. Model parameters are estimated using maximum likelihood. Although this introduces some challenging identifiability problems and complicates the estimation process it allows a fair comparison of the different models. We propose to solve these identifiability problems by applying two-dimensional constraints over the parameters. Using data from six countries, we compare and rank, both visually and numerically, the models’ fitting qualities and develop forecasting models that produce non-diverging, joint mortality rate scenarios. It is found that the CAE model fits best. But we also find that the Li and Lee model potentially suffers from robustness problems when calibrated using maximum likelihood.     

A Cross-Sectional Empirical Test of a Dual-State Multi-Factor Pricing Model

During empirical testing of the Capital Asset Pricing Model an assumption is typically made that risk is intertemporally constant. However, prior research finds that risk changes over time. We empirically test a conditional dual-state cross-sectional model allowing risk to change through prior identification of different market and economic states. We examine relationships between returns and conditional market and economic-factor betas, size, book-to-market equity, and earnings-price ratios. We find that relationships shift across regimes, suggesting the importance of a conditional, as opposed to unconditional, model. Relationships also change in January.     

期货最优套期保值比率研究评述

套期保值、价格发现、资产配置是期货市场的三大基本职能。而在这三种职能中，最为重要的是套期保值，它是期货市场得以生存和发展的关键动因。在国内外套期保值研究中，最优套期保值比率的估计是套期保值研究最为核心的问题。而运用期货套期保值理论进行实践更是随着套期保值比率估计模型的不断优化、完善而向前发展的，本文通过对国内外套期保值研究相关文献进行分类，整理，综述，梳理出最优套期保值比率估计的研究思路和相关实证技术路线，概括出国内外最优套保比率的研究框架，以此来向国内相关研究学者指出未来的进一步研究方向，同时对国内期货交易主体进行套期保值操作提供了估计模型的选择建议。     

关于权证定价修正模型的比较研究——基于交易成本和股息分红因素的分析框架

在我国股权分置改革中，权证推动了证券市场的金融创新。鉴于权证定价可以借鉴期权理论，国外B—S模型对我国权证市场的创新和风险管理具有一定的参考意义。本文采用B—S定价模型定价宝钢认购权证和长电认购权证，分别从交易成本和股息分红的角度进行了相应的模型调整，以改进、完善适应我国权证市场的定价方法。     

国内商品市场最优投资组合分析

文章从目前国内期货市场投资者所面临的问题出发,总结对比了国外成熟市场中商品基金的发展情况,提出了国内市场迫切需要开放商品投资基金的看法。在实证部分,文章利用2010年上半国内各商品期货成交额的比重为权重,构建了商品期货价格指数,最后采用Treynor-Black model构建了涵盖14种商品的投资组合。在文章最后的跟踪检验中,投资组合在8月震荡市中的表现跑赢商品期货价格指数1.32%,达到了理想的效果。     

商业银行内部评级体系构建的模型风险研究

自上个世纪70年代以来,风险管理模型为银行的风险量化管理提供了工具,但也同时引致了模型风险。除少数银行外,大多数商业银行在实施内部评级法时都着力构建自己的风险管理模型体系。不论是直接引入外部模型还是自我构建模型,都必然存在模型风险的问题,其模型风险主要产生于基础模型和构建过程两个方面。由于中国正处于转轨经济阶段,因此中国商业银行在内部评级体系构建中的模型风险除了来源于基础模型、模型数据以外,模型使用环境的特殊性也是一个不可忽视的因素。压力测试和极端值方法是避免模型风险的有效技术手段,而风险文化的建设则是规避模型风险的根本所在。     

论资本市场中的信息披露问题

本文分析论述了资本市场信息披露的含义、意义 ,分析了会计模式、审计模式以及监管当中目前存在的问题 ,并给出了一些解决问题的对策     

Incorporating the Bühlmann credibility into mortality models to improve forecasting performances

In this paper, we incorporate the Bühlmann credibility into three mortality models (the Lee–Carter model, the Cairns–Blake–Dowd model, and a linear relational model) to improve their forecasting performances, as measured by the MAPE (mean absolute percentage error), using mortality data for the UK. The results show that the MAPE reduction ratios for the three mortality models with the Bühlmann credibility are all significant. More importantly, the MAPEs under the three mortality models with the Bühlmann credibility are very close to each other for each age and forecast year. Thus, by incorporating the Bühlmann credibility we are able to converge the forecasting MAPEs resulting from the three different mortality models to a lower and more consistent level. Moreover, we provide a credibility interpretation with an individual time trend for age x and a group time trend for all ages. Finally, we apply the forecasted mortality rates both with and without the Bühlmann credibility to the net single premiums of life insurance products, and compare the corresponding MAPEs.     

基于价值链的企业利润模式优化研究——以中石油为例

利润模式是一种能够为企业带来收益的模式,是企业赖以生存的基础。利润模式决定了企业在价值链中的位置,并指导企业如何赚钱。优秀的利润模式可以将企业内部资源与外部资源有机整合,利用内外部有利的机会,扬长避短,为企业带来丰厚的利润。石油资源作为战略性资源,关系到国民经济和社会发展,关系到国家安全,构建一个优秀的利润模式既是中石油企业发展的需要,也是贯彻我国石油战略,保障我国石油安全的需要。     

Profitability and investment‐based factor pricing models

Ex ante predictors of stock returns must exhibit explanatory power across the feasible set of investments. But empirical results of factor pricing models that incorporate firm investment and profitability cannot explain the apparently high returns of US small stocks with very high investment levels and very low profitability. Whilst these stocks comprise only a small fraction of US data sets, this is not the case across global markets. Using a data set that is concentrated with stocks that exhibit high investment despite low profitability, we demonstrate that such factor models are limited in their explanatory power over these stocks.     

A logistic two-population mortality projection model for modelling mortality at advanced ages for both sexes

In the current literature, numerous mortality projection models have been proposed and tested, but in general they have been designed for and applied to mainly ages below 90. As medical advances are being shifted to older ages over time and there is a rapid growth in the number of centenarians, there is a need to expand the modelling to older ages. We propose a logistic two-population mortality projection model for the death rates at ages 80 to 100+ for both sexes. We apply this model and its extensions to high quality old-age mortality data of Belgium, Sweden, Switzerland, and the UK and produce decent model performance in both mortality fitting and forecasting. The model structure also provides a reasonable way to close off the life table, which is supported by both theoretical arguments and empirical evidence.     

How should we estimate value-relevance models? Insights from European data

We study the consequences of unobserved heterogeneity when employing different econometric methods in the estimation of two major value-relevance models: the Price Regression Model (PRM) and the Return Regression Model (RRM). Leveraging a large panel data set of European listed companies, we first demonstrate that robust Hausman tests and Breusch-Pagan Lagrange Multiplier tests are of fundamental importance to choose correctly among a fixed-effects model, a random-effects model, or a pooled OLS model. Second, we provide evidence that replacing firm fixed-effects with country and industry fixed-effects can lead to large differences in the magnitude of the key coefficients, with serious consequences for the interpretation of the effect of changes in earnings and book values per share on firm value. Finally, we offer recommendations to applied researchers aiming to improve the robustness of their econometric strategy.