自由贸易与贸易保护主义——公平与效率问题

当今世界 ,贸易自由化成为世界经济发展的主流 ,降低关税和非关税壁垒成为各国双边和多边谈判的主要议题。自由贸易与贸易保护主义的争论由来已久 ,自由贸易的效率以及产生的不公平问题用“补偿原则”来解决是存在局限性的 ,所以 ,自由贸易和贸易保护主义之间政策的权衡十分必要。解决贸易自由化中不公平的问题应从政府制定规则、完善社会保障和建立社会道德标准三方面加以着手。     

INNOVATION AND GROWTH WITH RICH AND POOR CONSUMERS

This work studies the impact of income inequality on the level of innovative activities in a model where innovations result in quality improvements. In contrast to the standard model of innovations and growth, the equilibrium outcome may be characterized by a situation where not only the quality leader but also producers of worse qualities are on the market. In that case the quality leader sells to the rich, whereas the producer of the second‐best quality sells to the poor. In general, we find that a more equal distribution of income is favourable for innovation incentives. This is consistent with empirical evidence suggesting that countries with a more equal distribution of income have grown faster.     

ENTRY AND EXIT OF FIRMS AND UNDEREMPLOYMENT EQUILIBRIUM

This paper extends the standard Keynesian model of aggregate demand and supply allowing for imperfect competition, variable returns to scale, and entry and exit of firms. It distinguishes three phases of macroeconomic equilibria, stagnant, expansive and contractive, according to whether the number of firms is fixed or endogenously determined by the position of the aggregate demand curve. Using this model we show that a large shift in the aggregate demand affects the structure of the economy irreversibly and that the real wage or labor productivity may move procyclically rather than anticyclically. We also elucidate the asymmetric effects of fiscal and monetary policies on the entry of firms and employment.     

OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS

We study an optimal consumption and portfolio selection problem for an investor by a martingale approach. We assume that time is a discrete and finite horizon, the sample space is finite and the number of securities is smaller than that of the possible securities price vector transitions. the investor is prohibited from investing stocks more (less, respectively) than given upper (lower) bounds at any time, and he maximizes an expected time additive utility function for the consumption process. First we give a set of budget feasibility conditions so that a consumption process is attainable by an admissible portfolio process. Also we state the existence of the unique primal optimal solutions. Next we formulate a dual control problem and establish the duality between primal and dual control problems. Also we show the existence of dual optimal solutions. Finally we consider the computational aspect of dual approach through a simple numerical example.     

论货币与金银货币

关于货币产生过程 ,理论界根据马克思的《资本论》 ,普遍认为应划分为四个阶段 ,把货币阶段与金银货币阶段等同起来 ,认为货币即金银货币。本文提出了新观点 :认为根据有关的资料 ,也可以把货币的产生过程划分为五个阶段 ,不把货币与金银货币划等号 ,认为货币的产生应早于金银货币 ,并阐明了提出以上新观点的依据。     

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

Recent advances in the theory of credit risk allow the use of standard term structure machinery for default risk modeling and estimation. The empirical literature in this area often interprets the drift adjustments of the default intensity's diffusion state variables as the only default risk premium. We show that this interpretation implies a restriction on the form of possible default risk premia, which can be justified through exact and approximate notions of "diversifiable default risk." The equivalence between the empirical and martingale default intensities that follows from diversifiable default risk greatly facilitates the pricing and management of credit risk. We emphasize that this is not an equivalence in distribution, and illustrate its importance using credit spread dynamics estimated in Duffee (1999) . We also argue that the assumption of diversifiability is implicitly used in certain existing models of mortgage-backed securities.     

SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS

For data on market prices for 246 cliquets we consider pricing these exotic options using a relatively simple path space. The path space is subsequently stressed to market implied stress levels as well as stress levels predicted from contract characteristics. An additive process transitioning from a Sato process to a Levy process is formulated and estimated on vanilla options. Ask prices constructed from predicted stress levels are observed to have an in sample correlation of 92% with market prices. Interestingly, it is observed that capped cash flows have negative stress levels while uncapped products have positive stress levels. We illustrate the effect of hedging cliquet liabilities using call options as hedging assets permitting a 10% reduction in ask prices.     

电子政务与电子商务的同构与协同

本文基于电子政务与电子商务的基本内涵,详细分析了二者的"同构"、交集与关联,阐述了二者协同发展的思路和途径.本文分析了电子政务与电子商务的支撑体系(信用管理体系、法律环境、标准体系、基础管理体系等)的"同构"性、电子政务与电子商务在对外服务方面上的的交叉部分,以及电子政务与电子商务互促互进共同繁荣的发展路径和远景思路.     

INFORMATION AND INTERRELATIONS BETWEEN THE DEALER AND PRIVATE MARKETS

A competitive equilibrium model of the dealer and private markets is constructed where buyers in the private market obtain some but imperfect information about quality by observing some characteristic of the good while those in the dealer market have perfect information. Under some conditions, there may exist two equilibria. It is shown that one equilibrium is unstable and Pareto inferior to the other. Comparative static analysis are made in the Pareto superior equilibrium to conclude that the size of the dealer market is inversely related to the amount of information about quality contained in the observable characteristic.     

OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT

This paper considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price‐taking agent in a frictionless market, traders cannot be perfectly hedged because of execution costs and market impact. They indeed face a trade‐off between hedging errors and costs that can be solved by using stochastic optimal control. Our modeling framework, which is inspired by the recent literature on optimal execution, makes it possible to account for both execution costs and the lasting market impact of trades. Prices are obtained through the indifference pricing approach. Numerical examples are provided, along with comparisons to standard methods.