Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach

This paper examines an asset pricing model in which the Sharpe-Lintner CAPM and the zero-beta CAPM are special cases. The model allows the ratio of expected market risk premium to market variance, the conditional expected excess returns, and the risks to change over time. The results are found to be sensitive to the choice of the portfolio formation techniques. Significant time variability is shown in the conditional expected excess asset returns and risks and also in the reward-to-risk ratio.     

Bentham or Nash? On the Acceptable Form of Social Welfare Functions*

The acceptability of the Nash Social Welfare Function is questioned because a minute (perhaps hardy perceivable) welfare change of someone with a very low welfare level might overwhelm enormous welfare changes of others. The axiomatic derivation of the Nash SWF by Kaneko and Nakamura is analyzed. Arguments for and against social welfare as separable in, linear in, and an unweighted sum of individual welfares are critically discussed. Separability follows from the individualistic ethics (Fleming, Sugden and Weale). Linearity follows from the ‘logic’ of rational choice in the face of risk (Harsanyi). (Diamond's counter-example is rejected.) Unweighted sum follows from either (i) informational restriction precluding interpersonal comparison of welfare levels (D'Aspremont and Gevers, Maskin); or (ii) with finite sensibility, equation of just-perceivable increments of welfare across persons (Edgeworth) or the Weak Majority Preference Criterion (Ng).     

Public Choice and Accounting Standard Setting in New Zealand: An Exploratory Study

Recent studies in accounting regulation have used either the capture argument or the pluralistic notion to describe the enactment of accounting regulations. This paper explores the nature of the impact of public choice in accounting standard setting in New Zealand using the pluralistic notion. To provide an insight into the standard-setting process, this paper involves an examination of the establishment, withdrawal and re-establishment of New Zealand's most controversial standard after current cost accounting — the standard on investment property accounting (SSAP 17). The investigation considers the nature of public choice in the agenda entrance, demand and supply factors influencing standard setting in New Zealand. The results indicate that the New Zealand accounting standard-setting process is pluralistic in a limited way. Like most other English-speaking countries, the scope of participation for certain groups has been institutionalized on the supply side by way of membership of standard-setting committees of the New Zealand Society of Accountants. On the demand side, however, consumers of accounting have been provided with only limited scope for participating in the formal process of standard setting. Nevertheless, other means (i.e., exogenous and informal ones) may be used to influence the process. Overall, from both the demand and supply perspectives of regulation, the Big-8 accounting firms (as they were previously known) followed by the preparers of financial statements, seem to have greater participatory capacity in the New Zealand standard-setting process.     

Hall's consumption hypothesis and durable goods

Hall shows that consumption obeys an AR(1) process if the life cycle-permanent income hypothesis is true. This paper expands Hall's framework to show that expenditure on durable goods should be ARMA(1, 1) but not AR(1). Post-war U.S. data rejects the expanded model.     

城市物流需求供给研究

对物流需求进行分析的同时,构建了较为全面的物流需求指标体系,同时利用多种预测方法对各个指标进行了动态预测,最后建立了物流需求供给匹配模型。     

物流行为链机理研究

介绍了物流行为链静态结构和功能结构,阐述了行为链“六要素”及链接规则,以及构成物流行为链的内部机理和运行模式。     

The baby boom,the baby bust,and the housing market

This paper explores the impact of demographic changes on the housing market in the US, 1st by reviewing the facts about the Baby Boom, 2nd by linking age and housing demand using census data for 1970 and 1980, 3rd by computing the effect of demand on price of housing and on the quantity of residential capital, and last by constructing a theoretical model to plot the predictability of the jump in demand caused by the Baby Boom. The Baby Boom in the U.S. lasted from 1946-1964, with a peak in 1957 when 4.3 million babies were born. In 1980 19.7% of the population were aged 20-30, compared to 13.3% in 1960. Demand for housing was modeled for a given household from census data, resulting in the finding that demand rises sharply at age 20-30, then declines after age 40 by 1% per year. Thus between 1970 and 1980 the real value of housing for an adult at any given age jumped 50%, while the real disposable personal income per capita rose 22%. The structure of demand is such that the swelling in the rate of growth in housing demand peaked in 1980, with a rate of 1.66% per year. Housing demand and real price of housing were highly correlated and inelastic. If this relationship holds in the future, the real price of housing should fall about 3% per year, or 47% by 2007. The theoretical model, a variation of the Poterba model, ignoring inflation and taxation, suggests that fluctuations in prices caused by changes in demand are not foreseen by the market, even though they are predictable in principle 20 years in advance. As the effects of falling housing prices become apparent, there may be a potential for economic instability, but people may be induced to save more because their homes will no longer provide the funds for retirement.     

SHOULD THE SOUTHEAST ASIAN COUNTRIES FORM A CURRENCY UNION?

This paper examines some of the factors related to the formation of a currency union in Southeast Asia. The main part of the paper presents the results of our examination of the correlation of shocks for the Southeast Asian countries using a structural vector autoregression. The shocks are identified using restrictions on the long‐run coefficient matrix as suggested by Blanchard and Quah (1989). The correlations of shocks for the EU and NAFTA countries are used for comparison. The Southeast Asian countries are shown to have more strongly correlated shocks than the EU countries. Compared with the NAFTA countries, external shocks are more closely correlated for the ASEAN countries, but the supply and demand shocks are less correlated. Indonesia, Singapore, and Malaysia, in particular, exhibit a high degree of correlation of shocks. Other criteria for monetary union, such as intra‐regional trade, openness of the economy, and similarity of monetary policy are also examined.     

中国经济增长质量的国际比较

经济增长是人类永恒的主题,也是世界各国共同追求的目标。经济增长不仅要注重量的积累,更要重视质的提高。虽然中国经济增长总量已居世界前列,但经济增长的质量却并不令人满意。文章通过对中国与世界十五个国家进行比较发现,中国在经济增长效率、经济增长结构方面和发达国家、“金砖国家”存在较大差距,在稳定性和国民经济素质方面表现较优,需要通过提高经济增长效率、优化增长结构、提升福利水平并加大资源环境保护使经济增长方式向集约型转变,以此提高经济增长的质量。     

多元规一法在页岩油气勘查评价中的应用——以辽河西部凹陷沙三中亚段为例

利用辽河西部凹陷沙河街组三段中亚段分析实验测试数据和层次分析法,通过对多元页岩油气地质数据进行无量纲化和规则化处理,发现可以将其整合为具有"综合有利因子"意义的无量纲特征值,从而实现对研究区页岩油气勘探有利程度的定量化评价,同时发现对于西部凹陷沙河街组三段中亚段而言,存在中部和南部两个相对有利程度更高有利于页岩油气勘探评价井实施的区域。该方法具有较强的工具意义,可以简明清晰地凸显页岩油气多元地质信息,为页岩油气地质数据分析提供了一种有效的方法和技术思路。