高新技术开发区在区域创新中的作用及发展对策

区域创新是提升区域竞争力的根本动力,高新技术开发区则是区域不断创新的极点与载体。高新技术开发区对区域创新网络的构建以及高新技术开发区各主体对区域创新都具有非常重要的作用。在科学发展观指导下采取有力的措施,提高高新技术开发区自身的创新能力、促进高新技术开发区的进一步发展就尤为重要。     

股权分置改革：效应分析与优化对策

本文在简要分析股权分置制度缺陷的基础上,探讨了股权分置改革将使资本市场产生的效应,分析股权分置改革完成后中国证券市场在功能、规则、行为、理念和监管等领域可能发生的重大变化,为深入推进我国股权分置改革提供借鉴和建议。     

The influence of debt management on the term-structure of interest rates

Summary This article focuses onthe influence of debt management on the term-structure of interest rates. Four theories are discussed which try to explain the factors influencing the term-structure. It proved that the four theories could be distinguished according to three aspects which have been investigated by means of analysis of variance and of the estiamtion of two reduced form equations with Dutch data during the period 1950 through 1973. It could be concluded that the liquidity preference theory and to a smaller extent the preferred habitat theory fitted the data relatively well. From this it followed that the influence of debt management on the term-structure of interest rates is rather small. This article is an elaboration of a paper written at the end of the author’s study at Groningen State University. He thanks Dr. S. K. Kuipers, Mr. P. W. Otter and Mr. B. S. Wilpstra, all connected with the Groningen State University, for their advice during the writing of the paper. He also thanks Mr. A. van der Veen, who took care of all the calculation which was necessary for the elaboration. He further thanks Dr. M. M. G. Fase for the comments he made on a previous version of this article. The author works at the Central Bureau of Statistics in The Hague.     

On the use of measure-valued strategies in bond markets

We propose here a theory of cylindrical stochastic integration, recently developed by Mikulevicius and Rozovskii, as mathematical background to the theory of bond markets. In this theory, since there is a continuum of securities, it seems natural to define a portfolio as a measure on maturities. However, it turns out that this set of strategies is not complete, and the theory of cylindrical integration allows one to overcome this difficulty. Our approach generalizes the measure-valued strategies: this explains some known results, such as approximate completeness, but at the same time it also shows that either the optimal strategy is based on a finite number of bonds or it is not necessarily a measure-valued process.Received: November 2002, Mathematics Subject Classification: 60H05, 60G60, 90A09JEL Classification: G10, E43The first author gratefully acknowledges financial support from the CNR Strategic Project Modellizzazione matematica di fenomeni economici. We thank professors A. Bagchi, R. Douady and J. Zabczyk for helpful discussions. A special thanks goes to professors T. Björk, Y. Kabanov and W. Schachermayer for comments and suggestions which contributed to improve the final version of this paper.     

发展劳务经济促进小康建设--提高安徽农村居民收入的思考

农民收入低下是安徽农村小康建设的难点。根据安徽省的资源禀赋和农村剩余劳动力存量大的现状,因势利导发展劳务经济既是提高我省农民收入的现实需要,也必将对加快安徽全面小康的进程起到积极的推动作用。     

Processi stocastici semi-markoviani non-omogenei conservativi

In questo lavoro si introduce il concetto di non-omogeneità nei processi stocastici semi-markoviani conservativi. Si dimostra un teorema di esistenza per la soluzione dell’equazione integrale associata al processo. Si studia infine in un caso particolare il comportamento asintotico di tale soluzione.

---

Aim of this paper is to state an existence theorem for the integral equation imbedded with a non-homogenous semi-markov process. If some stochasticity conditions are satisfied, the solution is sole. Finally we study the asymptotic behaviour of this solution in a particular case, that is for a class of birth-and-death linear non-homogenous process.

---

---

Lavoro svolto nell’ambito del GNIM-CNR, Sezione problemi non numerici.     

Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

We empirically compare Libor and Swap Market Models for thepricing of interest rate derivatives, using panel data on pricesof US caplets and swaptions. A Libor Market Model can directlybe calibrated to observed prices of caplets, whereas a SwapMarket Model is calibrated to a certain set of swaption prices.For both models we analyze how well they price caplets and swaptionsthat were not used for calibration. We show that the Libor MarketModel in general leads to better prediction of derivative pricesthat were not used for calibration than the Swap Market Model.Also, we find that Market Models with a declining volatilityfunction give much better pricing results than a specificationwith a constant volatility function. Finally, we find that modelsthat arechosen to exactly match certain derivative prices areoverfitted; more parsimonious models lead to better predictionsfor derivative prices that were not used for calibration. JELClassification: G12, G13, E43.     

Price rigidity and market-clearing: a conceptual clarification

This article tests the view (derived from Hicks and Patinkin)that non-market clearance may be caused by slow adjustment (‘processrigidity’). There are models where market-rationing ispresent and derives from some form of rigidity, but this rigiditycannot be considered as process rigidity. It is similarly possibleto accommodate the idea of process rigidity within the Marshallianresearch programme. What is missing is that market-rationingmight be its corollary. The reason such a causal link is oftenbelieved to exist lies in a generic use of the concept of rigidity,used to designate alternative and incompatible phenomena: ‘exogenousend-state rigidity’ and ‘equilibrium end-state rigidity’,as well as process rigidity. It is true that these first twoforms of rigidity create market rationing. The belief that slowadjustment also generates market rationing results from theunwarranted extension to process rigidity of conclusions whichare only valid for the first two.     

Competition,transmission and bank pricing policies: Evidence from Belgian loan and deposit markets

This paper addresses the pass-through from market interest rates to retail bank interest rates. The paper advocates a heterogeneous approach and applies it to the Belgian banking market. A substantial proportion of the heterogeneity in bank pricing policies can be explained by the bank lending channel and the relative market power hypothesis. The results also suggest that the long-term pass-through is typically less than one-for-one, rejecting the completeness hypothesis. While there is no convincing evidence for asymmetry in retail rates, large deviations from equilibrium mark-ups are faster reduced than small deviations. Overall, conditions for corporate loans are more competitive compared to consumer loans. Demand and savings deposits have, by far, the most rigid prices.     

Optimal prepayment and default rules for mortgage-backed securities

We study the optimal stopping problems embedded in a typical mortgage. Despite a possible non-rational behaviour of the typical borrower of a mortgage, such problems are worth to be solved for the lender to hedge against the prepayment risk, and because many mortgage-backed securities pricing models incorporate this suboptimality via a so-called prepayment function which can depend, at time t, on whether the prepayment is optimal or not. We state the prepayment problem in the context of the optimal stopping theory and present an algorithm to solve the problem via weak convergence of computationally simple trees. Numerical results in the case of the Vasicek model and of the CIR model are also presented. The procedure is extended to the case when both the prepayment as well as the default are possible: in this case, we present a new method of building two-dimensional computationally simple trees, and we apply it to the optimal stopping problem.