CREDIT CYCLES REDUX*

Theoretical studies have shown that under unorthodox assumptions on preferences and production technologies, collateral constraints can act as a powerful amplification and propagation mechanism of exogenous shocks. We investigate whether or not this result holds under more standard assumptions. We find that collateral constraints typically generate small output amplification. Large amplification is obtained as a “knife‐edge” type of result.     

从“中国制造”走上“中国创造”

制造业是世界任何一个工业化国家生产能力的基础，我国是继美国、日本、德国之后又一个制造大国。但是“制造大国，大而不强”。世界对制造强国的标志认定已有共识，主要包括：具备强大的产品自主开发能力和技术创新能力，拥有大批具有自主知识产权的重要产品和国际领先的重要制造技术；拥有国际竞争力的     

苏南民营企业诚信发展之我见

苏南地区的民营企业正以超常的速度迅猛发展，以无锡市为例，目前注册资本在1000万元以上的已达994户，5000万元以上的达132户，超亿元的有37户。从2000年至2003年，全市改制为私营企业的有19000家，已经成为促进经济增长的生力军。研究民营企业的成长轨迹，探讨其以诚信求发展的方略，是一个十分有意义的课题。     

A theoretical framework to evaluate different margin‐setting methodologies

The margin system is the first line of defense against the default risk of a clearinghouse. From the perspectives of a clearinghouse, the utmost concern is to have a prudential system to control the default exposure. Once the level of prudentiality is set, the next concern will be the opportunity cost of the investors, because high opportunity cost discourages people from hedging futures, and thus defeats the function of a futures market. In this article, we first develop different measures of prudentiality and opportunity cost. We then formulate a statistical framework to evaluate different margin‐setting methodologies, all of which strike a balance between prudentiality and opportunity cost. Three margin‐setting methodologies, namely, (1) using simple moving averages; (2) using exponentially weighted moving averages; (3) using a GARCH approach, are applied to the Hang Seng Index futures. Keeping the same prudentiality level, it is shown that the one using a GARCH approach by and large gives the lowest average overcharge. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:117–145, 2004     

The index futures markets: Is screen trading more efficient?

This article uses a nonparametric test based on the arc‐sine law (see, e.g., Feller, 1965 ), which involves comparing the theoretical distribution implied by an intraday random walk with the empirical frequency distribution of the daily high/low times, in order to address the question of whether the abandonment of pit trading has been associated with greater market efficiency. If market inefficiencies result from flaws in the market microstructure of pit trading, they ought to have been eliminated by the introduction of screen trading. If, on the other hand, the inefficiencies are a reflection of investor psychology, they are likely to have survived, unaffected by the changeover. We focus here on four cases. Both the FTSE‐100 and CAC‐40 index futures contracts were originally traded by open outcry and have moved over to electronic trading in recent years, so that we are able to compare pricing behavior before and after the changeover. The equivalent contracts in Germany and Korea, on the other hand, have been traded electronically ever since their inception. Our results overwhelmingly reject the random‐walk hypothesis both for open‐outcry and electronic‐trading data sets, suggesting there has been no increase in efficiency as a result of the introduction of screen trading. One possible explanation consistent with our results would be that the index futures market is characterized by intraday overreaction. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:337–357, 2004     

An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short‐ and long‐run hedge ratios

This article analyzes the effects of the length of hedging horizon on the optimal hedge ratio and hedging effectiveness using 9 different hedging horizons and 25 different commodities. We discuss the concept of short‐ and long‐run hedge ratios and propose a technique to simultaneously estimate them. The empirical results indicate that the short‐run hedge ratios are significantly less than 1 and increase with the length of hedging horizon. We also find that hedging effectiveness increases with the length of hedging horizon. However, the long‐run hedge ratio is found to be close to the naïve hedge ratio of unity. This implies that, if the hedging horizon is long, then the naïve hedge ratio is close to the optimum hedge ratio. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:359–386, 2004     

关于上海地区屋顶绿化的思考

在上海市平面绿化工作已初见成效,大型公共绿地越来越多,城市越来越美之时,构建立体绿化 成为当务之急。本文通过对上海地区屋顶绿化的现状及存在的问题的阐述,结合绿化植物的选择和维护的一 些基本理论,展示了屋顶绿化广阔的发展前景。     

双旋Y切石英振子厚度模式的频温特性的研究

本文利用描述固体中弹性声波的克里斯托费尔方程,建立了双旋Y切石英振子厚度模式的频温特性分析方法,并编制了相应的计算机程序。该程序可给出双旋Y切石英振子在任意切角(ф_3ф_1)下的厚度模(a、b、c模)的频率温度特性曲线。文中给出了单旋AT切、BT切(b模)、双旋SC切(b、c模)、FC切、IT切、LC切、NL_1切、NL_2切、AK切等各已知切型的频温特性曲线。对石英谐振器的切角灵敏度和切角误差进行了分析。     

国有商业银行体制改革的思路探讨

国有商业银行的体制改革，关系到国有商业银行生死存亡。如何做好国有商业银行的体制改革，可以从构造多元化的产权制度、完善国有商业银行的业务功能、建立和完善国有商业银行的激励约束机制以及构筑国有商业银行与企业的新型银企关系等方面着手。     

我国上市公司盈余管理的原因及对策

上市公司的盈余管理现象是困扰我国证券市场的一大难题。本文从应计制会计的特点、会计盈余信息的有用性与信息的不对称、市场环境和我国上市公司特有的治理结构剖析了我国上市公司盈余管理的原因,并据此提出了治理我国上市公司盈余管理的对策,包括完善我国上市公司的治理结构、完善具体会计准则和信息披露制度以及加大监督和处罚的力度。