理性预期与能源投资——基于中国碳减排承诺的自然实验

引入宏观经济学的理性预期分析框架来评估未来碳减排承诺如何影响当期的能源投资行为具有重要意义。能源项目投资规模大、持续时间长、不可逆性强,使得投资者在决策时会尽可能地纳入影响未来收益和成本的信息。本文将中国碳排放权交易市场试点政策与发电行业投资行为相结合,理论分析和实证检验了政府规划和实施的碳排放权交易市场试点政策如何影响企业的理性预期作用于当期发电技术项目投资,结果表明,碳排放权交易市场试点政策在规划期会促使企业相对提高试点地区低排放发电技术项目投资,特别是相对提高了这些地区低排放火力发电技术项目投资。碳排放权交易试点政策正式实施之后,企业降低了政策试点地区的高排放发电技术项目投资的实际利用水平。这一发现说明环境管制政策在正式实施之前的规划期,会对企业的投资行为产生预期管理效应,通过释放减排政策信号,促使企业先验地调整能源投资决策,以适应未来减排承诺目标。     

Determinants of stock market volatility and risk premia

Summary. We show the dynamics of diverse beliefs is the primary propagation mechanism of volatility in asset markets. Hence, we treat the characteristics of the market beliefs as a primary, primitive, explanation of market volatility. We study an economy with stock and riskless bond markets and formulate a financial equilibrium model with diverse and time varying beliefs. Agents states of belief play a key role in the market, requiring an endogenous expansion of the state space. To forecast prices agents must forecast market states of belief which are beliefs of others hence our equilibrium embodies the Keynes Beauty Contest. A market state of belief is a vector which uniquely identifies the distribution of conditional probabilities of agents. Restricting beliefs to satisfy the rationality principle of Rational Belief (see Kurz, 1994, 1997) our economy replicates well the empirical record of the (i) moments of the price/dividend ratio, risky stock return, riskless interest rate and the equity premium; (ii) Sharpe ratio and the correlation between risky returns and consumption growth; (iii) predictability of stock returns and price/dividend ratio as expressed by: (I) Variance Ratio statistic for long lags, (II) autocorrelation of these variables, and (III) mean reversion of the risky returns and the predictive power of the price/dividend ratio. Also, our model explains the presence of stochastic volatility in asset prices and returns. Two properties of beliefs drive market volatility: (i) rationalizable over confidence implying belief densities with fat tails, and (ii) rationalizable asymmetry in frequencies of bull or bear states.This research was supported by a grant of the Smith Richardson Foundation to the Stanford Institute for Economic Policy Research (SIEPR). We thank Kenneth Judd for constant advice which was crucial at several points in the development of this work. We also thank Kenneth Arrow, Min Fan, Michael Magill, Carsten Nielsen, Manuel Santos, Nicholas Yannelis, Ho-Mou Wu and Woody Brock for comments on earlier drafts. The RBE model developed in this paper and the associated programs used to compute it are available to the public on Mordecai Kurzs web page at http://www.stanford.edu/ mordecai.This revised version was published online in January 2005 with corrections to the Cover date.     

Asset price volatility and trading volume with rational beliefs

Summary. This paper develops a model of speculative trading in a large economy with a continuum of investors. In our model the investors are assumed to have diverse beliefs which are rational in the sense of being compatible with observed data. We demonstrate the existence of price amplification effects and show that the equilibrium prices can be higher or lower than the rational expectation equilibrium price. It is also shown that trading volume is positively related to the directions of price changes. Moreover, we study how asset price volatility and trading volume are influenced by belief structures, short selling constraints and the amount of fund available for investment.Received: 23 January 2003, Revised: 30 April 2003, JEL Classification Numbers: D84, G12.We are grateful to Professors Mordecai Kurz, Kenneth Arrow, Kenneth Judd, Carsten Nielsen, Maurizio Motolese, Mark Garmaise, Jean-Michel Grandmont, Peter Hammond, Karl Shell, Jan Werner and participants of the Society for the Advancement of Economic Theory (SAET) Conference and Stanford Institute of Theoretical Economics (SITE) Conference for many helpful suggestions. Correspondence to: H.-M. Wu     

Asset price targeting in an open economy with cognitive limitations: The best for macroeconomic and financial stability?

The choices of policy targets and the formation of agent expectations have been critical issues addressed by monetary policy management since the financial crisis of 2008. This paper evaluates macroeconomic stability in a new Keynesian open economy in which agents experience both cognitive limitations and asset market volatility. The (im)perfect credibility of various monetary policies (e.g., a Taylor-type rule with- or without asset price targeting, strict domestic inflation targeting, strict CPI inflation targeting, and exchange rate peg) may lead agents to react according to their expectation rules, and thus create various degrees of booms and busts in output and inflation. Simulations confirm that a Taylor-type CPI inflation targeting including an asset price target is the best choice. In contrast, the business cycles induced by Keynesian “animal spirits” are enhanced by strict inflation targeting. Furthermore, a credible exchange rate pegging system with an international reserve pooling arrangement can improve social welfare and stability in an open economy, even though its absolute value of the loss function is slightly lower than a Taylor-type CPI inflation targeting including an asset price target.     

基于方差分解法的中国股市泡沫检验问题研究

基于理性投机泡沫理论,采用方差分解法对2005年5月到2012年9月上证综指是否存在泡沫以及泡沫的严重程度进行实证检验,并将检验结果同动态自回归法得到的结果进行比较。研究发现该方法能更有效地检测出我国股市中存在的严重投机性泡沫。     

106例药品不良反应报告分析

目的：探讨患者发生药品不良反应（ADR）的特点,加强ADR监测,促进临床合理用药。方法收集惠州市中医医院2014年通过广东省药品不良反应管理平台报告ADR监测网的106例ADR报告,对患者的年龄、性别、给药途径、药物联用情况、ADR累及器官或系统及临床表现等方面进行分类统计和分析。结果106例ADR报告中,患者年龄最小3岁,最大85岁,其中以大于50岁的患者居多,共57例,占53.7%;发生ADR患者的主要给药途径为静脉滴注;涉及药品共9类,以使用抗感染药品出现ADR最多见,中药制剂次之;两药联用最多见,占51.9%;主要以皮肤及其附件损伤为主,共27例,占25.5%;消化系统、神经系统次之;治疗后56例患者治愈,50例好转。结论由于ADR的发生与多种因素相关,存在一定的不可预见性,因此临床需提高对ADR的重视程度,加强对ADR的监测与报告,减少ADR的发生,保障临床用药安全。