基于随机过程理论的复杂可修系统可靠性规律研究

利用随机过程理论研究了复杂可修系统的可靠性规律,用随机过程模型中的Ｗｅｉｂｕｌｌ过程来描述复杂可修系统的可靠性规律。用Ｍｏｎｔｅ Ｃａｒｌｏ方法模拟验证了Ｗｅｉｂｕｌｌ过程模型的参数估计公式。其中参数β的最大似然估计误差低于２％,λ的最大似然估计误差低于７％。两组试验数据的处理结果表明Ｗｅｉｂｕｌｌ过程模型有较高的拟合精度。     

Contracts with endogenous information

I study covert information acquisition and reporting in a principal agent problem allowing for general technologies of information acquisition. When posteriors satisfy two dimensional versions of the standard First Order Stochastic Dominance and Concavity/Convexity of the Distribution Function conditions, a first-order approach is justified. Under the same conditions, informativeness and riskiness of reports are equivalent. High powered contracts, that make the agent's informational rents more risky, are used to increase incentives for information acquisition, insensitive contracts are used to reduce incentives for information gathering. The value of information to the agent is always positive. The value of information to the principal is ambiguous.     

‘Regular’ choice and the weak axiom of stochastic revealed preference

We explore the relation between two ‘rationality conditions’ for stochastic choice behavior: regularity and the weak axiom of stochastic revealed preference (WASRP). We show that WASRP implies regularity, but the converse is not true. We identify a restriction on the domain of the stochastic choice function, which suffices for regularity to imply WASRP. When the universal set of alternatives is finite, this restriction is also necessary for regularity to imply WASRP. Furthermore, we identify necessary and sufficient domain restrictions for regularity to imply WASRP, when the universal set of alternatives is finite and stochastic choice functions are all degenerate. Results in the traditional, deterministic, framework regarding the relation between Chernoff’s condition and the weak axiom of revealed preference follow as special cases. Thus, general conditions are established, under which regularity can substitute for WASRP as the axiomatic foundation for a theory of choice behavior.     

A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method

The authors report on the construction of a new algorithm for the weak approximation of stochastic differential equations. In this algorithm, an ODE-valued random variable whose average approximates the solution of the given stochastic differential equation is constructed by using the notion of free Lie algebras. It is proved that the classical Runge–Kutta method for ODEs is directly applicable to the ODE drawn from the random variable. In a numerical experiment, this is applied to the problem of pricing Asian options under the Heston stochastic volatility model. Compared with some other methods, this algorithm is significantly faster. This research was partly supported by the Ministry of Education, Science, Sports and Culture, Grant-in-Aid for Scientific Research (C), 15540110, 2003 and 18540113, 2006, the 21st century COE program at Graduate School of Mathematical Sciences, the University of Tokyo, and JSPS Core-to-Core Program 18005.     

Efficiency and technology gap in China's agriculture: A regional meta-frontier analysis

This paper utilizes a unique county-level dataset to examine technical efficiency and technology gap in China's agriculture. We classify the counties into four regions with distinctive levels of economic development, and hence production technologies. A meta-frontier analysis is used. We find that although the eastern counties have the highest efficiency scores with respect to the regional frontier but the northeastern region leads in terms of agricultural production technology nationwide. Meanwhile, the mean efficiency of the northeastern counties is particularly low, suggesting technology and knowledge diffusion within region might help to improve production efficiency and thus agricultural output.     

Asset pricing with loss aversion

The use of standard preferences for asset pricing has not been very successful in matching asset price characteristics, such as the risk-free interest rate, equity premium and the Sharpe ratio, to time series data. Behavioral finance has recently proposed more realistic preferences such as those with loss aversion. Research is starting to explore the implications of behaviorally founded preferences for asset price characteristics. Encouraged by some studies of Benartzi and Thaler [1995. Myopic loss aversion and the equity premium puzzle. The Quarterly Journal of Economics 110 (1), 73–92] and Barberis et al. [2001. Prospect theory and asset prices. Quarterly Journal of Economics CXVI (1), 1–53] we study asset pricing with loss aversion in a production economy. Here, we employ a stochastic growth model and use a stochastic version of a dynamic programming method with an adaptive grid scheme to compute the above mentioned asset price characteristics of a model with loss aversion in preferences. As our results show using loss aversion we get considerably better results than one usually obtains from pure consumption-based asset pricing models including the habit formation variant.     

中国企业研发效率动态演进的背后：市场化改革的力量

本文基于1999—2011年中国省际高新技术产业层面的研发数据,综合运用生产要素产出弹性模型和格林（2005）提出的真正固定效应随机前沿模型,实证检验了市场化改革对企业研发效率动态演进的实际影响效应,并进一步探析国有经济和行业保护政策在市场化改革塑造企业研发效率的过程中所扮演的角色。基于产业维度的核算结果表明,研究期间中国高新技术企业整体研发效率大约偏离最优效率37％～44％,但其在市场化进程中表现出稳步提升的动态演进趋势,研发中间产出效率和最终产出效率分别从1999年的0．403和0．523（0．490）提高到2011年的0．713和0．766（0．755）。更为重要的是,经验证据表明市场化改革确实是推动中国高新技术企业研发效率持续动态增进的背后驱动力量;但国有经济和行业保护政策显著抑制了市场力量对企业研发效率塑造能力的充分发挥,具体表现为市场化改革在国有经济和保护性行业中不仅无法起到提升研发效率的作用,反而还可能具有损害企业研发效率的负面影响。     

Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility

This paper develops a two-step estimation methodology that allows us to apply catastrophe theory to stock market returns with time-varying volatility and to model stock market crashes. In the first step, we utilize high-frequency data to estimate daily realized volatility from returns. Then, we use stochastic cusp catastrophe theory on data normalized by the estimated volatility in the second step to study possible discontinuities in the markets. We support our methodology through simulations in which we discuss the importance of stochastic noise and volatility in a deterministic cusp catastrophe model. The methodology is empirically tested on nearly 27 years of US stock market returns covering several important recessions and crisis periods. While we find that the stock markets showed signs of bifurcation in the first half of the period, catastrophe theory was not able to confirm this behaviour in the second half. Translating the results, we find that the US stock market’s downturns were more likely to be driven by the endogenous market forces during the first half of the studied period, while during the second half of the period, exogenous forces seem to be driving the market’s instability. The results suggest that the proposed methodology provides an important shift in the application of catastrophe theory to stock markets.     

Spurious welfare reversals in international business cycle models

Several papers have documented spurious welfare reversals: incomplete-markets economy produces a higher level of welfare than the complete-markets economy. This paper first demonstrates how conventional linearization can generate approximation errors that can result in welfare reversals. Using a two-country production economy, we argue that spurious welfare reversals are not only possible but also plausible under reasonable values for model parameters. This paper then proposes an approximation method that modifies the conventional linearization by a bias correction. This method can be easily implemented and approximates welfare as accurately as a second-order perturbation method.     

金融中介发展对中国技术效率影响的实证分析

本文运用随机前沿技术实证分析了金融中介发展对我国技术效率的具体影响。分析结果指出,金融中介发展对于我国技术效率的影响具有明显的区域差异特性。在东部地区,金融中介发展有利于技术效率的增长;但从全国范围来看,这种积极作用发生了逆向变化。