Optimal consumption and investment under time-varying relative risk aversion

We consider the continuous time consumption-investment problem originally formalized and solved by Merton in case of constant relative risk aversion. We present a complete solution for the case where relative risk aversion with respect to consumption varies with time, having in mind an investor with age-dependent risk aversion. This provides a new motivation for life-cycle investment rules. We study the optimal consumption and investment rules, in particular in the case where the relative risk aversion with respect to consumption is increasing with age.     

A new class of deprivation-based generalized Gini indices

Summary. This paper attempts to merge two strands of the literature on relative deprivation and generalized Gini indices by designing a new class of generalized Gini indices based on the concept of relative deprivation. In this connection, rank-dependent marginal deprivation functions are introduced. A new class of generalized Gini indices is derived axiomatically. It turns out to be the sum of modified versions of the S-Gini and the I-Gini introduced by Donaldson and Weymark (1980). Received: December 23, 1998; revised version: November 9, 1999     

Mental accounting and small windfalls: Evidence from an online grocer

We study the effect of small windfalls on consumer spending decisions by comparing the purchases online grocery customers make when redeeming $10-off coupons with the purchases they make without coupons. Controlling for customer fixed effects and other variables, we find that grocery spending increases by $1.59 when a $10-off coupon is redeemed. The extra spending associated with coupon redemption is focused on groceries that a customer does not typically buy. These results are consistent with the theory of mental accounting but are not consistent with the standard permanent income or lifecycle theory of consumption. While the hypotheses we test are motivated by mental accounting, we also discuss some alternative psychological explanations for our findings.     

我国农产品产业内贸易现状分析

本文利用HS分类方法将农产品分成24大类,分别计算了每类农产品和总体农产品从1996-2005年的G-L产业内贸易指数、Brülhart边际产业内贸易指数、Thom&McDowell边际产业内贸易指数,发现我国农产品的整体产业内贸易水平比较低,Brülhart指数显示我国农产品10年来贸易的增量主要来自于产业间贸易,Thom&McDowell指数表明我国农产品产业内贸易的增量主要是由垂直型产业内贸易带来的。     

“互联网+”背景下产业集群“零边际成本”趋势及其发展策略研究

“互联网+”在多个产业得到广泛应用,并上升为我国产业发展的国家战略。通过分析我国传统制造业产业集群的“在线产业带”趋势和服务业产业集群的“产业生态集群”趋势,明确了产业集群发展、升级的影响因素。从信息、能源、制造成本3个方面阐述 “零边际成本”趋势,从万物演化的“递弱代偿”规律分析产业集群发展趋势。以此为基础,阐述了“零边际成本”趋势对产业集群发展的影响,并从政府、产业集群和企业3个层面给出了“互联网+”背景下产业集群的发展策略。     

Estimated Open Economy New Keynesian Phillips Curves for the G7

In this paper we develop an open economy model of firms’ pricing behaviour under imperfect competition. This allows us to introduce various terms of trade effects influencing the firm’s pricing decision, in addition to labour costs which dominate most closed-economy specifications of the New Keynesian Phillips curve (NKPC). Our analysis gives rise to a hybrid open economy NKPC which nests existing closed and open economy specifications adopted in empirical work. We estimate this specification for the G7 economies and find that the US, UK and Canada typically enjoy less inertia in price setting than the European G7 economies and Japan and that these estimates are both plausible and in line with survey evidence. We also find that the proportion of firms which use simple backward-looking rules of thumb in price setting is greater when the frequency of price change is smaller. Finally there is evidence of significant asymmetries in price setting amongst EMU members.

中国上市银行系统性风险度量——基于MES方法的分析

运用边际预期损失(MES)方法,通过DCC-GARCH模型和非参数估计计算我国14家上市银行的边际预期损失,并结合资产规模和杠杆率等因素度量各上市银行的系统性风险。研究结果表明,虽然资产规模、杠杆率和边际期望损失都是决定系统性风险的重要因素,但我国上市银行的系统性风险总体表现为:规模越大的银行,系统性风险也越大,即大型商业银行的系统性风险最大,股份制商业银行次之,城市商业银行的系统性风险最小。此外,三类商业银行的系统性风险随时间呈不同的变化趋势。     

精准扶贫政策与边缘贫困群体政治信任--基于断点回归的证据

维持农户基层政治信任稳态,是促进精准扶贫政策有效实施的必然要求,也是实现乡村振兴战略下治理有效目标的重要基础。本文利用2017年6个集中连片贫困地区1140户农户样本数据,通过断点回归模型重点考察了精准扶贫政策对边缘贫困群体基层政治信任的影响。研究结果表明:精准扶贫政策的悬崖效应对边缘贫困群体与基层组织间的政治信任稳态造成了一定冲击。具体来看,边缘贫困群体受到精准扶贫政策排斥,其基层政治信任相较于建档立卡农户降低了2.32;同时,基于边缘贫困群体在收入分配中的不利地位,其基层政治信任相较于高收入建档立卡农户降低了0.76。因此,为提升乡村治理能力,完善乡村治理新体系,需要严格执行现行贫困标准,调整精准扶贫政策的保障结构,并通过基础设施建设、公共服务供给及外部机会提供等方式,为大量发展能力薄弱的边缘贫困群体提供良好的发展机会和福利保障。     

债务杠杆、财务脆弱性与家庭异质性消费行为

本文通过引入财务脆弱性来描述家庭无法及时或完全履行偿债义务而发生的财务困境,实证分析了债务杠杆对家庭消费的异质性影响。理论机制分析和基于中国家庭金融调查(CHFS)数据的实证研究表明,家庭债务杠杆会提升财务脆弱性,从而弱化跨期消费平滑能力,强化消费预算约束,导致家庭落入“高边际消费倾向、低消费支出水平”的低层次消费路径上。进一步分析发现,对于通过负债投资多套房的家庭而言,高债务杠杆会明显增加不确定冲击下的财务脆弱性,进而对消费产生更大的抑制效应;亲友民间借贷的履约机制相对灵活,可以缓解财务脆弱性对家庭消费的抑制效应;债务杠杆上升引致的财务脆弱性,对耐用消费品支出的压缩效应大于非耐用消费品,对农村家庭消费支出的挤占效应大于城镇家庭。本文的研究为我国“不宜依赖消费金融扩大消费”“规范发展消费信贷”等提供了理论解释,对金融服务促进消费发展具有一定政策启示。