A quantitative analysis of optimal sustainable monetary policies

This study examines the quantitative properties of optimal sustainable monetary policies using a monetary model with a stabilization bias. As in Kurozumi (2008), the optimal sustainable policy is a strategy considered in the absence of commitment technologies; however it is implemented following an optimal quasi-sustainable policy derived by assuming that the commitment technologies are present. This study finds that solving for the policy function of the optimal quasi-sustainable policy yields a result basically identical to the Ramsey-optimal commitment policy under a set of parameters commonly used in the literature. The simulation shows two further results: policymakers have incentive to deviate from the Ramsey-optimal commitment policy when the lagged output gap is large and the optimal quasi-sustainable policy endogenously diminishes the steadfastness of policymakers׳ commitment.     

How important is fiscal policy cooperation in a currency union?

By constructing a dynamic stochastic general equilibrium model, which assumes a currency union consisting of two countries with nontradables, we study the importance of fiscal policy cooperation. As shown in the previous studies, we find that the role of fiscal policy is important in maximizing social welfare. However, we have a contrary result for fiscal policy cooperation. While the previous studies highlight that fiscal policy cooperation has a nontrivial effect in maximizing social welfare, we show that fiscal policy cooperation has no benefits, regardless of the share of nontradables. Self-oriented fiscal policy can replicate social welfare under the cooperative setting.     

Lack of divine coincidence in New Keynesian models

The literature has long agreed that the divine coincidence holds in standard New Keynesian models: the monetary authority is able to simultaneously stabilize inflation and output gap in response to preference and technology shocks. I show that the divine coincidence holds only when inflation is stabilized at exactly zero. Even small deviations from zero generate policy trade-offs. I demonstrate this result using the model׳s non-linear equilibrium conditions to avoid biases from log-linearization. When the model is log-linearized, a non-zero steady state level of inflation gives rise to what I call the endogenous trend inflation cost-push shock in the New -Keynesian Phillips curve.     

Optimal contracting with altruism and reciprocity

Motivated by the recent experimental evidence on altruistic behavior, we study a simple principal–agent model where each player cares about other players' utility, and may reciprocate their attitude towards him. We show that, relative to the selfish benchmark, efficiency improves when players are altruistic. Nevertheless, in contrast to what may be expected, an increase in the degree of the agent's altruism as well as a more reciprocal behavior by players has ambiguous effects on efficiency. We also consider the effects of the presence of spiteful players and discuss how monetary transfers between players depend on their degrees of altruism and spitefulness.     

基于背包问题的散货航次方案优选方法研究

针对散货航运市场的航次方案优选问题,使得公司能够在自身的能力约束下获得最大收益,最终目标是快速地在潜在的商业机会中找出最优的航次方案组合。通过调研定义了合理的航次收益、成本定量预估方法,在此基础上结合背包问题构建了航次方案优选模型,并进行改进,从而快速地求解航次方案优选问题,提高企业的核心竞争力。     

Why the Generalized Bass Model leads to odd optimal advertising policies

We show that the optimal advertising strategy under the Generalized Bass Model (GBM) involves beginning at an extremely low level (the lower the better) and then increasing spending throughout the planning period. This strategy remains optimal in the presence of decreasing prices that affect both margins and diffusion speed. We provide a simple explanation for why this happens. We further show that the intuitively appealing patterns of continuous decrease or increase-then-decrease (both with an uptick towards the end) identified in earlier research are also possible as optimal dynamic advertising paths under the GBM structure, but only if the advertising at launch is constrained to be higher than a particular threshold, which we identify. The constraint necessary to generate intuitively appealing strategies lowers overall profits. Therefore, the GBM generates advertising policy recommendations that most marketers would deem odd. This casts doubt on the value of the GBM for normative purposes. Other existing diffusion models are preferred when seeking normative guidance on optimal dynamic advertising policies for new products subject to word of mouth.     

国际碳排放权交易价格决定与最优出口规模研究

本文分析了总量控制和交易、基准排放和信用两种碳排放权交易体系中的价格决定原理,并以边际减排成本等于市场均衡价格为基础,分析《京都议定书》框架下国际碳排放权交易规模和利益分配不公等情况;然后构建两阶段模型,讨论“非附件B国家”碳排放权出口规模的决定因素及其影响效应,并通过估测中国碳排放权出口规模决定因素的函数值或参数值,计算中国第1承诺期的最优出口量;最后提出中国参与国际碳排放权交易的政策建议。     

中国最优居民消费率的估算及变动机制分析

1978年以来,我国居民消费率的变动特征表现为长期波动下降。为判断居民消费率的运行情况,根据代表性家庭效用最大化估算出最优居民消费率。研究表明,1978-1990年,实际居民消费率与最优居民消费率基本吻合; 1991- 2000年,实际居民消费率平均低于最优居民消费率7.8个百分点;2001-2010年,实际居民消费率平均低于最优居民消费率18.3个百分点。对居民消费率偏低贡献率的分析表明,城镇居民消费率偏低是导致整体居民消费率偏低的主要原因。通过考察预期收入、利率和效用函数改变对最优居民消费率的影响,分析了居民消费率的变动机制。     

Interest rate rules, inflation and the Taylor principle: an analytical exploration

Summary. The purpose of this article is to characterize optimal interest rate rules in the framework of a dynamic stochastic general equilibrium model, and notably to scrutinize the “Taylor principle”, according to which the nominal interest rate should respond more than one for one to inflation. This model yields explicit solutions for the optimal rule. We find that the elasticity of response depends on numerous factors, such as the degree of price rigidity, the autocorrelation of the underlying shocks, or which measure of inflation is used. In general the optimal elasticity of the interest rate with respect to inflation needs not be greater than one.Received: 6 November 2003, Revised: 17 August 2004 JEL Classification Numbers: E5, E52, E58.J.-P. Bénassy: I wish to thank Daniel Laskar and an anonymous referee for their perceptive comments on earlier drafts of this paper. Of course all remaining deficiencies are mine.     

几何布朗运动市场中的最优变现策略研究

利用相对价格冲击函数的Box-Cox变换和存在比例交易费用的线性函数,研究了非瓦尔拉斯均衡金融市场上风险资产的价格变现策略,当资产价格变化服从几何布朗运动时,资产变现时间内生情形下投资者最优变现策略问题可以转化为具有随机跳出时间的随机最优控制,通过对带有广义狄利克雷边界条件的贝尔曼方程的粘性求解,可以实现最优变现策略。