行为金融学的研究现状与展望

由心理学家和金融学家共同发展起来的行为金融学越来越引人注目,它以前景理论和各种行为金融模型为代表性成果,能有效分析金融市场中由于心理因素引起的投资者失误偏差和市场异象,是现代金融学理论的有益补充。未来的行为金融学如想成为现代金融理论体系的中心,或作为一门单独学科而存在,必须形成统一的理论基础、严密的分析范式、明确的研究主线、研究对象和研究方法以及建立新的基于行为的核心模型。     

An explanation for the price puzzle: Asymmetric information and expectation dynamics

Using theoretical and empirical analyses, this paper shows that the expectation dynamics induced by information asymmetry between the Central Bank (CB) and the public can cause the price puzzle. The signalling and learning dynamics between the CB and a representative private-sector agent under asymmetric information is investigated. Inflation positively reacts to contractionary monetary policy because the change in the interest rate is perceived as a signal of the CB’s private information about higher future inflation and output by the public. The empirical section of the paper validates this theoretical argument using a VAR specification about the US economy. Besides providing an explanation for the price puzzle, the results of this paper has practical implications about transparency and monetary policy. The theoretical and empirical findings indicate that asymmetric information causes significant frictions in the transmission mechanism of monetary policy. These frictions induce short-run undesired effects like increase in expected inflation and actual inflation as a response to contractionary monetary policy which is identified as “the price puzzle”.     

The economic impact of shale gas extraction: A review of existing studies

Recent advances in drilling technology have allowed for the profitable extraction of natural gas from deep underground shale rock formations. Several reports sponsored by the gas industry have estimated the economic effects of the shale gas extraction on incomes, employment, and tax revenues. None of these reports has been published in an economics journal and therefore have not been subjected to the peer review process. Yet these reports may be influential to the formation of public policy. This commentary provides written reviews of several studies purporting to estimate the economic impact of gas extraction from shale beds. Due to questionable assumptions, the economic impacts estimated in these reports are very likely overstated.     

Monetary and fiscal policy interactions in the post-war U.S.

A New Keynesian model allowing for an active monetary and passive fiscal policy (AMPF) regime and a passive monetary and active fiscal policy (PMAF) regime is estimated to fit various U.S. samples from 1955 to 2007. The results show that data in the pre-Volcker periods strongly prefer an AMPF regime, even with a prior centered in the PMAF region. The estimation, however, is not very informative about whether the Federal Reserve's reaction to inflation is greater than one in the pre-Volcker period, because much lower values can still preserve determinacy under passive fiscal policy. In addition, whether a PMAF regime can generate consumption growth following a government spending increase depends on the degree of price stickiness. An income tax cut can yield an unusual negative labor response if monetary policy aggressively stabilizes output growth.     

物流企业集群服务创新行为演化模型及案例分析

文章根据复杂系统理论观点,分析了物流企业集群服务创新系统的构成要素,及其行为演化的框架体系;基于复杂系统涌现机理,构建了物流企业集群服务创新行为演化的状态层级模型;最后以天津保税物流园区为例进行案例分析,剖析其创新演化过程,期望为天津以至我国物流企业集群的发展提供一定的借鉴。     

Extending the BG/NBD: A simple model of purchases and complaints

Extant customer-base models like the beta geometric/negative binomial distribution (BG/NBD) predict future purchasing based on customers' observed purchase history. We extend the BG/NBD by adding an important non-transactional element that also drives future purchases: complaint history. Our model retains several desirable properties of the BG/NBD: it can be implemented in readily available software, and estimation requires only customer-specific statistics, rather than detailed transaction-sequence data. The likelihood function is closed-form, and managerially relevant metrics are obtained by drawing from beta and gamma densities and transforming these draws to a sample average. Based on more than two years of individual-level data from a major U.S. internet and catalog retailer, our model with complaints outperforms both the original BG/NBD and a modified version. Even though complaints are rare and non-transactional events, they lead to different substantive insights about customer purchasing and drop-out: customers purchase faster but also drop out much faster. Furthermore, there is more heterogeneity in drop-out rates following a purchase than a complaint.     

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.     

产业经济学双语教学的调查与分析

针对产业经济学双语教学的实践,通过问卷调查的方式,考察双语教学对学生英语水平、专业知识的影响,以及影响双语教学效果的因素和学生对双语教学过程的看法。结果表明,双语教学可以在某种程度上提高学生的英语水平和专业词汇掌握量,学生英语基础、教学模式和教学方法对双语教学效果有重要影响,提出应提高学生听说能力,改革双语教学模式和教学方法,提高双语教学效果。     

股市有免费午餐吗——一个基于随机过程的理论分析

关于股市是否存在＂免费午餐＂,理论存在着截然不同的观点。一些经济学家依据＂有效市场假说＂,认为＂天下没有免费的午餐＂。然而,近年来人们逐渐认识到,在有关金融市场的理论模型中,某些形式巧妙的＂免费午餐＂是可以得到的。这一结果与基本的经济学原理相冲突,一些经济学家对解释这一有趣的问题做出了努力。本文从股票回报率随机波动的假设出发,利用伊滕定理,在关于投资组合回报率大于政府债券回报率的概率计算基础上,推导出股市存在免费午餐的条件,并对每一因素进行了分析和概率计算。在此基础上,对投资者提出了理性投资建议。