Likelihood-based specification analysis of continuous-time models of the short-term interest rate

An extensive collection of continuous-time models of the short-term interest rate is evaluated over data sets that have appeared previously in the literature. The analysis, which uses the simulated maximum likelihood procedure proposed by Durham and Gallant (2002), provides new insights regarding several previously unresolved questions. For single factor models, I find that the volatility, not the drift, is the critical component in model specification. Allowing for additional flexibility beyond a constant term in the drift provides negligible benefit. While constant drift would appear to imply that the short rate is nonstationary, in fact, stationarity is volatility-induced. The simple constant elasticity of volatility model fits weekly observations of the three-month Treasury bill rate remarkably well but is easily rejected when compared with more flexible volatility specifications over daily data. The methodology of Durham and Gallant can also be used to estimate stochastic volatility models. While adding the latent volatility component provides a large improvement in the likelihood for the physical process, it does little to improve bond-pricing performance.     

Characterization of a class of moral-hazard, adverse selection games

Studying a principal-agent game in which the agent alone observes the state of the world and reports it, but the moral hazard is not reducible, shows that, if the principal uses all signals, then no solution exists, i.e. there is no contract that elicits truth-telling and motivates the agent to exert effort. When the principal does not use signals on the state of the world that seem irrelevant, a solution exists in which some of the ex post signals on outcome are not used, even though they obey the informativeness condition of Holmstrom (Bell Journal of Economics, 1979, 10, 74–91).     

抵押风险分析和抵押贷款违约损失率研究

违约损失率是BaselⅡ规定的六大风险指标之一,而抵押是BaselⅡ标准法规定的信用风险缓释工具之一,两者在巴塞尔新资本协议中有着非常关键的地位和作用.本文总结了国内外违约损失率的研究概况,在利用历史数据对我国商业银行抵押贷款的违约损失率进行实证分析后发现：（1）回收率同融资金额成反比;（2）回收率同融资折率成反比;（3）回收率呈“U”型分布.本文的分析有助于进一步探究我国商业银行抵押贷款违约损失率的特征,是量化风险暴露和计算监管资本的基础,并为我们下一步的折率研究做好了铺垫.     

Double leverage cycle,interest rate,and financial crisis

We view mortgage as a risky derivative of its underlying house collateral and combine no-arbitrage valuation with equilibrium valuation approaches to develop a dynamic model of leverage cycle and interest rate. This model provides a unified explanation to pro-cyclical optimism, asset prices, and leverage, and counter-cyclical volatility and interest rate. In addition, the model shows that tightening funding margin in the mortgage securities market dampens optimism, asset prices, and leverage, whereas it raises volatility and interest rate in the housing market. A double leverage cycle leads to more volatile markets and a severe leverage cycle, thus resulting in worse financial crises.     

试论中国现行汇率制度与利率市场化之间的关系

本文首先回顾了关于利率与汇率关系的经典理论，在此基础上分析了不同经济体制下，利率与汇率的联动性，指出中国尽管已经开始改革汇率和利率，但实质上仍然实行的是固定汇率制、外汇管制较严格、利率还未完全市场化，正是在这种情况下，中国的利率与汇率机制传导不顺畅。本文基于此，实证检验了人民币汇率制度与利率的关系，发现改革开放前中国的利率与汇率之间相关性不明显；自1978年以来，人民币汇率与利率之间逐渐发生了相互作用。由此认为无论是在改革汇率制度方面，还是继续推行利率市场化方面，国家都必须考虑国内外金融市场的密切关系。     

On a generalization of a class of production functions

In Appl. Econ. Lett. 18 (2011), 1777–1784, as a natural generalization of some famous production models with two inputs, C.A. Ioan and G. Ioan introduced a new class of production functions with constant return to scale, called sum production function, and proved three theorems of characterization for such production models. In this article, we give new and more simple proofs of these theorems, extending also the results to the case of increased/decreased return to scale. The generalization to the case of an arbitrary number of inputs is also discussed.     

Information Asymmetries and Risk Management in Healthcare Markets: The U.S. Affordable Care Act in Retrospect

This article critically examines the pertinent issues in ex ante and ex post moral hazard in healthcare markets, with the U.S. Affordable Care Act (ACA) as its focal point of inquiry. First, it compares the various types of information asymmetries resulting from the production, allocation, and utilization of health insurance. Second, it reviews the literature on adverse selection, moral hazard, and risk mitigation against which salient ACA reforms are analyzed. In contrasting conventional moral hazard from an alternative theory of welfare maximization, it suggests that healthcare (over)utilization cannot necessarily be considered wasteful, even if it ends up costing insurers more on a short-term basis. Costs and savings attributable to healthcare spending under the ACA will vary between the consumer, insurer, and regulator-subsidizer. Despite the ambiguities surrounding definitions of “health,” the challenge of containing inefficient moral hazard, and encouraging its desirable counterpart, lies in the tradeoffs that arise between consumer access to affordable and quality healthcare and the market competitiveness of health insurers. The new Trump administration will have to address these tradeoffs in repealing and replacing the ACA, particularly in light of escalating insurance premiums and deductibles, narrower provider networks, and technical implementation issues.     

On wage- and profit-led demand regimes: learning from the evidence

Abstract

This paper contributes to the empirical research around the “wage-led” or “profit-led” demand regimes. It first reviews how Kalecki, and then Steindl, approached the relationship between economic growth and income distribution. Then, empirical analysis carried out under the probabilistic approach to econometric modeling shows statistical evidence, estimated through cointegration analysis, that in the long run, in three very open economies—Mexico, France, and Korea—the wage share is positively associated with demand and output. It finally discusses the macroeconomic dilemma that almost all countries have to face, i.e., a positive effect of a high-wage policy on demand and employment may diverge from a negative effect on output compatible with external equilibrium.     

道德风险存在下董事责任保险市场的保费水平分析

本文通过对董事责任保险市场的介绍,指出在董事责任保险市场中存在着严重的道德风险问题,通过对市场中保险双方行为的博弈分析,得到在道德风险存在下的保费变动范围,并指出防止或减轻董事责任保险市场中道德风险的方法.     

基于价值创新的财务应用在高新技术企业可持续增长率中的研究

可持续增长率是指企业财务杠杆不变的条件下,运用内部资本和外部资本所能支持的最大销售增长率。高新技术企业在稳定成长期和成熟期两个阶段,须应用可持续增长率指标引导企业的销售增长。管理人员必须事先预计并且加以解决在企业实际增长率超过可持续增长率之上的增长所导致的财务问题。