财政政策对私人消费非线性效应的存在性及触发条件研究

文章通过构建财政政策与私人消费关系的理论模型,初步证明了财政政策对私人消费可能存在的非线性效应以及财政政策究竟发挥何种效应是由触发条件内生决定的事实。在此基础上文章运用门限模型,将触发条件量化为门限指示变量,并以1993年1月至2009年11月的月度数据为样本对上述问题进行了实证研究。结果发现:(1)在样本期内,财政支出政策对私人消费总体上表现为凯恩斯效应,与此相对的是税收政策表现为显著的非线性效应,并以税收增长率0.287为临界值,财政政策从凯恩斯区制向非凯恩斯区制转移;(2)我国财政政策非凯恩斯区制与高通胀区制高度吻合,即在经济出现高通胀的情况下,财政政策可能引发非凯恩斯效应;(3)我国财政政策对私人消费的促进作用十分有限,乘数效应并不明显。故政府应对财政政策做出适当的调整,在积极解决当前高通胀问题的同时,确保私人消费有效增长。     

The Package Assignment Model

We study assignment problems where individuals trade packages consisting of several, rather than single, objects. Although buyers' reservations values are non-additive, efficient assignments can be formulated as a linear programming problem in which the pricing functions expressing duality may be non-linear in the objects constituting the packages. The interconnections among the linear programming formulation, Walrasian equilibrium, and the core are established. In the single seller (auction) version, a necessary and sufficient condition is given for the Vickrey payoff point to be implementable by a pricing equilibrium. Journal of Economic Literature Classification Numbers: C62, D44, D51.     

NEWS-GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF-NIELSEN AND SHEPHARD TYPE

We consider Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein–Uhlenbeck type. The investor can trade in n stocks and a risk-free bond. We assume that the dependence between stocks lies in that they partly share the Ornstein–Uhlenbeck processes of the volatility. We refer to these as news processes, and interpret this as that dependence between stocks lies solely in their reactions to the same news. The model is primarily intended for assets that are dependent, but not too dependent, such as stocks from different branches of industry. We show that this dependence generates covariance, and give statistical methods for both the fitting and verification of the model to data. Using dynamic programming, we derive and verify explicit trading strategies and Feynman–Kac representations of the value function for power utility.     

含有非线性参数的凸轮——从动件系统动力学方程的建立

在高速凸轮机构中，凸轮－－从动件系统可以简化为质量－－弹簧力学模型。由机械振动理论，建立了含有非线性参数的凸轮－－从动件系统单自由度和多自由度动力学方程，为计算机数值计算研究凸轮从动件系统的动态响应提供了理论基础。最后，给出了建立含有非线性参数的两自由度模型动力学方程的实例验证。     

现金股利政策与上市公司代理成本实证研究

文章采用多元回归的方法研究派现与上市公司三种不同代理成本之间的关系。实证发现,派现能降低股东与管理者的代理成本;派现与国有股、法人股比例成二次非线性关系;正常现金股利发放只是大股东获取公共收益的一种手段,不能缓解大小股东之间的利益冲突,降低大股东的私有收益。     

房产持有视角下家庭风险金融资产投资影响因素分析--基于CHFS数据的实证研究

相比发达国家,我国资本市场一直受“有限参与”的困扰。与此同时,我国房地产市场却发展迅速,居民对房产的投资是否制约了资本市场的发展？采用2011年中国居民家庭金融调查与研究中心（ CHFS）的数据,侧重于从房产持有角度对家庭风险金融资产投资的影响因素进行实证分析。实证结果表明：房产持有对家庭风险金融资产投资的影响存在一个5%的临界值,即房产持有对5%以下的风险金融资产投资有促进作用,而对5%以上的风险金融资产投资的影响呈显著的负效应,这个结论即使在控制了许多传统解释变量之后依然成立。     

Statistical Inference Using Stochastic Switching Models for the Discrimination of Unobserved Display Promotion from POS Data

The execution of price and/or display promotion has a significant effect on the sales of a brand sold in a supermarket. Information on price and/or sales is available from POS data. However, unless an investigator collects information on the execution of display promotions from every retail store, such information is unavailable. This paper presents a method of identifying whether display promotion has been executed without having to visit individual stores. We treat the execution/non-execution of a display promotion as a state variable. An unknown stationary probability matrix is assumed to describe the probability of a transition between states. Each state is characterized by a different stationary time series model with unknown parameters. The objective of the analysis is to identify the model and to assign a probability model for each state at each time instant. Finally, we provide a high precision estimator of a past execution/non-execution of a display promotion based on the proposed model.     

Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization

We calibrate the local volatility surface for European options across all strikes and maturities of the same underlying. There is no interpolation or extrapolation of either the option prices or the volatility surface. We do not make any assumption regarding the shape of the volatility surface except to assume that it is smooth. Due to the smoothness assumption, we apply a second-order Tikhonov regularization. We choose the Tikhonov regularization parameter as one of the singular values of the Jacobian matrix of the Dupire model. Finally we perform extensive numerical tests to assess and verify the aforementioned techniques for both volatility models with known analytical solutions of European option prices and real market option data.     

工程测试中非线性问题线性化处理的方法

重点论述了在工程测试中如何根据实际问题对非线性问题实现线性化处理,为合理开发和利用传感器提供有效的方法。     

收入与出境旅游率的非线性关系——基于门槛面板模型的实证证据

在各种有关出境旅游市场影响因素的研究中,收入水平与出境旅游的关系存在着显著的争议。文章判断二者之间存在着非线性关系,且因国家而异。该研究引入门槛回归模型,以世界95个国家和地区为研究总样本,并按照面积大小划分为3组,利用其1995~2011年的人均国民收入、出境旅游率、年龄结构、教育水平和就业水平数据,对收入和出境旅游率之间的相关关系进行了深入分析。研究发现:(1)各样本中,收入与出境旅游率均呈显著非线性相关。(2)样本不同,收入门槛值的数量和位置不同,促使出境旅游快速发展的收入门槛值也不同。说明国土面积对收入与出境旅游的关系具有潜在影响。(3)各控制变量总体上对出境旅游率具有正面影响。(4)中国出境旅游实际表现超过理论基准,处于快速超前发展的阶段。以上研究结果可以为一个国家或地区判定出境旅游的发展阶段及制定合适的旅游政策提供依据。