特许权价值、最优关闭策略和存款保险定价

随着存款保险制度的推出以及金融机构退出机制的完善,国家声誉将逐渐退出银行无形资本。在激励相容的金融监管趋势下,特许权价值等市场约束力量会显著影响到商业银行的风险承担。在此逻辑基础上,以我国16家上市商业银行为研究对象,一方面探讨特许权价值影响下不同产权结构的商业银行的最优救助机制,另一方面通过最优救助临界指标,利用银行重组模型,推导合理的存款保险风险差别费率。     

Pareto-improving social optimal pricing schemes based on bottleneck permits for managing congestion at a merging section

Akamatsu, Sato, and Nguyen (2006 Akamatsu, T., Sato, S., &; Nguyen, X. L. (2006). Tradable time-of-day bottleneck permits for morning commuters (in Japanese). JSCE Journal of Infrastructure Planning 62(4), 605–620.[Crossref] , [Google Scholar]) proposed a first-best pricing scheme based on the concept of bottleneck permits. The scheme allows permit holders to pass a bottleneck at specified times and is shown to be able to minimize social cost. However, the scheme is not always Pareto-improving in that it may harm some drivers. The objective of this study is to design Pareto-improving pricing scheme with bottleneck permits for a V-shaped two-to-one merge bottleneck. First, the paper formulates the morning commute model in the network and describes the arrival time choice equilibrium in the network with merging bottleneck. Secondly, we show that the first-best pricing scheme with bottleneck permits for this V-shaped network does not always achieve a Pareto improvement, with the cost of one group of drivers is increased by the permit pricing, a phenomena akin to the bottleneck paradox of Arnott, de Palma, and Lindsey (1993 Arnott, R., de Palma, A., &; Lindsey, R. (1993). Properties of dynamic traffic equilibrium involving bottlenecks, including a paradox and metering. Transportation Science 27(2), 148–160.[Crossref], [Web of Science ®] , [Google Scholar]). We propose three implementations of bottleneck permits for Pareto-improving: (1) merging priority rule is included in the bottleneck permits scheme by creating different market for each origin; (2) the permit revenues are refunded as monetary compensation to drivers whose cost is increased; and (3) the permit revenues are used to expand bottleneck capacity. For each implementation, we derive their equilibrium solutions and demonstrate that the Pareto improvement is achieved and social cost is decreased by using the permit revenues for expanding the bottleneck capacity.     

供给侧改革背景下我国城市建设用地最优规模分析

本文基于边际等值原理,综合城市经济效益、社会效益、环境效益以及建设效益,构建多因子城市建设用地最优规模决策模型,并结合我国城市建设用地供给实际进行分析。结果显示：2001～2015年,我国城市发展经历了从建设用地短缺到最优及至过剩的过程,对建设用地增长的强依赖逐渐转变为弱依赖。城市建设用地增长与边际建设效益弱相关;与边际经济效益之间呈库兹涅茨倒U型曲线关系;与边际社会效益呈正相关、边际环境效益呈负相关。目前我国城市建设用地已经达到最优规模,其中建设用地供给与经济发展失调,是导致净效益下降的主要动因。     

基于碳排放的闭环供应链政府奖惩机制研究

温室气体的排放问题已成为国际社会亟待解决的问题,解决这一问题的必由之路就是通过降低产品碳排量实现从源头上减排。本文研究由一个制造商和一个零售商组成的逆向供应链系统,建立了政府实施回收奖惩机制的动态博弈模型,比较分析了有无政府回收奖惩机制两种情形下零售商的回收比例、供应链参与方的期望利润和产品的碳排放总量。研究结果表明,政府回收奖惩机制提高了回收比例和碳减排水平;当再制造减排程度较小时,政府回收奖惩机制降低了碳排放总量;基于消费者低碳偏好的政府回收奖惩机制提高了制造商和零售商的利润,更大程度的降低了产品总碳排放量;政府回收奖惩机制下较小的目标回收率能够最大化零售商利润。     

企业研发决策、政府资助方案及最优资助配比

本文对企业和政府在企业研发决策中研发组织方式进行了理论分析,研究了不同市场和不同决策下的政府的资助方案及最优资助配比。研究发现,在独立研发的情况下,封闭市场需要政府资助诱导企业私人研发的投入,且最优配比为1:2;出口导向型市场政府资助对企业私人研发的投入无诱导作用;进口导向型市场企业无需政府资助亦会进行私人研发投入。在产学研合作的情况下,封闭市场中支付学研机构的研发费用率k和政府资助s满足(1+s)(1-k)=1.5时达最优资助配比。     

THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS

We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time‐varying but small transaction costs, we derive simple formal asymptotics for the optimal policy and welfare. These reveal the roles of the investors' preferences as well as the market and cost dynamics, and also lead to a fully dynamic model for the implied trading volume. In frictionless models that can be solved in closed form, explicit formulas for the leading‐order corrections due to small transaction costs are obtained.     

三级生物质供应链的奖惩与回馈契约协调研究

为了优化生物质能供应链,降低成本,在无扰动因素情况,需求不确定且与价格有关的条件下,研究了由能源公司、基地和农户组成的三级生物质供应链中,奖惩与回馈契约对供应链的协调问题,建立了满足渠道协调的条件和供应链内各级参与者实现互赢的数学模型,最后将其用于数值算例中验证。结果证明契约参数的合理选择可以实现供应链各方利益最大。     

LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY

We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held. We solve this optimal liquidation problem for power‐law and exponential‐decay order book models explicitly and discuss several extensions. We also consider the continuous selling (or fluid) limit when the trading units are ever smaller and the intensity is ever larger. This limit provides an analytical approximation to the value function and the optimal solution. Using techniques from viscosity solutions we show that the discrete state problem and its optimal solution converge to the corresponding quantities in the continuous selling limit uniformly on compacts.     

国外环境税问题研究进展

对国外学者关于环境税收问题研究的新成果进行综述。诠释最优环境税定义及探寻不同条件假设下最优环境税率的确定,从一般均衡的视角考察环境质量对劳动供给决策的影响,探讨税收相互作用的效应和分析学者重点研究的双重红利及其存在条件。最后根据发达国家环境税政策运行的经验,分析将环境税作为环境管制措施引入发展中国家的可行性。     

Comparison of Methods for Evaluation of the Convolution of Two Compound R 1 Distributions

In the present paper we compare four methods for evaluating the convolution of two compound R 1 distributions by counting the numbers of elementary algebraic operations required. Two of the methods are applicable in general, whereas the remaining two are restricted to the case when the two compound distributions have the same severity distribution. This case is discussed separately. We consider in particular the special case when this common severity distribution is concentrated in one, that is, evaluation of the convolution of two R 1 distributions.