An Average Derivative Estimation of Stochastic Frontiers

This paper utilizes the average derivative estimation of Stoker (1986) and the pesudo-likelihood estimation of Fan, Li, and Weersink (1996) to estimate a semiparametric stochastic frontier regression, y = g(x) + , where the function g(.)is unknown and is a composite error in a standard setting. The proposed semiparametric method of estimation is applied to data on farmers' credit unions in Taiwan. Empirical results show that the banking services of the farmers' credit unions is subject to economies of scale, but high degree of cost inefficiency in operation.     

我国地区研发效率的演变和收敛性特征——基于随机前沿方法的分析

随着研发投入的不断加大,我国对研发效率的重视也在逐渐提高。提高研发效率是增强创新能力、提高创新产出的有效途径。文章运用随机前沿分析方法对我国2005-2012年的省际面板数据进行分析,考察了30个省份研发效率的演变趋势以及我国整体和分地区研发效率的收敛性问题。研究结果表明:我国研发效率地区差异较大,且省际之间和各省不同年份之间的波动性都比较大;从整体来说,我国各省研发效率不具有收敛的趋势,但是分地区来看,东部地区研发效率具有收敛性,而中部和西部地区各省份研发效率则不具有收敛性。     

Bank Efficiency and Macro-economic Factors: The Case of Developing Countries

Abstract

This paper examines the effects of macro-economic factors on bank efficiency of commercial banks in Asia, Middle East/North Africa, and Africa. To achieve the objective, the stochastic frontier approach (SFA) was used to simultaneously estimate the parameters of the stochastic frontier and the inefficiency model. The results show that the effect of macro-economic factors on bank efficiency differs across region. Cost inefficiency of the commercial banks in the Asian region is negatively related to the real gross domestic product per capita, credit to the private sector, and market concentration but is positively related to trade openness. Banks cost inefficiency in the Middle East/North Africa is negatively related to trade openness but is positively related to market concentration suggesting that banking market in this region should be more open to competition.     

Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model

In this paper, we consider the problem of optimal investment by an insurer. The wealth of the insurer is described by a Cramér–Lundberg process. The insurer invests in a market consisting of a bank account and m risky assets. The mean returns and volatilities of the risky assets depend linearly on economic factors that are formulated as the solutions of linear stochastic differential equations. Moreover, the insurer preferences are exponential. With this setting, a Hamilton–Jacobi–Bellman equation that is derived via a dynamic programming approach has an explicit solution found by solving the matrix Riccati equation. Hence, the optimal strategy can be constructed explicitly. Finally, we present some numerical results related to the value function and the ruin probability using the optimal strategy.     

Market power,uncertainty, and the level of trade

We consider a set of home firms, each of which has a stochastic requirement for a particular input. High-cost home firms can produce the input themselves. Low-cost foreign firms produce the input to sell it to home firms through an international market. Efficiency requires the input to be produced by foreign firms and traded in the market. Yet, home firms will always engage in inefficient home production. By producing some of its own input needs, a home firm cuts down on aggregate input demand, thus depressing prices in the market.     

社会保障运行效率评价指标体系构建及应用

社会保障的高效运作对于新时期下我国全面深化改革有着非同寻常的意义,文章在充分理解社会保障运作的基础上构建包括5个一级指标和17个二级指标的社会保障运行效率评价指标体系。文章用AHP法对评价指标赋以权重,以我国2007年至2012年社会保障省级数据面板为样本得出分地区社会保障水平的排序,使用随机前沿边界分析对得出的结论加以验证。     

An input-and output-oriented data envelopment analysis model

Considering the conventional data envelopment analysis （DEA） model used to measure the relative efficiencies of a group of decision making units （DMUs） is limited to either input or output orientation, a new DEA model which is both input-and output-oriented is proposed in this paper. This model can be treated as a multi-objective programming problem and solved by fuzzy sets theory. The basic idea is to describe the efficient frontier with fuzzy observation and determine projections for DMUs on the frontier by using the fuzzy optimization approach. The measurement of efficiencies for DMUs is obtained by comparing the inputs and outputs of DMUs with their projections. Since the input- and output-oriented DEA model can be transformed into a conventional input- or output-oriented DEA model by using special membership functions, it is therefore more adaptive for efficiency measurement. Finally, a typical example is presented to illustrate the computation methods.     

商业银行的前沿效率研究

文章根据随机成本前沿理论,运用面板数据模型（panel date）和多元回归分析方法,测算了我国商业银行的前沿效率值（2000-2004年）,并对其决定因素进行了分析。结果表明,银行效率的提高来源于多元化的产权结构、充足的银行资本金、资产质量、人力资本、市场竞争程度等。     

中国商品期货市场的假日效应研究——基于收益和波动的视角

为研究中国商品期货市场假日效应的存在性及其特征,本文从收益和波动出发,在构建学生分布随机波动模型的基础上采用贝叶斯MCMC模拟技术对中国铜、铝、橡胶、大豆、豆粕和小麦期货市场的假日效应进行了实证分析,研究结果显示:假日前和假日后信息对商品期货交易收益及其波动均具有显著的影响,对不同交易品种而言,其影响方向及影响程度均存在一定差异;更具体地,对各类假日分别进行分析发现,元旦、春节、劳动节和国庆节的假日前和假日后信息对商品期货收益及其波动均具有显著的影响,且比分类之前假日前和假日后信息的影响能力明显增强,其个性特征也更加突出。