Continuity Estimates for Ruin Probabilities

A method of continuity analysis of ruin probabilities with respect to variation of parameters governing risk processes is proposed. It is based on the representation of the ruin probability as the stationary probability of a reversed process. We apply Kartashov's technique designed for continuity analysis of stationary distributions of general Markov chains in order to obtain desired continuity estimates. The method is illustrated by the Sparre Andersen and Markov modulated risk models.     

政府支出的构成与中国经济波动——基于动态随机一般均衡模型的分析

政府支出对于一国经济波动具有显著性影响。基于我国的现实数据,向量自回归模型的脉冲响应函数证实：（1）生产性政府支出与消费性政府支出对于总产出具有不同的冲击效应,并且生产性政府支出对于产出具有相对较大的影响;（2）无论是政府生产性支出还是消费性支出,其对于不同部门的产出均具有不同的冲击效应,即政府支出的冲击效应具有部门依存性特征。在此基础上,文章建立了一个包含不同部门与政府支出不同构成成分的多部门经济NK-DSGE模型,考察了政府支出冲击的不同构成成分对于我国经济波动的影响。贝叶斯脉冲响应分析的结果支持了经验证据,并且模型主要变量的周期性特征与现实数据较为接近。在此基础上,贝叶斯冲击分解的结果指出,相对于消费性政府支出而言,生产性政府支出冲击对于各宏观经济变量的波动具有更大的推动作用。因此,在使用支出政策熨平经济波动时,政府需依据现实经济情况及时调整政府支出的构成。     

我国物流企业基层员工激励机制研究

21世纪,物流业在我国蓬勃发展,但我国物流基层员工的流失率却一直居高不下,大大影响物流企业的形象和经济效益。通过访谈和问卷调查的方式,剖析我国物流企业所面临的困境,分析物流基层员工流失率居高不下的原因,旨在探讨如何建立起一套适合我国物流基层员工的激励机制。     

Trade liberalization,division of labor and welfare under oligopoly

Incorporating explicitly division of labor into a two-country general oligopolistic equilibrium model, we examine the effects of trade liberalization on firm productivity and welfare. We show that a tariff reduction increases the firm productivity of the trading industries but decreases that of the non-trading industries. An expansion of the trading industries, in contrast, decreases the firm productivity of both the trading and non-trading industries. We then find that a tariff reduction necessarily reduces welfare while the welfare effect of expansion of trading industries is ambiguous.     

Geographical concentration and the dynamics of countries' specialization in technologies

This paper examines the empirical dynamics of countries' technological specialization in six technology fields using distribution dynamics. In all technology fields innovation activities are performed by relatively few countries and the degree of concentration is fairly stable in time. Intra-distribution dynamics is characterized by persistence of within field countries' specialization levels around or below the mean, while high specialization levels revert towards lower values. This strengthens the case for absorptive capacity. Electronics show some distinctive properties: they have the highest degree of geographical concentration and numerous small countries among those specialized; they also are the least mobile technology field. In a Schumpeterian perspective, this is in line with "creative accumulation".     

Innovation performance across Europe

The innovation performance of firms is primarily determined by their own innovative activities and the interaction with their innovation-related environment. This environment typically differs among countries. We assess empirically these differences on firms' innovation performance. To that end we first estimate the relationship between an aggregate innovation input measure and an aggregate innovation output measure, thereby explicitly controlling for structural differences between countries. We then consider the extent to which firms located in a particular country perform better or worse than this estimated benchmark performance. The analysis is based on a panel dataset that we have constructed from Eurostat's first and second Community Innovation Survey. In order to control for possible data contamination we employ an outlier-robust estimator. It appears that among the fourteen countries considered Italy, Germany and Ireland offer an environment that facilitates most the transformation of innovation-related inputs into commercial outputs while the environment in Denmark is the least facilitating.     

A closed-form solution to American options under general diffusion processes

This paper investigates American option pricing under general diffusion processes. Specifically, the underlying asset price is assumed to follow a diffusion process in which both the dividend yield and volatility are functions of time and the underlying asset price. Using the generalized homotopy analysis method, the determination of the early exercise boundary is separated from the valuation procedure of American options. Then, an exact and explicit solution for American options on a dividend-paying stock is derived as a Maclaurin series. In addition, the corresponding optimal early exercise boundary and the Greeks are obtained in closed-form solutions. A nonlinear sequence transformation, the Padé technique, is used to effectively accelerate the convergence of the partial sums of the infinite series. As the homotopy constructed in this paper is based on a generalized deformation with a shape parameter and kernel function, the error of the homotopic approximation could be reduced further for a fixed order. Numerical examples demonstrate the validity, effectiveness, and flexibility of the proposed approach.     

Growth to value: Option exercise and the cross section of equity returns

We propose a general equilibrium model to study the link between the cross section of expected returns and book-to-market characteristics. We model two primitive assets: value assets and growth assets that are options on assets in place. The cost of option exercise, which is endogenously determined in equilibrium, is highly procyclical and acts as a hedge against risks in assets in place. Consequently, growth options are less risky than value assets, and the model features a value premium. Our model incorporates long-run risks in aggregate consumption and replicates the empirical failure of the conditional capital asset pricing model (CAPM) prediction. The model also quantitatively accounts for the pattern in mean returns on book-to-market sorted portfolios, the magnitude of the CAPM-alphas, and other stylized features of the cross-sectional data.     

营业税改征增值税的税率评估——基于可计算一般均衡模型的研究

营业税改征增值税是完善我国税制的一个重要举措,确定各个产业部门改征增值税后的税率是其中一个关键的环节。运用可计算一般均衡模型可以评估营业税改征增值税之后不同税率的选择对宏观经济和产业结构的影响。政策模拟的结果显示,目前正在实施的营业税改征增值税的试点方案权衡了对财政收入和经济增长以及经济结构的影响,是对经济运行影响较小的稳健选择。     

The objective of a privately owned firm under imperfect competition

This paper proposes a model of imperfect competition among privately owned firms that act in the best interest of their shareholders. The existence of a solution for the model is proved under weaker conditions than the ones generally used in the literature. In particular, the results did not require the existence of a continuous equilibrium price selection or concavity assumptions on the profit function.