How does a pay-as-you-go system affect asset returns and the equity premium?

When applying a differences-in-differences approach, equity returns and the equity premium are both estimated to be more than four percentage points higher after the introduction of a pay-as-you-go (PAYGO) system. In a realistically calibrated model, the PAYGO system is also found to increase the returns and the premium, although the effects are smaller than in the data. Intuitively, the system lowers asset prices, which in turn increases the importance of dividend risk. Since only equity is subject to dividend risk, equity returns become more volatile relative to bond returns.     

Feldstein–Horioka puzzles

The high correlation between national saving and investment rates in advanced economies—the Feldstein–Horioka puzzle—has been referred to as the “mother of all puzzles.” Perhaps more puzzling is that for emerging economies saving–investment correlations tend to be significantly lower, though still positive. This deepens the Feldstein–Horioka puzzle because the mobility of capital is generally believed to be much lower in emerging economies than in advanced economies, and a country with less mobile capital should have a tighter relationship between local saving and investment rates. This paper develops a DSGE model that, without resorting to any real or financial friction, simultaneously explains these two aspects of the Feldstein–Horioka puzzle: positive saving–investment correlations in both advanced and emerging economies and significantly lower saving–investment correlations in emerging economies than in advanced economies. The main features of the model include long-run risk, an endogenous world interest rate, and cross-correlations of national and global shocks. The findings hold for both quarterly time series and long-run averages.     

以小说的方式言说文化：文化悬念小说价值阐释——兼评宋耀良《西夏谜城》

与传统悬念小说不同,新悬念小说包括知识悬疑小说和文化悬念小说,在满足读者的解谜欲之外,更多地着眼于人的求知欲,激发人的好奇心。这种类型小说中的文化悬念小说是国外知识悬疑小说中国化后引入的一个概念,传承了＂文以载道＂的传统,以小说的方式言说文化。宋耀良的《西夏谜城》在文化悬念小说作品中颇具代表性。作品以小说的形式来解谜一个消失的王朝———西夏,让被称为＂东方金字塔＂的西夏王陵、拥有过＂中世纪图书馆＂的黑城遗址和＂乍视字皆可识,熟识无一字可识＂的西夏文字等诸多西夏之谜在普通人的眼里绽放出生命的＂音容笑貌、歌舞哀哭＂。     

市场经济的伦理基础——对亚当·斯密相关论述的评析

亚当.斯密在其名著《国富论》中提出并论证了作为市场经济伦理基础的"自由"、公平"和"互利"。这些价值理念为市场经济的良性运行提供了道德支撑。它们内涵丰富,同时又有其张力和适用限度。     

Vernon Smith's Explanation of Moral Sentiments

This paper is a comment on Vernon Smith's paper, Adam Smith: from propriety and sentiments to property and wealth. This paper argues that while Vernon Smith is correct in his analysis that Adam Smith's theory of human nature, as expressed in The Theory of Moral Sentiments, provides a much more accurate model of behavior than does that of utility maximization, Vernon Smith's analysis can be much enriched by including a more complete explanation of Adam Smith's model of human behavior to include an analysis of prudence, justice, beneficence, and self-command.     

Sentiments and Motivations in Adam Smith and Vernon Smith

Vernon Smith (VS) discovered Adam Smith (AS) late in his professional career, and has adopted ideas from The Theory of Moral Sentiments to explain findings in experimental economics. Most important is the theorized link between moral sentiments and the evolution of property rights and law as foundations for commerce. VS's encounter with AS, while not new, provides a compelling look at the modern laboratory of social science through the lens of the Enlightenment, and cannot easily be encapsulated within a utilitarian framework. This paper provides an overview and commentary on VS's approach.     

Switching VARMA Term Structure Models

The purpose of this article is to propose a global discrete-timemodeling of the term structure of interest rates which is ableto capture simultaneously the following important features:(i) a historical dynamics of the factor driving term structureshapes involving several lagged values, and switching regimes;(ii) a specification of the stochastic discount factor (SDF)with time-varying and regime-dependent risk-premia; (iii) explicitor quasi explicit formulas for zero-coupon bond (ZCB) and interestrate derivative prices. We develop the switching autoregressivenormal (SARN) and the switching vector autoregressive normal(SVARN) Factor-Based Term Structure Models of order p. The factoris considered as a latent variable or an observable variable:in the second case the factor is a vector of several yields.Regime shifts are described by a Markov chain with (historical)nonhomogeneous transition probabilities. An empirical analysisof bivariate VAR(p) and SVARN(p) Factor-Based Term StructureModels, using monthly observations of the U.S. term structureof interest rates, and a goodness-of-fit and expectation hypothesispuzzle comparison with competing models in the literature, showsthe determinant role played by the observable nature of thefactor, lags, and switching regimes in the term structure modeling.     

Liquidity default,liquidity management and smooth dividends policy

Our article models liquidity financing constraints with the real options framework. By conducting a comprehensive investigation of the effects of shocks to liquidity constraints on the firm’s optimal investment, financing and dividend policies, our model highlights the importance of liquidity management and extends the liquidity management approach to hedge liquidity default risk. We find that being concerned about liquidity default risk will significantly change a firm’s behaviours, including those related to investment and the optimal capital structure. A firm that is concerned about its liquidity default risk will become more cautious: it will choose to delay investment and have higher leverage when internal liquidity is very low, but choose earlier investment and lower leverage when liquidity is high enough. The dividends policy can alleviate risks from both the external market and internal project volatility and provides an alternative explanation for the ‘smooth dividends policy puzzle’ commonly reported in empirical research.     

On the consequences of state dependent preferences for the pricing of financial assets

This paper introduces state dependent utility into the standard Mehra and Prescott [J. Monet. Econ. 15 (1985) 145] economy by allowing the representative agent's coefficient of relative risk aversion to vary with the underlying economy's growth rate. Existence of equilibrium is proved and its asymptotic properties analyzed. This generalization leads to level dependent marginal rates of substitution, a property that sharply distinguishes this model from the standard construct. For very low coefficients of relative risk aversion, the equilibrium risk free and risky security returns are demonstrated to have volatilities and an associated equity premium that substantially exceed what is found in the data. This provides a contrasting perspective on the classic “equity premium puzzle.”