基于矿业监管博弈的激励约束机制研究

资源型城市地方政府在执行矿业监管权时，通常由于信息不对称及矿业政策执行力度范围限定与中央政府博弈。基于由此导致的矿业生产外部性，通过分析中央政府与地方政府各自的目标偏好和效益函数，利用经济博弈论和矩阵对策，试图寻求矿业监管存在问题的原因。文章尝试在利用行为经济学“前景理论”建模的基础上，借助贝叶斯理论分析，提出贝叶斯风险成本诱导机制，进而得出在该机制的激励约束下矿业监管倾向于帕累托有效。文章最后结合研究结论给出政策建议，为制定我国的能源资源开采政策提供了重要的理论参考。     

Speculative attacks to currency target zones: A market microstructure approach

This paper develops a simple optimization model to characterize the behaviour of market participants during currency attacks and tests it empirically. Specifically, we test for the determinants of the timing, magnitude and chance of success of an attack. The empirical part is carried out using Mexican data, as this market provides us with an appropriate target zone framework and with a very rich dataset. We find empirical support for a set of microeconomic determinants which include: daily order flow, inventory management, intra-day price volatility, and the forward intervention-price differential. Finally, we test for the role of central bank reserves in speculative attack dynamics.     

Do high interest rates defend currencies during speculative attacks? New evidence

Kraay [Kraay, A., 2003. Do high interest rates defend currencies during speculative attacks? Journal of International Economics 59, 297-321.] documents the lack of any systematic association between monetary policy and the outcome of a speculative attack. This paper revisits Kraay's work and modifies it by introducing an improved measure of monetary policy and an additional country-specific fundamental, short-term corporate debt, to capture balance sheet vulnerabilities emphasized by the recent currency crises literature. The results show that for low levels of short-term corporate debt, raising interest rates lowers the probability of a successful attack. This effect decreases and eventually reverses for higher levels of debt. These findings contrast earlier empirical evidence and imply a fundamental reconsideration of the role of monetary policy during currency crises.     

Robustness of the air transport network

This paper presents a methodology for the detection of critical airports (those whose isolation would cause the largest losses in network connectivity) in the global air transport network (ATN), based on simulating an attack on selected ATN airports using different adaptive selection criteria. The performances of several node selection criteria are compared, together with a new criterion based on Bonacich power centrality. The results show that most critical airports can be detected with an adaptive strategy based on betweenness centrality. The detection of such airports may help the development of contingency plans to develop an appropriate response to any airport closure.     

浅谈我国房地产政策——以房价的过快上涨所引发的思考

我国近些年来经济突飞猛进的发展,其背后房地产对CDP的拉动功不可没,特别在金融危机中,大幅拉动内需,成为我国实体经济的支柱产业,但随着需求增大,房价节节攀升,购房困难成为百姓实现小康生活的头号难题。本文就房价过高产生的原因,以及如何看待我国的房地产政策谈了几点看法,并针对高房价提出了几点对策建议。     

单光子卫星量子通信噪声和干扰分析

卫星量子通信是建立全球量子通信网络的最佳选择之一。针对采用偏振编码的卫星量子通信中的偏振保持问题,研究了大气散射和卫星与地面站间相对运动等因素对量子偏振态相位和对准的影响以及相位延迟和对准误差对系统量子误码率的影响,分析了背景噪声和系统硬件噪声对通信产生的影响以及单光子通信过程中可能受到的光子分离攻击干扰,为量子信号认知设计提供借鉴意义。     

User costs and bubbles in land markets

In asset markets with speculative behavior, the long-run equilibrium relationship between asset prices and the discounted flow of future rents may become invalid. We distinguish short-term user costs and longer-term user costs with variables that reflect fundamentals. We show how to work around the empirical problem of measuring speculative expectations about asset price changes and derive a simple user cost formula where the asset price change in the short-term relationship comes out as the long-run change in the overall price level.     

Post-audits for managing cyber security investments: Bayesian post-audit using Markov Chain Monte Carlo (MCMC) simulation

With increasing security spending in organizations, evaluation of the quality and effectiveness of IT security investments has become an important component in managing these projects. The academic literature, however, is largely silent on post-audit of such investments, which is a formal evaluation of IT resource allocation decisions. IT post-audits are considered a useful risk management tool for organizations and are often emphasized in security certifications and standards. To fill this research gap and contribute to practice, we suggest post-auditing of IT security investments using the generic Markov Chain Monte Carlo (MCMC) simulation approach. This approach does not place stringent conjugate assumptions and can handle high-dimensional Bayesian post-audit inference problems often associated with information security resource allocation decisions. We develop two Bayesian post-audit models using the MCMC method: (1) measuring the effectiveness of an IT security investment using posterior mean score ratios (MSR), and posterior crossover error rates (CER); and (2) measuring the effectiveness through detection of a denial of service (DOS) attack using Bayesian estimation to statistically compare the degree of divergence using the concept of entropy. We demonstrate the utility of the proposed methodology using an email intrusion detection system application.     

Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets

Corporate bond markets enable the efficient allocation of capital among competing firms, as well as an extensive degree of disintermediation. While the role of the junk bond market in financing leveraged buyouts, “fallen angels,” start-ups, small firms, and sovereign governments is known, little is known about interactions between low-risk (AAA) bonds markets and high-risk (CCC and below) bonds markets. In this study, we used a sample of daily data spanning 20 years to investigate the dynamic link in first and second moments between low-risk and high-risk bonds during calm and turbulent periods in the U.S. financial markets. Using asymmetric and nonlinear causality tests, as well as the extended DCC-GJR-GARCH model, we found evidence of an asymmetric and nonlinear unidirectional causal link from high-risk to low-risk bonds markets, which intensifies during bear markets. There is a bidirectional volatility and shock transmission only during normal bond market conditions. The high-risk bonds market induces more destabilizing effects in the corporate bond market than the low-risk bonds market. The time-varying, highly persistent, and negative correlation during normal market conditions provides the opportunity for combining low-risk and high-risk bonds to diversify a portfolio.     

开放经济下投机攻击的策略分析

在资本高度流动、金融市场高度互联及金融产品大量创新的背景下,投机者的投机攻击策略越来越趋于组合化、立体化;投机者在投机领域的频繁运作,客观上造成了金融危机内的扩散,进而加剧了世界经济、金融体系的不稳定性。