Lean Trees—A General Approach for Improving Performance of Lattice Models for Option Pricing

The well-known binomial and trinomial tree models for option pricing are examined from the point of view of numerical efficiency. Common lattices use a large part of time resources for calculations which are almost irrelevant for the solution. To avoid this waste of resources, the tree is reduced to a lean form which yields the same order of convergence, but with a reduction of numerical effort. In numerical tests it is shown that the proposed method leads to a significant improvement in real calculation time without loss of accuracy for a broad class of derivatives.     

人民币国际化下的货币政策效应分析

货币政策是宏观经济政策中的重要组成部分。目前我国的货币政策虽然也受到国外因素的影响,但由于实行较为严格的资本管制,人民币只是在经常项目下可兑换,所以外部影响对货币政策的干扰不大。人民币国际化后,由于汇率浮动、资本可自由流动、人民币可自由兑换,国内货币政策会受到严重影响,其效力的发挥会产生很大的偏差。这些影响因素中最重要的是资本流动、货币替代和外汇储备。     

货币政策的区域差异研究——理性预期角度的分析

在区域经济金融差别日益扩大的情况下,货币政策的统一或独立性已经和区域金融差异构成了一种博弈。本文从理性预期学说的角度来阐明,在保证全国统一的货币政策前提下,实施体现区域差异的货币政策的必要性及合理性。     

Linear Accounting Valuation When Abnormal Earnings Are AR(2)

The Ohlson (1995) model assumes that abnormal earnings follow an AR(1) process primarily for reasons of mathematical tractability. However, the empirical literature on the Garman and Ohlson (1980) model finds that the data support an AR(2) lag structure for earnings, book values and dividends. Moreover, the AR(2) process encompasses a far richer variety of time series patterns than does the AR(1) process and includes the AR(1) process as a special case. This paper solves the Ohlson model directly for an AR(2) abnormal earnings dynamic. The model is estimated on a time series firm-level basis following the approach used by Myers (1999). It is found that, like the Ohlson AR(1) model, the Ohlson AR(2) model severely underestimates market prices even relative to book values. These results further bring into question the empirical validity of the Ohlson model.     

The Use of Census Data for Hedonic Price Estimates of Open-Space Amenities and Land Use

Hedonic price models for determining marginal implicit prices of open-space amenities and nonresidential land use were estimated using housing data from the census. Alternative model specifications were compared to evaluate the effects of aggregating land-use data by alternative levels of census geography as well as the use of different sample sizes of census blocks. It was determined that land use is best aggregated at the block group level and that entire populations or very large sample sizes of census blocks should be used with hedonic models.     

Auditor quality,corporate risk,and the valuation of new issues

This paper tests two hypotheses derived from the Data et al. (1991) theoretical model of auditor choice by companies newly listing on the stock exchange. The results offer support to their predictions of the demand for auditor quality. In particular, higher-risk companies are associated with the selection of a high-quality auditor, as proxied by a Big Eight firm of accountants. Additionally, companies who employed Big Eight firms had higher market valuations of their stock at the time of listing.     

Real estate returns,money and fiscal deficits: Is the real estate market efficient?

This research examines the causal relationship between several financial variables and a portfolio of real estate returns using monthly data from January 1965 to December 1986. The empirical analysis is based on multivariate Granger-causality tests in conjunction with Akaike's final prediction error criterion. The results indicate that measures approximating monetary policy and market returns play an important role in causing changes in real estate returns. In particular, our findings suggest that base money and market returns have had significant lagged effects on current real estate returns.     

German dominance in the European Monetary System: Evidence from money supply growth rates

This paper presents further evidence on ostensible German dominance in the European Monetary System (EMS). A dynamic system of equations is built explaining money growth rates as a function of the EMS countries' money growth rates, the world money growth rate, exchange rate objectives, inflation rates, and real income growth rates. A test of German dominance based upon money growth rates is a test of the hypothesis that the EMS has increased the comovements of money demand between countries in the system. It is found that German independence holds, but other central banks can also be important players in the system in that they can conduct independent monetary policies. Monetary policies in the EMS are best characterized as interactive. Therefore, the strict German dominance hypothesis is rejected. It follows that the EMS has not increased significantly the link between money demand functions in the EMS countries in the hierarchical structure as claimed by the dominance argument.     

证券市场的货币政策传导功能实证研究

货币政策是货币当局对经济进行宏观调控的重要工具，政策的有效性首先取决于金融领域的传导机制。长期以来我国的货币政策一直以银行信贷为主要传导枢纽，但随着资本市场的发展，其传导功能将日益强化。本文通过实证分析，建议实施货币政策时应充分考虑资本市场对货币政策传导功能的影响。     

菲利普斯曲线与中国货币政策目标选择

本文概述了菲利普斯曲线的演进过程及西方经济学家关于菲利普斯曲线的竞争，在此基础上对论了中国菲利普斯曲线的变化及现阶段的货币政策选择。