Currency risk premia and uncovered interest parity in the International CAPM

Zero-investment uncovered interest parity (UIP) portfolio positions provide perfect factor-mimicking portfolios for currency risk in the International CAPM context. Their returns are the currency risk premia. Since the UIP positions on average provide low returns, the currency risk premia must be low so that currency risk appears not to be priced in an unconditional model. However, previous research has shown that UIP returns are predictable and may be quite substantial conditionally. We use this observation to generate a specific conditional version of the International CAPM. A GMM approach shows that the conditional model performs well, while the unconditional International CAPM is (marginally) rejected. The paper thus argues that previous rejections of the International CAPM stem from the fact that currency risk premia are by nature low over extended periods of time and do not provide evidence against the International CAPM.     

Asset price bubbles: a survey

Why do asset price bubbles continue to appear in various markets? What types of events give rise to bubbles and why do arbitrage forces fail to quickly burst them? Do bubbles have real economic consequences and should policy makers do more to prevent them? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with frictions. The latest U.S. real estate bubble is described in the context of this literature.     

Revisiting the intertemporal risk–return relation: asymmetrical effect of unexpected volatility shocks

We suggest that an unexpected volatility shock is an important risk factor to induce the intertemporal relation, and the conflicting findings on the relation could be attributable to an omitting variable bias resulting from ignoring the effect of an unexpected volatility shock on the relation. With the effect of an unexpected volatility shock incorporated in estimation, we find a strong positive intertemporal relation for the US monthly excess returns for 1926:12–2008:12. We also find a significant link between the asymmetric mean-reversion and the intertemporal relation in that the quicker reversion of negative returns is attributed to the negative intertemporal relation under a prior negative return shock.     

马尔可夫调制模型下交换期权的定价

在这篇文章中,假定市场经济状态由一个两状态马尔可夫链描述,风险资产满足一个两状态的马尔可夫调制过程。当市场处于高波动状态时,风险资产的价格满足跳扩散过程;当市场处于稳定状态时,风险资产的价格满足几何布朗运动.通过测度变换的技术,得到了交换期权的定价公式。最后,利用蒙特卡洛方法给出了期权价值的数值结果。     

基于运输价格弹性的高速公路拥挤收费有效性研究

拥挤收费的目的是缓解交通拥堵。由于运输需求特性差异导致的交通流受通行费标准调整的影响不同,高速公路拥挤收费的有效性会受到影响。在分析交通量产生机理的基础上,根据运输需求的运输价格弹性差异,探讨拥挤收费对交通流的影响,并分析高速公路拥挤收费的有效性。对于缓解高速公路交通拥堵有良好的指导意义。     

Expropriation risk and housing prices: Evidence from an emerging market

This paper examines the microeconomic determinants of residential real estate prices in Caracas, Venezuela, using a private database containing 17,526 transactions from 2008 to 2009. The particular institutional characteristics of many countries in Latin America, and Venezuela in particular, where land invasions and expropriations (with only partial compensation) have been common threats to property owners, provide us with an opportunity to test the effects of these risks on housing prices using a unique database. The effect of these risks on property prices is negative and significant. To our knowledge, this is the first attempt to quantify these impacts in the Hedonic pricing literature applied to real estate. Size, the number of parking spaces, the age of the property, the incidence of crime, and the average income in the neighborhood are significant determinants of prices. Finally, this paper analyzes the microeconomic determinants of housing prices at the municipal level.     

奈特不确定下资产定价消费模型的建立

在不确定条件下进行资产定价是金融学中的一个重要问题。受金融市场的时变性和人的参与,通常情况下很难得到如收益、利率、波动率等某些变量的精确估计值,现实金融市场中不仅存在概率意义上的不确定性,还存在模糊性,在实际投资中如何对不确定性给出正确的建模就变得非常重要。把不确定性理论引入到传统的资产定价模型中,通过引入不确定性惩罚因子和熵函数建立奈特不确定条件下的最优消费和投资组合模型,能够同时反映随机不确定性和模糊性,可满足投资者的需求。该模型是对经典模型的一种自然推广,它可以适用于不同类型的市场,不同类型的个体,有较好的适用性。     

迎接利率市场化挑战构建有效的银行产品定价体系

本文分析了利率市场化条件下银行关系定价战略的主要内容,对于其中的客户分析及分类、客户关系定价模型以及价格管理机制进行探讨并提出实际建议,以期对完善我国银行产品定价体系提供参考。