“两缺口”模型中国悖论的成因

利用外国直接投资(FDI)来促进经济增长是我国的一个重要发展战略,但"两缺口"模型已经不能对此进行解释。由于生产要素的国际流动和国际贸易统计体系的颠覆,改变了"两缺口"模型成立的初始条件,而中国特殊的文化传统、转轨时期不完善的经济和社会制度以及对引资作用片面和静态的认识促成了"两缺口"模型在中国的悖论。     

转变经济增长方式——基于VAR和VEC模型的实证研究

结合当前有效需求不足的现状,运用VAR和VEC模型建立了消费、投资与GDP的经济计量模型,分析了建国以来消费、投资对经济增长的影响,得出当前提高消费是优化和促进经济较快增长的重要方式。目前我国投资的提升空间有限,依靠扩大投资总量的政策措施刺激经济增长的余地不大;而通过刺激最终消费、促进消费结构升级,对促进经济增长的作用日益显现。     

Assessing time-varying stock market integration in Economic and Monetary Union for normal and crisis periods

In this paper, we examine the stock market integration process amongst 17 Economic and Monetary Union (EMU) countries from January 2002 to June 2013 over a normal period as well as for the Global Financial Crisis (GFC) and Eurozone Debt Crisis (EDC) periods. We classify the economies in three groups (A, B and C) based on their GDP to examine whether the economic size influences financial integration. Seven indicators are used for the purpose, namely, beta convergence, sigma convergence, variance ratio, asymmetric DCC, dynamic cointegration, market synchronisation measure and common components approach. The results suggest that large-sized EMU economies (termed as Group A) exhibit strong stock market integration. Moderate integration is observed for middle-sized EMU economies with old membership (termed as Group B). Small-sized economies (termed as Group C) economies seemed to be least integrated within the EMU stock market system. The findings further suggest presence of contagion effects as one moves from normal to crisis periods, which are specifically stronger for more integrated economies of Group A. We recommend institutional, regulatory and other policy reforms for Group B and especially Group C to achieve higher level of integration.     

Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition

We apply utility indifference pricing to solve a contingent claim problem, valuing a connected pair of gas fields where the underlying process is not standard Geometric Brownian Motion and the assumption of complete markets is not fulfilled. First, empirical data are often characterized by time-varying volatility and fat tails; therefore, we use Gaussian generalized autoregressive score (GAS) and GARCH models, extending them to Student’s t-GARCH and t-GAS. Second, an important risk (reservoir size) is not hedgeable. As a result, markets are incomplete which makes preference free pricing impossible and thus standard option pricing methodology inapplicable. Therefore, we parametrize the investor’s risk preference and use utility indifference pricing techniques. We use Least Squares Monte Carlo simulations as a dimension reduction technique in solving the resulting stochastic dynamic programming problems. Moreover, an investor often only has an approximate idea of the true probabilistic model underlying variables, making model ambiguity a relevant problem. We show empirically how model ambiguity affects project values, and importantly, how option values change as model ambiguity gets resolved in later phases of the projects. We show that traditional valuation approaches will consistently underestimate the value of project flexibility and in general lead to overly conservative investment decisions in the presence of time-dependent stochastic structures.     

我国居民杠杆率现状及影响因素研究

近年来,我国居民部门杠杆率的快速上升引起社会各界关注。本文使用货币信贷和城镇储户调查数据,对我国居民部门杠杆率和偿债能力现状进行了分析,并运用各省住户贷款数据计算各省的居民杠杆率,使用面板数据模型对居民杠杆率上升的原因进行了实证分析。结果表明,房价的快速上涨和住房销售的增长都对居民部门杠杆率的上升有显著正向影响,其中房价上涨的影响程度更大。此外,金融发展水平和老年人抚养比对居民杠杆率有正向影响,少年人抚养比对居民杠杆率有负向影响。     

FX Intervention in the New Keynesian Model

We develop an open-economy New Keynesian Model with foreign exchange (FX) intervention in the presence of a financial accelerator and shocks to risk appetite in international capital markets. We obtain closed-form solutions for optimal monetary and FX intervention policies assuming the central bank cannot commit to future policies, and we compare the solution to that under policy commitment. We show how FX intervention can help reduce the volatility of the exchange rate, of inflation, and of the output gap, thus mitigating welfare losses associated with shocks in the international capital markets. We also show that, when the financial accelerator is strong, there is a risk of indeterminacy (self-fulfilling currency and inflation movements) although FX intervention can reduce this risk and thus reinforce the credibility of the inflation targeting regime. Model simulations match well the impact of a VIX shock obtained by local projections on a panel of inflation targeting emerging markets.     

基于VAR模型探究BDI和燃油价格的相互影响

燃油价格近期受疫情影响出现剧烈波动,国际干散货航运市场也受到巨大影响。基于Clarksons官方数据库1992年1月至2020年4月相关数据,进行实证研究发现,国际燃油价格的暴跌对波罗的海干散货运价指数的下降有着显著的正向影响;燃油价格虽然也在一定程度上受到BDI的影响,但存在一定的滞后性。这有利于干散货运输公司根据燃油价格波动预测运价指数的变化趋势,从而采取多样的方式应对冲击。也对保障干散货运输市场的稳定发展有重要意义。     

基于钻石模型的滨海新区制造业产业集群发展研究

天津滨海新区升格为国家级综合改革试验区的战略目标,是把以滨海新区为增长极的京津冀打造为环渤海乃至中国北方经济增长的发动机和最具国际竞争力的都市圈。本文借鉴迈克尔·波特的国家竞争优势钻石模型,构建一个地区制造业升级的竞争模型,并借助于这一模型对滨海新区制造业产业集群竞争力进行分析,从而就提升其产业集群竞争力进行了对策探析。     

企业价值评估贴现模型的比较分析

贴现模型是企业价值评估中应用较为普遍的模型,但在我国实践中使用贴现模型存在很多问题。本文利用自由现金流量贴现法、调整现值法、经济利润贴现法三种常用的方法,探讨贴现模型不同参数指标的原理、使用原则、使用条件及在我国实践中的适应性,希望讨论能够为企业价值评估实务提供指导和帮助。     

交互式多媒体教学：电子白板与多媒体相结合

多媒体教学已是现代教育技术的必备手段之一，然而随着实践的深入，它的缺点越发明显，如学生不易抓住重点、师生交互性不够等。电子白板与多媒体教学相结合可以达到，交互学习的效果，可以构建新型教学模式，充分体现板书的优点，提高学习效率、改善学习效果。