Asset price volatility and banks

This paper examines the operation of Diamond–Dybvig banks when depositors have access to the asset market. Previous studies have shown that banks are redundant in this environment since it is impossible to prevent the strategic withdrawals. This paper shows that the strategic withdrawals can be prevented if the market risk, due to asset price volatility, is considered. Banks provide deterministic returns to the depositors since the aggregate withdrawals are predictable, and therefore, banks can choose the portfolio such that no asset liquidation is involved. However, an individual consumer with stochastic liquidity need is vulnerable to the price volatility if he holds the asset directly. Therefore, banks improve the consumers’ welfare by providing the insurance against not only the liquidity shock but also the market risk. Banks are not redundant.     

闭环供应链均衡管理的经济学分析

立足于闭环供应链,以循环视点,从定量化的角度对基于两层的正向供应链和闭环供应链均衡模型进行了比较分析,分别通过对比分散企业与闭环供应链模式下的价格激励、信息共享程度对企业效益的影响,揭示了闭环供应链在基于两种激励机制下的优势,大大提高了整个供应链的竞争力。     

基于产权的企业家人力资本定价探讨

文章介绍了企业家人力资本的产权特征,结合体制改革、效用变化分析了企业家人力资本定价的制度变迁,最后试图建立与产权相符的企业家人力资本定价制度。     

需求、退货和采购价都随时间变化的库存控制研究

随着市场经济和科学技术的发展,许多电子产品的价格普遍存在随时间不断下降的趋势;同时随着人们对产品的认识水平不断提高和消费者观念的改变,导致产品的需求不断增长;因此,电子产品的退货也相当普遍。文中研究了采购价、市场需求及退货均随时间变化情况下的库存控制模型,并得出最优策略。     

Policy impacts on the propensity to travel by HSR in the Amsterdam – London market

This paper investigates the impacts of possible measures to enhance HSR market share in the London-Amsterdam market. To this aim, we adopted a two-level aggregate nested logit model able to jointly model trip distribution and trip generation, thus taking into account that the tested policies may increase or decrease the overall demand. The model was applied to an extensive dataset about passenger flows traveling between London airports and HSR station and Amsterdam in the period 2015–2019. The results show that both the reduction of HSR fares and the application of an air ticket tax, albeit with different impacts in terms of stimulus or reduction effect on overall demand, are ineffective in increasing HSR market share, if not adequately supported by improving HSR service. Increasing HSR frequency and reducing HSR travel times constitute the best opportunities to increase HSR ridership by stimulating a higher substitution effect than modifications in relative fares. Lastly, the recent queueing at airports, following staff shortages and strikes, significantly lower air transport demand and potentially has a substantial upward effect on HSR market share.     

Proposal for calculating regulatory capital requirements for reverse mortgages

In the current context in which many people worry about the sustainability of pension systems, reverse mortgages are gaining popularity because they are a way to supplement elderly people's incomes. However, it is necessary to provide banks with an adequate risk measurement and management procedure for reverse mortgages to increase the commercialization of these products, which will result in greater well-being for the retirement age population. In this paper, we propose a method to measure risk and estimate the regulatory capital requirements for a portfolio of reverse mortgages owned by a financial institution according to Basel II and III. The method considers house price risk, mortality risk and interest rate risk; consequently, regulatory capital requirements need to be computed using a Monte Carlo simulation procedure. The proposed method is general and can accommodate several scenarios for reverse mortgage specifications, including fixed or variable mortgage rates and different income stream schemes (with the lump sum as a particular case). The results for the U.K. show that reverse mortgage providers face higher risk when the lender initially advances a higher amount, with the lump-sum case indicating the highest risk, for relatively younger borrowers, the female population, higher interest rates and floating mortgage rates.     

Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx

We extend neural basis expansion analysis (NBEATS) to incorporate exogenous factors. The resulting method, called NBEATSx, improves on a well-performing deep learning model, extending its capabilities by including exogenous variables and allowing it to integrate multiple sources of useful information. To showcase the utility of the NBEATSx model, we conduct a comprehensive study of its application to electricity price forecasting tasks across a broad range of years and markets. We observe state-of-the-art performance, significantly improving the forecast accuracy by nearly 20% over the original NBEATS model, and by up to 5% over other well-established statistical and machine learning methods specialized for these tasks. Additionally, the proposed neural network has an interpretable configuration that can structurally decompose time series, visualizing the relative impact of trend and seasonal components and revealing the modeled processes’ interactions with exogenous factors. To assist related work, we made the code available in a dedicated repository.     

Filtration enlargement-based time series forecast in view of insider trading

This survey reviews filtration enlargement models in view of insider trading. Although filtration enlargement aptly models insiders' informational advantage, the theoretical results have not attracted the attention of the empiricists, owing mainly to the lack of a bridge transforming the results to testable hypotheses, and/or the absence of econometrics method linking the hypotheses and the data. This survey provides a feasible avenue to estimate insider information and to detect trading from a relatively sophisticated theoretical model, where the dynamics of publicly available data (e.g., stock price) implies insider information before the information is completely digested. We complete the survey with an empirical illustration based on simulated data.     

房产价格持续攀升的原因和价格监督机制的构建

本文对我国近十年来房产价格的总体水平呈现出持续攀升的原因和房产价格监督管理立法的现状进行了全面、深入地分析．指出了我国房产价格监督管理实践存在的问题,提出了通过构楚房产市场竞争机制和房产价格宏观调控机制来完善我国房产价格监督管理机制的构想。     

Quality and Welfare in a Mixed Duopoly with Regulated Prices: The Case of a Public and a Private Hospital

Abstract. Hospital markets are often characterized by price regulation and the existence of different ownership types. Using a Hotelling framework, this paper analyses the effect of heterogeneous objectives of hospitals on quality differentiation, profits and overall welfare in a price‐regulated duopoly with exogenous symmetric locations. In contrast to other studies on mixed duopolies, this paper shows that, in this framework, privatization of the public hospital may increase overall welfare. This holds if the public hospital is similar to the private hospital or less efficient and competition is low. The main driving force is the single‐regulated price which induces under‐provision (over‐provision) of quality of the more (less) efficient hospital compared with the first best. However, if the public hospital is sufficiently more efficient and competition is fierce, a mixed duopoly outperforms both a private and a public duopoly due to an equilibrium price below (above) the price of the private (public) duopoly. This medium price discourages over‐provision of quality of the less efficient hospital and – together with the non‐profit objective – encourages an increase in quality of the more efficient public hospital.