浅议入世后收费员胜任征费工作的对策

文章阐述了只有了解和掌握WTO有关知识和规则后,才能从出现的新情况和新问题中,认真研究加入WTO后高速公路收费员胜任征费工作的新途径和新办法,使自己处于不败之地。     

论资本资产定价模型及其研究进展

本文对马柯威茨证券投资组合理论和夏普资本资产定价模型作了全面的研究，着重探讨了资本资产定价模型及其在财务领域的发展。     

制度缺陷与资源配置效率——来自中国股票市场的实证研究

中国股市与生俱来的高波动性是不争的事实,股指暴涨暴跌、个股换手频繁表明股价的波动幅度和交易的频率都远远超过了基本面变动的速度,是过度噪声的直观证据,其内在本质在于中国股市的制度缺陷,尤其是股权集中和股权分置。笔者借鉴Mishkin(1983)和Sloan(1996)的做法,采用理性预期定价模型进行了实证检验。结果发现,尽管从样本期间(1995￣2001)整体来看市场对资源的配置是有效的,但是个别年份却是无效的。这说明中国的制度缺陷确实损害了资源的配置功能。提出制度的缺陷还必须由制度创新来弥补,非流通股的自由公开转让,股权的适度分散是必经之路的论点。     

Record values of the Lomax distribution

In this paper, firstly an introduction to the idea of record values for a sequence of independent and identically (Lomax or Pareto II) distributed random variables is given. Some of the distributional properties of these record values and moments up to second order are derived. These moments clearly depend on the location, scale and shape parameter of the Lomax distribution and two types of estlmators of these parameters, based on a series of observed record values are presented.     

Estimating the magnitude of capital flight due to abnormal pricing in international trade: The Russia–USA case

Governmental and international lending agencies, as well as private sector firms, who engage in international trade, have long been concerned with detecting and determining the magnitude of abnormal pricing in international trade. To detect such abnormal pricings, we present a framework analyzing millions of import/export transactions between the U.S. and Russia. The objectives of this study are to estimate the economic impact of over-invoiced/under-invoiced Russian imports/exports from/to the U.S. and to determine if capital movement/capital flight through trade is due to money laundering, tax evasion or some sort of portfolio consideration. Our results lead us to conclude that capital movement through trade in this case can be attributed to either money laundering and/or tax evasion.     

The healthcare network economy: The role of Internet information transfer and implications for pricing

Over the past several decades, in an effort to increase quality and efficiency, more emphasis has been placed on preventive medicine, active participation of consumers in their healthcare, and healthcare networks that collaboratively provide medical care. This article addresses how the Internet has facilitated the development of new communication flows between networked stakeholders and the impact information transparency has on the demand for and the delivery of healthcare. Using actual patient treatment data, interviews with practitioners, and consumer interaction on Internet message boards, we discuss how increased information transfer shapes healthcare coverage and treatment options and the managerial implications for healthcare pricing along the value chain.     

Bond Option Valuation for Non‐Markovian Interest Rate Processes

The standard method for valuing a European option on a bond portfolio is developed by Jamshidian. He shows that under certain circumstances the payoff from a bond option can be expressed as a portfolio of payoffs on discount bond options, allowing the option to be valued as a portfolio of options. A limitation of this approach is that it cannot be applied to non‐Markovian interest rate processes. This paper develops a method for the valuation of a European option on a bond portfolio that can be applied to both Markovian and non‐Markovian interest rate processes.     

国际输配电价形成机制综述及对我国的启示

从最优输电定价原则出发,通过对一些主要西方国家和地区的输电电价结构和定价机制的介绍比较,提出对我国输配电定价机制和电价结构的设想。     

Prediction of Individual Bond Prices via a Dynamic Bond Pricing Model: Application to Japanese Government Bond Price Data

In this paper, we propose a dynamic bond pricing model and report the usefulness of our bond pricing model based on analysis of Japanese Government bond price data. We extend the concept of the time dependent Markov (TDM) model proposed by Kariya and Tsuda (Financial Engineering and the Japanese Markets, Kluwer Academic Publishers, Dordrecht, The Netherlands, Vol. 1, pp. 1–20) to a dynamic model, which can obtain information for future bond prices. A main feature of the extended model is that the whole stochastic process of the random cash-flow discount functions of each individual bond has a time series structure. We express the dynamic structure for the models by using a Bayesian state space representation. The state space approach integrates cross-sectional and time series aspects of individual bond prices. From the empirical results, we find useful evidence that our model performs well for the prediction of the patterns of the term structure of the individual bond returns.     

Are Indexed Bonds Really Inflation Proof? A Model of Real and Nominal Term Structures when Money has Real Effects

This paper studies the general behavior of the nominal and real term structures of interest rates in a general equilibrium framework. A central bank is introduced in the model as an agent facing a tradeoff between inflation and output and choosing a monetary policy variable. Prices and output are jointly determined in our model endogenously. Two multi-factor nominal and real term structure models are given as examples to illustrate the general model. In our economies, inflation indexed bonds are not completely inflation proof, but are still subject to the influence of inflation uncertainties. The models offer us an empirical framework that can be studied with indexed bond data and nominal bond data together in a single estimation.