平均替代率、目标替代率与养老金压力估计

虽然传统现收现付制承诺了目标替代率不变,但一般并非以平均替代率来衡量。一个从较高平均替代率水平转轨而来的制度中,大多数情形下平均替代率是逐渐下降的,只有当平均替代率下降到远低于目标替代率水平时,平均替代率才有可能趋向稳定或出现上升。中国城镇职工基本养老保险的平均替代率已经处于低位,近年来观测到的平均替代率水平不断下降的现象是制度转轨的必然现象。测算表明,如果假定平均替代率水平维持目标替代率水平保持不变,将高估制度维持资金平衡所需的缴费率水平和资金缺口,并将改变制度盈余的根本性质。     

Non-parametric determination of real-time lag structure between two time series: the ‘optimal thermal causal path’ method

We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag–lead structure between two arbitrary time series. The method consists of constructing a distance matrix based on the matching of all sample data pairs between the two time series. Then, the lag–lead structure is searched for as the optimal path in the distance matrix landscape that minimizes the total mismatch between the two time series, and that obeys a one-to-one causal matching condition. To make the solution robust to the presence of a large amount of noise that may lead to spurious structures in the distance matrix landscape, we generalize this optimal search by introducing a fuzzy search by sampling over all possible paths, each path being weighted according to a multinomial logit or equivalently Boltzmann factor proportional to the exponential of the global mismatch of this path. We present the efficient transfer matrix method that solves the problem and test it on simple synthetic examples to demonstrate its properties and usefulness compared with the standard running-time cross-correlation method. We then apply our ‘optimal thermal causal path’ method to the question of the lag-dependence between the US stock market and the treasury bond yields and confirm our earlier results on an arrow of the stock markets preceding the Federal Reserve Funds’ adjustments, as well as the yield rates at short maturities in the period 2000–2003. Our application of this technique to inflation, inflation change, GDP growth rate and unemployment rate unearths non-trivial lag relationships: the GDP changes lead inflation especially since the 1980s, inflation changes leads GDP only in the 1980 decade, and inflation leads unemployment rates since the 1970s. In addition, our approach seems to detect multiple competing lag structures in which one can have inflation leading GDP with a certain lag time and GDP feeding back/leading inflation with another lag time.     

Average cost and marginal cost pricing in Marshall: Textual analysis and interpretation

Abstract

This paper proposes a textual analysis of Marshall's theory of firm pricing behavior under competitive conditions. Average cost and marginal cost pricing theories have very distinct origins as they are rooted, respectively, in the classical and marginalistic theory of competition. I analyze to what extent and under which circumstances the two theories joined in the work of Alfred Marshall; and I argue that, even though only partial evidence can be found to support the adoption of the notion of marginal cost pricing by Marshall, he developed some concepts, such as the distinction between short and long periods and the notion of quasi-rents, which turned out to be fundamental for the joint acceptance of marginal cost and average cost pricing principles by the Marshallian school.     

Performance of moving average trading strategies over varying stock market conditions: the Finnish evidence

This article examines the profitability of dual moving average crossover (DMAC) trading strategies in the Finnish stock market over the period 1996 to 2012. It contributes to the existing technical analysis literature by comparing for the first time the performance of DMAC trading portfolios of individual stocks to the performance of index trading strategies based on trading on an index that consists of the same stocks. The results show that their relative performance varies over time, whereas previous studies have documented outperformance of index trading strategies over trading strategies of stock portfolios. Moreover, the great majority of 3020 DMAC strategies examined in this article outperform the corresponding buy-and-hold (B and H) strategy for both trading targets (i.e., OMX Helsinki 25 index and individual stocks included in the index) in out-of-sample tests. In addition, the decomposition of the full-sample-period performance into separate bull- and bear-period performance shows clearly that the outperformance of DMAC strategies over B and H strategy is mostly attributable to their better performance during bearish periods.     

Interpreting Permanent Shocks to Output When Aggregate Demand May Not Be Neutral in the Long Run

This paper studies a popular statistical model of permanent and transitory shocks to output using a set of arguably more plausible structural assumptions. One way to structurally interpret the model is by assuming aggregate demand has no long‐run output effect. However, many economic theories are inconsistent with that assumption. Instead, we reinterpret the statistical model assuming a positive shock to aggregate supply lowers the price level and in the long run raises output while a positive shock to aggregate demand raises the price level. Under these assumptions, a puzzling finding from the empirical literature implies that a positive aggregate demand shock had a long‐run positive effect on output in pre–World War I economies.     

Economic Design of EWMA Charts with Variable Sampling Intervals

Control charting is a graphical expression and operation of statistical hypothesis testing. In the present paper, we develop the economic design of the variable sampling intervals (VSI) exponentially weighted moving average (EWMA) charts to determine the values of the six test parameters of the charts (i.e., the sample size, the long sampling interval, the short sampling interval, the warning limit coefficient, the control limit coefficient, and exponential weight constant) such that the expected total cost is minimized. The genetic algorithm (GA) is applied to search for the optimal values of the six test parameters of the VSI EWMA chart, and an example is provided to illustrate the solution procedure. A sensitivity analysis is then carried out to investigate the effects of model parameters on the solution of the economic design.     

国有企业财务预警分析的新视觉

2006年按照中央对国有企业改组、改制的进程和规划,所有国企将在这一年完成身份的改变,引入股份制,完全按照股份制决策,懂事会选举,聘任,解聘,政府不再包干企业的亏损,改制后的国企财务预警意识必然比以往更加重要,本文通过引用“利润分块责任制-简易法”从另一个视角对改制后国有企业的财务预警进行分析。     

马克思的平均利润与生产价格理论及其当代价值

平均利润与生产价格理论是马克思经济学说的重要组成部分,是马克思剩余价值分配理论的基石。这一理论主要包含成本价格、利润、平均利润、生产价格、部门竞争、利润率等基本范畴,如果撇开资本的特殊外壳,从一般视角来看,它对于我国国有企业经营机制转换与宏观调控政策选择都具有十分显著的现实指导价值。     

试论高等学校成本核算问题

随着我国高等学校资金来源渠道的多样化，高等学校的财务活动越来越复杂，为了提高资金使用效益，高等学校应采用科学的成本核算方法，加强对各类专业培养成本的核算，以节约办学费用，降低办学成本，提高办学效益。     

Estimating survivor function using optimally selected order statistics

This paper deals with the estimation of survivor function using optimally selected order statistics when the sample sizen is large. We use the estimates (μ*,σ*) based on the optimum set of order statistics for largen and fixedk (≤n) such that the estimate has optimum variance property. The asymptotic relative efficiency of such an estimator is compared with the one based on the complete sample. The general theory of the problem and specific details with respect to a two-parameter Normal, Logistic, Exponential and Pareto distributions is considered as an example.