现代金融架构下的农业商品契约

我国定单农业中简单远期合约的有限交易、局部信息和履约保证金制度的缺失,导致了定单农业的高违约率,构成了实施农业商品契约模式的现实障碍.现代金融体系的期货交易和保险工具,为规避农产品市场的价格风险提供了价格形成机制和风险外化出口,土地永佃制为现代农业金融架构奠定了经济基础.农业金融架构的发展和完善决定着农业商品契约模式制度安排的水平和规模.     

A Test for Parameter Homogeneity in CO<Subscript>2</Subscript>Panel EKC Estimations

This paper casts doubt on empirical results based on panel estimations of an “inverted-U” relationship between per capita GDP and pollution. Using a new dataset for OECD countries on carbon dioxide emissions for the period 1960–1997, we find that the crucial assumption of homogeneity across countries is problematic. Decisively rejected are model specifications that feature even weaker homogeneity assumptions than are commonly used. Furthermore, our results challenge the existence of an overall Environmental Kuznets Curve for carbon dioxide emissions.     

A constrained least square approach to the estimation of the term structure of interest rates

This paper proposes a new practical method for estimating forward rate curves using bond prices available in the market. It is intended to improve the least square estimation method proposed by Carleton and Cooper by imposing additional constraints to guarantee the smoothness of the forward rate curves. The resulting problem is a nonconvex minimization problem, for which we will propose an efficient algorithm for calculating an approximate optimal solution. Computational experiments show that this method can efficiently generate smooth forward rate curves without increasing the residual errors in terms of least square fitting. Also, we will compare this result with an alternative and more efficient constrained least absolute deviation method.     

Implied Default Probability and Credit Derivatives

Recently many kinds of credit derivatives are traded in the market. The default probability implied in the market becomes important to price some credit derivatives. Also it is useful for managing the credit risk because it includes the market information. In this paper we show how to calculate the implied default probability in the default swap market or the defaultable bond market.This paper is developed from author’s master thesis (Matsumoto, 2000), Graduate School of Systems Management, the University of Tsukuba.     

我国环境会计理论结构探讨

中国加入WTO后 ,企业将会接触到更多的远期合同、互换、期权等业务 ,对这些典型的衍生金融工具的会计处理非常重要 ,本文仅就几种具有代表性的衍生金融工具的会计处理进行了探讨。     

A Note on Forward Price and Forward Measure

The forward measure is convenient in calculating various contingent claim prices under stochastic interest rates. We demonstrate that caution needs to be drawn when the forward measure is used to price contingent claims that involve multiple cash flows. We also derive partial different equations for the forward price to demonstrate how forward contracts can be used for dynamic hedging and how hedges can be conducted if the payoff of a contingent claim depends on the forward price.     

Hedging Multiperiod Forward Commitments: The Case of Period-by-Period Quantity Uncertainty

This article considers the hedging problem of a producer with along-term forward commitment to deliver a commodity at multiple futurepoints in time. The aggregate quantity to be delivered over time is knownwith certainty; however, the period-by-period quantity is determined bythe customer and is unknown to the producer. A minimum-variancemultiperiod futures position that considers both price uncertainty andperiod-by-period quantity uncertainty is derived. The following resultsare obtained: The individual effects of price uncertainty and quantityuncertainty on the multiperiod minimum-variance are separable. In thetwo-period case, if the spot price is expected to decrease over time, therisk-minimizing hedge considering both price and quantity uncertaintiesis greater than that which considers price uncertainty only. If the spotprice is expected to increase over time, then the hedger would beover-hedged if only price uncertainty were considered. Convenience yieldpromotes a larger risk-minimizing futures position, whereas storage costsand financial costs reduce the size of the risk-minimizing futuresposition. In the multiperiod case, if forward prices are unbiasedestimators of future spot prices, or if spot prices are expected todecrease over time, then quantity uncertainty increases the size of therisk-minimizing hedge. If spot prices are expected to increase, then theeffect of period-by-period quantity uncertainty isindeterminate.     

铝合金材料ε—N 曲线研究

本文分别采用 Manson—Coffin 公式和 Fu's 公式,对8条铝合金材料ε—N 曲线试验数据进行了分析、处理,并对两种公式所处理试验数据的绝对误差和相对误差作了比较。结果表明,Fu's 公式比著名的 Manson—Coffin 公式能更好地描述铝合金材料ε—N 曲线。而且 Fu's 公式还简化了ε—N 曲线的测试工作。     

Why do Japanese giant trading companies prefer foreign currency to Japanese yen?

This article examines invoicing strategies in the presence of forward exchange markets. The choice of invoice currency is shown to depend upon the monopoly power traders possess. If the exporter has greater market power to determine the use of invoice currency, invoicing in the currency of the importing country will be preferred. But if the importer has power to determine what currency to use, the converse is true. Moreover, the levels of trade and employment are proven to be invariant to invoicing strategies chosen.     

外汇衍生市场与人民币汇率机制改革

积极培育外汇衍生产品市场,可以促进市场机制在汇率形成中发挥作用。应积极开展外汇衍生产品市场发展规律的研究,通过放松对即期外汇交易的限制,尝试开展外汇间衍生产品交易,逐步发展中国的外汇衍生产品市场,推动汇率形成市场化改革的稳步深入。