ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS,BUSTS, AND BALANCED MARKETS

For longer horizons, assuming no dividend distributions, models for discounted stock prices in balanced markets are formulated as conditional expectations of nontrivial terminal random variables defined at infinity. Observing that extant models fail to have this property, new models are proposed. The new concept of a balanced market proposed here permits a distinction between such markets and unduly optimistic or pessimistic ones. A tractable example is developed and termed the discounted variance gamma model. Calibrations to market data provide empirical support. Additionally, procedures are presented for the valuation of path dependent stochastic perpetuities. Evidence is provided for long dated equity linked claims paying coupon for time spent by equity above a lower barrier, being underpriced by extant models relative to the new discounted ones. Given the popularity of such claims, the resulting mispricing could possibly take some corrections. Furthermore for these new discounted models, implied volatility curves do not flatten out at the larger maturities.     

地域文化变迁的历史进程与趋势研究

地域文化的和谐是和谐社会的主要内涵之一,地域文化变迁是研究区域社会发展不可或缺的内容.重视研究地域文化及其变迁和发展趋势,能够对实现区域文化的和谐发展提供理论基础和实践指导.     

基于VAR模型的江苏省投资、消费与经济增长实证分析

本文利用江苏省1980年到2007年经济数据,在VAR模型的基础上,运用协整检验、格兰杰因果检验、脉冲响应分析和方差分解的方法对江苏省的投资、消费与经济增长之间的关系进行实证分析。结果发现,投资、消费和经济增长之间具有长期均衡关系,江苏省地区生产总值的增长与投资和消费都具有双向因果关系,消费对经济增长的贡献度比投资更大。因此,通过提高居民收入水平,才能刺激消费,促进江苏经济健康发展。     

人口—经济—空间视角的东北城市化空间分异研究

城市化是一个"人口—经济—空间"三维一体的过程——其中人是行为主体,经济是驱动力,空间是载体,据此构建城市化综合测度指标,运用均方差赋权法,对东北34个地级市城市化水平进行综合测度,并运用自然断裂法进行空间表达,结果表明东北地区城市化具有如下特征:①人口、经济、空间及其综合城市化水平空间分异明显,其中经济城市化的空间分异程度最为明显,且主导着人口、空间城市化的演变,但效益不是最佳;②综合城市化水平表明东北地区正处于城市化的加速发展阶段;③人口、经济和空间城市化的空间吻合性较差,其中经济城市化呈现出由南往北依次递减的趋势,而人口城市化呈黑龙江省>辽宁省>吉林省,空间城市化的规律性不明显;④哈大铁路沿线城市其经济、空间及综合城市化空间演变趋势相同——由南往北依次递减,而人口城市化恰好相反,即由南往北依次递增;⑤基于城市化视角的城市群发育程度表现出辽中南城市群>哈长城市群的特征。对东北地区城市化发展道路具有重要的指导意义和实践价值。     

On the forecasting of the challenging world future scenarios

Logistic and power law methodologies for both retrospective and prospective analyses of extended time series describing evolutionary growth processes, in environments with finite resources, are confronted. While power laws may eventually apply only to the early stages of said growth process, the Allee logistic model seems applicable over the entire span of a long range process. On applying the Allee logistic model to both the world population and the world gross domestic product time series, from 1 to 2008 AD, a projection was obtained that along the next few decades the world should experience a new economic boom phase with the world GDP peaking around the year 2020 and proceeding from then on towards a saturation value of about 142 trillion international dollars, while the world population should reach 8.9 billion people by 2050. These results were then used to forecast the behavior of the supply and consumption of energy and food, two of the main commodities that drive the world system. Our findings suggest that unless the currently prevailing focus on economic growth is changed into that of sustainable prosperity, human society may run into a period of serious economical and social struggles with unpredictable political consequences.     

Reflections on discriminant validity: Reexamining the Bove et al. (2009) findings

Bove, Pervan, Beatty and Shiu (2009) develop and test a latent variable model of the role of service workers in encouraging helpful behaviors by customers towards the service business (OCBs). Farrell (2010) questions these findings due to an incorrect application of the Fornell and Larcker (1981) discriminant validity test. The authors respond to Farrell's criticism by discussing the options available for assessing discriminant validity, the current use of these options in top journals, the underlying assumptions of these assessments, and the appropriateness of the alternative assessments under different types of situations. Finally, the authors address the specific concerns raised in Farrell (2010) in regard to Bove et al. (2009).     

What would Don Draper do? Rules for restoring the contemporary agency mojo

What are the timeless truths of advertising? How can agency leaders manage their teams, their creative talent, and clients? To answer these and other questions, the mythology of the ‘Golden Age of Advertising’ is examined and analyzed herein. Specifically, using ad man Don Draper—protagonist of the fictional, but already culturally iconic, television series Mad Men—as a mythic archetype, lessons are extracted for contemporary advertising practitioners. Ten timeless rules are proposed and explicated in the areas of (1) managing intra-agency leadership processes, (2) managing creative processes, and (3) managing client relationships.     

海洋经济对国民经济的影响机制研究

本研究引入VAR模型,运用协整检验、因果检验及脉冲响应和方差分析的动态模拟手段实证分析1985～2008年我国海洋经济增长对国民经济的影响机制。结果表明：海洋经济增长能够促进后期国民经济增长,对国民经济的冲击表现出即期和延期效应,增长弹性呈先增后减的规律;海洋经济对沿海地区经济增长效果起效快,影响强劲,国民经济对海洋经济预测方差的作用贡献率不断提高,且沿海地区远高于全国。     

经济增长与外商直接投资关系研究——基于上海市数据的实证分析

本文根据1990-2005年上海市GDP与FDI的时间序列数据分析,采用线性回归分析方法研究FDI与上海市经济增长之间的关系.格兰杰因果分析表明:上海市经济增长与外商直接投资之间存在着单向因果关系,即只存在从GDP到FDI的单向因果关系.之后的方差分析表明:上海市经济增长对于外商直接投资的影响非常显著,反之却影响甚微.而二者在长期中却有着因果关联性及互动关系.为此,在吸引外资战略上要采取长期而非短期的政策.     

中国货币政策数量效果的实证研究

文章主要运用了单位根检验、协整检验、格兰杰因果关系检验、脉冲响应函数和方差分解等计量经济学方法,利用1994年到2004年的季度数据,对货币供应量、利率这两个重要货币政策变量与GDP之间的关系进行了计量分析,利率对实体经济的影响不显著;不同层次的货币供应量都能对经济产生影响,但它们对GDP的作用效果是有差异的.为提高我国货币政策的效果,实现我国货币政策的目标提出了相关的政策建议.