Can intertemporal choice experiments elicit time preferences for consumption?

The paper considers what can be inferred about experimental subjects’ time preferences for consumption from responses to laboratory tasks involving tradeoffs between sums of money at different dates, if subjects can reschedule consumption spending relative to income in external capital markets. It distinguishes three approaches identifiable in the literature: the straightforward view; the separation view; and the censored data view. It shows that none of these is fully satisfactory and discusses the resulting implications for intertemporal decision-making experiments. JEL Classification C90, C91, D90, D91, D11, D12     

内部控制是利益的平衡机制——法的价值与人本思想的衔接

内部控制是企业或其他主体为规范其内部各环节各利益主体的行为,为协调其活动的有序有效运行而建立的内部机制。法是国家为规范社会构成要素特别是行为者的行为,协调相互关系,保障各利益主体的特定利益机制。如果把企业看成一个国家,或反过来把国家抽象为一个企业,我们发现内部控制方法与法有着惊人的相似之处——利益平衡。     

Keynes, uncertainty and interest rates

Uncertainty plays an important role in The General Theory, particularlyin the theory of interest rates. Keynes did not provide a theoryof uncertainty, but he did make some enlightening remarks aboutthe direction he thought such a theory should take. I arguethat some modern innovations in the theory of probability allowus to build a theory which captures these Keynesian insights.If this is the right theory, however, uncertainty cannot carryits weight in Keynes's arguments. This does not mean that theconclusions of these arguments are necessarily mistaken; intheir best formulation they may succeed with merely an appealto risk.     

论利率管制与货币供给量中介目标之间的矛盾

本文从货币当局无力同时控制利率和货币供给量的角度出发,探讨了利率管制与货币供给量中介目标之间的矛盾;分析了利率管制条件下,以货币供给量为货币政策中介目标,货币政策效果不佳,即实际货币供给量偏离中介目标货币供给量以及实际收入水平偏离最终目标收入水平的深层原因;指出了近年来我国货币供给量中介目标效果不佳,从根本上来说,是由我国客观存在的利率管制和货币供给量中介目标之间的矛盾造成的,是这种矛盾的必然结果.     

The Lévy LIBOR model

Models driven by Lévy processes are attractive because of their greater flexibility compared to classical diffusion models. First we derive the dynamics of the LIBOR rate process in a semimartingale as well as a Lévy Heath-Jarrow-Morton setting. Then we introduce a Lévy LIBOR market model. In order to guarantee positive rates, the LIBOR rate process is constructed as an ordinary exponential. Via backward induction we get that the rates are martingales under the corresponding forward measures. An explicit formula to price caps and floors which uses bilateral Laplace transforms is derived.     

A Reconsideration of the Jumbo/Non-Jumbo Mortgage Rate Differential

Consistent with a series of recent papers, the interest-rate differential between mortgages eligible for purchase based on loan size by Fannie Mae and Freddie Mac and larger loans is estimated to be 22 basis points over the 1986–2000 period. This differential averaged 19 basis points for the 1996–2000 period. Other significant effects include: loans slightly above the conforming loan limit and originated late in a calendar year often have a lower rate that nearly fully anticipates their likely characterization as a non-jumbo loan after the conforming loan limit is indexed effective each January; loan-to-value ratios affect jumbo loan rates much more than they affect non-jumbo loan rates; loans located in non-metropolitan areas have a 3 basis point differential versus loans in metropolitan areas that is surprisingly small given the likely higher cost to service non-metropolitan loans and the higher degree of uncertainty about non-metropolitan collateral values; and estimated regional mortgage rate differentials have narrowed through time.     

Planning Your Own Debt

We model the Danish market for mortgage backed securities with a two-factor interest rate model and use a stochastic programming approach to analyse how an individual home-owner should initially compose and subsequently readjust his mortgage in an optimal way. Results show that the 'rules of thumb' used by financial institutions are reasonable, although best suited for more aggressive mortgagors, for whom the delivery option is of some value. More risk-averse investors should also re-adjust frequently, but use more diversified portfolios. Results are insensitive to whether a one- or two-factor model is used, provided the former is suitably calibrated.     

Valuing and Pricing Retail Leases with Renewal and Overage Options

We consider retail leases with landlord overages options, with tenant renewal options, with both and with neither. We illustrate how the ratio of initial expected sales to the sales threshold can be manipulated to equate the value of the landlord overage options to that of the tenant renewal option at the same initial rent. Not only are the values equal, but the cumulative distributions of potential IRRs on the two leases are nearly identical, suggesting that these leases are equally attractive to risk-averse investors and thus that the same risky discount rate can be used in valuing the leases. In contrast, the appropriate risky discount rate for the overage lease is calculated to be 75–160 basis points greater than that for the renewal lease.     

Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields

Finite dimensional Markovian HJM term structure models provide ideal settings for the study of term structure dynamics and interest rate derivatives where the flexibility of the HJM framework and the tractability of Markovian models coexist. Consequently, these models became the focus of a series of papers including Carverhill (1994), Ritchken and Sankarasubramanian (1995), Bhar and Chiarella (1997), Inui and Kijima (1998), de Jong and Santa-Clara (1999), Björk and Svensson (2001) and Chiarella and Kwon (2001a). However, these models usually required the introduction of a large number of state variables which, at first sight, did not appear to have clear links to the market observed quantities, and the explicit realisations of the forward rate curve in terms of the state variables were unclear. In this paper, it is shown that the forward rate curves for these models are affine functions of the state variables, and conversely that the state variables in these models can be expressed as affine functions of a finite number of forward rates or yields. This property is useful, for example, in the estimation of model parameters. The paper also provides explicit formulae for the bond prices in terms of the state variables that generalise the formulae given in Inui and Kijima (1998), and applies the framework to obtain affine representations for a number of popular interest rate models.