On non-revealing rational expectations equilibrium

It is shown that a non-revealing rational expectations equilibrium may not be coalitionally Bayesian incentive compatible, may not be implementable as a perfect Bayesian equilibrium and may not belong to the weak fine core and thus may not be fully Pareto optimal. These negative results lead us to conclude the non-revealing rational expectations equilibrium is not a sensible solution concept. We wish to thank Dr A. Hadjiprocopis for his invaluable help with the implementation of Latex in a Unix environment. We also thank a referee for several, constructive suggestions.     

金融市场有效性联立检验的再检验

在理性预期假定下,基于证券历史价格和收益信息,不能预测证券的未来价格,即市场是弱有效的。对市场有效性检验无效可能是关于基本价格或者正常收益均衡模型设定有误所导致,借助C-CAPM与行为金融模型可以对"市场无效性"进行解释。研究表明,市场有效性假说仅为一个理想范式,无论从有效性的联立检验角度,还是从非理性投资与金融市场关系的角度,都无法对现实的金融市场是否有效做出明确的判断。     

基于《百家讲坛》的"学术明星"现象探析

"学术明星"现象成为当前社会关注的一大热点。"学术明星"现象的产生自有其原因:现代传媒的媒介特性是其产生的客观条件;"学术明星"的自身素质是其产生的前提基础;受众的文化需求是其产生的根本原因。平心而论,"学术明星"现象有一定的社会价值:架起学术通向大众的桥梁;推动传统文化的回归;引领大众走向文化殿堂等。不过我们也要理性对待这一现象,不要哗众取宠,不要浮躁,更不要商业化、庸俗化,"学术明星"们也要严格自律。     

中国生态环境保护:立足国情引导公众理性消费

要探索一条有中国特色的社会主义环保之路,"超越凯恩斯主义"和西方现代化发展模式,除了在生产领域节能环保外,要立足中国人口众多的国情,从社会生活的微观层面倡导公众的节约意识,减少和克服公众消费的浪费现象和盲目高消费甚至挥霍性消费,政府要通过制度安排和公共政策引导公众理性消费,发展公共文化事业,培养公众丰富的精神追求和简约的生活方式,培植有利于生态环境保护的社会生活基础。企业和商家要在引领公众节约行为和理性消费中寻找商机做环保产业,承担相关社会责任。     

投资者面临泡沫的理性行为:抛售、旁观还是骑乘?

关于投资者面临泡沫时的行为,学术界存在截然不同的三种观点:抛售、旁观和骑乘。本文构建了一个仅需基本信息的、适用于一般投资者的泡沫识别模型,以1996年5月至2010年12月的数据为样本识别泡沫,在此基础上分析泡沫期之后的崩溃风险,并测算投资于泡沫期之后的超额收益,探寻当期识别到泡沫与下一期标准化的超额收益之间的关系。结果表明,崩溃与泡沫没有必然联系,投资者面临具有极端收益的泡沫时的理性行为是骑乘泡沫。     

Solving RE models with discontinuous policy rules – an application to minimum wage setting in Germany

The legal regulations require the minimum wage in Germany to be adjusted biennially which gives rise to a policy discontinuity. From the perspective of rational expectations models, such policy features render standard local approximation techniques infeasible. The article presents a stylized model in which negotiated wages and corporate profits are the outcome of an optimization problem, while changes to the minimum wage are modelled by a discontinuous policy rule. Using the simple example of minimum wage setting in Germany, the article illustrates how such models can be solved using the method of undetermined coefficients and presents selected simulation results.     

Costly information acquisition and the temporal resolution of uncertainty

This paper studies the choice of an individual who acquires information before choosing an action from a set of actions, whose consequences depend on the realization of a state of nature. Information processing can be costly, for example, due to limited attention. We show that the preference of the individual is completely characterized by a preference for early resolution of uncertainty, which becomes indifference when facing degenerate choices. When information acquisition is no longer part of the decision process, the individual is indifferent to the timing of resolution of uncertainty and she behaves according to the subjective learning model of Dillenberger et al. (2014).     

Understanding the dynamics of review posting and the management intervention effects on those dynamics

The purposes of the paper are (1) to examine the dynamic properties of online reviews, focusing on whether previous review trends contribute to herding or reactant behavior in subsequent review rating generation (dynamic flow), and (2) to explore the business value of management responses in the dynamic flow of online reviews based on Social Impact Theory and Rational Action Theory as the foundation. To this end, we analyze a series of regression and logistic models with quasi-experimental cases from a large online review dataset, collected from a leading online travel website in China. We find that both types of previous trends of reviews, positive and negative, contribute to reactant behavior in subsequent review rating generation. When the review trends are considered with management responses, we find that management responses have a positive impact on subsequent review ratings in the negative review trend, but not in the positive review trend.     

Market evidence of misperceived mortality risk

We construct and implement a test of rational consumer behavior in a high-stakes financial market. In particular, we test whether consumers make systematic mistakes in perceiving their mortality risks. We implement this test using data from secondary life insurance markets where consumers with a life-threatening illness sell their life insurance policies to firms in return for an up-front payment. We compare predictions from two models: one with consumers who correctly perceive their mortality risk, and one with consumers who are misguided about their life expectancy, and find that our data are most consistent with the predictions made by the second model.     

经济周期波动理论的演进历程及学派研究

对于经济周期波动现象出现的原因,各个经济学流派从不同角度进行了阐释。本文阐述经济周期波动理论研究的演进,分析各个流派理论的产生背景、主要结论和缺陷。对经济周期波动本质原因的研究有益于对我国市场经济体制下经济周期波动的理解,促进我国经济平稳和谐地发展。