学术论文

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  • Zhang, C.——The World Economy: Monetary Dynamics of Inflation in China

    This paper investigates both the short-run and the long-run relationships between monetary growth and inflation in China between 1980 and 2010. We construct multivariate dynamic models based on Friedman's quantity theory of money (but permitting money to be endogenous) and Meltzer's monetarist model. The empirical results provide robust evidence that there is a bilateral causal relationship between monetary growth and inflation as well as between monetary growth and output growth. An indirect and implicit causal relationship between monetary growth and inflation is found through the asset inflation channel. There are also long-run equilibrium relationships between money stock, price index and other relevant variables. The present paper further provides a historical exploration of the mechanism of the monetary dynamics of inflation in China over the underlying period. We conclude that the monetary growth rule is likely to be the most promising policy orientation for China to manage its inflation.

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    ​This paper investigates both the short-run and the long-run relationships between monetary growth and inflation in China between 1980 and 2010. We construct multivariate d...[点击详情]

    2013-06-22
  • Zhang, C., Q. Yue——Issues & Studies: Market Liquidity, Exchange Rate Pass-through, and Inflation Dynamics in China

    This paper examines the effects of market liquidity and exchange rate pass-through on domestic inflation in China from 1998 to 2008 using both univariate and multivariate dynamic models. We find the following: (1) market liquidity in China has significantly positive effects on inflation, (2) the pass-through effect of exchange rates is limited to CPI. (3) the shock to growth rate of real GDP drives domestic inflation significantly, (4) external shocks contribute little to the volatility of inflation, and (5) China s central bank should keep the growth rate of M2 as the main monetary policy instrument in inflation management.

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    This paper examines the effects of market liquidity and exchange rate pass-through on domestic inflation in China from 1998 to 2008 using both univariate and multivariate dy...[点击详情]

    2013-06-22
  • Mcgough, B., Q. Meng, J. Xue——Journal of Economic Dynamics & Control: Expectational stability of sunspot equilibria in non-convex economies

    We examine the stability under learning (E-stability) of sunspot equilibria in non-convex real business cycle models. The production technology is Cobb–Douglas with externalities generated by factor inputs. We establish that, with a general utility function, the well-known Benhabib–Farmer condition ( Benhabib and Farmer, 1994 ) – that the labor-demand curve is upward-sloping and steeper than the Frisch labor-supply curve – is necessary for joint indeterminacy and E-stability. Then, with a separable utility function and allowing for negative externalities from capital inputs, we discover large regions in parameter space corresponding to stable indeterminacy, that is, learnable sunspot equilibria. These existence results overturn the conventional wisdom that sunspot equilibria in RBC-type models are inherently unstable, and provide concise closure to the stability puzzle of Evans and McGough (2005b) .

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    We examine the stability under learning (E-stability) of sunspot equilibria in non-convex real business cycle models. The production technology is Cobb–Douglas with externa...[点击详情]

    2013-06-22
  • Li, S., Y. Ma——Pakistan Journal of Statistics: Financial Ecology, Rural Income and Agricultural Development

    The concept of ecology introduced a new perspective into the study of financial development. A regional financial ecology which includes rural households, enterprises, financial institutions, social organizations, and the government would allow the core entities to supplement each another and promote the development of rural credit and agricultural loan market. Based on cross-regional data, this paper analyzed the relationship between financial ecology, rural income, and agricultural development. The results show that in counties with a better financial ecology, rural households have a higher income and RCCs enjoy higher quality assets. Further case study show that, a better regional financial ecology can significantly alleviate the problem of asymmetric information in the agricultural loan market and lower the transaction costs between market participants. In order to set up a better financial ecological system, the operation quality of regional economy must be raised, the financial infrastructure and institutions must be improved, and the urban-biased financial development strategy must be changed.

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    The concept of ecology introduced a new perspective into the study of financial development. A regional financial ecology which includes rural households, enterprises, finan...[点击详情]

    2013-06-22
  • He, L., Z. Liang——Insurance:Mathematics and Economics: Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance f...

    In this paper, we study the optimal investment strategy in the DC pension plan during the accumulation phase. During the accumulation phase, a pension member contributes a predetermined amount of money as premiums and the management of the pension plan invests the premiums in equities and bonds to increase the value of the accumulation. In practice, most of the DC pension plans have return of premium clauses to protect the rights of the plan members who die during the accumulation phase. In the model, the members withdraw their premiums when they die and the difference between the premium and the accumulation (negative or positive) is distributed among the survival members. From the surviving members’ point of view, when they retire, they want to maximize the fund size and to minimize the volatility of the accumulation. We formalize the problem as a continuous-time mean–variance stochastic optimal control problem. The management of the pension plan chooses the optimal investment strategy, i.e., the proportions invested in equities and bonds, to maximize the mean–variance utility of the pension member at the time of retirement. Using the variational inequalities methods in Bj02rk and Murgoci (2009) , we transform the mean–variance stochastic control into Markovian time inconsistent stochastic control, then establish a verification theorem, which is similar to one of 02and02 and Zeng and Li (2011) , to find the optimal strategy and the efficient frontier of the pension member. The differences of the optimal strategies between the Pension plans with and without the return of premium clauses are studied via the Monte Carlo methods. The impacts of the risk averse level on the optimal strategies is also explored by the numerical methods.

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    In this paper, we study the optimal investment strategy in the DC pension plan during the accumulation phase. During the accumulation phase, a pension member contributes a p...[点击详情]

    2013-06-22
  • 许荣 , 刘洋 , 尹志锋 , 陶长高 ——《金融与保险》:中国IPO市场问题与监管机制有效性研究

    中国IPO新股发行市场排队上市和二级市场持续下跌形成鲜明对比。在IPO发行市场上,高发行价格和高IPO抑价率并存,表明中国IPO发行市场相对低效并且价格发现功能严重不足。本文运用Djankov等(2003)以及Shleifer(2005)建立的分析股票市场监管执行机制的理论框架,分析了中国保荐人制度在结合市场自律和政府监管的同时,缺乏法院诉讼机制的问题。而进一步的实证研究表明,在缺乏法院诉讼机制的条件下,证监会对保荐人的责任处罚并没有影响该保荐人所在证券公司承销股票发行的IPO折价率,也没有影响受处罚证券公司收取的承销及保荐费率。在理论与实证分析的基础上,本文讨论了保荐人制度失效的原因,并提出发行审核制度的改革建议。

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    中国IPO新股发行市场排队上市和二级市场持续下跌形成鲜明对比。在IPO发行市场上,高发行价格和高IPO抑价率并存,表明中国IPO发行市场相对低效并且价格发现功能严重不足。本文运用Djankov等...[点击详情]

    2013-06-06
  • 张顺明 , 余军 ——《数量经济技术经济研究》:国有企业所得税与绩效目标的福利效应

    本文结合国有企业的相对绩效考核机制,建立了一个包含国有企业在内多种所有制部门的开放经济模型,以考察国有企业所得税、绩效目标等外生政策调整的福利效应。数据分析结果表明,当国企相对业绩目标低于市场平均水平时,适度提高国企所得税税负可增进经济效率与社会福利,减轻税负将适得其反。因此,为应对2007年企业所得税改革对国企经营约束的放松,避免经济效率与社会福利损失,政府应提高对国企的绩效考核目标。

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    本文结合国有企业的相对绩效考核机制,建立了一个包含国有企业在内多种所有制部门的开放经济模型,以考察国有企业所得税、绩效目标等外生政策调整的福利效应。数据分析结果表明,当国企相对...[点击详情]

    2013-05-24
  • 关伟 , 潘永 , 肖志兴 ——中国人民大学复印报刊资料《投资与保险》转载:基于贸易品视角的人民币汇率失衡与经济增长考证

    运用协整与行为均衡汇率这两个理论,选择能够影响汇率的两个宏观 经济指标对实际有效汇率进行协整和误差修正建模,实证分析证明我国实际有效汇率与生产率差异、对外资产净值之间存在长期的均衡关系。以此作为基础,应用H —P滤波等现代计量经济的方法初步测算了人民币的均衡汇率.并分析与估计1988年以来人民币汇率的失衡情况,计量结果反映的事实是:人民币实际有效汇率 始终围绕均衡汇率波动,并经历了不同程度的高估和低估阶段。最后借助模型实证分析实际汇率水平和经济增长之间的联系,研究表明货币的低估(高的实际汇率) 刺激了经济增长。

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    运用协整与行为均衡汇率这两个理论,选择能够影响汇率的两个宏观 经济指标对实际有效汇率进行协整和误差修正建模,实证分析证明我国实际有效汇率与生产率差异、对外资产净值之间存在长期...[点击详情]

    2013-05-24
  • 许荣, 戴稳胜 , 张迪 ——《金融评论》:法律环境差异会影响财险市场发展吗

    理论研究和实证证据都表明法制环境对金融市场发展存在显著影响,但是关于法制环境是否影响保险市场发展的研究较少。基于1997。2009年的中国省际面板数据开展法制环境影响财产保险市场的实证研究表明,在控制各省份经济规模、城市化水平、收入差距以及风险偏好的基础上,法制环境的改善对于财险市场的发展具有显著的促进作用。进一步引入财险赔付率作为控制变量后上述实证结果仍然成立。增强了实证结论的稳健性。该研究对于我国通过改善法律环境来促进财险市场的发展具有重要的政策意义。

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    理论研究和实证证据都表明法制环境对金融市场发展存在显著影响,但是关于法制环境是否影响保险市场发展的研究较少。基于1997。2009年的中国省际面板数据开展法制环境影响财产保险市场的...[点击详情]

    2013-05-24
  • 张顺明 , 叶志强 , 李江峰 ——《系统工程理论与实践》:我国制造业企业所得税最优统一税率研究:基于CGE技术分析

    2008年1月1日我国实行新公司所得税率,规定内外资企业所得税率统一为25%.这一具体的制造业企业所得税率是最优统一税率吗?为此,本文建立了一般经济均衡模型试图对该问题进行深入分析.我们利用2007年国家统计数据进行分析,获得了制造业(国有企业、外资企业和其他私营企业)企业所得税最优统一税率,并在此基础上比较分析了三个均衡(基准均衡、统一税率25%均衡和最优统一税率均衡)中社会福利水平、国民收入水平和财政收支的变化以及产出、就业、劳动工资、资本需求等在四个经济部门(包括农业)的结构性变化.文章最后针对外资企业不同的实际所得税率和CES效用函数不同的替代弹性进行了最优统一税率敏感性分析.

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    2008年1月1日我国实行新公司所得税率,规定内外资企业所得税率统一为25%.这一具体的制造业企业所得税率是最优统一税率吗?为此,本文建立了一般经济均衡模型试图对该问题进行深入分析.我们...[点击详情]

    2013-04-24