学术论文

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  • 王芳 ——《经济理论与经济管理》:人民币汇率改革评析

    本文对近20年来人民币汇率改革的实际成效进行评价,笔者认为改革配套措施的短视化倾向制约了汇率市场化改革目标的实现程度。除了参考IMF事实汇率分类法的外部评价,本文以高度市场化的香港离岸人民币汇率作为参考指标,通过定量分析证明境内人民币即期汇率中间价的市场化程度低于收盘价。本文最后强调,深化汇率改革的关键在于完善汇率形成的市场基础以及淡化中央银行汇率责任。

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    本文对近20年来人民币汇率改革的实际成效进行评价,笔者认为改革配套措施的短视化倾向制约了汇率市场化改革目标的实现程度。除了参考IMF事实汇率分类法的外部评价,本文以高度市场化的香...[点击详情]

    2013-12-27
  • 陈雨露——《中国金融》:大金融战略的内涵和实践路径

    从动态角度看,在一个长期的制度均衡中,银行和资本市场之间应该是互为补充、相互促进、"螺旋发展"的关系"大金融"命题具有三个方面的基本内涵:一是在金融学理论上强调宏观理论和微观理论的系统整合,二是在金融理念上强调金融和实体经济的和谐统一,三是在金融实践上强调一般规律和"国家禀赋"的有机结合。

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    从动态角度看,在一个长期的制度均衡中,银行和资本市场之间应该是互为补充、相互促进、"螺旋发展"的关系"大金融"命题具有三个方面的基本内涵:一是在金融学理论上强调宏观理论和微观理论的...[点击详情]

    2013-12-24
  • 钱宗鑫 , 何青 ——《经济研究(增刊)》:治理通胀:行政干预还是市场手段

    本文在附加单位根检验的门限自回归(Threshold Autoregression)模型基础上,构建了包含通胀的非线性和非平稳性特征的动态模型,研究了1985-2012年中国月度通货膨胀的惯性特征.本文发现,我国的物价变动呈现出明显的非线性特征,当通胀率7个月内增长超过3.6个百分点时,通胀进入加速增长时期,容易出现物价失控;而在其他时期,通货膨胀相对平稳,但仍保持较强的惯性特征.实证分析结果表明,治理通胀需要针对通胀的不同特性,选择合适的政策工具区别对待.在平稳通胀时期,可以采用市场化的货币政策工具保持物价稳定,而针对中国改革过程中可能出现的通胀加速或失控问题,政府需要果断地采用行政手段控制物价过快上涨,否则物价稳定的目标将难以实现,居民福利和经济运行将受到严重损害.

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    本文在附加单位根检验的门限自回归(Threshold Autoregression)模型基础上,构建了包含通胀的非线性和非平稳性特征的动态模型,研究了1985-2012年中国月度通货膨胀的惯性特征.本文发现,...[点击详情]

    2013-12-24
  • Riezman, RG., J. Whalley, S. Zhang——Applied Economics: Metrics capturing the degree to which individual economies are globalized

    We discuss metrics of globalization for individual economies as distance measures between fully integrated and trade restricted equilibria in economies initially operating under less than full integration with the global economy. Such metrics can be used to construct country globalization metrics reflecting the distance of economies from full global integration due to trade barriers, barriers to factor flows, barriers to international financial intermediation, solved technological diffusion and other economy specific features yielding less than full integration into the global economy. Many distance metrics present themselves and none are wholly satisfactory since they each behave differently across various displacements from integration. Distance measures can, for instance, be small in goods space but large in price space. We present alternative measures constructed for eight OECD economies and comment in a concluding section on other measures used elsewhere in the literature such as trade / GDP.

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    We discuss metrics of globalization for individual economies as distance measures between fully integrated and trade restricted equilibria in economies initially operating u...[点击详情]

    2013-12-22
  • 谭松涛 ——《经济理论与经济管理》:自我归因偏差、学习与股民的过度自信

    本文利用中国股民交易记录数据考察了自我归因偏差带来的反馈效应和投资经验带来的学习效应对股民的过度自信的影响。研究发现,股民的历史投资收益对其过度交易存在正向影响,即股民历史投资收益越高,则过度交易程度就越大。这表明良好的历史投资收益会通过自我归因偏差心理加剧投资者过度自信程度。而在控制了历史投资表现之后,笔者发现股民的投资经验对其过度交易的影响并不显著。过度交易或者过度自信并没有随着股民投资经验的积累而得到减弱。

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    本文利用中国股民交易记录数据考察了自我归因偏差带来的反馈效应和投资经验带来的学习效应对股民的过度自信的影响。研究发现,股民的历史投资收益对其过度交易存在正向影响,即股民历史投...[点击详情]

    2013-11-24
  • 郭庆旺 , 吕冰洋 ——《税务研究》:地方税系建设论纲:兼论零售税的开征

    当前"营改增"的推进,引致两大亟待解决的问题:一是政府间财政关系的调整,二是地方税收体系的重构。本文认为,建设地方税系的前提是厘定政府与市场关系、理顺政府间事权分配关系、明晰税收和非税的关系;完善地方税系应坚持的三个原则是基本满足财政经常性支出需要、有益于经济良性运行、规范税收秩序;重构地方税系的三大举措是将消费环节商品和个人收入作为地方税税基、改革营业税和房产税、开征零售税或调整增值税收入分成办法。

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    当前"营改增"的推进,引致两大亟待解决的问题:一是政府间财政关系的调整,二是地方税收体系的重构。本文认为,建设地方税系的前提是厘定政府与市场关系、理顺政府间事权分配关系、明晰税收...[点击详情]

    2013-11-24
  • 戴稳胜 ——《人民日报》:构建基于大数据理念的大金融体系

    党的十八届三中全会通过的《中共中央关于全面深化改革若干重大问题的决定》指出,加强金融基础设施建设,保障金融市场安全高效运行和整体稳定。贯彻落实这一要求,加强金融监管、防止发生系统性风险,需要借助大数据理念与技术的支持,构建稳定均衡的大金融体系。大数据技术与理论的出现为大金融体系的构建带来了切实可行的机遇。大数据的核心理念在于,一切均可量化

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    党的十八届三中全会通过的《中共中央关于全面深化改革若干重大问题的决定》指出,加强金融基础设施建设,保障金融市场安全高效运行和整体稳定。贯彻落实这一要求,加强金融监管、防止发生系...[点击详情]

    2013-11-24
  • Zhang, S.——Mathematical Problems in Engineering: Pessimistic Portfolio Choice with One Safe and One Risky Asset and Right Monotone Probability Difference O...

    As is well known, a first-order dominant deterioration in risk does not necessarily cause a risk-averse investor to reduce his holdings of that deteriorated asset under the expected utility framework, even in the simplest portfolio setting with one safe asset and one risky asset. The purpose of this paper is to derive conditions on shifts in the distribution of the risky asset under which the counterintuitive conclusion above can be overthrown under the rank-dependent expected utility framework, a more general and prominent alternative of the expected utility. Two new criterions of changes in risk, named the monotone probability difference (MPD) and the rightmonotone probability difference (RMPD) order, are proposed, which is a particular case of the first stochastic dominance. The relationship among MPD, RMPD, and the other two important stochastic orders, monotone likelihood ratio (MLR) andmonotone probability ratio (MPR), is examined. A desired comparative statics result is obtained when a shift in the distribution of the risky asset satisfies the RMPD criterion.

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    ​As is well known, a first-order dominant deterioration in risk does not necessarily cause a risk-averse investor to reduce his holdings of that deteriorated asset under th...[点击详情]

    2013-11-22
  • Dai, W., Y. Shao, CJ. Lu——Neural Computing & Applications: Incorporating feature selection method into support vector regression for stock index forecastin...

    Stock index forecasting is one of the most difficult tasks that financial organizations, firms and private investors have to face. Support vector regression (SVR) has become a popular alternative in stock index forecasting tasks due to its generalization capability in obtaining a unique solution. However, the major limitation of SVR is that it cannot capture the relative importance of independent variables to the dependent variable when many potential independent variables are considered. This study incorporates feature selection method and SVR for building stock index forecasting model. The proposed model uses multivariate adaptive regression splines (MARS), an effective nonlinear and nonparametric regression methodology, to identify important forecasting variables. The obtained significant predictor variables are then served as the inputs for the SVR model. Experimental results reveal that the obtained important variables from MARS can improve the forecasting performance of the SVR models. Moreover, the MARS results provide useful information about the relationship between the selected predictor variables and stock index through the obtained basis functions, important predictor variables and the MARS prediction function. Hence, the proposed stock index forecasting model can generate good forecasting performance and exhibits the capability of identifying significant predictor variables, which provide valuable information for further investment decisions/strategies.

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    Stock index forecasting is one of the most difficult tasks that financial organizations, firms and private investors have to face. Support vector regression (SVR) has become...[点击详情]

    2013-11-22
  • 马勇 ——《国际金融研究》:基于金融稳定的货币政策框架

    本文将金融稳定因素纳入货币政策框架,对基于稳定的货币政策规则进行了系统的理论和实证分析。本文的研究表明,相比传统仅仅盯住产出和通胀缺口的利率规则,纳入金融稳定考虑后的货币政策需要一个相对更高的利率规则值来抑制金融体系的过度风险承担。实证分析也发现,危机前的货币政策利率通常存在着系统性低估,这种低估主要源于紧盯价格稳定的货币政策忽略了低利率政策对系统性风险的诱导作用。本文结论对货币政策框架的基本启示是:中央银行的货币政策取向会影响宏观经济大环境和市场主体(尤其是金融机构)的风险承担倾向,因而有着确切的金融稳定内涵,适宜的货币政策需要充分考虑这种内涵,并对金融体系的风险承担做出必要的反应。

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    本文将金融稳定因素纳入货币政策框架,对基于稳定的货币政策规则进行了系统的理论和实证分析。本文的研究表明,相比传统仅仅盯住产出和通胀缺口的利率规则,纳入金融稳定考虑后的货币政策需...[点击详情]

    2013-11-18
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