学术论文

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  • 张成思,贾翔夫,唐火青——《经济学动态》:金融化学说研究新进展

    21世纪以来,金融化学说的主流文献出现了一系列新进展。本文聚焦2005年以来的文献发展,系统梳理金融化学说的发展脉络和研究进展,将前沿文献归纳为三类:金融部门的膨胀、金融产品的衍生化和实业部门的金融化。在金融部门的膨胀化研究中,新古典经济学流派和西方马克思主义政治经济学流派对金融化的现象和后果进行了深刻批判;在金融产品的衍生化研究中,相关文献重点探究了微观主体参与金融产品证券化的机制;在实业部门的金融化研究中,现有文献主要关注实业部门金融化的驱动机制。这三类文献之间有着明显区别,但也具有内在的逻辑联系。本文为深入理解金融化学说的内涵和国外研究前沿进展提供了基础。

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    21世纪以来,金融化学说的主流文献出现了一系列新进展。本文聚焦2005年以来的文献发展,系统梳理金融化学说的发展脉络和研究进展,将前沿文献归纳为三类:金融部门的膨胀、金融产品的衍...[点击详情]

    2020-12-31
  • 刘勇政,Tai Hang,Yang Chenping——WORLD ECONOMY:Fiscal incentives and local tax competition: Evidence from China

    This paper explores how fiscal incentives affect capital tax decisions by local governments in the Chinese context. We develop a model in which local governments, facing different fiscal incentives, compete for mobile capital over corporate taxes. The key prediction of the model, borne out in data from Chinese cities over the years 2004–13, is that an increase in the local corporate income tax‐sharing ratio, proxying local fiscal incentives, makes city governments’ horizontal tax reactions stronger. Our results contribute to the fiscal federalism literature by providing evidence in support of the argument that fiscal incentives faced by local governments significantly shape their policy choices. Additionally, we provide explicit evidence on local tax competition within provinces in China, which has long been regarded as one of the driving forces of China's rapid economic growth.

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    This paper explores how fiscal incentives affect capital tax decisions by local governments in the Chinese context. We develop a model in which local governments, facing dif...[点击详情]

    2020-12-22
  • 王国刚——《经济研究》:奋进新时代 开启新征程——学习贯彻党的十九届五中全会精神笔谈(上)

    在“两个一百年”奋斗目标的历史交汇点上,党的十九届五中全会重点研究“十四五”规划问题并提出建议,将“十四五”规划与2035年远景目标统筹考虑,对动员和激励全党全国各族人民战胜前进道路上各种风险挑战,为全面建设社会主义现代化国家开好局、起好步,具有十分重要的意义。为深入学习贯彻党的十九届五中全会精神,本刊特邀请国内部分经济学家撰写笔谈文章,以飨读者。

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    在“两个一百年”奋斗目标的历史交汇点上,党的十九届五中全会重点研究“十四五”规划问题并提出建议,将“十四五”规划与2035年远景目标统筹考虑,对动员和激励全党全国各族人民战胜前进...[点击详情]

    2020-12-20
  • 张成思,田涵晖——《经济研究》:结构性通货膨胀与通货膨胀预期形成机制

    本文从食品与非食品、消费与非消费两个层次对2001—2019年期间中国的结构性通胀特征进行刻画,并基于预期形成的传染病学模型和适应性学习模型,将结构性通胀特征纳入通胀预期形成机制的微观基础模型,分别采用单方程回归和SVAR模型来实证分析结构性通胀对通胀预期的影响机制。结果显示:居民和专家预期对结构性通胀的即期反应模式相似,食品类和非食品类通胀率均正向驱动通胀预期,不过后者驱动效应高于前者;通胀预期仅受消费类通胀率影响,而非消费类通胀率对预期没有显著驱动效应。同时,通胀预期对结构性通胀冲击的动态响应模式与即期反应整体相似,但存在微妙区别:从食品与非食品类划分来看,居民和专家预期均对非食品类通胀率冲击做出持续正向响应,对于食品类通胀率冲击的响应基本不显著;从消费与非消费类划分来看,居民和专家预期均仅对消费类通胀率冲击做出持续正向响应,对非消费类通胀率冲击无显著响应。研究结果暗示,我国经济主体在形成预期时对非食品类通胀率更加敏感,决策层对通胀预期的引导可以给予相应关注。

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    本文从食品与非食品、消费与非消费两个层次对2001—2019年期间中国的结构性通胀特征进行刻画,并基于预期形成的传染病学模型和适应性学习模型,将结构性通胀特征纳入通胀预期形成机制的...[点击详情]

    2020-12-20
  • 许荣,赵昶,常嘉路——《保险研究》:特别重大事故影响个体风险偏好吗?——基于中国家庭金融调查的资产配置实证

    基于中国家庭金融调查(CHFS)数据,本文实证检验了“特别重大事故”这一外生负面冲击对个体风险偏好的影响。结果表明:第一,特大事故的发生能够显著地降低个体主观风险偏好;第二,将所有特大事故按照事故类型划分为交通事故、矿业事故和其他事故三类,发现与日常生活联系更为紧密的特大交通事故能够对个体主观风险偏好产生更强的冲击作用;第三,利用个体所在家庭的金融资产配置情况和实体工商业投资情况分别表征其在金融市场和非金融市场中的风险承担行为,发现特大事故的发生对家庭的高风险金融资产配置比例产生了明显的挤出效应,同时也抑制了家庭对实体工商业的投资行为;第四,机制研究中,本文逐一讨论了负面冲击影响个体风险偏好的主流理论框架,在排除了财富效应和预期收入效应的同时,认为凸显效应和情绪效应可能是特大事故影响个体风险偏好的两大主要渠道。本文的主要发现为理解特大事故等突发事件对经济社会产生的负面影响提供了新的视角和证据;对当前防疫常态化后投资与消费的恢复具有一定的参考价值;并对中国突发事件应急管理体系的健全和完善具有一定的现实意义。

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    基于中国家庭金融调查(CHFS)数据,本文实证检验了“特别重大事故这一外生负面冲击对个体风险偏好的影响。结果表明:第一,特大事故的发生能够显著地降低个体主观风险偏好;第二,将所有特大事...[点击详情]

    2020-12-20
  • 周弘,张成思,唐火青——《管理科学学报》:融资约束与实体企业金融化

    本文构建了纳入融资约束的实体企业投资组合选择模型,以刻画融资约束下实体企业的金融和实业两类资产的投资组合选择决策。理论模型表明,实业投资的相对风险大小、金融资产收益率与负债利息率之差以及固定资产收益率与负债利息率之差均会影响融资约束企业的金融资产投资占比,前两者表现为正向推动,后者表现为负向抑制,并且金融资产收益率与负债利息率之差的正向影响大于固定资产收益率与负债利息率之差的负向影响。本文使用1998年~2009年中国非上市实体企业作为样本进行实证研究,结果与理论模型相一致。本文理论模型和实证结果都表明,金融资产收益率的上升比固定资产收益率的下降更能够推动融资约束企业的金融化。

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    本文构建了纳入融资约束的实体企业投资组合选择模型,以刻画融资约束下实体企业的金融和实业两类资产的投资组合选择决策。理论模型表明,实业投资的相对风险大小、金融资产收益率与负债...[点击详情]

    2020-12-15
  • 郭彪,Shi Yukun,Xu Yaofei——QUANTITATIVE FINANCE:Volatility information difference between CDS, options, and the cross section of options returns

    We examine the difference in the information content in credit and options markets by extracting volatilities from corporate credit default swaps (CDSs) and equity options. The standardized difference in volatility, quantified as the volatility spread, is positively related to future option returns. We rank firms based on the volatility spread and analyze the returns for straddle portfolios buying both a put and a call option for the underlying firm with the same strike price and expiration date. A zero-cost trading strategy that is long (short) in the portfolio with the largest (smallest) spread generates a significant average monthly return, even after controlling for individual stock characteristics, traditional risk factors, and moderate transaction costs.

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    We examine the difference in the information content in credit and options markets by extracting volatilities from corporate credit default swaps (CDSs) and equity options. ...[点击详情]

    2020-12-01
  • 何林,Liang Zongxia,Song Yilun,Ye Qi——SCANDINAVIAN ACTUARIAL JOURNAL:Optimal contribution rate of PAYGO pension

    In this paper, we study theoptimalcontributionrateof pay-as-you-go (PAYGO)pensionunder a Nash equilibrium between the participants and the government. Given the fixedcontributionrate, the participants of different cohorts chooseoptimalconsumption and asset allocation policies to achieve their objectives. Using the variational method, we derive the closed-form solution. The value function of the participants is monotonous with respect to thePAYGOcontributionrateunder constant population growthrate. As such, we modify the ‘Samuelson-Aaron’ criterion that the preference betweenPAYGOand fully fundedpensionsdepends not only on the demography, investment and salary parameters but also on the age of the cohort. Moreover, we establish the critical age to separate the preference and the ex-post admissible scope for thecontributionrateadjustment. As a central planner, the government is fully aware of the participants'optimalfeedback functions. The objective of the government is to maximize the overall utility of the participants weighted by each cohort's population. For a shrinking population, the fully funded scheme is more preferable and only the elderly cohorts preferPAYGOscheme. However, taking into account the larger political power of the elderly cohorts in the objective function, theoptimalcontributionrateraises slightly.

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    In this paper, we study theoptimalcontributionrateof pay-as-you-go (PAYGO)pensionunder a Nash equilibrium between the participants and the government. Given the fixedcontrib...[点击详情]

    2020-12-01
  • 郑家昆 ——JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION:Optimal insurance design under narrow framing

    In this paper, we study insurance decisions when the policyholder evaluates insurance with narrow framing. We show that due to aversion to risk on the net insurance payoff, i.e., insurance indemnity minus insurance premium, narrow framing reduces insurance demand. This helps explaining the observed low insurance demand in many insurance markets. We also show that the optimal insurance contract involves a deductible and the coinsurance of losses above the deductible when transaction costs depend on the actuarial value of the policy. Moreover, when the policyholder is loss averse over the net insurance payoff, a fixed indemnity equal to insurance premium should be paid for a range of intermediate losses.

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    In this paper, we study insurance decisions when the policyholder evaluates insurance with narrow framing. We show that due to aversion to risk on the net insurance payoff, ...[点击详情]

    2020-12-01
  • 王小龙,陈金皇——《金融研究》:省直管县改革与区域空气污染——来自卫星反演数据的实证证据

    从政府治理结构改革的角度探讨如何推进环境污染治理是一种有益的尝试。从理论上来说,省直管县改革作为一种重要的政府治理结构改革,能够通过简化政府治理级次来改变政府治理效率,影响诸如环保等公共产品和服务的供给。本文采用卫星反演的PM2.5数据检验了省直管县改革前后县级区域空气污染的变动趋势。发现"财政省直管县"改革能显著降低地区空气污染水平,“强县扩权”改革则显著加剧了地区空气污染。稳健性检验、进一步的分析结果均支持上述结论。机制检验发现,“财政省直管县”主要体现为财力保障水平提升导致的治理变化,而“强县扩权”则主要体现为地方政府竞争行为改变导致的空气污染治理变化。总之,单纯的政府级次减少可能并不必然利于地方公共服务的提供,良好的财力保障为地方污染治理服务提供了支撑,竞争行为变化带来的改革效应则会受到政府对环境污染重视程度的显著影响。

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    从政府治理结构改革的角度探讨如何推进环境污染治理是一种有益的尝试。从理论上来说,省直管县改革作为一种重要的政府治理结构改革,能够通过简化政府治理级次来改变政府治理效率,影响诸如...[点击详情]

    2020-11-30
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