基于双因素利率期限结构模型的国债市场利率行为研究

本引用一种新的计量经济学方法-高斯估计法，通过Gauss语言编程，使用国债市场短期利率数据对双因素连续时间利率期限结构模型进行了参数估计和预测，得出的结果较理想，从而能更好的了解国债市场短期利率行为特点。     

投资者情绪和市场利率对证券市场指数收益影响特点的动态刻画

本文基于2006年10月到2015年6月市场层面的投资者情绪和上证综指收益率,刻画了投资者情绪和市场利率对证券市场指数收益率的影响。首先,本文通过误差修正模型研究了短期层面投资者情绪对证券市场收益的影响特点,补充了以往在长期层面和整体收益水平上投资者情绪对市场收益影响的研究。由于市场层面的投资者情绪会受到宏观政策影响,之后本文将市场利率作为政策因素,通过分位数回归分析了不同市场收益水平下,市场利率和剔除了宏观政策因素的投资者情绪对市场收益的影响。研究结果表明:投资者情绪和证券市场收益之间的关系在短期层面上更为显著;当我国的证券市场环境处于“牛市”时,市场利率和投资者情绪均会对证券市场指数收益产生显著的影响,且随着市场收益水平的逐步上升,市场利率的反向作用和投资者情绪的正向作用均会逐渐加强。     

中国货币需求函数的实证研究

本文以1998年东南亚金融危机后为背景,从经典的凯恩斯货币需求理论分析出发,运用协整检验和误差修正模型对我国货币需求问题进行了研究。结果显示,货币需求、国民收入、贷款利率和通货膨胀率之间存在协整关系,货币需求函数表现出高收入弹性和高利率弹性,货币量、利率和货币政策最终目标之间存在短期均衡关系,M1主要受收入因素影响而呈现出长期稳定性特征,贷款利率对货币需求有显著调节作用。     

上交所国债市场波动性研究

本文基于2003～2007五年间上证国债指数数据,选择建立了AR(2)-GARCH(1,1)、AR(2) -EGARCH(1,1)、AR(2)-CARCH(1,1)。(γ1,γ2)和GARCH(1,1).(m,n)-M四个模型,从不同的视角分析了我国上交所国债市场的波动性状况。实证结果表明,模型中引入利率调整因子γ1、准备金率调整因子γ2及流动性因子m和n作为外生解释变量,能够较好地刻画我国货币政策对国债市场波动的冲击、市场流动性对国债收益率波动的影响及国债收益率波动与收益率的关系。本文的研究结果对完善我国国债市场管理,促进市场发展有一定的指导意义。     

基于Hull-White模型的债券市场利率期限结构研究

现代利率研究中有许多理论和模型对利率期限结构问题进行探索，但是在中国还没有一种公认的理论或方法能够完全解决中国债券市场利率期限结构问题。本文尝试寻找一种更多的利用市场即时信息的定价方法对利率期限结构进行研究，应用三叉树模拟技术构建Hull-White模型，并对当前中国债券市场上几种常用利率进行比较分析。研究发现银行间质押式回购收益率具有较好的动态运动性质，比样本国债和政策性银行金融债更适宜作为短期金融产品定价的基础。     

基于GMM方法跳聚集的短期利率模型参数估计

构建具有自我激励机制跳的短期利率模型,应用随机跳的强度来描述自我激励机制跳的过程,即当短期利率发生跳时,同时跳的强度也相应地发生跳,从而刻画跳的聚集现象.文章将以美国国债收益率作为研究目标,通过广义矩估计方法(GMM)给出了模型的参数估计和统计推断.借鉴随机微分算子Taylor展开方法,从理论上给出了精确的矩函数,并通过辅助粒子滤波器(APF)给出随机跳的强度估计.实证结果揭示了文章所构建的模型不仅能够很好地刻画极端事件对于短期利率的冲击,而且也很好地描述跳的聚集现象.此外,实证结果也表明了跳的强度可作为市场压力测试的一个重要指标.     

基于不同核函数的非参数与参数利率模型的国债定价

以上海证券交易所的国债回购利率数据为样本,本文采用两种不同核函数:高斯核和抛物线核对非参数利率期限结构模型进行估计.结果显示:短期利率的密度函数是非正态的,扩散过程的漂移函数和扩散函数都是非线性的,高斯核比抛物线核对扩散函数拟合更平滑.然后,给出了基于非参数和参数利率模型的国债定价的方法,并对非参数利率模型、Vasicek模型、CIR模型、多项式样条静态模型进行国债定价预测比较与分析.     

考虑流动性的我国国债价格预测研究

随着金融改革的深化和利率市场化脚步的加快,我国的国债交易和国债市场已经得到了高速发展和充分成长.但在国债利率期限结构的研究方面还不够充分,仍有进一步完善的空间,在利率期限结构研究中考虑流动性的影响就是其中之一.从利率期限结构估计入手,将流动性以权重形式加入NSS模型,估计参数并预测国债价格.研究结果表明,加入流动性权重后,利率期限结构的预测性能显著提高,而且随着步长加大,效果更明显.     

随机利率与双指数跳跃扩散模型下几何平均水平重置期权定价

在资产收益率满足双指数跳跃扩散模型条件下,用Vasicek随机利率模型刻画市场利率的变动,并充分考虑市场利率对资产收益率的影响,研究了具有几何平均特征的水平重置期权定价问题.通过应用测度变换和多维Fourier逆变换方法,给出了此类重置期权定价的解析公式.最后,通过数值实例分析了模型参数对期权价格的影响.结果表明,上跳概率、跳跃频率和利率的长期平均水平对期权价格有正向影响,上跳和下跳幅度对期权价格有反向影响,而利率的均值回复速率对期权价格的影响会因为利率与资产收益率间的相关系数的影响而呈现出复杂性.     

仿射期限结构模型的非包含随机波动局限

一般的,含随机波动率成分的仿射期限结构模型认为,即时收益率瞬时方差是收益率水平的线性组合.本文利用我国银行间固定利率国债数据,构建了不依赖于特定仿射模型的检验方法,并对该推论进行了检验.实证结果表明,无论是事前估计还是事后估计的收益率方差,都不能表示成为横截面收益率的仿射函数.即尽管先前许多研究说明仿射模型能非常好地描...     

A Markov Analysis of Per Capita State and Local Police Expenditures and the Allocation Problem of Federal Aid

A Markov chain model is applied to analyze changes in real annual state and local police expenditures in the United States, where transition probabilities are functions of crime, demographic and economic variables. Of these variables, the inflation rate for state and local government expenditures and federal aid to state and local governments are assumed controllable by public policies. Then a mathematical programming problem is formulated to allocate a fixed amount of federal aid among the North Central states, in which the competing objectives are to maximize the sum of the weighted probabilities so that real per capita police expenditures will be increased in each of the North Central states in the following year while holding the rate of inflation in the state and local government sector to the present rate.     

Optimal budgetary and monetary policies under uncertainty: A stochastic control approach

In this paper, we determine optimal budgetary and monetary policies for Austria using a small macroeconometric model. We use a Keynesian model of the Austrian economy, called FINPOL1, estimated by ordinary least squares, which relates the main objective variables of Austrian economic policies, such as the growth rate of real gross domestic product, the rate of unemployment, the rate of inflation, the balance of payments, and the ratio of the federal budget deficit to GDP, to fiscal and monetary policy instruments, namely expenditures and revenues of the federal budget and money supply. Optimal fiscal and monetary policies are calculated for the model under a quadratic objective function using the algorithm OPTCON for the optimum control of nonlinear stochastic dynamic systems. Several control experiments are performed in order to assess the influence of different kinds of uncertainty on optimal budgetary and monetary policies. Apart from deterministic optimization runs, different assumptions about parameter uncertainties are introduced; the results of these different stochastic optimum control experiments are compared and interpreted.     

短期出口信用保险报损率宏观经济影响因素研究

影响短期出口信用保险报损率的主要因素是海外信用风险水平.选取欧洲地区工业增加值、进口额、货币供应量、利率、汇率等宏观经济指标作为研究欧洲地区的短期险报损率的解释变量,探讨其宏观经济因素同报损率的内在关系.利用偏最小二乘方法建立模型,实证结果表明,工业增加值、进口额、货币供应量、利率与报损率有负相关关系,美元兑欧元汇率与报损率有正相关关系.     

人民币汇率波动与中国进出口贸易关系的实证研究

中国进出口贸易的分析与实证,对中国经济的发展与政府相关部门政策的制定有着重要的实用意义.实证分析了人民币汇率与中国进出口贸易的关系、以及中国进口贸易与出口贸易之间的相互影响程度.选择从1994~2017年这24个年度的时间序列数据作为数据样本,基于Engle-Granger协整分析理论分析变量间的协整关系,建立回归模型;通过格兰杰因果检验,分别阐述了中国出口贸易总额Y1、中国进口贸易总额Y2、人民币汇率X变量间的因果.引入商品价格指数P,用于剔除通货膨胀带来的影响.实证分析结果表明:中国的进出口贸易总额与人民币汇率之间存在着单向的因果关系,且中国的进出口贸易总额的变化作用在人民币汇率的变化较为明显,而人民币汇率的变化作在中国的进出口贸易总额上的变化不太明显.贸易进口额变动对贸易出口额的影响结果大于贸易出口额变动对贸易进口额的影响.     

Optimal portfolio‐consumption choice under stochastic inflation with nominal and indexed bonds

This research solves the intertemporal portfolio choice problems with and without interim consumption under stochastic inflation. We assume a one‐factor nominal interest rate and a one‐factor expected inflation rate, implying a two‐factor real interest rate in the economy. In contrast to other related research which adopts the one‐factor real interest rate model, the inflation‐indexed bond is not a redundant asset class even in a complete market. The infinitely risk‐averse investor would prefer to invest all her wealth in inflation‐indexed bonds maturing at the investment horizon. We also show that, with the two‐factor real interest rate model, the consumption‐wealth ratio is not determined by the real interest rate alone. The investor's consumption–wealth ratio is also affected by the nominal interest rate and expected inflation rate levels. The capital market is calibrated to U.S. stocks, bonds, and inflation data. The optimal weights show that aggressive investors hold more nominal bonds in order to earn the inflation risk premiums, while conservative investors concentrate on indexed bonds to hedge against the inflation risk. Copyright © 2011 John Wiley & Sons, Ltd.     

通货膨胀率与股票收益率关系——基于门槛回归模型的再检验

自费雪效应(假说)提出以来,通货膨胀率与股票收益率之间的关系引发了大量的争论,但二者之间的关系并无定论。本文利用门槛回归模型对通货膨胀率和股票收益率之间的关系进行的再检验,我们的研究发现:总体上,通货膨胀率和股票收益率表现为负相关,并且具有显著的门槛效应,当通货膨胀率较低或处于通货紧缩时,股票收益率和通货膨胀率之间存在不显著的负相关关系,而当通货膨胀率较高时,则表现为显著的负相关关系,呈现出明显的非对称性的特征,股票并不是抵御通货膨胀风险理想的保值品。此外,我们还对黄金类股票和黄金现货也进行了检验,研究表明,黄金现货与通货膨胀关系不显著,而黄金股收益率与沪深股市指数类似,与通货膨胀率具有显著的负相关关系,均非理想的抵御通胀保值品。     

持久性加权核心通货膨胀估计及其预测能力评价

核心通货膨胀对经济形势的判断与宏观经济政策的制定有着重要意义。本文利用2001年1月至2010年6月的月度CPI分类价格指数数据,改进并应用一种新的估计方法-持久性加权法来估计我国的核心通货膨胀。研究发现,估算的核心通货膨胀率呈现跟随标题通货膨胀率的走势,但波动程度小于标题CPI,这表明本文估算的核心通货膨胀指标能够反映潜在通货膨胀的特征;与其他估算核心通货膨胀方法相比,持久性方法无论是在跟踪长期通货膨胀趋势还是在预测能力方面,都表现得更为优异。另外,新方法估算的最新数据表明,2010年上半年我国的持久性加权核心通货膨胀率略微低于3%的警戒线水平,但有进一步上涨的态势,预示未来通货膨胀压力依然存在.国家统计局应正式公布核心通货膨胀,以帮助公众更好理解通货膨胀动态,这将有助于通货膨胀预期管理顺利实现。     

面向需求的房地产市场投机度界定及诱因辨析

基于理性范式,遵循消费者均衡条件,根据我国面临的局部经济过热背景,推定了房地产投机的实质是需求结构扭曲,而且经济周期影响需求结构的途径是收入和替代效应,据此并借助空间几何方向余弦概念具体界定了房地产市场投机度,进而求解了收入效应和替代效应催生地产泡沫的诱因变量,确定了引发投机度波动的诱因变量变动域,即:货币的边际效用降低率越小,投机度越高;收入增长对投机度影响具有不确定性;缩小包括房地产在内的商品价格的上升幅度、增加非地产投资收益率并稳定地产投资收益率可抑制房地产泡沫.     

Hospital profit planning under Medicare reimbursement.

The federal Medicare regulations reimburse hospitals on a pro rata share of the hospital's cost. Hence, to meet its financial requirements, a hospital is forced to shift more of the financial burdens onto its private patients. This procedure has contributed to double digit inflation in hospital prices and to proposed federal regulation to control the rate of increase in hospital revenues. In this regulatory environment, we develop nonlinear programming pricing and cost allocation models to aid hospital administrators in meeting their profit maximizing and profit satisfying goals. The model enables administrators to explore tactical issues such as: (i) studying the relationship between a voluntary or legislated cap on a hospital's total revenues and the hospital's profitability, (ii) identifying those departments within the hospital that are the most attractive candidates for cost reduction or cost containment efforts, and (iii) isolating those services that should be singled out by the hospital manager for renegotiation of the prospective or "customary and reasonable" cap. Finally the modeling approach is helpful in explaining the departmental cross subsidies observed in practice, and can be of aid to federal administrators in assessing the impacts of proposed changes in the Medicare reimbursement formula.     

An EOQ model for salesmen’s initiatives, stock and price sensitive demand of similar products - A dynamical system

The paper deals with an inventory model to determine the retailer’s optimal order quantity for similar products. It is assumed that the amount of display space is limited and the demand of the products depends on the display stock level where more stock of one product makes a negative impression of the another product. Besides it, the demand rate is also dependent on selling price and salesmen’s initiatives. Also, the replenishment rate depends on the level of stock of the items. The objective of the model is to maximize the profit function, including the effect of inflation and time value of money by Pontryagin’s Maximal Principles. The stability analysis of the concerned dynamical system has been done analytically.