对外贸易对中国经济结构影响机制的实证分析

为充分说明对外贸易对中国经济结构的影响机制,在着重使用CGE模型的基础上,结合P ro jectL ink模型中劳动力供求与价格影响决定模块,综合考察传导因素—价格作用下比较优势的差异导致经济结构的形成,以及开放条件下对外贸易对经济结构的影响,充分体现价格因素在整个宏观体系中的传导作用.     

棉花双关税后进口价格、期货价格与现货价格的感知及传导研究——基于VAR模型

随着我国棉花市场开放程度逐渐提高,探索国内外棉花价格感知和传导机制也愈显重要.国内外棉花价格传递必然受进出口贸易政策的影响,研究征收双关税后的棉花进口价格与国内期、现货价格之间的传递效应,对完善和优化我国棉花价格传导和形成机制更具现实意义.通过VAR模型、格兰杰因果检验、脉冲响应和方差分解等方法检验和探讨三者间的价格感知及传导机制.研究结果表明:征收双关税后的棉花进口价格、国内棉花期货和现货价格三者存在长期协整关系;双关税能够在一定程度上削弱国际棉价对国内棉价的传递能力,双关税后棉花进口价格不是国内棉价的Granger原因;三者在不同时期受到的冲击方向、力度和时间均有差异,据此提出优化国内棉花市场价格感知与传递机制的对策和建议.     

石油期货价格距到期日效应波动实证研究

世界石油期货价格是否存在价格的波动性随到期日的临近而上升的趋势,对于投机商和市场监管都至关重要.研究根据中外石油期货合约的收盘价格得到较为平稳的日收益率,以37个合约的收益率为样本,分别建立时间序列ARM A主模型,并进一步建立带"到期时间"哑变量的GARCH模型.实证分析了世界石油期货收益率的到期日效应.在分析产生到期日效应原因的时,建立了带"成交量"与"国际价格"变量的GARCH模型,对成交量与国际石油期货价格对中国期货价格到期日的影响进行研究.     

A non random walk theory of exchange rate dynamics with applications to option pricing

A two dimensional stochastic process is developed to model exchange rate dynamics. We incorporate the non random walk influence of pur–chasing power parity, to synthesise the theories of international trade and foreign currency options. Our results, which include a closed form expression for the transition density function of the exchange rate and an exact formula to price currency options, offer a theoretical framework for further study of foreign exchange markets     

信用期下时滞变质品供应链库存和定价的Stackelberg均衡策略

在允许缺货和考虑资金机会成本情况下,根据时滞变质品的基本库存模型,分别构建了信用期下供应商为领导者(SL)和零售商为领导者(RL)的Stackelberg博弈模型。通过分析SL和RL下的Stackelberg博弈模型唯一均衡解,得到两个模型中均衡解的解析表达式。最后,根据数值算例分析得出:(1)在SL供应链中信用期并不总使整个供应链协调,然而在RL供应链中信用期的协调效果较好;(2)延长信用期或增加零售价格均能刺激零售商多订货;(3)在两个模型中,零售价格均随变质时刻递增,且整条供应链达到Pareto改进;(4)SL中供应商变动信用期与RL中零售商变动价格相比,SL供应链收益更高;而当信用期和价格固定,其他参数变动时,RL供应链收益更大。     

中国对外贸易的向量误差修正模型

对外贸易与经济增长关系一直是经济研究中的热点问题,在对外贸易取得了长足发展的今天这一问题显得更加重要。本文对相关的研究文献进行了评述,并采用四个变量系统的VAR模型和VECM模型,对我国对外贸易、产出和投资的关系进行了实证研究,实证结论证明了对外贸易对经济增长不管是长期还是短期都存在正的影响,并提出了改变对外贸易增长方式和鼓励进口的政策建议。     

进口对国内价格的波及效应分析

全球化经济进程以及我国加入世贸组织推动我国对外贸易快速发展,经济高速发展带来对资源的消耗日益增长,使得进口产品量进一步扩大,国内经济系统受进口产品的影响加重.然而国际市场价格的波动,以及我国进口关税的变化,导致了进口产品价格波动.由于经济系统中各个产业部门相互关联,进口产品比例和进口产品价格的波动必然对国内各个产业的产品价格产生相应的波及效应.本文应用投入产出的分析方法,构建进口产品价格影响模型,应用1997年和2002年投入产出表,定量研究了进口产品价格的变动对各个产业部门价格变动的波及效应,并进行了进口价格变动的模拟.     

Strategic trade policy and signaling costs with differentiated goods

We consider a trade policy model, where the costs of the home firm are private information but can be signaled through the output levels of the firm to a foreign competitor and a home policymaker. We compute the separating equilibrium and the Bayesian Nash equilibrium, and we compare the subsidies, firms' expected profits and home government's welfare in both equilibria, for different values of the own price effect parameter. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Analysis of asymptotic distributions of some profitability characteristics of trade algorithms

The asymptotic behavior of a model sequence of price increments and some probability characteristics of a trade algorithm are investigated. It is proved that characteristics such as the number of buy and sell transactions and the value of total profitability are asymptotically normal for a stationary m-dependent sequence of price increments. Approximate formulas are derived to calculate their mathematical expectations and variances as functions of parameters of the price series and the trade algorithm. Some results of numerical experiments are presented.     

人民币升值对中国出口品价格的影响研究

人民币升值对中国进出口贸易的影响,主要是通过价格竞争机制完成的.首先分析了人民币升值影响中国出口品价格的传导路径;然后利用计量经济模型估计了各个部门产品的进口需求函数;同时考虑到进口品对国内生产品的替代和部门间的价格传导,利用反映加工贸易的非竞争型投入产出模型分情景分析了人民币汇率上升对中国各个部门加工贸易出口品价格和一般贸易出口品价格的影响,得到了非常具有现实意义的结论.     

我国环境污染、对外贸易和工业发展的关系探究

使用Eviews6.0软件分析1983年至2011年的统计数据,研究环境污染、对外贸易和工业发展之间的关系.首先,使用熵值法构造环境污染综合评价指数.然后,使用Grange检验确定三个变量之间的因果关系,使用VAR模型求解三者之间的量化关系,研究了脉冲响应分析和方差分解.结果表明:对外贸易会影响工业发展,对外贸易的变动冲击在前期会促进工业发展,随着年数的增加,其作用逐渐减少;对外贸易对环境的冲击表现为先增加然后平稳的减少;工业发展对环境污染的冲击最大出现在第二期,最后,采用分位数回归研究变量关系在不同分位点的变化规律,结果表明:对外贸易在各个分位点上都是高度显著的促进工业发展;对外贸易仅在高分位点上是显著的带来环境污染.     

国内外利率为随机的双币种重置型期权定价

双币种重置期权的特征是指在终端期T时的收益依赖于预先设定的t<,0>时刻标的资产的价格与执行价K>0(事先给定)的大小关系重新设置期权的执行价从而给出其定价,这种期权是投资于外国资产的一种合约,其风险不仅依赖外国资产价格的变化,还受外国货币的汇率以及国内外两种利率波动的影响,所以在实际应用方面十分广泛.本文首先就标的资...     

基于广义脉冲的东北三省外贸外资与经济增长研究

作为连接其他国家和地区的桥梁和纽带,对外经贸在国际经济关系中有着十分重要的地位。本研究选取对外经贸与经济增长代表性指标,以各指标平均增长率为切入点,通过构建相对增长指数模型,测算东北三省的外贸相对增长指数(TGI)和外资相对增长指数(CGI)并进行分类,结果显示三省外贸、外资增长类型截然不同。进一步,将历年外贸、外资增速与经济增速进行对比分析发现,外贸增速与经济增速具高度同步性,且始终扮演经济晴雨表的角色,外资增速则更具不确定性和偶然性。最后,广义脉冲响应分析显示外贸外资冲击经济增长均产生显著效应,但响应程度不尽相同,各指标贡献度通过方差分解呈现。本文为外贸外资与经济增长关系研究提供了新的视角。     

贸易和产业政策对企业产品质量的影响博弈

在纵向产品差异化的双寡头竞争的框架下,对政府的贸易和产业政策做了分析,得到的主要结论为,只要国内企业生产低质量的产品,则贸易自由化会导致国内企业的产出水平下降和所有产品价格的提高;在贸易和产业政策一定的情况下,当国内企业的技术水平比较低时,国内企业生产低质量产品可以使社会福利达到最大化;另外,政府可以通过关税和补贴的干预使企业的产品质量产生跃进,超过国外竞争者.     

Limit pricing under third-degree price discrimination

This paper shows how a multimarket incumbent can use low pre-entry prices for entry deterrence. We consider an incumbent who operates in two independent markets and has private information about his production cost. In one of the markets, there is a potential entrant offering a differentiated product. The most reasonable perfect Bayesian equilibrium is either the least-cost separating equilibrium or the pooling equilibrium where both types of incumbents set the low-cost monopoly prices. This equilibrium may involve a downward distortion in the pre-entry prices of both markets. Our model has interesting implications for antitrust regulation as well as for international trade policy. First, predatory tests based on a single market are inadequate for a multimarket incumbent. Second, a lower price in a foreign market is neither a necessary nor a sufficient condition for the existence of entry deterrence in a foreign market.     

基于PSO-BP神经网络的外贸发展状况的评价

以我国对外贸易的实际情况为基础,建立了评价外贸发展状况的一套指标体系.使用主成分分析方法对所有评价指标进行预处理之后,借助粒子群优化算法改进了BP神经网络算法,构建了外贸发展状况的评价模型.评价模型在具体应用中,评价结果较为准确,具有一定的科学性和合理性.     

币值低估下对外贸易对物价水平的影响

从货币数量方程出发,运用汇率理论与对外贸易理论,主要讨论了币值低估时,对外贸易对经济体内物价水平的影响.在外贸情况一定时,经济体内物价水平与币值低估程度正相关;当币值低估程度确定,进出口比例与外贸规模也会对经济体内的通胀大小产生影响,具体表现为:外贸顺差越大,通胀越严重;但贸易逆差时,仍然有可能出现通胀;而若要追求贸易平衡的目标,则外贸规模越大,通胀越严重.同时,一国的币值低估还通过对外贸易对他国的物价水平产生影响.     

The role of index bonds in universal currency hedging

This study examines the demand for index bonds and their role in hedging risky asset returns against currency risks in a complete market where equity is not hedged against inflation risk. Avellaneda's uncertain volatility model with non-constant coefficients to describe equity price variation, forward price variation, index bond price variation and rate of inflation, together with Merton's intertemporal portfolio choice model, are utilized to enable an investor to choose an optimal portfolio consisting of equity, nominal bonds and index bonds when the rate of inflation is uncertain. A hedge ratio is universal if investors in different countries hedge against currency risk to the same extent. Three universal hedge ratios (UHRs) are defined with respect to the investor's total demand for index bonds, hedging risky asset returns (i.e. equity and nominal bonds) against currency risk, which are not held for hedging purposes. These UHRs are hedge positions in foreign index bond portfolios, stated as a fraction of the national market portfolio. At equilibrium all the three UHRs are comparable to Black's corrected equilibrium hedging ratio. The Cameron-Martin-Girsanov theorem is applied to show that the Radon-Nikodym derivative given under a P -martingale, the investor's exchange rate (product of the two currencies) is a martingale. Therefore the investors can agree on a common hedging strategy to trade exchange rate risk irrespective of investor nationality. This makes the choice of the measurement currency irrelevant and the hedge ratio universal without affecting their values.     

Exchange rate uncertainty and trade growth—a comparison of linear and non‐linear (forecasting) models

A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost all empirical contributions assume and estimate a linear relationship. Possible nonlinearity or state dependence of causal links between FX uncertainty and trade has been mostly ignored yet. In addition, widely used regression models have not been evaluated in terms of ex‐ante forecasting. In this paper we analyse the impact of FX uncertainty on sectoral categories of multilateral exports and imports for 15 industrialized economies. We particularly provide a comparison of linear and non‐linear models with respect to ex‐ante forecasting. In terms of average ranks of absolute forecast errors non‐linear models outperform both, a common linear model and some specification building on the assumption that FX uncertainty and trade growth are uncorrelated. Our results support the view that the relationship of interest might be non‐linear and, moreover, lacks of homogeneity across countries, economic sectors and when contrasting imports vs exports. Copyright © 2005 John Wiley & Sons, Ltd.     

有对外贸易的社会再生产演化分析

对于有对外贸易的社会再生产,生产资料净出口依存度、消费资料净出口依存度是外部条件参数,影响社会再生产演化.在数学上,可以把有对外贸易的社会再生产演化归结为含外部参数的二维受控变系数线性系统递归问题.根据有对外贸易的社会再生产的实现条件,建立有对外贸易的社会再生产演化方程,并获得演化的传递矩阵及其特征值.有对外贸易的社会再生产演化包含了经典的马克思社会再生产演化.通过算例说明有对外贸易的社会再生产演化过程.