纯增益反馈控制律在MF模型中的应用研究

给出蒙代尔-弗莱明模型的动态表述,并证明蒙代尔-弗莱明模型的动态系统具有能控性、能达性、能观性等结构特征.在蒙代尔-弗莱明模型动态系统的基础上对开放经济条件下宏观经济模型的供需均衡问题转化为宏观经济政策的控制律设计问题,得出开放经济条件下宏观经济政策的纯增益反馈控制律的解析解并且对控制律的解析解的政策含义作出阐述.本文...     

现代经济体制与宏观经济分析

本文将具有代表性的现代一国经济体制与宏观经济分析结合起来,清晰地展现了在封闭状态下一国宏观经济运行的机理,并以综观经济学、现代财务理论为纽带,揉合微观经济学、凯恩斯理论,新古典综合派、货币主义、理性预期理论及供给学派等经济学流派的一些重要观念及方法,以一国经济中的商品市场、货币市场、债券市场、股票市场及劳务市场的同时均衡为契机,发展出了一个新的宏观经济分析方法,并作了静态分析讨论一国真实GNP、价格水严及就业量是如何被决定的。     

政府奖励与惩罚机制下闭环供应链网络均衡的互补模型

为研究政府经济政策对闭环供应链的影响,以非线性互补理论为基本工具,分别得到了在政府奖励机制与惩罚机制下,制造商负责回收的闭环供应链网络的各层均衡及整体均衡条件、经济解释及对应的非线性互补模型.最后通过数值算例验证了模型的正确性与有效性,其分析结果表明当政府预期的最低回收率较低时,惩罚机制优于奖励机制;当政府预期的最低回收率较高时,奖励机制优于惩罚机制.政府部门为了达到预期的最低回收率目标,可以适当调整奖励因子与惩罚因子.     

纳入政策预期的国际气候博弈

本研究首先对Baumol和Oates构建的公共外部性模型的假设条件进行修正,从而构建起更符合实际的国际气候治理的数理模型;求解该数理模型,本研究推导出同时实现全球帕累托最优和自身财政收支平衡下,国际环境协议必须遵循的唯一政策规则;最后,以此为基础,本研究进一步构建起纳入政策预期的国际气候博弈模型,并通过数理分析论证,揭示了:如果世界各国都只考虑自身利益最大化,纳入政策预期下的气候博弈的均衡结果,将无法实现全球气候治理的帕累托最优。     

我国潜在产出、自然利率与均衡汇率的联合估计及其应用

本文以开放经济下的新凯恩斯宏观经济动态模型为理论依据,基于状态空间模型方法对我国潜在产出、自然利率以及均衡汇率在统一的框架下进行了定量估计,并进一步计算出相应的产出缺口、实际利率缺口与实际汇率缺口,以此作为参照指标对我国宏观经济波动态势、名义利率调整行为以及人民币汇率水平的合理性进行系列分析。分析表明,本文所得到的估计结果不仅是合理、可靠的,而且可以作为我国宏观经济波动态势判断、货币政策制定和效果评价的有用参考。     

证券投资组合模型研究

运用P.C.Young状态空间预测修正模型对个股价格走势进行拟合,计算不同组合方式的证券预期收益率及其差异变动程度,确定备选方案,然后从中寻找理想点,达到收益与风险的均衡     

中美贸易失衡的均衡、错位及其矫正

基于中方与美方视角,对中美贸易失衡的均衡、错位及其矫正进行实证研究.实证研究表明:中美基本面经济要素对中美双边贸易失衡有重要长期和短期影响;2007-2011年,中美贸易失衡的均衡水平呈下降趋势;1986-2011年,美中贸易失衡的均衡水平呈下降趋势;1986-2011年,中美贸易失衡的错位程度不严重.政策启示是:不应简单化地将美国挑起针对中国的汇率和贸易争端归因于政治动机;加强中美宏观经济政策协调;加强国内宏观经济政策协调;坚持人民币对美元小幅度升值.     

我国市场机制条件下工资率与工作时间的关系

本文根据社会主义市场机制的特点，建立了一类描述社会总福利最大的模型，给出了所有消费者处于均衡状态时实现帕累托最优的条件．研究了当消费者处于均衡状态时，工资率与工作时间之间的变化关系．     

推广的实用华氏宏观经济增长模型及参数估计

从我国当前经济系统中消费、投资和出口的实际作用和现有的国民经济数据统计口径出发,借助于L eon tief平衡模型,对经典的华氏经济增长模型进行了改进,推广了一类具有实用性的华氏宏观经济增长模型,论证了该经济增长模型存在实现宏观经济均衡增长的条件,并且给出了利用实际经济数据估算投入系数的方法,同时指出了推广的华氏宏观经济增长模型和实用宏观经济增长模型、经典华氏经济增长模型之间的关系.     

基于一般均衡的不同税制对住房价格影响的比较分析

针对参与者预期具有异质性的房地产市场,在一般均衡模型框架下对以营业税为代表的住房转让环节税收和对住房持有环节征收的房产税对房价的影响作用进行分析和比较.理论研究结果表明,房地产税通过影响预期较为中性的参与者的交易决策改变市场均衡(价格),且转让环节与持有环节的税收具有相反的价格效应:征收住房转让环节营业税或提高营业税税率会使房价升高,无法起到抑制价格泡沫的作用;征收住房持有环节房产税或提高房产税税率则会使房价降低.对于房产税政策,如果对增量和存量住房统一征收房产税,则市场均衡价格较仅对增量征税时低,即存量房产税通过扩大市场供给降低房价.此外,文章提出了相关政策建议并证明了模型设定的连续性.     

The complexity of nonlinear dynamic economic systems—the Kaldorian model with bond finance of the government

We are concerned with the existence of limit cycles in the macroeconomic model of the bond finance recently developed by Asada. It is shown that small shifts of the policy may result in structural changes when the system is at a critical state. The Hopf bifurcation theorem is applied to identify cycles.     

宏观调控政策协调的TU和NTU合作博弈分析

宏观经济政策之间的协调及其调控收益的分配实际上可看做n人合作博弈.通过构造宏观政策组合的二人TU博弈模型,分析了政策组合的调控力度、收益及其分配比例值的相互关系,并重新构建政策组合调控总收益的特征函数,把宏观政策协调的二人TU博弈分析依次扩展至n人TU博弈情形和NTU博弈情形,给出相应的政策调控收益分配的Shapley值,提出确定宏观政策组合中各项政策调控的参与力度的具体办法,有效地解释了加强政策协调配合的宏观调控精神,对宏观调控实践具有一定的指导意义.     

Statistical Analysis and Evaluation of Macroeconomic Policies: A Selective Review

In this paper,we highlight some recent developments of a new route to evaluate macroeconomic policy effects,which are investigated under the framework with potential outcomes.First,this paper begins with a brief introduction of the basic model setup in modern econometric analysis of program evaluation.Secondly,primary attention goes to the focus on causal effect estimation of macroeconomic policy with single time series data together with some extensions to multiple time series data.Furthermore,we examine the connection of this new approach to traditional macroeconomic models for policy analysis and evaluation.Finally,we conclude by addressing some possible future research directions in statistics and econometrics.     

非时齐部分可观察Markov决策规划的最优策略问题

本文讨论了一类非时齐部分可观察Markov决策模型．在不改变状态空间可列性的条件下，把该模型转化为[5]中的一般化折扣模型，从而解决了其最优策略问题，并且得到了该模型的有限阶段逼近算法，其中该算法涉及的状态是可列的．     

基于产品质量控制的设备维修优化模型

根据产品质量和生产该产品的设备退化状态之间的相关性,设计了周期性设备检测与产品质量控制相结合的设备维修策略。该策略是在对设备进行周期性检测的基础上,利用控制图进行产品质量异常波动的检测,结合对设备退化状态的检测选择设备应采取的维修活动。根据这一设备维修策略,利用更新过程理论和统计过程控制方法,构建了基于产品质量控制的设备维修优化模型,并用遗传算法对其进行求解。通过实例仿真验证了该模型的可行性与有效性。     

�˻�����ϵͳ��ѱ��������µ����Ŷ��ڼ��޲���

本文考虑了一个其产品保修期内免费小修的退化 生产系统的定期检修策略. 系统的退化过程包括三个状态: 可控制状态, 不可控制状态, 故障状态. 过程呆在可控制状态和不可控制状态的时间假设都服从指数分布. 生产系统在固定的时刻t或发生故障时进行检修, 两者以先发生为准. 本文讨论了使单位产品每周期期望成本最小的最优定期检修时间本文考虑了一个其产品保修期内免费小修的退化生产系统的定期检修策略.系统的退化过程包括三个状态:可控制状态,不可控制状态,故障状态.过程呆在可控制状态和不可控制状态的时间假设都服从指数分布.生产系统在固定的时刻t﹡或发生故障时进行检修,两者以先发生为准.本文讨论了使单位产品每周期期望成本最小的最优定期检修时间t﹡,三种特殊情况显示了最优值t的性质.此外,灵敏性分析和数字实例说明了模型中的参数对最优定期检修策略的影响.     

Inspection scheduling for imperfect production processes under free repair warranty contract

The paper considers scheduling of inspections for imperfect production processes where the process shift time from an ‘in-control’ state to an ‘out-of-control’ state is assumed to follow an arbitrary probability distribution with an increasing failure (hazard) rate and the products are sold with a free repair warranty (FRW) contract. During each production run, the process is monitored through inspections to assess its state. If at any inspection the process is found in ‘out-of-control’ state, then restoration is performed. The model is formulated under two different inspection policies: (i) no action is taken during a production run unless the system is discovered in an ‘out-of-control’ state by inspection and (ii) preventive repair action is undertaken once the ‘in-control’ state of the process is detected by inspection. The expected sum of pre-sale and post-sale costs per unit item is taken as a criterion of optimality. We propose a computational algorithm to determine the optimal inspection policy numerically, as it is quite hard to derive analytically. To ease the computational difficulties, we further employ an approximate method which determines a suboptimal inspection policy. A comparison between the optimal and suboptimal inspection policies is made and the impact of FRW on the optimal inspection policy is investigated in a numerical example.     

Classical and singular stochastic control for the optimal dividend policy when there is regime switching

Motivated by economic and empirical arguments, we consider a company whose cash surplus is affected by macroeconomic conditions. Specifically, we model the cash surplus as a Brownian motion with drift and volatility modulated by an observable continuous-time Markov chain that represents the regime of the economy. The objective of the management is to select the dividend policy that maximizes the expected total discounted dividend payments to be received by the shareholders. We study two different cases: bounded dividend rates and unbounded dividend rates. These cases generate, respectively, problems of classical stochastic control with regime switching and singular stochastic control with regime switching. We solve these problems, and obtain the first analytical solutions for the optimal dividend policy in the presence of business cycles. We prove that the optimal dividend policy depends strongly on macroeconomic conditions.     

Monetary and Fiscal Policy Interaction in the EMU: A Dynamic Game Approach

The interaction of monetary and fiscal policies is a crucial issue in a highly integrated economic area as the European Union. We investigate to which extent the EMU, that introduced a common monetary policy and restrictions on fiscal policy at the national level, benefits from macroeconomic policy cooperation due to the various interactions, spillovers and externalities from national macroeconomic policies. To study the effects of policy cooperation we compare the impact of three alternative policy regimes in a stylized dynamic model of the EMU: (i) non-cooperative monetary and fiscal policies, (ii) partial cooperation, and (iii) full cooperation both in symmetric and asymmetric settings where countries differ in structural characteristics, policy preferences and/or bargaining power. The paper introduces an analysis of coalitional behaviour in a dynamic setting into the literature.     

Operational aspect of the policy coordination for financial stability: role of Jeffreys–Lindley’s paradox in operations research

This study analyses the implications of Jeffery–Lindley’s paradox and Global Financial Crisis (GFC) for the operational aspect of macroeconomic policy coordination for financial stability. Using a Bayesian Vector Auto-regressive model and data from Jan 1985 to June 2016, our key findings suggest that the claim of macroeconomic policy interaction, interdependence and significance of coordinated policy operations for the financial stability holds its ground. The argument in the support for policy coordination for financial stability was found to be robust against the Jeffreys–Lindley’s paradox and in the Post-GFC era. A profound practical, operational and philosophical implication of this study is the positive aspects of Jeffreys–Lindley’s paradox and the possibility of employing the Frequentist and Bayesian estimation techniques as complementing rather competing frameworks.