突发事件对国际油价的影响分析

突发事件是引起国际油价剧烈波动的非市场因素之一.构建一种ARIMA-GARCH传递函数模型,探讨不同类型突发事件对油价的影响程度,并对历史上三个突发事件进行实证分析,考察它们对油价的持续影响、即期影响和弱化趋势影响,在此基础上总结出不同类型突发事件对油价的影响规律.     

国际油价波动对我国经济影响的CGE分析

石油价格变动会引起一个经济体全方位的反应.本文利用一个中国CGE模型—MCHUGE模型,研究油价上涨20%对我国经济发展的影响.研究结果表明,石油生产、加工、冶炼以及部分化工等跟原油关系最直接的产业将从石油涨价中获益;以石油为原料的行业由于成本不容易转嫁,大部分会受到石油涨价的影响;其他替代能源产业因需求大幅上升而涨价;汽车和机械制造业将受到一定的冲击.在此基础上,我们提出了一些政策建议.     

期货市场中持仓量及参与者对资产价格的影响研究

本文通过建立一个期货市场的均衡模型,提出在具有套保需求和有限风险承受能力的前提下,期货价格能够预测未来资产价格变动的方向,持仓量能够辅助预测未来资产价格变动的剧烈程度;此外,市场中不知情投机者具有风险调整市场收益的作用,不知情套保者的参与能够稳定市场。对于持仓量是否能够辅助预测未来资产价格变动的剧烈程度,本文利用中国商品期货市场数据进行了实证检验,结果表明与理论研究的结论一致。     

Markov switching of the electricity supply curve and power prices dynamics

Regime-switching models seem to well capture the main features of power prices behavior in deregulated markets. In a recent paper, we have proposed an equilibrium methodology to derive electricity prices dynamics from the interplay between supply and demand in a stochastic environment. In particular, assuming that the supply function is described by a power law where the exponent is a two-state strictly positive Markov process, we derived a regime switching dynamics of power prices in which regime switches are induced by transitions between Markov states.In this paper, we provide a dynamical model to describe the random behavior of power prices where the only non-Brownian component of the motion is endogenously introduced by Markov transitions in the exponent of the electricity supply curve. In this context, the stochastic process driving the switching mechanism becomes observable, and we will show that the non-Brownian component of the dynamics induced by transitions from Markov states is responsible for jumps and spikes of very high magnitude. The empirical analysis performed on three Australian markets confirms that the proposed approach seems quite flexible and capable of incorporating the main features of power prices time-series, thus reproducing the first four moments of log-returns empirical distributions in a satisfactory way.     

Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm

This paper deals with the problem of pricing equity warrants in a mixed fractional Brownian environment. Based on the quasi-conditional expectation and the Fourier transform, we present the pricing model for equity warrants. Moreover, a hybrid intelligent algorithm, which is based on the Genetic Algorithm, is employed to solve the nonlinear optimization problem. The performance of our model and the proposed algorithm have been illustrated with some numerical examples.     

On price competition in location-price models with spatially separated markets

In this paper we study price competition for two types of location-price models in which facility locations are set up and price decisions have to be made in order to maximise profit. We discuss the existence and determination of equilibrium prices in a general location space when facilities have different production costs. It is assumed that each price is bounded from below and demand for a single homogeneous product is price-inelastic. When facilities set mill prices, a price equilibrium rarely exists and necessary conditions for existence are obtained. In particular, when the location space is a tree network, we give a characterisation of the locations for which a unique equilibrium exists for two competitors. With spatial price discrimination, though equilibrium prices might not exist, it is shown that ε-equilibrium prices always exist for any locations of the facilities. A characterisation of ε-equilibrium is also given. Then the location-price problem is reduced to a location problem. A comparison of results with the two types of price determination is also presented. This work has been supported by the Ministry of Science and Technology of Spain under the research project BEC2002-01026, in part financed by the European Regional Development Fund (ERDF).     

Transparent prioritisation,budgeting and resource allocation with multi-criteria decision analysis and decision conferencing

Managers in both for-profit and not-for-profit organisations continually face the task of allocating resources by balancing costs, benefits and risks and gaining commitment by a wide constituency of stakeholders to those decisions. This task is complex and difficult because many options are present, benefits and risks are rarely expressed as single objectives, multiple stakeholders with different agendas compete for limited resources, individually optimal resource allocations to organisational units are rarely collectively optimal, and those dissatisfied with the decisions taken may resist implementation. We first explain three current approaches to resource allocation taken from corporate finance, operational research and decision analysis, and we identify a common mistake organisations make in allocating resources. The paper then presents a technical process, multi-criteria portfolio analysis, for balancing the conflicting elements of the problem, and a social process, decision conferencing, which engages all the key players during the modelling process, ensuring their ownership of the model and the subsequent implementation. This socio-technical process improves communication within the organisation, develops shared understanding of the portfolio and generates a sense of common purpose about those projects that will best realise the organisation’s objectives. The paper concludes with lessons we have learned from actual practice. The authors want to thank Allergan and FCT (Portuguese Science Foundation) for their support.     

Polynomial Processes for Power Prices

ABSTRACT

Polynomial processes have the property that expectations of polynomial functions (of degree n, say) of the future state of the process conditional on the current state are given by polynomials (of degree ≤ n) of the current state. Here we explore the potential of polynomial maps of polynomial processes for modelling energy prices. We focus on the example of Alberta power prices, derive one- and two-factor models for spot prices. We examine their performance in numerical experiments, and demonstrate that the richness of the dynamics they are able to generate makes them well suited for modelling even extreme examples of energy price behaviour.     

Brouwer定理与均衡价格

本文详细论述了在一般均衡体系中均衡价格存在性定理与Brouwer不动点定理是等价的。即，均衡价格π ζ（π）≤0就是Brouwer定理中的不动点x^∧ f(x^∧)=x^∧并给出证明。这一等价性为计算均衡价格提供了坚实的理论依据，从而肯定了利用Brouwer定理寻找不动点的方法计算均衡价格的计算方法是可靠的。因此具有特别重要的实用意义。     

A general unconstrained model for transfer pricing in multinational supply chains

Multinational supply chains operate in more than one country or tax jurisdiction and face decision problems concerned with trade flows of resources, products and services, transfer prices, and allocation of transport costs between their divisions. These decisions must consider, for the sake of optimality, corporate and governmental parameters such as the payment of dividends and royalties, ownership of and control over subsidiaries, income taxes differentials, duties and quotas, etc. In this paper, we generalize and extend the Theory of the Multinational Firm to the case of multinational supply chains. We propose a model that is more general and comprehensive than the previous ones proposed in the literature. To be more specific, our model integrates many of the previous research factors and includes new ones, such as transport costs and duty drawbacks, which are critical for supply chains that operate under international trade regulations. Under the maximization of the repatriated earnings objective, we study the optimality conditions of the corporate decision variables to derive managerial guidelines and to determine how decisions regarding trade quantities, transfer prices, and transport cost allocations affect the amount of taxes to be paid to host governments as well as the total after tax repatriated earnings of the corporation.