A Game–Theoretic View of the Fiscal Theory of the Price Level

The goal of this paper is to probe the validity of the fiscal theory of the price level by modelling explicitly the market structure in which households and the government make their decisions. I describe the economy as a game, and I am thus able to state precisely the consequences of actions that are out of the equilibrium path. I show that there exist government strategies that lead to a version of the fiscal theory, in which the price level is determined by fiscal variables alone. These strategies are however more complex than the simple budgetary rules usually associated with the fiscal theory, and the government budget constraint cannot be merely viewed as an equilibrium condition.     

负债企业控制权转移的时机和均衡价格

应用实物期权博弈论和一般均衡理论,推导出了负债企业在信息不完美条件下控制权转移最优时机和均衡价格的解析解, 并对最优时机和均衡价格的主要影响因素进行敏感性分析。研究结果表明: 在其他条件不变的前提下, 目标企业的规模越大、兼并双方购买沉没成本越小、控股比例越高、购买者期望协同效应越大、息票率越高,税率越高, 则均会导致控制权转移越快, 转移的均衡价格越低。目标企业所处的产业增长率和波动率越高, 则控制权转移越快, 转移的均衡价格越低,并具有双重效应。控制权转移的时机和转移均衡价格不是控制因子的单调函数。     

Rotten Parents and Disciplined Children: A Politico‐Economic Theory of Public Expenditure and Debt

This paper proposes a dynamic politico‐economic theory of fiscal policy in a world comprising a set of small open economies, whose driving force is the intergenerational conflict over debt, taxes, and public goods. Subsequent generations of voters choose fiscal policy through repeated elections. The presence of young voters induces fiscal discipline, that is, low taxes and low debt accumulation. The paper characterizes the Markov‐perfect equilibrium of the voting game in each economy, as well as the stationary equilibrium debt distribution and interest rate of the world economy. The equilibrium can reproduce some salient features of fiscal policy in modern economies.     

房价波动、货币政策与中国社会福利损失

本文建立并采用贝叶斯方法估计了一个包含普通消费品部门与房地产部门的多部门NKMP-DSGE模型,运用脉冲响应函数与贝叶斯冲击分解研究了外生冲击对于产出、通胀以及房价膨胀的影响。研究表明,宽松的货币政策在推动我国房价上涨中扮演了主要作用。基于Woodford^[1]的方法,本文通过政策试验分析了不同政策机制的社会福利损失,结果发现同时对房地产供给以及房价做出反应的政策机制具有相对较小的社会福利损失,因此在房地产市场调控中同时增加房地产供给和抑制房价过快上涨可能具有更好的效果。最后,基于我国现实数据,本文估算了通胀与房价膨胀背景下中国真实的社会福利损失,估算的结果对于进一步考察通胀与房价膨胀背景下中国最优货币政策具有重要的现实意义。     

一种价格折扣和延期支付条件下最优支付时间确定

在延期支付条件下考虑价格折扣的库存模型基础上,进一步考虑通货膨胀对库存系统的影响,对原有模型进行了修正和补充,建立了货到付款和延期支付两种支付方式下的库存模型,由模型的最优解来确定零售商最优的支付时间,通过算例分析验证了结论,为零售商做出最优支付时间的决策提供理论依据。     

Optimal Reserve Prices in Name‐Your‐Own‐Price Auctions with Bidding and Channel Options

Few papers have explored the optimal reserve prices in the name‐your‐own‐price (NYOP) channel with bidding options in a multiple channel environment. In this paper, we investigate a double‐bid business model in which the consumers can bid twice in the NYOP channel, and compare it with the single‐bid case. We also study the impact of adding a retailer‐own list‐price channel on the optimal reserve prices. This paper focuses on achieving some basic understanding on the potential gain of adding a second bid option to a single‐bid system and on the potential benefits of adding a list‐price channel by the NYOP retailer. We show that a double‐bid scenario can outperform a single‐bid scenario in both single‐channel and dual‐channel situations. The optimal reserve price in the double‐bid scenario is no less than that in the single‐bid case. Furthermore, the addition of a retailer‐own list‐price channel could push up the reserve prices in both single‐bid and double‐bid scenarios.     

Competition and Coordination in Two‐Tier Public Service Systems under Government Fiscal Policy

As a result of government budgetary limits and rapid market growth, many public service systems—such as health care—are characterized by extensive customer wait times that have become a serious problem. This problem might be solved by allowing private firms to enter these markets, which would provide customers with a choice between a free (governmental) public service provider (SP) and a fee‐charging (or “toll”) private SP. In such a two‐tier service system, the two SPs are differentiated by service quality and cost efficiency. This study focuses on the competition and coordination issues for two‐tier service systems with customers who are sensitive to both service quality and delay. The free system attempts to maximize its expected total customer utility with limited capacity, whereas the toll system attempts to maximize its profit. Neither goal is aligned with the social welfare goal of the public service. To achieve the social welfare goal, the government plays a crucial role in coordinating the two‐tier service system via the budget, the tradeoff of social members' goals, and tax‐subsidy policies. Using a mixed duopoly game, we establish Nash equilibrium strategies and identify the conditions for the existence of the two‐tier service system. We employ several interesting and counter‐intuitive managerial insights generated by the model to show that the public service can be delivered more efficiently via customer choice and SP competition. In addition, we show that a relatively low tax‐subsidy rate can almost perfectly coordinate the two SPs to achieve most of the maximum possible benefit of the two‐tier service system.     

Correlation of Noncancer Benchmark Doses in Short‐ and Long‐Term Rodent Bioassays

This study investigated whether, in the absence of chronic noncancer toxicity data, short‐term noncancer toxicity data can be used to predict chronic toxicity effect levels by focusing on the dose–response relationship instead of a critical effect. Data from National Toxicology Program (NTP) technical reports have been extracted and modeled using the Environmental Protection Agency's Benchmark Dose Software. Best‐fit, minimum benchmark dose (BMD), and benchmark dose lower limits (BMDLs) have been modeled for all NTP pathologist identified significant nonneoplastic lesions, final mean body weight, and mean organ weight of 41 chemicals tested by NTP between 2000 and 2012. Models were then developed at the chemical level using orthogonal regression techniques to predict chronic (two years) noncancer health effect levels using the results of the short‐term (three months) toxicity data. The findings indicate that short‐term animal studies may reasonably provide a quantitative estimate of a chronic BMD or BMDL. This can allow for faster development of human health toxicity values for risk assessment for chemicals that lack chronic toxicity data.     

Optimal Per‐Use Rentals and Sales of Durable Products and Their Distinct Roles in Price Discrimination

We consider a setting in which consumers experience distinct instances of need for a durable product at random intervals. Each instance of need is associated with a random utility and the consumers are differentiated according to the frequency with which they experience such instances of need. We use our model of consumer utility to characterize the firm's optimal strategy of whether to sell, rent, or do a combination of both in terms of the transaction costs and consumers' usage characteristics. We find that the two modes of operation serve different roles in allowing the firm to price discriminate. While sales allow the firm to discriminate among consumers of different usage frequencies, rentals allow it to discriminate according to consumers' realized valuations. Consequently, even when transaction costs are negligible, it is often optimal for the firm to simultaneously rent and sell its product. In addition, we find that although sales and rentals are substitutes and that the offering of sales weakly increases rental prices, it is possible that the introduction of rentals to a pure selling operation can either increase or decrease the optimal sales prices.     

An Empirical Analysis of the Effect of Supply Chain Disruptions on Long‐Run Stock Price Performance and Equity Risk of the Firm

This paper investigates the long‐term stock price effects and equity risk effects of supply chain disruptions based on a sample of 827 disruption announcements made during 1989–2000. Stock price effects are examined starting one year before through two years after the disruption announcement date. Over this time period the average abnormal stock returns of firms that experienced disruptions is nearly –40%. Much of this underperformance is observed in the year before the announcement, the day of the announcement, and the year after the announcement. Furthermore, the evidence indicates that firms do not quickly recover from the negative effects of disruptions. The equity risk of the firm also increases significantly around the announcement date. The equity risk in the year after the announcement is 13.50% higher when compared to the equity risk in the year before the announcement.     

The Affiliation Effect in First‐Price Auctions

We study the monotonicity of the equilibrium bid with respect to the number of bidders n in affiliated private‐value models of first‐price sealed‐bid auctions and prove the existence of a large class of such models in which the equilibrium bid function is not increasing in n. We moreover decompose the effect of a change in n on the bid level into a competition effect and an affiliation effect. The latter suggests to the winner of the auction that competition is less intense than she had thought before the auction. Since the affiliation effect can occur in both private‐ and common‐value models, a negative relationship between the bid level and n does not allow one to distinguish between the two models and is also not necessarily (only) due to bidders taking account of the winner's curse.     

认知偏差、债务政策选择偏好和资本结构税收效应

本文针对管理者认知偏差对其债务政策选择的影响问题进行研究,通过建立认知偏差影响下的最优资本结构决策模型,从行为金融学的角度研究了债务政策选择的税收效应,并以中国上市公司2006-2009年的数据为样本,使用多元回归分析等方法对相关结论进行了实证检验。研究表明:上市公司的债务政策受到了认知偏差的影响,即随着财务困境成本的不断增大,上市公司对其变化的敏感性不断降低;认知偏差严重时,上市公司会选择过度保守负债或过度积极负债,导致最优资本结构与税率无关;认知偏差不严重时,上市公司会选择适度负债,且负债水平与税率正相关。结论表明中国上市公司需要更为客观地评价财务困境成本,更为理性地利用负债的税收收益,尽可能避免认知偏差对企业价值的损害。     

基于宏观经济政策视角的我国企业负债融资研究

本文主要研究宏观经济政策作为政府调控宏观经济的手段,对微观企业融资行为所产生的显著影响。鉴于我国金融机构对国有和非国有企业存在的信贷歧视,本文剔除了产权性质的影响,把国有上市企业作为研究对象,以2003-2013年的数据为样本。首先研究宏观经济政策对国有企业负债融资行为的影响,证明了财政政策的扩张和货币政策的紧缩都能促进国有企业负债融资的增加。然后进一步研究宏观经济政策的外部因素和股权结构的内部因素对负债融资与企业业绩之间关系的影响,研究结果表明扩张性财政政策下,负债融资与国有企业绩效正相关;紧缩性货币政策下,负债融资与国有企业绩效负相关;股权结构分散程度的增加,有利于促进负债融资对国有企业绩效的正效应。     

R&D合作与政府最优政策博弈分析

本文在开放的经济环境下,对国内和国外两个企业的R&D行为及政府的补贴政策行为进行了分析。结果表明:(1)当企业间的R&D交流很少时,两个企业的R&D投资存在此消彼长的关系;而当企业间存在密切的R&D交流时,两个企业的R&D投资可以互相促进;(2)企业间的技术交流与合作是必要的,可以有利于整个社会福利的提高;(3)政府更倾向于补贴本国企业。     

Optimal Nonparametric Estimation of First‐price Auctions

This paper proposes a general approach and a computationally convenient estimation procedure for the structural analysis of auction data. Considering first‐price sealed‐bid auction models within the independent private value paradigm, we show that the underlying distribution of bidders' private values is identified from observed bids and the number of actual bidders without any parametric assumptions. Using the theory of minimax, we establish the best rate of uniform convergence at which the latent density of private values can be estimated nonparametrically from available data. We then propose a two‐step kernel‐based estimator that converges at the optimal rate.     

期货保证金调整对中国钢材市场价格发现的影响研究

近年来,上海期货交易所频繁调整大宗商品期货的交易保证金,以期抑制市场风险。这种调整措施给中国钢材市场的价格发现过程究竟会带来何种影响,是理论界和实践界关注的问题。本文针对上海期货交易所于2010年11月29日上调钢材期货保证金比例和2012年5月2日下调保证金比例这两项措施,采用基于VECM模型的信息份额方法,定量测算了中国三类钢材市场对钢材价格发现过程的贡献。研究结果表明,调升期货保证金的措施可抑制钢材市场价格波动风险、提升期货市场的价格发现功能;调降期货保证金后,期货市场对价格发现过程的贡献度仍占1/3以上;电子交易市场价格发现功能受期货保证金调整影响较大。在钢材期货价格剧烈波动时,电子交易市场作为价格发现工具能引导其它两类市场价格。     

Self‐Control and the Theory of Consumption

To study the behavior of agents who are susceptible to temptation in infinite horizon consumption problems under uncertainty, we define and characterize dynamic self‐control (DSC) preferences. DSC preferences are recursive and separable. In economies with DSC agents, equilibria exist but may be inefficient; in such equilibria, steady state consumption is independent of initial endowments and increases in self‐control. Increasing the preference for commitment while keeping self‐control constant increases the equity premium. Removing nonbinding constraints changes equilibrium allocations and prices. Debt contracts can be sustained even if the only feasible punishment for default is the termination of the contract.     

企业内的价格歧视与内部转移定价

本文从垄断企业定价的逆弹性法则出发,论证了在企业内部市场管理中进行价格歧视的理论基础,并给出在企业内部市场管理中,用对策论中的Nash谈判解确定各部门的内部转移价格的方法,并以此为基础建立了企业内部的利润定价法。     

Mean‐Deviation Analysis in the Theory of Choice

Mean‐deviation analysis, along with the existing theories of coherent risk measures and dual utility, is examined in the context of the theory of choice under uncertainty, which studies rational preference relations for random outcomes based on different sets of axioms such as transitivity, monotonicity, continuity, etc. An axiomatic foundation of the theory of coherent risk measures is obtained as a relaxation of the axioms of the dual utility theory, and a further relaxation of the axioms are shown to lead to the mean‐deviation analysis. Paradoxes arising from the sets of axioms corresponding to these theories and their possible resolutions are discussed, and application of the mean‐deviation analysis to optimal risk sharing and portfolio selection in the context of rational choice is considered.