跳跃、共跳和非预期宏观信息

文章基于5 min高频数据研究了股票市场和债券市场资产价格的高频跳跃和共跳以及它们与定期发布的宏观经济信息的关系.结果表明,股票市场和债券市场具有显著的跳跃性和共跳性,债券市场跳跃的概率远高于股票市场,而股票市场的跳跃幅度远高于债券市场.非预期宏观经济信息不仅显著地影响股票市场和债券市场的跳跃幅度,还影响两个市场的共跳.定期发布的国内生产总值、固定资产投资、居民消费价格指数、采购经理指数、工业品出厂价格指数、贸易差额和工业增加值等指标显著地影响股市债市的共跳.     

Capital Mobility and Asset Pricing

We present a model for the equilibrium movement of capital between asset markets that are distinguished only by the levels of capital invested in each. Investment in that market with the greatest amount of capital earns the lowest risk premium. Intermediaries optimally trade off the costs of intermediation against fees that depend on the gain they can offer to investors for moving their capital to the market with the higher mean return. The bargaining power of an investor depends on potential access to alternative intermediaries. In equilibrium, the speeds of adjustment of mean returns and of capital between the two markets are increasing in the degree to which capital is imbalanced between the two markets, and can be reduced by competition among intermediaries.     

A Competitive Model of Customization with Lead‐Time Effects

In this article, we study the competitive interactions between a firm producing standard products and a firm producing custom products. Consumers with heterogeneous preferences choose between n standard products, which may not meet their preferences exactly but are available immediately, and a custom product, available only after a certain lead time l. Standard products incur a variety cost that increases with n and custom products incur a lead time cost that is decreasing in the lead time l. We consider a two‐stage game wherein at stage 1, the standard product firm chooses the variety and the custom firm chooses the lead time and then both firms set prices simultaneously. We characterize the subgame‐perfect Nash equilibrium of the game. We find that both firms can coexist in equilibrium, either sharing the market as local monopolists or in a price‐competitive mode. The standard product firm may offer significant or minimal variety depending on the equilibrium outcome. We provide several interesting insights on the variety, lead time, and prices of the products offered and on the impact of problem parameters on the equilibrium outcomes. For instance, we show that the profit margin and price of the custom product are likely to be higher than that of standard products in equilibrium under certain conditions. Also, custom firms are more likely to survive and succeed in product markets with larger potential market sizes. Another interesting insight is that increased consumer sensitivity to product fit may result in lower lead time for the custom product.     

在相关系数暧昧环境下的市场微观结构研究

投资者对相关系数的认知存在暧昧性从一个新的视角解释了金融市场中投资者有限参与现象。为了研究如何从市场微观结构设计的角度降低投资者的认知暧昧性,提高其市场参与程度,本文假设所研究经济体中存在两个证券发行市场：投资者认知暧昧性较低的A市场和较高的B市场。当两种风险资产分别在不同的证券市场上发行时,投资者的资产组合决策将会不同,从而各市场的均衡状态和风险资产的均衡价格也不相同。考虑公司上市成本和收益,理性的公司管理者将选择均衡价格较高的市场来发行证券。本文的研究发现,最大相关系数暧昧性、投资者结构等因素的变化对公司选择证券发行市场有重要影响,说明了通过市场微观结构设计来降低投资者对市场认知的暧昧性具有重要意义。市场微观结构特征,如严格的证券发行标准、充分的信息披露等旨在提高市场透明度的设计,能够在一定程度上降低投资者的认知暧昧性,提高其市场参与程度,以提高金融市场流动性,使公司股票的市场均衡价格更好地反映其资产的真实价值。我们的研究还发现,为满足不同特征上市公司的融资需求,需要建立多层次资本市场。     

If You're so Smart,why Aren't You Rich? Belief Selection in Complete and Incomplete Markets

This paper provides an analysis of the asymptotic properties of Pareto optimal consumption allocations in a stochastic general equilibrium model with heterogeneous consumers. In particular, we investigate the market selection hypothesis that markets favor traders with more accurate beliefs. We show that in any Pareto‐optimal allocation whether each consumer vanishes or survives is determined entirely by discount factors and beliefs. Whereas equilibrium allocations in economies with complete markets are Pareto optimal, our results characterize the limit behavior of these economies. We show that, all else equal, the market selects for consumers who use Bayesian learning with the truth in the support of their prior and selects among Bayesians according to the size of their parameter space. Finally, we show that in economies with incomplete markets, these conclusions may not hold. With incomplete markets, payoff functions can matter for long‐run survival, and the market selection hypothesis fails.     

Large Market Asymptotics for Differentiated Product Demand Estimators With Economic Models of Supply

IO economists often estimate demand for differentiated products using data sets with a small number of large markets. This paper addresses the question of consistency and asymptotic distributions of instrumental variables estimates as the number of products increases in some commonly used models of demand under conditions on economic primitives. I show that, in a Bertrand–Nash equilibrium, product characteristics lose their identifying power as price instruments in the limit in certain cases, leading to inconsistent estimates. The reason is that product characteristic instruments achieve identification through correlation with markups, and, depending on the model of demand, the supply side can constrain markups to converge to a constant quickly relative to sampling error. I find that product characteristic instruments can yield consistent estimates in many of the cases I consider, but care must be taken in modeling demand and choosing instruments. A Monte Carlo study confirms that the asymptotic results are relevant in market sizes of practical importance.     

Competition in Financial Innovation

This paper examines the incentives offered by frictionless markets to innovate asset‐backed securities by owners who maximize the assets' values. Assuming identical preferences across investors with heterogeneous risk‐sharing needs, we characterize economies in which competition provides insufficient incentives to innovate so that, in equilibrium, financial markets are incomplete in all (pure strategy) equilibria, even when innovation is essentially costless. Thus, value maximization does not generally result in complete markets.     

面向网络营销企业的营销信号选择博弈分析

如何通过营销信号来降低电子市场逆向选择风险是影响网络营销企业业绩的重要因素.本文以两家企业垄断市场为例,建立了企业信号传递博弈模型.通过对分离均衡与混同均衡存在条件的分析,讨论了信号传递成本以及不同消费者群体所占比例对企业营销信号决策的影响.分析结果有助于网络营销企业在电子市场中选择营销信号.     

Joint Pricing and Contingent Free-Shipping Decisions in B2C Transactions

We consider an online retailer's joint pricing and contingent free-shipping (CFS) decisions in both monopoly and duopoly structures, which is an important marketing-operations interface problem. We begin by investigating the impacts of a retailer's decisions on consumers' purchase behaviors, and show that the CFS strategy is useful to acquire the consumers with large order sizes. Then, we compute the probability of repeated purchases, and construct an expected profit function for an online retailer in the monopolistic setting. We find that the fixed shipping fees may have the largest impact on the retailer's profit among all shipping-related parameters, and the retailer can benefit more from homogeneous markets than from heterogeneous ones. Next, we consider the competition between two retailers in the duopoly structure, and analytically show that, if two retailers have identical fixed and variable shipping fees, then their equilibrium decisions are equal. In order to numerically find a Nash equilibrium for two retailers, we develop a simulation approach using Arena and OptQuest. Our simulation-based examples suggest that, as a result of the competition, the two retailers should decrease their profit margins but increase their CFS cutoff levels if they have the same fixed and also the same variable shipping fees.     

对偶理论在经济均衡分析中的应用

本文根据现代经济系统的特点,设计了一类优化模型体系,并运用对偶理论和该模型体系研究了三类主要市场;产品市场、货币市场和劳动力市场的均衡及其实现,指出了这三类主要市场同时实现均衡所需要的基本条件。     

消费者多方购买行为与企业R&D策略博弈分析

通过构建完全信息博弈模型,研究具有网络外部性的产品市场中,在存在消费者多方购买行为时企业的研发策略和创新动机,并深入分析多方购买者比例大小和网络外部性强度对企业研发投资水平的影响。在市场中存在多方购买行为时均衡结果表明:(i)企业有动机进行研发投资;(ii)研发企业均衡价格、需求以及利润均高于不研发企业;(iii)在差异度系数和投资系数都充分大时研发企业最优研发投入随着多方购买者比例的增加而增大。最后通过具体算例分析知道:在考虑多方购买条件下,市场中存在研发时消费者总剩余和社会总福利高于市场中不存在研发时的情形。     

Investment and Competitive Matching

We study markets in which agents first make investments and are then matched into potentially productive partnerships. Equilibrium investments and the equilibrium matching will be efficient if agents can simultaneously negotiate investments and matches, but we focus on markets in which agents must first sink their investments before matching. Additional equilibria may arise in this sunk‐investment setting, even though our matching market is competitive. These equilibria exhibit inefficiencies that we can interpret as coordination failures. All allocations satisfying a constrained efficiency property are equilibria, and the converse holds if preferences satisfy a separability condition. We identify sufficient conditions (most notably, quasiconcave utilities) for the investments of matched agents to satisfy an exchange efficiency property as well as sufficient conditions (most notably, a single crossing property) for agents to be matched positive assortatively, with these conditions then forming the core of sufficient conditions for the efficiency of equilibrium allocations.     

Keeping up with the Neighbors: Social Interaction in a Market Economy

We consider a world in which individuals have private endowments and trade in markets while their utility is negatively affected by the consumption of their neighbors. Our interest is in understanding how the social structure of comparisons, taken together with the familiar fundamentals of the economy (endowments, technology, and preferences), shapes equilibrium prices, allocations, and welfare. We show that equilibrium prices and consumption are a function of a single network statistic: centrality. An individual's “centrality” is given by the weighted sum of paths of different lengths to all others in a social network. In particular, prices are proportional to the sum of centralities, and an individual's consumption depends on how central she is relative to others in the network. Inequalities in wealth and connections reinforce each other in markets: A transfer of resources from less to more central agents raises prices. As segregated communities become integrated, the poor lose while the rich gain in utility! (JEL: D5, D6, D85)     

Committed Versus Contingent Pricing Under Competition

Should capacitated firms set prices responsively to uncertain market conditions in a competitive environment? We study a duopoly selling differentiated substitutable products with fixed capacities under demand uncertainty, where firms can either commit to a fixed price ex ante, or elect to price contingently ex post, e.g., to charge high prices in booming markets, and low prices in slack markets. Interestingly, we analytically show that even for completely symmetric model primitives, asymmetric equilibria of strategic pricing decisions may arise, in which one firm commits statically and the other firm prices contingently; in this case, there also exists a unique mixed strategy equilibrium. Such equilibrium behavior tends to emerge, when capacity is ampler, and products are less differentiated or demand uncertainty is lower. With asymmetric fixed capacities, if demand uncertainty is low, a unique asymmetric equilibrium emerges, in which the firm with more capacity chooses committed pricing and the firm with less capacity chooses contingent pricing. We identify two countervailing profit effects of contingent pricing under competition: gains from responsively charging high price under high demand, and losses from intensified price competition under low demand. It is the latter detrimental effect that may prevent both firms from choosing a contingent pricing strategy in equilibrium. We show that the insights remain valid when capacity decisions are endogenized. We caution that responsive price changes under aggressive competition of less differentiated products can result in profit‐killing discounting.     

透明度与市场效率——基于信息不对称的适应性学习研究

通过拓展Pouget模型,考察了当所有投资者采用适应性学习(有限理性)规则更新信念时,订单信息的透明度增加如何影响市场的价格发现效率和福利配置效率.结果表明,透明度增加后,市场效率大幅降低,价格发现和福利配置都难以收敛到理性预期均衡.进一步剖析投资者的策略选择可以发现,透明度增加后,拥有信息优势的知情者倾向于提交对自己更加有利的订单,而放弃均衡的交易策略;非知情者为了规避由此带来的逆向选择风险,也会放弃均衡策略而倾向于提交更加保守的订单,最终导致市场效率大幅下降.     

寡头市场的激励机制与企业兼并

本文采用Sklivas的管理者报酬是利润和销售收入的线性合成形式,运用子博弈完美均衡博弈方法,分析了激励机制在寡头竞争市场上的作用,指出企业业主对其管理者运用激励机制,提高了企业的生产效率,加强了市场的竞争.管理者不仅要注重企业的利润,还要注重企业的市场占有率.另外,分析了激励机制对企业兼并前后的影响,指出了企业的发展战略目标.     

COUNTRY PORTFOLIOS IN OPEN ECONOMY MACRO‐MODELS

This paper develops a simple approximation method for computing equilibrium portfolios in dynamic general equilibrium open economy macro‐models. The method is widely applicable, simple to implement, and gives analytical solutions for equilibrium portfolio positions in any combination or types of asset. It can be used in models with any number of assets, whether markets are complete or incomplete, and can be applied to stochastic dynamic general equilibrium models of any dimension, so long as the model is amenable to a solution using standard approximation methods. We first illustrate the approach using a simple two‐asset endowment economy model, and then show how the results extend to the case of any number of assets and general economic structure.     

零售商长期后悔规避的供应链网络动态均衡

本文研究了基于时变随机需求的供应链网络动态均衡。由于需求的不确定性和季节性,网络中的零售商会考虑缺货后悔和存货后悔的负效用,基于长期后悔规避效用做出最优决策。利用变分不等式,刻画了网络中制造商层、考虑长期后悔规避效用的零售商层和需求市场层的均衡决策行为。通过数值算例,基于三种长期后悔情形分析了零售商长期后悔规避行为对其均衡订购量、利润、后悔值的影响。研究结果表明,零售商的长期后悔规避程度在不断增加、保持不变,不断减少这三种情况下,对其均衡订购量、利润、后悔值的影响不同。研究结论将指导供应链网络中企业,基于长期后悔规避制定最优决策。     

Quadratic Concavity and Determinacy of Equilibrium

One of the central features of classical models of competitive markets is the generic determinacy of competitive equilibria. For smooth economies with a finite number of commodities and a finite number of consumers, almost all initial endowments admit only a finite number of competitive equilibria, and these equilibria vary (locally) smoothly with endowments; thus equilibrium comparative statics are locally determinate. This paper establishes parallel results for economies with finitely many consumers and infinitely many commodities. The most important new condition we introduce, quadratic concavity, rules out preferences in which goods are perfect substitutes globally, locally, or asymptotically. Our framework is sufficiently general to encompass many of the models that have proved important in the study of continuous‐time trading in financial markets, trading over an infinite time horizon, and trading of finely differentiated commodities.     

International Business Cycles with Endogenous Incomplete Markets

Backus, Kehoe, and Kydland (1992), Baxter and Crucini (1995), and Stockman and Tesar (1995) find two major discrepancies between standard international business cycle models with complete markets and the data: In the models, cross‐country correlations are much higher for consumption than for output, while in the data the opposite is true; and cross‐country correlations of employment and investment are negative, while in the data they are positive. This paper introduces a friction into a standard model that helps resolve these anomalies. The friction is that international loans are imperfectly enforceable; any country can renege on its debts and suffer the consequences for future borrowing. To solve for equilibrium in this economy with endogenous incomplete markets, the methods of Marcet and Marimon (1999) are extended. Incorporating the friction helps resolve the anomalies more than does exogenously restricting the assets that can be traded.