Infinite Exchange Problems

This paper considers a range of infinite exchange problems, including one recent example discussed by Barrett and Arntzenius, and propose a general taxonomy based on cardinality considerations and the possibility of identifying and tracking the units of exchange.     

发展中国家贸易自由化与汇率政策配合的理论和经验研究

发展中国家进行贸易自由化改革 ,根本目的是为了提高资源配置效率 ,促进本国经济的发展。从对发展中国家贸易自由化与汇率政策配合的理论和经验研究中可以看出 :运用灵活的汇率政策配合贸易自由化改革 ,有利于发展中国家在进行贸易自由化改革过程中减少经济的调整成本 ,确保贸易自由化改革的成功实现。中国加入世界贸易组织之后 ,仅仅依靠积极的财政、货币政策是不够的 ,应选择具有较大弹性的汇率制度 ,采取灵活的名义汇率贬值政策配合贸易自由化 ,从而实现内外均衡 ,以最低的代价成功地完成贸易自由化改革     

基于知识交流的两种产业协同模式

本文旨在通过综合运用知识管理理论和交易成本理论,建立通过产业协同促进分工发展的模型,以研究基于知识交流的产业协同模式。得出结论即在分工节点间知识交流效率很低的情况下,由于协调风险的存在,单纯依靠企业或者市场都无法很好的进行产业协同,使某些有利可图的新分工得到发展。协调风险相当于交易成本,故可利用交易成本理论得出两种促进知识交流的产业协同模式。     

Does fairness matter in tax reporting behavior?

Experimental results show that taxpayers who receive no public transfer generally perceive their exchange equity with the government to be less equitable than taxpayers who receive a public transfer. Furthermore, the effect of the public transfer on reported income depends on the extent to which the taxpayers use the perception of equity in their tax reporting decisions. Subjects who perceive equity to be important in their tax reporting decisions report more income when they receive a public transfer, but report less income when they receive no public transfer, as predicted by equity theory. In contrast, subjects who perceive equity to be less important in their tax reporting decisions act directionally consistent with the economic effect. That is, taxpayers who receive no public transfer tend to report more income than those who receive a public transfer.     

泰国华商:开创南北行及其对香港转口贸易的贡献

泰国华商:开创南北行及其对香港转口贸易的贡献@王绵长$暨南大学东南亚研究所!广东广州510632~~     

基于交换权利理论的移民搬迁农户权利受损问题浅析

从交换权利理论对现行二元制度框架下移民搬迁农户权利受损问题这一新的视角进行分析,指出在移民搬迁过程中应重视保障农民的交换权利来提高移民搬迁的扶贫效率,而政府的政策选择和制度安排对于保障农民的交换权利具有重要意义。     

知识交易及其规则与大学组织制度变迁

我国大学组织的市场化改革成为教育改革的热门话题已经10年有余了。这一改革进程的源头无疑在于政府倡导的经济市场化。但是为什么经济的市场化与大学的市场化是两个明显不同的进程?为什么有关政府对大学组织的制度化影响总是被大学自身所修正?本文对这一问题的分析超出了以“教育自身的规律”和“大学自身的属性”这些概念做解释的习惯性模式,关注知识本身的属性,以新制度经济学的制度变迁理论和交易成本理论对大学制度变迁过程中知识交易的作用和规律做出了总结,并提出了大学制度变迁中知识交易的市场特征和价格体系。     

Overnight and Daytime Stock-Return Dynamites on the London Stock Exchange: The Impacts of “Big Bang” and the 1987 Stock-Market Crash

We explore the time series properties of stock returns on the London Stock Exchange around the 1986 market restructuring (Big Bang) and the 1987 stock-market crash using a modified generalized autoregressive conditional heteroscedasticity model. Using this general dynamic model, which allows (a) intradaily returns to have different impacts and persistence on stock-return volatility, (b) return effects on volatility to be asymmetric, and (c) intradaily returns to follow conditional distributions with different fourth moments, we uncover important changes in return dynamics and conditional fourth moments following Big Bang and the 1987 crash not reported before.     

Periodic Autoregressive Conditional Heteroscedasticity

Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a new class of models featuring periodicity in conditional heteroscedasticity explicitly designed to capture the repetitive seasonal time variation in the second-order moments. This new class of periodic autoregressive conditional heteroscedasticity, or P-ARCH, models is directly related to the class of periodic autoregressive moving average (ARMA) models for the mean. The implicit relation between periodic generalized ARCH (P-GARCH) structures and time-invariant seasonal weak GARCH processes documents how neglected autoregressive conditional heteroscedastic periodicity may give rise to a loss in forecast efficiency. The importance and magnitude of this informational loss are quantified for a variety of loss functions through the use of Monte Carlo simulation methods. Two empirical examples with daily bilateral Deutschemark/British pound and intraday Deutschemark/U.S. dollar spot exchange rates highlight the practical relevance of the new P-GARCH class of models. Extensions to discrete-time periodic representations of stochastic volatility models subject to time deformation are briefly discussed.     

Volatility-Related Exchange Traded Assets: An Econometric Investigation

We develop a theoretical framework for covariance stationary but persistent positively valued processes which combines a semi-nonparametric expansion of the Gamma distribution with a component version of the multiplicative error model. Our conditional mean assumption allows for slow, possibly nonmonotonic mean-reversion, while our distribution assumption provides more flexibility than a traditional Laguerre expansion while preserving positivity of the density. We apply our framework to a dynamic portfolio allocation for Exchange Traded Notes tracking short- and mid-term VIX futures indices, which are increasingly popular but risky financial instruments. We show the superior performance of the strategies based on our econometric model.