中小板ETF的价格发现能力研究

使用日内5分钟交易高频数据,通过误差修正模型和方差分解等技术研究中小板ETF与其标的指数间的价格发现,进而探讨信息传递过程。实证结果显示：中小板ETF价格与中小板P指数间存在协整关系,达到了长期均衡;价格发现能力上,中小板P指数领先中小板ETF;中小板P指数受到新信息影响所产生的冲击大于中小板ETF价格所产生的冲击,中小板P指数对预测误差方差的解释能力强于中小板ETF价格,中小板P指数为信息传递的领先指标。我国ETF市场的有效性有待提升。     

非线性需求下具有网络外部性的二级歧视定价研究

研究了非线性需求函数条件下产品存在网络外部性时,垄断企业采用对需求区间分段定价的方法进行二级歧视定价的策略。首先分析了单阶段垄断企业二级价格歧视的静态定价策略,接着给出了在一个较长时期内垄断企业分两阶段进行二级歧视的动态定价策略。结果表明网络外部性不影响最优需求区间分段单调递增的性质,但价格随网络外部性的增强而相应提高,且第一阶段的价格高于第二阶段的贴现值。     

基于可控提前期和延迟供货的短生命周期产品库存模型

本文用斜坡型函数来描述短生命周期产品需求变化特征,用持有成本不断增加的形式来表示存货的无形变质所带来的损失,通过向供应商支付额外的赶工成本来缩短提前期,同时在允许缺货的情况下设置合理的缺货期价格折扣来控制订单的流失,即以价格折扣的损失来挽留住更多的顾客,使其总成本到达最优。本文在此基础上建立了短生命周期产品的库存模型,并提出了最优解的求解方法。     

基于拔靴滤波历史模拟法的黄金市场VaR测度研究

传统历史模拟法（THS，Tranditional Historical Simulation）和滤波历史模拟法（FHS，Filtered Historical Simulation）是国际商业银行使用最多的VaR预测方法。首先，论文在已有研究成果的基础上，构造了BHW（Bootstraped Hull and White）历史模拟法；然后，以国内黄金交易数据为样本，采用6种严谨的后验分析（Backtesting analysis）方法，对BHW方法及几种主流历史模拟法、GARCH模型方法的VaR预测精确性进行了实证分析。论文的主要结论包括：（1）综合论文所采用的几种金融风险测度方法来看，BHW方法表现出了相对较好的精确性，而实务界中广泛使用的THS方法则表现出了最差的精确性；（2）不同的历史模拟法受样本规模因素影响的程度显著不同，例如THS方法和HW方法均不同程度的受到了样本规模因素影响；（3）总体来看，BHW方法表现出了相对较好的风险预测精确性，可以作为测度黄金市场风险的选择之一。     

基于个性化需求的产品竞争供应链结构选择

基于"制销分离"与"定制一体"两种结构选择,构建个性化产品供应链处于非竞争与竞争环境下的博弈模型,在引入一个实际案例的基础上,运用算例仿真比较分析两种运营模式下的供应链运作策略和盈利差异。结果显示：与制销分离结构相比,个性化产品供应链选择定制一体结构,有利于匹配产品个性化制造、提升产品个性化水平和市场需求、增加供应链的期望收益;个性化产品供应链选择制销分离结构时,适度的批发价格激励能够提升产品个性化水平、更好满足消费者个性化需求、改善供应链的运营绩效,分销商适度让利加大批发价格激励力度可显著促进产品个性化制造互动、提升产品个性化水平;竞争将消减个性化产品供应链的运营绩效,但选择定制一体结构可显著提升竞争力。     

Long‐Term Debt and Optimal Policy in the Fiscal Theory of the Price Level

The fiscal theory says that the price level is determined by the ratio of nominal debt to the present value of real primary surpluses. I analyze long‐term debt and optimal policy in the fiscal theory. I find that the maturity structure of the debt matters. For example, it determines whether news of future deficits implies current inflation or future inflation. When long‐term debt is present, the government can trade current inflation for future inflation by debt operations; this tradeoff is not present if the government rolls over short‐term debt. The maturity structure of outstanding debt acts as a “budget constraint” determining which periods' price levels the government can affect by debt variation alone. In addition, debt policy—the expected pattern of future state‐contingent debt sales, repurchases and redemptions—matters crucially for the effects of a debt operation. I solve for optimal debt policies to minimize the variance of inflation. I find cases in which long‐term debt helps to stabilize inflation. I also find that the optimal policy produces time series that are similar to U.S. surplus and debt time series. To understand the data, I must assume that debt policy offsets the inflationary impact of cyclical surplus shocks, rather than causing price level disturbances by policy‐induced shocks. Shifting the objective from price level variance to inflation variance, the optimal policy produces much less volatile inflation at the cost of a unit root in the price level; this is consistent with the stabilization of U.S. inflation after the gold standard was abandoned.     

Behavior in Multi‐Unit Demand Auctions: Experiments with Uniform Price and Dynamic Vickrey Auctions

We experimentally investigate the sensitivity of bidders demanding multiple units of a homogeneous commodity to the demand reduction incentives inherent in uniform price auctions. There is substantial demand reduction in both sealed bid and ascending price clock auctions with feedback regarding rivals' drop‐out prices. Although both auctions have the same normal form representation, bidding is much closer to equilibrium in the ascending price auctions. We explore the behavioral process underlying these differences along with dynamic Vickrey auctions designed to eliminate the inefficiencies resulting from demand reduction in the uniform price auctions.     

Sticky Price Models of the Business Cycle: Can the Contract Multiplier Solve the Persistence Problem?

We construct a quantitative equilibrium model with firms setting prices in a staggered fashion and use it to ask whether monetary shocks can generate business cycle fluctuations. These fluctuations include persistent movements in output along with the other defining features of business cycles, like volatile investment and smooth consumption. We assume that prices are exogenously sticky for a short time. Persistent output fluctuations require endogenous price stickiness in the sense that firms choose not to change prices much when they can do so. We find that for a wide range of parameter values, the amount of endogenous stickiness is small. Thus, we find that in a standard quantitative model, staggered price‐setting, alone, does not generate business cycle fluctuations.     

劣势耐用品厂商的产品质保期与质保服务投入策略研究

在实际中,消费者购买耐用品时均同时获得厂商提供的质保服务,由于产品质保服务影响着消费者的产品使用效用,因此耐用品定价、质保期和产品质保服务投入是影响厂商利润的主要因素。考虑双寡头市场环境下,建立微分博弈模型讨论单位产品质保服务投入和产品质保期对双寡头厂商均衡价格的影响。结论表明双寡头厂商的单位产品质保服务投入越高、质保期越长,均衡价格越高;但单位产品保服务投入与质保服务对消费者效用影响系数的关系影响着竞争对手在均衡价格的变化趋势;劣势的低质量厂商可以通过增加单位产品质保服务投入策略或延长质保期的策略实现在均衡下与高质量厂商以同等价格销售耐用品,但劣势厂商增加单位产品质保服务投入策略要优于延长质保期策略。最后,利用数值分析进一步验证了所得结论的有效性。     

信息不对称下价格随机的应急数量折扣契约研究

以市场需求和市场价格随机波动的二级供应链为研究对象,寻找其在信息不对称条件下绩效优化的路径。通过显示原理分别构建生产成本和销售成本信息不对称时应急供应链的数量折扣契约模型,得到最优订货量与最佳批发价策略。通过具体的算例加以验证,分析了信息不对称程度对供应链上成员及整个供应链绩效的影响。研究结果表明：当突发事件造成市场价格随机波动和市场需求变化时,供应链上的跟随者能从隐瞒私人信息中获利。但当市场需求增大时,整个供应链绩效受损,反之则反是。这与以往研究在市场需求随机、市场价格固定和信息不对称条件下的结论迥异。