金融摩擦的测算与国际比较:基于DSGE乘数效应的分析

通过构建包含“金融加速器”和合约机制的动态随机一般均衡模型,提出一种测算金融摩擦的新方法。该方法以“金融加速器”理论为依据,通过货币冲击下的脉冲响应计算各国产出乘数和投资乘数,构建反映经济结构和资源禀赋的金融摩擦指标,并进行国际比较。通过数据模拟发现,各国产出和投资呈现明显乘数效应,且乘数效应在发达国家和发展中国家之间存在差异,为构建金融模型指标提供了依据。在货币政策冲击下,短期内金融摩擦与国家发展水平无关,体现出金融摩擦存在的普遍性;长期而言,发展中国家的金融摩擦程度高于发达国家,与发展中国家金融体系不成熟密切相关。相比其他发展中国家,中国的金融摩擦实际较低,体现出金融和信贷市场的相对有效性以及合理监管。提出的金融摩擦测算方法与现实经济运行具有一致性,有助于深刻理解金融摩擦与实体经济的关系。     

电子支付工具发展与货币乘数时效性分析

电子支付工具的普及与发展改变了人们的生活,同时对传统金融理论带来了极大的挑战.文章在推导电子支付体系下货币乘数公式的基础上,选取中国电子支付工具的相关样本数据建立计量经济模型,对电子支付工具与货币乘数的相关性进行了统计检验.实证结果表明,电子支付工具扩大了货币乘数,且缩短了货币乘数实现的时滞.为此,央行通过控制基础货币从而控制流动性的货币政策时效性将会加强,对此应有充分的估计.     

ON OPTIMIZING MULTI-LEVEL DESIGNS: POWER UNDER BUDGET CONSTRAINTS

This paper derives a procedure for efficiently allocating the number of units in multi‐level designs given prespecified power levels. The derivation of the procedure is based on a constrained optimization problem that maximizes a general form of a ratio of expected mean squares subject to a budget constraint. The procedure makes use of variance component estimates to optimize designs during the budget formulating stages. The method provides more general closed form solutions than other currently available formulae. As such, the proposed procedure allows for the determination of the optimal numbers of units for studies that involve more complex designs. A method is also described for optimizing designs when variance component estimates are not available. Case studies are provided to demonstrate the method.     

A Model for Water Pricing

This note describes a situation in which a simple mathematical model helped solve an important practical problem: how to price water fairly. It is intended as an example, rather than as a mathematical contribution to control theory.     

电子货币的货币乘数效应：基于中国的实证分析

 摘　　要:本文选取我国1990—2004年电子货币的样本数据，以及电子货币与货币乘数相关的变量，建立计量经济模型，对电子货币与货币乘数的相关性进行了统计检验。实证结果表明，电子货币对货币乘数具有放大效应，增强了货币乘数的内生性，加大了中央银行控制货币供给的难度，从而降低了货币政策的有效性。     

Testing for Bivariate Extreme Dependence Using Kendall's Process

Abstract. New tests for the hypothesis of bivariate extreme‐value dependence are proposed. All test statistics that are investigated are continuous functionals of either Kendall's process or its version with estimated parameters. The procedures considered are based on linear combinations of moments and on Cramér–von Mises distances. A suitably adapted version of the multiplier central limit theorem for Kendall's process enables the computation of asymptotically valid p‐values. The power of the tests is evaluated for small, moderate and large sample sizes, as well as asymptotically, under local alternatives. An illustration with a real data set is presented.     

关于经济学中乘数数值计算问题的研究

研究了乘数计算的理论前提条件、计算乘数数值的联立方程模型的识别、乘数计算选择变量的依据以及正确理解乘数数值的含义 ,指出了必须正确使用乘数数值来制定和分析国家政策。     

Small sample performance of large sample tests for tobit versus p -tobit

Large sample tests for the standard To bit model versus the ^p -Tobit model by Deaton and Irish (1984) are studied. The normalized one-tailed score test by Deaton and Irish (1984) is shown to be a version of Neyman's C(α) test that is valid for the non-standard problem of the null hypothesis lying on the boundary of the parameter space. Then, this paper reports the results of Monte Carlo experiments designed to study the small sample performance of large sample tests for the standard Tobit specification versus the ^p -Tobit specification.     

A Non‐parametric Test of Exchangeability for Extreme‐Value and Left‐Tail Decreasing Bivariate Copulas

Abstract. A non‐parametric rank‐based test of exchangeability for bivariate extreme‐value copulas is first proposed. The two key ingredients of the suggested approach are the non‐parametric rank‐based estimators of the Pickands dependence function recently studied by Genest and Segers, and a multiplier technique for obtaining approximate p‐values for the derived statistics. The proposed approach is then extended to left‐tail decreasing dependence structures that are not necessarily extreme‐value copulas. Large‐scale Monte Carlo experiments are used to investigate the level and power of the various versions of the test and show that the proposed procedure can be substantially more powerful than tests of exchangeability derived directly from the empirical copula. The approach is illustrated on well‐known financial data.