Table of Content

29 February 2012, Volume 20 Issue 1 Previous Issue    Next Issue

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Inflation Expectation and Effectiveness of Monetary Policy PENG Fang-ping, HU Xin-ming, ZHAN Kai 2012, (1):  1-7.  Abstract ( 3027 )   PDF (1345KB) ( 2512 )   Save Does inflation expectation state has any influence on the Effectiveness of Monetary Policy? This paper tries to resolve above problems by applying LSTVAR model. We use index of future price expectation as measurement of inflation expectation and results suggest that:(1) Under low inflation expectation state monetary shocks have stronger effects on output over short horizons. But over long horizons monetary policy is neutral. (2)Under high inflation expectation, the impact of monetary shocks on price emerges more rapidly. On the contrary under low inflation expectation the impact of monetary policy on price show the phenomenon of inflation scarce. At the beginning low inflation even deflation appears after monetary shocks, and then positive effects appear and reach the top after some eleven horizons. Furthermore monetary shocks have stronger effects on price under low inflation expectation state than under high expectation inflation state. References | Related Articles | Metrics

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Nonparametric Threshold Estimation on Jump-diffusion Model of Short Rate TAN Zheng-da, HU Hai-ou 2012, (1):  8-15.  Abstract ( 2738 )   PDF (1119KB) ( 2528 )   Save Jumping behavior is an important feature of short interest rate dynamic process. Jump-diffusion model can better describe the behavior of short rate process. Simulation experiments show that nonparametric threshold estimators perform better in finite sample than alternative model. Empirical analysis on the Shanghai Interbank Offered Rate (Shibor) finds that threshold estimators can effectively detect the jump behavior of short-term Shibor, which consistent with the micro-macro economic and financial phenomena. Comparing with diffusion model, jump - diffusion model based on threshold estimates can more accurately describe the interest rates distribution of skewness and kurtosis, and better reflect the volatility behavior of interest rate. References | Related Articles | Metrics

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Research on Insurance Portfolio Selection under Based on Risk-Adjusted Return under the Constraint of Policy WANG Li-zhen, LI Jing 2012, (1):  16-22.  Abstract ( 2361 )   PDF (1154KB) ( 1977 )   Save Recently, some of the researches on insurance portfolio selection pay too much attention on earnings, others do not consider the dynamic process of insurance operatio or the constraint of policy. Aimed at this situation, this paper structures a model based on Risk Adjusted Return on Capital and VaR under the restrictions of policy, and get the optimal investment range, which offers important space for insurance companies. At the same time, we make comparative static analysis about different economic circumstances and compensation, and get the change of mean and VaR. Combined with the case, we find that althought the adjustment of investment strategy can lower the bad attack on underwriting, the increment of investment earnings can not make up the decrease of underwritings profit. It is clear that underwriting stationarity is signality to all the companies. References | Related Articles | Metrics

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Nonparametric Methods Based Stock Index Option Pricing HAN Li-yan, YE Hao, LI Wei 2012, (1):  23-29.  Abstract ( 2586 )   PDF (1522KB) ( 2422 )   Save The parametric estimation of the diffusion process has naturally born deficiency, with the first impression firmly entrenched. Besides, it's a pretty tough job to set the diffusion function. However, by the nonparametric, prior information of the data generating process is not a must anymore, instead, it estimates the diffusion function based on discrete data directly, through which irons out the shortcomings mentioned above. Upon the continuous time process, this paper develops a nonparametric stock option model. It lifts all the restrictions for the diffusion function of the underlying process, constructs its nonparametric estimator helped by discrete data to match the density function, and further calculates its equilibrium price. This essay theoretically demonstrates the consistency and asymptotic normality of diffusion estimation. The empirical studies deliver a very clear message: compared with the actual market price, this presented method has a high accuracy of simulation, especially in the market turbulence, under which it estimates much better than the classic B-S model. References | Related Articles | Metrics

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Dynamic Inflation Target, Money Supply Mechanism and China's Economic Fluctuation:A DSGE-based Analysis JIAN Zhi-hong, ZHU Bai-song, LI Shuang 2012, (1):  30-42.  Abstract ( 2473 )   PDF (1384KB) ( 1797 )   Save This paper constructs a dynamic stochastic general equilibrium (DSGE) model to analyze monetary policy and China's business cycle. A dynamic inflation target is introduced to investigate how productivity shock, consumer's demand shock, inflation target shock and money supply shock influence China's economic fluctuations. The empirical evidence reveals that DSGE framework is suitable for the analysis of China's macroeconomic problems. It supports the assumption that China's monetary policy has a dynamic endogenous inflation target. The inflation target responds positively to the productivity shock and negatively to the consumer's demand shock. Furthermore, counterfactual simulation shows that the money supply mechanism with dynamic inflation target could stabilize inflation volatility. References | Related Articles | Metrics

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Jump Test on Time Points and Jump Dynamics:Empirical Study on CSI 300 SHEN Gen-xiang 2012, (1):  43-50.  Abstract ( 2438 )   PDF (1221KB) ( 2238 )   Save As underlying of financial derivatives in China financial market, the jumps and their dynamic play import role in asset pricing and risk management. In this paper, the author builds up a new estimation of spot variance based on threshold bipower variation and establishes an asymptotically more efficent jump test statistics. With this new test jump statistics, jump test and dynamic analysis based on five-minutes data of CSI300 are conducted. The empirical evidence shows that jumps in CSI 300 are ubiquitous and driven by a compound Poisson process with time-varing density and time-varing jump size,which implies that jump size is not i.i.d.. The empirical results in this paper can be foundamental for relevent studies. References | Related Articles | Metrics

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Interbank Asset Liquidating Order Optimization and the Risk Contagion Immunization Mechanism TONG Zhong-wen 2012, (1):  51-58.  Abstract ( 2606 )   PDF (1012KB) ( 2392 )   Save The risk infection is possible with cross-holdings between banks with deposits or interbank lending. In this paper,we explain the possible mechanism of infection for interbank deposits using three-step liquidity preference analyzing frame,and discuss the difference of the asset auditting order affect the bank system fragility. In addition, we probe into the probability of optimizing the asset auditing order from the cooperation game. Here we argue that the Allen-Gale model can be used to analysis the risk contagion inter banks only if the liquidity fluctuates big enough. However,when the liquidity shortage remain in [ε,ε] the optimizing asset auditing order is the best and the contagion can be avoided at some probability.Then we also proposed a "currency pool" of the immune structure model, when there is no asymmetric information of bank assets, the structure can be inter-bank risk-sharing and prevent the risk infection. Therefore, we provide an antibody of risk infection interbanks market from micro view. References | Related Articles | Metrics

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The Granger Relationship Between the Volatility and Tracking Error of the ETF in Chinese Stock Market with High Frequency Data WANG Liang, FENG Tao 2012, (1):  59-70.  Abstract ( 2621 )   PDF (934KB) ( 1414 )   Save We had an empirical test of the relationship between the realized volatility and tracking error of the ETF with high frequency data. We construct the measurement method for the realized volatility and tracking error of the ETF in Chinese stock market with high frequency data. The two kinds of tracking error are constructed by the absolution value and standard deviation method respectively. The statistical character, Ljung-Q and ADF value of the three kinds of series are analyzed. It has a demonstration that the realized volatility and tracking error of the ETF in Chinese stock market has causality relationship, the latter is the cause for the former. Furthermore, with the cross correlation of the realized volatility and tracking error of the ETF in Chinese stock market, it concludes that the series of the realized volatility and tracking error of the ETF have correlation relationships, and the former is lagged the latter appreciably, and it demonstrateds their causality relationship in the paper. By the method of VAR and impulse response function, it shows that the volatility of the tracking error of the ETF in Chinese stock will has effect on the realized volatility, which has the characteristic of promoter and persistency. References | Related Articles | Metrics

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Financial Factors of Banks' Failure: Evidence from American Banking Industry under Sub-prime Crisis YANG Hai-zhen, JING Zhong-bo, WEI Xian-hua, YANG Xiao-guang 2012, (1):  71-78.  Abstract ( 2615 )   PDF (863KB) ( 3079 )   Save The recent financial crisis triggered by subprime crisis has caused hundreds of commercial banks to be closed in the USA. This provides an ideal opportunity for studying the bankruptcy of banks. This paper collects the sample of closed banks in the USA and their counterparts of normal banks to study the impact of financial factors on the banks' bankruptcy. Based on the univariate analysis to test the effectiveness of financial ratios, we construct a weighted Logit model and use contribution indices obtained from the model to analyze financial ratios' effect. The empirical results show that not only ROA, capital adequacy, ratio of net loans to asset and financial derivatives have significant influence on bankruptcy, but also the change of ROA and of ratio of net loans to asset do. Especially, although financial derivatives have been regarded as one of the main causes of this financial crisis, our empirical results indicate that it has a positive impact on the banks' stability. References | Related Articles | Metrics

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Assets and Liabilities Optimization Model of the Risk Control Based on Nonlinear Interval Number FENG Bao-jun, YAN Da-wen, CHI Guo-tai 2012, (1):  79-90.  Abstract ( 2470 )   PDF (1319KB) ( 2228 )   Save The unreasonable status that deposit and lending rates are considered as constants in existing literature couldn't immune future interest rate risk, in case deposit and lending rates would be changing. In our assets and liabilities optimization model, we construct the immune constrain of interval interest rate through duration gap of interval numbers of asset and liability, which makes the assets' allocation be immune to interest rate risk with a changing yield of asset and liability. The study shows that interval-biased selection parameter γ of duration gap decides whether the reserved gap makes money or loses money. The result is the interval-biased selection parameter γ of duration gap is 0.5, the absolute value of both ends of gap interval is in minimum; the more γ is greater than 0.5, the larger positive gap is, and more money is earned when interest rate declines;The more γ is less than 0.5, the larger negative gap is, and more money is earned when interest rate rises. The research shows that selection of parameter λ of the length of the interval decides the size of profit or loss and reveals that the chosen of lesser λ can get more risk-based return in positive interest rate management strategy. On the other hand, we set up the function expression of nonlinear interval-based risk portfolio through the semi-absolute deviation of the combination of correlation coefficient, chang the existing studies of linear interval-based algorithm, and simply linear weight the risk of each loan, thereby exaggerate the disadvantages of portfolio credit risk. References | Related Articles | Metrics

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The Investor Behavior and Futures' Volatility: A Two-Stage OLG Model and Empirical Study Based on Intraday Data WANG Yun, HUA Ren-hai 2012, (1):  91-101.  Abstract ( 2874 )   PDF (1604KB) ( 1937 )   Save Investor trading behavior is always an important issue in the behavioral finance and market supervision, but the related research is scarce. This paper introduces a two-stage OLG model into the future market and set the investor behavior model based on future contract price, which can also be extended to complete and incomplete information. We provide the equilibrium solution and use cuprum tick data in SHFE to conduct the empirical analysis. Empirical results present three main findings: First, the 2-period OLG model based on future market is consistent with the practical situation; second, the sufficient information investors such as institution adopt reversal trading patterns generally; last, the insufficient information investors such as private adopt momentum trading patterns in general. References | Related Articles | Metrics

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Study on Loan-to-value Ratios of Bank in the Supply Chain Finance YI Xue-hui, ZHOU Zong-fang 2012, (1):  102-108.  Abstract ( 3100 )   PDF (1254KB) ( 3441 )   Save Supply chain finance is a financial innovation service for the supply chain. This paper analyzes the bank's loan to value ratios when the retailer pledging his order contract in a newsboy's supply chain which consisting of a supplier and a retailer (or a newsboy). Meconuhile the paper incorporates some decisions of the enterprises into the loan to value ratios model of bank which controlling risk base on downside model, and models the supply chain decisions' influence on the value of pledging contract. Firstly, the analytic result of loan to value ratio of the bank is solved. Secondly, the paper analyzes the relations of the product's surplus, the supplier's wholes price or the return policies with the loan to value ratios and proves their value space under the conditional factors. References | Related Articles | Metrics

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Information Sharing in a Supply Chain with Supplier and Retailer's Partial Information ZHANG Ju-liang, ZHANG Xiang-sun 2012, (1):  109-116.  Abstract ( 2347 )   PDF (966KB) ( 2576 )   Save This paper addresses the vertical information sharing problem in a supply chain which consists of a manufacturer and a retailer. Both of them possess partial information about market. First the manufacturer sets the wholesale price based on his information and then the retailer sets the retail price based on her information and the wholesale price. This problem can be modeled as a three-stage leader-follower game. It is shown that the unique equilibrium of the game is to share no information. Moreover, the supply chain profit in the uncertain environment is larger than that in the certain case. This implies that information sharing cannot improve the efficiency and effectiveness of supply chain if there is no coordinative mechanism on the member's decisions. References | Related Articles | Metrics

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Study on Risk Sharing Contract Design of Retailer-Leading Supply Chain with Downside-Risk Control CHEN Ju-hong, ZHANG Ya-qi, SHI Cheng-dong 2012, (1):  117-122.  Abstract ( 3111 )   PDF (860KB) ( 2493 )   Save Under the downside-risk control, the revenue sharing contract cannot coordinate the supply chain which formed by the retailers and the downside-risk-averse manufacturers. And on the basis of revenue sharing contract, risk sharing contract is designed, which ensure the profits of supply chain participants are given to improve and realize Prateo improvement with the downside-risk control. Finally the effectiveness of risk sharing contract is verified by numerical analysis, and find the greater the manufacturer's risk aversion (downside risk) in a certain range, the greater the additional profits of supply chain participants access with implementing risk sharing contract. References | Related Articles | Metrics

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Can Disruption Cost be Greatly Cut Down Via Capacity-Sharing? A Model Research Based on Two Kinds of Capacity Trading Mode BAO Xing 2012, (1):  123-128.  Abstract ( 2533 )   PDF (1236KB) ( 1813 )   Save Sharing capacity with partners is considered as one of the most effective measures to improve the operational flexibility and performance of the operation system in a violate environment. However, whether capacity-sharing could really lower the operational cost when some large-scaled service operation system, such as power-grid or telecommunication system's critical capacity is crippled by some unexpected events? To probe the question, we re-investigate the practice of China Telecom Corporation when its submarine cables are partially damaged by earthquake. After the abstraction, we focus on the scenario that capacity-sharing partners provide two kinds of capacity supports: regular and expedite capacity supports, a multiple period decision model is presented correspondingly. After the numerical analysis, we find an interesting phenomenon that shortening the time of re-putting recovered capacity into use, capacity-sharing contributes rather little to cut down the disruption cost. Beside four important managerial insights are obtained. References | Related Articles | Metrics

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Auction of Divisible Goods Based on Variable Supply and Its Application RAO Cong-jun, ZHAO Yong, WANG Qing 2012, (1):  129-138.  Abstract ( 2377 )   PDF (998KB) ( 1714 )   Save This paper studies the auction problem of divisible goods. First, a uniform price auction mechanism of divisible goods with variable supply is proposed under three conditions, i.e., every buyer submits a nonincreasing continuous demand function, the seller and all buyers are risk neutral and the seller uses the strategy of variable supply(let the supply as a function of price). Second, the information incentive and effectiveness of allocation are analyzed, and the seller's optimal supply strategy and the buyers' bidding strategies are discussed. Third, this auction mechanism is generalized under the condition of the risk neutral buyers, risk averse buyers and risk seeking buyers coexist in an auction. Meanwhile, several more general equilibrium results are also educed about auction under a uniform price. Finally, this auction mechanism is applied to analyze and evaluate the validity for the free allocation of total permitted pollution discharge capacity in the environmental planning of Wuhan City Circle in Hubei Province, China. The validity evaluation result of free allocation is obtained by analyzing the statistical data of SO2 in 9 cities of Wuhan City Circle. Combining with the actual background, several improved strategies on free allocation method and current sewage application system are also given. References | Related Articles | Metrics

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Price Stackelberg Competition and Capacity Constraints MENG Ling-peng, HAN Chuan-feng, WANG Jian-min 2012, (1):  139-144.  Abstract ( 3438 )   PDF (1069KB) ( 2270 )   Save Two identical firms compete with price as the strategic variable in a homogeneous product duopoly game. The firms are limited by capacity constraints, and an efficient rationing rule is adopted. We show that when the firms are symmetric and have a small capacity, there is a unique subgame perfect Nash equilibrium, in which they both sell up to their capacity and get the same payoff. In another certain capacity range, the follower will adopt the same price with the leader, and there is a second mover advantage. We analyze an asymmetric case and attain the equilibrium. The example analysis indicates that price competition is based on the large enough capacity, and the follower should enter the market when the leader has a relatively larger capacity. References | Related Articles | Metrics

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The Research on the Model that the Remanufacturer Collaborates with the Manufacturer in the Same Channel WANG Kai, XIONG Zhong-kai, XIONG Yu 2012, (1):  145-151.  Abstract ( 2208 )   PDF (1616KB) ( 1889 )   Save On the consideration of recycling, this paper initially demonstrates the collaborative model that a manufacturer distributes the product which comes from a remanufacturer. Firstly, we get the optimal price decisions of the remanufacturer and the manufacturer. Secondly, we get the optimal price decisions in the competitive model. Finally, through numerical simulation, we compare the two models from the perspective of the equilibrium price, sale volume, return rate of used products and the profit, and get the precondition that the firm chooses the collaborative model. References | Related Articles | Metrics

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Evaluating Research on the Impacts of Implementation of Building Energy Efficiency Standards on Macro Economic and Environmental Attributes LIU Xiu-li, YANG Cui-hong, WANG Shou-yang 2012, (1):  152-160.  Abstract ( 2857 )   PDF (1626KB) ( 2342 )   Save Based on the systematic analysis, with the improved local closed input-output model, quantitative economic methods and static comparison, a model to evaluate the impacts of implementation of building energy efficiency standards on macro economic and environmental attributes is created. This model can evaluate its direct economic impact, direct environmental impact and total economic impacts by sector and on GDP from 6 main respects. after applie the model in two scenarios, we get that the implementation of building energy efficiency standards can reduce a large amount of pollutant emissions and increase the GDP a little bit at the same time. The sensitive analysis showes that with the implementation rate of building energy efficiency standards increases, its pulling effect on GDP firstly increases and then decreases. Relevant policy recommendations are put forward finally. References | Related Articles | Metrics

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The Effect of Signal Strategies in C2C E-marketplaces XIAO Jun-ji, LIU Lin 2012, (1):  161-170.  Abstract ( 2583 )   PDF (893KB) ( 1973 )   Save Using the discrete choice model and the differentiated Bertrand- equilibrium model proposed by Berry et al.(1995)[2] and data from Taobao.com, this paper examines the effectiveness of four signaling strategies:reputation, Buyer Protection Program, warranty services and information disclosure,by studying both the demand and the supply sides of the market. The results of demand side indicate that for the present trust mechanism in Taobao.com, the "7-Day" program in BPPs and warranty services can signal product quality. However, the "indemnity in advance" program in BPPs and reputation cannot lead to a partial separating equilibrium in the present of more effective signaling strategies. The results of supply side suggest that information disclosure can increase the probability of buyers purchase, but it cannot signal quality since it is easy for low-quality sellers to mimic the strategy of the high-quality sellers. This is the first study to analyze the mechanism and effect of signal strategies from both demand side and supply side. References | Related Articles | Metrics

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Collaborative Comprehensive Evaluation Approach Based on Differentiation Principle DONG Qing-Xing, GUO Ya-Jun, MA Feng-Mei 2012, (1):  171-176.  Abstract ( 2925 )   PDF (911KB) ( 2141 )   Save To solve the problems of comprehensive evaluation, we suggest an approach of collaborative comprehensive evaluation based on differentiation principle. In the process of collaborative comprehensive evaluation, we must get every evaluation agent's judgments firstly. Then we can obtain the numbers of the evaluated objects and the evaluators who are in the consensus interval. So we can judge which weight determining strategies would be selected and get every evaluation agent's weight in the group of their own type afterwards. The conclusion of comprehensive evaluation is got by aggregating the evaluating result of all the objects according to the differentiation principle. Finally, a numerical example is given to illustrate the effectiveness of the proposed method. References | Related Articles | Metrics

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Theoretical and Empirical Study on the Relationship between Financial Development and Economic Growth——Cointegration Analysis on Provincial Panel Data of China LU Jing 2012, (1):  177-184.  Abstract ( 2953 )   PDF (1001KB) ( 3495 )   Save This paper deduces the growth path of steady state when considering the financial intermedium and theoretically sets forth the positive promotion of financial development to economic growth. According to the provincial panel data, the paper uses panel unit root, panel co-integration and vector error correction model to analyze the influence of financial factor on economic growth. The financial development is the Granger Causality of economic growth. The relationship between financial development and economic growth is generally positive. References | Related Articles | Metrics

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The Impact of Customer Satisfaction on Corporation Financial Performance WANG Yi, ZHAO Ping 2012, (1):  185-192.  Abstract ( 3263 )   PDF (984KB) ( 2322 )   Save The impact of customer satisfaction on corporation financial performance is one of the most important research focuses of management scholars. With the higher intensity of competing,more and more companies conduct customer satisfaction projects to improve their performance. If they can't measure the effect of these projects accurately, they could not distribute the marketing resource efficiently. Many researches have explored their positive correlation, but there is no research on the internal mechanism of this influence process yet. In this article, we develop a theoretical framework that specifies how customer satisfaction affects corporation performance and then estimate the model by GMM method. Empirically, we collectes data from the Chinese Customer Satisfaction Index (CCSI) and Chinese Public Corporations, find a positive association between the two variables and explain this association by profitable ability and operational ability. References | Related Articles | Metrics