Table of Content

    20 February 2019, Volume 27 Issue 2 Previous Issue    Next Issue
    Inflation and Interest Rate Stickiness in China: Long-run and Short-run Fisher Effects
    YANG Li-xiong, LI Qing-nan
    2019, 27 (2):  1-8.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.001
    Abstract ( 569 )   PDF (1096KB) ( 192 )   Save
    Fisher hypothesis postulates that change in inflation would lead to a one-for-one changes in nominal interest rates, leaving the real interest rates stable and constant. Long-term weak Fisher effect and short-term nominal interest rate stickiness can lead to the monetary non-neutrality, which is the foundation of monetary policy. Therefore, it is very important to assess whether there exist Fisher effect and nominal interest rate stickiness in China.
    By assuming a constant real interest rate, the literature has investigated Fisher effect in the cointegration framework, but has produced mixed results. This inconclusiveness might indicate that the constant-real-interest-rate hypothesis is not suitable, and time-varying and nonlinear features should be considered. Therefore, a Fourier transformation is employed to approximate the time-varying real interest rate in the cointegration framework, and a threshold error correction model is constructed to discriminate between the short-run Fisher effect and the long-run one, and the adjustment dynamics are investigated.
    Based on the monthly data from 1991 to 2017 in China, our empirical results show that:(1) there is a strong evidence supporting a time-varying real interest rate, and, after considering the time-varying feature in the real interest rate, there is a weak Fisher effect between nominal interest rate and inflation in the long run; (2) there exist two thresholds in the threshold error correction model of nominal interest rate, and a rapid and significant adjustment occurs when the equilibrium deviation exceeds the large threshold, while such a adjustment cannot be observed in other cases. Hence it is concluded that the nominal interest rate is sticky and therefore there exists a relatively large room to implement monetary policy at the current stage.
    In this paper both theoretical and empirical contributions are made to the analysis of Fisher effect. A cointergation model with time-varying parameters is developed to consider a time-varying real interest rate, and tests are constructed to assess the constant real interest rate hypothesis and choose the optimal frequency in Fourier approximation. Meanwhile, the evidence supporting weak Fisher effect and nominal interest rate stickiness, which implies that the monetary non-neutrality holds in China, is provided. Hence, the quantitative monetary policy tools might be still useful in China, and thus there exists a relatively large room to implement monetary policy at the current stage.
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    Study on the Relationship between Investment Portfolios Diversification and Systemic Risk
    YAO Hong, WANG Chao, HE Jian-min, LI Liang
    2019, 27 (2):  9-18.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.002
    Abstract ( 441 )   PDF (1822KB) ( 489 )   Save
    It has been widely believed that the overall systemic risk instead of the individual risk should be paid more attention in the modern financial system. Meanwhile, the investment portfolios diversification theory which benefits the individual bank in traditional economics is no longer desirable as a result of the systemic risk. Therefore, the relationship between investment portfolios diversification of banks and the systemic risk still needs a further study. In a simplified financial market, the balance sheet is used to describe the connection between banks and assets, then a mathematical model is set up to depict the bankruptcy boundary of banks. The difference and relationship among individual risk, systematic risk, systemic risk with interbank loans, systemic risk with both fire sale and interbank loans are respectively studied based on the mathematical model. Finally, the mathematical model is numerical tested according to actual parameter values in the financial market and the results show that, investment portfolios of different banks will become similar with each other because of diversification which incurs the systemic risk more easily. The existence of fire sale and interbank loans will also increase the systemic risk. Therefore, the systemic risk can be controlled to a certain extent by reducing investment portfolio diversification and interbank loans ratio and this result provides a high reference value for the supervision of systemic risk.
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    Investors' Gambling Behavior——A Perspective from Profit/Loss Condition and Investor Sentiment
    CHEN Wen-bo, CHEN Lang-nan, WANG Shen-quan
    2019, 27 (2):  19-30.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.003
    Abstract ( 588 )   PDF (1716KB) ( 349 )   Save
    The propensity to gamble is deep-rooted in the human psyche.More and more evidences show that gambling and speculation have a significant effect on the stock market.Why do investors prefer lottery-type stocks with high idiosyncratic volatility, high idiosyncratic skewness and low prices? Researchers attribute the gambling preference to religious beliefs and preference for skewness. However, fewer researchers have paid attention to the factors that affect the gambling behavior.
    Investing in lottery-type stocks is a kind of speculative trading with high risk.Based on the prospect theory, investors tend to be risk-averse when facing prior capital gains.Besides, pessimistic sentiment may make investors reluctant to speculate. Whether profit/loss condition and investor sentiment have an impact on the investors' gambling behavior is investigated by utilizing the regressions and the data from the Chinese stock market from January 2000 to September 2017.
    The capital gains overhang that measures the capital gains or losses of individual stocks and gambling index for each stock are constructed respectively. And then, the Fama-MacBeth regressions are employed to investigate the relationships between profit/loss condition and investors' gambling behavior. It is found that the interaction between capital gains overhang and gambling index positively predicts the future returns.It is also found that investors are unwilling to hold lottery-type stocks when facing prior capital gains. In addition, investor sentiment index is constructed and the total sample is separated into two subsamples based on the median of investor sentiment index. It is found that investors exhibit stronger preference for lottery-type stocks during the optimistic sentiment periods. Furthermore, investor sentiment could affect the gambling behavior through affecting the investors' risk attitude. This paper provides the important implications on portfolio section, asset pricing and risk management for both investors and regulators.
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    The Impact of International Crude Oil Price Fluctuation on Chinese Commodity Futures——Based on the Correlation Structure Breakpoint Model
    LIU Ying-lin, LIU Yong-hui, JU Zhuo
    2019, 27 (2):  31-40.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.004
    Abstract ( 498 )   PDF (1038KB) ( 234 )   Save
    Crude oil is a commodity with both strategic and financial attributes, and its financial attribute affects its price fluctuation to the commodity futures market inevitably. Scholars through the world have studied the impact of crude oil on non energy markets such as food and agricultural products. However, little literature has been done to study the risk conduction relationship between international crude oil and Chinese commodity futures market from risk view.
    This paper studies the influence of international crude oil price fluctuation on commodity futures in different historical stages, using the correlation structure breakpoint method proposed by Wied and Kramer(2012, Econometric Theory). The price trend is divided into three historical stages of international crude oil's impact on commodity futures. And the model of risk conduction proposed by Adam and Gluck(2015, Journal of Banking & Finance) is used to study the impact of international crude oil price fluctuation on Chinese commodity futures.
    The empirical analysis of three types representative commodity futures, such as rubber, copper and agricultural products from January 2001 to May 2017, is selected. On one hand, the influence of international crude oil to these commodities is clearly divided into three sections by using the correlation structure breakpoint method. The results are as follows:in the first section from 2001-2008, the correlation is maintained below 0.05; in the second section from 2008-2014, the correlation increases to more than 0.22; while in the third section from 2014-2017, the correlation falls below 0.06. The correlation between China's commodity futures and international crude oil has been found cyclical, with a cycle of about seven years. On the other hand, the risk conduction model is used to study the impact of international crude oil on the three commodity futures in three historical sections. The result shows that the correlation between the period of 2008-2014 is easily founded; from the perspective of risk conduction, effect of three futures and the international crude oil have obvious difference and regularity, especially in the high correlation period, the risk conduction trend from high to low showing a "ladder" change, similarly. The conclusion above is not only beneficial to the entity operators to recognize the possible risks from the macro perspective, but also to provide a useful policy basis for the financial supervision department.
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    Studies on Volatility Features and Jump Behavior of Shanghai 50ETF Market Based on Levy-GARCH Model
    ZHENG Zun-xin, WANG Hua-ran, ZHU Fu-min
    2019, 27 (2):  41-52.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.005
    Abstract ( 458 )   PDF (1887KB) ( 139 )   Save
    Volatility is one of the significant features of the capital market. It is important to characterize the volatility of financial markets accurately which plays an important role in effective risk management and rational derivatives pricing. ETF50 option listing begins to attract wide attention from academics to focus on the volatility features of underlying assets. Therefore, in order to study the random jump behavior and the volatility features of Shanghai 50ETF market, non-Gaussian Levy-GARCH model is introduced, such as Merton jump diffusion model, combined with maximum likelihood estimate with Fast Fourier and back testing, compared with Shanghai composite index and Shenzhen composite index, to analyze volatility features of Shanghai 50ETF market. Return series of several markets in China during the period of 2005 to 2016 are investigated. Research results show that fat tail, long memory, clustering effect, conditional heteroskedasticity and random jump behavior are well reflected in Shanghai 50ETF market, meanwhile, leverage effect does not exist. For exploring reasons why this phenomenon exists, the analysis will be presented in the following aspects:industry characteristics, features of constituent stocks and market mechanism. These researches will contribute to further development about the issue of derivatives pricing and risk management based on open-end funds.
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    An Endogenous Network Model of Enterprise Credit and Its Evolution
    LI Shou-wei, MA Qian-ting, SUI Xin, HE Jian-min
    2019, 27 (2):  53-60.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.006
    Abstract ( 409 )   PDF (1114KB) ( 144 )   Save
    There are many relationships among enterprises in the socio-economic system, such as credit relationships and guarantees relationships among enterprises, which forms complex connections among enterprises. Theses complex connections bring many economic benefits to the development of enterprises, butthey also provide a medium for risk contagion among enterprises.Network theory provides a new research perspective for the inter-enterprise correlations. Based on actual data, it has found that there are some typical network structural characteristics among enterprises, such as scale-free networks.Revealing the micro-mechanism of the formation of enterprise networks helps to understand their structural characteristics. Therefore, in this paper, the upstream and downstream enterprises are considered, and an endogenous network model is constructed to study the internal formation mechanism and evolvement characteristics of inter-enterprise credit connections. Through simulation analysis of the endogenous network model, the results show that the model constructed in this paper reproduces the characteristics of the enterprise system in real life:the degree distribution of enterprise credit network is a power-law distribution, and this means the network is a scale-free network; longer aggregation periods might be preferable to have a better description of inter-enterprise credit relationships, and the network density increases with the increase of the aggregation period; the distribution of enterprise assets has the power-law tail, and the asset growth rate of enterprises gradually converges with time, and its probability distribution is approximate to the normal distribution.The key research of this paper is to explain the formation mechanism of enterprise credit network, which is one of the main contents of network theory research. Moreover, this study is the basis for further research on related practical issues, such as constructing enterprise evolution systems based on network theory to study the effect of economic policies.
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    Continuous-time Asset Allocation Strategy with Inflation and Stochastic Interest Rates
    LI Ai-zhong, WANG Shou-yang, PENG Yue-lan
    2019, 27 (2):  61-70.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.007
    Abstract ( 454 )   PDF (1802KB) ( 173 )   Save
    The stochastic control technique, Bellman optimality principle and HJB equations are used to study the optimization of continuous-time portfolio selection under the influence of inflation, stochastic interest rate and transaction cost. The interest rate is assumed to be a stochastic process that obeys the Vasicek interest rate model, a typical HJB equation is established by applying continuous-time dynamic mean-variance approach, the optimal strategy is derived for multi-objective optimization problems with general stochastic control technique and numerical approximation algorithm for multi-grid computing. Using empirical methods to compare with representative index funds in the domestic securities market, it is found that inflation and interest rate changes, as well as economic environment and investors' heterogeneous beliefs, all influence the optimal strategy and change the effective frontier of the portfolio. The ratio between bonds and stocks does not maintain a fixed ratio to ensure that the total assets are optimal, and the fund separation theorem is expanded. The model with inflation and stochastic interest rates is more in line with the actual situation, operational and targeted. The use of nonlinear prediction methods based on support vector machines for time-varying parameter estimation is more conducive to revealing the nature of nonlinear and non-Gaussian distributions in financial markets. The portfolio selection model that considers factors such as inflation and transaction costs can provide institutional investors with a solid theoretical basis and practical guidance.
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    Credit Risk Contagion in an Enterprise Group with Dynamic Copula Models
    ZHOU Li-guo, HE Zhuo-jing, MENG Tian-cheng
    2019, 27 (2):  71-82.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.008
    Abstract ( 478 )   PDF (1343KB) ( 334 )   Save
    Credit risk contagion is more likely to happen across the subsidiary firms in an enterprise group because of the various types of connections. The lack of sense in detecting and controlling this credit risk contagion may trigger the dramatical loss to the financial institutions. In this paper, we focus on the extreme co-movements of default in an enterprise group in China. First, the credit risk is measured by calculating Distance-to-Default based on KMV model. Then, the dynamic Joe-Clayton copula model, which provides the flexible tail-dependence parameters, is applied to analyze the credit risk contagion in enterprise group. Finally, both macro-economic and micro-economic factors are used to identify the most important drivers in credit risk contagion across pairwise firms in enterprise group. Our findings suggest that:(1) Credit risk contagion may occur via the tail-dependence of default across subsidiary firms in an enterprise group. (2) For some periods, the significant increase in credit risk contagions across pairwise firms is observed. Moreover, these credit risk contagions present the dynamic trends over time. (3) For different pairwise firms, macro-economic and micro-economic factors play different roles on credit risk contagions in enterprise group. The most important drivers of different pairs of subsidiary firms are not the same. Our paper contributes to the recent risk literature in two respects. First, we expand on a small number of related studies by providing evidence of credit risk contagion among the subsidiary firms at an enterprise group. Second, macro-economic and micro-economic factors are incorporated into a dynamic copula model to investigate the most important drivers in credit risk contagion. In such way, the needs of regulators for risk detection tools and eventual early risk warnings are met.
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    Coordination of Online Shopping Supply Chain Based on Bilateral Effort Factors
    HE Yan-dong, WANG Xu, ZHOU Fu-li, ZHOU Lin
    2019, 27 (2):  83-92.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.009
    Abstract ( 430 )   PDF (1757KB) ( 332 )   Save
    In this paper. the issue of coordination for two-stage online shopping supply chain consisting of one online retailer and one thirty party logistics enterprise (TPL) is investigated. Meanwhile, the demand is influenced by the retailer's sales effort level and TPL's logistics improvement effort level except price. Using the game theory, it is found that the two-part tariff contract cannot coordinate the online shopping supply chain by comparing the optimal solutions in the two cases of the centralized decision-making and decentralized decision-making. In order to effectively coordinate the online shopping supply chain, a bilateral effort cost-sharing contract is designed to by integrating the endeavors of the online retailer and the TPL. The optimal level of sales effort, optimal level of logistics effort and optimal profit of online shopping supply chain are identified. Further, it is found that the effort levels of both parties are highest than the unilateral effort cost-sharing contract and no effort cost-sharing contract when sharing coefficients satisfy certain conditions, and the profit of online shopping supply chain is also improved, especially, when μ1=μ2=0.5, the effort levels of both parties in the case of bilateral effort cost-sharing contract are equal the ones in the case of centralized decision-making, and the profit of both parties realize the Pareto improvement. Sensitivity analyses are conducted to examine the impacts of changes in the unit effort cost on the performance of the online shopping supply chain. Finally, numerical examples are applied to illustrate the validity of the proposed method. The research results of this paper can provide a reference for the online retailer and the TPL to make decisions to share effort cost in the customer-centered market environment.
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    Stochastic Scheduling of Product Service System Orders with Due Date Assignment
    ZHANG Yang, DAN Bin, GAO Hua-Li
    2019, 27 (2):  93-106.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.010
    Abstract ( 416 )   PDF (1331KB) ( 172 )   Save
    With the market competition growing ever more tense and the profit space of the product compressing continuously,the traditional manufacturing industry begins to transform from product-oriented manufacturing to service-oriented manufacturing. Instead of selling products only, the service-oriented manufacturing (SOM) firms offers the customers the integrated solutions of products and services which are called product service systems (PSSs). In order to delivery PSS orders on time and to reduce operating costs incurred by inventory and tardiness, the SOM firms need to assign reasonable due dates to the orders and make effective scheduling plans. However, the production times and service times of PSS orders may be stochastic due to customized demand, which adds more difficulty and complexity to the due date assignment in sequencing PSS orders. Therefore, how to jointly schedule PSS orders and assign due dates in a stochastic environment is a significant problem for SOM firms.
    In this paper, the stochastic scheduling problem of PSS orders with due date assignment is addressed for a SOM firm consisting of one single manufacturing plant and multiple regional service centers. It is assumed that the production times and service times are independent and normally distributed with the mean and variance provided. The objective is to minimize the total expected earliness, tardiness and due date assignment costs. To solve this problem, the mean value theorem of integrals is applied to obtain an approximate objective function of the original one and the optimality conditions are analyzed. A sequencing rule called the weighted shortest average production time is presented, based on which three heuristics are proposed. In the numerical experiments, the sensitivity analysis is carried out and the effectiveness and robustness of the proposed heuristics is illustrated.
    The results indicate that the unit earliness cost deviation has little influence on the total expected costs, hence there is no need for the dispatchers to ensure the accuracy of the unit inventory cost. Whereas the unit due date assignment cost has a significant impact on the results of the scheduling decision, which suggests that the dispatchers should pay great attention to the accuracy of this cost. Our research sheds light on reducing the operating costs and increasing the service levels of the SOM firms, since it can assist the dispatchers of SOM firms in scheduling PSS orders and setting due dates effectively.
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    Demand Forecast Sharing in a Closed-loop Supply Chain under the Government's Reward-penalty Mechanism
    ZHANG Pan
    2019, 27 (2):  107-118.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.011
    Abstract ( 458 )   PDF (1196KB) ( 171 )   Save
    Driven by the government's mechanism of reward-penalty, many manufacturers are engaging in collecting and remanufacturing operations. For the members of the closed-loop supply chain with the manufacturer collecting, they can forecast the uncertain market demand through using information technology. Generally, the forecast information is the private information of the retailer, which results in demand forecast information asymmetry in the closed-loop supply chain with the manufacturer collecting. In order to solve this problem, the demand forecast sharing decisions of the retailer is studied. Specifically, the following questions are mainly investigated:When both the manufacturer and the retailer can forecast, whether the retailer shares the forecast information voluntarily? If impossible, how to design a mechanism to induce it to share information? How does the government's mechanism of reward-penalty affect the equilibrium of information sharing? And how does the forecast accuracy affect the supply chain members' profits and the value of information sharing? A Stackelberg model between the manufacturer and the retailer is constructed. The manufacturer and the retailer first negotiate on information sharing agreement through a bargaining mechanism. And then the manufacturer acts as a Stackelberg leader and determines the wholesale price and the collection rate. As a follower, the retailer determines the retail price. This paper solves the multistage game by using a standard backward induction technique. In detail, the equilibrium decisions of the manufacturer and the retailer are first solved under the case of information sharing and non-information sharing, and then the firms' ex ante profits of both cases are computed, thereby obtaining the value of information sharing. Based on these results, this paper analyses the impact of demand forecast accuracy on the supply chain members' profits and the value of information sharing, and the values of information sharing and equilibrium information sharing decisions are investigated. The results show that in most cases, both the supply chain members can benefit from the precise demand forecasts. Besides, when the manufacturer's collection efficiency is high, voluntary information sharing is a unique equilibrium. When the efficiency is low, non-information sharing is a unique equilibrium. When efficiency is medium, the equilibrium of information sharing can be realized through a bargaining mechanism. Furthermore, the government's level of reward-penalty affects the equilibrium information sharing decisions. The research provides useful managerial insights to the government and supply chain managers in terms of sharing information, and collection and remanufacturing operations.
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    Optimization Model of Airline in-flight Reusable Items Inventory in Multi-base System
    SONG Jiang-hai, CHI Hong, GAO Min-gang
    2019, 27 (2):  119-128.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.012
    Abstract ( 431 )   PDF (1217KB) ( 180 )   Save
    In the increasingly fierce competition environment of civil aviation, the delicacy management of cost control is very important for airlines. The in-flight reusable items are provided for passengers and can use again after cleaning. The inventory of these items is imbalanced in some base locations because of the variation of in-flight meals and the different number of passengers in round-trip flights.So under the demand and return of in-flight reusable items in each base is given, an inventory model of in-flight reusable items is established in a multi-base inventory system and an order and transportation scheme is made, to minimize the total inventory cost (including ordering cost, holding cost, transshipment costand recovery cost) in an ordering cycle. Based on the analysis of the optimal solution of the model, it can be found the optimal total order quantity of the inventory system at the beginning of the period under certain conditions,and the inventory model can also be transformed into a network flow model, then a polynomial algorithm is given to solve thenetwork flow model and to find the optimal transshipment quantity of the system, and the optimality of the algorithm is proved; According to the scope of the feasible solution of the total order quantity, a heuristic algorithm is also given to solve the inventory model. The actual data of in-flight reusable items of a large airline are taken. The validity of themodel and algorithm is tested and verified by the results. And finally, the inventory problem of in-flight reusable items still needs further research, such as considering stochastic demand and the multi-period.
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    Co-opetition Game Analysis of Joint Purchasing Coalitions of Ameliorating Items with Ameliorating Technology Sharing
    XIAO Dan, ZHOU Yong-wu, FAN Li-fan, XIE Guo-jie, XIE Wei
    2019, 27 (2):  129-137.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.013
    Abstract ( 405 )   PDF (897KB) ( 276 )   Save
    Ameliorating technology sharing and joint purchasing can reduce the operational cost of purchasing coalitions for ameliorating items. However, there are some problems that need to be solved. For example, whether to choose the innovation of ameliorating technology, what the level of improving ameliorating technology is, whether to share the ameliorating technology, how to allocate operational cost that in order to keep the stability of coaliton? In this paper, a joint purchasing co-opetition game model of ameliorating items with ameliorating technology competing and sharing is constructed based on the classical EOQ model. First of all, given the investment of improving ameliorating technology, the operation strategies and total cost of joint purchasing coalitions for ameliorating items with ameliorating technology sharing are obtained. Then, it is pointed out that the core of cooperative game of joint purchasing coalitions for ameliorating items is non-empty using a special allocating rule. Finally, the ameliorating level obtained by using equally allocating rule will lower than the optimal ameliorating level under centralized system. In addition, the lowest cost of system will be obtained by using the pole of core of cooperative game of joint purchasing of ameliorating items with ameliorating technology sharing. The results show that the equally allocating rule will not achieve the optimal cost by joint purchasing coalitions of ameliorating items with ameliorating technology sharing, however the pole of core can achieve the centralized decision-making level.
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    A Fixed Cost Allocation Based on Two-stage DEA and Satisfaction Degree
    ZHANG Ran, RAN Lun, DU Tao, LI Jin-lin
    2019, 27 (2):  138-149.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.014
    Abstract ( 458 )   PDF (1045KB) ( 225 )   Save
    In this paper, the fixed cost allocation problem among the decision making units (DMU) with two stages is considered. First, the fixed cost is treated as an additional input to DMUs, and an additive two-stage DEA model is established. Then, some important theorems are proven:1. each DMU could find at least one allocation plan to make its total and each stage Pareto efficient; 2. there is at least one allocation plan for all DMUs and their stages to be Pareto efficient under a set of common weight; 3. the efficient fixed cost allocation set is provided. These theorems are also founded when it is expanded to the two-stage system with shared inputs. In order to obtain an equitable allocation, the satisfaction degree of each DMU's stage is defined. Through maximizing the minimal satisfaction degree, the final allocation plan is gotten. The numerical example shows that our approach is feasible and valid. Since the efficiency and fairness is considered together, the fixed cost allocation obtained from our approach is fair and valid. Our approach can give managers supports when they face cost allocation problems.
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    Optimal Scheduling for Smart Grids with the Integration of Renewable Resourcesand Storage Devices
    TAO Li, GAO Yan, ZHU Hong-bo, CAO Lei
    2019, 27 (2):  150-157.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.015
    Abstract ( 464 )   PDF (1034KB) ( 225 )   Save
    With a large number of renewable energy and storage facilities centralized or distributed accessible to the grid, the supply pressure of the power grid is eased, but at the same time, a new threat to the safety of power systems arises.Rational use of new energy and storage facilities to better serve the grid is an urgent problem for the modern grid.In this paper, a study on smart grid with the integration of renewable energy and storage equipments is made. According to the complex situation of renewable energy, they are first diviede two categories:one is private renewable energy and the other is public renewable energy.Private renewable energy can be used for users directly, and the excess part will be put into the grid.However,public renewable energy will be put into the griddirectly.Then, aiming at the above complex situation, combining with the actual demand of the user, an optimized strategy of rational use of renewable energy and storage equipment is given based on the maximization of users' utility and the minimization of users' cost. The properties of the model are also studied. Considering that the model is a convex programming and strong duality is founded, the solution of the model is given by Lagrangian dual algorithm. In the process of solving, because the objective function is non-smooth, the smoothing method is used to smooth the objective function,which transforms the optimal value of the non-smooth function into that of the smoothing function,and then the problem is further solved by the quasi-Newton method.This strategy not only gives priority to the use of renewable energy but also makes the most of it while maximizing users utility and minimizing cost.This strategy also avoids instability of grid caused by renewable energy, and the method of smoothing is applicable not only to this article, but also to the case where the objective functions are not differentiable.Simulation results verify the rationality of the model and the feasibility of the algorithm.
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    Evolutionary Game Analysis of Regional Cooperative Emission Reduction under Environmental Regulation
    WANG Ming-yue, LIU Yu, YANG Wen-ke
    2019, 27 (2):  158-169.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.016
    Abstract ( 401 )   PDF (1714KB) ( 250 )   Save
    It is a key step to reduce the influence of externality by coordinating the interests of the subjects in the agglomeration space and promoting interregional cooperation. Through the construction of the intergovernmental emission reduction evolutionary game model, the local government in the region under the conditions of independent emission reduction, cooperative emission reduction and environmental regulation in the region under the local government independent emission reduction strategy selection process of evolution. The study found that:(1) when the level of economic development of local government and external government are relatively small, whether it is independent emission reduction or cooperative reduction, {reduction, reduction} is local government stability strategy, however the mitigation effect is not significant; (2) In the case of independent emission reduction, when the economic level of one or both are raised to a certain degree, {emission reduction, non-emission reduction} or {non-emission reduction, emission reduction} is stability strategy of the system; (3) In the case of cooperative emission reduction, when the synergistic income is less than the transaction costs, with the local government economic development, local government's emission reduction game will eventually evolve into the situation that one side reduces emission and the other does not. If the synergistic income is greater than the transaction cost, the optimization of resources were achieved, reducing the negative effects of carbon emissions, improve the willingness of reduce emissions. (4) Due to the special characteristics of carbon emissions space product attributes, environmental regulation can't play a good effect, only in the economic backward areas can make sense, the emission reduction effect is not significant. Finally, the validity of the model is verified through a numerical simulation. By improving synergies, or reducing transaction costs, promote regional cooperation in emission reduction has great significance to achieve emission reduction targets.
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    Mechanism of Multi Level Interest Distribution and Incentive Coordination in the Government Supervision of Engineering Quality
    GUO Han-ding, ZHANG Yin-xian, TAO Kai
    2019, 27 (2):  170-178.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.017
    Abstract ( 471 )   PDF (922KB) ( 171 )   Save
    The implementation of the government supervision of the quality of the project is an international practice. The basic form of government supervision of engineering quality is government supervision on the quality behavior of the engineering main bodies and its results by the competent government department entrusted. Its essence is a dual principal-agent process. The frequent accidents of the engineering quality reflect the loss and failure of the government law enforcement supervision of the engineering quality to some extent. Its root lies in the lack of endogenous power in the law enforcement supervision of the project quality government supervisors in the law enforcement supervision. Therefore, the incentive coordination mechanism of the government supervision based on the multi-level interest distribution is worth explored. In views of the multi-level management system which is formed by the government departments, government quality supervision organizations, quality supervision team (or group) for the government supervision of engineering quality. The benefit distribution function between every party is constructed, and the game model of the multi-level incentive and coordination for the government supervision in engineering quality is built. To solve and deduce from the first stage of the cooperative game and the second stage of the non-cooperative game, the cooperative game can obtain the reward coefficient: . The coordination degree of the best effort can be obtained by the non cooperative game. The result shows that:the coordination degree of government engineering quality supervisor is related to the coordination costs, and had nothing to do with fixed costs. The benefit distribution coefficient not only depends on the efforts of the quality government monitors, but also on the efficiency of other parties' efforts. The quality supervisors of the project will also focus on the coordination with other parties when enhancing their management capabilities to improve the overall performance of project quality government supervision. The strategy of the incentive coordination mechanism for the supervision and cooperation of the project quality government is:the government quality supervision team should set up the supervisory team properly, improve the coordination efficiency and reduce the cost of supervision-coordination to maximize the value of self-motivation. Quality supervision team (or group) should establish the partnership to improve the coordination efficiency for achieving the maximization of their own incentive value.The model and conclusion of incentive synergy mechanism based on multi-level benefit allocation mechanism are researched. It can provide theoretical support and practice reference for the market governance and supervision of general public goods.
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    A Weighted Multi-objective Gray Target Decision Model for Selecting an Optimum ESCO
    ZHANG Wen-jie, YUAN Hong-ping
    2019, 27 (2):  179-186.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.018
    Abstract ( 523 )   PDF (741KB) ( 246 )   Save
    Energy User (EU) can benefit from implementing Energy Performance Contract (EPC) projects. However, it is unclear how an EU can select an Energy Service Company (ESCO) efficiently from multiple candidates so as to maximize its interests. This arouses two particular questions:one is which method can be used by the EU to select asuitable ESCO, and the other is which indicators can be adopted to achieve effective outcomes toward ESCO selection. In practice the main concern of the EU is how to determine an optimal ESCOdepending on insufficient ESCO information. This paper aims to investigate the optimal ESCO selection problem from the perspective of the EU by using the weighted multi-objective gray target decision model. The weighted multi-objective gray target decision model is first introduced, followed by determining main decision-making objectives of ESCO selection based on a two-round expert consultation. Then according to different types of the decision-making objectives (i.e. benefit-based, cost-based, moderate),the objective effect sample matrix are formulated and the objective effects' threshold values are set. Finally, by calculating the uniform effect measurement matrix, the dimension of the three ESCOs' objective effect sample matrix is dispelled. The ultimate optimum of ESCO is identified by judging the three ESCOs' synthetic effect measurement values. The study reveals that in the process of determining an optimum ESCO, special attention should be paid on aspects including ‘the qualification of ESCO’, ‘the reputation of ESCO’, ‘the quality of energy-saving equipment’, ‘energy-saving retrofit period’, ‘energy-saving benefit sharing period’, ‘energy-saving design’, ‘participants’ energy-saving benefit sharing proportion, ‘the damage extent to the original building components’, ‘energy-saving during the contract period’, ‘feasibility to spot energy-saving volume’ and ‘pre-payment’. It is also proved that applying the weighted multi-objective gray target decision model to optimum ESCO selection could largely help the EU to address the problem effectively even the EU faces a dilemma of scarce data and information about the ESCO.
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    Executives' Self-interests Behavior and External Supervision -Signaling Game Model Based on Information Disclosure Quality
    SUN Tong, XUE Shuang
    2019, 27 (2):  187-196.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.019
    Abstract ( 492 )   PDF (1365KB) ( 255 )   Save
    Under the framework of principle-agency theory, top managements have incentives to adopt self-interested behaviors which benefit themselves but damage firm value. The information asymmetry is a fundamental cause of these self-interested behaviors. Outside supervision, incentive and information disclosure mechanisms are usually taken as the methods to alleviate the agency problem. Most of the enisting researches focus on just one of these three mechanisms. In this study, a signaling game model is established and the interactions among the information disclosure, incentive system and outside supervision are explored. It is found that under the model without incentive for high quality information disclosure, both types of executives will choose a strategy of lower quality of information disclosure. When an incentive is given to the executives with high quality information disclosure, an efficient separating equilibrium can be reached. That is, an incentive-based information disclosure mechanism will guide outside supervisors to make much more efficient decisions. Based on the setting of the Gold Board Secretary of Chinese listed company, strong empirical supports are offered to our theoretical model.
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    An Objective Weight Maximum Entropy Mining Model for Multi-level Clustering Indexes Based on Case Learning
    CAO Ying-sai, LIU Si-feng, FANG Zhi-geng, ZENG You-chun, WANG Huan
    2019, 27 (2):  197-204.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.020
    Abstract ( 429 )   PDF (846KB) ( 211 )   Save
    The weight of characteristic attribute index is a significant influence factor during the process of multiple criteria clustering decision aids. Hence,many researches have focused on this important research area. Historical clustering information can effectively provide importance measures for each index with regard to clustering the objects which are to be evaluated. Learning of previous cases can not only contributes to the reveal of the objective law of clustering but also dig out the weight of each attribute index. However, this significant information has been overlooked by many previous researches which can definitely lead to the inaccurate weight calculation. Case learning, in this paper, is defined as the method proposed by the self-reasoning of the results of typical case sets and calculating some of the key parameters, so as to construct the proper decision-making models which can be applied to the evaluation of new objects in the future. To make the most of the existing clustering cases, the objects which are to be clustered as multidimensional attributes are defined by using space vector model. Based on the fact that objects in the same category are more similar than those in different categories, cosine distance is introduced to measure the similarity among different objects. Maximum entropy model is also employed to estimate the expected contribution of different indexes located in diverse levels to the category of the whole object. An illustrative example about weight allocation of attribute indexes in criminal cases is presented in this paper to show how the new approach is applied in the practical clustering decision problem. The feasibility and validity of the newly-proposed method is demonstrated through the comparison analysis with other similar methods. As a decision support, the proposed model can also provide a novel standpoint for weight calculation of objects with multi-level attribute indexes.
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    The Effects of Fair Preference on Horizontal and Vertical Supply Chain Pricing and Performance
    WEI Qiang, LI Sheng
    2019, 27 (2):  205-216.  doi: 10.16381/j.cnki.issn1003-207x.2019.02.021
    Abstract ( 501 )   PDF (1460KB) ( 273 )   Save
    Traditional economics is built on the basis of human self-interest rationality and the mainstream supply chain coordination research follows this hypothesis to design a series of coordination contracts, such as buy-back, quantity discounts, and revenue sharing and so on. However, Behavioral economics holds that people care not only their own profits but also others'. Therefore, Social preference is one of the most important factors by which human beings make their behavioral decisions, such as the supply chain coordination decision. Some scholars find that the buy-back, revenue sharing contracts etc. could not help achieve supply chain coordination. Therefore, researchers have begun to consider whether social preferences impact supply chain coordination and brought some research findings which could better explain the economy problems. For example, a simple wholesale pricing contract could coordinate the supply chain while considering the fairness preference which interprets why wholesale price exists in the market for a long time.
    In this paper, the pricing decision and performance of supply chain members with fair preference is studied in the vertical supply chain and horizontal supply chain. The vertical supply chain is a two-level supply chain which contains a supplier and a retailer. While the horizontal supply chain consists of two manufacturers which belong to the same level of a supply chain, they sale the product or service together to the next supply chain level or the end market. The above supply chain's pricing and performance is studied through the backward induction. The results show that:in the vertical supply chain, the supplier or retailer with fair preference takes Stackelberg game, and the wholesale price contract can satisfy the fair preference of the supplier or the retailer, the whole supply chain gets the best profit and the highest efficiency; in the horizontal supply chain, the manufacturers with fair preference take Cournot game, and the wholesale price contract cannot satisfy the fair preference of the manufacturers, But the profit and performance of the entire supply chain is significantly higher than the profit and performance of the supply chain under complete rationality. Finally, a numerical example is given, and some management recommendations are put forward.
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