Table of Content

    20 May 2019, Volume 27 Issue 5 Previous Issue    Next Issue
    The Term Structure of Credit Risk Spreads in Chinese Enterprise Sector and Macroeconomic Determinants
    ZHANG Yi-chun, CHEN Hua, ZHENG Xiao-ya
    2019, 27 (5):  1-10.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.001
    Abstract ( 557 )   PDF (1341KB) ( 310 )   Save
    The rising credit risk in China's enterprise sector has drawn significant attention on possible systematic credit crisis in China. Therefore, unfolding the relationship between credit risk and macro factors becomes an important topic for market regulators, participants and academies, which has great academic and practical significance. However, due to methodological constraints, existing researches based on Z-score models, Logistic models or Merton models have noticeable limitations on explaining such relationship. In order to improve the stability and comprehensiveness and of the research results, reduced form model is implemented which can describe the discontinuous and sudden event of default, and the credit risk pricing formula derived is more intuitive and concise, especially the default random variable is set as the exogenous driving factor, which makes the model more flexible application. Furthermore, the economic shocks are identified as aggregate supply shock, aggregate demand shock and monetary policy shock, by incorporating structural auto regression vector, and then the effect of various macroeconomic determinants is firstly investigated on the term structure of credit risk spreads in Chinese enterprise sector, thus showing how the credit risk in Chinese enterprise sector is priced from a macroeconomic perspective. It is found that, first, the total supply of the positive impact and the impact of monetary policy helped reduce the Chinese corporate sector credit risk premium, but positive aggregate demand pushed up China corporate sector credit risk premium; second, the expansion of the total demand of 4 trillion economic stimulus plan brought about by the impact, the credit risk premium in 2011 by negative reversal for it, and made it continue to maintain at a high level; third, the expansion of monetary policy from 2010 to 2011 reduced the total social demand caused by the expansion of high credit risk premium level; fourth, as money shortage occurred, Chinese corporate sector credit risk premium rose sharply, which was not caused by macroeconomic fundamentals changes, but triggered by the impact of monetary policies; fifth, from the beginning of 2010, due to Lewis inflection point, the negative total supply impact pushed the credit risk premium to slow up. Based on the empirical outcomes, it is suggested that the essential way to reduce the credit risk in Chinese enterprise sector be the reduction in aggregate social demand and the improvement in aggregate social supply via reform and restructure.
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    Research on Systematic Risk Measurement and Evolution Characteristics of China's Securities Companies——Empirical Data from 20 Listed Securities Companies
    LIU Chao, LI Yuan-rui, JIANG Chao, MA Yu-jie, LIU Chen-qi, XIE Qi-wei
    2019, 27 (5):  11-22.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.002
    Abstract ( 497 )   PDF (2099KB) ( 337 )   Save
    The crash of China's stock market in 2015 has aroused great attention to the systemic risk of securities market and especially securities companies. Under prudential supervision, accurate measurement of systemic risk and identification of risk evolution characteristics is the primary link to carry out effective supervision on securities companies. In this paper, by utilizing the SCCA technology, Gumbel Copula model is built to describe the risk dependence structure of different securities companies, and overcome the difficulty of boundary approximation in simulation by modifying the monitoring index J-VaR. The stock price and balance sheet data from 20 listed securities companies ranging from 2011-2016 are collected to measure the systemic risk of China's securities companies. Then the evolution characteristics of systemic risk is analyzed from the aspects of both micro level (i.e. risk of individual securities companies) and macro level (i.e. risk of the entire securities company system). Results show that there tends to be precursory fluctuations before large-scale outbreak. It is found that systematic risk has the characteristics of "steep rise and slow drop", and multiple shocks during the conducting period have great destructive power. The research findings provide suggestions for systemic risk regulation on securities companies.
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    Competition among Heterogeneously Informed Traders and Analysis of Market Liquidity
    LIU Xia, LIU Shan-cun, ZHANG Qiang
    2019, 27 (5):  23-31.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.003
    Abstract ( 371 )   PDF (881KB) ( 127 )   Save
    Liquidity is of vital importance to the financial market. Lots of previous research findings suggest that intensifying the competition among the investors is an efficient way to promote market liquidity. On the premise that the payoff of the traded risky asset is composed of only one fundamental, these papers mainly focus on the competition from the homogeneously informed traders on their private information. However, due to the fact of multiple-fundamental risk from the real market, the complex financial market with multiple-fundamental assumption has been studied by a growing number of scholars. This assumption may give rise to heterogeneously informed investors whose private information is on different fundamental and thus is not correlated. Considering that, a model is developed where the payoff of the traded asset consists of two independent fundamentals in a Kyle (1985) framework. Two types of multiple heterogeneously informed traders respectively possess private information on one of the two fundamentals. Combining multiple-fundamental assumption and heterogeneously informed trading, it is addressed whether the competition among heterogeneously informed traders exists and if so what its impact is on market liquidity and how it works. After analyzing the interaction effects between heterogeneously informed investors' trading strategy and its impact on market, it is concluded as follows. Firstly, an increase in the number of traders would promote market liquidity and information efficiency due to the competition among homogeneously informed investors. This competition generates a crowding-out effect on the trading intensity and expected profits of homogeneously informed investors, yet a promotion effect on that of heterogeneously informed investors. Secondly, the allocation of expected revenue between the two types of informed investors is determined by their competition on the quality of their own private information. That is, both the individual and group expected profits of each type of informed traders increase with the quality of his/their own information, whereas decrease with the other type's information precision. Besides, the competition on the private information of the heterogeneously informed investors would aggravate the information asymmetry and consequently reduce the liquidity but enhance the information efficiency. Specially, the above conclusions can generalize to the model of multiple (over two) fundamentals and multiple types of heterogeneously informed traders. Finally, the best state of market liquidity in theory is seeked for. Based on our results, regulators can control the access to the private information in the market to utilize the competition and promotion effects among heterogeneously informed traders to maximize market liquidity.
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    Pricing Longevity Bond with Relative Entropy Approach
    SONG Ping-fan, TAN Chang-chun, QI Yu
    2019, 27 (5):  32-41.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.004
    Abstract ( 391 )   PDF (1174KB) ( 103 )   Save
    Along with the raise of living standard and improvement of medical technology, average life expectancy in China is rising substantially. The unexpected improvement of average life expectancy renders the insurers to face the challenge of excessive annuity payout, and even brings about to bankrupt risk to them. This type of risk is called longevity risk. The studies on how to manage longevity risk is very popular all over the world, since China is not the only country suffering from longevity and aging. Many scholars point out that we can employ the special financial instruments, which are called longevity derivatives, into hedging the longevity risk. Compared with the mechanism design, previous and present studies are more interested on how to price the longevity derivatives appropriately. In this article, the typical derivative, the longevity bond is priced which is issued by European Investment Bank and BNP Paribas in year 2004. The future mortality of male and female aged people is simulated with Cairns-Blake-Dowd two-factor model. Then EIB/BNP bond is priced by using the risk-neutral measure theory. Since there are infinitely risk-neutral measures in an incomplete market, the relative entropy methods are introduced, to select the optimal risk-neutral measure. Three different types of relative entropy, namely Kullback-Leibler relative entropy, Tsallis relative entropy and Rényi,are applied in order to ensure the robustness. The pricing result also incorporating the market prices of risk as the useful information, in order to make the longevity bond rationally priced. The difference between pricing male mortality linked longevity bonds and that of female morality linked longevity bonds are compared, finding that high risk premia is required when hedging the longevity risk arising from female aged people, which means that improvement of female mortality reveals more uncertainty than that of male mortality, especially when the maturity is long. The case when incorporating unique market price of risk and the case when incorporating total 6 market prices of risk are also compared. It can be concluded that the pricing result varies greatly according to the number of market prices provided by the market. The simulation outcomes when using Kullback-Leibler relative entropy, Tsallis relative entropy and Rényi relative entropy are highly consistent. Thus it is also concluded that the when pricing longevity bonds with relative entropy approach,the outcomes rely much on the completeness of market. This indicates that relative entropy method is very flexible, and the more complete the financial market is, the more reasonable the pricing result will reveal. If the longevity risk is to be managed effectively by means of financial derivatives, the most important issue is to perfect the financial market. And since the relative entropy approach shows great superiority in pricing longevity derivatives, this method can be further developed, and wide application can be made in the field of longevity risk management.
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    Modeling and Analyzing Liquidity in Stock Market Using Macroeconomic Factors Based on State Space Model
    HE Di, ZHOU Yong
    2019, 27 (5):  42-49.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.005
    Abstract ( 586 )   PDF (1397KB) ( 142 )   Save
    Liquidity in stock market is a crucial indicator to assess whether a country's stock market is in healthy operation. The academic research about liquidity is a hot issue on financial market microstructure theory. The influence of macroeconomic factors to time-varying liquidity in Chinese stock market is considered in this paper. First the indexes are selected to measure stock liquidity and macroeconomic covariates, and then three dynamic factor models are proposed for the panel data of industry sectors, with introducing a latent factor that captures the risk cross-sectionally clustering phenomenon to modeling. Moreover, liquidity is analyzed using the tools of state space model and Kalman filter, and the out-of-cample liquidity risk prediction of all the models is implemented. The novel Gaussian panel data time series model with regression effects is presented, for the analysis and forecast of stock liquidity risk, containing the principal components from a large number of macroeconomic covariates, which has a strong information mining effect. In an empirical application to stock data from Shanghai stock exchange A share market, it is found that a dynamic latent component or frailty factor is needed to prevent a downward bias in the estimation of liquidity.
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    Stock Market Evolution Research Based on Random Dynamic System
    ZHAO Peng-ju, ZHANG Wei
    2019, 27 (5):  50-56.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.006
    Abstract ( 419 )   PDF (791KB) ( 125 )   Save
    Alchian, Friedman and Fama proposed that market participants who pursued the maximum return would survive and profit, and irrational traders would be ultimately eliminated due to long term losses. It was called Market Selection Hypothesis. The law of securities market evolution is analyzed in this paper where rational traders and irrational traders coexist by ideas of biological evolution. A differential dynamic system model, as well as a random dynamic system model, is established to describe a law of stock market evolution. It is discussed whether irrational traders should be eliminated by securities market evolution. The impact of new entrants on securities market evolutionary long-term equilibrium is considered. As well, the existence and uniqueness of the model's solution are discussed. Based on the model, using Ito's lemma, it is proved irrational traders could exit in the long-term under some conditions. Finally the suggested conclusion is verified through numerical simulation.
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    A Study on Advertisers' Equilibrium Bids with Budget-constraints-Based on the Nash Equilibrium
    HAN Shuai, LIU Shu-lin
    2019, 27 (5):  57-67.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.007
    Abstract ( 428 )   PDF (1063KB) ( 146 )   Save
    Keyword advertising which has a simple form is increasingly popular, and advertiser can advertise on the search engine at any time. Its several advantages include better targeted, low cost, controllable budget, and a higher rate of return on investment. The budget allocation has a great effect on advertiser's revenue, so it is necessary to study the budget problem of keyword auctions.From the point of view of advertisers, keyword auctions are built with budget-constrained bidders based on the Nash equilibrium. The revenue of advertiser with budget can be expressed as πj=cjtj(vj-bj+1), where tj=(Bj)/((cjbj+1)) is the time of advertiser j to take part in the auction. The Bj is defined as the advertiser j's budget. When pjBj means the advertiser j has been always occupying the advertising position(tj=1), and pj > Bj means the tj<1. Whether the bidding vector is the Nash equilibrium partly depends on the budget constraints.
    And then, the effect of advertiser's budget on his revenue is discussed. Firstly, the upper and lower bounds of each advertiser's Nash equilibrium bid are derived. Secondly, a sufficient and necessary condition is given under which there is no profitable upward deviation for each advertiser, and the condition is verified by a numerical example. In addition, the effect of advertiser's bid downward deviation on his profit is analyzed. The Nash equilibrium with budget-constraints is characterized by using the upper and lower bounds of each advertiser's Nash equilibrium bid and budget. Finally, the upper bound of each advertiser's Nash equilibrium bid is used to give a sufficient and necessary condition under which any bid vector bBNE is a Nash equilibrium with budget constraints.
    The results show that any bBNE is sustainable as the Nash equilibrium with budget constraints if and only if BjBj** for all jN. That is to say, if all bidders have enough budgets, then no deviations are profitable. However, the budgets need not to be extremely large as long as it is larger than Bj**, which has an important reference for advertisers to make budget strategy.
    This paper's results are useful for the advertiser to develop the bidding strategy and set up a budget plan. First, the more budget does not mean the better. The best budget strategy is that the bidding vector reach the Nash equilibrium with budget constraints. Second, advertiser who sets up a bidding strategy cautiously should consider not only the financial situation of enterprise, but also the time of him to take part in the auction. Because the auction time directly affect the advertiser's revenue. At last, the revenue of search engine is also indirectly affected by the advertiser's budget. And it may increase the overall social welfare. Thus, the advertiser need to set up a reasonable budget for the keyword auctions.
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    Analysis on China's Degree of Dependence on Foreign Trade in the View of Global Value Chains
    LIU Peng, XIA Yan, LIU De-Ge
    2019, 27 (5):  68-77.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.008
    Abstract ( 502 )   PDF (1126KB) ( 149 )   Save
    Global value chains are important for developing countries. One country had to build complete production chains to produce and sell goods in the international market in the past. However, in the era of GVCs, one country does not need to build complete production chains, and have opportunities to produce intermediate goods imported by other countries to embed in GVCs. So, embedding in GVCs has promoted China's economic development fastly. On the other hand, it makes China more dependent on foreign markets, and increases China's country risk which means risk coming from other countries when participating in international activities. The problem is that GVCs makes traditional index difficult to accurately measure the degree of dependence on foreign trade, because goods exporting to other countries may contain other countries' value-added. The consequence is that traditional index may overestimate the degree of dependence on foreign markets. Another problem is that methods in literature do not distinguish foreign trade from trade for GVCs. So, based on the perspective of GVCs, a method is constructed in this paper to calculate the degree of value-added of dependence on foreign trade using the world input-output model, different calculation methods in literature are compared, and the degree of dependence on foreign trade is proposed in the traditional trade and in the global value chains of the simple and complex participation. Finally, world input-output tables from 2000 to 2014 are used to calculate. The results show that the degree of external dependence of China increases firstly and then falls down; the primary cause of changes in dependence degree of our country on foreign trade is changes in the degree of dependence on foreign trade in the traditional trade. It is implied that the key to balance the global value chain embedded and external dependence is to improve the degree of participation in the global value chains. This paper can be helpful for China's government in the following aspects. First, a new index is supplied to assess risk from foreign goods markets. Second, the result that China's degree of economic dependence on foreign trade is smaller can be employed in trade negotiation and increase China's negotiation advantage. Third, it can be helpful for making policies. For example, China not only encourages firms to participate in globalization by traditional trade, but also by trade for GVCs.
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    Dynamic Spillovers Effects of Economic Policy Uncertainty of China
    WANG Zheng-xin, YAO Pei-yi
    2019, 27 (5):  78-85.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.009
    Abstract ( 431 )   PDF (1670KB) ( 147 )   Save
    As the world's second largest and Asia's largest economy, China plays an ever more important role in global affairs. The effects of its policy fluctuation over other countries are increasingly significant. In this paper, based on Economic Policy Uncertainty index of China, the USA, Japan and the UK from January 1995 to July 2017, a DCC-GARCH model is built which can effectively catch the dynamic correlation between different time series to analyze spillovers effects between China and the USA, the UK and Japan. The EPU index was developed by Baker, Bloom and Davis in 2016. The EPU data of sample countries shows the characteristics of spikes, fat tail and asymmetrical which means skewed multiple t distribution is favored. Through the empirical analysis, it is found that China has positive spillovers effects upon others. Further analysis shows the dynamic correlation of China-US is great than China-UK's or China-Japan's. The trends are more similar between China-US's and China-UK's than China-Japan's.Influenced by geopolitical relations, the trend of China-Japan's correlation is different from those of China-US's or China-UK's.It is the first time to analysis the dynamic correlations between China and other countries using the EPU index to measure spillover effects of economic policy uncertainty. Reference for other studies on policy related uncertainty can be provided in this paper.
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    Research on Optimization Problem of Agricultural Products Supply Chain with Different Shelf Space Allocation Orders
    SUN Guo-hua, ZHANG Wen, LI Xiang
    2019, 27 (5):  86-95.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.010
    Abstract ( 368 )   PDF (1606KB) ( 173 )   Save
    Shelf space is a scarce resource of the supermarkets and fresh convenience stores. It not only has the function of stocking and demonstrating items but also has a substantial impact on the sales level of that item. For the agricultural products, it's estimated that the elasticity of shelf space is 0.57, which means that as the shelf space allocated to the agricultural products is doubled, the sales quantity will increase 57%. Hence, how to allocate the limited shelf space scientifically is an meaningful problem.
    A two-echelon agricultural products supply chain consisting of a supplier and a retailer is investigated in which the demand facing the retailer is both price and shelf-space sensitive. As the production of the agricultural products has a long lead time, the retailer can choose to allocate shelf space to the agricultural products before or after the selling season comes. Considering the different shelf space allocation orders, the centralized and decentralized agricultural products supply chain models are built to investigate optimal decisions of shelf space allocation, wholesale price and retail price under different channel power structures, namely supplier Stackelberg and retailer Stackelberg.
    By comparing the optimal decisions in the centralized and decentralized agricultural products supply chain, it's found that in the centralized agricultural products supply chain, the retailer charges a lower retail price and allocates more shelf space. For the decentralized agricultural products supply chain, shelf space allocation order has an important effect on the optimal decisions and profits. It's found that no matter in the supplier Stackelberg agricultural products supply chain or the retailer Stackelberg agricultural products supply chain, when the retailer allocates the shelf space before the selling seasons comes, the wholesale price and retail price are higher and the shelf space allocated is less compared to that when the retailer allocates the shelf space after the selling seasons comes. The profits of the supplier, the retailer and the total supply chain are also less when the shelf space is allocated in advance. Therefore, it's more beneficial for the agricultural products supply chain if the shelf space is allocated after the selling seasons comes.
    Since the profits of the decentralized supply chains are less than that in the centralized agricultural products supply chain, the revenue and expense sharing contract is designed to coordinate the decentralized agricultural products supply chain. The reasonable range of the parameter is given to ensure that the supplier and retailer both has incentive to accept the contract. Finally, Some numerical experiments are conducted to study the effects of parameter variation on the optimal decisions and profits of the agricultural products supply chain.
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    Multi-product Newsvendor Model with Markov Competitive Factors
    WU Bo, GUAN Yu-xian, CHEN Jie, CHEN Zhi-xiang
    2019, 27 (5):  96-108.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.011
    Abstract ( 509 )   PDF (1578KB) ( 152 )   Save
    Under the free competitive market, one of the basic attributes of modern commodities is competitive relationships among the multiple products. It means multi-product inventory control system has to be built on information of demands with competition. Newsvendor model is one of the most important and basic theoretical approach of making optimal ordering policy for the multi-product inventory system. Therefore, a multi-product newsvendor problem is discussed under the situation with competition in this article. First, in order to characterize the competitive relationships among the multiple products, a demand transition model is constructed by using the Markov chain. And then, two core concepts as Markov competitive factors and comprehensive competitive power are proposed in accordance with the transition probability matrix in the model. Furthermore, the competitive factors are incorporated into the framework of classic newsvendor model and combining convolution formula and Jacobian determinant to the multi-product newsvendor model with competitive factors, and the new decision-making mechanism is derived from the model. Finally, the numerical examples are given to analysis in the condition of competitive relationship between the 3 products. The numerical examples show that the competitive factors have an important impact on the optimal ordering polices in the inventory system in which the optimality of ordering quantity is increasing in the comprehensive competitive power, and the data experiment results also demonstrate that the adaptability of the newsvendor model in the practical application and the effectiveness of optimization and control in the inventory system would be further improved when the competitive factors were incorporated into the decision-making mechanism.
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    Research on the Dominant Models and Commission Coordination Mechanism of E-Supply Chain Based on E-commerce Sales Platform
    WANG Yu-yan, YU Zhao-qing
    2019, 27 (5):  109-118.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.012
    Abstract ( 445 )   PDF (1108KB) ( 298 )   Save
    The rise and prosperity of e-commerce, breaking the traditional business model, which provides lower operation cost for enterprises and more convenient means of purchase for consumers, makes enterprises, e-commerce platform and logistics enterprises to form E-supply chain system. According to the current profit model of e-commerce platform in E-supply chain system, the third party, e-commerce platform is incorporated into system decision. Considering the difference of dominant patterns and the role of commission in E-supply chain system, the dominant models and coordination mechanism of E-supply chain based on e-commerce platform which is fully taken into account in decision process are studied in this paper.
    First, two decentralized decision-making models of E-supply chain, including manufacturer's dominant model and e-commerce platform's dominant model, and centralized decision-making model are constructed. Then, for each model, the corresponding optimal decisions is solved. And the comparative analysis of the optimal decisions is carried out. On this basis, commission coordination mechanism is designed to achieve coordination for each dominant model. Finally, conclusions are demonstrated with numerical examples. The results indicate that:(1) In the decentralized decision-making models, the dominance of E-supply chain contributes positively to the increase of dominant enterprise's profit. When manufacturer dominating system, the selling price, the service level of e-commerce platform, and the profits of manufacturer and E-supply chain system are higher, so do they increase with the increase of the commission rate. Nevertheless, the profit of the manufacturer decreases as commission rate increases. (2) In the centralized decision-making model, the selling price, the service level of the e-commerce platform and the profit of E-supply chain system are highest, besides, they are not affected by commission rate.
    The commission rate has nothing to do with system's revenue under the centralized decision-making model, but in the decentralized decision-making models, the profits of manufacturer and e-commerce platform changes in the opposite direction with the commission rate changes. Therefore, the article embraces commission rate as a coordination tool, and designs commission coordination mechanism to achieve the coordination of the system by resizing commission rate. In commission coordination mechanism, if ρ satisfies

    the commission coordination mechanism can achieve system coordination.
    The research results will further enrich and perfect the theoretical basis of E-supply chain, and provide reference guides for enterprises to make decisions. However, only E-supply chain structure of a single manufacturer and a single electrical platform are constructed as the research object. In future work, the "many-to-one" E-supply chain should be taken into consideration.
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    The Strategy of Online Channels Under Different Offline Channel Power Structures
    SUN Shu-xing, PU Xu-jin, HAN Guang-hua
    2019, 27 (5):  119-129.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.013
    Abstract ( 419 )   PDF (1056KB) ( 187 )   Save
    The matching relationship between the offline channel power structures and online channel distribution modes, and is investigated the effects of manufacturer's optimal online channel model under different offline channel power structures are explored, including offline vertical Nash equilibrium, manufacturer Stackelberg, and retailer Stackelberg game. The game theory approach is established to analyze supply chain members' optimal pricing decisions and profits in the online reselling and online agency selling distribution models, respectively. Then, the manufacturer's equilibrium profits and supply chain members' optimal prices are compared under different offline channel power structures. The findings show that:When the commission coefficient is intuitively lower, the manufacturer would choose agency selling model in three scenarios; while the commission coefficient is significantly larger, the manufacturer tends to choose reselling model in vertical Nash equilibrium case, but in manufacturer Stackelberg and retailer Stackelberg case, the manufacturer would choose agency selling model. When the manufacturer chooses reselling model, the offline wholesale price is the largest in manufacturer Stackelberg case, while online wholesale price is identical in three offline channel power structures. When the manufacturer chooses agency selling model, the retailer would set the largest offline sales price in manufacture Stackelberg situation, while in the case of vertical Nash equilibrium, the manufacturer would decide the largest online sales price. Our findings not only complement the literature on emerging online channel distribution but also provide several practical insights and guidelines on the coexistence of the online and brick-and-mortar channels.
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    Advance Selling Strategies of New Products and Old Products Considering Capacity Constraints
    GU Yan-hong, LUO Xin-xing
    2019, 27 (5):  130-139.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.014
    Abstract ( 320 )   PDF (1038KB) ( 147 )   Save
    As advance sale is more and more common in e-commerce, the types of advance sale goods are also expanded from the initial housing, books, air tickets, etc. to a wide range of products such as electronics, fashion, home appliances and fruits. Advance sale goods can be divided into two types:new products and old products. The new products refer to products that have never been released before. In order to know the market demand and prepare for the official sale, merchants often advance sell new products. The old products refer to those products that have been listed before and whose consumers have complete information about them. However, due to the long lead time in production and the insufficient supply of raw materials, the old products often go out of stock. In order to obtain funds in advance or reduce costs, the merchants adopt advance sale Back to the market. Facing with different types of advance sale products, consumers may have different buying behavior. How retailers adjust their advance sales strategy for maximum benefit is the main issue for this article. Researching angles on the type of product, the article divided the advance sale products into non-listed new products and the old products have been listed, consider the optimal advance sale strategies of products retailers who sell different types under the premise of the capacity constraints.Then by comparing the strategies of new products and old products,finally the conclusion is drawn by numerical experiment. The results show that the optimal presale strategy for new products depends on the normal sales price. The optimal presale strategy for old products is affected by the normal sales price and the consumers, and the former has more influence than the latter. The lower normal sales price or a larger proportion of high-valuation consumers increases the risk of out-of-stock purchases during the normal sales period, so retailers should adopt premium presale strategies,otherwise retailers should take discount presale strategies. In addition,by compare the optimal advance sale strategies of new products and old products, it shows that new products have more advantages than old products to take advance sale strategy,because new products can take the advantage of the uncertainty of the consumers' valuation.The research results have a certain reference value to the real retailers to formulate the advance sale strategy.
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    How Does Corruption Affect Environmental Pollution in China -Based on the Informal Economy Perspective
    YU Chang-lin
    2019, 27 (5):  140-148.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.015
    Abstract ( 480 )   PDF (867KB) ( 213 )   Save
    Since the reform and opening up, China's economy has achieved remarkable achievements in the world, but at the same time, China also faces the dual pressure of increasingly serious corruption and deteriorating environment, which has seriously affected the sustainable development of China's economy. Many studies have shown that the degree of corruption in a country has an important impact on environmental quality. But researches on the effect of corruption on environmental pollution usually ignore the influence of informal economy. The informal economy may affect the relationship between corruption and environmental pollution. Therefore, first of all, by constructing a theoretical model based on pollution of production sectors, the effect of corruption and the size of the informal economy on environmental pollution are studied theoretically. Secondly, by utilizing the provincial panel data from 1998 to 2016 in China, system GMM estimation method is used to empirically examine the effect of corruption, the size of the informal economy and the interaction between them on environmental pollution in China. The theoretical results show that on the one hand corruption decreases environmental pollution through reduction of formal economic activity; on the other hand, corruption increases environmental pollution through the expansion of informal economic activity. The empirical results show the total effect of corruption on environmental pollution in China is significantly negative and the effect of the interaction between corruption and the size of the informal economy on environmental pollution in China is significantly positive. In addition, it is confirmed that the effect of the informal economy on environmental pollution is significantly positive and corruption exacerbates the effect of the informal economy on environmental degradation. Overall, the effect of corruption on China's environmental pollution is positive and corruption has deteriorated China's environmental quality. The research helps us understand the mechanism of the influence of corruption and the informal economy on China's environmental pollution and it has important practical significance for China to maintain the coordinated development of economy, society and environment.
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    Study on Carbon Dioxide Emissions, Human Capital and Endogenous Economic Growth
    AN Chao, LEI Ming
    2019, 27 (5):  149-160.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.016
    Abstract ( 444 )   PDF (1500KB) ( 164 )   Save
    Based on endogenous growth model of human capital,carbon dioxide emissions are introduced into the model according to the relationship of energy and carbon dioxide emissions provided by IPCC, in addition, carbon dioxide is introduced into utility functionas the environmental quality. The optimal control theory is used to obtain the steady economic growth and the growth rate of carbon dioxide, and the conditions of achieving the double targets on economic growth and carbon dioxide emission reduction in the steady-state are analyzed. It is proved that human capital can overcome the decreasing marginal utility of physical capital and disutility of carbon dioxide emissions in order to achieve economic growth and carbon dioxide emission reduction. By comparing static analysis and parameter calibration, the changing trend of the growth rate in steady state is studied. The method of numerical simulation and phase diagram is used to examine the dynamic path and stability of system. Finally the constant quantity relation in steady state is simulated by parameter calibration method, proving the model conclusions.The inspiration of this paper includes three aspects:First, the consumption level of the whole society should be improved and the economic growth should be stimulated through consumption, rather than through saving investment; Second, the training of human capital should be strengthened and the overall quality of human capital should be improved, in order to make human capital become the new motive force and "new dividend" of China's economic growth; Third, the awareness of environmental protection and energy saving, as well as environmental legislation and environmental law enforcement should be strengthened.On the whole, the paper can help the researchers and the government to get the relationship of economic growth and carbon dioxide emissions and get the enlightenment that how to keep economic growth when reducing carbon dioxide emissions. Besides, the paper gives us a new perspective that we can research the relationship of economic growth and carbon dioxide emissions through endogenous economic model.
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    Study on Resource Allocation DEA Model Based on the Future Efficiency with Consideration of Efficiency & Equity: An Application in Distribution of Carbon Emission Rights in each Chinese Province
    WANG Ying, WANG Ying-ming
    2019, 27 (5):  161-173.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.017
    Abstract ( 453 )   PDF (1065KB) ( 183 )   Save
    It can provide a reference for formulating reasonable resource allocation scheme that assesses Input-Output efficiency and improving potential according to the manager's expected objectives. As a nonparametric approach, DEA-type approaches have several most obvious advantages relative to traditional parametric approaches-no specification of a specific parametric functional form is required, nor is specification of error structures, thus avoiding possible specification error. Another advantage is the ease with which technologies with multiple outputs and inputs. Furthermore, these technologies can be estimated even in the absence of prices or costs, which proves useful when we wish to model joint production with undesirable outputs and useful for analysis in environmental and natural resource applications. The existing literature has achieved fruitful results in the research of DEA model. However, shortcomings exist.
    Firstly, Most of the existing DEA models evaluate the efficiency of each Decision-Making Unit (DMU) and allocate resources according to the previous data. However, the optimal efficiency in the past does not represent the optimal efficiency in the future. According to the economic principle, the optimal resource allocation in the future period can only be realized according to the optimal efficiency of each DMU in the future period. According to the historical data, each DMU's technical growth rate of every period is calculated, and then each DMU technical growth rate of future is forecasted so that acquires the prospective efficient frontier.
    Secondly, each DMU's input-output efficiency is measured in DEA models by moving the actual input-output point of each DMU to a point on the production frontier; path improvement is merely movement of different points of the production frontier. However, in actual economic management, such assessment of the potential for efficiency improvement and resource allocation is limited; in the real economy, management often achieves some of the desired goals. Managers want to assess how much DMU's actual input-output space must be improved to meet the managers' expectations, as a basis for allocating resources. Goals pursued by managers are often complex and multi-purposed, not merely consisting of the pursuit of economic and technological optimization, but also considering social goals, such as social equity.
    On the basis of the DEA model proposed by Adler & Volta(2016), a DEA model of resource allocation is constructed based on future efficiency with consideration of fairness and efficiency. With nine rigid objectives constraints the proposed approach has three phases, which correspond to three soft objectives that are pursued lexicographically. The nine rigid objectives constraints are as following:constraints.
    values of the six rigid objectives and define the relative priority of these objectives, but also can set reasonable desired objectives according to the potential of energy saving and emission reduction assessed in every phase, thus forming various objective-oriented allocation scheme which considers to Efficiency and Equity.
    At last, the DEA model for empirical analysis is applied to allocate Carbon Emission Rights in each China's Province. Each province is regarded as a DMU. Each DMU's inputs and outputs are that inputs are labor, energy, fixed capital; desirable output are Gross Domestic Product (GDP); undesirable outputs are solid waste emissions, waste water and carbon emissions. Because some data are unavailable and the statistical caliber is nont consistent, 29 provinces are included in this study; the Tibet Autonomous Region, Hong Kong Special Administrative Region, Macao Special Administrative Region, and Taiwan Province are not included in the analysis, and the Sichuan Province and Chongqing City are merged into one province (Sichuan) before administrative division.In the empirical analysis, the proposed DEA method solves the problem of potential assessment and responsibility allocation of carbon emission reduction in China's provinces. On the one hand, the total amount of carbon emissions are reduced by 8% than the current emissions, on the other hand, the gap between per capita carbon emissions and reasonable per capita carbon emissions has narrowed, thus both the equity and efficiency are realized.
    In general, the DEA model of this paper has four characteristics. ① the DEA model allocates resources in the future period based on the future efficiency. ② the DEA model sets targets on the basis of potential evaluation, which makes the resource allocation scheme more feasible. ③ the DEA model assesses the efficiency and allocates the resource according to the expected goals, which include nine rigid objectives and three soft objectives. ④additional important feature of the DEA model is its flexibility, i.e., a different relative weight ukνsandμ#em/em# can be given to desirable output k, desirable output s and input #em/em#, so as to form new target formula Max:.
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    Research on Ship Navigation Risk assessment Method Based on HHM-RFRM
    LIU Jia-guo, CUI Jin, ZHOU Huan, WAN Zi-qian, CAO Jing
    2019, 27 (5):  174-183.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.018
    Abstract ( 389 )   PDF (2564KB) ( 242 )   Save
    With the development of the shipping market, domestic and international shipping accidents occur frequently which make the ship navigation risk management issues become increasingly prominent. The effective evaluation and comprehensive risk identification of the ship navigation can provide the scientific basis for the dynamic management and safe dispatching for the maritime departments and ship enterprises, and guarantee the safety of people's lives and property in the process of ship navigation. Previous scholars' researches are based on the construction of single risk factor index system for risk management focusing on the impact of individual risk factors on the overall systemic risk. However, the risk of ship navigation is generated by the interaction of various risk factors, and a single risk model can't fully explain the source of the risk. In view of this background, a multidimensional risk measurement model based on the ideas and methodologies of Hierarchical Holographic Modeling (HHM) and Risk Filtering, Ranking and Management Framework (RFRM) is built. In this paper, the method of HHM-RFRM is improved from the following three aspects:First, in terms of scenario recognition, the concept of multidimensional risk factors is presented, supposing that Vnm represents a risk scenario consisting of m risk factors and is numberedn. Vnm is called the m-dimensional risk scenario, and Nk represents the risk factor in the risk scenario Vnm. Second, in terms of risk qualitative assessment, the characteristics of each risk factor are qualitatively analyzed to help the decision maker to quantify the risk factors and overall risk of navigation from its ability to defeat the ship's navigational system, aiming at the complex characteristic of ship navigation risk. According to the theory of Matalas and Fiering, the characteristics of each risk factor can be further evaluated to provide the reference standard for quantitative assessment by reflecting its ability to defeat the system protection ability including three defensive features of resilience, robustness, and redundancy. Third, in terms of quantitative risk assessment, the degree of the risk scenario is quantitatively calculated from two dimensions of probability and consequence, introducing the multidimensional risk measurement model combined with Bayesian theorem. The assessment of multiple risk factors including environment, software, hardware, and management is integrated. The risk source of the interaction of the key risk factors can be reflected. In this paper, the HHM framework of ship navigation risk is constructed based on the analysis of the risk factors of ship navigation. Afterwards, the concept of multidimensional risk scenario is proposed, and each risk scenario is identified by HHM. Further, the RFRM method is combined with the Bayesian theorem to filter and grade the ship navigation risk situation qualitatively and quantitatively. Finally, the feasibility of the proposed method is verified by taking the cargo ship dealing with the commercial activities in Dalian Port as an example. A new perspective for the ship navigation risk management is provided in this paper.
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    Research on the Mechanism of KeyWords: Auctions with Advertisers' Competitive Investment
    YANG Qin, HUANG He, WANG Zong-jun
    2019, 27 (5):  184-195.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.019
    Abstract ( 360 )   PDF (1246KB) ( 104 )   Save
    Keyword auction has become one of the main profit-seeking means for search engine, due to its highly-directed and non-invasive forms of presentation. Meanwhile, promoting commercial advertisements brings advertisers with high returns. With the continuous innovation of search engine's business model, keyword auction mechanisms are increasingly focusing on the quality weight of the advertisers. Driven by the search engine's auction rules and advertisers' own interests, the advertisers are willing to invest in extensive market research or optimizing webpage design to improve their performance level in order to get a better ranking in search engine results page and attract more click.
    A theoretical model is developed to study advertisers' investment behavior and bidding strategies when advertisers' investment is introduced. Effort is defined as the various factors and resources invested by the advertisers, which is a continuous variable and endogenously determined. More specifically, advertisers can endogenously exert effort to improve their performance which is characterized by the capacity and the effect of advertisers and represented by the total hits. Obviously, this continuously changing effort will inevitably promote the clicks of advertisers, and bring time and financial costs.
    In this way, the optimal decision on effort depends on the tradeoff between the increase in revenue and the investment cost.In this paper, a two-stage model is established which consists of endogenous effort in the process of investment. Moreover, according to the different performance levels of all advertisers in the initial state (measured by the amount of clicks the advertiser received over a certain period), they are divided into two types:high type (H-type) and low type (L-type). The type of advertiser can be known by the advertiser itself and the search engine, but not known to other advertisers. This model can be described as follows. Firstly, search engine announces the ranking rules. Next, the endogenous effort is introduced to analyze the optimal effort strategy of advertisers in the investment stage. Then, the equilibrium bidding strategies of two types of advertisers are explored in bidding stage. Subsequently, based on the advertisers' investment and bidding, search engine selects the winning advertiser based on the auction rules. We consider first-price, sealed-bid unit-price auction in symmetric independent private value model where advertises and search engine are both risk-neutral and there is no reserve price involved.
    Using backward induction in game theory, advertisers' equilibrium bidding function is first derived in bidding stage, and then the equilibrium bidding function is plugged into investment stage to explore advertisers' investment behavior. The decision is examined on whether L-type advertisers are willing to change the type of advertiser through investment and the optimal effort decision of two types of advertisers. Moreover, how search engine's auction rules (quality weight of L-type advertisersω) affect the advertiser's effort on investment decision-making is under discussion.
    The main findings of this paper are as following. In bidding stage, equilibrium bidding strategy of the two types of advertisers is analyzed. First of all, advertisers' investment behavior and bidding decisions are independent of each other. Then, the equilibrium bidding functions of two types of advertisers are monotonously increasing in their own valuation. In investment stage, the results show that when exerting the initial minimum effort, the marginal cost is greater than the marginal benefit, then this cutoff value will be existent and unique. And in case one, the optimal effort of the potential advertisers is always larger than the H-type advertisers', while in case two, the optimal effort of the two types of advertisers tend to coincide with the increase of the value. Meanwhile, search engine's auction rules (quality weight of L-type advertisersω) will affect the advertiser's effort on investment decision-making:the greater the quality weight which the search engine given to L-type advertisers, the higher the cutoff value is. At the same time, the optimal effort of the potential advertisers and the H-type advertiser is reduced.
    Finally, the optimal effort of two types of advertisers and the influence of the auction rules on advertisers' optimal effort are analyzed by numerical examples. The number of advertisers and the probability that an advertiser is considered to be a high type are given. Let advertisers' valuation follows uniform distribution at[0,1]. The cost function and the click function with the effort are assumed respectively. The comparisons of the optimal effort of the two types of advertisers under two different situations is discussed under different parameter settings, and are illustrated by the diagram 1 and 2, which verifies the conclusions of Propositions 2 and 3. Meanwhile, under situation 2, different explicit values are set for quality weightω, and the impact of search engine auction rules on the cutoff-value v* for L-type advertisers and the optimal effort of H-type advertisers are examined separately and illustrated by the diagram 3, where the conclusions of Corollary 1, 2, and 3 are also verified.
    Our study is an important extension of keyword auction theory in the field of investment to promote theoretical advancement and provide practical reference. As the market of keyword adverting matures and becomes more standardized, search engine adopting a ranking mechanism which takes into account advertisers' endogenous effort exerted in the process of investment should be an important concert for promoting the virtuous circle of the keyword advertising industry.
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    The Innovation Decisions of Competitive Manufactures when Considering Channel Power and Spillover
    LI Wei, LI Kai
    2019, 27 (5):  196-207.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.020
    Abstract ( 438 )   PDF (1525KB) ( 267 )   Save
    With the emergence and development of large retailers, such as Walmart, Carrefour, the structures of channel power in supply chain have become more and more complicated. In some supply chains manufacturers have more channel power than retailers while in other supply chains retailers have more channel power than manufacturers. Also there are some supply chains in which manufacturers and retailers have almost equal channel power. An every obvious and important question emerging from this background:how will these different channel power structures effect the decisions in the supply chain? Thia is the main prolem considered in this paper. More specifically, the innovation decision is focused on which is a pretty important research topic in supply chain and studies the impacts of channel power and R&D spillover on innovation decisions of competitive manufactures, also on corresponding profits of supply chain. Firstly, Manufacturer Stackerlberg Model (MS), Vertical Nash Model (VN) and Retailer Stackerlberg Model (RS) are constructed to present three different channel power structures. And then the innovation decisions of competitive manufacturers is analyzed in these three different models. By comparing the decisions in these models, the impacts of channel power and R&D spillover on innovation decisions are obtained. The main findings are following:1) The level of innovation reduces with the increasing of retailer's channel power; 2) The impacts of R&D spillover on optimal innovation depend on the competition intensity between manufactures. More specifically, when the competition intensity between manufacturers is low, the optimal level of innovation increases with the retailer's channel power; when the competition intensity is high, the optimal level of innovation reduces with the retailer's channel power; when the competition intensity is medium, the optimal level of innovation first increases then reduces with the retailer's channel power. 3) The conclusions of 2) don't change under different channel power condition, but the critical values in conclusion 2) will change. 4) The impact of channel power on profits of supply chain depends on the competition intensity and R&D spillover. These conclusions have some inspiration for supply chain managers, especially under the background of increasing channel power of retailers.
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    Using the Harmony Scattered Search Algorithm to Select Riders in the Dynamic Ridesharing
    HOU Li-wen, LIU Si
    2019, 27 (5):  208-216.  doi: 10.16381/j.cnki.issn1003-207x.2019.05.021
    Abstract ( 363 )   PDF (1951KB) ( 109 )   Save
    Dynamic ridesharing (DR), as a new approach to help alleviate the traffic congestion and improve travel experience, has gained lots of attentions in recent years. However, how to smartly choose the suitable passengers from the numerous appliers so as to achieve as high service effectiveness and satisfaction as possible challenges the drivers. Apart from the reason that the participants' travel schedule and the number of seats constrain the matching of passengers and drivers, another important problem is the matching scale. In reality DR service often involves thousands of participants who are located randomly in a large road network. Consequently, to accomplish a match in a short time is a very time-consuming task. A multi-objective 0-1 programming model is built whose objective functions are to maximize passengers' utility and meantime to minimize the travel distance. Such consideration can care about the passengers' most interest but at lowest cost of drivers. The constraints of the model comprise the time limitation to passengers and drivers and driver's reserve utility. An intelligent algorithm which incorporates scattered algorithm into the harmony algorithm is developed to help solve the model because the scale of the model is beyond the capability of the traditional algorithms. Based on a 100*100 road network (more complicated than the real road network, actually), the simulation experiments are carried out twice according to the way of how to specify the passengers and driver's utility. The simulation result shows that the model is reasonable and the algorithm is feasible in terms of the derived Pareto solutions. Moreover, compared with the directly assigned utility value, the utility function is more effective to find the suitable the riders. Finally, the comparison with Tabu search algorithm shows that our algorithm outperforms the rival algorithm, which further indicates that our algorithm is effective and applicable to the reality.
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