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日前，北京大学深圳研究生院副院长、北京大学汇丰商学院院长王鹏飞教授的合作论文“Asset Bubbles and Foreign Interest Rate Shocks”（《 资产泡沫和外国利率冲击》）正式发表于SSCI期刊Review of Economic Dynamics （2022年第44卷，315-348页）。论文合作者为波士顿大学苗建军教授和复旦大学周晶博士。
当家庭和其他投资者面临不完备金融市场和个体性冲击时，他们该如何调整消费、投资以及改变在不同种类的金融资产上的头寸呢？新古典宏观模型假设金融市场是完备的，因而无法对这个问题提供答案。但这个问题对于个体家庭决策具有重要的现实意义，同时对于公共保险政策、相关的税收调节政策等也有较强的参考价值。
Financial crisis and the relative productivity dynamics of the biotechnology industry:Evidence from the Asia-Pacific countries
Asia-Pacific biotechnology catch-up generalized metafrontier Malmquist productivity index
2017/2/21
The dynamics of the corporate-level performance growth can reflect the pattern of the firms’ reaction at the financial crisis moment. We employed the generalized metafrontier Malmquist productivity in...
Macroeconomic Dynamics Near the ZLB:A Tale of Two Countries
DSGE Models Government Spending Multiplier Japan Multiple Equilibria Nonlinear Filtering Nonlinear Solution Methods Sunspots
2015/9/18
We propose and solve a small-scale New-Keynesian model with Markov sunspotshocks that move the economy between a targeted-inflation regime and a deflationregime and fit it to data from the U.S. and Ja...
Business dynamism plays an important role in job creation and productivity
growth in the United States. Business start-ups are an important contributor to
that dynamism. Start-ups contribute disprop...
Aggregate Dynamics and Staggered Contracts.
Comments on ‘Microeconomic Rigidities and Aggregate Price Dynamics’ by Ricardo Caballero and Eduardo Engle
Microeconomic Rigidities Aggregate Price Dynamics
2015/8/4
Comments on ‘Microeconomic Rigidities and Aggregate Price Dynamics’ by Ricardo Caballero and Eduardo Engle.
The first scientific exploration of the Antarctic dates to the end of the seventeenth century, when Sir Edmund Halley ventured just south of the Polar Front (about 60°S). During the following century,...
On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree
ultrametricity minimum spanning tree liquidity Jakarta Stock Exchange
2015/7/31
We analyze the evolving price °uctuations by using ultrametric distance of minimally spanning ˉnancial tree of stocks traded in Jakarta Stock Exchange 2000-2004. Ultrametricity is derived from transfo...
A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
erm structure dynamics macroeconomic
2015/7/23
We describe the joint dynamics of bond yields and macroeconomic variables in a Vector
Autoregression, where identifying restrictions are based on the absence of arbitrage. Using a
term structure mod...
Recent theoretical work has shown the importance of measuring microeconomic uncertainty for models of both general and partial equilibrium under imperfect insurance.
In this paper the assumption of i...
Disability Insurance and the Dynamics of the Incentive-Insurance Tradeo§
disability social security savings behavior
2015/7/23
We provide a lifecycle framework for comparing the insurance value and the incentive cost of disability beneÖts. We estimate the risks that individuals face and the
parameters governing the disa...
Studies in Nonlinear Dynamics & Econometrics.
A Theory of Bidding Dynamics and Deadlines in Online Retail
Online Retail Bidding Dynamics
2015/7/21
We present an equilibrium search model that parsimoniously rationalizes several
de ning patterns of online markets for new goods. We model buyers in these markets as having a deadline by which the go...
Commitment, Coercion, and Markets: The Nature and Dynamics of Institutions Supporting Exchange
Institutions Supporting Markets
2015/7/20
This chapter’s discussion of market-supporting institutions is geared toward
the issues we know the least about. First, the dynamics of market-supporting
institutions and the implied dynamics of mar...