With analysis of producer's and factor supplier's dual optimization motives,this paper developed an optimal nominal output growth rate model that can conduct quantified estimation.Result of estimation of China...With analysis of producer's and factor supplier's dual optimization motives,this paper developed an optimal nominal output growth rate model that can conduct quantified estimation.Result of estimation of China's optimal industrial structure between1992 and 2009 indicates that optimal nominal output growth rate model has successfully quantified the impact of major events occurring in the process of China's economic operation on the level of deviation between actual industrial structure and optimal industrial structure.Quantitative indicators involved in this model can provide industrial policy instruments for the Chinese government in developing and adjusting industrial structure targets,optimizing resource allocation and advancing industrial structure optimization and upgrade.展开更多
This paper proposes an assumption of quasi-variable discount rates to explain the excess volatility puzzle of stock market. Under the assumption, the ARMAX model is derived based on the CCAPM model and CRRA utility fu...This paper proposes an assumption of quasi-variable discount rates to explain the excess volatility puzzle of stock market. Under the assumption, the ARMAX model is derived based on the CCAPM model and CRRA utility function to describe the linear relationship between the discount rate and the consumption growth rate. We conducted empirical research on this model using historical data of the US stock market. The results confirm a significantly negative relationship between consumption growth rate and discount rate. Subsequently, the results of Monte Carlo simulation show that given the risk preference coefficient and dividend sequence, the rational expectations price fluctuation obtained under the assumption of quasivariable discount rate is the largest.展开更多
基金sponsored by major program of Human and Social Sciences Key Research Center under the Ministry of Education,Theory and Policy Research for the Development of China's Strategic Emerging Industries(Approval No.10JJD790013)National Social Sciences Fund major program"New Tendencies of World Industrial Development and China's Fostering of Strategic Emerging Industries"(Approval No.12&ZD068)major program of Liaoning Social Sciences Planning Fund Research on Strategies for Industrial Structure Optimization of Liaoning Province(Approval No.L10AJL004)
文摘With analysis of producer's and factor supplier's dual optimization motives,this paper developed an optimal nominal output growth rate model that can conduct quantified estimation.Result of estimation of China's optimal industrial structure between1992 and 2009 indicates that optimal nominal output growth rate model has successfully quantified the impact of major events occurring in the process of China's economic operation on the level of deviation between actual industrial structure and optimal industrial structure.Quantitative indicators involved in this model can provide industrial policy instruments for the Chinese government in developing and adjusting industrial structure targets,optimizing resource allocation and advancing industrial structure optimization and upgrade.
基金funded by National Natural Science Foundation of China under Grant Nos. 71320107003 and 71661137001.
文摘This paper proposes an assumption of quasi-variable discount rates to explain the excess volatility puzzle of stock market. Under the assumption, the ARMAX model is derived based on the CCAPM model and CRRA utility function to describe the linear relationship between the discount rate and the consumption growth rate. We conducted empirical research on this model using historical data of the US stock market. The results confirm a significantly negative relationship between consumption growth rate and discount rate. Subsequently, the results of Monte Carlo simulation show that given the risk preference coefficient and dividend sequence, the rational expectations price fluctuation obtained under the assumption of quasivariable discount rate is the largest.
