Dynamic portfolio choice with uncertain rare‑events risk in stock and cryptocurrency markets

In response to the unprecedented uncertain rare events of the last decade,we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity,volatility diffusion ambiguity,and jump ambiguity occurring in the traditional stock market and the cryptocurrency market into a single framework.We reach the following conclusions in both markets:first,price diffusion and jump ambiguity mainly determine detection-error probability;second,optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity,and trivially affected by volatility diffusion ambiguity.In addition,investors tend to be more aggressive in a stable market than in a volatile one.Next,given a larger volatility jump size,investors tend to increase their portfolio during downward price jumps and decrease it during upward price jumps.Finally,the welfare loss caused by price diffusion ambiguity is more pronounced than that caused by jump ambiguity in an incomplete market.These findings enrich the extant literature on effects of ambiguity on the traditional stock market and the evolving cryptocurrency market.The results have implications for both investors and regulators.

Input Trade Liberalization and Welfare Loss of Manufacturing Enterprises:Based on the Perspective of Efficient Market Power

Considering that upstream monopoly will lead to an exponential increase in the loss of social welfare,this paper investigates the impact of intermediate goods tariff concession on the welfare loss of manufacturing enterprises from the perspective of input trade liberalization and effective market power.It has been discovered that input trade liberalization significantly reduces the welfare loss of manufacturing enterprises.Due to the game condition in which oligopolies check each other and small businesses“gain from fishing”,the inhibitory impact increases as market share decreases.The mechanism test demonstrates that input trade liberalization boosts the effect of technical competition and minimizes welfare loss through promoting market development degree and reducing factor distortion.In addition,this paper also finds that the effect of input trade liberalization on high monopolistic power enterprises is obviously stronger than that of low monopolistic power enterprises.Furthermore,the impact on non-high-tech industries and capital-intensive enterprises is significant,while that on high-tech industries and labor-intensive industries is not.Therefore,the welfare loss should be investigated from the dual perspective of market structure and marker power.Competitiveness has an important effect,while trade liberalization of intermediate inputs has a pivotal effect on promoting market development and improving resource allocation efficiency.

Effects of Proactive Fiscal Policy in the Context of Supply-Side Structural Reform:On the Choice of Anchors for Monetary Policy

By constructing a New Keynesian dynamic stochastic general equilibrium(DSGE)model that embeds structural fiscal policy and contains two types of households,labor intermediaries,manufacturers,the central bank,and fiscal departments,and based on China's macroeconomic controls that combine proactive fiscal policy with prudent monetary policy in the context of supply-side structural reform,this paper compares and analyzes the macroeconomic effects of the various types of proactive fiscal policy instruments,and measures the impact of the choice of anchors for monetary policy on the long-term welfare loss caused by the various fiscal policy instruments.This study finds that the consumption-oriented fiscal expenditure increase and labor income tax reduction policies have the most significant macroeconomic stimulus effects in the short term,but attention should be paid to the disadvantage that they may lead to the rise of government debt risks;and in the long term,the role of production-oriented fiscal expenditure policies in guaranteeing the stable operations of China's economy should be brought into play.In addition,once the implementation of proactive fiscal policy lasts for too long,their long-term effects may be weakened,with negative macroeconomic impacts.In order to mitigate the resulting long-term economic fluctuations and welfare loss,prudent monetary policy should be fine-tuned with price stability as the anchor.