Applying ＂General to Specific＂ （GETS） modeling and using PcGets software, this paper studies the relationship between inflation, money supply, output gap, the exchange rate and crude oil prices in China. The empir...Applying ＂General to Specific＂ （GETS） modeling and using PcGets software, this paper studies the relationship between inflation, money supply, output gap, the exchange rate and crude oil prices in China. The empirical study supports the view that a long-term positive correlation exists between inflation and money supply. However, inflation is not an entirely ＂monetary phenomenon. ＂In addition to money supply, other variables also affect inflation. Similarly, there is significant correlation between output gap and inflation. In addition, we cannot overlook the impact of exchange rates on inflation.展开更多
This paper considered the problem of hedging a European call (put) option for a diffusion model where the asset price is influenced by n uncertain factors. The market is thus incomplete implying that perfect hedging i...This paper considered the problem of hedging a European call (put) option for a diffusion model where the asset price is influenced by n uncertain factors. The market is thus incomplete implying that perfect hedging is not possible. To derive a hedging strategy, it follows the approach based on the idea of hedging under a mean-variance criterion suggested by Schweizer. A very simple solution of this hedging problem by using the numeraire method was presented and some examples with explicit solutions were given.展开更多
文摘Applying ＂General to Specific＂ （GETS） modeling and using PcGets software, this paper studies the relationship between inflation, money supply, output gap, the exchange rate and crude oil prices in China. The empirical study supports the view that a long-term positive correlation exists between inflation and money supply. However, inflation is not an entirely ＂monetary phenomenon. ＂In addition to money supply, other variables also affect inflation. Similarly, there is significant correlation between output gap and inflation. In addition, we cannot overlook the impact of exchange rates on inflation.
基金National Natural Science Foundation ofChina( 10 1710 66) and Shanghai Key Project( 0 2 DJ14 0 63 )
文摘This paper considered the problem of hedging a European call (put) option for a diffusion model where the asset price is influenced by n uncertain factors. The market is thus incomplete implying that perfect hedging is not possible. To derive a hedging strategy, it follows the approach based on the idea of hedging under a mean-variance criterion suggested by Schweizer. A very simple solution of this hedging problem by using the numeraire method was presented and some examples with explicit solutions were given.
