ANTICIPATED BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS WITH JUMPS AND APPLICATIONS TO DYNAMIC RISK MEASURES

In this paper, we focus on anticipated backward stochastic Volterra integral equations(ABSVIEs) with jumps. We solve the problem of the well-posedness of so-called M-solutions to this class of equation, and analytically derive a comparison theorem for them and for the continuous equilibrium consumption process. These continuous equilibrium consumption processes can be described by the solutions to this class of ABSVIE with jumps.Motivated by this, a class of dynamic risk measures induced by ABSVIEs with jumps are discussed.

A new mixed scheme based on variation of constants for Sobolev equation with nonlinear convection term

A new mixed scheme which combines the variation of constants and the H1-Galerkin mixed finite element method is constructed for nonlinear Sobolev equation with nonlinear con- vection term. Optimal error estimates are derived for both semidiscrete and fully discrete schemes. Finally, some numerical results are given to confirm the theoretical analysis of the proposed method.

Researches on the Issue of High IPO Underpricing

Ever since the establishment of C hina's A- share market,whether in the bull or bear market,the IPO price almost surges on the first trading day,though the stock price fluctuates randomly. This phenomenon obviously contradicts Efficient M arket Hypothesis,indicating that IPO underpricing in C hina is severe. This paper investigates the causes for IPO underpricing and probes into the countermeasures for the phenomenon from several aspects such as government's regulation,capital markets,IPO bookbuilding mechanism and pricing mechanism,etc. The severe IPO underpricing is likely to cause massive speculation of newshares in the secondary market and increase volatility. Therefore,it is of great significance to make researches on the issue of high underpricing so as to ensure the sound development of the stock market.

A Study of Coordinating China's Two-Pillar Regulatory Policy under the Shock of the Fed's Interest Rate Hike-From the Perspective of"Stable Growth"and"Risk Prevention"

Domestic asset price fluctuations triggered by the impact of the Fed's interest rate hike may lead to a spiral of mutual feedback between fluctuations in real economy and systematic risks of the financial sector.By constructing a DSGE model of small-scale open economy including cross-border capital flows and supply-demand financial frictions,this paper describes the negative feedback mechanism formed by the interplay between domestic real-economy fluctuations and financial risks on both supply and demand sides under the impact of Fed's interest rate hike,and studies how to coordinate monetary policy and macroprudential policies under the goals of maintaining stable growth and preventing risks.

中国能源利用效率β收敛性的区域研究

在生产理论框架下,构建投入导向、规模报酬不变的超效率DEA模型,利用全国30个省市(不含西藏)2000—2014年数据测度出我国八大经济区域的全要素能源效率,并建立收敛回归模型对八大区域能源利用效率进行β收敛检验。分析发现:我国能源利用效率呈现出"一降两波动一稳、总体上升"的态势,且存在绝对β收敛和条件β收敛。分地区来看,黄河中游地区、长江中游地区和西南地区通过绝对β收敛检验,且收敛速度高出全国水平;北部沿海地区各省市能源利用效率差异在增加。对条件β收敛而言,除南部沿海地区在产业结构作用下和西北地区在技术进步作用下条件β收敛系数不显著,其他各区域在技术进步、产业结构和对外开放程度的作用下均存在条件β收敛。

Modeling Default Dependence with the Mixture of Calendar Time and Business Time

Evaluating default correlation between securities in a portfolio is very important for credit derivatives pricing and risk management. Under the framework of the structural model proposed by Black and Cox, we assume that the asset values of companies are driven by Brownian motions in the worlds of the calendar time and the business time; they then could evolve continuously or by leap. We build the dynamic default correlations using the time-varying correlated Brownian motions in these processes. The sensitivity of default correlations to the key parameters is explored in the paper by numerical examples, and we apply the model to risk management as well. Because default times are unpredictable in the proposed model, the defaults might occur suddenly. Independent defaults and complete correlated defaults can be described in the model as well.

Accruals quality,underwriter reputation,and corporate bond underpricing:Evidence from China

This study examines the relationship between accruals quality and the underpricing of corporate bonds in China and how underwriter reputation affects this relationship.We?nd that(1)accruals quality is negatively associated with the magnitude of bond underpricing and(2)the impact of low accruals quality on underpricing is partially offset by hiring reputable underwriters.A path analysis shows that approximately 11% of the effect of accruals quality on underpricing is attributable to the indirect path through reputable underwriters,suggesting that accruals quality is more effective than reputable underwriters in lowering bond underpricing.These?ndings are signi?cant for initial bond offerings,but not for secondary bond offerings.We also?nd that low accruals quality is associated with more restrictive non-price contract terms such as greater collateral requirements and stricter covenants.

Firm Characteristics and Chinese Stocks

This paper presents a comprehensive study on predicting the cross section of Chinese stock market returns with a large panel of 75 individual firm characteristics.We use not only the traditional Fama-MacBeth regression,but also the"big-data"econometric methods:principal component analysis(PCA),partial least squares(PLS),and forecast combination to extract information from all the 75 firm characteristics.These characteristics are important return predictors,with statistical and economic significance.Furthermore,firm characteristics that are related to trading frictions,momentum,and profitability are the most effective predictors of future stock returns in the Chinese stock market.

Real Estate Tax Reform,Economic Growth and Financial Stability

By constructing a multi-sector DSGE model embedded with tax wedge, housing mortgage fi nancing constraints and bank supervision constraints, this paper investigates the long-term impact of two types of real estate tax policies on economic growth and fi nancial stability, which are the unifi ed tax base assessment ratio and differential tax base assessment ratio for two major housing owners (household and enterprises). It also compares and analyzes the short-term impact of the above two types of real estate tax reform schemes on economic fl uctuations and fi nancial risks under the background of potential fi nancial risks facing China’s economy. The results show that: in the long run, the real estate tax will help economic growth, boost household consumption, and effectively suppress the excessive increase in household leverage and asset bubble risk through the “suppression effect” of housing prices and the “redistribution effect” on housing. In the short run, the real estate tax will not intensify the impact of systemic fi nancial risks, so it will not have an adverse impact on the maintenance of fi nancial stability. Different real estate tax policies have different impact on economic growth and fi nancial stability. Compared with the real estate tax with unifi ed tax base assessment ratio, the real estate tax with differential tax base assessment ratio is better for the coordinated development of financial activities and the real economy in the long term and play a stronger role in economic growth, which contributes to the unity of “stable growth”, “risk prevention” and “reform”.

Do Free Trade Zones Improve Air Quality?

As a new window of opening up to the outside world in the new era,the establishment of Free Trade Zones(FTZs)in China is an important national strategy for promoting high-quality economic development wherein the prevention and control of pollution is an important hurdle to be surmounted throughout the process.Based on data taken from model cities for environmental protection in China from 2008 to 2017,given the effect of policy spillover,this study considers the establishment of FTZs to be a"quasinatural experiment."It uses the general analysis paradigm of spatial difference-indifference(DID)to systematically examine the impact of FTZs on air pollution as well as to conduct an in-depth analysis of their spatial heterogeneity and mechanism of action.The study shows that the establishmentofFTZs significantlyreduces the concentration of air pollutants in cities.If the spatial DID method is adopted to measure the policy spillover effect of the establishment of free trade zones,urban air pollutants declines by 12%to 17%,while the estimated result using the traditional DID method is only 7%.The establishment of FTZs significantly alleviates air pollution in neighboring non-pilot cities as well.Based on the range of the spillover effect from the center of the FTZ,it is found that the average spatial spillover effect presents as an inverted"U"curve as the research radius increases,with an optimal policy spillover effect radius of about 200km,while the policy spillover effect between pilot cities remains poor.The establishment of an FTZ not only improves the local atmospheric environment by promoting industrial structure optimization and green technology innovation in pilot cities but also generates a spillover effect on neighboring non-pilot cities through the same mechanism,thus contributing to improving the atmospheric environment in those non-pilot cities.These findings remain valid following a series of robustness tests such as the spatial parallel trend test and the placebo test.This study offers an answer to the key question of whether free trade zone policy can truly promote high-quality economic development in the new era.It provides useful policy insights for further expanding opening up,winning the battle for the prevention and control of pollution,and promoting the high-quality development of China's economy.