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美国金融危机根源研究述评
金融危机 虚拟经济 经济结构失衡 经济自由化
2012/9/3
本文对导致金融危机发生的"公允价值计量论"、"道义垮塌论"、"虚拟经济过度论"、"经济结构失衡论"、"经济过度自由化论"以及"(美国)政府责任论"等观点进行了系统梳理和分析,并将这些观点整理成为一个逻辑的体系,认为根除类似危机应从平衡经济结构、防止经济过度自由化和有效监管着手,并再次对经济过度虚拟化进行了警示。
宋玉华，女，1944年5月出生，现为浙江大学经济学院教授，博士生导师，浙江大学国际商务研究所所长，中国世界经济学会副会长，中国美国经济学会副会长，美国富布赖特访问学者。主要研究领域为世界经济理论、美国经济、区域经济一体化理论与实践等。领域 :1、世界经济理论，美国经济 2、国家贸易理论与政策 3、区域经济一体化。
上海复旦大学世界经济研究所博士生导师甘当善教授（图）
复旦大学世界经济研究所 教授 博士生导师 货币银行 美国经济
2011/3/7
甘当善，男，1940年8月生，现为复旦大学世界经济研究所教授、博士生导师。主要研究货币银行，美国经济。主要著作《欧洲中央银行》、《美国垄断财团》、《转折时期的香港经济》，还发表了有关金融，美国经济，世界经济方面的论文百余篇。
A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
statistical dependency structure marginal distributions New York Stock Exchange's TAQ database
2011/3/23
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-ba...
后危机时代美国非传统货币政策的退出机制
非常规货币政策 退出策略 产负债表
2012/9/3
2008年次贷危机爆发后,各国为应对迅速恶化的经济和金融状况,纷纷开始实行非传统的货币政策来刺激经济,向金融市场的私人部门和金融机构注入大量的流动性。在美国经济缓慢复苏的同时,大量流动性引发了人们对通货膨胀的担忧。在这种情况下研究非传统货币政策是否应该退出、如何退出,就对经济发展起到至关重要的作用,成为美联储的当务之急。
The US stock market leads the Federal funds rate and Treasury bond yields
time series the stock market FFR
2011/3/23
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the the...
Economists have long been interested in the origins of inequality between individuals and between groups. Richard Ely, the founder ofthe American Economic Association and the person honored by these l...
美国学派与美国的工业化
美国学派 经济意识形态 工业化 新自由主义
2012/9/4
在19世纪的美国工业化中，由学术圈之外的政治家和新闻工作者等创立的一套自封为“美国学派”的经济学说，作为美国经济政策制定的意识形态在美国崛起为全球工业化强国的过程中发挥着重大的指导作用。这种经济意识形态是民族主义的，强调内需和保护国内市场，以技术创新和资本生产率的提高作为立国之本，通过城乡协调发展和“内部改善”等措施推动经济发展，因而造就了美国工业化的成功经验。但是，在美国工业化过程中，这种经济意...
In April 2009, we introduced a model representing the evolution of motor fuel price (a subcategory of the consumer price index of transportation) relative to the overall CPI as a linear function of ti...
The past five decades have seen tremendous changes in inflation dynamics in the United States. Some of the changes arguably stem from transformations in the U.S. economy. Energy is a smaller share of ...
On a free boundary problem for an American put option under the CEV process
free boundary problem American option CEV process
2010/10/21
We consider an American put option under the CEV process. This corresponds to a free boundary problem for a PDE. We show that this free bondary satisfies a nonlinear integral equation, and analyze it ...
American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
American Options Pricing Stochastic Volatility
2010/10/21
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem ...
This paper examines the valuation of a generalized American-style option known as a Game-style call option in an infinite time horizon setting. The specifications of this contract allow the writer to ...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Error Estimates Multinomial Approximations American Options Merton's Model
2010/10/19
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type c...
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Shortfall Risk Approximations American Options multidimensional Black--Scholes Model
2010/10/19
We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar Ame...