We propose a model of project selection and design of managerial compensation contract that features adverse selection and moral hazard. Our model generates the rather intuitive result that the ex ante probability of a specific project being selected (or, equivalently, its manager being hired) is increasing in the type of the project/manager. Ex post, however, the most capable manager (i.e., the one with the highest type) is not necessarily the one who will be hired to run a project. Basically, when the managers’ types are not identically distributed, picking the most capable manager or selecting the most promising project may actually be inconsistent with the provision of optimal incentives to alleviate the inherent agency problems. Therefore, our model offers a rational explanation to the phenomenon that apparently more capable candidates are occasionally passed over in recruitment and job promotion situations. Our analysis also holds obvious implications for firms’ capital budgeting decisions. If the severity of the principal-agent conflict is sufficiently great (say, between the headquater and the divisional manager) and if the verification of the true project type (the NPV value) by the headquarter is sufficiently costly, we may well see instances where corporate headquarters rationally allocate scarce resources to a lower-NPV project ahead of a higher-NPV project.

Using a new statistical procedure suitable to test efficient market hypothesis in presence of volatility clustering, we find significant evidence against the weak form of efficient market hypothesis for both Shanghai and Shenzhen stock markets, although they have become more efficient at the later stage. We also find that Share A markets are more efficient than Share B markets, but there is no clear evidence on which stock market, Shanghai or Shenzhen, is more efficient. These findings are robust to volatility clustering, a key feature of high-frequency financial time series. They have important implications on predictability of stock returns and on efficacy of capital asset pricing and allocation in Chinese economy.

本文的目的是根据国际贸易中价格传递效应的理论(孙立坚等,2003a)，通过考察中、日、美三国间进出口价格的相互影响来检验是否存在所谓中国“通缩出口”的现象。为了使检验结果更具有统计意义上的稳健性(robustness)，论文除了保留自己前期研究方法上的特色以外(孙立坚、江彦,2003)，如：工具变量(IV)、一般矩(GMM)、ARIMA预测等，还根据结构变化检验(Chow Test)的结果，将上述的这些方法分阶段来运用，同时，又进一步利用体系转换模型(Regime Switching Model)来考察受货币政策影响的三种价格环境的制约作用。另外，对冲击反应函数(VMA)又做了因素确定的方差分解(Variance Decomposition)，从而使得价格传递效应的动态特征被揭示得更为明显和更为充分。 鉴于上述比较严密的实证方法，我们得到了两个重要的政策含义：首先，主张中国“通缩出口”论是基于传统的“支出转移效应”的宏观分析视角，但忽略了进出口企业的定价能力(PTM)等微观要素，所以，这种主张不符合数据反映的现实情况。其次，一国的货币政策可以通过稳定国内的物价环境来制约汇率和外国价格对本国价格的传递效应(Taylor’s rule)，这一点在美国表现得尤为突出。

作者从基层外汇管理的实际出发,对当前外汇进出口核销制度提出一些建设性意见,以期改进外汇核销方式,提高外汇核销效率,支持外向型经济发展。

中国上市公司存在着强烈的增长冲动。公司可以利用盈利水平来发送自身质量的信号，以获得更多的再融资支持未来的增长，但这要以牺牲现期增长水平为代价。当证监会决定未达到强制性业绩标准的公司不允许再融资时，一些低质量公司为获得再融资不得不牺牲现期的增长水平以追求达到再融资标准的盈利水平，这是“10％”、“6％”现象产生的原因。如果考虑到公司可能操纵业绩，公司将比较作假成本、牺牲增长水平的成本和获得再融资的收益以决定是否和怎样达到再融资标准，“10％”、“6％”现象依然存在；此时，一些质量很低和很高的公司将会达到再融资标准，而质量处于中间层的公司将不会达到再融资标准。

This paper reports the effort of using agent-based mix-game model to predict financial time series. It introduces simple generic algorithm into the prediction methodology, and gives an example of its application to forecasting Shanghai Index. The results show that this prediction methodology is effective and agent-based mix-game model is a potential good model to predict time series of financial markets.

“最高综合授信额度是指商业银行在对单一法人客户的风险和财务状况进行综合评估的基础上，确定的能够和愿意承担的风险总量。”目前，国内银行业在对客户进行最高综合授信额度核定时，是以客户的偿债能力为信用风险分析评估核心，再辅之其他分析评估技术。

This paper investigates a two-factor affine model for the credit spreads on corporate bonds. The Þrst factor can be interpreted as the level of the spread, and the second factor is the volatility of the spread. The riskless interest rate is modeled using a standard two-factor affine model, thus leading to a four-factor model for corporate yields. This approach allows us to model the volatility of corporate credit spreads as stochastic, and also allows us to capture higher moments of credit spreads. We use an extended Kalman Þlter approach to estimate our model on corporate bond prices for 108 Þrms. The model is found to be successful at Þtting actual corporate bond credit spreads, resulting in a signiÞcantly lower root mean square error (RMSE) than a standard alternative model in both in-sample and out-of-sample analyses. In addition,key properties of actual credit spreads are better captured by the model.

2006年中国股市将处于熊市的最后挣扎阶段，下半年至年底是投资大机会来临的时候，由于市场利益各方无法达成共识，市场中也不可能出现一呼百应的投资理念，因此，市场信心的恢复和牛市的出现要到2007年初。

运用严格的比较制度分析方法，在非正式制度贡献份额较重的中国公共事务协调文化中，评价中国金融监管体制转换效率，我们发现，银监分立将带来巨大的制度转换成本和协调成本。在现行中国银监会监管格局下，提高中国金融监管效率的优选策略是，通过提高监管独立性和权威性，通过松弛外部约束条件，以及通过赋予央行“紧急磋商”权力等措施，实现制度运行成本最小化。