Motivated by the behavior of asset prices, trading volume, and price volatility during episodes of asset price bubbles, we present a continuous-time equilibrium model in which overconfidence generates disagreements among agents regarding asset fundamentals. With shortsale constraints, an asset buyer acquires an option to sell the asset to other agents when those agents have more optimistic beliefs. As in a paper by Harrison and Kreps, agents pay prices that exceed their own valuation of future dividends because they believe that in the future they will find a buyer willing to pay even more. This causes a significant bubble component in asset prices even when small differences of beliefs are sufficient to generate a trade. In equilibrium, bubbles are accompanied by large trading volume and high price volatility. Our analysis shows that while Tobin’s tax can substantially reduce speculative trading when transaction costs are small, it has only a limited impact on the size of the bubble or on price volatility.

传统的存贷利差就是贷款利率和存款利率之间的差额。本文利用金融工程学的基本原理提出了银行资产负债业务中隐含着期权的全新观点，因此银行的真实利差并不等于存贷款利率差额，还要考虑银行所承担的期权成本以及违约风险。文章对银行资产负债业务中隐含期权进行了分解，分析其隐含期权的特征以及各个因素对期权执行可能性的影响。接着通过两种方法――无套利分析和数值计算法对隐含期权进行了定价，并进行了期权价格对各个因素的敏感性分析，得出了许多具有重要创新意义的结论。分解之后可以发现银行的真实利差明显偏低，贷款动力明显不足。 The traditional saving-loan interest rate spread is just the spread between the loan rate and saving rate. By the methods of financial engineering, this paper points out that the basic asset and liability of bank includes some options which are sent to the customers for free by the bank. Then the real interest rate spread is not just the saving-loan rate spread, the options cost should be also considered. This paper decomposes the implied options in the asset and liability operations of bank, analyzes their characters and the impact of different factors on the execution possibility of option. Two methods, no arbitrage analysis and numerical methods are used to price the implied options and the sensitivity test of option price on different factors is given out. By these, many constructive conclusions are drawn out.

In this paper, the author observes a stationary transaction volume distribution over a trading price range in intraday transactions on individual stocks by studying relationship between the volume and price of transaction through amount of transaction in stock market. The transaction or accumulated trading volume gradually emerges kurtosis near the price mean value over a price range when it takes a longer trading time, regardless of actual price fluctuation path, time series, or total transaction volume in the time interval. The volume/price behaves a probability wave toward an equilibrium price, driven by a restoring force that can be represented by a linear potential. In terms of physics, the author derives a time-independent transaction volume/price probability wave equation and gets two sets of analytical transaction volume distribution eigenfunctions over a price range when supply or demand quantity varies. By fitting and testing the functions with intraday real transaction volume distribution over a price range on a considerable number of individual stocks in Shanghai 180 Index, the author shows the existence of relative equilibrium in stock market and demonstrates the model validation at this early stage. It concludes that either General Equilibrium Theory or Price Random Walk Hypothesis is an extreme conditional case in the probability wave model. Thus, the author attempts to offer a unified micro and dynamic probability wave theory on transaction volume/price in financial market. 本文作者通过成交金额研究股票市场中的成交量与价格之间关系时，观察到每只股票全天的成交量（即累计交易量）在交易价格区间有一种平稳的分布关系。随着交易时间的延长，累计交易量在交易价格区间逐渐显现出在成交价格均值附近峰化的分布特征。这一特征与体系在此间交易价格涨落的路径、时间序列或总成交量的大小无关。成交量价的运动表现为能够用线性势表示的中心力的作用下，围绕体系某一均衡价格运动的几率波。由此，作者用物理的方法推导出不显含时间变量的证券成交量价的波动方程并且得到当供求关系变化时，两组解析的成交量随价格变化的分布函数。用该函数与上证180指数中一些股票在全天真实的成交量随价格的分布进行拟合和检验，作者初步证明了在股票市场中存在相对均衡并且验证了该模型的有效性。其结论是：无论一般均衡理论还是价格波动的随机游走假说都是几率波模型在极端条件下的一个特例。这样，作者试图提出一个适用于描述金融市场中统一、微观和动态的成交量价几率波理论。

内容提要: 本文针对近年来我国房地产市场价格持续攀升但市场需求不降反升、银行信贷资金迅速向房地产业集中以及房地产市场发展与经济增长的作用等问题，以全国和各省、市、自治区的面板数据，进行了实证分析。分析结果显示，我国房地产市场供给约束问题非常严重，尤其是考虑到居民收入增长因素后，房地产市场的供求矛盾十分突出；银行房地产开发贷款和个人住房贷款强有力地支撑了房地产市场的供求；房地产市场的发展也拉动了经济的增长，但这一作用没有我们想象的大。因此，目前我国针对房地产市场的宏观调控和各项监管措施，都应该从供求两方面出发，在金融等政策上要保持连续性，并加强制度建设，更好地发挥市场机制的作用。 Abstract: Recent years, with the rising price, the housing demands also rise quickly, which is strange to the common sense of economics. In addition, the relationship between banking sector and housing industry has become more and close, and the growth of housing industry pull the economic growth dramatically. Based on the panel data of the nation and provinces, we try an empirical study on the topics above. The empirical results show that at least in the nowadays China’s market, one of the most sever problem in the real estate market is the constraints of the housing supply compared to the demand if we consider the effects of the resid ents’income growth. Bank loans are maybe the most effective factor pulling the housing industry growth, both on the supply side and the demand. To our surprise, the effect of housing consumption on the economic growth is less than we have assumed, considering the cyclical changes of the economy. . So we draw the followed policy implications in the further macroeconomic managements: we must take the measures directly to both the supply and the demand sides, keep the policies’ continuity, strengthen the institutional progress and make the market mechanism more effective.

College Students’ credit in loan has become the focus of the authority of universities and commercial banks. It is therefore very imperative to establish the appraisal system on the credit of college students and it is pretty important and urgent for the business growth, decrease of risks. In the light of experience of developed countries in college students’ loan and personal consumption loan, the paper aims to design an appraisal system that fits China’s situation well

摘要：作者对实际使用的对冲模型提出研究，在本文中建立了一个在指数.指数期货.指数期权上的进行无套利对冲的前沿模型，揭开了对冲基金使用数量模型神秘的面纱。通过比较从市场指数和指数期货中估计得出的风险中性密度函数与从隐含在指数期权市场的风险中性密度函数，发现对冲机会，设计对冲交易策略。我们这里采用的估计方法为非参数方法,是对BS模型的拓展。 Abstract: In this paper, the authors make a research on the field of hedge model, after the investigation of some hedge funds in U.S. ,we establish a frontier no-arbitrage hedge model for index.index futures and index options. We compare the risk neutral density estimated from cross section of index market to the risk neutral density inferred from the time series of index and index future markets. The methods we used are nonparametric method and hypothesis test. We can find the arbitrage opportunity and design the hedge trading strategy.

It is a striking economic phenomenon that China’s foreign exchange reserves reached $US 606.9 billion. This paper pursues to explore the underlying motivations and implications by not only analyzing the complicated relationships between the Chinese economy and foreign exchange reserves but also establishing a tentative model to evaluate the adequacy of foreign exchange reserve holdings. The model has successfully confirmed that China’s recent holdings of foreign exchange reserve, in particular in 2004, appeared to exceed the adequate level largely due to speculative hot money inflows when the Chinese currency Renminbi had been expected to appreciate.

内容摘要：养老基金、公益基金是典型的风险厌恶者，需要刚性规则进行限制和管理风险，同时需要追踪和匹配适当负债。作者综述资产负债匹配的一般模型以及最新模型，并发展CVAR限制下组合优化模型，研究养老基金和公益基金的动态资产配置。 关键词： 养老基金 公益基金 资产配置 ABSTRACT: As typical risk-aversion，we need rigid rules to restrict and manage risks of pension funds，public welfare funds meanwhile tracking and matching equity, this paper develops the asset-liability matching models of pension funds，public welfare funds using CVAR constrains and indexation method ,furthermore to achieve dynamic equity matching.

Financial market is a typical complex system because it is an open trading system and behaved by a variety of interacting agents. The consequence of the interaction appears quite complex and nonlinear. Therefore, how to observe this system and find a simplified methodology to describe it is, probably, a key to understand and solve the problem. In this paper, the author observes a stationary transaction volume distribution over a trading price range, studied the relationship between the volume and price of transaction through the amount of it in stock market. The probability of accumulated trading volume (i.e. actual supply/demand quantity or transaction volume) that distributes over a trading price range gradually emerges kurtosis near a transaction price mean value in a transaction body system when it takes a longer trading time, regardless of actual trading price fluctuation path, time series, or total transaction volume in the time interval. The volume and price behaves a probability wave toward an equilibrium price, driven by an actual supply/demand quantity restoring or regressive force that can be represented by a linear potential (an autoregressive item in mathematics). In terms of physics, the author derives a time-independent security transaction probability wave differential equation and obtains an explicit transaction volume distribution function over the price, the distribution of absolute zero-order Bessel eigenfunctions, in a stable transaction body system when its supply and demand quantity is dynamic. By fitting and testing the function with intraday real transaction volume distributions over the price on a considerable number of individual stocks in Shanghai 180 Index, the author demonstrates its validation at this early stage, and attempts to offer a micro and dynamic transaction volume/price (actual supply/demand quantity and price) probability wave theory.

内容摘要：中国经济发展的重要目标之一就是保持国民经济快速平稳增长，实现这一目标必然要求从战略高度审视经济波动问题，把提高经济增长质量作为经济社会发展的基本优先目标。本文通过构建基于要素投入、货币供应与中国经济波动的AKM模型，采用1953-2004年样本序列数据，运用向量自回归模型（VAR）、脉冲响应函数（IRF）以及Granger Causality Test，实证检验了资本投入、技术进步、货币供应波动与经济波动之间的相互关系。实证结果表明：资本投入波动是经济增长波动的主因，货币供应量波动次之，技术进步引致的经济波动则更为平缓和持久。在较短的时期内，资本存量和货币供应波动更容易引致宏观经济波动，且波幅较大，而技术冲击则从更长的时期内对宏观经济波动产生影响。此外，我国技术进步并不内生于经济增长以及货币供应非中性的推论也值得重视。最后，文章就如何实现我国经济平稳增长提出了简要的政策建议。 Abstract: One of the most important objectives of Chinese economic develoment is to keep GDP growing fastly and stably. Realizing this objective, We must survey the problem of economic fluctuation from a strategic view and treat it as the basic and prior goal of economic and social development. Through formating AKM model and appling VAR IRF and Granger Causality Test with 1953-2004 data, this paper finds:the main reason of economic fuctuation is capital input and money supply follows. In a short term, the fluctuation caused by capital input and money supply is more easier and stronger, while technology impulse always causes macroeconomic fluctuation softly and durable in a long term. Otherwise we should also pay attention to the non-neutrality character of money supply and the non-endogenesis of technology progress . Finally this paper raises some brief countermesures.