本文运用西方经济学的供需理论，分析了中国金融制度变迁的需求、供给以及均衡特点，由此得出中国金融制度变迁得轨迹是国家效用函数和政治银行家的个人效用函数的统一。

事件研究是一种重要的研究方法，通过对事件发生前后一段时间内股票价格变化的研究，既可以估计某一特定事件的影响程度，也可以检验市场的有效性程度。本文采用“事件研究”方法来研究宏观政策对上海股市的影响和上海股市的有效性，得出结论：政策对上海股市短期内股价走势有显著影响，上海股市尚未达到半强式有效。

We investigate how the market for corporate control (external governance) and shareholder activism (internal governance) interact. Looking at equity prices from 1990 to 2001, we find that these mechanisms are strong complements. A portfolio that buys firms with the highest level of takeover vulnerability and shorts firms with the lowest level of takeover vulnerability generates an annualized abnormal return of 10 - 15% only when public pension fund (blockholder) ownership is high as well. A similar portfolio created to mimic the importance of internal governance generates annualized abnormal returns of 8%, though only in the presence of ‘high’ vulnerability to takeovers. Further, we show that the complementary relation exists for firms with lower industry-adjusted leverage and is stronger for smaller firms. The complementary relation is confirmed using accounting measures of profitability. Using data on acquisitions, firm level Q’s and accounting performance, we explore possible interpretations, providing preliminary evidence for a risk effect as well.

本文应用模型EGARCH(1,1)-GED和GARCH(1,1)-N计算了深圳股票市场成份指数的日对数回报VaR值，通过后验测试和统计分析表明，对深圳成份指数的波动性分析，模型EGARCH(1,1)-GED优于GARCH(1,1)-N。在此分析结果的基础上，文中进一步分析了深圳股票市场的系统性风险并提出了相关结论与政策建议。

本文用购买力平价、外汇的影子价格和因素回归三种不同的方法，估计了人民币和美元的均衡汇率。购买力平价和因素回归两种方法估计的人民币均衡汇率，有相似之处。它们的估计结果都表明，1985年以前人民币汇率存在长期高估的现象，1985年以后则出现高估和低估交替出现的现象，并且人民币高估或低估的平均幅度有所缩小。影子价格方法包括关税和配额两种类型，估计结果表明，现实的人民币汇率介于用这两种类型估计的均衡汇率之间。

个人信用制度作为管理、监督和保障个人信用活动的一系列有机组成的制度体系对于挖掘个人信用资源、开展个人信用业务有着积极的促进作用。当前我国商业银行的改革、业务的拓展以及规范市场经济行为本身都对我国个人信用体系的建立和完善提出了新的要求。本文结合我国当前个人信用发展的实践和国外个人信用制度的建立、运行提出了一些具有针对性的操作建议，以期对个人信用制度在我国的完善提供帮助。

游程检验是检验股价变化相关性的方法之一，通常用来检验市场的弱式有效性。本文首先介绍了游程检验的基本方法和原理，然后根据我国股市交易制度的变化，将我国股市发展分为三个阶段，运用游程检验分别对三个阶段股市的弱式有效性进行了检验。得出结论为：自92年5月起，我国股市基本达到弱式有效，且股市有效性在不断加强。

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。