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Measuring Financial Systemic Risk:Net Liability Clearing Mechanism and Contagion Effect

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Journal of Systems Science & Complexity 2024年第3期37卷 1114-1146页

作者： MA Jiali ZHU Shushang LI Duan College of Big Data Statistics Guizhou University of Finance and EconomicsGuiyang 550025China School of Business Sun Yat-Sen UniversityGuangzhou 510275China School of Data Science City University of Hong KongHong Kong 999077China

Following the framework of E-N model(Eisenberg and Noe,2001),the authors consider a new clearing mechanism based on net liabilities among financial institutions since the liabilities between the counterparties should be deducted accordingly when clearing in *** the basis for systemic risk measurement,similar to the original E-N model,the authors first establish some good properties for the clearing payment vector according to a more general ***,the authors investigate how risk spreads among institutions through the liability network forming the risk contagion ***,the authors illustrate with a specific example that the original E-N clearing mechanism may misidentify the systemic important institutions,and theoretically show that it may also overestimate the risk compared with the netting clearing mechanism.

关键词： Clearing mechanism contagion net liability network systemic risk

Partial Linear Model Averaging Prediction for Longitudinal Data

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Journal of Systems Science & Complexity 2024年第2期37卷 863-885页

作者： LI Na FEI Yu ZHANG Xinyu Faculty of Science Kunming University of Science and TechnologyKunming 650500China School of Statistics and Mathematics Yunnan University of Finance and EconomicsKunming 650221China Academy of Mathematics and Systems Science Chinese Academy of SciencesBeijing 100190China

Prediction plays an important role in data *** averaging method generally provides better prediction than using any of its *** though model averaging has been extensively investigated under independent errors,few authors have considered model averaging for semiparametric models with correlated *** this paper,the authors offer an optimal model averaging method to improve the prediction in partially linear model for longitudinal *** model averaging weights are obtained by minimizing criterion,which is an unbiased estimator of the expected in-sample squared error loss plus a *** properties,including asymptotic optimality and consistency of averaging weights,are established under two scenarios:(i)All candidate models are misspecified;(ii)Correct models are available in the candidate *** studies and an empirical example show that the promise of the proposed procedure over other competitive methods.

关键词： Asymptotic optimality longitudinal data model averaging estimator partially linear model prediction

Spatial Structure of Peer Networks and Academic Achievement Based on a Random Control Trial Experiment

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China & World Economy 2024年第3期32卷 67-97页

作者： Shilan Feng Ya Tan Zhi Wang Qinghua Zhang School of Marxism Peking UniversityChina School of International Trade and economics University of International Business and EconomicsChina China Center for Economic Studies Fudan Universityand Shanghai Institute of International Finance and EconomicsChina Guanghua School of Management Peking UniversityChina

This paper investigates whether changing the seating arrangement in a classroom can facilitate positive spillovers from top-performing students to others,using a field experiment conducted in a Chinese high *** study groups with balanced abilities,the treatment altered the spatial distribution by assigning the two top students to seats in the spatial center of each *** the reference groups where students were allowed to choose their own seating arrangements,the lowest performing were significantly less likely to sit next to a top student than they would be under a random *** results suggest that,in the treated groups,there could be enhanced academic spillovers from the top *** treatment especially benefited the two lowest performing students in science *** contrast,the treatment exerted negative effects on the test scores of the two middle-performing students,due to a disruption *** results suggest that the spatial layout of a peer network can have a significant impact on learning outcomes.

关键词： field experiment peer effects social interactions spatial structure test scores

Import Policy Uncertainty and Innovation

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China & World Economy 2024年第1期32卷 197-230页

作者： Lingshan Chen Yunong Li Qian Xie Mao Zhou School of International Business Southwestern University of Finance and Economics(SWUFE)China School of International Business SWUFEChina Institute of economics Chinese Academy of Social SciencesChina

The Chinese government has emphasized innovation as the primary driving force for economic development in the new *** paper studies the effect of import policy uncertainty(IPU)on the innovation activity of Chinese manufacturing *** establishes a simple model to show that the presence of IPU encourages innovation and that a reduction in IPU discourages *** distinguishes the almost unnoticed IPU reduction from tariff reduction on China's WTO accession and develops a novel difference-in-differences specification that identifies the negative effect of IPU reduction on innovation using updated data for Chinese manufacturing and patent *** result holds after a battery of identification assumptions and robustness checks are *** import channel explains about two thirds of the effect of IPU on innovation,but not all of the ***,this paper examines the effect across firms of different levels of productivity and ownership types and patents of different categories.

关键词： import policy uncertainty innovation patent WTO

Global Zero-relaxation Limit Problem of the Electro-diffusion Model Arising in Electro-Hydrodynamics

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Acta Mathematicae Applicatae Sinica 2024年第1期40卷 241-268页

作者： Ming-hua Yang Si-ming Huang Jin-yi Sun Department of Mathematics Jiangxi University of Finance and EconomicsNanchang330032China School of Public Administration Guangdong University of Foreign StudiesGuangzhou510006China College of Mathematics and Statistics Northwest Normal UniversityLanzhou730070China

In this paper,we study a global zero-relaxation limit problem of the electro-diffusion model arising in electro-hydrodynamics which is the coupled Planck-Nernst-Poisson and Navier-Stokes *** is,the paper deals with a singular limit problem of{u^(∈)_(t)+u^(∈)·▽u^(∈)-Δu^(∈)+▽P^(∈)=Δφ^(∈)▽φ^(∈),in R^(3)×(0,∞),▽·u^(∈)=0,in R^(3)×(0,∞),n^(∈)_(t)+u^(∈)·▽n^(∈)-Δn^(∈)=-▽·(n^(∈)▽φ^(∈)),in R^(3)×(0,∞),ct+u^(∈)·▽c^(∈)-Δc^(∈)=▽·(c^(∈)▽φ^(∈)),in R^(3)×(0,∞),∈^(-1)φ^(∈)_(t)=Δφ^(∈)-n^(∈)+c^(∈),in R^(3)×(0,∞),(u^(∈),n^(∈),c^(∈),φ^(∈))|t=0=(u0,n0,c0,φ0),in R^(3) involving with a positive,large parameter^(∈).The present work show a case that(u^(∈),n^(∈),c^(∈))stabilizes to(u^(∞),n∞,c∞):=(u,n,c)uniformly with respect to the time variable as^(∈)→+∞with respect to the strong topology in a certain Fourier-Herz space.

关键词： fourier-Herz space littlewood-Paley decomposition stability limit dissipative system

Quality disclosure strategies for small business enterprises under consumer loss aversion

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Journal of Management Science and Engineering 2024年第1期9卷 62-87页

作者： Danli Yao Simai He Meng Zheng Business School University of Shanghai for Science and TechnologyShanghai200093China School of Information Management and Engineering Shanghai University of Finance and EconomicsShanghai200433China

In this paper,we focus on small business enterprises(SBEs)that usually have low market power but can rely on retailers to transact sales and gain the ability to disclose quality ***,consumer loss aversion(CLA)is pronounced when buying from SBEs that have yet to develop a strong reputation and uncertain *** focus on two competing SBEs with heterogeneous quality levels and discuss their quality disclosure strategiesd whether selling through a retailerd in the context of *** study the interaction between consumers'prior belief in product quality and CLA and how these factors affect equilibrium *** show that a situation in which low-quality and high-quality SBEs both choose to disclose will not occur under a neutral consumer attitude,i.e.,it happens only when the aversion level is *** the aversion level is low,either the low-quality SBE or the high-quality SBE will decide to disclose,and the disclosing party depends on the prior *** addition,CLA significantly impacts the monotonicity of both SBEs'and retailers'prices and profits relating to the consumers'prior beliefs.

关键词： Quality disclosure Consumer loss aversion Competition Game theory

A wealth distribution model with a non-Maxwellian collision kernel

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Chinese Physics B 2024年第7期33卷 224-231页

作者：孟俊周霞赖绍永 College of Mathematics and Statistics Kashi UniversityKashi 844006China College of Mathematics and Physics Mianyang Teacher's CollegeMianyang 621000China School of Mathematics Southwestern University of Finance and EconomicsChengdu 611130China

A non-Maxwellian collision kernel is employed to study the evolution of wealth distribution in a multi-agent *** collision kernel divides agents into two different groups under certain conditions. Applying the kinetic theory of rarefied gases, we construct a two-group kinetic model for the evolution of wealth distribution. Under the continuous trading limit, the Fokker–Planck equation is derived and its steady-state solution is obtained. For the non-Maxwellian collision kernel, we find a suitable redistribution operator to match the taxation. Our results illustrate that taxation and redistribution have the property to change the Pareto index.

关键词： kinetic theory non-Maxwellian collision kernel wealth distribution Pareto index

Spatio-temporal variation of depth to groundwater level and its driving factors in arid and semi-arid regions of India

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Regional Sustainability 2024年第2期5卷 103-122页

作者： Suchitra PANDEY Geetilaxmi MOHAPATRA Rahul ARORA Department of economics and finance Birla Institute of Technology&SciencePilani333031India

Climate change and increasing anthropogenic activities,such as over-exploitation of groundwater,are exerting unavoidable stress on groundwater *** study investigated the spatio-temporal variation of depth to groundwater level(DGWL)and the impacts of climatic(precipitation,maximum temperature,and minimum temperature)and anthropogenic(gross district product(GDP),population,and net irrigated area(NIA))variables on DGWL during *** study considered DGWL in 113 observation wells and piezometers located in arid western plains(Barmer and Jodhpur districts)and semi-arid eastern plains(Jaipur,Ajmer,Dausa,and Tonk districts)of Rajasthan State,*** methods were employed to examine the annual and seasonal patterns of DGWL,and the generalized additive model(GAM)was used to determine the impacts of climatic and anthropogenic variables on *** 1994-2020,except for Barmer District,where the mean annual DGWL was almost constant(around 26.50 m),all other districts exhibited increase in DGWL,with Ajmer District experiencing the most *** results also revealed that 36 observation wells and piezometers showed a statistically significant annual increasing trend in DGWL and 34 observation wells and piezometers exhibited a statistically significant decreasing trend in ***,32 observation wells and piezometers showed an statistically significant increasing trend and 37 observation wells and piezometers showed a statistically significant decreasing trend in winter;33 observation wells and piezometers indicated a statistically significant increasing trend and 34 had a statistically significant decreasing trend in post-monsoon;35 observation wells and piezometers exhibited a statistically significant increasing trend and 32 observation wells and piezometers showed a statistically significant decreasing trend in pre-monsoon;and 36 observation wells and piezometers reflected a statistically significant increasing trend and 30 observation

关键词： Climate change Generalized additive model(GAM) Depth to groundwater level(DGWL) Climatic and anthropogenic variables Arid and semi-arid regions

Social network learning efficiency in the principal-agent relationship

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Journal of Management Science and Engineering 2024年第2期9卷 193-219页

作者： Chuan Ding Yilin Hong Yang Li Peng Liu School of Mathematics Southwestern University of Finance and EconomicsChengdu611130China S.C.Johnson College of Business Cornell UniversityIthacaNY14853USA

Under the bounded rationality assumption,a principal rarely provides an optimal contract to an *** from others is one way to improve such a *** paper studies the efficiency of social network learning(SNL)in the principal–agent *** first introduce the Cobb-Douglas production function into the classic Holmstrom and Milgrom(1987)model with a constant relative risk-averse agent and work out the theoretically optimal *** are then designed to model the SNL process based on profit gaps between contracts in a network of *** the uncertainty of the agent's labor output,we find that the principals can reach a consensus that tends to result in overcompensation compared to the optimal ***,this study examines how network attributes and model parameters impact learning efficiency and posits several summative *** simulation results validate these hypotheses,and we discuss the relevant economic implications of the observed changes in SNL efficiency.

关键词： Simulation Social network learning Principaleagent Reaching consensus Learning efficiency