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日前，北京大学深圳研究生院副院长、北京大学汇丰商学院院长王鹏飞教授的合作论文“Asset Bubbles and Foreign Interest Rate Shocks”（《 资产泡沫和外国利率冲击》）正式发表于SSCI期刊Review of Economic Dynamics （2022年第44卷，315-348页）。论文合作者为波士顿大学苗建军教授和复旦大学周晶博士。
Business dynamism plays an important role in job creation and productivity
growth in the United States. Business start-ups are an important contributor to
that dynamism. Start-ups contribute disprop...
This paper shows that with (partial) irreversibility higher uncertainty reduces the responsiveness of investment to demand shocks. Uncertainty increases real option values making firms more cautious w...
Asset Price Dynamics with Limited Attention
Transitory Volatility Limited Attention Individuals Market Makers Asset Pricing Financial Markets
2015/4/27
This paper studies the role that limited attention and inefficient risk sharing play in stock price deviations from the efficient prices at horizons from one day to one month. We expand the Due (2010)...
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...
Modeling interaction of trading volume in financial dynamics
Trading Market Microstructure Data Analysis Statistics Probability Physics Society
2010/12/16
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its...
Rice Production, Land Use Dynamics, and Infrastructure Development in Viet Nam’s Mekong River Delta
Rice Production Viet Nam
2009/9/1
This study examines the role of infrastructure development and technical change in explaining increases in agricultural production and changes in land use in the Mekong Delta Region of Viet Nam during...
The Problem of Modelling of Economic Dynamics in Differential Form
Problem Modelling Economic Dynamics Differential Form
2010/12/17
Traditional models of macroeconomic dynamics are fundamentally incorrect. The reason lies in a misunderstanding of peculiarities of the analysis of infinitesimal quantities. However, even those types ...
Heterogeneous credit portfolios and the dynamics of the aggregate losses
Heterogeneous credit portfolios dynamics aggregate losses
2010/12/20
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that make...
UNDERSTANDING CHANGES IN INTERNATIONAL BUSINESS CYCLE DYNAMICS
CHANGES INTERNATIONAL BUSINESS CYCLE DYNAMICS
2014/3/18
The volatility of economic activity in most G7 economies has moderated over the past 40 years. Also, despite large increases in trade and openness, G7 business cycles have not become ...
The Emergence of a Mass Market and the Dynamics of Retail Forms in Korea
The Emergence Mass Market the Dynamics of Retail Forms Korea
2010/10/8
In this paper, I examine the evolution of major retail forms—supermarkets, department stores, discount stores, and convenience stores—in Korea during three phases from the 1970s to the 1990s. Korea pr...