不可再生资源的负价格理论
A Theory of Negative Prices for
Exhaustible Resources
报告人/Lecturer
戴民 新加坡国立大学
Min Dai, National University of Singapore
主持人/Presenter
孙巍 吉林大学
Wei Sun, Jilin University
地点/Location
ZOOM，ID：9625852673
点击查看线上参会指南
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时间/Time
2020/8/28 18：00-20：00（UTC+8）
2020/8/28 06：00-08：00（UTC-5）
2020/8/28 11：00-13：00（UTC+0）
2020/8/28 20：00-22：00（UTC+10）
内容简介/Introduction
近来原油出现了有史以来首次负价格，这一现象受到了广泛的关注与讨论。基于此，我们提出了针对不可再生资源的一个均衡模型，这一模型揭示负价格发生的三个条件：(i) 即期消费的极端弱需求；(ii) 正的生产调整成本；(iii) 不可忽略的储藏成本。我们的模型能够捕捉到2020年4月20日陡峭的WTI原油期货价格曲线。
Recently, the plunge of WTI crude oil prices into negative territory for the first time in the history has drawn a lot of attention and controversy around the world. We propose a new equilibrium model of exhaustible resources and show that negative equilibrium prices of resources may emerge in the presence of (i) an extremely weak demand for immediate consumption, (ii) positive production adjustment costs, and (iii) non-negligible storage costs. Our model is able to calibrate the steep futures curve of WTI crude oil observed on April 20, 2020. This work is jointly with Steven Kou and Cong Qin.
报告人简介/About the Lecturer
戴民教授于2000年于复旦大学获得数学博士，现任新加坡国立大学数学教授，新加坡国立大学数量金融中心主任。在此之前，曾在北京大学任教。其研究领域为数量金融和金融科技，在Journal of Economic Theory, Journal of Financial and Quantitative Finance, Management Science, Mathematical Finance, Review of Financial Studies, SIAM Journals等期刊发表论文40余篇。现任Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics, Digital Finance等期刊编委。
Professor DAI Min obtained his Ph.D. in Mathematics from Fudan University in 2000. He is currently Professor of Mathematics and Director of the Centre for Quantitative Finance at the National University of Singapore (NUS). Before joining NUS, he taught at Peking University. His research focuses on quantitative finance and FinTech. He has published over 40 papers in peer-review journals such as Journal of Economic Theory, Journal of Financial and Quantitative Finance, Management Science, Mathematical Finance, Review of Financial Studies, SIAM Journals, etc. Currently he is in the editorial board of some journals, including Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics, Digital Finance, etc.
债务违约周期
Default Cycle
报告人/Lecturer
王鹏飞 北京大学/吉林大学
Pengfei Wang, Peking University/Jilin University
主持人/Presenter
张世伟 吉林大学
Shiwei Zhang, Jilin University
地点/Location
ZOOM，ID：9625852673
点击查看线上参会指南
Click to view meeting guide
时间/Time
2020/8/29 18：00-20：00（UTC+8）
2020/8/29 06：00-08：00（UTC-5）
2020/8/29 11：00-13：00（UTC+0）
2020/8/29 20：00-22：00（UTC+10）
内容简介/Introduction
债务违约有明显的周期性， 在经济衰退的时候，大量企业同时违约。为研究这一现象，本文构建了一个内生的债务违约一般均衡模型。企业的债务违约受总产出和利率的影响。企业的债务违约产生有两种外部性。首先，由于企业的产出投入关系， 企业的债务违约使得其他企业收入减少，第二，企业的债务违约提高利率，增加其它企业的债务成本。这两者都加大其它企业的违约风险，从而使得违约具有传染性，形成周期性波动。
Debt defaults are clearly cyclical as large numbers of companies defaulting simultaneously during recessions. To study this phenomenon, an endogenous general equilibrium model of debt default is developed in this paper. Debt defaults of firms are affected by aggregate output and interest rates, and possesses two externalities. Firstly, due to the relationship between output and input, debt default of firms reduces the income of other enterprises. Secondly, debt default of firms raises interest rate and increases the debt cost of other enterprises. Both of them increase the risk of default by other enterprises, thus making default contagious and forming cyclical fluctuation.
报告人简介/About the Lecturer
王鹏飞，1978年2月出生， 吉林大学商学院学士、北京大学中国经济研究中心（现国家发展研究院）硕士、美国康奈尔大学经济系博士。现为北京大学汇丰商学院讲席教授、副院长， 吉林大学讲座教授，权威经济学RePEc近10年发表世界排名前1% 经济学家。曾任武汉大学经济管理学院访问教授、清华大学五道口金融学院特聘教授。主要研究领域为宏观经济学、金融经济学与货币经济学，在资产泡沫与内生经济周期领域做出了开创性贡献。2007年博士毕业后在《American Economic Review》，《Econometrica》，《Journal of Finance》, 《Journal of Financial Economics》, 《Journal of Monetary Economics》, 和《Journal of Economic Theory》等经济学、金融学顶级期刊发表论文40多余篇。
Born in February 1978, Professor Pengfei Wang obtained his bachelor's degree from Business School of Jilin University, his master's degree from National School of Development at Peking University, and his PhD in economics from Cornell University. He is now a professor and deputy dean of Peking University HSBC Business School, part-time professor of Jilin University, and ranked the top 1% of economists in the world by an authoritative economics RePEc nearly 10 years ago. He used to be a visiting professor in School of Economics and Management, Wuhan University and a distinguished Professor in Wudaokou School of Finance, Tsinghua University. His research interests involve macroeconomics, financial economics, and monetary economics, Professor Wang makes pioneering contributions in the field of asset bubbles and endogenous economic cycle. Since his graduation in 2007, Professor Wang published more than 40 papers in top journals of Economics and Finance, such as American Economic Review, Econometrica, Journal of Finance, Journal of Financial Economics, Journal of Monetary Economics, and Journal of Economic Theory.
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