复杂金融学与金融危机研究（3学分）课程安排

中国经济研究中心 陈平教授

2009年春季 研究生选修课

时间：周四7-9节，14：40 – 17：40

地点：文史207

学习条件：修过微观I、宏观I、金融I、计量I和微积分的基本课程的经济学研究生。

欢迎有数学物理背景的北大四年级学生选修，但要证明自己的独立研究能力。

考试与目标：课堂测验占50％，独立研究40％，课堂讨论10％。

可以1－3人自组织为课题组，选读一篇论文或一个课题，做讲读、评论、和发展。

无大考。重在推进当前金融危机的紧急研究，在实战中发现研究与政策人才。

教学方法：教师引导、学生主动、因材施教、与时俱进。独立研读与报告文献，鼓励不同思路交锋和比较。鼓励学生发表前沿论文与政策建言。

 

课程简介

我们正在经历大萧条以来全球最严重的金融危机与经济危机。这次危机的结果将重新塑造世界格局与经济学的思路。新古典经济学的均衡金融理论无法解释金融危机的起源和机制。均衡经济学的处方往往延误和加剧危机。当前形势要求我们走出传统象牙塔的研究，研讨和现实紧密相关的金融危机理论，结合现实做历史研讨、数据分析，模型研究，案例分析，和政策研讨。

•       内容包括：

•       金融危机理论的奥地利学派、凯恩斯学派、货币学派、与历史学派。

•       新古典经济学的局限：包括马歇尔供求曲线，有效市场理论，现金流的折扣理论，资产定价理论，期权模型，风险模型。

•       新的数学工具：非线性动力学，混沌，分形，分岔，突变，小波与时频分析。

•       历史案例：大萧条，股市崩溃，地产泡沫，转型特大萧条，长期资本危机，次贷危机，布雷顿森林体系的兴衰。

•       企业与行业调查，应对政策的争议与比较 。及时报告国内国际形势的发展与争议。

•       专题研究举例：银行注资还是国有化，国际金融监管体系的改革，汇率稳定问题，新国际金融体系。

•       学生研究选题举例：

•       金融危机理论文献的选读、介绍、与检讨：

•       奥地利学派（F.Hayek, von Mises, Rathbard），凯恩斯学派(J.Keynes, P.Temin)，与货币学派(M.Friedman, B.Bernanke)的辩论，历史学派的批评（C.Kindelberg）.

•       国际经济数据的收集与分析：Realo GDP, financial data, case study: oil price, grain

 

基本文献：

Chen, Ping. “Equilibrium Illusion, Economic Complexity, and Evolutionary Foundation of Economic Analysis,” Evolutionary and Institutional Economics Review, 5(1), 2008.
Chen, Ping. “Complexity of Transaction Costs and Evolution of Corporate Governance,” Kyoto Economic Review, 76(2), 139－153 (2007).
Chen, Ping. “Market Instability and Economic Complexity: Theoretical Lessons from Transition Experiments,” in Yang Yao and Linda Yueh eds., Globalisation and Economic Growth in China, Chapter 3, pp.35-58, World Scientific, Singapore (2006).
Chen, Ping. “Evolutionary Economic Dynamics: Persistent Business Cycles, Disruptive Technology, and the Trade-Off between Stability and Complexity,” in Kurt Dopfer ed., The Evolutionary Foundations of Economics, Chapter 15, pp.472-505, Cambridge University Press, Cambridge (2005).
Chen, Ping. “Microfoundations of Macroeconomic Fluctuations and the Laws of Probability Theory: the Principle of Large Numbers vs. Rational Expectations Arbitrage,” Journal of Economic Behavior & Organization, 49, 327-344 (2002).
Chen, Ping. “A Random Walk or Color Chaos on the Stock Market? - Time-Frequency Analysis of S&P Indexes,” Studies in Nonlinear Dynamics & Econometrics , 1(2), 87-103 (1996).
Chen, Ping. “Imitation, Learning, and Communication: Central or Polarized Patterns in Collective Actions,” in A. Babloyantz ed., Self-Organization, Emerging Properties and Learning,  pp. 279-286, Plenum, New York (1991).

Chen, Ping. “Origin of Division of Labor and Stochastic Mechanism of Differentiation,” European Journal of Operational Research, Vol. 30, No. 3, pp. 246-250 (1987).

陈平, 金融工程－－后冷战时代全球竞争的新战场 (1998) 。
陈平, 金融改革的战略选择和经济秩序的良性循环(1996)。
陈平, 经济改革的现实问题和战略选择－从国企困境、信用瓦解、及民富国穷的源由谈起(1996)
以上文章可在中心陈平网页下载：http://ccer.pku.edu.cn/cn/faculty.asp?SecondClassId=121
 
2004年前的多数文章收入：
陈平, 《文明分岔、经济混沌、和演化经济动力学》，北京大学出版社，北京2004年出版。
 

（经典原作）
Prigogine, Ilya. Order Out of Chaos, Bantam, New York (1984).

Schrödinger, Erwin. What is Life? Cambridge University Press, Cambridge (1948).
 

Marshall, Alfred. Principles of Economics, 8th ed., Macmillan Press, London (1920).
Schumpeter, Joseph A. Capitalism, Socialism and Democracy, 3d ed., Harper, New York (1950).

Von Mises, Ludwig, Theory of Money and Credit, Liberty Classics, 5th Ed. (1980).
Knight, Frank H. Risk, Uncertainty and Profit, Sentry Press, New York (1921).
John M Keynes,. The General Theory of Employment, Investment, and Money, Macmillian, London (1936).
Minsky, Hyman P. John Maynard Keynes, Columbia University Press, New York (1975).
Minsky, H.P. Stabilizing an Unstable Economy, Yale University Press,
New Haven (1986).
Friedman, M. “The Case for Flexible Exchange Rates,” in M. Friedman, Essays in Positive Economics, University of Chicago Press, Chicago (1953).
Modigliani, Franco, and Merton H. Miller, “The Cost of Capital, Corporation Finance, and the Theory of Investment,” Amer. Eco. Rev. 48(3), 261-297 (1958).
Ross, S. A. "Return, Risk, and Arbitrage," in I. Friend and J. Bicksler eds., Risk and Return in Finance, Ballinger, MA: Cambridge (1976).   
De Long, J.B., A. Shleifer, L. H. Summers, and R. J. Waldmann. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, 45(2), 379-395 (1990).
Stiglitz, Joseph and Andrew Weiss, “Credit Rationing in Market with Imperfect Information, “ American Economic Review, 71(3), 393-410 (1981).
 Ferguson, Niall, The Cash Nexus: Money and Power in the Modern World, 1700-2000, Basic Books, New York (2001).
 
（关于大萧条的原因的争论）
Friedman, M.  and A.J. Schwartz, Monetary History of United States, 1867-1960, Princeton University Press, NJ: Princeton (1963).
Temin, Peter. Did Monetary Forces Cause the Great Depression? Norton (1976).
Temin, Peter. Lessons from the Great Depression (Lionel Robbins Lectures), MIT Press, MA: Cambridge (1991).
Kindleberger, Charles, P. The World in Depression, 1929-1939, Revised
and enlarged edition, University of California Press (1986).
Bernanke, Ben S. “The Macroeconomics of the Great Depression, A Comparative Approach,” Journal of Money, Credit, and Banking, 27(1), 1-28(1995).
Rothbard, Murray N. A History of Money and Banking in the United States (2002).

（关于危机应对政策有效性的辩论）

Keynes, J.M., The General Theory of Employment, Investment, and Money, Macmillian, London (1936).
Friedman, M. Money Mischief, HBJ, New York (1992).
Hayek, Friedrich A. A Tiger by the Tail: The Keynesian Legacy of Inflation, San Francisco: CATO Institute (1979).
Minsky, H.P. Stabilizing an Unstable Economy, Yale University Press, New Haven (1986).
辜朝明，大衰退，如何在金融危机中生存和发展，东方出版社，北京（2008）。
Reinhart, C.M. and K.S.Rogoff, The Aftermath of Financial Crises, AEA 2009 Meeting in San Francisco, Session on International Aspects of Financial market Imperfections,” Jan.3 (2009).
 
 
（当前美国金融危机与全球经济危机的辩论）
Economist (UK)
Financial Times (UK)
New York Times
Wall Street Journal