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金融学推荐阅读原创论文目录
货币经济学
1、
剑桥方程式
马歇尔、庇古
Pigou,A.C. , “The value of money” Quarterly Journal of Economics 32,Nov.38-
56,1917
2、
模仿传染模型
Lux. T
Lux.T, “Herd behavior, bubbles and crashes”, The Economic Journal, Vol. 105
, pp 881-896, 1995
3、
托宾q效应
托宾
Tobin, “A general equilibrium approach to monetary theory”, Journal of Mone
y, Credit and Banking, pp15-29, Feb. 1969
4、
消费的财富效应
莫迪利亚尼
Franco Modigliani, “Monetary Policy and Consumption”, in Consumer Spending
and Money Policy: The Linkages (Federal Reserve Bank of Boston. 1971), pp9-84
5、
流动性偏好
凯恩斯
Kenyes,J.M.,1936,“The general theory of employment, interest rate and money”
in the collected writings of John Maynard Keeynes,Vol.6 London :Macmillan,197
1
6、
真实经济周期模型
基德兰德、普雷斯科特
Kydland,F.E.and Prescott,E.C.. “Time to build and aggregate fluctuations”,
Econometrica 50(6),November:1345-70, 1982
7、
泰勒规则
泰勒
Taylor J., “Discretion versus policy rules in practice”, Carnegie-Rochester
Conference Series on Public Policy, Vol.39, 1993
8、
动态非一致性博弈模型
Kydland,F,E and Prescott,E.C.
Kydland,F,E and Prescott,E.C. ,“Rules rather than discretion: the inconsiste
ncy of optimal plans”, Journal of Political Economy, Vol.85, PP473, June 1977
9、
MCI
Freedman, C
Freedman, C ,“The use of indicators and the monetary conditions index in Can
ada” in Balino, T.J.T and Cottarelli,C eds. “Frameworks of monetary stabilit
y-policy issues and country experiments”, IMF, PP470, 1994
10、
跨期生活费用指数
Alchian和Klein
Alchian, Klein “On a correct measure inflation”, Journal of Money, Credit a
nd Banking, Feb. 1973
11、
动态均衡物价指数
Shibuya
Shibuya ,“Dynamic equilibrium price index: asset price and inflation”, Mone
tary and Economic Studies, Institute for Monetary and Economic Studies, Bank o
f Japan, 10(1), 1992
12、
有弹性的通货膨胀目标
Ben Bernanke and Mark Gertler
Ben Bernanke and Mark Gertler,“Monetary policy and asset price volatility”,
in “New Challenge for Monetary Policy”, Jackson Hole, August 26-28,1999
13、
金融体系内在脆弱性假说
米什金
Minsky,H.“the financial instability hypothesis： a restatement ”帕77
14、
生命周期假说
(Life cycle hypothesis)
莫迪利亚尼、布伦伯格
Modigliani,F and brumberg, F ,1954, “ Utility analysis and the consumption f
unction :an interpretation of cross-section data.in post-keynesian economics”
, ed.K.K. Kurihara, New Brunswick: Rutgers university press
Modigliani,F and brumberg, F 1954. “Utility analysis and aggregate consumptio
n functions :an attempt at integration” in the collected papers of franco mod
igliani ,vol.2,the life cycle hypothesis of saving,ed.A.Abel, Cambridge, Mass:
MIT Press,1980:79-127
15、
流动性偏好
(Liquidity preference)
凯恩斯
Keynes，J.M. , 1937 ,“Alternative theories of the rate of interest”, Econom
ic Journal 47, June : 241-52, in the general theory and after ;part 2 defence
and development, collected writing of J.M. Keynes Vol.XIV, ed.D.E. Moggride, L
ondon: Macmllan
Keynes，J.M. 1936, “The general theory of employment, interest and money”,.I
n collected writing of J.M. Keynes Vol.XII, ed. D.E. Moggride, London: Macmlla
n
16、
通货膨胀缺口
(Inflation Gap)
凯恩斯
Keynes, J.M 1940,”How to pay for the war”, Lodon” Macmillan. Reprinted in
essays in persuadsion: The collected Writing of Jonh Mayynard Keynes Vol.IX, L
ondon Macmillan,1972
17、
IS-LM模型
希克斯，汉森
J.R.Hicks,1937,《凯恩斯先生与古典经济学：一个尝试性解释》，计量经济学年会
18、
银行的衍生存款理论(derivative deposit theory of banking)
詹姆斯.彭宁顿
“Observations on the private banking establishments of the metropolis: first
memorandum to huskisson”, In Economic writings of James pennington, ed. R.S.
sayers, London The London School of Economics and political Science, 1963
19、
金融加速因子
伯南克，哥特勒等
Ben Bernanke, Mark Gertler and Simon Gilchrist, “The financial accelerator i
n a quantitative business cycle framework”, NBER Working Paper 6455
20、
费雪效应
费雪
Fisher, I. 1930 “The theory of Interest”
New York: Macmillan Company
21、
乘数理论
汉森
Hansen,A.H.1941 “business cycles and national income” New York: Norton
22、
“稳定黄金”法则
23
最优货币量学说
米尔顿.弗里德曼
Friedman,M.,1969, “The optimal quantity of money” in The optimum quantity o
f money and other essays, Chicago: Aldine
24、
恒久性收入
弗里德曼
Friedman,M. 1957, “A theory of consumption function”, Princeton university
Press
25、
鲍莫尔-托宾的存货理论
鲍莫尔、托宾
Baumol, W.J. 1952 “The transactions demand for cash: an inventory theoretic
approach” , Quarterly Journal of Economics 66,Nov. 545-56
Tobin, J. 1956 “The interest –elasticity of transactions demand for cash”,
Review of economics and statistics 29, May :124-31
26、
理性预期模型
汉森、萨金特
Hansen, L. and Sargent ,T. 1981 “Linear rational expectations models for dyn
amically interrelated variables. In Rational Expectations and Econometric prac
tice, ed. R.Lucas, Jr. and T. Sargent, Minneapolis: University of Minnesota Pr
ess
27、
通货膨胀税
28、
金融结构
雷蒙德.W.戈德史密斯
《发达国家的金融结构与经济增长－关于金融形态的比较试验》,1955
29、
金融抑制
金融深化
罗纳德·I·麦金农和爱德华·S·肖
《经济发展中的货币和资本》与《经济发展中的金融深化》The American Economic Rev
iew，1970s
30、
利率的期限结构模型
萨金特
Sargent, T. 1979, “A note on maximum likelihood estimation of the rational e
xpectations model of the term structure”, Journal of Monetary Economics 5:133
-43
31、
永久收入假设
克里斯蒂诺、艾肯鲍姆、马歇尔
Christensen,L., Eichenbaum ,M. and Marshall, D. 1911. “The permanent income
hypothesis revisited”, Econometrica 59;397-424
32、
货币中性
(Neutrality of money)
哈耶克
Hayek,F.A. von. 1931 “Prices and production”, London: George Routledge
33、
货币交易方程式
费雪
Fisher,I.1911, “The purchasing power of money” ,2nd revised edn.1926; repri
nted New York:Kelley,1963
34、
可贷资金理论
35、
流动性升水理论
36、
货币的替代效应
37、
哈恩难题
国际金融
1、
购买力平价理论
卡塞尔
Cassel,G. 1916, “The present situation of the foreign exchanges”, Economic
Journal 26,March: 62－5
2、
资产组合平衡分析
Branson
Branson,” Asset market and relative prices in exchange rate determination”,
1977
3、
利率平价理论
4、
一价定律
Izard
Isard, p. 1979, “How far can we push the law of one price?” American Econom
ic Review 67
5、
特里芬难题
特里芬
Triffen,R.1960, “ Golden and dollar crisis”, New Haven: Yale University Pre
ss
6、
M－F模型
Mundell R.A
Mundell R.A ,“The appropriate use of monetary and fiscal policy under fixed
exchange rate” IMF Staff Paper, 1962
7、
格雷欣法则
Thomas Gresham
1560, Thomas Gresham 1869, “The history of economics”, London: bliss, sands
and Co.
8、
J－曲线效应
(J－curve effect)
麦吉
Magee, S., 1973, “Currency contracts, pass-through , and devaluation” Brook
ings paper on economic Activity”
9、
国际收支的吸收分析法(Absorption approach to the balance of payments)
亚历山大
Alexander, S. S., 1952, “effects of devaluation on a trade balance”, Intern
ational monetary fund Staff papers, Vol.2:263-78
Alexander, S.S.,1959, “A simplified synthesis of elastic ties and absorption
approaches”, American Economic Review 49:22-42
10、
最优货币区理论
(optimal currency areas)
蒙代尔
Mundell,R.A.1961, “A theory of optimum currency areas”, American Economic R
eview,September:657-65
11、
国际收支的弹性分析方法
(Elasticities approach to the balance of payments)
查尔斯.比克迪克
Bickerdike, C.F.1920, “The instability of foreign exchange” ,Economic Journ
al 30,March:118-22
12、
抵补利率平价
(covered interest parity)
凯恩斯
Keynes,J.M,1923 “A tract on monetary reform”, London: Macmillan
13、
马歇尔－勒纳条件
(Marshall-Lener Condition)
马歇尔
Marshall,A.1923 “Money, credit and commerce” London: Macmillan
14、
货币贬值的吸收方法
悉尼.亚特兰大
Alexander,S. 1952, “Effects of a devaluation on a trade balance” ,Internati
onal Monetary Fund Staff Paper 2 :263-78
15、
货币贬值的货币方法
蒙代尔
Mundell,R.A. 1971, “monetary theory” pacific palisades: Good year
16、
国际收支依赖性
经济模型
斯旺
Swan, T.W. 1960, “Economic control in a dependent economy”, Economic record
36:51-66
17、
汇率超调模型
多恩布什
Dornbusch, R. 1976, “Expectations and exchange rate dynamics”, Journal of P
olitical Economy 84(6):1161-76
金融市场学
1、
随机游走模型
Kendall, Osborn, Arnold Moore
2、
有效率市场假说(Efficient market hypothesis)
Eugene Fama
Eugene Fama， “Efficient Capital Market: a Review of Theory and Empirical Wo
rk”, Journal of Finance, May 1970
3、
规模效应（或小公司效应）
Rolf Banz
Banz,R.1981, “The relationship between return and market value of common sto
ck”, Journal of Financial Economics 9:3-18
小公司效应在一月份的前两个星期最为明显，见Donald Keim, “Size Related Anomali
es and Stock Return Seasonality: Future Empirical Evidence”, Journal of Finan
cial Economics, June 1983; Marshall Blume, Robert Stambaugh, “Biases in Compu
ted Returns: an Application to Size Effect”, Journal of Financial Economics,
August 1983.
4、
流动性效应
Amihud & Mendelson
5、
账面价值/市场价值比率效应
Eugene Fama, Kenneth French
Eugene Fama, Kenneth French, “The Cross Section of Expected Stock Returns”,
Journal of Finance, June 1992.
6、
逆转效应（过度反应）
DeBondt, Thaler
DeBondt, Thaler, “Does the Stock Market Overact?” Journal of Finance, (40)1
985
7、
动力效应
N. Jegadeesh, S. Titman,
N. Jegadeesh, S. Titman, “Return to Buying Winners and Selling Losers: Impli
cations for Stock Market Efficiency”, Journal of Finance, (48)1993
8、
股权溢价之谜
米拉，普雷斯科特
Mehra, R. and Prescott,E.1985. “The equity premium: a puzzle.” Journal of M
onetary Economics 15(2)
9、
Grossman-Stiglitz悖论
Grossman, Sanford, J. and Stiglitz, J. E
Grossman, Sanford, J. and Stiglitz, J. E., 1980,, “On the Impossibility of I
nformationally Efficient Markets”, American Economic Review 70, 393-408
10、
现代组合理论
Harry Markowitz,
Harry Markowitz, “Portfolio Selection”, Journal of Finance, March 1952
11、
资本资产定价模型（CAPM）
威廉?夏普
Sharpe,W.F. 1964, “Capital asset prices:a theory of market equilibrum under
conditions risk”, Journal of Finance 19,September
1.放松了关于所有资产都可以市场化的假设，推导出存在非市场化资产情况下的资产定价
公式。David Mayers, “Nonmarketable Assets and Capital Market Equilibrium unde
r Uncertainty”, In Studier in the Theory of Capital Markets, ed. Michael Jens
en, New York: Praeger.
2.多因素的资本资产定价模型Robert Merton, “An Intertemporal Capital Asset Pric
ing Model”, Econometrica, 1973.
3.以消费为导向的资本资产定价模型Breeden D., “An Intertemporal Asset Pricing M
odel with Stochastic Consumption and Investment Opportunities”, Journal of Fi
nancial Economics, (7)1979.
12、
APT
Stephen A. Ross
Ross,S.A., “The arbitrage theory of capital asset pricing”,Journal of Econo
mic Theory13（3），Dec.341-60
13、
共同基金定理(mutual fund theorem)
James Tobin
James Tobin, “Liquidity Preference as Behavior toward Risk”, The Review of
Economic Studies, February 1958
14、
M－M定理（又称不相关定理）
Modigliani, Franco and Merton H. Miller
Modigliani and Miller ,“The cost of capital, corporation finance, and the th
eory of investment” ,American Economic Review, 48：261－97，1958
15、
税差主义
F. Modigliani, M. H. Miller
F. Modigliani, M. H. Miller, “Dividend Policy, Growth and the Valuation of S
hares”, Journal of Business, October 1961.
F. Modigliani, M. H. Miller, “Corporate Income Taxes and the Cost of Capital
: A Correction,” American economic Review, 53(June 1963) pp.433-443认识到税收
对资本结构以及企业价值的税盾（tax shield）效应，对MM定理进行了修正。
Farrar, Donald E. and Selwyn, Lee L. “Taxes, Corporate Financial Policy and R
eturn to Investment,” National Tax Journal, 20, No.4(Dec. 1967), pp.444-454
Miller, Merton.H, “Debt and Taxes,” Journal of Finance 32,1977, pp.261-275从
投资者之间在边际税率上的差异这个角度出发，在一般市场均衡的条件下，科学阐述了资
本结构理论。
16、
破产成本主义
Baxter, Nevins D.
Baxter, Nevins D. “Leverage, Risk of Ruin and the Lost of Capital”, Journal
of Finance, 22, no.4(September, 1967)pp.395-404
一旦债务超过可接受的水平，企业的平均资本成本就会随着债务水平的增加而增高，从而
增加破产的可能性，过度的债务融资还会增加企业全部盈利的风险性，进而减少企业总价
值。
参考Stiglitz, Joseph E., “A Re-Examination of the Modigliani- Miller Theorem,
” The American Review,59(Dec. 1969) pp.784-793
Stiglitz, Joseph E., “On the Irrelevance of corporate Financial Policy,” The
American Review,64(Dec. 1974) pp.851-856
17
权衡理论
Robichek, Alexander A., and Myers, Stewart,
Robichek, Alexander A., and Myers, Stewart, “Problems in the Theory of Optim
al Capital Structure”, Journal of Financial and Quantitative Analysis, 1,no.1
(1966)
Myers, Stewart, “The Capital Structure Puzzle,” Journal of Finance, 39, no.3
(July 1984), pp.575-592
Masulis, Ronald W. “Discuss: How Big is the Tax Advantage to Debt?” The Jou
rnal of Finance,39,no.3(July 1984), pp.853-855将负债的成本从破产成本进一步扩展
到代理成本、财务困境成本以及非负债税收收益的损失等方面，扩大了成本和收益的内容
，形成后权衡理论。
18、
代理成本理论
M. Jensen, W. Meckling,
M. Jensen, W. Meckling, “The Theory of the Firm: Managerial Behavior, Agency
Costs, and Capital Structure”, Journal of Financial Economics, May 1976.
19、
财务契约论
Smith, Clifford W. and Warner, Jerold B.
Smith, Clifford W. and Warner, Jerold B. “On Financial Contracting: An Analy
sis of Bond Covenants,” Journal of Financial Economics (1979)117-161
20、
信号理论
Spence, A. M. and S. A. Ross
Spence, A. M. “Job Marketing Signaling,” Quarterly Journal of Economics 87,
1973,pp.355-374
S. A. Ross, “The Determination of Financial Structure: the Incentive Signali
ng Approach”, Bell Journal of Economics, (8)1977将信号理论运用到资本结构理论中
。
21、
新融资优序论
Myers, Stewart C. and Majluf, Nicholas S.
Myers, Stewart C. and Majluf, Nicholas S. “Corporate Financing and Investmen
t Decisions When Firms Have Information That Investors Do Not Have”, Journal
of Financial Economics, 13(1984) pp.187-221
22、
公司控制权市场
Henry Manne
Henry Manne, “Mergers and the Market for Corporate Control”, Journal of Pol
itical Economics(1965) pp110-120
23、
金融契约论
Grossman, Sanford and Hart, Oliver
Grossman, Sanford and Hart, Oliver, “Takeover Bids, the Free Rider Problem,
and the Theory of Corporation”, Bell Journal of Economics, 11, no.1(1980) pp4
2-63
24、
公司治理结构学说
Williamson, Oliver E
Williamson, Oliver E., “Corporate Finance and Corporate Governance”, Journa
l of Finance, 43 no.3(June 1988) pp.567-591
25、
自由现金流理论
Jensen, Michael C.
Jensen, Michael C. “Agency Costs of Free Cash Flow, Corporate Finance and Ta
keover”, American Economic Review, May 1986, vol.76, no.2 pp323-329
Jensen, Michael C “The Free Cash Flow Theory of Takeover: A Ainancial Perspe
ctive on Mergers and Acquisitions and the Economy”, “The Merger Boom”, Proc
eedings of a conference sponsord by Federal Reserve Bank of Boston, Oct.1987,
pp.102-143.
26、
市场无效说
Delong, Shleifer, Summers, Waldmann,
Delong, Shleifer, Summers, Waldmann, “Noise Trader Risk in financial Markets
”, Journal of Political Economy, (98)1990.
27、
行为资本资产定价模型
Hersh Shefrin, Meir Statman,
Hersh Shefrin, Meir Statman, “Behavioral Capital Asset Pricing Theory”, Jou
rnal of Financial and Quantative Analysts, September 1994.
28、
期望理论（又称前景理论）
D. Kahneman, A.Tversky
D. Kahneman, A.Tversky, “Prospect Theory: An Analysts of Decision Making Und
er Risk”, Econometrica, March 1979.
29、
积极反馈投资策略
Summers
De long, J.B. Shleifer, A. Summers and Roberts J.W, “Positive feedback inves
tment strategies and destabilizing rational speculation”, The Journal of Fina
nce, Vol. 45
30、
噪声交易
Noise trade
Black ,F
Black ,F, 1986, “Noise”,Journal of Finance 41,July:529-43
31、
MBO
32、
无套利模型
休伯曼
Huberman,G.1982, “A simple approach to arbitrage pricing”, Journal of Econo
mic theory28：183－91
33、
布莱克－斯科尔斯期权定价模型
布莱克、斯科尔斯
Black,F. and Scholes,M.J.1973, “The pricing of options and corporate liabili
ties”, Journal of Political Economy81(3),May:637-54
34、
二项式期权定价模型
考克斯（Cox）、罗斯（Ross）、罗宾斯坦（Robinstein）等人于1979年在《金融经济学
月刊》上发表了论文期权定价：一种简易的方法
35、
贴现现金流模型(Discount cash flow model)
布伦南
Brennan,M. 1979, “The pricing of contingent claims in discrete time models”
, Journal of Finance34 :53-68
36、
贝叶斯决策理论
Bayesian decision theory
托马斯.贝叶斯
Bayes,T.1763,”An essay towards solving a problem in the doctrine of chances”
, Philosophical Transactions of the royal society:370-418
37、
折旧的经济理论
霍特林
Hotelling ,H.1925. “A general mathematical theory of depreciation”, Journal
of the American statistical association 20, September: 340-53
38、
违约溢价模型
默顿
Merton,R.C. 1974, “on the pricing of corporate debt: the risk structure of i
nterest rates”, Journal of Finance 29:449-70
39、
股票回报模型
希勒
Shiller,R. 1981, “Do stock prices move too much to be justified by subsequen
t changes in dividends?” American Economic Review 71:421-36
40、
委托－代理模型
哈特
Hart,O. 1983 “Optimal lab information :an introduction”,Review of Economic
Studies 50:3-35
41、
公司控制理论
施莱弗、萨默斯
Shleifer ,A. and Summers, L. 1988 , “Breach of trust in hostile takeovers”,
In Corporate Takeovers: Causes and consequences ed. A. Auerbach, Chicago Pres
s
42、
公司治理结构
法马
Fama,E. 1980, “Agency problems and the theory of the firm”, Journal of Poli
tical Economy 88:288-307
43、
委托－代理
(Principle and Agency)
罗斯
Ross,S. 1973, “The economic theory of agency: the principle’s problem”, Am
erican review 63(20，May:134-9
44、
非公开信息
哈里斯
Harris,I.E. “Liquidity, trading rules,and electronic trading systems”, Mono
graph Serious in Finance and Economics,New York University Salomon Ceter,New Y
ork
45、
风险厌恶
普拉特
Pratt,J.W.1964.,“Risk aversion in small and in large”, Econometric 32:122-3
6
46、
理性泡沫模型
Flood, Garber
Flood,R.P. and Garber, P.M. “Market fundamentals Versus price-level bubbles:
The first Tests”, Journal of Political Economy, August 1980
47、
系统性风险
威廉.夏普
Sharp,W.1964, “Capital asset prices: a theory of market equilibrium under co
nditions of risks” Journal of Finance 19:425-42
48、
股利折现模型
49、
股利增长模型
银行中介
1、
逆向选择
Akerlof
Akerlof ,The market for “Lemons”, Quarterly Economics 84(3), Aug.488-500
2、
不完全信息理论
Stiglitz和Weiss
Stiglitz,Weiss “A credit rationing in markets with imperfect information”,
American Economics Review, June 1981
3、 信用可获性理论
R.V. Rosa G., H. Kare Kenn,
“Interest rate and central bank”, Money, Trade and Economic Growth, 1951
“Lenders’ preferences, credit rationing and the effectualness of monetary po
licy”,Review of Economics and statistic, Aug. 1957
4、 道德风险
(Moral Hazard)
阿罗 Arrow K.J .1964,“Essays in the Theory of risk- Bearing. Chicago： Aldine
5、 适应性预期
(adaptive expectation）
欧文.费雪
Fisher, I. 1911, “The purchasing power of money”, New York: Macmillan; late
st edn, A.M. Kelley: New York, 1963
6、 资金可得性学说
鲁萨
Roosa,R.V.1951, “Interest rates and the central bank” In money, Trade, and
Economic Growth: Essays in Honor of John H. Williams, New York: Macmillan
7、 不完全信息条件下的信贷配给模型
斯蒂格利茨，韦斯
Stiglitz,J. and Weiss,A.1981,“Credit rationing in markets with imperfect inf
ormation”, American Economic Review71(3),June:393-410
8、 戴蒙德模型
戴蒙德
Diamond ,D. 1984, “Financial intermediation and delegated monitoring”, Revi
ew of Economic studies 51:393-414
9、 利率期限结构理论
10、 真实票据学说
11、 自由银行学派 |
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