人大金融必讀書(shū)目

陳雨露、張杰、瞿強(qiáng)聯(lián)合推薦2004-12-7MankiwRamanathanS.Mishkin4·博迪、羅伯特·5·A·6·7Jeff.Madura8Suresh.M.Sundaresan10·（Don.M.Chanc陳雨露、張杰、瞿強(qiáng)聯(lián)合推薦2004-12-7MankiwRamanathanS.Mishkin5·博迪、羅伯特·7·Maddison101Pigou,A.C.,“Thevalueofmoney”QuarterlyJournalofEconomics2、模仿傳染模型Lux.TLux.T,“Herdbehavior,bubblesandcrashes”,TheEconomicVol.105,pp881-896,3q效應(yīng)托賓Tobin,“Ageneralequilibriumapproachtomonetarytheory”,JournalofMoney,CreditandBanking,pp15-29,Feb.19694、消費(fèi)的財(cái)富效應(yīng)莫迪利亞尼FrancoModigliani,“MonetaryPolicyandConsumption”,ConsumerSpendingandMoneyPolicy:TheLinkages(FederalReserveBankofBoston.1971),5、流動(dòng)性偏好凱恩斯Kenyes,J.M.,1936,“Thegeneraltheoryofemployment,interestrateandmoney”inthecollectedwritingsofJohnMaynardKeeynes,Vol.6London:Macmillan,19716Kydland,F.E.andPrescott,E.C..“Timetoandaggregatefluctuations”,Econometrica50(6),November:1345-70,7、泰勒規(guī)則泰勒TaylorJ.,“Discretionversuspolicyrulesinpractice”,Carnegie-RochesterConferenceSeriesonPublicPolicy,Vol.39,19938、動(dòng)態(tài)非一致性博弈模型Kydland,F,EandPrescott,E.C.Kydland,F,EandPrescott,E.C.,“Rulesratherthandiscretion:theinconsistencyofoptimalplans”,JournalofPoliticalEconomy,Vol.85,PP473,June19779、MCIFreedman,CFreedman,C,“TheuseofindicatorsandthemonetaryconditionsindexCanada”inBalino,T.J.TandCottarelli,Ceds.“Frameworksofmonetarystability-policyissuesandcountryexperiments”,IMF,PP470,199410、跨期生活費(fèi)用指數(shù)AlchianKleinAlchian,Klein“OnacorrectmeasureJournalofMoney,CreditandBanking,Feb.11、動(dòng)態(tài)均衡物價(jià)指數(shù)ShibuyaShibuya,“Dynamicequilibriumpriceindex:assetpriceandinflation”,MonetaryandEconomicStudies,InstituteforMonetaryandEconomicStudies,BankofJapan,10(1),199212、有彈性的通貨膨脹目標(biāo)BenBernankeandMarkGertlerBenBernankeandMark“Monetarypolicyandassetpricevolatility”,in“NewChallengeforMonetaryPolicy”,JacksonHole,August26-28,199913、金融體系內(nèi)在脆弱性假說(shuō)米什金Minsky,H.“thefinancialinstabilityhypothesis：restatement”14、生命周期假說(shuō)(Lifecyclehypothesis)莫迪利亞尼、布倫伯格Modigliani,Fandbrumberg,F,1954,“Utilityanalysisandtheconsumptionfunction:aninterpretationofcross-sectiondata.inpost-keynesianeconomicsed.K.K.Kurihara,NewBrunswick:RutgersuniversitypressModigliani,Fandbrumberg,F1954.“Utilityanalysisandaggregateconsumptionfunctions:anattemptatintegration”inthecollectedpapersoffrancomodigliani,vol.2,thelifecyclehypothesisofsaving,ed.A.Abel,Cambridge,Mass:MITPress,1980:79-12715(Liquiditypreference)Keynes，J.M.1937,“Alternativetheoriesofrateofinterest”,EconomicJournal47,June:241-52,inthegeneraltheoryandafter;part2defenceanddevelopment,collectedwritingofJ.M.KeynesVol.XIV,ed.D.E.Moggride,London:MacmllanKeynes，J.M.1936,“Thegeneraltheoryofemployment,interestandmoney”collectedwritingofJ.M.KeynesVol.XII,ed.D.E.Moggride,London:16(InflationGap)Keynes,J.M1940,”Howtopayforthewar”,Lodon”Macmillan.Reprintedinessaysinpersuadsion:ThecollectedWritingofJonhMayynardKeynesVol.IX,LondonMacmillan,197217、IS-LM模型?？怂梗瑵h森J.R.Hicks,1937,18、銀行的衍生存款理論(derivativedeposittheoryofbanking)詹姆斯.彭寧頓“Observationsontheprivatebankingestablishmentsofthemetropolis:firstmemorandumtohuskissonInEconomicwritingsofJamespennington,ed.R.S.sayers,LondonTheLondonSchoolofEconomicsandpoliticalScience,196319BenBernanke,MarkGertlerandSimonGilchrist,financialacceleratorinaquantitativebusinesscycleframework”,NBERWorkingPaper20Fisher,I.1930“ThetheoryofInterest”NewYork:Macmillan21Hansen,A.H.1941“businesscyclesandnationalincome”NewYork:Norton22、“穩(wěn)定黃金”法則23最優(yōu)貨幣量學(xué)說(shuō)米爾頓.弗里德曼Friedman,M.,1969,“Theoptimalquantityofmoney”inTheoptimumquantityofmoneyandotheressays,Chicago:Aldine24、恒久性收入弗里德曼Friedman,M.1957,“Atheoryofconsumptionfunction”,university25-Baumol,W.J.1952“Thetransactionsdemandforcash:aninventorytheoreticapproach”,QuarterlyJournalofEconomics66,Nov.545-56Tobin,J.1956“Theinterest–elasticityoftransactionsdemandforcashReviewofeconomicsandstatistics29,May:124-3126Hansen,L.andSargent,T.1981“Linearrationalmodelsfordynamicallyinterrelatedvariables.InRationalExpectationsandEconometricpractice,ed.R.Lucas,Jr.andT.Sargent,Minneapolis:UniversityofMinnesotaPress2728.W.29·I·麥金農(nóng)和愛(ài)德華·S·濟(jì)發(fā)展中的金融深化》TheAmericanEconomicReview，1970s30Sargent,T.1979,“Anoteonmaximumlikelihoodestimationoftherationalexpectationsmodelofthetermstructure”,JournalofMonetaryEconomics5:133-4331、永久收入假設(shè)克里斯蒂諾、艾肯鮑姆、馬歇爾Christensen,L.,Eichenbaum,M.andMarshall,D.1911.“Thepermanentincomehypothesisrevisited”,Econometrica59;397-32、貨幣中性(Neutralityofmoney)哈耶克Hayek,F.A.von.1931“Pricesandproduction”,London:GeorgeRoutledge33、貨幣交易方程式費(fèi)雪Fisher,I.1911,“Thepurchasingpowerofmoney”,2ndedn.1926;reprintedNewYork:Kelley,196334、可貸資金理論3536371、購(gòu)買(mǎi)力平價(jià)理論卡塞爾Cassel,G.1916,“Thepresentsituationoftheforeignexchanges”,EconomicJournal26,March:62－52、資產(chǎn)組合平衡分析BransonBranson,”Assetmarketandrelativepricesinexchangeratedetermination”,197734、一價(jià)定律IzardIsard,p.1979,“Howfarcanwepushthelawofoneprice?”AmericanEconomicReview675Triffen,R.1960,“Goldenanddollarcrisis”,NewHaven:Yale6、M－F模型MundellR.AMundellR.A,“Theappropriateuseofmonetaryandfiscalpolicyunderfixedexchangerate”IMFStaffPaper,19627、格雷欣法則ThomasGresham1560,ThomasGresham1869,“Thehistoryofeconomics”,London:bliss,sandsandCo.8J－曲線(xiàn)效應(yīng)(J－curveeffect)Magee,S.,1973,“Currencycontracts,pass-through,devaluation”Brookingspaperoneconomic9、國(guó)際收支的吸收分析法(Absorptionapproachtothebalanceofpayments)亞歷山大Alexander,S.S.,1952,“effectsofdevaluationonatradebalance”,InternationalmonetaryfundStaffpapers,Vol.2:263-78Alexander,S.S.,1959,“Asimplifiedsynthesisofelastictiesandabsorptionapproaches”,AmericanEconomicReview49:22-4210(optimalcurrencyareas)蒙代爾Mundell,R.A.1961,“Atheoryofcurrencyareas”,AmericanEconomicReview,September:657-11、國(guó)際收支的彈性分析方法(Elasticitiesapproachtothebalanceofpayments)查爾斯.比克Bickerdike,C.F.1920,“Theinstabilityofforeignexchange”,EconomicJournal12、抵補(bǔ)利率平價(jià)(coveredinterestparity)凱恩斯Keynes,J.M,1923“Atractonreform”,London:13(Marshall-LenerCondition)Marshall,A.1923“Money,creditandcommerce”London:Macmillan14、貨幣貶值的吸收方法悉尼.亞特蘭大Alexander,S.1952,“Effectsofadevaluationontradebalance”,InternationalMonetaryFundStaffPaper2:263-15、貨幣貶值的貨幣方法蒙代爾Mundell,R.A.1971,“monetarytheory”pacificpalisades:Goodyear16、國(guó)際收支依賴(lài)性經(jīng)濟(jì)模型斯旺Swan,T.W.1960,“Economiccontrolinaeconomy”,Economicrecord36:51-17、匯率超調(diào)模型多恩布什Dornbusch,R.1976,“ExpectationsandexchangerateJournalofPoliticalEconomy84(6):1161-1、隨機(jī)游走模型Kendall,Osborn,Arnold2、有效率市場(chǎng)假說(shuō)(Efficientmarkethypothesis)EugeneFamaEugeneFama，EfficientCapitalMarket:aReviewofTheoryandEmpiricalWork”,JournalofFinance,May19703、規(guī)模效應(yīng)（或小公司效應(yīng)）RolfBanzBanz,R.1981,“Therelationshipbetweenreturnmarketvalueofcommonstock”,JournalofFinancialEconomics9:3-18小公司效應(yīng)在一月份的DonaldKeim,“SizeRelatedAnomaliesandStockReturnSeasonality:FutureEmpiricalEvidence”,JournalofFinancialEconomics,June1983;MarshallBlume,RobertStambaugh,BiasesinComputedReturns:anApplicationtoSizeEffect”,JournalofEconomics,August4、流動(dòng)性效應(yīng)Amihud&5、賬面價(jià)值/市場(chǎng)價(jià)值比率效應(yīng)EugeneFama,KennethFrenchEugeneFama,KennethFrench,“TheCrossSectionofExpectedStockReturns”,JournalofFinance,June1992.6（過(guò)度反應(yīng)）DeBondt,ThalerDeBondtThaler,“DoestheStockMarketJournalofFinance,7N.Jegadeesh,S.Titman,N.Jegadeesh,S.Titman,“ReturntoBuyingWinnersandSellingLosers:ImplicationsforStockMarketEfficiency”,JournalofFinance,(48)19938、股權(quán)溢價(jià)之謎米拉，普雷斯科特Mehra,R.andPrescott,E.1985.“Theequitypremium:puzzle.”JournalofMonetaryEconomics9、Grossman-Stiglitz悖論Grossman,Sanford,J.andStiglitz,J.EGrossman,Sanford,J.andStiglitz,J.E.,1980,,“OntheImpossibilityofInformationallyEfficientMarketsAmericanEconomicReview70,393-40810HarryMarkowitz,HarryMarkowitz,“PortfolioSelection”,JournalFinance,March11、資本資產(chǎn)定價(jià)模型（CAPM）威廉?夏普Sharpe,W.F.1964,“Capitalassetprices:atheoryofmarketequilibrumunderconditionsrisk”,JournalofFinance19,September 有資產(chǎn)都可以市場(chǎng)化的假設(shè)，推導(dǎo)出存在非市場(chǎng)化資產(chǎn)情況下的資產(chǎn)定價(jià)公式。DavidMayers,“NonmarketableAssetsandCapitalMarketEquilibriumunderUncertainty”,InStudierintheTheoryofCapitalMarkets,ed.MichaelJensen,NewYork:Praeger.2.多因素的資本資產(chǎn)定價(jià)RobertMerton,“AnIntertemporalCapitalAssetPricingModel”Econometrica1973.3.以消費(fèi)為導(dǎo)向的資本資產(chǎn)定價(jià)模型BreedenD.,AnIntertemporalAssetPricingModelStochasticConsumptionandInvestmentOpportunities”,JournalofFinancialEconomics,(7)1979.12、APTStephenA.RossRoss,S.A.,“Thearbitragetheoryofcapitalassetpricing”,JournalofEconomicTheory13（3，Dec.341-6013、共同基金定理(mutualfundtheorem)JamesTobinJamesTobin,“LiquidityPreferenceasBehaviortowardRisk”,TheReviewofEconomicStudies,February195814M－M定理（又稱(chēng)不相關(guān)定理）Modigliani,FrancoandMertonH.MillerModiglianiMiller,“Thecostofcapital,corporationfinance,andthetheoryofinvestment” EconomicReview,48：261－97，195815F.Modigliani,M.H.MillerF.Modigliani,M.H.Miller,“DividendPolicy,GrowthandtheValuationofSharesJournalofBusiness,October1961.F.Modigliani,M.H.Miller,CorporateIncomeTaxesandtheCostofCapital:ACorrection,”AmericaneconomicReview,53(June1963)pp.433-443認(rèn)識(shí)到稅收對(duì)資本結(jié)構(gòu)以及企業(yè)價(jià)值的稅盾（taxshield）效應(yīng)，對(duì)MM定理進(jìn)行了修正。Farrar,DonaldE.andSelwyn,LeeL.“Taxes,CorporateFinancialandReturntoInvestment,”NationalTaxJournal,20,No.4(Dec.1967),pp.444-454Miller,Merton.H,“DebtandTaxes,”JournalofFinance32,1977,pp.261-275從投資者之間在邊際稅率16、破產(chǎn)成本主義Baxter,NevinsD.Baxter,NevinsD.“Leverage,RiskofRuinandtheLostofCapital”,JournalofFinance22,no.4(September,1967)pp.395-404一旦債務(wù)超過(guò)可接受的水平，融資還會(huì)增加企業(yè)全部盈利的風(fēng)險(xiǎn)性，進(jìn)而減少企業(yè)總價(jià)值。參考Stiglitz,JosephE.,“ARe-ExaminationoftheModigliani-MillerTheorem,”TheAmericanReview,59(Dec.1969)pp.784-793Stiglitz,JosephE.,“OntheIrrelevanceofcorporateFinancialPolicy,”TheAmericanReview,64(Dec.1974)pp.851-85617權(quán)衡理論Robichek,AlexanderA.,andMyers,Stewart,Robichek,AlexanderA.,andStewart,“ProblemsintheTheoryofOptimalCapitalStructure”,JournalofFinancialandQuantitativeAnalysis,1,no.1(1966)Myers,Stewart,“TheCapitalStructurePuzzle,”JournalFinance,39,no.3(July1984),pp.575-592Masulis,RonaldW.“Discuss:HowBigistheTaxAdvantagetoDebt?”TheJournalofFinance,39,no.3(July1984),pp.853-85518、代理成本理論M.Jensen,W.Meckling,M.Jensen,W.Meckling,“TheTheoryoftheFirm:ManagerialBehavior,AgencyCosts,andCapitalStructure”,JournalofFinancialEconomics,May19Smith,CliffordW.andWarner,JeroldB.Smith,CliffordW.andWarner,B.“OnFinancialContracting:AnAnalysisofBondCovenants,”JournalofFinancialEconomics20Spence,A.M.andS.A.RossSpence,A.M.“JobMarketingSignaling,”JournalofEconomics87,1973,pp.355-374S.A.Ross,“TheDeterminationofFinancialStructure:theIncentiveSignalingApproach”,BellJournalofEconomics,(8)1977將信號(hào)理論運(yùn)用到資本結(jié)21、新融資優(yōu)序論Myers,StewartC.andMajluf,NicholasS.Myers,StewartC.andMajluf,NicholasS.“CorporateFinancingandInvestmentDecisionsWhenFirmsHaveInformationThatInvestorsDoNotHave”,JournalofFinancialEconomics,13(1984)pp.187-22122、公司控制權(quán)市場(chǎng)HenryManneHenryManne,“MergersandtheMarketforControl”,JournalofPoliticalEconomics(1965)pp110-23、金融契約論Grossman,SanfordandHart,OliverGrossman,SanfordandHart,Oliver,“TakeoverBids,theFreeRiderProblem,andtheTheoryofCorporation”,BellJournalofEconomics,11,no.1(1980)pp42-6324、公司治理結(jié)構(gòu)學(xué)說(shuō)Williamson,OliverEWilliamson,OliverE.,“CorporateFinanceCorporateGovernance”,JournalofFinance,43no.3(June1988)pp.567-25、自由現(xiàn)金流理論Jensen,MichaelC.Jensen,MichaelC.“AgencyCostsofFreeCashFlow,CorporateFinanceandTakeover”,AmericanEconomicReview,May1986,vol.76,no.2pp323-329Jensen,MichaelC“TheFreeCashFlowTheoryofTakeover:AAinancialPerspectiveonMergersandAcquisitionsandtheEconomy”,“TheMergerBoomProceedingsofaconferencesponsordbyFederalReserveBankofBoston,Oct.1987,pp.102-143.26、Delong,Shleifer,Summers,Waldmann,Delong,Shleifer,Waldmann,“NoiseTraderRiskinfinancialMarkets”,JournalofPoliticalEconomy,27、行為資本資產(chǎn)定價(jià)模型HershShefrin,MeirStatman,HershShefrin,MeirStatman,“BehavioralCapitalAssetPricingTheory”,JournalofFinancialandQuantativeAnalysts,September1994.28（又稱(chēng)前景理論）D.Kahneman,A.TverskyD.Kahneman,A.Tversky,“Theory:AnAnalystsofDecisionMakingUnderRisk”,Econometrica,March29SummersDelong,J.B.Shleifer,A.SummersandRobertsJ.W,“Positivefeedbackinvestmentstrategiesanddestabilizingrationalspeculation”,TheJournalofFinance,Vol.30NoisetradeBlack,FBlack,F,1986,“Noise”,JournalofFinance41,July:529-31、32Huberman,G.1982,“Asimpleapproachtoarbitragepricing”,JournalofEconomictheory28：183－9133Black,F.andScholes,M.J.1973,“Thepricingofoptionsandcorporateliabilities”,JournalofPoliticalEconomy81(3),May:637-54（Cox（Ross35、貼現(xiàn)現(xiàn)金流模型(Discountcashflowmodel)布倫南Brennan,M.1979,“Thepricingofcontingentclaimsindiscretetimemodels”,JournalofFinance34:53-6836、貝葉斯決策理論Bayesiandecisiontheo