中国经济研究中心陈平教授

中国经济研究中心陈平教授

复杂金融学（3学分）

2009年春季研究生选修课

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，但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：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

课程简介

新古典经济学的金融理论无法解释金融危机的起源和机制。当前严重的金融危机，有必要着重研讨和现实紧密相关的金融危机理论，并结合现实做数据分析，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。

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. “Mark et 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 Econo mic 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 C olor 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：/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).