人大金融必读书目

陈雨露、张杰、瞿强联合推荐2004-12-7MankiwRamanathanS.Mishkin4·博迪、罗伯特·5·A·6·7Jeff.Madura8Suresh.M.Sundaresan10·（Don.M.Chanc陈雨露、张杰、瞿强联合推荐2004-12-7MankiwRamanathanS.Mishkin5·博迪、罗伯特·7·Maddison101Pigou,A.C.,“Thevalueofmoney”QuarterlyJournalofEconomics2、模仿传染模型Lux.TLux.T,“Herdbehavior,bubblesandcrashes”,TheEconomicVol.105,pp881-896,3q效应托宾Tobin,“Ageneralequilibriumapproachtomonetarytheory”,JournalofMoney,CreditandBanking,pp15-29,Feb.19694、消费的财富效应莫迪利亚尼FrancoModigliani,“MonetaryPolicyandConsumption”,ConsumerSpendingandMoneyPolicy:TheLinkages(FederalReserveBankofBoston.1971),5、流动性偏好凯恩斯Kenyes,J.M.,1936,“Thegeneraltheoryofemployment,interestrateandmoney”inthecollectedwritingsofJohnMaynardKeeynes,Vol.6London:Macmillan,19716Kydland,F.E.andPrescott,E.C..“Timetoandaggregatefluctuations”,Econometrica50(6),November:1345-70,7、泰勒规则泰勒TaylorJ.,“Discretionversuspolicyrulesinpractice”,Carnegie-RochesterConferenceSeriesonPublicPolicy,Vol.39,19938、动态非一致性博弈模型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、跨期生活费用指数AlchianKleinAlchian,Klein“OnacorrectmeasureJournalofMoney,CreditandBanking,Feb.11、动态均衡物价指数ShibuyaShibuya,“Dynamicequilibriumpriceindex:assetpriceandinflation”,MonetaryandEconomicStudies,InstituteforMonetaryandEconomicStudies,BankofJapan,10(1),199212、有弹性的通货膨胀目标BenBernankeandMarkGertlerBenBernankeandMark“Monetarypolicyandassetpricevolatility”,in“NewChallengeforMonetaryPolicy”,JacksonHole,August26-28,199913、金融体系内在脆弱性假说米什金Minsky,H.“thefinancialinstabilityhypothesis：restatement”14、生命周期假说(Lifecyclehypothesis)莫迪利亚尼、布伦伯格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模型希克斯，汉森J.R.Hicks,1937,18、银行的衍生存款理论(derivativedeposittheoryofbanking)詹姆斯.彭宁顿“Observationsontheprivatebankingestablishmentsofthemetropolis:firstmemorandumtohuskissonInEconomicwritingsofJamespennington,ed.R.S.sayers,LondonTheLondonSchoolofEconomicsandpoliticalScience,196319BenBernanke,MarkGertlerandSimonGilchrist,financialacceleratorinaquantitativebusinesscycleframework”,NBERWorkingPaper20Fisher,I.1930“ThetheoryofInterest”NewYork:Macmillan21Hansen,A.H.1941“businesscyclesandnationalincome”NewYork:Norton22、“稳定黄金”法则23最优货币量学说米尔顿.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·麦金农和爱德华·S·济发展中的金融深化》TheAmericanEconomicReview，1970s30Sargent,T.1979,“Anoteonmaximumlikelihoodestimationoftherationalexpectationsmodelofthetermstructure”,JournalofMonetaryEconomics5:133-4331、永久收入假设克里斯蒂诺、艾肯鲍姆、马歇尔Christensen,L.,Eichenbaum,M.andMarshall,D.1911.“Thepermanentincomehypothesisrevisited”,Econometrica59;397-32、货币中性(Neutralityofmoney)哈耶克Hayek,F.A.von.1931“Pricesandproduction”,London:GeorgeRoutledge33、货币交易方程式费雪Fisher,I.1911,“Thepurchasingpowerofmoney”,2ndedn.1926;reprintedNewYork:Kelley,196334、可贷资金理论3536371、购买力平价理论卡塞尔Cassel,G.1916,“Thepresentsituationoftheforeignexchanges”,EconomicJournal26,March:62－52、资产组合平衡分析BransonBranson,”Assetmarketandrelativepricesinexchangeratedetermination”,197734、一价定律IzardIsard,p.1979,“Howfarcanwepushthelawofoneprice?”AmericanEconomicReview675Triffen,R.1960,“Goldenanddollarcrisis”,NewHaven:Yale6、M－F模型MundellR.AMundellR.A,“Theappropriateuseofmonetaryandfiscalpolicyunderfixedexchangerate”IMFStaffPaper,19627、格雷欣法则ThomasGresham1560,ThomasGresham1869,“Thehistoryofeconomics”,London:bliss,sandsandCo.8J－曲线效应(J－curveeffect)Magee,S.,1973,“Currencycontracts,pass-through,devaluation”Brookingspaperoneconomic9、国际收支的吸收分析法(Absorptionapproachtothebalanceofpayments)亚历山大Alexander,S.S.,1952,“effectsofdevaluationonatradebalance”,InternationalmonetaryfundStaffpapers,Vol.2:263-78Alexander,S.S.,1959,“Asimplifiedsynthesisofelastictiesandabsorptionapproaches”,AmericanEconomicReview49:22-4210(optimalcurrencyareas)蒙代尔Mundell,R.A.1961,“Atheoryofcurrencyareas”,AmericanEconomicReview,September:657-11、国际收支的弹性分析方法(Elasticitiesapproachtothebalanceofpayments)查尔斯.比克Bickerdike,C.F.1920,“Theinstabilityofforeignexchange”,EconomicJournal12、抵补利率平价(coveredinterestparity)凯恩斯Keynes,J.M,1923“Atractonreform”,London:13(Marshall-LenerCondition)Marshall,A.1923“Money,creditandcommerce”London:Macmillan14、货币贬值的吸收方法悉尼.亚特兰大Alexander,S.1952,“Effectsofadevaluationontradebalance”,InternationalMonetaryFundStaffPaper2:263-15、货币贬值的货币方法蒙代尔Mundell,R.A.1971,“monetarytheory”pacificpalisades:Goodyear16、国际收支依赖性经济模型斯旺Swan,T.W.1960,“Economiccontrolinaeconomy”,Economicrecord36:51-17、汇率超调模型多恩布什Dornbusch,R.1976,“ExpectationsandexchangerateJournalofPoliticalEconomy84(6):1161-1、随机游走模型Kendall,Osborn,Arnold2、有效率市场假说(Efficientmarkethypothesis)EugeneFamaEugeneFama，EfficientCapitalMarket:aReviewofTheoryandEmpiricalWork”,JournalofFinance,May19703、规模效应（或小公司效应）RolfBanzBanz,R.1981,“Therelationshipbetweenreturnmarketvalueofcommonstock”,JournalofFinancialEconomics9:3-18小公司效应在一月份的DonaldKeim,“SizeRelatedAnomaliesandStockReturnSeasonality:FutureEmpiricalEvidence”,JournalofFinancialEconomics,June1983;MarshallBlume,RobertStambaugh,BiasesinComputedReturns:anApplicationtoSizeEffect”,JournalofEconomics,August4、流动性效应Amihud&5、账面价值/市场价值比率效应EugeneFama,KennethFrenchEugeneFama,KennethFrench,“TheCrossSectionofExpectedStockReturns”,JournalofFinance,June1992.6（过度反应）DeBondt,ThalerDeBondtThaler,“DoestheStockMarketJournalofFinance,7N.Jegadeesh,S.Titman,N.Jegadeesh,S.Titman,“ReturntoBuyingWinnersandSellingLosers:ImplicationsforStockMarketEfficiency”,JournalofFinance,(48)19938、股权溢价之谜米拉，普雷斯科特Mehra,R.andPrescott,E.1985.“Theequitypremium:puzzle.”JournalofMonetaryEconomics9、Grossman-Stiglitz悖论Grossman,Sanford,J.andStiglitz,J.EGrossman,Sanford,J.andStiglitz,J.E.,1980,,“OntheImpossibilityofInformationallyEfficientMarketsAmericanEconomicReview70,393-40810HarryMarkowitz,HarryMarkowitz,“PortfolioSelection”,JournalFinance,March11、资本资产定价模型（CAPM）威廉?夏普Sharpe,W.F.1964,“Capitalassetprices:atheoryofmarketequilibrumunderconditionsrisk”,JournalofFinance19,September 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。DavidMayers,“NonmarketableAssetsandCapitalMarketEquilibriumunderUncertainty”,InStudierintheTheoryofCapitalMarkets,ed.MichaelJensen,NewYork:Praeger.2.多因素的资本资产定价RobertMerton,“AnIntertemporalCapitalAssetPricingModel”Econometrica1973.3.以消费为导向的资本资产定价模型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（又称不相关定理）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认识到税收对资本结构以及企业价值的税盾（taxshield）效应，对MM定理进行了修正。Farrar,DonaldE.andSelwyn,LeeL.“Taxes,CorporateFinancialandReturntoInvestment,”NationalTaxJournal,20,No.4(Dec.1967),pp.444-454Miller,Merton.H,“DebtandTaxes,”JournalofFinance32,1977,pp.261-275从投资者之间在边际税率16、破产成本主义Baxter,NevinsD.Baxter,NevinsD.“Leverage,RiskofRuinandtheLostofCapital”,JournalofFinance22,no.4(September,1967)pp.395-404一旦债务超过可接受的水平，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,JosephE.,“ARe-ExaminationoftheModigliani-MillerTheorem,”TheAmericanReview,59(Dec.1969)pp.784-793Stiglitz,JosephE.,“OntheIrrelevanceofcorporateFinancialPolicy,”TheAmericanReview,64(Dec.1974)pp.851-85617权衡理论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、代理成本理论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将信号理论运用到资本结21、新融资优序论Myers,StewartC.andMajluf,NicholasS.Myers,StewartC.andMajluf,NicholasS.“CorporateFinancingandInvestmentDecisionsWhenFirmsHaveInformationThatInvestorsDoNotHave”,JournalofFinancialEconomics,13(1984)pp.187-22122、公司控制权市场HenryManneHenryManne,“MergersandtheMarketforControl”,JournalofPoliticalEconomics(1965)pp110-23、金融契约论Grossman,SanfordandHart,OliverGrossman,SanfordandHart,Oliver,“TakeoverBids,theFreeRiderProblem,andtheTheoryofCorporation”,BellJournalofEconomics,11,no.1(1980)pp42-6324、公司治理结构学说Williamson,OliverEWilliamson,OliverE.,“CorporateFinanceCorporateGovernance”,JournalofFinance,43no.3(June1988)pp.567-25、自由现金流理论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、行为资本资产定价模型HershShefrin,MeirStatman,HershShefrin,MeirStatman,“BehavioralCapitalAssetPricingTheory”,JournalofFinancialandQuantativeAnalysts,September1994.28（又称前景理论）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、贴现现金流模型(Discountcashflowmodel)布伦南Brennan,M.1979,“Thepricingofcontingentclaimsindiscretetimemodels”,JournalofFinance34:53-6836、贝叶斯决策理论Bayesiandecisiontheo