CUEB
《法学专题》教学大纲
Topics of Law Syllabus
课程代码：Course Code：150002B
课程类型：Course Type：学科基础课Discipline Basic Course
学时：Periods ：32
学分：Credits：2
适用专业：经济学、国际经济与贸易、贸易经济、统计学、金融学等
Applicable Majors: Economics, international economics and trade, trade economics, statistics, and finance
先修课程:无
Preparatory Courses: none
一、课程的教学目标（Course objectives）
本课程是一门学科基础课，为经济学、统计学、管理学等专业的学生提供与其专业有一定关联度的从法学角度出发的学习专题。它以时下的经济现象为切入点，从消费者权益、劳动者保护、保险、市场竞争与垄断、知识产权、国际贸易与税收、外商投资等几个方面，向学生介绍经济法和国际贸易法的基础知识。本课程的引入是一种创新型的课程设计，为学生提供了跨学科的知识储备，使得学生能够运用所学法学基础知识从法律视角分析市场经济中出现的经济现象和提出法律意见。而且，本课程对于提高学生的逻辑思维能力以及培养学生的跨学科的思维方式具有重要意义。
This course is a fundamental course which provides topics to learn from the perspective of law for students major in economics, statistics and management. It starts with the current economic phenomena, introduces the basic knowledge of economic law and international trade law to analyze the issues with regards to customers’ right, social welfare, insurance and medical care, market competition and antitrust, intellectual property, international trade and taxation, foreign investment etc. It is an innovative curriculum design to introduce this course to students major in other subjects. This course will equip students with interdisciplinary knowledge, and enable students to utilize the law theory they learn to analyze the economic problems from the perspective of law and further give their legal advice. Furthermore, this course will be useful to promote students logical and interdisciplinary thinking.
二、教学基本要求（Requirements）
（一）教学内容
本课程的主要内容是阐述与经济现象有关的法学理论的基础知识。通过本课程的教学，要求学生了解国际贸易法中的有关合同、支付、运输和保险的基础法律知识，了解经济法中的有关公司法、合同法、劳动合同法、消费者权益保护法、反不正当竞争法、反垄断法、知识产权法的基础法律知识。
The main content of this course is the basic legal theory related to the economic phenomenon. By this course, students are required to learn basic legal knowledge about contract, payment, transportation and insurance in the field of international trade law and corporation, contract, labor contract, customer protection, unfair competition, antitrust, intellectual property protection, in the field of economic law.
（二）教学方法和手段
该课程的教学以专题的形式进行，每节课在介绍基础理论知识之后，引导学生自主分析和辩证思考当今社会上的某一个具体的热点经济问题、法律现象或者国际贸易中的实务案例。
The course will be taught by topics and case-based. Each lesson will introduce the basic theory first and then encourage students to debate and think dialectically one hot economic problem, legal topic or a case of international trade.
（三）考核方式(assessment and Grading Policy)
The total score is 100，the weight of different parts is as followed.
1. 出勤Attendance 10 %
2. 期中考试mid-term exam 10%
3. 课堂讨论与展示 In-Class discussion and presentation) 10%
4. 期末考试Final Exam(written exam) 70%
Grades are on a 100-points scale:
|90-100 |80-89 |70-79 |60-69 |59- |
|A |B |C |D |E |
（四）学习要求 (requirements)
先修课程：无
Preparatory Courses: none
课后作业：Homework after class
学生自学：Reading materials before class, team work on some topics.
三、各教学环节学时分配（Course Schedule）
Class Schedule
|章节内容（Contents） |讲课 |讨论与展示 |其他 |
| |Lecture（hours）|Discussion&Presentat|Others |
| | |ion | |
|第一章 绪 论 |1 |0 |课后阅读 |
|Chapter 1 Introduction | | |Reading |
|第二章 国际投资法 |3 |1 |课后阅读 |
|Chapter 2 international investment law | | |Reading |
|第三章 公司法 |3 |1 |课后阅读 |
|Chapter 3 corporation law | | |Reading |
|第四章 经济法 |3 |1 |课后阅读 |
|Chapter 4 economic law | | |Reading |
|期中考试 mid-term exam |1 |1 |课后阅读 |
| | | |Reading |
|第五章 知识产权法 |3 |0 |课后阅读 |
|Chapter 5 intellectual property law | | |Reading |
|第六章 国际货物买卖合同法 |5 |1 |课后阅读 |
|Chapter 6 international trade contract law | | |Reading |
|第七章 国际货物运输、支付与保险法 |5 |1 |课后阅读 |
|Chapter7 international trade transportation law | | |Reading |
|总结与复习 Summary and review |1.5 |0.5 |总计32课时 |
四、教学内容 (Teaching Contents）
第一章绪论
Chapter 1：Introduction
重点和难点：法学与其他学科的联系、与经济现象有关的法律的范畴。
教学组织和设计：讲授
学习标准：了解与经济现象有关的法学知识的主要研究内容，了解法学与其他学科的联系，掌握法学的研究方法。
Key Points: the relationship between law and other subjects, the scope of rules related to economic phenomenon.
Teaching method: lecture
Outcome: know the main legal rules related to economic phenomenon, understand the relationship between law and other subjects and learn the methodology for legal research.
第二章 国际投资法
Chapter 2: international investment law
内容：
对内投资和对外投资的相关法律
在中国设立外商投资企业的程序和要求
中国企业“走出去”的程序和要求
跨国并购法律实务与风险防范
国际投资的法律尽职调查
重点和难点：
跨国并购的风险防范与失败原因，法律尽职调查的内容
教学组织和设计：
讲授，案例分析
学习标准：
了解国际投资的基本方式，跨国并购的基本法律知识，了解法律尽职调查报告的内容和重要性。
Contents
Rules related to inbound and outbound investments;
Procedure and requirement for establishing Foreign invested enterprises in China;
Procedure and requirement for Chinese enterprises going abroad;
the practice an risk for cross-border M&A
legal due diligence for international investment
Key points：the reasons for failure of cross-border M&A transaction and the approaches to prevent the legal risks, the scope of legal due diligence
Teaching method: lecture, case study
Outcome: learn the basic legal knowledge with regards to corss-border M&A, the ways of international investments, and learn the scope and importance of legal due diligence report.
第三章 公司法
Chapter 3 corporation law
内容
在中国设立公司与合伙企业的程序
出资与利益分配
公司的组织机构与公司治理法律制度
公司上市、合并、重组与破产
揭开公司的面纱理论
重点和难点：
揭开公司的面纱理论，股东的责任， 公司与合伙企业的区别
教学组织和设计：讲授，案例分析
学习标准：
了解公司与合伙三种形式的区别、有限责任公司与股份有限公司的区别，了解公司上市、重组、并购与破产问题，了解股东的法律责任及法定代表人的法律风险
Contents
the procedure for establishing company and partnership in China
the capital contribution and profit distribution
Organization of a company and company governance
IPO, merger, reorganization and bankruptcy
Theory: Piercing the corporate veil
Key points：Piercing the corporate veil, the liability of shareholders, the difference between company and partnership
Teaching method: lecture, case study
Outcome: Learn the difference between company and partnership, learn the difference between a limited liability company and a stock limited company, learn IPO, reorganization and bankruptcy of an enterprise, learn the liability of shareholders and the responsibility of the legal representative of a company
第四章 经济法
Chapter 4 economic law
内容
反垄断法
反不正当竞争法
消费者权益保护法
劳动合同法
重点和难点：
垄断行为的判断标准，垄断与不正当竞争的区别，消费者维权，劳动合同的违约与解除
教学组织和设计：
讲授，案例分析
学习标准：
了解垄断行为的种类、反不正当竞争行为的种类、消费者的权利和经营者的义务、劳动合同及劳动者利益的保护
Contents:
Antitrust law
Unfair competition law
Consumer protection law
labor contract law
Key points：the examination of monopoly, the difference between monopoly and unfair competition, the protection of consumers’ right, the breach and termination of a labor contract.
Teaching method: lecture, case study
Outcome: learn the types of monopoly and the types of unfair competition, the right of consumer and the obligation of business operator, the labor contract and the protection of employees’ interests.
第五章 知识产权法
Chapter 5 intellectual property law
内容
著作权法
专利法
商标法
商业秘密的保护
重点与难点：
知识产权的限制，知识产权滥用，作品的独创性判断，商标的显著性判断，商标侵权的混淆判断
教学组织和设计：
讲授，案例分析
学习标准：
了解知识产权的取得，知识产权与其他权利的区别，知识产权侵权责任的判断与承担，法律对知识产权的限制
Contents:
copyright law
patent law
trademark law
protection of confidential information
Key points：the limitation of IP, the abuse of IP, the originality of a work, the distinctiveness of a mark, the examination of confusion for trademark infringement.
Teaching method: lecture, case study
Outcome: know the requirement of IP, the difference between IP and other rights, the examination of liability for IP infringement and the limitation of IP
第六章 国际货物买卖合同法
Chapter 6 international trade contract law
内容：
国际货物买卖合同的订立、履行、违约、救济
买卖双方的权利与义务
货物风险的转移
国际货物销售合同公约与贸易术语解释通则
重点与难点：
fob，cif，cfr三个贸易术语、要约与承诺、风险转移规则
教学组织和设计：
讲授，案例分析
学习标准：
掌握国际货物销售合同公约的基本内容和适用范围，能够判断在不同的贸易术语之下买卖双方的义务以及风险转移的规则，了解合同的订立要件、对合同履行的要求，违约的救济措施。
Contents：
the formation, performance, default and remedies of a contract.
The right and obligation of the seller and buyer
The transfer of risk for goods
The CISG and the incoterms
Key points：the three terms FOB,CIF and CFR, offer and acceptance, the principle for risk transfer
Teaching method: lecture, case study
Outcome: know the main contents and the application of the CISG, examine the obligations of the seller and buyer and the risk transfer under a contract with different incoterms, learn the requirement for a contract formation and performance, learn the remedies for breach of contract.
第七章 国际货物运输、支付与保险法
Chapter 7 international trade transportation law
内容：
国际海上货物运输法
与国际贸易有关的保险所涉及的法律问题
国际贸易大支付工具与支付方式
重点与难点：
提单运输中的责任承担、提单的运作机理、信用证的运作机理，平安险与水渍险的区别、保险合同的除外责任
教学组织和设计：讲授，案例分析
学习标准：
了解海上运输的方式，明白提单与信用证的使用规则，了解三个主要的海事险种，能够运用所学理论知识分析具体的案例
Contents:
The law regarding the carriage of goods by sea
Legal issues with regards to the insurance for international transaction of goods
The tool and method of payment for international trade
Key points：the liability for charter parties, the mechanism of a bill of lading, the mechanism of letter of credit, the difference between F.P.A. and W.P.A，the exemption of Liability under an insurance contract
Teaching method: lecture, case study
Outcome: learn the main maritime transportation methods, understand the mechanism of B/L and L/C, know the three basic types of maritime insurances, and analyze cases by the theory learnt.
五、主要参考书(References)
指定教材
International Economic Law, Asif H. Qureshi，Routledge,2010
International Business law, 5th edition,Ray August, China Machine Press,2010
International Investment Law, Bungenberg Marc etc., Hart Publishing, 2014
参考文献
《经济法》，李昌麒 ，法律出版社2008年版。
《国际商法》，谢海霞、金晓晨、宋成斌 ，对外经济贸易大学出版社2009年版。
《国际投资法》，余劲松，法律出版社2005年版。
《法律英语》，何家弘，法律出版社 2008年版。
执笔人： 教研室主任： 系教学主任审核签名：
《固定收益证券》教学大纲
“Fixed Income Securities” Syllabus
课程编号：150003B
课程类型：专业必修课
总 学 时：48 讲课学时：48 实验（上机）学时：0
学 分：3
适用对象：统计学专业（国际班）
先修课程：无
Course code: 150003B
Course Type: Compulsory course
Credit hours: 48 Lectures: 48 Practice: 0
Credits: 3
Major: Statistics (International)
Prerequisite: None
1. 课程的教学目标（Learning objective）
固定收益证券是金融类专业本科生的专业课。其在行业内的重要性体现在以下三点：第一，目前是全球交易的金融资产中固定收益证券比重最大。其次，机构投资者，比如银行、养老基金或是共同基金所设计的投资组合中固定收益证券和利率的衍生工具占比最大。最后，理解利率的变化并对其建模是实行好的风险管理的重要前提。该课程的教学对培养与训练学生金融学思维方式，提高其综合素质和能力有非常重要的意义。本课程教学的主要目标是培养学生掌握固定收益类证券的基本理论知识，使学生能够将所学知识应用到将来所从事的金融证券行业的工作中去，或为本科以后阶段的学习打下坚实的理论基础。
Fixed income securities is a field course in Finance major. The course is an important course for three reasons. First, fixed income securities constitute by far the largest portion of globally traded assets. Institutional investors, such as banks, pension funds or mutual funds, have most of its trading portfolio composed of fixed income securities (treasury bills and bonds) and interest rate derivatives. Second, in developed financial markets, a significant part of capital for business is raised through issuing of corporate bonds. Last, but not least, proper understanding of changes in the interest rates and the ability to model them is a prerequisite for a good risk management. The instruction of fixed income securities plays very important role in building up students’ thinking as a practitioner in finance industry for the learners, and improving their comprehensive abilities to work and study. The aim of this course is to help student understand the basic theories and knowledge of fixed income securities, and apply the knowledge in this course to their future work in finance industry; or be well prepared for their future study in this field.
2. 教学基本要求（Teaching requirements）
（一）教学内容 (teaching materials)
这门课主要覆盖了以下十部分内容：(1)固定收益证券的概念、债券的种类。(2)债券发行市场、流通市场、债券交易、债券评级。(3)货币的时间价值、债券价值、复杂情况下债券价值等的计算。(4)债券收益率。(5)凸性和久期的概念，票面利率大小、到期时间、初始收益率与债券价格波动的关系。(6)名义利率决定理论、利率期限结构理论。(7)利率期货、利率期权、利率掉期。(8)利率衍生工具的定价。(9)可转换债券定价与收益分析。(10)债券投资组合管理策略。
The course covers (1) the concept of fixed-income securities, types of bond. (2) bond issue market, secondary market, bond trading, bond rating. (3) the time value of money, bonds’ value, the calculation of bond value under complex conditions. (4) bonds yields. (5) concept of convexity and duration, relationship of the coupon rate, maturity time, initial yield to bond price volatility. (6) the theory on nominal interest rate decision, on the interest rate term structure. (7) interest rate futures, interest rate options, interest rate swaps. (8) pricing of interest rate derivatives. (9) the analysis of convertible bond’s pricing and yield. (10) Bond portfolio management strategies.
（二）教学方法和手段
这门课理论性较强，以理论教授为主，学生练习为辅。同时安排“读、写、议”课堂以便学生能够深入理解基本原理；组织学生分组进行主题课堂讨论。
The course is mainly theoretical. The main teaching technique will be lecturing companied by students’ tutorial presentation. The class will involve reading, writing and discussion to help students fully understand the course materials. In-class group presentation will also be important parts of the course.
（三）考核方式 (Assessment and Grading)
该科满分一百，由以下各部分按不同权重组成。
The total score is 100，the weight of different parts is as followed.
|类别 (Components) |权重 (Weight) |
|平时成绩 (Coursework) |30% |
|1. 随堂小测验 (In-Class Quiz) |15% |
|2. 课堂讲演 (Tutorial Presentation) |15% |
|闭卷期末考试 (Final Exam) |70% |
|总共 (Total) |100% |
3. 各教学环节学时分配（Course schedule）
教学课时分配 Class schedule
|章节内容 |讲课 |实验 |其他 |合计 |
|Contents |Lecture (hours) |Practice |Other |Total |
| | |(hours) |(hours) |(hours) |
|货币的时间价值 |2 |1 | |3 |
|Time Value of Money | | | | |
|固定收益证券及其市场概述 |2 |1 | |3 |
|Introduction to Fixed Income Securities and Markets | | | | |
|债券定价及收益率 |2 |1 | |3 |
|Bond Price and Yield | | | | |
|债券价格波动及其衡量指标 |2 |1 | |3 |
|Bond Price Volatility | | | | |
|利率的期限结构 |4 |2 | |6 |
|Term Structure of Interest Rate | | | | |
|利率模型（期限结构模型） |2 |1 | |3 |
|Interest-rate model (term structure model) | | | | |
|嵌入期权式债券分析 |4 |2 | |6 |
|Analysis of Bonds with Embedded Options | | | | |
|住房抵押贷款证券 |2 |1 | |3 |
|Residential Mortgage-Backed Securities | | | | |
|抵押担保债券 |2 |1 | |3 |
|Collateralized Mortgage Obligations | | | | |
|利率期货 |2 |1 | |3 |
|Interest Rate Futures | | | | |
|利率期权 |2 |1 | |3 |
|Interest Rate Options | | | | |
|利率掉期和信用违约掉期 |3 |1.5 | |4.5 |
|Interest Rate Swaps and Credit Default Swaps | | | | |
|债券投资组合策略 |3 |1.5 | |4.5 |
|Bond Portfolio Strategies | | | | |
|合计 |32 |16 | |48 |
|Total | | | | |
4. 教学内容（Teaching materials）
第一章 货币的时间价值
1. 市场利率的决定因素
2. 利率的类型
3. 现值和终值
4. 年金和永续年金
5. 非等额现金流
重点、难点：市场利率，现值和终值，金融计算器
考核要求：掌握市场利率的决定因素；掌握现金流、现值和终值的关系；掌握金融计算器的使用方法
Lecture 1 Time Value of Money
1. The Determinants of Market Interest Rates
2. Classification of Interest Rates
3. Present Values and Future Values
4. Annuities and Perpetuities
5. Uneven Cash Flows
Key Points: market interest rates, cash flows, present values and future values, financial calculator
Outcome: grasp the determinants of interest rates; grasp the relation among present value, future value and cash flows; understand how to use a financial calculator
第二章 固定收益证券及其市场概述
1. 债券特点概述
2. 美国国债和国库券
3. 美国州政府债
4. 公司债
重点、难点：债券特点，发行人类别，嵌入期权式债券，债券投资风险
考核要求：理解债券市场的主要构成部分；理解债券的主要种类及各自的特点
Lecture 2 Introduction to Fixed Income Securities and Markets
1. Overview of Bond Features
2. U.S. Treasury and Federal Agency Securities
3. U.S. Municipal Securities
4. Corporate Debt Instruments
Key Points: features of bonds, types of issuers, bonds with an embedded option, types of risks faced by investors in fixed-income securities
Outcome: understand the components of fixed income securities markets; understand types of bonds and their features
第三章 债券定价及收益率
1. 债券定价
2. 价格收益率关系
3. 到期收益率
4. 年化收益率和有效收益率
5. 债券的回报
6. 非债券付息日的债券定价
重点、难点：债券定价，到期收益率，应计利息，标价
考核要求：掌握债券定价；掌握到期收益率的计算；理解价格收益率曲线；理解应计利息和标价
Lecture 3 Bond Price and Yield
1. Pricing a Bond
2. Price-Yield Relationship
3. Yield to Maturity
4. Annualized and Effective Yields
5. Total Return of a Bond
6. Pricing a Bond between Coupons Payment Dates
Key Points: pricing a bond, yield to maturity, accrued interest, quoted price
Outcome: grasp the calculation of the price of a bond; grasp the calculation of yield to maturity; understand the price-yield relationship; understand the concept of accrued interest and quoted price
第四章 债券价格波动及其衡量指标
1. 债券价格波动的特点
2. 久期
3. 凸度
4. 用久期和凸度估计债券价格的变动
重点、难点：债券价格波动，久期，凸度，有效久期和凸度，价格变化估计
考核要求：理解债券价格波动；掌握久期，凸度的计算；掌握用久期和凸度估计债券价格变动的方法
Lecture 4 Bond Price Volatility
1. Price Volatility Characteristics of Option-Free Bonds
2. Duration
3. Convexity
4. Approximating price change using Duration and Convexity
Key Points: price volatility, duration, convexity, effective measures, approximating bond price change
Outcome: understand what is price volatility; grasp the calculation of duration and convexity; grasp the approximation of bond price using duration and convexity
第五章 利率的期限结构I
1. 基础利率和基准利差
2. 即期利率
3. 构造即期利率曲线
重点、难点：基础利率，利差，即期利率，自助法
考核要求：理解基础利率，利差以及它们与其他利率的关系；理解即期利率；掌握构造即期利率曲线的方法
Lecture 5 Term Structure of Interest Rate I
1. Base Interest Rate and Benchmark Spread
2. Spot Rate
3. Constructing the Theoretical Spot Rate Curve
Key Points: base interest rate, spread, spot rate, bootstrap
Outcome: understand base interest rate, spread and their relation with other interest rate; understand spot rate; grasp the construction of the theoretical spot rate curve
第六章 利率的期限结构II
1. 利用即期利率给债券定价
2. 远期利率
3. 利率期限结构的决定因素
重点、难点：远期利率，掉期利率，LIBOR利率
考核要求：掌握利用即期利率或远期利率给债券定价的方法；理解利率期限结构的决定因素及曲线的形状；理解掉期利率和LIBOR利率的概念
Lecture 6 Term Structure of Interest Rate II
1. Using Spot Rate Curve to Price a bond
2. Forward Rate
3. Determinants of Term Structure
4. the swap curve/LIBOR curve
Key Points: forward rate, swap rate, LIBOR rate
Outcome: grasp the pricing of bond using spot rate or forward rate; understand the determinants and shape of term structure; understand the concept of swap rate and LIBOR rate
第七章 利率模型（期限结构模型）
1. 利率模型的特点：漂移，波动和均值回归
2. 单因子利率模型
3. 无套利模型和均衡模型
4. 利率变化的经验证据
重点、难点：利率二叉树，利率模型，漂移，波动，均值回归，单因子，无套利，均衡
考核要求：了解利率模型的基础知识；理解无套利模型和均衡模型的关系；了解利率变化的经验研究证据
Lecture 7 Interest-rate model (term structure model)
1. Characteristics of an interest-rate model: drift, volatility, and mean reversion
2. One-factor interest-rate models
3. Arbitrage-free model and equilibrium model
4. The empirical evidence on interest rate changes
Key Points: binominal interest rate trees, interest-rate model, drift, volatility, mean reversion, one-factor, arbitrage, equilibrium
Outcome: understand the basis of interest-rate models; understand the relation between arbitrage-free model and equilibrium model; understand the empirical evidence on interest rate models
第八章 嵌入期权式债券分析I
1. 期权的特点
2. 可召回债券的特点
3. 嵌入期权式债券的定价
重点、难点：嵌入式期权，可召回，可卖出，可转，期权定价
考核要求：了解嵌入期权式债券和普通债券的区别；理解期权式债券的主要类别；掌握嵌入期权式债券的定价
Lecture 8 Analysis of Bonds with Embedded Options I
1. Characteristic of Options
2. Features of Callable Bonds
3. Pricing of A Bond with Embedded Options
Key Points: embedded options, callable, putable, convertible, option pricing
Outcome: understand the difference between bonds with embedded options and option-free bonds; understand the typical bonds with embedded options; grasp the pricing of a bond with embedded options
第九章 嵌入期权式债券分析II
1. 期权调整利差
2. 有效久期和凸度
3. 可转债
重点、难点：期权调整利差，可转债
考核要求：了解期权调整利差的概念；掌握可转债和股票的关系
Lecture 9 Analysis of Bonds with Embedded Options II
1. Option-Adjusted Spread
2. Effective Duration and Convexity
3. Features of Convertible Bonds
Key Points: option-adjusted spread, convertible bonds
Outcome: understand the concept of option-adjusted spread; grasp the relation between convertible bonds and stocks
第十章 住房抵押贷款证券
1. 住房抵押贷款
2. 住房抵押贷款支持证券市场
3. 抵押转递证券
重点、难点：住房抵押贷款，住房抵押贷款支持证券
考核要求：理解住房抵押贷款及其种类；理解按揭的概念及住房抵押贷款的风险；理解住房抵押贷款支持证券和抵押转递证券的概念
Lecture 10 Residential Mortgage-Backed Securities
1. Residential Mortgage Loans
2. Residential Mortgage-Backed Securities Markets
3. Characteristics of Mortgage Pass-Through Securities
Key points: residential mortgage loans; mortgage-backed securities
Outcome: understand a mortgage loan and types of residential mortgage loans; understand a prepayment and risks associated with investing in mortgages; understand the concepts of a mortgage-backed security and a mortgage pass-through security
第十一章 抵押担保债券
1. 抵押担保债券
2. 信贷资产证券的产生
3. 担保类型及证券化结构
4. 担保债务凭证
重点、难点：抵押担保债券，信贷资产证券，担保债务凭证
考核要求：了解抵押担保债券的来由；理解序列型抵押担保债券的概念；理解信贷资产证券是如何产生的；了解证券化的基本结构；了解担保债务凭证的概念及其种类
Lecture 11 Collateralized Mortgage Obligations
1. Characteristics of Collateralized Mortgage Obligations
2. Creation of an ABS
3. Collateral Type and Securitization Structure
4. Collateralized Debt Obligations
Key Points: collateralized mortgage obligation; asset-backed securities; collateralized debt obligation
Outcome: understand why and how an agency collateralized mortgage obligation is created; understand what a sequential-pay CMO is; understand how asset-backed securities are created; understand the basic structure of a securitization; understand what is meant by a collateralized debt obligation, collateralized bond obligation, and collateralized loan obligation
第十二章 利率期货
1. 利率期货
2. 利率期货市场的定价和套利
3. 利率期货在债券投资组合管理里的应用
重点、难点：期货，最低交割价，利率期货合约价格
考核要求：理解期货合约及其与远期合约的不同；理解利率期货的基本特点；理解利率期货合约的理论定价；理解利率期货在债券投资组合管理里的应用
Lecture 12 Interest Rate Futures
1. Interest Rate Futures Contracts
2. Pricing and Arbitrage in the Interest Rate Futures Market
3. Bond Portfolio Management Application
Key Points: futures; cheapest-to-deliver; price of a futures contract
Outcome: understand what a futures contract is and the differences between a futures contract and a forward contract; understand the basic features of various interest-rate futures contracts; understand how the theoretical price of a futures contract is determined; understand how futures contracts can be used in bond portfolio management
第十三章 利率期权
1. 利率期权
2. 期权的内在价值及其时间价值
3. 期权定价及套利
4. 影响期权价格波动的因素
5. 对冲策略
重点、难点：利率期权，内在价值, Black–Scholes期权定价模型；无套利二叉树模型；对冲
考核要求：理解利率期权合约的基本特点；理解期权和期货的不同；理解利率期权的理论定价；理解如何衡量期权价格的敏感性；了解期货期权在对冲里的应用
Lecture 13 Interest Rate Options
1. Types of Interest Rate Options
2. Intrinsic Value and Time Value of an Option
3. Option Pricing and Arbitrage
4. Sensitivity of Option Price to Change in Factors
5. Hedging Strategies
Key Points: interest-rate options contracts; intrinsic value; Black–Scholes option pricing model; arbitrage-free binomial model; hedging
Outcome: understand the basic features of interest-rate options contracts; understand the differences between options and futures; understand how to value options on fixed-income securities; understand measures to estimate the sensitivity of the option price; understand how futures options can be used to hedge
第十四章 利率掉期和信用违约掉期
1. 掉期交易
2. 掉期利率
3. 掉期定价
4. 信贷违约掉期的种类
5. 利用信贷违约掉期控制信用风险
重点、难点：利率掉期，掉期期权，信贷违约掉期
考核要求：理解利率掉期的概念以及掉期利率的计算；了解信贷衍生工具与利率衍生工具的不同；了解信贷违约掉期；了解如何利用信贷违约掉期控制一个投资组合的信用风险
Lecture 14 Interest Rate Swaps and Credit Default Swaps
1. Interpreting a Swap Position
2. Calculation of a Swap Rate
3. Valuing a Swap
4. Types of CDS
5. Using CDS to Control for Credit Risk
Key points: interest-rate swaps; swaption; credit default swap
Outcome: understand what an interest-rate swap is and how the swap rate is calculated; understand how a credit derivative differs from an interest-rate derivative; understand what a credit default swap is and how a credit event can be defined; understand how a credit default swap can be used to control a portfolio’s credit risk
第十五章 债券投资组合策略
1. 资产分配决策
2. “自上而下”与“自下而上”的投资组合构建
3. 主动型投资组合管理策略
4. 债务驱动型投资组合管理策略
重点、难点：资产分配，自上而下，自下而上，子弹型，杠铃型，阶梯型收益曲线，杠杆，债务驱动，免疫
考核要求：理解“自上而下”与“自下而上”两种不同的债券投资组合构建；了解主动性债券投资组合管理策略的主要类型；了解债务驱动的投资组合管理的概念；了解免疫策略的基本原理
Lecture 15 Bond Portfolio Strategies
1. Asset Allocation Decision
2. Top-Down vs. Bottom-Up Portfolio Construction
3. Active Portfolio Management Strategies
4. Liability-Driven Strategy
Key points: asset allocation, top-down, bottom-up, bullet, barbell, ladder yield curve, leveraging, liability-driven, immunization
Outcome: understand top-down and bottom-up approaches to bond portfolio management; understand the different types of active bond portfolio strategies; understand what a liability-driven strategy is; understand the basic principles of an immunization strategy
五、其它
无
六、主要参考书
[1] Fabozzi, Frank J. Bond Markets, Analysis, and Strategies (8th ed.). Pearson. 2013
[2] Fabozzi, Frank J., Fixed Income Analysis (2nded.). McGraw-HillCompanies, Inc.2007
[3] Tuckman, Bruce and Angel Serrat, Fixed Income Securities: Tools for Today's Markets (3rded.). Hoboken, NJ: John Wiley&Sons, Inc. 2012
[4] Veronesi,Pietro, Fixed Income Securities: Valuation, Risk, and Risk Management. Hoboken, NJ: John Wiley&Sons, Inc. 2010
执笔人： 教研室主任： 系教学主任审核签名：
《博弈论（英语）》教学大纲
Game Theory
Syllabus
课程编号： Course Code：150012B
课程类型：专业选修课
总 学 时： Hours：32
讲课学时： Lecture Hours: 32 实验（上机）学时：0
学 分： Credits: 2
适用对象：金融学（金融经济）
Applied Majors: Finance
先修课程：经济学原理，中级微观经济学
Prerequisites: Principles in Economics
一、课程的教学目标(Purposes)
博弈论作为经济金融类专业本科生的专业选修课程，包括非合作博弈理论和信息经济学初步两部分内容。该课程的讲授对于培养和训练学生的经济学思维，提高学生的专业素质和综合能力。本课程教学的主要目标是培养学生掌握在信息不对称和非合作条件下微观经济理论，并能够较好地应用博弈论的方法思考并解决实际问题，为学生们后续高级微观经济学及相关课程的学习打下坚实的基础。
Game Theory is a course specific for undergraduate students in Finance and Economics, and includes basics in Game Theory and some preliminaries in Information Economics. This course will teach students to think as economists, and improve their expertise in economics and finance. The target of this course is to help students to analyze and solve some problems in real life using Game Theory, and let students understand the economics theories in the context of information asymmetric, and thus shed the light for their studies and professions in the future.
二、教学基本要求(Requirement)
本课程的主要内容是阐述博弈论和信息经济学的基础知识。目的在于帮助学生理解并掌握在非合作条件下经济主体的决策过程，和博弈论的基本原理，以及不同的决策过程的经济福利影响。本课程在非合作博弈理论部分的主要内容包括完全信息静态博弈、完全信息动态博弈、不完全信息静态博弈以及不完全信息动态博弈。该部分重点阐述博弈的战略式表示和扩展式表示、纳什均衡、子博弈精炼纳什均衡、贝叶斯纳什均衡以及精炼贝叶斯纳什均衡。在信息经济学部分，本课程将重点阐述委托-代理机制、逆向选择和信号传递等内容。
本课程的考核方式及其所占权重如下：
出勤及课堂测验： 10%
家庭作业： 20%
期中考试： 30%
期末考试： 40%
This course is mainly to teach the principles in non-cooperative game theory and information economics, and let the students to understand the decision making process under the non-cooperative conditions, as well as its welfare effects. In the non-cooperative game theory part, this course will cover static game with complete information, dynamic game with complete information, static game with incomplete information and dynamic game with incomplete information. The information economics part will cover the principal-agent problem, adverse selection, signaling and screening.
The evaluation of this course and its weights is as follows:
Attendance and quizzes: 10%
Homework: 20%
Midterm Exam: 30%
Final Exam: 40%
三、各教学环节学时分配(Hours Schedule)
教学课时分配
|序号 |章节内容(Content) |讲课（Hours） |实验 |其他 |合计 |
|(Number) | | |（Practice） |（Others） |（Total） |
|1 |完全信息静态博弈 |6 |0 |0 |6 |
| |Static game with complete | | | | |
| |information | | | | |
|2 |完全信息动态博弈 |6 |0 |0 |6 |
| |Dynamic game with complete| | | | |
| |information | | | | |
|3 |不完全信息静态博弈 |6 |0 |0 |6 |
| |Static game with | | | | |
| |incomplete information | | | | |
|4 |不完全信息动态博弈 |6 |0 |0 |6 |
| |Static game with complete | | | | |
| |information | | | | |
|5 |委托-代理理论 |4 |0 |0 |4 |
| |(Principal-Agent Problem) | | | | |
|6 |逆向选择与信号传递 |4 |0 |0 |4 |
| |(Adverse Selection, | | | | |
| |Singling, and Screening) | | | | |
|合计 | |32 |0 |0 |32 |
|(Total) | | | | | |
四、教学内容（Content）
第一章 导论
Chapter 1: Introduction
教学重点、难点：博弈论的研究内容
课程考核要求：了解博弈论的主要研究内容和方法，及其与传统微观经济学的联系与区别
复习思考题：为什么博弈论成为当代微观经济学研究的重要领域？
Key Points：The main contents of game theory and its methodology
Requirement: Understand the main content and methodology of game theory, and its difference from traditional economics studies.
Summary Problem: Why game theory becomes the mainstream of modern microeconomics studies?
第二章 完全信息静态博弈
Chapter 2: Static Game of Complete Information
第一节 博弈论的基本概念及战略式表述
Section 1： The conceptual framework of game theory and its strategic form representation
第二节 纳什均衡
Section 2：Nash Equilibrium
第三节 纳什均衡应用
Section 3：Applications of Nash Equilibrium
第四节 混合战略纳什均衡
Section 4：Mixed strategy of Nash Equilibrium
第五节 纳什均衡的存在性和多重性的讨论
Section 5：Existence and Multiplicity of Nash Equilibrium
教学重点、难点：博弈的战略式表述、占优战略均衡和纳什均衡、Cournot寡头竞争模型、Hotelling价格竞争模型、混合战略纳什均衡、纳什均衡的存在性和多重性。
Key Points：The strategic form representation, dominant strategy equilibrium, Nash equilibrium, Cournot Model on Oligopolistic competition, Hotelling Model on price competition, mixed strategy Nash equilibrium, the existence and multiplicity of Nash equilibrium
课程的考核要求：掌握博弈的战略式表述，理解占优战略均衡和纳什均衡，熟练掌握并运用古诺模型和豪泰林模型，熟练掌握混合战略纳什均衡，理解纳什均衡的存在性和多重性。
Requirement：Grasp the strategic form representation, understand the dominant strategy equilibrium and the Nash equilibrium; fully understand and apply the Cournot model and Hotelling model as well as the mixed strategy Nash equilibrium, understand the existence and multiplicity of Nash equilibrium.
复习思考题：以囚徒困境为例解释博弈的相关概念，并求解纳什均衡。
Summary Problem：Using the example of Prisoners’ Dilemma, explain the relevant concepts in game theory and solve its Nash equilibrium.
第三章 完全信息动态博弈
Chapter 3: Dynamic Game of Complete Information
第一节 博弈的扩展式表述
Section 1：The extensive form representation
第二节 子博弈精炼纳什均衡
Section 2：Sub-game perfect Nash Equilibrium
第三节 子博弈精炼纳什均衡的应用
Section 3：Applications of Sub-game perfect Nash Equilibrium
第四节 重复博弈和无名氏定理
Section 4：Repeated Game and Nash Folk Theorem
教学重点、难点：博弈的扩展式表述、子博弈精炼纳什均衡、逆向归纳法、Stackelberg寡头竞争模型、政策的动态一致性、讨价还价模型、无限次重复博弈、无名氏定理。
Key Points：The extensive form representation, sub-game perfect Nash equilibrium, backward induction, Stackelberg Model, Dynamic Consistency, Bargaining Model, Infinite repeated game, Nash folk theorem
课程的考核要求：掌握博弈的扩展式表述，理解子博弈精炼纳什均衡并能够熟练掌握并运用逆向归纳法求解，熟练掌握并运用Stackelberg模型，掌握重复博弈以及无名氏定理。
Requirement：Grasp the extensive form representation, understand the sub-game perfect Nash equilibrium and use the backward induction to find it, fully understand and apply the Stackelberg model, as well as the repeated game and the Nash folk theorem.
复习思考题：以房地产开发博弈为例解释子博弈精炼纳什均衡，并用逆向归纳法求解。
Summary Problem：Using the example of real estate development, explain the sub-game perfect Nash equilibrium and find all the SPNE via backward induction.
第四章 不完全信息静态博弈
Chapter 4: Static Game of Incomplete Information
第一节 不完全信息博弈和贝叶斯纳什均衡
Section 1：Game with incomplete information and Bayesian Nash equilibrium
第二节 贝叶斯纳什均衡的应用
Section 2：Application of Bayesian Nash Equilibrium
第三节 贝叶斯博弈与混合战略均衡
Section 3：Bayesian game and mixed strategy equilibrium
第四节 机制设计理论与显示原理
Section 4：Mechanism design and revelation principle
教学重点、难点：贝叶斯纳什均衡、混合战略均衡、机制设计理论。
Key Points：Bayesian Nash equilibrium, backward induction, mechanism design and revelation principle
课程的考核要求：掌握贝叶斯纳什均衡的概念，理解Harsanyi转换和不完全信息静态博弈的战略式表述，熟练掌握并运用不完全信息条件下的Cournot模型，掌握一级价格密封拍卖和双方竞价拍卖的最优解的推导，理解机制设计和显示原理。
Requirement：Grasp the concept of Bayesian Nash equilibrium, and the Harsanyi transformation. Understand the Cournot model with incomplete information. Grasp the first price sealed bid auction and double auction and derive the optimal solution. Understand the mechanism design and relation principle.
复习思考题：以不完全信息Cournot模型为例解释贝叶斯纳什均衡；解释并比较一级价格密封拍卖和竞价拍卖的区别。
Summary Problem：Using the example of prisoners’ dilemma to explain the concept of Bayesian Nash equilibrium; Explain and compare first price sealed auction and the double auction.
第五章 不完全信息动态博弈
Chapter 5: Dynamic Game of Incomplete Information
第一节 精炼贝叶斯纳什均衡
Section 1：Sub-game perfect Bayesian Nash equilibrium
第二节 信号传递博弈及其应用
Section 2：Signaling game and its application
第三节 精炼贝叶斯纳什均衡的再精炼
Section 3：More refined sub-game perfect Bayesian Nash equilibrium
第四节 不完全信息重复博弈与声誉模型
Section 4：Repeated game with incomplete information and reputation model
教学重点、难点：精炼贝叶斯纳什均衡、信号传递博弈、声誉模型。
Key Points：Sub-game Bayesian Nash equilibrium, signaling game, reputation model
课程的考核要求：掌握子博弈精炼贝叶斯纳什均衡的概念，理解信号传递模型及垄断限价模型，理解序贯均衡的概念，掌握并运用声誉模型。
Requirement：Grasp the concept of sub-game Bayesian Nash equilibrium. Understand the signaling game and Milgrom–Roberts Model. Understand Kreps-Wilson sequential equilibrium. Understand and apply the KMRW reputation model.
复习思考题：以市场进入阻扰模型为例解释子博弈精炼纳什均衡的概念；阐述Milgrom-Roberts垄断限价模型。
Summary Problem：Using the example of Entry-Deterrence to explain the concept of sub-game Bayesian Nash equilibrium; Explain Milgrom-Roberts monopoly-pricing Model.
第六章 委托-代理理论
Chapter 6: The Principal-Agent Problem
第一节 信息经济学引论
Section 1：Introduction to Information Economics
第二节 委托-代理理论的分析框架
Section 2：The Framework of Principal-Agent Theory
第三节 信息对称情况下的最优合同
Section 3：Optimal contract with symmetric information
第四节 信息不对称情况下的最优合同
Section 4：Optimal contract with asymmetric information
第五节 多阶段动态博弈-棘轮效应
Section 5：Optimal contract with asymmetric information: Ratchet Problem
第六节 道德风险与锦标制度
Section 6：Moral hazard and rank order tournaments
第七节 效率工资和监督力度
Section 7：Efficiency wage and Monitoring
教学重点、难点：委托代理问题的分析框架、棘轮效应、道德风险。
Key Points：Framework of Principal-Agent problem, Ratchet Problem, Moral Hazard
课程的考核要求：掌握委托代理问题的分析框架，理解不同条件下的最有合同，掌握并运用棘轮效应模型，运用道德风险解释现实问题。
Requirement：Grasp the framework of principal-agent problem. Understand the optimal contract under symmetric/asymmetric information. Understand and apply the ratchet model. Apply the moral hazard to explain problems in real life.
复习思考题：描述并解释委托代理问题中的参与约束和激励相容约束；以一个两阶段动态模型解释棘轮效应是如何弱化激励机制的。
Summary Problem：Please describe and explain the participation constraint and incentive compatibility constraint; Use a two-stage dynamic model to explain how the Ratchet effects weaken the incentive mechanism.
第七章 逆向选择与信号传递
Chapter 7: Adverse Selection and Signaling
第一节 逆向选择：旧车市场
Section 1：Adverse selection: used-car market
第二节 逆向选择：保险市场
Section 2：Adverse selection: insurance market
第三节 信号传递：Spence劳动力市场模型
Section 3：Screening and signaling: Spence labor market model
教学重点、难点：逆向选择，Spencer模型。
Key Points：Adverse selection, Spence labor market model
课程的考核要求：掌握并运用逆向选择的概念解释现实生活的问题，运用Spencer劳动力市场模型解释现实问题。
Requirement：Understand and apply the concept of adverse selection to real life; Explain the Spence labor market model to explain some problems in real life.
复习思考题：以旧车市场和保险市场为例解释逆向选择；描述并解释Spence劳动力市场模型及其应用。
Summary Problem：Please describe and explain the participation constraint and incentive compatibility constraint; Use a two-stage dynamic model to explain how the Ratchet effects weaken the incentive mechanism
六、主要参考书（Textbooks）
[1] Drew Fudenberg, Jean Tirole. Game Theory. USA: MIT Press, 1991
[2] Andrew Mas-Colell, Michael Whinston, and Jerry Green. Microeconomic Theory. UK: Oxford University Press, 1995
[3] 张维迎. 博弈论与信息经济学. 上海：格致出版社，上海三联书店，上海人民出版社. 2004年
执笔人： 苏立 教研室主任： 系教学主任审核签名：
《投资学》教学大纲
Investments Syllabus
课程编号：150013B
Course Code: 150013B
课程类型：专业课
Course Type: Major compulsory course
总学时:Period: 48
学分：Credits: 3
适用对象：统计学专业（国际班）
Applicable Majors: Statistics (International）
先修课程：微观经济学、微积分、概率论与数理统计
Preparatory Courses: Microeconomics, Calculus, Probability and Mathematical Statistics.
1. 课程的教学目标
本课程是对不确定性下的个人微观行为及均衡资产价格的分析。本课程旨在帮助学生理解经济中个体在不确定性下如何做决策，如何通过金融工具规避风险，以及在均衡中金融资产如何定价。学完本课程后，学生应该对金融中的基本概念很好的掌握，可以解决有约束的最优化问题，以及推导均衡的资产价格。本课程为以后的衍生资产定价和更高级的金融课程提供基础。
This course carries on the microeconomic analysis to uncertainty. It aims to help students to understand how individuals make choice under uncertainty, how individuals could hedge risks through financial instruments, and how financial assets are priced in equilibrium. Upon completion of this course, students should have solid understanding of basic concepts in finance, solve constrained optimization problem under uncertainty, and derive the equilibrium asset price. This course gives students preparation for derivative pricing and more advanced finance courses.
2. 教学的基本要求
投资学通过严格的数学分析工具来分析不确定性下个体是如何做决策，风险厌恶，风险度量，最优资产组合的选择，和金融产品的定价。课程的授课重点是风险厌恶、风险补偿和风险这些基本概念，解决有约束的最优化方法，最优解的比较静态分析，均值-方差分析，以及推导CAMP和APT资产定价模型。课程的难点在与广泛使用微积分和抽象推导。为了克服这一难点，授课中很多具体的例子会被用来解释概念的含义，以及模型解决技巧的使用。作业也是课程的重要组成部分。每章结束后都会有一次作业，作业分组完成，鼓励组内学生的探讨与交流。 作业的设计主要考虑到与教课内容的互补，包括具体实例的计算和一些证明。课程考核由三部分组成，分别是平时作业16%，期中闭卷考试24%，期末闭卷考试60%。
This course provides analytical tools to model individual decision making under uncertainty, risk aversion, measurement of risk, optimal portfolio choice and asset pricing. The emphases will be on concepts of risk aversion, risk compensation, and risk, and on the techniques to solve optimal portfolio, to do comparative statics, to derive Capital Asset Pricing Model and Arbitrage Pricing Theory. One potential challenge of this course is the extensive use of calculus and abstract reasoning. However, many concrete examples will be provided to illustrate the intuition of basic concepts and how to apply techniques to solve a model. Homework represents an important part of this course. Each chapter will be followed by one homework, which will be done by groups. Homework is designed to complement lecture notes, including calculation of concrete examples and proof of some statements in lecture notes. The grades include three parts, homework, midterm exam, final exam. Homework counts for 16% of the final grade, midterm exam counts for 24% of the final grade, and final exam counts for 60% of the final grade.
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |期望效用理论 |3 | |Homework 1 | |
| |Expected Utility Theory | | | | |
|2 |风险厌恶 |6 | |Homework 2 | |
| |Risk Aversion | | | | |
|3 |风险 |6 | |Homework 3 | |
| |Risk | | | | |
|4 |预算约束 |3 | |Homework 4 | |
| |Budget Constraint | | | | |
|5 |一个风险资产的最优资产组合 |6 | |Homework 5 | |
| |Optimal Portfolio with one risky asset | | | | |
|6 |多个风险资产的最优资产组合 |6 | |Homework 6 | |
| |Optimal Portfolio with many risky assets | | | | |
|7 |均值-方差投资分析 |6 | |Homework 7 | |
| |Mean-Variance Portfolio Analysis | | | | |
|8 |资本资产定价模型 |6 | |Homework 8 | |
| |Capital Asset Pricing Model | | | | |
|9 |套利定价模型 |6 | |Homework 9 | |
| |Arbitrage Pricing Theory | | | | |
|合计 | |48 | | | |
四、教学内容
第一章 期望效用理论
CHAPTER I: Expected utility theory
1. 消费者效用理论
PART 1 Basic Preference Theory
第二节期望效用理论
PART 2 Expected Utility Theory
教学重点、难点：偏好的效用函数表示，和期望效用的计算。
Key Points: utility function representation of preferences, and calculation of expected utility for a lottery.
课程的考核要求：理解什么条件下偏好存在效用函数表示，掌握期望效用的计算。
Requirement: understand when a preference can be represented by a utility function, master the calculation of expected utility for a lottery.
第二章：风险厌恶
CHAPTER 2: Risk aversion
第一节风险厌恶定义
PART 1 Definition of risk aversion
第二节风险厌恶与效用函数凹性
PART 2 Risk aversion and concavity of utility function
第三节风险厌恶与风险补偿
PART 3 Risk aversion and risk compensation
第四节风险厌恶的比较
PART 4 Comparative risk aversion
第五节经典效用函数
PART 5 Classical utility functions
教学重点、难点：不同风险度量的含义及其之间的等价，风险厌恶指数的计算。
Key Points: different measures of risk aversion and their equivalence, computation of the corresponding risk aversion given a utility function.
课程的考核要求：理解不同风险度量的含义及其之间的等价，掌握风险厌恶的定义和风险厌恶指数的计算。
Requirement: understand different measures risk aversion and their equivalence, master the definition of risk aversion and the calculation of risk aversion index.
第三章 风险
CHAPTER 3 Risk
第一节风险定义
PART 1 Definition of Risk
第二节风险与风险厌恶
PART 2 Risk and risk aversion
第三节风险与方差
PART 3 Risk and variance
教学重点、难点：风险的定义，风险与风险厌恶的关系，风险与方差的区别。
Key Points: the definition of risk, its relation with risk aversion, and its difference from variance.
课程的考核要求：理解风险与风险厌恶的关系，掌握风险的定义及其与方差的区别。
Requirement: understand the relation between risk and with risk aversion, master the definition of risk, and its difference from variance.
第四章 预算约束
CHAPTER 4 Budget constraint
第一节资产
PART 1 Assets
第二节无套利价格
PART 2 Non arbitrage prices
第三节投资组合限制
PART 3 Portfolio restrictions
教学重点、难点：资产的数学表示，无套利含义。
Key Points: the representation of an asset, the definition of non arbitrage.
课程的考核要求：理解资产的表示，掌握无套利的定义。
Requirement: understand the representation of an asset, master the definition of non arbitrage.
第五章 一个风险资产的最优投资组合
CHAPTER 5 Optimal portfolio with one risky asset
第一节投资组合问题
PART 1 Portfolio choice problem
第二节最优投资组合
PART 2 Optimal portfolio
第三节风险溢价最优投资组合
PART 3 Risk premium and optimal portfolio
第四节最优投资组合比较静态分析
PART 4 Comparative statics of optimal portfolio
教学重点、难点：求解只有一个风险资产时的最优投资组合，以及最优投资组合的比较静态分析。
Key Points: solve the optimal portfolio, and its comparative statics.
课程的考核要求：熟练掌握求解只有一个风险资产时的最优投资组合，以及最优投资组合的比较静态分析。
Requirement: master how to solve the optimal portfolio, and its comparative statics.
第六章 多个风险资产的最优投资组合
CHAPTER 6 Optimal portfolio with many risky assets
第一节最优投资组合
PART 1 Optimal portfolio
第二节风险与收益的权衡
PART 2 Risk-return trade-off
第三节公平定价下的最优投资组合
PART 3 Optimal portfolio under fair pricing
第四节风险溢价与最优投资组合
PART 4 Risk premium and optimal portfolio
第五节线性风险承受下的最优投资组合
PART 5 Optimal portfolio under linear risk tolerance
教学重点、难点：风险与收益的权衡，线性风险承受下的最优投资组合。
Key Points: the trade-off between risk and return, and calculation of the optimal portfolio under linear risk tolerance.
课程的考核要求：理解风险与收益的权衡，掌握线性风险承受下的最优投资组合。
Requirement: understand the trade-off between risk and return, and master the calculation of the optimal portfolio under linear risk tolerance.
第七章 期望-方差投资分析
CHAPTER 7 Mean-variance portfolio analyses
第一节期望-方差分析与期望效用
PART 1: Consistency of mean-variance analysis with expected utility
第二节标准均值-方差投资问题
PART 2: Standard mean-variance portfolio problem
教学重点、难点：期望-方差分析与期望效用分析的关系，均值-方差最优投资组合。
Key Points: relation between mean-variance analysis and expected utility analysis, calculation of the optimal mean-variance portfolio.
课程的考核要求: 理解期望-方差分析与期望效用分析的关系，掌握均值-方差最优投资组合的推导。
Requirement: understand the relation between mean-variance analysis and expected utility analysis, master the derivation of the optimal mean-variance portfolio.
第八章 资本资产定价模型
CHAPTER 8 Consumption Asset Pricing Model
第一节证券市场线
PART 1: Security market line
第二节 均值-方差偏好下的均衡投资组合
PART 2: Equilibrium portfolio under mean-variance preference
第三节二次项函数
PART 3: Quadratic utility
第四节正态分布的收益
PART 4: Normally distributed payoffs
教学重点、难点：资产风险溢价及此资产收益与其市场收益协方差之间的关系。
Key Points: the relation between the risk premium on any asset and the covariance between the return to that asset and the market return.
课程的考核要求: 掌握资产风险溢价及此资产收益与其市场收益协方差之间的关系。
Requirement: master the relation between the risk premium on any asset and the covariance between the return to that asset and the market return.
第九章 套利定价理论
CHAPTER 9 Arbitrage Pricing Theory
第一节无误差因子定价
PART 1: Exact factor pricing
第二节无误差定价，beta定价和CAPM
PART 2: Exact factor pricing, beta pricing and the CAPM
第三节因子定价误差
PART 3: Factor pricing errors
第四节因子结构
PART 4: Factor structure
教学重点、难点：资产风险溢价及此资产收益对因子风险敏感度之间的关系。
Key Points: the relation between the expected return on any asset and the measure of the sensitivity of an asset’s return to factor risk.
课程的考核要求: 掌握资产风险溢价及此资产收益对因子风险敏感度之间的关系。
Requirement: master the relation between the expected return on any asset and the measure of the sensitivity of an asset’s return to factor risk.
五、主要参考书Textbooks
1. Bodie, Kane and Marcus. Investments. McGraw Hill. 10e. 2014
2. Leroy and Werner. Principles of financial economics. Cambridge University Press. 2001
执笔人：宋信息 教研室主任： 系教学主任审核签名：
《劳动经济学》教学大纲
课程编号： 150022B
课程类型：专业选修课
总 学 时： 32 讲课学时： 32 实验（上机）学时：
学 分：2
适用对象：经济学、管理学等
先修课程：初级微观经济学、初级宏观经济学、中级微观经济学、中级宏观经济学、计量经济学、统计学
一、课程的教学目标
完成本课程后，学生将能够读懂有关劳动力市场问题的文章，并对劳动力市场如何运作有一个全面了解。学生也将获得和运用经济学工具来解释和讨论与劳动力市场相关的政策问题。
二、教学基本要求
本课程是劳动经济学的初级课程，着重点在于如何运用应用微观经济学的理论和实证分析来学习劳动经济学。劳动经济学主要研究企业和个人行为和市场中的相互作用下各种结果。我们从企业层面、个人层面和市场层面来分析影响就业和失业的因素。我们还将研究国际上和国家具体的制度规则在个人和公司的劳动决策中发挥的作用。
授课老师的作用应该是为学生提供指导，资源和支持。本课程的主要教学方法是课堂授课。学生应该在来上课前完成指定的资料阅读；来上课的学生要积极参与课堂讨论和思考回答老师的提问、按时完成作业、和参加考试。
课程评估标准如下：
课堂参与（出席，课堂讨论，问答）（15%）
课堂演示 （15%）
作业 （10%）
期末考试 （60%）
三、各教学环节学时分配（黑体，小四号字）
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |劳动力供给 |6 | | |6 |
| |劳动力需求 |5 | | |5 |
| |竞争性均衡 |4 | | |4 |
| |人力资本 |3 | | |3 |
| |工资结构 |3 | | |3 |
| |劳动力流动 |3 | | |3 |
| |歧视，工会，失业 |8 | | |8 |
|合计 | |32 | | |32 |
四、教学内容
第一章 劳动力市场经济学导论
第一节 个人、企业和政府的决定
第二节 劳动市场经济
第三节 劳动力市场结果的初步探索
第四节 供应和需求模型：劳动经济学的主力
1、竞争性劳动力市场的工资和就业
第五节 当前的政策问题
第六节 劳动力市场与其他市场的相似性与差异性
1 各种表演者的目标
2 社会学、制度和立法限制
3 市场不完善
4 复杂的价格，服务于多种功能
第七节 另类视角
关键点和难点：劳动力市场与其他市场的供求模式和相似性与差异性
评价：应用供需模型，了解模型背后的运动机理。
第二章 劳动力供给：个人对劳动力市场的依附
第一节 劳动供给理论
1 扩展和应用
2 劳动供给理论
3 量化劳动力市场依附
4 小时
5 基本收入休闲模式
6 比较静态
7 派生劳动供给曲线
8 经验证据
第二节 扩展和应用
1 增加和劝阻工人的效果
2 隐性失业
3 兼职，加班，和灵活的工作时间
关键点与难点：劳动供给理论与基本收入休闲模式
评价：论证了对劳动供给理论的认识，并将所得的休闲模式应用于现实世界市场现象。
第三章 劳动供给与公共政策：工作激励效应的替代
第一节 收入维持计划
1 理论上的静态部分平衡效应
2 地域人口补助
3 福利
4 负所得税
5 工资补贴和所得税抵免
6 就业保险
7 残疾支助和工人赔偿
8 儿童保健补贴
第二节 激励效应的说明性证据
1非实验的证据。
2 实验证据
3 自给自足的项目
关键点和难点：激励效应和静态部分平衡效应
评价：从不同的公共政策对劳动力供给的激励效应进行解释和分析。
第四章 竞争性劳动力市场中劳动力的需求
第一节 产品和劳动力市场结构的分类
第二节 短期内对劳动力的需求
第三节 工资，劳动的边际生产率，产品市场的竞争
第四节 长期的劳动力需求
1 等产量线，isocosts，成本最小化
2 得出公司的劳动需求表
3、分离工资变动的规模和替代效应
第五节 短期和长期的劳动力需求之间的关系
第六节 成本最小化下的劳动力需求
第七节 劳动力需求弹性
1可用性替代输入
2替代品供给弹性
3 产出需求弹性
4 劳动力成本在总成本中的份额
5 经验证据
第八节 需求状况的变化，全球化和外包
1 贸易对一个单一的劳动力市场的影响
2 跨部门贸易影响
3 证据
4 其他需求方面的因素
重点和难点：关系之间的短期和长期运行的劳动力需求，劳动力的需求弹性。
评价：了解短期和长期的劳动力需求和劳动力需求弹性，并能够将知识应用到现实世界市场需求问题。
第五章 单一劳动力市场的工资和就业
第一节 竞争性企业与市场的互动
第二节 产品市场的不完全竞争
1 垄断
2 垄断竞争和寡头垄断
3 产品市场结构和市场工资的偏离
第三节 与供需合作
1 线性供求函数
2 应用：一个单位工资税的发生率
第四节 在劳动力市场买方垄断
1简单的买方垄断。
2影响买方垄断。
3。特色monopsonists
4完美的买方垄断工资的分化。
第五节 垄断证据
第六节 最低工资立法
1预期影响：竞争性劳动力市场
2 预期的影响：在劳动力市场买方垄断
3 预期影响：其他可能的抵消因素
4 实际影响实证
关键点和难点：劳动力市场的不完善竞争和最低工资立法
评价：了解劳动力市场不完善的竞争，使最低工资立法与不完全竞争之间的联系。
第六章 补偿工资差异
第一节 工资和工资结构的目的
第二节 补偿工资理论
1 单公司等利润表
2 不同的公司有不同的安全技术
3 单个人的偏好
4 不同个体的风险偏好
5 单一企业、单一个体的均衡
6 与许多公司和个人的平衡
第三节 安全调节效应
1 完全竞争的市场
2 不完善的信息
3 管制的理由
4 安全监管：行为经济学的观点
第四节 工资补偿的实证研究
第五节 政策的影响
关键点和难点：风险偏好和补偿工资
评价：了解补偿工资理论，并将其应用于实证分析。
第七章人力资本理论：教育与培训的应用
第一节 人力资本理论
第二节 私人投资教育
第三节 教育作为一种过滤器
第四节 实证证据
1 教育和收入
第五节 人力资本收益函数
1信号，筛选和能力
2 解决能力偏差
3 增加教育和不平等的收益
4 社会回报教育
第六节 训练
1 谁付钱？
2 政府的适当作用
3 政府培训项目评估
关键点与难点：人力资本收益函数
评价：掌握人力资本收益函数，了解教育培训的应用。
第八章移民经济学
第一节 政策环境
第二节 移民对劳动力市场的影响
第三节 经济同化
第四节 移民结果与公共政策
第五节 移民对来源国的影响
1 人才流失
关键点和难点：移民的结果和公共政策
评价：从移民对经济的影响。
第九章 歧视与男女收入差距
第一节 歧视：原因和来源
1 歧视的理由
2 歧视的来源
第二节 劳动力市场歧视理论
1 需求理论的歧视
2 供应理论的歧视
3 歧视非竞争性的理论。
4 生产力差异：选择还是歧视？
5 女权主义观点
第三节 关于男性女性收入差距的证据
1测量歧视
2 男性女性差异的实证结果
3 其他群体的实证结果
第四节 打击性别歧视政策
1 传统的平等工资立法
2 平等的价值，支付的权益，或类似的价值立法
3 平等价值立法的存在
4 同等价值程序
5 经济与行政理念的价值
6 平等价值活动的基本原理
7 平等价值活动范围
8 具有可比性的价值
9 薪酬公平的例子
11平等就业机会立法
12 积极行动或就业平等
13 促进女性就业的政策
14 改变偏好和态度
第五节 政策的影响
1 传统的平等薪酬政策
2 肯定行动
3 可比的价值和报酬的公平
4 可比价值的就业效应
关键点和难点：歧视和收入差距
评价：了解不同类型的歧视及其政策含义。
第十章 工会影响工资和非工资性的结果
第一节 工会工资的影响
1 理论背景和概念问题
2 工会工资影响测量中的若干问题
第二节 工会工资影响的实证研究
1 早期研究
2 造型结合的发生率及影响
3 纵向研究
4 美国平均影响的总结
第三节 工会工资变动的影响
第四节 工会工资影响：总结
第五节 工会，工资差异，收入分配
第六节。联盟对资源配置和经济福利的影响
第七节。工会对非实质性结果的影响
1 工会和福利
2 工会对就业的影响
3 工会对工作条件的影响
4 工会对离职倾向和流动性的影响
5 工会对生产力、盈利能力和投资的影响
关键点和难点：联盟，营业额和流动性
评价：示范知识和理解对工资和非工资结果的影响
第十一章 失业：含义和测量
第一节 测量失业
1 劳动力调查
2 就业保险索赔人
3 隐性失业、边际劳动力的依附
第二节 劳动力动态
1 失业的发生率和持续时间
2 改变失业的观点
3 失业率的差异
关键点和难点：劳动力调查和失业率和持续时间
评估：了解如何衡量失业和失业问题。
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
六、主要参考书
*Benjamin, D., M. Gunderson, T. Lemieux, and W.C. Riddell, “Labour Market Economics” (7th Edition), Toronto: McGrawHill Ryerson, 2012. Available at the Dana Porter library
*Borjas, G., “Labor Economics”, Irwin McGraw Hill.
Labor Economics
Course Outline
Course Code: 150022B
Course Type: Electives
Periods: 32 Lecture: 32 Experiment (Computer): 0
Credits: 2
Applicable Subjects: Economics, Management
Prerequistites: Include introductory- to –intermediate microeconomics and a course in statistics or
Econometrics
Course Objectives
Upon completion of this course the students will be able to critically read public documents dealing with labor market issues and establish a comprehensive understanding of the labor market operation. The students will gain & apply the economic tools to explain and discuss the policy issues.
Course Requirements
This course is an introduction to labor economics with an emphasis on applied microeconomic theory and empirical analysis. Labor economics focus on the studies on the behavior of firms and individuals and the various outcomes of their interactions within markets. We will analyze firm-level, individual-level and market-level factors affecting employment and unemployment. We will also study the role of international forces and country-specific institutional rules governing labor decisions on the part of individuals and firms.
The instructor’s role is to provide guidance, resources, and support. Lecturing is the main teaching approach in this course, but students are responsible for engaging actively in the process. To do well in this course students need to complete the assigned readings before coming to class, come to and participate in class, and do homework and come to exams.
The course assessment is based on the following:
Class Participation (Attendance, Discussion, Q&A) (15%)
Class Presentation (15%)
Assignment (10%)
Final Examination (60%)
Course Planning
教学课时分配 (Class Schedule)
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|Part I |Labor Supply |6 | | |6 |
| |Labor Demand |5 | | |5 |
| |Competitive Equilibrium |4 | | |4 |
| |Human Capital |3 | | |3 |
| |The Wage Structure |3 | | |3 |
| |Labor Mobility |3 | | |3 |
| |Discrimination, Unions, Unemployment |8 | | |8 |
|合计 | |32 | | |32 |
Course Outline
Chapter 1 Introduction to Labor Market Economics
Section 1. Decisions by Individuals, Firms, and Governments
Section 2. Subject Matter of Labor Market Economics
Section 3. Preliminary Explorations of Labor Market Outcomes
Section 4. The Supply and Demand Model: Workhorse of Labor Economics
1. Wages and Employment in a Competitive Labor Market
Section 5. Current Policy Issues
Section 6. Similarities and Differences between the Labor Market and Other Markets
1. Various Actors with a Variety of Goals
2. Sociological, Institutional, and Legislative Constraints
3. Market Imperfections
4. Complex Price, Serving a Variety of Functions
Section 7. Alternative Perspectives
Key points and Difficulties: the supply and demand model and similarities and differences between the labor market and other markets
Evaluation: apply the supply and demand model and understand the mechanism of movements behind the model.
Chapter 2 Labor Supply: Individual Attachment to the Labor Market
Section One: The Theory of Labor Supply
1. Extensions and Applications
2. The Theory of Labor Supply
3. Quantifying Labor Market Attachment
4. Hours
5. Basic Income-Leisure Model
6. Comparative Statics
7. Deriving the Individual Supply Curve of Labor
8. Empirical Evidence
Section Two: Extensions and Applications
1. Added and Discouraged Worker Effects
2. Hidden Unemployment
3. Moonlighting, Overtime, and Flexible Working Hours
Key points and Difficulties: the theory of labor supply and basic income-leisure model
Evaluation: demonstrate the understanding on the theory of labor supply and apply the income-leisure model to the real world market phenomenon.
Chapter 3 Labor Supply and Public Policy: Work Incentive Effects of Alternative
Section 1. Income Maintenance Schemes
1. Static Partial Equilibrium Effects in Theory
2. Demogrant
3. Welfare
4. Negative Income Tax
5. Wage Subsidy and Earned Income Tax Credit
6. Employment Insurance
7. Disability Payments and Workers’ Compensation
8. Child-Care Subsidy
Section 2. Illustrative Evidence of Incentive Effects
1. Nonexperimental Evidence
2. Experimental Evidence
3. The Self-Sufficiency Project
Key points and Difficulties: incentive effects and static partial equilibrium effects in theory
Evaluation: explain and analyze the incentive effects from different public policy on labor supply.
Chapter 4 Demand for Labor in Competitive Labor Markets
Section 1. Categorizing the Structure of Product and Labor Markets
Section 2. Demand for Labor in the Short Run
Section 3. Wages, the Marginal Productivity of Labor, and Competition in the Product Market
Section 4. Demand for Labor in the Long Run
1. Isoquants, Isocosts, and Cost Minimization
2. Deriving the Firm’s Labor Demand Schedule
3. Separating Scale and Substitution Effects of a Wage Change
Section 5. The Relationship between the Short- and Long-Run Labor Demand
Section 6. Labor Demand under Cost Minimization
Section 7. Elasticity of Demand for Labor
1. Availability of Substitute Inputs
2. Elasticity of Supply of Substitute Inputs
3. Elasticity of Demand for Output
4. Share of Labors Cost in Total Costs
5. Empirical Evidence
Section 8. Changing Demand Conditions, Globalization, and Outsourcing
1. The Impact of Trade on a Single Labor Market
2. Cross-Sectoral Impact of Trade
3. Evidence
4. Other Demand-Side Factors
Keypoints and difficulties: the relationship between the short- and long- run labor damand, elasticity of demand for labor.
Evaluation: understand the short-run and long-run labor demand and elasticity of demand of labor and to be able to apply the knowledge to the real world market demand issues.
Chapter 5 Wages and Employment in a Single Labor Market
Section 1. The Competitive Firm’s Interaction with the Market
Section 2. Imperfect Competition in the Product Market
1. Monopoly
2. Monopolistic Competition and Oligopoly
3. Product Market Structure and Departures from Market Wages
Section 3. Working with Supply and Demand
1. Linear Supply and Demand Functions
2. Application: Incidence of a Unit Payroll Tax
Section 4. Monopsony in the Labor Market
1. Simple Monopsony
2. Implications of Monopsony
3. Characteristics of Monopsonists
4. Perfect Monopsonistic Wage Differentiation
Section 5. Evidence of Monopsony
Section 6. Minimum-Wage Legislation
1. Expected Impact: Competitive Labor Market
2. Expected Impact: Monopsony in the Labor Market
3. Expected Impact: Other Possible Offsetting Factors
4. Empirical Evidence on Actual Impact
Key points and difficulties: imperfect competition in the labor market and minimum-wage legislation
Evaluation: understand the imperfect competition in the labor market and make the connection between minimum-wage legislation to the imperfect competition.
Chapter 6 Compensating Wage Differentials
Section 1. Purposes of Wages and Wage Structures
Section 2. Theory of Compensating Wages
1. Single Firm’s Isoprofit Schedule
2. Different Firms with Different Safety Technologies
3. Single Individual’s Preferences
4. Different Individuals with Different Risk Preferences
5. Equilibrium with Single Firm, Single Individual
6. Equilibrium with Many Firms and Individuals
Section 3. Effect of Safety Regulation
1. Perfectly Competitive Markets
2. Imperfect Information
3. Rationale for Regulation
4. Safety Regulation: The Behavioral Economics View
Section 4. Empirical Evidence on Compensating Wages
Section 5. Policy Implications
Key points and difficulties: risk preferences and compensating wages
Evaluation: understand the theory of compensating wages and to be able to apply it the empirical analysis.
Chapter 7 Human Capital Theory: Applications to Education and Training
Section 1. Human Capital Theory
Section 2. Private Investment in Education
Section 3. Education as a Filter
Section 4. Empirical Evidence
1. Education and Earnings
Section 5. The Human Capital Earnings Function
1. Signaling, Screening, and Ability
2. Addressing Ability Bias
3. Increased Returns to Education and Inequality
4. Social Returns to Education
Section 6. Training
1. Who Pays?
2. Appropriate Role of Government
3. Evaluation of Government Training Programs
Key points and difficulties: human capital earnings function
Evaluation: master human capital earning function and understand the application to education and training.
Chapter 8 The Economics of Immigration
Section 1. The Policy Environment
Section 2. The Impact of Immigrants on the Labor Market
Section 3. Economic Assimilation
Section 4. Immigrant Outcomes and Public Policy
Section 5. The Impact of Immigration on Source Countries
1. The Brain Drain
Key points and difficulties: immigrant outcomes and public policy
Evalution: understand the economic impact from immigration.
Chapter 9 Discrimination and Male-Female Earnings Differentials
Section 1. Discrimination: Reasons and Sources
1. Reasons for Discrimination
2. Sources of Discrimination
Section 2. Theories of Labor Market Discrimination
1. Demand Theories of Discrimination
2. Supply Theories of Discrimination
3. Noncompetitive Theories of Discrimination
4. Productivity Differences: Choice or Discrimination?
5. Feminist Perspectives
Section 3. Evidence on Male-Female Earnings Differentials
1. Measuring Discrimination
2. Empirical Results on Male-Female Differentials
3. Empirical Results for Other Groups
Section 4. Policies to Combat Sex Discrimination
1. Conventional Equal Pay Legislation
2. Equal Value, Pay Equity, or Comparable Worth Legislation
3. Existence of Equal Value Legislation
4. Equal Value Procedures
5. Economic versus Administrative Concepts of Value
6. Rationale for Equal Value Initiatives
7. Scope of Equal Value Initiatives
8. Design Features of Comparable Worth
9. Pay Equity Example
10. Equal Employment Opportunity Legislation
11. Affirmative Action or Employment Equity
12. Policies to Facilitate Female Employment
13. Alter Preferences and Attitudes
Section 5. Impact of Policy Initiatives
1. Conventional Equal Pay Policies
2. Affirmative Action
3. Comparable Worth and Pay Equity
4. Employment Effects of Comparable Worth
Key points and difficulties: discrimination and earning differentials
Evaluation: understand different kinds of discrimination and their policy implication.
Chapter 10 Union Impact on Wage and Nonwage Outcomes
Section 1. Union Wage Impact
1. Theoretical Background and Conceptual Problems
2. Some Problems in Measuring the Union Wage Impact
Section 2. Empirical Evidence on Union Wage Impact
1. Early Studies
2. Modelling Union Incidence and Impact
3. Longitudinal Studies
4. Summary of Average Impact in United States
Section 3. Variation in the Union Wage Impact
Section 4. Union Wage Impact: Summary
Section 5. Unions, Wage Dispersion, and the Distribution of Income
Section 6. Union Impact on Resource Allocation and Economic Welfare
Section 7. Union Impact on Nonwage Outcomes
1. Unions and Fringe Benefits
2. Union Impact on Employment
3. Union Impact on Working Conditions
4. Union Impact on Turnover and Mobility
5. Union Impact on Productivity, Profitability, and Investment
Key points and difficulties: union, turnover and mobility
Evaluation: demonstrate knowledge and understand critically union impact on wage and non-wage outcome
Chapter 11 Unemployment: Meaning and Measurement
Section 1. Measuring Unemployment
1. Labor Force Survey
2. Employment Insurance Claimants
3. Hidden Unemployment/Marginal Labor Force Attachment
Section 2. Labor Force Dynamics
1. Incidence and Duration of Unemployment
2. Changing Perspectives on Unemployment
3. The Divergence of Unemployment Rates
Key points and difficulties: labor force survey and incidence and duration of unemployment
Evaluation: understand how to measure unemployment and the issues with unemployment.
Other Notes
Instructor should adjust the course schedule and content according to the capability of students.
Course Material
*Benjamin, D., M. Gunderson, T. Lemieux, and W.C. Riddell, “Labour Market Economics” (7th Edition), Toronto: McGrawHill Ryerson, 2012. Available at the Dana Porter library
*Borjas, G., “Labor Economics”, Irwin McGraw Hill.
执笔人：李晓凤 教研室主任： 系教学主任审核签名：
《金融经济学》教学大纲
Course Manual
课程编号： 150023B
Course Code: 150023B
课程类型：专业选修课
Course Type: Elective Course
总 学 时：32 讲课学时：24 实验（上机）学时：8
Teaching hours: 32 Lecture hours: 24 Tutorial: 8
学 分：3
Credit points: 3
适用对象：统计学专业（国际班）
Suitable group: Statistics（International）
先修课程：高等数学，线性代数，统计学，初级微观经济学
Calculus, linear and matrix algebra, statistics, microeconomics
一、课程的教学目标
金融经济学（150023B）是本科选修课程。本课程的目的是介绍现代金融理论和它们在财务管理和投资中的基本应用。虽然现如今的金融市场发展飞速， 但金融经济学中的许多基本原理仍然在理解金融市场动态中起到重要作用。本课程涉及的主题包括以下内容：金融市场的结构和功能；利率期限结构；投资组合选择；资产定价模型；有效市场假说等。学生通过这门课的学习能够更加深刻和熟练的掌握金融产品的波动原理，对于货币的时间价值以及如何理性投资和风险分析也会有跟全面的了解。 这门课对于今后学习高级金融学或资产定价原理相应的研究生课程都奠定了基础。
Financial Economics (150023B) is an undergraduate elective course.
The purpose of this course is to provide a rigorous introduction to the fundamentals of modern financial theory and their applications to our financial decision makings. The financial market is growing rapidly in a profound way. Yet many basic principles of financial economics remain important to understanding the dynamics of the financial markets. Topics covered in this course include the following: introduction to financial instruments; the term structure of interest rates; portfolio choice; models of risk and return; market efficiency and the random walk hypothesis; asset pricing models; derivative security pricing. After taking this course, students are supposed to have a better understanding of time value of money, financial instruments and asset pricing theory. This course also helps students prepare for the more advanced finance courses.
二、教学基本要求
对教学内容讲授上的要求：教学重点及难点包括了利率期限结构以及以及一系列的资产定价模型的含义和区别。这都会是这一门课精讲的部分也会是最终考核的重点。其余课本章节可以作为粗讲或选讲内容。授课过程中， 每一节课都会为学生提供课堂所对应的教学课件。教学课件中包含了诸多例题以及需要课后阅读的材料。学生除了课堂听讲外， 可以借助纤细的教学课件进行巩固加深， 特别是重点和难点的章节。
The most challenging chapters of the course is the term structure model and the understanding of asset price models and how to test these models. This two parts are the core of modern financial study and will also be the focus of the final exam. Rest chapters are also important, but they are relatively easy to understand. With the help of lecture notes and tutorials, students may practice themselves after school.
本课程三分之二的时间采用的是课堂教学(老师讲，学生听)，另外的三分之一是练习课。通过练习课巩固加深当下所学内容。练习课主要分为三大类，一是报告演讲，这可以锻炼学生自主学习和查找资料能力，也可以发掘提高学生演讲才能。二是习题， 学生会在练习课前一周收到习题， 在一周的时间里完成作业并且在习题课上用抽签的方式公布自己的答案并加以讨论。三是电脑课， 学生需要通过编程完成作业并把结果带到练习课讲解。另外， 练习课均已小组为单位， 学生不但可以锻炼团队精神， 也可以在小组成员中互相得到帮助。
Two third of the course is given by lectures. The rest one third is tutorials. Students are separated into small groups to work on their bi-weekly take-home assignments. There are three types of assignments, namely presentation; calculation; computer homework. Students are supposed to discuss and work with their groups after class and bring their answers to the tutorial. During the tutorial, groups are chosen randomly to present their answer.
本课程的考核由三部分组成：积极的课堂变现，作业完成情况以及期末的闭卷考试。最后得分公式为：
总分 = 10% 的积极出勤 + 40% 的平时作业 + 50% 的期末闭卷考试
The evaluation of your performance in this course is made up from the three components of the course. Active attendance during the lectures and tutorials, take-home assignments and a final closed book examination. All the three are then weighted according to the following rule:
Final Grade = 10% Attendance + 40% Assignments + 50% Final Exam
三、各教学环节学时分配（黑体，小四号字）
教学课时分配
Course Timetable
|序号Time |章节内容 |讲课 |实验 |其他 |合计 |
| |Topic | | | | |
|第一章 |基本概念 |2小时 | | |2小时 |
|Chapter1 |Basic Terminology |2hrs | | |2hrs |
|第二章 |风险和收益 |1小时 |1小时 | |2小时 |
|Chapter2 |Risk and Return |1hrs |1hrs | |2hrs |
|第三章 |投资组合理论（一） |2小时2hrs | | |2小时 |
|Chapter3 |Portfolio Theory 1 | | | |2hrs |
|第四章 |投资组合理论（二） |1小时 |1小时 | |2小时 |
|Chapter4 |Portfolio Theory 2 |1hrs |1hrs | |2hrs |
|第五章 |资本资产定价模型 |2小时 | | |2小时 |
|Chapter5 |CAPM |2hrs | | |2hrs |
|第六章 |套利定价模型 |1小时 |1小时 | |2小时 |
|Chapter6 |Arbitrage Pricing Theory |1hrs |1hrs | |2hrs |
|第七章 |有效市场假说 |2小时2hrs | | |2小时 |
|Chapter7 |Efficient Market Hypothesis | | | |2hrs |
|第八章 |债券定价 |1小时 |1小时 | |2小时 |
|Chapter8 |Bond Pricing |1hrs |1hrs | |2hrs |
|第九章 |利率期限结构模型 |2小时 | | |2小时 |
|Chapter9 |Term Structure Model |2hrs | | |2hrs |
|第十章 |远期市场 |1小时 |1小时 | |2小时 |
|Chapter10 |Future and Forward |1hrs |1hrs | |2hrs |
|第十一章 |期权定价 |2小时 | | |2小时 |
|Chapter11 |Option Pricing |2hrs | | |2hrs |
|第十二章 |投资组合效绩评价 |1小时 |1小时 | |2小时 |
|Chapter12 |Portfolio Performance |1hrs |1hrs | |2hrs |
|第十三章 |国际风险分散 |2小时 | | |2小时 |
|Chapter13 |International Diversification |2hrs | | |2hrs |
|第十四章 |生命周期模型 |1小时 |1小时 | |2小时 |
|Chapter14 |Life Cycle Model |1hrs |1hrs | |2hrs |
|第十五章 |实物期权 |2小时 | | |2小时 |
|Chapter15 |Real Option |2hrs | | |2hrs |
|第十六章 |期末复习课 |1小时 |1小时 | |2小时 |
|Chapter16 |Final Training |1hrs |1hrs | |2hrs |
|合计 | |24小时 |8小时 | |32小时 |
| | |24hrs |8hrs | |32hrs |
四、教学内容（黑体，小四号字）
第一章 基本概念
第一节 金融和金融经济学
第二节 金融市场操纵者
1. 家庭个体
2. 公司企业
第三节 金融体系
1. 金融中介
2. 金融体系的功能
第四节 金融资产和市场价格
1金融资产
教学重点、难点：一级和二级市场，不同资产类别（固定收益，衍生品，权益）。
课程的考核要求：利率计算
Chapter 1 Basic Terminology
Section 1 Finance vs. Financial Economics
Section 2 Financial Market Players
1 Households
2 Firms
Section 3 Financial System
1 Financial Intermediaries
2 Functions of the Financial System
Section 4 Financial Assets and Market Rates
1 Financial Assets
Key and Difficult Points: primary and secondary market, different asset classes (fixed income, derivatives, equity).
Evaluation Requirements: interest rate calculation.
第二章 风险和收益
第一节 名义及实质利率
第二节 在不同时间点的回报率
第三节 票据及通胀数据分析
第四节 风险及风险溢价历史回报
第五节 时间序列分析
第六节 历史收益与风险措施
教学重点、难点：费雪效应，简单对比连续复利回报，算术和几何平均收益，风险价值与预计不足。
课程的考核要求：年回报率，在风险预期收益率和波动性，VaR（分析方法和实证方法）。
Chapter 2 Risk and Return
Section 1 Nominal and Real Interest Rate
Section 2 Rate of Return for Difference Horizon
Section 3 Bills and Inflation Data Analysis
Section 4 Risk and Risk Premium
Section 5 Time Series Analysis of Historical Returns
Section 6 Historical Returns and Risk Measures
Key and Difficult Points: fisher effect, simple vs. continuously compounded return, arithmetic and geometric average return, value at risk vs. expected shortfall.
Evaluation Requirements: annual returns, expected return and volatility, value at risk (analytical method and empirical method).
第三章 组合理论1
第一节 多样化和投资组合风险
第二节 组合的两个风险资产
1组合标准差
2最小方差组合
3切线投资组合
教学重点、难点：市场风险与非系统风险，多样化，均值 - 方差前沿，最小方差组合的资本配置线（CAL），最大夏普比率组合的威力。
课程的考核要求：最低得出总体方差，CAL的斜率，得到切线和两风险资产的投资组合当中。
Chapter 3 Portfolio Theory 1
Section 1 Diversification and Portfolio Risk
Section 2 Portfolio of Two Risky Assets
1 Portfolio Standard Deviation
2 Minimum-Variance Portfolio
3 Tangent Portfolio
Key and Difficult Points: market risk vs. non-systematic risk, power of diversification, mean-variance frontier, minimum-variance portfolio, capital allocation line (CAL), maximum Sharpe ratio portfolio.
Evaluation Requirements: derive global minimum variance, slope of CAL, derive tangent portfolio among two risky assets.
第四章 组合理论2
第一节 单因素证券市场
第二节 单指数模型
第三节 单指数模型预测
第四节 组合构建
教学重点、难点：马科维茨的缺点，指数因子（公因子），单因素模型，α-β估计，优点和指数模型的缺点。
课程的考核要求：指数模型多样化，测试α和公测系数。
Chapter 4 Portfolio Theory 2
Section 1 A Single-Factor Security Market
Section 2 Single-Index Model
Section 3 Estimation of Single-Index Model
Section 4 Portfolio Construction
Key and Difficult Points: drawbacks of Markowitz, index factor (common factor), single factor model, alpha-beta estimation, pros and cons of index model.
Evaluation Requirements: index model diversification, test of coefficients alpha and beta.
第五章 资本资产定价模型（CAPM）
第一节 资本资产定价模型
1 市场投资组合
2 市场风险溢价
3 风险和收益对个别证券
4 证券市场线
5 资本资产定价模型的假设
6 CAPM的测试
教学重点、难点：区别单和均衡模型投资组合投资组合模型，资本市场线（CML），优化市场组合，证券市场线（SML），SML VS CML，CAPM，资本资产定价模型测试的假设。
课程的考核要求：使用横截面回归模型来检验CAPM
Chapter 5 The Capital Asset Pricing Model (CAPM)
Section 1 Capital Asset Pricing Model
1 Market Portfolio
2 Market Risk Premium
3 Risk and Return for Individual Securities
4 Security Market Line
5 Assumption of CAPM
6 Test of CAPM
Key and Difficult Points: difference between individual portfolio model and equilibrium portfolio model, capital market line (CML), optimal market portfolio, security market line (SML), SML vs. CML, assumption of CAPM, test of CAPM.
Evaluation Requirements: using cross sectional regression to test CAPM model
第六章 套利定价理论（APT）
第一节 因素模型研究综述
第二节 套利定价理论
1 多元化的投资组合
2 零-beta：执行套利
教学重点、难点：单一和多因素模型，APT优缺点，协方差的虚弱和充分分散化的投资组合的相关性。
课程的考核要求：零-beta投资组合的风险溢价。
Chapter 6 Arbitrage Pricing Theory (APT)
Section 1 A Review of Factor Models
Section 2 Arbitrage Pricing Theory
1 Well-Diversified Portfolios
2 Zero-beta: executing arbitrage
Key and Difficult Points: single and multi-factor model, strengths and weakness of APT, covariance and correlation of well-diversified portfolio.
Evaluation Requirements: zero-beta portfolio risk premium.
第七章 有效市场假说
第一节 随机游走和有效市场假说
第二节 有效市场假说的意义
第三节 事件研究
第四节 市场是有效率的吗？
1弱式测试
2半强测试
教学重点、难点：EMH的版本，市场异常。
课程的考核要求：联合假设的问题。
Chapter 7 Efficient Market Hypothesis
Section 1 Random Walk and Efficient Market Hypothesis
Section 2 Implication of the EMH
Section 3 Event Study
Section 4 Are Market Efficient?
1 Weak-Form Tests
2 Semi-Strong Tests
Key and Difficult Points: version of EMH, market anomalies.
Evaluation Requirements: joint hypothesis problem.
第八章 债券定价
第一节 债券特性
第二节 债券定价
第三节 债券收益率
教学重点、难点：应计利息，债券估值，到期收益率，看涨收益率。
课程的考核要求：债券定价的原则，到期收益率与看涨收益率。
Chapter 8 Bond Pricing
Section 1 Bond Characteristics
Section 2 Bond Pricing
Section 3 Bond Yields
Key and Difficult Points: accrued interest, bond valuation, yield to maturity, yield to call.
Evaluation Requirements: bond pricing principles, yield to maturity vs. yield to call.
第九章 利率的期限结构
第一节 收益率曲线
第二节 收益率曲线和利率前景
第三节 利率不确定性和远期汇率
第四节 理论期限结构
第五节 分解释期限结构
1 一个合成正向贷款的例子
教学重点、难点：在确定性收益曲线，找到一个未来的短期利率，持有期收益，远期利率的，不确定的利率，收益和远期利率的关系。
课程的考核要求： 根据预期假说假设远期利率和流动性。
Chapter 9 Term Structure of Interest Rate
Section 1 Yield Curve
Section 2 Yield Curve and Future Interest Rates
Section 3 Interest Rate Uncertainty and Forward Rates
Section 4 Theories of the Term Structure
Section 5 Interpreting the Term Structure
1 Example of a Synthetic Forward Loan
Key and Difficult Points: yield curve under certainty, finding a future short rate, holding period return, forward rate, uncertain interest rate, relation between yields and forward rates.
Evaluation Requirements: forward rate under expectation hypothesis and liquidity hypothesis.
第十章 期货和远期市场
第一节 期货合约
1 主场迎战前锋期货。
第二节 交易力学
1 信息中心和持仓
2 盯市
第三节 期货市场策略
第四节 期货价格
1 现货 - 期货平价
2 期货市场套利
第五节 对期货价格预计现货价格
教学重点、难点：远期和期货，多头和空头头寸，对冲和投机的区别，现货期货平价，期货市场的套利机会
课程的考核要求：期货价格的基础上现货期货奇偶校验。
Chapter 10 Futures and Forward Markets
Section 1 Futures Contract
1 Forwards vs. Futures.
Section 2 Trading Mechanics
1 Clearinghouse and Open Interest
2 Marking to Market
Section 3 Futures Markets Strategies
Section 4 Futures Price
1 Spot-Futures Parity
2 Futures Market Arbitrage
Section 5 Futures Price vs. Expected Spot Prices
Key and Difficult Points: difference between forwards and futures, long and short positions, hedging and speculation, spot-futures parity, futures market arbitrage opportunity
Evaluation Requirements: futures price based on spot-futures parity.
第十一章 期权定价
第一节 选项联系
第二节 期权策略
第三节 树二叉树期权定价
1单步二叉树模型
2两步二叉树
教学重点、难点：选择与股票投资，保护性看跌，备兑买入，多空选择，价差期权，对冲三角洲投资组合，风险中性定价。
课程的考核要求：使用复制组合期权定价方法。
Chapter 11 Option Pricing
Section 1 Option Contact
Section 2 Option Strategies
Section 3 Binomial Tree Option Pricing
1 One-Step Binomial Model
2 Two-Step Binomial Tree
Key and Difficult Points: options vs. stock investment, protective put, covered call, straddle option, spread option, Delta hedge portfolio, risk neutral valuation.
Evaluation Requirements: option pricing using replicating portfolio method.
第十二章 投资组合绩效评估
第一节 绩效评估传统理论
1 平均回报率
2 时间加权回报与美元加权回报
3调整风险回报
4对已实现收益预期收益
教学重点、难点：使用夏普比率，特雷诺测度，詹森阿尔法，信息比，性能M-方的措施，对美元加权回报和时间加权回报，投资组合评估的区别实现预期的回报。
课程的考核要求：投资组合表现的测量。
Chapter 12 Portfolio Performance Evaluation
Section 1 Conventional Theory of Performance Evaluation
1 Average Rate of Returns
2 Time-Weighted Returns vs. Dollar-Weighted Returns
3 Adjusting Return for Risk
4 Realized Return vs. Expected Returns
Key and Difficult Points: difference between dollar-weighted returns and time-weighted returns, portfolio evaluation using Sharpe ratio, Treynor measure, Jensen’s alpha, information ratio, M-square measure of performance, realized vs. expected returns.
Evaluation Requirements: portfolio performance measurement.
第十三章 国际多样化
第一节 全球市场的股票
第二节 风险因素和国际投资
1汇率风险
2在新兴市场投资是否风险更大？
教学重点、难点：市值和GDP，汇率风险对冲。
课程的考核要求：采用国际多样化试验因子模型
Chapter 13 International Diversification
Section 1 Global Markets for Equities
Section 2 Risk Factors and International Investment
1 Exchange Rate Risk
2 Are Investment in Emerging Market Risker?
Key and Difficult Points: market capitalization and GDP, hedging exchange rate risk.
Evaluation Requirements: international diversification test using factor models
第十四章 生命周期模型
第一节 生命周期储蓄模型
1 退休前的收入目标替代率
2 保持消费支出同级别
3 一般形式
教学重点、难点：所需的目标计算的退休收入，消费平稳，人力资本。
课程的考核要求：计算永久性收入，计算人力资本。
Chapter 14 Life Cycle Models
Section 1 A Life-Cycle Model of Saving
1 Target Replacement Rate of Preretirement Income
2 Maintain the Same level of Consumption Spending
3 General Form
Key and Difficult Points: calculate desired target retirement income, smooth consumption, human capital.
Evaluation Requirements: calculate permanent income, calculate human capital.
第十五章 实物期权
第一节 投资实物期权
第二节 延迟期权：不确定性和不可逆性的案例
1 敏感性分析
2 使用二叉树期权定价估价模型
教学重点、难点：计算延迟期权，直接投资与净现值延期选项。
课程的考核要求：使用二叉树期权定价看重延期选项。
Chapter 15 Real Option
Section 1 Investment in Real Option
Section 2 Deferral Option: The Case of Uncertainty and Irreversibility
1 Sensitivity Analysis
2 Valuation Using Binomial Option Pricing Model
Key and Difficult Points: calculate net present value of deferral option, immediate investment vs. deferred option.
Evaluation Requirements: using binomial option pricing to value the deferred option.
第十六章 期末培训和课程小结
第一节 风险和收益
第二节 投资组合理论
第三节 CAPM
第四节 APT
第五节 利率期限结构
第六节 期货及期权
教学重点、难点：预期收益率和标准差，风险价值，总体方差最小，CAL，马科维茨的弊端，预期收益-β的关系，多样化的效果，SML，投资组合的方差，增量对冲（二项式模型），收益率打电话，到期收益率，利率不确定性。
Chapter 16 Summary of the Course and Final Training
Section 1 Risk and Return
Section 2 Portfolio Theory
Section 3 CAPM
Section 4 APT
Section 5 Term Structure of Interest Rate
Section 6 Futures and Options
Key and Difficult Points: expected return and standard deviation, Value at risk, global minimum variance, CAL, drawbacks of Markowitz, expected return-beta relationship, diversification effect, SML, variance of the portfolio, delta hedge (Binomial model), yield to call, yield to maturity, uncertain interest rate.
五、主要参考书 Reading Materials
[1] Zvi Bodie, Robert C. Merton and David L. Cleeton，Financial Economics, Second Edition, 中国人民大学出版社.
[2] Zvi Bodie, Alex Kane and，Alan J. Marcus, Investment, 9th edition, 机械工业出版.
执笔人 Instructor： 沈牧龄 (Sally Shen)
教研室主任：
系教学主任审核签名：
《产业组织》教学大纲
“Industrial Organization” Course Outline
课程编号：150032B
课程类型：专业选修课
总 学 时：32 讲课学时：32 实验（上机）学时：0
学 分：2
适用对象：经济学、金融学、统计学等
先修课程：中级微观经济学、微积分、高等代数、概率论与数理统计
Course Code: 150032B
Course Type: Major Elective Course
Periods: 32Lecture: 32Experiment (Computer): 0
Applicable Subjects: Economics, Finance, Statistics etc.
Preparatory Courses: Intermediate Microeconomics, Calculus, Algebra, Probability and Statistics
一、课程的教学目标
这门课程介绍了产业组织经济学这一领域的主要概念。此课程的学习为后续产业组织相关课程的学习打下了坚实的基础。教学的主要目标包括加深学生对企业行为及市场结构的理解，介绍一系列前沿的分析方法与模型，并培养学生利用这些知识对相关问题进行分析的能力。
This course surveys major topics in the field of Industrial Organization. It also serves as a foundation course to prepare the student for further study in the area of Industrial Organization. Goals for the course include deepening your understanding of firm behavior and market structure, introducing you to a range of new analytical tools and models, and helping you gain facility with using these tools in an active manner.
二、教学基本要求
（一）教学内容
《产业组织》以“市场”与“产业”为研究对象，主要分析各企业之间的竞争关系。通过微观经济学及博弈论的基本工具，本课程着重探索企业的策略性行为，以及这些行为对市场结构和福利的影响。我们将学习到一系列市场现象的理论模型及实证方法，包括价格竞争，产品差异化，研发，政府政策及其效果等。
Industrial Organization studies markets and industries, in particular the way firms compete with each other. Using the basic tools of microeconomic theory and game theory, this course explores how firms make their decisions based on strategic thinking. Industrial Organization also analyzes the impact that those decisions have on market structure and welfare. We will study theoretical models and empirical evidence for a wide variety of market phenomena such as price competition, product differentiation, research and development, government policies and their effects, and so forth.
（二）教学方法和手段
教学主要以教授为主。同时安排以下形式以便学生能够深入理解基本原理；布置作业以便学生练习所学的知识；定期组织学生进行课堂讨论；指定学生阅读相关文献；组织学生就某观点进行课堂展示与陈述；通过考试考察学生的学习情况。
This course is mainly based on lecture. Students are expected to practice through assignments, discussion, reading related materials, presentations, and exams.
（三）考核方式
总分100分，各部分比例分配如下。
The total score is 100, the weight of different parts is as followed.
5. 出勤Attendance10%
6. 作业 Homework 10%
7. 课堂展示与陈述 Presentation 10%
8. 期中考试 Mid-term Exam20%
9. 期末闭卷考试Final Exam50%
（四）学习要求
先修课程：中级微观经济学、微积分、高等代数、概率论与数理统计
Intermediate Microeconomics, Calculus, Algebra, Probability and Statistics
课后作业：Problem Sets
学生自学：Preparing for the class in advance, reading relatedpapers, and doingthe presentations on some topics.
三、各教学环节学时分配（黑体，小四号字）
教学课时分配
|序号 |章节内容 |讲课 |实验 |课堂讨论与陈述 |合计 |
|1 |第一章 引言与理论 |2 | | |2 |
| |Chapter 1 Introduction and Theory | | | | |
|2 |第二章 市场结构 |8 | |2 |10 |
| |Chapter 2 Market Structures | | | | |
|3 |第三章 商业实践：战略和行为 |8 | |2 |10 |
| |Chapter 3 Business Practices: Strategies and | | | | |
| |Conduct | | | | |
|4 |第四章 信息、广告和披露 |3 | | |3 |
| |Chapter 4 Information, Advertising, and | | | | |
| |Disclosure | | | | |
|5 |第五章 动态模型和市场出清 |4 | | |4 |
| |Chapter 5 Dynamic Models and MarketClearing | | | | |
|6 |第六章 政府政策及效果 |3 | | |3 |
| |Chapter 6 Government Policies and Their | | | | |
| |Effects | | | | |
|合计 | |28 | |4 |32 |
四、教学内容（黑体，小四号字）
第一章 引言和理论
第一节 概述
第二节 企业和成本
教学重点、难点：分析模式、成本概念
课程的考核要求：了解企业组织和行动的方式、理解企业不同成本的意义
复习思考题：
1. 书本案例
2. 课后习题
Chapter 1 Introduction and Theory
Section 1 Overview
Section 2 Organization
Key and Difficult Points: models, concepts of different types of costs
Evaluation Requirements: know firm’s organization and behavior, understand the meanings of different kinds of costs
Questions for review:
1. Case study
2. Homework
第二章 市场结构
第一节 竞争
第二节 垄断、买方垄断和主导企业
第三节 卡特尔
第四节 寡头垄断
第五节 产品差异化和垄断竞争
第六节 产业结构和绩效
教学重点、难点：垄断的成本和收益、垄断的建立和维持、卡特尔的形成与执行、寡头垄断
课程的考核要求：掌握垄断的成本和收益的计算方法、理解垄断的建立和维持、理解卡特尔的形成与执行、掌握寡头垄断的几种模型
复习思考题：
1. 书本案例
2.课后习题
Chapter 2 Market Structures
Section 1 Competition
Section 2 Monopolies, monopsonies, and dominant firms
Section 3 Cartels
Section 4 Oligopoly
Section 5 Product differentiation and monopolistic competition
Section 6 Industry structure and performance
Key and Difficult Points: the costs and benefits of monopoly, creating and maintaining a monopoly, forming and enforcing cartel, oligopoly
Evaluation Requirements: master the calculation methods of the costs and benefits of monopoly, understand the formation and maintenance of monopoly, understand the formation and enforcement of cartel, master several models of oligopoly
Questions for review:
1. Case study
2. Homework
第三章 商业实践：战略和行为
第一节 价格歧视
第二节 高级定价理论
第三节 战略性行为
第四节 纵向一体化和纵向约束
教学重点、难点：价格歧视的类型、非线性定价、企业的生命周期
课程的考核要求：掌握不同价格歧视的福利效应的计算方法、理解非线性定价的方法、了解企业的生命周期
复习思考题：
1. 书本案例
2. 课后习题
Chapter 3 Business Practices: Strategies and Conduct
Section 1 Price discrimination
Section 2 Advanced topics in pricing
Section 3 Strategic behavior
Section 4 Vertical integration and vertical restrictions
Key and Difficult Points: types of price discrimination, nonlinear pricing, the life cycle of a firm
Evaluation Requirements: master the calculation methods of welfare effects of different kinds of price discriminations, understand nonlinear pricing methods, know the life cycle of a firm
Questions for review:
1. Case study
2. Homework
第四章 信息、广告和披露
第一节 信息
第二节 广告和披露
教学重点、难点：有关质量和价格的有限信息、广告对福利的影响
课程的考核要求：理解为消费者提供信息能降低价格、理解广告对福利的影响
复习思考题：
1. 书本案例
2.课后习题
Chapter 4 Information, Advertising, and Disclosure
Section 1 Information
Section 2 Advertising and disclosure
Key and Difficult Points: limited information about quality and price, effects of advertising on welfare
Evaluation Requirements: understand providing consumer information lowers price, understand the effects of advertising on welfare
Questions for review:
1. Case study
2. Homework
第五章 动态模型和市场出清
第一节 跨期决策：耐用性
第二节 专利和技术变革
第三节 市场如何出清：理论和事实
教学重点、难点：出租和出售的比较、针对发明的激励、市场出清理论
课程的考核要求：掌握出租和出售的比较方法、理解针对发明的激励的必要性、了解市场出清的理论和经验证据
复习思考题：
1. 书本案例
2.课后习题
Chapter 5 Dynamic Models and Market Clearing
Section 1 Decision making over time: durability
Section 2 Patents and technological change
Section 3 How markets clear: theory and facts
Key and Difficult Points: comparison between renting and selling, incentives for inventions, market clear theory
Evaluation Requirements: master the method of comparing renting and selling, understand the need of incentives for invention, know market clear theory and empirical evidences
Questions for review:
1. Case study
2. Homework
第六章 政府政策及其效果
第一节 国际贸易
第二节 反垄断法规和政策
第三节 管制和放松管制
教学重点、难点：关税、补贴和配额、市场势力和市场的定义、市场管制者的管制目标
课程的考核要求：理解关税、补贴和配额的区别、理解市场势力和市场的定义、了解市场管制者的几个管制目标
复习思考题：
1. 书本案例
2.课后习题
Chapter 6 Government Policies and Their Effects
Section 1 International trades
Section 2 Antitrust laws and policy
Section 3 Regulation and deregulation
Key and Difficult Points: tariffs, subsidies, and quotas, market power and the definition of markets, the objectives of regulators
Evaluation Requirements: understand the differences among tariffs, subsidies, and quotas, understand market power and the definition of market, know the several goals of market regulator
Questions for review:
1. Case study
2. Homework
五、主要参考书（黑体，小四号字）
[1]Carlton, D. W.,Perloff, J. M.Modern Industrial Organization, 4th revised edition.Pearson Education. 2015
[2] 丹尼斯·W·卡尔顿,杰弗里·M·佩洛夫. 《现代产业组织》, 第四版. 中国人民大学出版社. 2009
执笔人：王艳菲 教研室主任： 系教学主任审核签名：
《金融投资案例分析（英语）》教学大纲
Case Studies in Finance Syllabus
课程编号： Course Code: 150033B
课程类型：专业选修课
总 学 时： Hours: 48
讲课学时： Lecture Hours: 32
学 分： Credits: 3
适用对象： 金融学（金融经济）
Applicable Majors: Finance （Finance and Economics Experiment Class）
先修课程：经济学原理，会计学原理，金融学原理, 金融经济学，财务报表分析
Prerequisites: Principles of Economics; Principles of Accounting; Principles of Finance；Financial Economics; Financial Statement Analysis;
一、课程的教学目标
金融投资案例分析是金融类专业本科生的专业选修课程，主要通过各类案例的学习，进一步理解财务报表分析，资产定价及估值，市场有效性理论，资本的成本，资本预算决策，公司资本结构，股利政策，首次公开发行，兼并与收购，公司治理，私人股本投资等内容。
该课程培养学生应用所学金融学所学概念和理论，理解企业在金融市场中的各项财务决策，帮助学生建立财务管理和公司金融的思维方式，提高学生的综合素质。金融投资案例分析的主要目标是培养学生应用财务管理和金融投资的概念、工具、分析方法，理解并评估企业的实际运营情况、投融资决策。为学生未来从事相关工作打下坚实的理论和实务操作的基础。
Financial Statement Analysis is a selective field course for undergraduate students in finance major. Various intensive cases are used to reinforce and to extend the concepts introduced in previous courses. The topics covered are following: financial statement analysis, asset valuation, market efficiency, cost of capital, capital budgeting, capital structure, payout policy, initial public offerings and Merger and Acquisition, corporate governance, private equity.
This course provides students with an opportunity to integrate and to apply financial concepts and tools to strategic financial decision making in a wide variety of situations. It is also meaningful in that it can develop thinking in finance and accounting, and improve students’ comprehensive ability and skill. It is targeting at help students to apply financial concepts, tools and analysis to understand and measure the corporation performance, financing decisions and investment decisions. And better prepare students for potential job opportunities.
二、教学基本要求
本课程的主要内容是应用案例分析，对财务管理、金融投资、公司金融等概念和基础理论有更深入地理解。本课程结合相对应的案例，重点理解在财务报表分析在管理公司和公司估值中的重要作用；理解股票和债券定价；理解公司财务预算的必要性，以及资本成本在预算和投资决策中的重要性；理解公司财务预算决策和投资决策必要性；理解债务在资本结构和公司估值中的作用；理解股利派出决策和股票回购决策的制定；学习公司首次公开上市发行，公司的兼并和收购行为动机；理解公司治理的重要性；学习私人股本投资的必要性。
由于教学以实践为重，授课老师可以采取组织学生分组的新式，进行小组讨论，并鼓励学生在课堂发言和参与讨论，提高学生的学习积极性。鼓励学生课前预习，课前学习相关案例；课上按小组进行课堂讨论和发言，可以采取小组积分形式，提高课堂参与程度。同时鼓励学生寻找更多的国内的熟悉的案例，以便学生能够深入理解知识要点。
课程的考核方式及其所占权重如下：
|出勤 |10% |
|课堂案例讨论和课堂发言 |20% |
|课后案例学习 |30% |
|期末闭卷考试 |40% |
The main content of this course is via cases studies to further understand concepts and analysis in Financial Statement Analysis, Corporate Finance and Investments. Through the case studies, to further understand the role of financial statements in both managing firms and analyzing firms; understand determinants of stock and bond value, and assess value of assets; understand the essence of capital budgeting and resource allocation and the importance of cost of capital; determine how much debt a firm takes on and understand the effect of the debt on the value of the firm; understand the methods used to value companies in a M&A (merger and acquisition)setting; understand motives for IPO(Initial Public Offering) and private equity; understand the corporate governance.
This course is emphasizing at empirical discussion. The lecturer could organize and form study groups, encourage students to perform group study and discussion, and do presentations in the class. Students will perform better in class participation by discussion the case together in a learning group. Students are required to read and discuss cases before the class, participate in class discussion. Students are also suggested to compete among groups based on their performance. Students are also encouraged to connect in class cases with the domestic cases and further understand the concepts and analysis.
The methods of evaluation of this course and their weights are as follows:
|Attendance |10% |
|In class cases studies and |20% |
|discussion | |
|Assignments of Cases |30% |
|Final Exam (closed) |40% |
三、各教学环节学时分配
教学课时分配 (Class Schedule)
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |简介 |2 | | | |
| |Introduction | | | | |
|2 |财务报表分析案例分析 |6 | | | |
| |Financial Statement Analysis Cases Study | | | | |
|3 |资产定价案例分析 |4 | | | |
| |Asset Valuation Cases Study | | | | |
|4 |市场有效性案例分析 |3 | | | |
| |Market Efficiency Cases Study | | | | |
|5 |资本成本案例分析 |3 | | | |
| |Cost of Capital Cases Study | | | | |
|6 |资本预算案例分析 |6 | | | |
| |Capital Budgeting Cases Study | | | | |
|7 |资本结构案例分析 |3 | | | |
| |Capital Structure Cases Study | | | | |
|8 |股利案例分析 |4 | | | |
| |Payout Policy Cases Study | | | | |
|9 |首次公开发行案例分析 |4 | | | |
| |IPO Cases Study | | | | |
|10 |兼并收购案例分析 |6 | | | |
| |Merger and Acquisition Cases Study | | | | |
|11 |公司治理案例分析 |4 | | | |
| |Corporate Governances Cases Study | | | | |
|12 |私人股本案例分析 |3 | | | |
| |Private Equity Cases Study | | | | |
|合计 | |48 | | | |
四、教学内容（Contents）
第一章 简介
Chapter 1: Introduction
教学重点、难点：案例分析的一般方法; 案例分析在金融投资中的作用
Key Points: How to perform a case analysis; Motive of cases studies in modern finance
课程的考核要求：案例分析的一般方法；案例分析的目的和作用
Requirements: The introduction to case analysis; motives and goals of cases analysis
复习思考题：沃伦巴菲特的投资哲学是什么？
Summary Problems: What is Warren Buffett’s investment philosophy?
第二章 财务分析预测案例学习
Chapter 2：Financial Statement Analysis Cases Study
教学重点、难点：通过案例进一步理解财务报表分析，财务比例分析
Key Points: Through cases studies to further understand three financial statement analysis, ratio analysis
课程的考核要求：通过Krispy Fibres Doughnuts 案例进一步理解现金流两表，资产负债表，利润表的定义和作用；通过Value Line Publishing 案例进一步了解财务比例应用，包括衡量公司表现、杠杆、流动性、运营效率的比例
Requirements: Through cases study in Krispy Fibres Doughnuts, further understand the definition and purpose of an income statement, a balance sheet and the cash flow statement; further understand financial ratio analysis through case study in Value Line Publishing, including performance ratios, leverage ratios, liquidity ratios, and efficiency ratios
复习思考题：Krispy Kreme 公司从金融角度看“健康”吗？为什么该公司的股价从2003年到2004年跌了80% 呢？
Summary Problems: Is Krispy Kreme financially “healthy”? Why did its stock price drop by 80% between 2003 and 2004?
第三章 资产定价案例学习
Chapter 3: Asset Valuation Cases Study
教学重点、难点：通过案例学习进一步理解资产定价模型
Key Points: Through cases studies to further understand market efficiency assumptions
课程的考核要求：通过联邦快递公司和UPS快递公司案例理解资产定价模型, 特别是增加的经济价值；理解公司财务表现和财务健康程度
Requirements: Through case study in FedEx and UPS, assess economic profit analysis (Economic Value Added); understand the measurement of financial performance and health for a corporation
复习思考题：自从１９９０年代以来，FedEx和UPS两家公司表现如何？哪家公司表现更好？
Summary Problems: How have FedEx and UPS performed since the early 1990s? Which firm is doing better?
第四章 市场有效性案例学习
Chapter 4: Market Efficiency Cases Study
教学重点、难点：通过案例进一步理解市场有效性假说
Key Points: Through cases studies to further understand market efficiency assumptions.
课程的考核要求： Through the cases study in Bill Miller and Value Trust, further understand the concept of capital-market efficiency, classification of market efficiency
Requirements: 通过Bill Miller 和Value Trust 两家公司的案例，理解资本市场有效性的含义，以及资本市场有效性的分类
复习思考题：What is capital-market efficiency? What are its implications for investment performance in general?
Summary Problems: 什么是资本市场有效性？投资决策表现的一般含义是什么？
第五章 资本成本
Chapter 5: Cost of Capital
教学重点、难点：通过案例进一步理解资本的成本
Key Points: Through cases studies to further understand the cost of capital
课程的考核要求：通过耐克公司案例学习，理解资本成本，WACC成本分析法，CAPM模型的资产定价方法，股利折现法
Requirements: Through case study in Nike Inc to understand cost of capital, especially WACC, costs of equity using CAPM, the dividend discount model
复习思考题： 应用WACC方法估计耐克公司下一年的资本成本，同时应用WACC方法估计权益成本
Summary Problems: Apply WACC method to value the cost of capital and then apply CAPM model to value the cost of equity in the following year for Nike company
第六章 资金预算
Chapter 6：Capital Budgeting
教学重点、难点：通过案例进一步理解资本预算和投资
Key Points: Through cases studies to further understand capital budgeting and investment
课程的考核要求：通过Target公司，Aurora Texile公司，Star River Electronics Ltd公司等案例进一步理解公司资本预算和投资决策；
Requirement: further understand capital budgeting and investment decision through cases study in Target Corporation, Aurora Textile, Star River Electronics Ltd;
复习思考题： Target 公司的资本预算过程是怎样的？该预算过程和公司经营目标和财务目标一致吗？
Summary Problems: What is Target’s capital-budgeting process? Is it consistent with the company’s business and financial objectives?
第七章 公司资本结构
Chapter 7：Capital Structure
教学重点、难点：通过案例进一步理解公司的资本结构
Key Points: Through cases studies to further understand the capital structure
课程的考核要求：通过California Pizza Kitchen公司, Deluxe Corporate公司等案例进一步理解公司的资本结构理论，MM理论，税盾理论。
Requirement: further understand the corporate capital structure, MM theory, tax shield through cases study in California Pizza Kitchen, Deluxe Corporate;
复习思考题： 对California Pizza Kitchen 公司，杠杆是如何影响ROE的？
Summary Problems: what role does leverage play in affecting the return on equity (ROE) for California Pizza Kitchen
第八章 分红政策
Chapter 8: Payout Policy
教学重点、难点：通过案例进一步理解公司分红政策的影响因素
Key Points: Through cases studies to further understand factors affect payout policy.
课程的考核要求：通过Gainesboro machine Tools Corporate公司和EMI Group plc公司案例进一步理解公司分红政策和股票回购决定。
Requirement: further understand dividend and stock buyback decisions through case study in Gainesboro machine Tools Corporate and EMI Group plc.
复习思考题：如果是不发红利以及发放20% 的红利，两种情况下对Gainesboro machine Tools Corporate公司的融资需求和偿债能力有什么影响，二者有什么区别？
Summary Problems: What happens to Gainesboro’s financing need and unused debt capacity if: no dividends are paid? an 20% payout is pursued?
第九章 首次公开发行
Chapter 9：IPO
教学重点、难点：通过案例进一步理解首次公开发行
Key Points: Through cases studies to further understand the Initial Public Offering
课程的考核要求：通过JetBlue 航空公司IPO案例，分析IPO的动机，IPO的成本和收益
Requirement: Through the case of JetBlue Airways IPO to analyze the motives of IPO, to assess costs and benefits of IPO
复习思考题：公开发行上市的优势和劣势分别是什么？
Summary Problems: What are the advantages and disadvantages of going public?
第十章 兼并与收购
Chapter 10: Merger and Acquisition
教学重点、难点：通过案例进一步理解兼并与收购
Key Points: Through cases studies to further understand Merger and Acquisitions
课程的考核要求：学习并分析谷歌公司收购摩托罗拉公司案例，理解兼并收购的动机，成本及收益
Requirement: Through case of Google and Motorola to analysis the motivation of merger, costs and benefits of a merger
复习思考题：对AOL公司和时代华纳公司的兼并案例进行分析
Summary Problems: Merger case study of AOL and Time Warner
第十一章 公司治理
Chapter 11: Corporate Governance
教学重点、难点：通过案例进一步理解公司治理相关问题
Key Points: Through cases studies to further understand the Corporate Governance
课程的考核要求：通过Hershey Foods Corporation 案例, 理解公司治理，董事会，CEO的作用，委托-代理矛盾
Requirement: Through the case of Hershey Foods Corporation to understand the corporate governance, board of director, CEO behaviors, manager-shareholder conflicts, director-shareholder conflicts
复习思考题：在公司决策中，股东利益是如何决策的？
Summary Problems: What are stakeholder interests in corporate decision-making?
第十二章 私人股权投资
Chapter 12: Private Equity
教学重点、难点：通过案例进一步理解私人股权投资的作用。
Key Points: Through cases studies to further understand Private Equity
课程的考核要求：通过派拉蒙合伙人案例，了解私人股权投资的目标、过程和行为模式
Requirement: Through case study in Palamon Capital Partners to understand the practice, goals, and process of a private equity investment
复习思考题：私人股权投资和首次公开发行的区别和相似性分别在哪里？
Summary Problems: How does private equity investing compare with public market investing? What are the similarities and differences between the two?
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
[1] Case Studies in Finance by Bruner, Eades, and Schill, McGraw-Hill Irwin, 7th edition, 2005.
[2] Fundamentals of Financial Management by Brigham and Houston, South-Western Cengage Learning, 13th edition, 2013
执笔人：黎菁 教研室主任： 系教学主任审核签名：
《城市经济学》教学大纲
“Urban Economics” Course Outline
课程编号：150042B
课程类型：专业选修课
总 学 时：32 讲课学时：32 实验（上机）学时：0
学 分：2
适用对象：经济学、管理学等
先修课程：微观经济学、微积分
Course Code: 150042B
Course Type: Major Elective Course
Periods: 32 Lecture: 32 Experiment (Computer): 0
Credits: 2
Applicable Subjects: Economics, Management, etc.
Preparatory Courses: Microeconomics and Calculus.
一、课程的教学目标
这是金融学本科生的专业选修课，旨在帮助学生应有经济学相关原理，理解城市发展的主要经济现象，分析背后的经济动力，研究城市发展中遇到的诸多问题与挑战。
This is an elective course for undergraduate students in Finance. It aims to help students apply economic principles in urban development, understand major phenomena in cities, analyze the economic driving forces behind them, and study various problems and challenges in urban development.
二、教学基本要求
本课程的主要内容是带领学生理解城市经济学的核心理论，培养学生运用这些理论分析现实问题的能力与思维。城市经济学的核心理论包括两个方面，一是以单中心模型为基础的理论框架，解释资源在城市内部空间上的分配。相关内容包括集聚经济学、单中心模型、多中心模型等。二是以新经济地理为基础的理论框架，解释资源在城市之间的分配。相关内容包括核心-边缘模型、城市增长、城市体系等。此外，与城市发展相关性强的相关学科内容，也应适当讲授，主要包括城市住房市场、交通经济学、地方公共财政和城市劳动力市场。
为了更好的达到授课效果，在讲授中，既要注重最核心理论的透彻讲授，又要注重把理论结果与城市发展现象相结合，多通过启发式教学促进学生们的积极主动思考，多鼓励学生基于经典理论思考城市发展现象和现实问题。适当布置作业、小组讨论、课后阅读、研究项目等，帮助学生消化吸收课上所学内容。
本课程的考核方式为闭卷考试，占总成绩60%，平时作业成绩占30%，课堂考勤等占10%。
From this class, students should understand the core theories in urban economics, and have the ability of using relevant theories to analyze problems and challenges in urban development. Urban economics has two core theories. One is a theoretical framework based on the Monocentric Model that explains resource allocation inside a city. The second one is a theoretical framework based on the New Economic Geography that explains resource allocation between cities. In addition, some other fields that heavily overlap with urban development also should be addressed in this class. They primarily include urban housing market, transportation economics, local public finance, and urban labor market.
In order to improve the teaching quality, the instructor in this class needs to talk thoroughly about the core theories, but also connect theories with economic phenomena as well as problems and challenges in urban development. By doing so, we aim to encourage students to develop independent thinking and high-level thinking, and to apply theories they learn from class into the analysis of urban problems. Certain amount of assignments, group discussions, recommended readings and research projects will also be helpful.
The methods of evaluation in this class include a final exam that accounts for 60% of the final grading, assignments and discussions that accounts for 30%, and class participations for the rest 10%.
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |绪论 |2 | | |2 |
| |Introduction | | | | |
|2 |城市存在的动力机制 |4 | | |4 |
| |Why do cities exist? | | | | |
|3 |新经济地理：核心-边缘模型 |4 | | |4 |
| |New Economic Geography: Core-Periphery Model | | | | |
|4 |城市体系 |2 | | |2 |
| |City System | | | | |
|5 |城市增长 |4 | | |4 |
| |Urban Growth | | | | |
|6 |单中心模型 |2 | | |2 |
| |Monocentric Model | | | | |
|7 |多中心模型 |2 | | |2 |
| |Polycentric Model | | | | |
|8 |城市扩张与分区 |2 | | |2 |
| |Urban Sprawl and Zoning | | | | |
|9 |城市交通经济学 |2 | | |2 |
| |Economics of Urban Transportation | | | | |
|10 |住房经济学 |4 | | |4 |
| |Housing Economics | | | | |
|11 |世界特大城市发展 |4 | | |4 |
| |Growth of Worldwide Megacities | | | | |
|合计 | |32 |0 |0 |32 |
四、教学内容
1. 绪论
1. 研究城市的意义
2. 研究城市经济学的意义
3. 城市经济学中的基本概念与应用
1. 城市空间范围的界定
2. 城市化的概念与应用
3. 城市化与工业化的关系
教学重点、难点：城市相关概念的理解与恰当运用。
课程的考核要求：了解研究城市的重要性，理解从经济学角度研究城市的重要性，掌握相关核心概念而不至于误用。
复习思考题：
1.为什么要研究城市和城市经济学？
2.如何界定一个城市的空间范围？
3.城市化率能否用来衡量一个城市或省的发展状况？
Chapter 1 Introduction
Section 1 Why do we study cities?
Section 2 Why do we study urban economics?
Section 3 Basic concepts in urban economics and their applications
1 The spatial identification of cities
2 The concept of urbanization and its applications
3 The relationship between urbanization and industrialization
Key and Difficult Points: The understanding of key concepts in urban economics.
Evaluation Requirements: Knowing the importance of cities, understanding the significance of studying cities from an economic perspective, and correctly mastering key concepts to avoid misuses.
Questions:
1. Why do we study cities and urban economics?
2. How to define a city’s spatial boundary?
3. Can we use urbanization rate to measure the development of a city or province?
2. 城市为什么存在？
1. 城市存在的必要条件
2. 后院生产模型
3. 集聚经济
1. 共享中间投入品
2．劳动力池效应
3．劳动力匹配
4．知识外溢
教学重点、难点：透过模型理解各个因素对于城市存在发展的作用机制。
课程的考核要求：理解后院生产模型的理论启示，以及掌握集聚经济的各个来源。
复习思考题：
1. 城市存在的三个必要条件是什么？
2. 至少满足哪几个条件即可出现经济意义上的城市？
3. 劳动力池和劳动力匹配的效果有哪些异同？
Chapter 2 Why do Cities Exist?
Section 1 Necessary Conditions for the Existence of Cities
Section 2 The Backyard Production Model
Section 3 Agglomeration Economies
1 Input Sharing
2 Labor Market Pooling
3 Labor Matching
4 Knowledge Spillover
Key and Difficult Points: Understanding the primary driving forces behind urban development through theoretical models.
Evaluation Requirements: Understanding the implications of theoretical models, as well as mastering primary sources of agglomeration economies.
Questions:
1. What are the three necessary conditions for the existence of cities?
2. Under what conditions will economic cities emerge?
3. What are the similarities and differences between labor pooling and labor matching?
3. 新经济地理
1. 核心-边缘模型
2. 模型的政策启示
3. 新经济地理的最新发展
教学重点、难点：核心-边缘模型的推导。
课程的考核要求：能够推导出简单的核心-边缘模型，并理解它的政策含义。
复习思考题：
1. 请推导出核心-边缘模型的简单版本。
Chapter 3 New Economic Geography
Section 1 Core-Periphery Model
Section 2 Policy Implications from the Core-Periphery Model
Section 3 Recent Development of New Economic Geography
Key and Difficult Points: The derivation of the Core-Periphery Model
Evaluation Requirements: mastering the derivation of the simple version of the Core-Periphery Model, and understanding its policy implications.
Questions:
1．Derive the simple version of the Core-Periphery Model.
4. 城市体系
1. 效用水平与城市规模
2. 单一性与多样性城市
3. 齐普夫法则和吉尔布托法则
1. 齐普夫法则及其实证发现
2. 吉尔布托法则及其实证发现
4. 各国城市体系的发展变化
教学重点、难点：一般均衡条件下城市规模的决定因素。
课程的考核要求：掌握城市可以过大不可以过小的经济学原理，掌握齐普夫法则的含义并理解其政策启示。
复习思考题：
1．为什么城市可以过大，却不可以过小？
2．单一化的城市和多样性的城市各有什么优势？
Chapter 4 City System
Section 1 Utility and City Size
Section 2 Specialized and Diversified Cities
Section 3 Zipf’s Law and Gibrat’s Law
1 Zipf’s Law and Its Empirical Evidence
2 Gibrat’s Law and Its Empirical Evidence
Section 4 Evolutions of City System across Countries
Key and Difficult Points: the determinants of the equilibrium city size.
Evaluation Requirements: mastering the simple model that cities may be too big but may not be too small; mastering the concepts of Zipf’s Law and understanding its policy implications.
Questions:
1. Why cities may be too big but may not be too small?
2. What are the advantages of specialized cities and diversified cities?
5. 城市增长
1. 人力资本与城市增长
2. 自然条件与城市增长
3. 经济基础模型
4. 区位熵及其应用
教学重点、难点：人力资本和自然条件对城市增长的重要性；经济基础模型的理解与应用。
课程的考核要求：掌握经济基础模型，并能够应用该模型进行简单的定量分析；掌握区位熵的方法，并能够搜集数据进行定量分析；理解人力资本和自然条件对于城市增长的重要性。
复习思考题：
1．什么是基础产业、什么是非基础产业？
2．确定基础产业的方法有哪些？
Chapter 5 Urban Growth
Section 1 Human Capital and Urban Growth
Section 2 Natural Advantage and Urban Growth
Section 3 Economic Base Model
Section 4 Location Quotient and Its Applications
Key and Difficult Points: The importance of human capital and natural advantages to urban growth; the understanding and applications of economic base model.
Evaluation Requirements: Mastering the economic base model, and being able to employ the model on simple quantitative analysis; mastering the methodology of location quotients, and being able to using it on quantitative analysis; understanding the importance of human capital and natural advantages to urban growth.
Questions:
1 What is the basic sector, and what is the non-basic sector?
2 What are the methods in determining industries in the basic sector?
6. 单中心模型
1. 单中心模型的推导
1. 模型的设定
2. 居住选址、人口密度与距离的关系
3. 房价、建筑高度与距离的关系
2. 单中心模型的实证发现
3. 单中心模型对城市规划的启示
教学重点、难点：单中心模型的数学模型推导。
课程的考核要求：能够在给定模型假设的情况下，独立推导出房价、人口密度与距离之间的关系。
复习思考题：无。
Chapter 6 Monocentric Model
Section 1 Derivation of the Monocentric Model
1 Basic Setting of the Model
2 The Relationship between Residential Locations, Population Density and Distance
3 The Relationship between Housing Price, Building Height and Distance
Section 2 Empirical Evidence on the Monocentric Model
Section 3 Implications of Monocentric Model to Urban Planning
Key and Difficult Points: the mathematical derivation of the monocentric model.
Evaluation Requirements: given the basic setting, independently derive the relationship between housing price, population density and distance.
Questions: none.
7. 多中心模型
1. 多中心城市结构形成的原因
2. 城市就业中心区的识别方法
1. 临界值法
2. 线形回归法
3. 中外大城市的就业中心区
4. 多中心城市结构的优劣势分析
教学重点、难点：如何在数据缺乏的情况下识别城市的就业中心区
课程的考核要求：理解单中心城市、多中心城市背后的动力机制；在数据完备的情况下，能够运用所学方法识别出一个城市的就业中心区。
复习思考题：
1．多中心城市中的“中心”是指什么？
2．临界值法中的临界值一般如何确定？
3．多中心对解决城市拥堵可能有什么样的作用？
Chapter 7 Polycentric Model
Section 1 Driving Forces behind the Formation of Polycentric Cities
Section 2 Identification Methods of Employment Centers
1. Thresholds of Employment Size and Density
2. Linear Regression
Section 3 Employment Centers in Large Cities in Foreign Countries and China
Section 4 Effects of Polycentric Cities
Key and Difficult Points: how to identify employment centers without a perfect data
Evaluation Requirements: Understanding the driving forces and trade-off behind monocentric and polycentric cities; Being able to identify employment centers in a city with necessary data.
Questions:
1 What are the “centers” in polycentric cities?
2 How to determine the critical values in the method of thresholds?
3 What are potential effects of polycentric cities on traffic congestion?
8. 城市扩张与分区
1. 城市扩张的后果
2. 城市扩张的合理原因
1. 人口增长
2. 收入增加
3. 交通成本下降
3. 市场失灵导致的城市扩张
1. 开放空间的福利
2. 交通过度拥堵
3. 基础设施提供方面的政府失灵
4. 如何治理城市扩张
1. 城市增长边界
2. 建筑限高
3. 拥堵费
4. 开发费
教学重点、难点：基于单中心模型理解各种因素对城市扩张的理论影响
课程的考核要求：理解导致城市扩张的合理因素和不合理因素，能够运用单中心模型分析这些因素的影响效果，以及政策应对措施。
复习思考题：
1．哪些情况下的城市扩张是合理的？
2．哪些情况下的城市扩张不是最优的？
3．对城市增长边界应对城市扩张的效果进行理论分析。
Chapter 8 Urban Sprawl and Zoning
Section 1 Consequences of Urban Sprawl
Section 2 Reasonable Reasons of Urban Sprawl
1 Increase in Population
2 Increase in Income
3 Decline in Transportation Costs
Section 3 Market Failures that Lead to Urban Sprawl
1 Amenities of Open Space
2 Externalities that Lead to Over-congestion
3 Government Failures in Infrastructure Financing
Section 4 How to Deal with Urban Sprawl
1. Urban Growth Boundary
2. Restrictions on Building Heights
3. Congestion Fees
4. Development Fees
Key and Difficult Points: Effects of a variety of factors based on the monocentric model.
Evaluation Requirements: Understanding reasonable reasons and unreasonable reasons on urban sprawl; being able to analyze their effects based on the monocentric model.
Questions:
1 Under what circumstances is urban sprawl reasonable?
2 Under what circumstances is urban sprawl inefficient?
3 Providing a theoretical analysis on the effects of urban growth boundary on urban sprawl.
9. 城市交通经济学
1. 城市交通需求的时空特征
2. 交通需求模型
1. 交通成本与交通流量
2. 边际成本与平均成本
3. 高速公路的需求曲线
4. 一般均衡与社会最优
3. 拥堵费的经济学意义
教学重点、难点：对基本的城市交通模型的理解与推导。
课程的考核要求：掌握基本的城市交通模型，能够运用该模型分析拥堵费的效果。
复习思考题：
1．在交通模型中，导致一般均衡的结果不是社会最优结果的根本原因是什么？
Chapter 9 Urban Transportation Economics
Section 1 Peaks in Urban Transportation
Section 2 Model of Urban Transportation
1 Transportation Cost and Transportation Volume
2 Marginal Cost and Average Cost
3 Demand Curve for Highway
4 General Equilibrium and Social Optimum
Section 3 Effects of Congestion Toll
Key and Difficult Points: the understanding and derivation of the model on urban transportation.
Evaluation Requirements: Mastering the basic model of urban transportation. Being able to use the model to analyze the effects of congestion toll.
Questions:
1 Why the general equilibrium in urban transportation model is not the social optimum?
10. 住房经济学
1. 住房的特性
2. 住房需求
3. 如何衡量住房价格
4. 住房租买选择模型
5. 住房抵押贷款
1. 住房抵押贷款的种类
2. 住房抵押贷款违约模型
3. 负资产净值与失业的影响
6. 住房过滤模型
教学重点、难点：住房价格的度量与比较；住房抵押贷款违约的影响因素；住房过滤模型及其政策意义。
课程的考核要求：理解住房的特性及其对住房需求、住房价格度量的影响；理解住房抵押贷款违约因素的研究结论；掌握住房过滤模型。
复习思考题：
1．如何衡量一个城市各月份的住房价格变动情况？
2．负资产净值在住房抵押贷款违约中有什么样的作用？
3．根据住房过滤模型，我们应如何看待城中村现象？
Chapter 10 Housing Economics
Section 1 Characteristics of Housing Goods
Section 2 Housing Demand
Section 3 How to Assess Housing Price?
Section 4 Housing Tenure Choice Model
Section 5 Mortgage
1. Types of Mortgages
2. Model of Mortgage Default
3. The Effects of Negative Equity and Unemployment
Section 6 Housing Filtering Model
Key and Difficult Points: The assessment and comparison of housing prices; determinants of mortgage defaults; housing filtering model and its policy implications.
Evaluation Requirements: Understanding features of housing and their influences on housing demand and housing price evaluations; understanding the effects of factors in mortgage defaults; mastering the housing filtering model.
Questions:
1 How to evaluate a city’s housing price changes over months?
2 What is the role of negative equity in mortgage default?
3 Based on housing filtering model, how should we consider urban villages?
11. 世界特大城市发展
1. 城市经济理论对特大城市发展的启示
1. 集聚经济
2. 城市体系
3. 企业选择
2. 世界五百万以上规模城市发展
3. 世界一百万以上规模城市发展
4. 特大城市发展面临的挑战
1. 住房
2. 拥堵
3. 城市环境
4. 水资源
5. 案例研究
教学重点、难点：综合所学理论，客观理性看待、分析特大城市的发展。
课程的考核要求：运用城市经济相关理论分析特大城市增长的规律，理解成是规模所带来的正反两方面效果，对过去特大城市政策有客观的总结和反思。
复习思考题：
1. 既然特大城市面临各种高生活成本，为什么还吸引了大量移民？
2．各种城市病为什么没能阻碍各国特大城市的发展？
Chapter 11 Growth of Worldwide Megacities
Section 1 Implications of Urban Economic Theories on Megacities
1 Agglomeration Economies
2 City System
3 Firm Selection
Section 2 Growth of Cities over 5 Million Population
Section 3 Growth of Cities over 1 Million Population
Section 4 Challenges of Megacities
1. Informal Housing
2. Congestion
3. Environment Pollution
4. Water Resource
Section 5 Case Studies
Key and Difficult Points: Based on theories learned in this class, having a rational consideration on growth of megacities.
Evaluation Requirements: Use urban economic theories to analyze the patterns and rules in the growth of megacities; understanding the two sides of effects from urban population size; having reflections on policies on megacities in the past.
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedules according to the capability of students.
六、主要参考书
[1] Arthur O’Sullivan, 2009. Urban Economics (7th edition), Irwin McGraw-Hill, New York, NY.
[2] Brueckner K. Jan, 2011. Lectures on Urban Economics, The MIT Press, Cambridge, Massachusetts.
执笔人：牛毅 教研室主任： 系教学主任审核签名：
《公共经济学（英语）》教学大纲
Public Economics Syllabus
课程代码：Course Code：150043B
课程类型：Course Type: 专业选修课 Major elective course
学时：Periods: 48
学分：Credits：3
适用专业：经济学、统计学、金融学等
Applicable Majors: Economics, Statistics, and Finance
先修课程: 经济学、高等数学
Preparatory Courses:Economics, Advanced Mathematics
一、课程的教学目标（Course objectives）
《公共经济学》课程的目的是使学生了解公共经济学的理论体系，掌握公共经济学的一些基本概念和原理，以及分析公共政策的基本方法。通过学习这门课程，学生知道现代市场经济条件下政府职能及其实现方式，并具备分析当代中国社会主义市场经济中的公共经济实践的能力。
Public Economics is designed to help students understand the theoretical system of public economics, master some basic concepts and principles of public economics, and learn methodsto analyze public policies. By learning this course, students will know government functions and its operation under the condition of modern market economy. Besides, they are able to analyze the public economic practices of contemporary Chinese socialist market economy.
二、教学基本要求（Requirements）
（一）教学内容Teaching Contents
本课程侧重于讨论公共产品对市场经济带来的问题，以及政府在经济中扮演的角色。它将解决以下问题：(1)什么是公共产品和社会福利；(2)什么是政府干预机制和其产生的影响。理论在现实世界中的应用将重点考察中国中央和地方政府的公共政策。通过本课程,学生将学习福利经济学的两个基本定理和市场失灵的原因；了解外部效应的一般理论、公共物品和信息不对称；分析各种政策的经济影响；知道最优政策设置原则。
This course focuses on the problems that public goods pose for market-based economies and the economic role of the government in the economy. It will address the following questions: (1) what is meant by public goods and social welfare; (2) what are the mechanism and effects of the government interventions. Real world applications will focus on public policies of central and local governments of China. Through this course, students will learn the two fundamental theorems of welfare economics and why markets may fail; understand the general theory of externalities, public goods, and asymmetric information; analyze the economic impact of various policies; and know the principles of optimal policy design.
（二）教学方法和手段 Teaching Methods
由于教学内容包含了大量的概念和理论性较强，课堂教学以老师讲授知识为主。为了让学生能够深入理解基本原理，老师将安排学生阅读有关公共政策的时闻和重要文章，指导学生撰写小论文，并组织学生分组进行主题课堂讨论。
The professor will give in-class lectures to students in most classes of the semester, since this course includes an introduction of a lot of concepts and theories.In order to have students understood the basic principles of public economics, the professor will assign student to read news articles and important papers about public policies, supervise students to write essay,organize group discussion and presentation in the classes.
（三）考核方式Assessment and Grading Policy
The total score is 100，the weight of different parts is as followed.
10. 出勤Attendance10 %
11. 课后作业 Take-home assignment 10%
12. 课堂小测验In-class Quiz 15%
13. 课堂分组讨论及演讲Group Discussion and Presentation 15%
14. 期末考试Final Exam50%
Grades are on a 100 points scale:
|90-100 |80-89 |70-79 |60-69 |59- |
|A |B |C |D |E |
（四）学习要求Learning Requirements
先修课程：经济学、高等数学
Preparatory Courses:Economics, Advanced Mathematics
课后作业：课后习题和阅读笔记
Take-home assignments:Question in textbook and literature summaries
学生自学：课本阅读，分析案例，小组合作项目
Student Self-study:Textbook reading, case analysis, team-work project.
三、各教学环节学时分配（Course Schedule）
Class Schedule
|章节内容（Contents） |讲课 |实验（实践） |其他 |
| |Lecture（hours）|Experiment（practice） |Others |
|导论 |4 |阅读资料 |课后习题 |
|Chapter1 Introduction | |Reading |exercises |
|第二章资源配置与公共部门职能 |4 |阅读资料 |课后习题 |
|Chapter 2 Resource Allocation and Functions of Public| |Reading |exercises |
|Sector | | | |
|第三章公共产品理论 |8 |小组讨论 |课后习题 |
|Chapter 3 The Theory Of Public Goods | |Group Discussion |exercises |
|第四章公共选择理论 |6 |阅读资料 |课后习题 |
|Chapter 4 The Theory of Public Choices | |Reading |exercises |
|第五章公共支出理论与政策 |4 |阅读资料 |课后习题 |
|Chapter 5 The Theory and Policies about Public | |Reading |exercises |
|Expenditure | | | |
|第六章公共税收理论与制度 |4 |小组讨论 |课后习题 |
|Chapter 6Taxation Theory and Institutions | |Group Discussion |exercises |
|第七章收入分配与社会保障 |6 |示例展示 |课后习题 |
|Chapter 7Income Distribution and Social Security | |Presentation |Exercises |
|第八章公共经济与国民经济调节 |6 |阅读资料 |课后习题 |
|Chapter8 Regulation and Control of Public Economy and| |Reading |exercises |
|National Economy | | | |
|第九章地方公共经济 |6 |小组讨论 |课后习题 |
|Chapter 9Local Public Economy | |Group Discussion |exercises |
四、教学内容 (Teaching Contents）
第一章：导论
Chapter 1：Introduction
本章学习内容 Contents
第一节公共经济学的研究对象、内容和任务
1.1Research Objective, Content and Tasks of Public Economics
第二节公共经济学产生与发展
1.2 Origin and Development of Public Economics
第三节公共经济学与经济学和政治学的关系
1.3 Relationships among Public Economics, Economics, and Political Science
第四节公共经济学的研究方法
1.4 Research Method of Public Economics
本章重点和难点：公共经济学的定义、研究内容，政府定义的四个层次是什么，政府在市场经济中的地位作用
Key Points: Definition of public economics, research content, how government is defined from four aspects, government role in market economy
本章教学组织和设计：讲授
Teaching method:Lecture
本章学习标准：学生了解公共济学的主要研究内容和方法，公共经济学与其他学科的联系。
Outcome: Students understand research contents and methodology of public economics, relationships between pubic economics and other disciplines.
第二章：资源配置与公共部门职能
Chapter 2: Allocation of Resources and Functions of Public Sector
本章学习内容 Contents
第一节市场机制与资源配置方式
2.1Market Mechanism and Allocation of Resources
第二节市场失效和公共部门的必要性
2.2 Market Failure and Necessity of Public Sector
第三节公共部门的职能
2.3 Functions of Public Sector
本章重点和难点：资源最优配置的涵义，市场低效、无效与失效的原因，公共部门的职能有哪些具体体现
Key Points:definition of resource optimal allocation, market inefficiency, market failure and reason for market failure, functions of public sector
本章教学组织和设计：讲授
Teaching method: Lecture
本章学习标准：学生了解市场机制运行的特点，市场失灵的主要表现
Outcome:students understandcharacteristics of market mechanism, main symptoms of market failure.
第三章：公共产品理论
Chapter 3: Theory of Public Goods
本章学习内容 Contents
第一节公共产品的特性与识别
3.1 Characteristics of Public goods and Identification
第二节公共产品与市场失效
3.2Public Goods and Market Failure
第三节公共产品有效供给的理论分析
3.3Theoretical Analysis of Effective Supply of Public Goods
第四节公共产品的生产与经营
3.4 Public Goods Production and Management
第五节公共产品的收费与定价
3.5Fees and Prices of Public Goods
本章重点和难点：公共产品的特征，公共产品与私人产品的有效供给，混合产品的类型，公共产品的供给分析
Key Points:characteristics of public goods, effective supply of public goods and private goods, mix of public goods and private goods, analysis of public goods supply
本章教学组织和设计：讲授
Teaching method: Lecture
本章学习标准：学生知道公共产品由政府提供的理由，公共产品的生产与经营，公共产品的定价方法
Outcome:Students knowreasons why public goods are provided by government, production and management of public goods, and public goods pricing method.
第四章：公共选择理论
Chapter 4:Public Choice Theory
本章学习内容 Contents
第一节公共选择理论概述
4.1 Introduction to Public Choice Theory
第二节投票理论
4.2 Voting Theory
第三节官僚与政府
4.3Bureaucracy and Government
第四节寻租与腐败
4.4 Rent-seeking and Corruption
本章重点和难点：公共选择的涵义及其前提条件，投票悖论的内容，阿罗不可能定理的内容，中位选民理论，利益集团及其存在理由及活动方式，寻租与腐败的关系
Key Points:Meaning of public choice and its premise condition, contents of voting paradox, Arrow’sImpossibility Theorem, contents of median voter theory,definition of interest groups, their origins and activities,relationship between rent-seeking and corruption.
本章教学组织和设计：讲授
Teaching method: Lecture
本章学习标准：学生知道对政治任何经济人的假设在公共选择理论中的地位和作用，个人偏好如何转为社会偏好，如何防止寻租，政府机构不断膨胀的原因
Outcome:Students understand importance and role of economic man hypothesis in public choice theory, how personal preferences is transformedto social preferences, how to prevent rent-seeking, and reasons for expansion of government agencies.
第五章：公共支出理论与政策
Chapter 5: Theory and Policy aboutPublic Expenditure
本章学习内容 Contents
第一节公共支出的概念、分类与结构
5.1Concept, Classification, and Structure of Public Expenditure
第二节公共支出的原则
5.2Principle of Public Expenditure
第三节公共支出的成本——收益分析政策效应
5.3Cost - Benefit Analysis of Public Expenditure Policy Effect
第四节公共支出的主要项目
5.4Major Programs of Public Expenditure
本章重点和难点：公共支出原则，公共支出的构成，公共支出的各种经济效应
Key Points:principle of public expenditure, structure of public expenditure, various economic effectsof public expenditure
本章教学组织和设计：讲授
Teaching method: Lecture
本章学习标准：学生知道公共教育支出与保健支出的必要性，社会保障税与社会保障支出，我国的公共支出主要结构特点
Outcome:Students knownecessity of public expenditureon education and health, social security tax and social security expenditure, structure of public expenditure in China
第六章：公共税收理论与制度
Chapter 6:Public TaxationTheory and Tax System
本章学习内容 Contents
第一节税收的基本理论
6.1The Basic Theory of Taxation
第二节税制模式选择与设计
6.2Selection of Taxation Model and Design ofTax System
第三节税收负担的转嫁与归宿
6.3Pass-on and End-result of Tax Burden
第四节税收与经济效率
6.4Taxation and Economic Efficiency
本章重点和难点：税收转嫁和归宿，税制结构设计的基本问题，税收的各种经济效应
Key Points:Pass-on and end-result of tax, fundamental problems of tax system structure design, various economic effect of tax
本章教学组织和设计：讲授
Teaching method: Lecture
本章学习标准：学生知道消费和财产作为衡量纳税能力的标准的特点，中国税制改革方向
Outcome:Student knowconsumption and property as measures of tax payment ability, direction of China's tax system reform.
第七章：收入分配与社会保障
Chapter 7: Income Distribution and Social Security
本章学习内容 Contents
第一节收入分配与社会公平
7.1Income Distribution and Social Justice
第二节政府调节收入分配的必要性和原则
7.2Necessity and Principles of Government to Adjust Income Distribution
第三节政府促进社会公平的政策措施
7.3Government Policies to Promote Social Justice
本章重点和难点：收入及其影响因素，效率与公平，国民收入再分配的手段和途径
Key Points:Income and itsinfluence factors, efficiency and fairness, means and tools of national income redistribution
本章教学组织和设计：讲授
Teaching method: Lecture
本章学习标准：学生了解政府调节收入分配的手段的选择原则，收入分配不公的原因，现阶段收入分配以及社会保障体系的特点和不足
Outcome:Students understandprinciples for government to choose tools of income distribution, reasonsfor unfair income distribution, and characteristic and problems of income distribution and social security system in current China
第八章：公共经济与国民经济调节
Chapter 8:The Public Economy and National Economic Regulation
本章学习内容 Contents
第一节宏观调控的目标
8.1Goals of Macroeconomic Regulation and Control
第二节宏观调控的手段
8.2Means of Macroeconomic Regulation and control
第三节财政政策与货币政策的配合
8.3Coordination ofFiscal Policy and Monetary Policy
第四节宏观调控的成效和问题
8.4 Effects and Problems of Macroeconomic Regulation and Control
本章重点和难点：货币政策与财政政策，货币政策和财政政策的政策效果
Key Points:Monetary policy and fiscal policy, policy effect of monetary policy and fiscal policy
本章教学组织和设计：讲授
Teaching method: Lecture
本章学习标准：学生知道财政赤字的不同弥补方式对生产的影响，宏观调控的成效和问题
Outcome:Students know the impacts of various methods of decreasingfiscal deficits on national production, and effects and problems of macroeconomic control
第九章：地方公共经济
Chapter 9:Local PublicEconomy
本章学习内容 Contents
第一节地方政府的职能
9.1Function of Local government
第二节地方公共产品
9.2Local Public Goods
第三节地方政府财政
9.3Local Government Finance
第四节中国的地方公共经济的发展
9.4Development of Local Public Economyin China
本章重点和难点：地方公共产品，地方政府的职能，政府间责任划分，中央与地方的财政事权划分
Key Points:Local public goods, function of local government, division of government responsibilities, and division of fiscal powers between central government and local governments.
本章教学组织和设计：讲授
Teaching method: Lecture
本章学习标准：学生知道地方公共产品有效供给，地方政府收入来源
Outcome:Students understand effective supply of local public products and local government revenue sources.
五、其它（Other）
公共经济学在统计学专业中的国际班采用中英文授课。
六、主要参考书(References)
指定教材：
张向达、赵建国、吕丹编著：《公共经济学》，中国商业出版社，2008年9月第1版
主要学习参考书：
[1]樊勇明编著：《公共经济学导引与案例》，复旦大学出版社，2003年10月第1版。
[2]斯蒂格里茨，《公共部门经济学》，中国人民大学出版社，2005年出版。
[3]张向达、赵建国、吕丹，《公共经济学》，东北财经大学出版社，2006年出版。
[4]高培勇，《公共经济学》，中国社会科学出版社，2008年出版。
[5]郭庆旺，《公共经济学评论》，中国财政出版社，2005年-2008年出版。
[6]阿兰.J.奥尔巴克，马丁.菲尔德斯坦，公共经济学手册，经济科学出版社，2005年版。
[7]彼得•M •杰克逊主编：《公共部门经济学前沿问题》，郭庆旺、刘立群、杨越译，中国税务出版社，2000年1月第1版。
[8]黄恒学，《公共经济学》，北京大学出版社，2005年出版。
[9]张军涛、赵建国等，《公共管理案例》，东北财经大学出版社，2009年版。
[10]朱柏明，《公共经济学案例》，浙江大学出版社，2004年版。
执笔人：苏志 教研室主任： 系教学主任审核签名：
《组织行为学》教学大纲
Syllabus of Organizational Behavior
课程编号： 150052B
Course code: 150052B
课程类型：专业选修课
Course type: Discipline Elective Course
总 学 时：32 讲课学时： 24 实验（上机）学时：8
Instruction time: 32 Lecture:24 Experiment and exercises：8
学 分：2
Grade credits: 2
适用对象：金融学（金融经济）
Audience: Finance（Finance and Economics Experimental Class）
先修课程：无
Prerequisite: N/A
1. 课程的教学目标
Course Objectives
《组织行为学》课程主要讲授个体、群体、结构及这些因素对组织内部行为的影响。教学目标是让学生系统地掌握组织中个体行为与心理、群体行为和属性、组织系统特征的基本概念和理论。结合经典案例和企业实践，提高学生分析和解决人与工作、组织、环境要素间的匹配，激励，和组织变革等问题的能力。为今后学习其他管理专业课程奠定基础。培养学生全方位描述、分析、解释组织实际问题的能力，并在一定程度上指导自己的行为。
Organization behavior mainly introduces individuals, groups, organization structure and their influences on organization behavior at multiple levels. The target of this course is to help students master the basic concepts and theories of individual behavior, psychology, the behavior and the nature of groups, and characteristics of organization systems. The course will integrate typical cases and corporate practices, improve students’ capabilities of analyzing and solving the problems in matching individuals, work, organization, and environment. The course will set up the bases for students’ future studies of management principles. It cultivates students’ capabilities of describing, analyzing, and explaining practical problems in organizations and conducts their actions.
二、教学基本要求（黑体，小四号字）
Teaching Plans and Requirements
本课程注重教学内容的基础性，全面介绍个体层面、群体层面、和组织层面中人的心理和行为对行为有效性的影响，并阐述组织行为学在人力资源管理和企业管理实践方面的运用，就组织行为学科前沿问题和最新理论研究进行介绍。主要教学内容包括个体行为基础、个体性格和价值观、组织及组织设计、组织文化、组织变革、领导模式、激励理论、沟通与冲突管理等。
This course emphasizes the basic role of organization behavior. It systematically introduces the effect of the psychology and behavior of individuals at individual level, group level, and organization level on organization outputs. It introduces the application of organization behavior to HR management and Corporate Management fields. The frontier research topics in organization behavior will also be introduced in the courses. The main contents of the course are individual behavior, personality and value, organization and organization design, organization culture, organization changes, leadership, motivation theories, communication and organization conflicts.
案例分析是商科学习的重要手段，能够将课本知识灵活应用到真是的商业环境中。组织行为学要求学生在学习后，能够分析现实商业环境下的组织个体与团队的行为。学生掌握案例分析方法对未来学习和实践具有重要意义。案例分析的另一个重要特征是互动性。本课讨论的所有案例都要求学生能够参与其中，完成小组讨论。
Case Study has been widely adopted in Business education. It provides learners with a “real” context to utilize what they have learned from the “textbook”. Organizational behavior requires students to interpret and manage the behaviors of both individuals and teams under real business world. This study tool is of great importance for your further study and practices. Another critical characteristic of case study is to interact. All the cases to be discussed on the class should be well prepared ahead based on your group discussions.
课程的考核如下：
|考核方式 |百分比 |
|期中考试 |20% |
|小组作业1 |5% |
|小组作业2 |10% |
|期末考试 |60% |
|考勤 |5% |
|合计 |100% |
Assessment:
|Items |% |
|Midterm |20% |
|Group project 1 |5% |
|Group project 2 |10% |
|Final |60% |
|Attendance |5% |
|Total |100% |
三、各教学环节学时分配（黑体，小四号字）
Teaching plan of each lecture
以表格方式表现各章节的学时分配，表格如下：
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |组织行为简介 |2 | | |2 |
| |Chapter 1 What is Organizational Behavior | | | | |
|2 |组织中的多元化 |2 | | |2 |
| |Chapter 2 Diversity in Organizations | | | | |
|3 |案例分析 | |2 | |2 |
| |Case study: Intel in China | | | | |
|4 |态度与工作满意度 |2 | | |2 |
| |Chapter 3 Attitudes and Job Satisfaction | | | | |
|5 |情绪与心情 |2 | | |2 |
| |Chapter 4 Emotions and Moods | | | | |
|6 |性格与价值观 |2 | | |2 |
| |Chapter 5 Personality and Values | | | | |
|7 |案例分析 | |2 | |2 |
| |Case study: JetBlue Airways | | | | |
|8 |认知与个体决策 |2 | | |2 |
| |Chapter 6 Perception and Individual Decision | | | | |
|9 |动机与动机理论应用 |4 | | |4 |
| |Chapter 7 Motivation Concepts and Application | | | | |
|6 |小组作业1 | |2 | |2 |
| |Group Presentation: Managing: Conflict in a Diverse Workplace | | | | |
|7 |团队行为的基础 |2 | | |2 |
| |Chapter 8 Foundations of Group Behavior | | | | |
|8 |工作团队 |2 | | |2 |
| |Chapter 9 Work Team | | | | |
|9 |沟通 |2 | | |2 |
| |Chapter 10 Communication | | | | |
|10 |领导力 |2 | | |2 |
| |Chapter 11 Leadership | | | | |
|11 |小组作业2 | |2 | |2 |
| |Group Presentation: Motorola Corporation: The View from the CEO Office | | | | |
|合计 | |24 |8 | |32 |
四、教学内容（黑体，小四号字）
第一章 简介
Part 1 Introduction
1. 组织行为简介
1. 社交能力的重要性
2. 管理者职责
3. 组织行为
4. 直觉与系统学习
5. 组织行为研究没有绝对的答案
6. 组织行为学的机遇与挑战
教学重点、难点：组织行为学研究内容、管理者职责
课程考核：无
复习与思考题：Case incident 1&2与课后讨论题
Chapter 1 What is Organizational Behavior
1. The importance of interpersonal skills
2. What managers do?
3. Enter organizational behavior
4. Complementing intuition with systematic study
5. There are few absolutes in OB
6. Challenges and opportunities for OB
Key and difficulties points: organizational behavior, managers’ responsibilities
Evaluation requirements: N/A
Review and practice: Case incident 1&2 and Questions for Review
第二章 个体
Part 2 Individual
2. 组织中的多元化
1. 多元化
2. 个体地理特征
3. 能力
4. 多元化的管理
5. 管理者启示
教学重点、难点：工作场所员工的多元化特征、智商与情商能力、能力欠缺、组织中的多元化
课程考核：了解组织多元化，理解员工的多种能力，保持多元化
复习与思考题：案例分析《英特尔在中国》、Case incident 1&2与课后讨论题
Chapter 2 Diversity in Organizations
1. Diversity
2. Biographical characteristics
3. Ability
4. Implementing diversity management strategies
5. Summary and implications for managers
Key and difficulties points: diversity of demographic characteristics of workplace, IQ, disabilities, and diversity in groups
Evaluation requirements: to know diversity of group; Understand multiple abilities of employees; Master the ways to maintaining diversity
Review and practice: Case study: “Intel in China”, Case incident 1&2 and Questions for Review
3. 态度与工作满意度
1. 态度：态度的构成、行为与态度的关系、工作态度
2. 工作满意度：满意度的测量、工作满意的原因、工作满意程度对员工的影响
3. 管理者启示
教学重点、难点：态度的构成、行为与态度的关系、工作态度满意度的测量
课程考核：了解态度构成和工作态度，理解行为与态度之间的关系、工作态度，掌握工作满意度的测量与工作满意度的影响
复习与思考题：Case incident 1&2与课后讨论题
Chapter 3 Attitudes and Job Satisfaction
1. Attitudes: the main components of attitudes, behavior and attitudes, job attitudes
2. Job satisfaction: measuring job satisfaction, the causes of job satisfaction, the impact of satisfied and dissatisfied employees on the workplace
3. Summary and implications for managers
Key and difficulties points: the main components of attitudes, behavior and attitudes, and measuring job satisfaction,
Evaluation requirements: to know the main components of attitudes; Understand the relationship between behavior and attitudes and job attitudes; Master the ways to measuring job satisfaction and influence of job satisfaction on employees
Review and practices: Case Incident 1&2, and questions for review
4. 情绪与心情
1. 情绪与心情: 基本的情绪与情绪，情绪的作用，情绪与心情的来源
2. 情绪化的劳动力
3. 有效的事件理论
4. 情商
5. OB应用的情绪与心情
6. 管理者其实
教学重点、难点：情绪与心情、情商、OB应用的情绪与心情
课程考核：了解情绪是劳动者持有的特征、有效事件理论，理解情绪与心情的作用来源于种类，掌握情商的测量，运用OB领域的情绪与心情。
复习与思考题：Case incident 1&2与课后讨论题
Chapter 4 Emotions and Moods
1.What are emotions and moods: the basic emotions and mood, the function of emotions, sources of emotions and moods
2. Emotional labor
3. Affective events theory
4. Emotional intelligence
5. OB applications of emotions and moods
6. Summary and implications for managers
Key and difficulties points: What are emotions and moods, emotional intelligence, and OB applications of emotions and moods
Evaluation requirements: to know the basic emotions and mood, affective events theory; Understand the function of emotions; Master the ways to measure EQ; Use OB applications of emotions and moods
Review and practices: Case Incident 1&2, and questions for review
5. 性格与价值观
1. 性格：几种性格测量
2. 价值观：价值观重要性
3. 个体性格与价值观对工作场所的影响：个体工作适应、个体组织适应
4. 国际化的价值观
5. 管理者启示
教学重点、难点：性格的测量、工作场所个体与工作、个体与组织的适应
课程考核：了解国际化价值观，理解个体性格与价值观对工作场所的影响，
掌握性格的测量，运用个体与工作、组织的适应匹配进行案例分析。
复习与思考题：案例分析《JetBlue 航空公司》、Case incident 1&2与课后讨论题
Chapter 5 Personality and Values
1. Personality: Myers-Briggs type indicator, the big five-personality model, and other personality traits relevant to OB
2. Values: the importance of values, terminal versus instrumental values generational values
3. Linking an individual’s personality and values to the workplace: person–job fit and person–organization fit
4. International values
5. Summary and implications for managers
Key and difficulties points: measuring personality, person–job fit and person–organization fit
Evaluation requirements: to know international values; Understand the influence of an individual’s personality and values on the workplace; Master the measurement of personality; Use the person–job fit and person–organization fit to analyze case studies.
Review and practices: Case study: “JetBlue Airways”, Case Incident 1&2, and questions for review
6. 认知与个体决策
1. 认知的含义
2. 个体认知：归因理论、对他人判断通用捷径
3. 认知与个体决策
4. 组织中的决策：理性决策、有限理性决策、直觉与决策误差
5. 个体差异与组织的局限对决策影响
6. 三种决策标准有利于促进决策创新
7. 管理者启示
教学重点、难点：认知的含义、个体认知、认知与个体决策、决策模式
课程考核：了解三种决策标准与决策创新的影响、个体差异与组织的局限对决策影响，理解认知的含义、个体认知、认知与个体决策，掌握组织中的决策模式
复习与思考题：Case incident 1&2与课后讨论题
Chapter 6 Perception and Individual Decision
1. What is perception: factors that influence perception
2. Person perception: attribution theory, common shortcuts in judging others, specific applications of shortcuts in organizations
3. The link between perception and individual decision making
4. Decision making in organizations: the rational model, bounded rationality, and intuition; common biases and errors in decision making
5. Influences on decision-making: individual differences and organizational constraints
6. Three ethical decision criteria improving creativity in decision making
7. Summary and implications for managers
Key and difficulties points: to know what is perception, person perception, perception and individual decision making, decision making in organizations
Evaluation requirements: to know three ethical decision criteria improving creativity in decision-making, and individual differences and organizational constraints; Understand perception, person perception, and the link between perception and individual decision making; Master decision making in organizations
Review and practices: Case Incident 1&2, and questions for review
7. 动机与动机理论应用
1. 动机定义
2. 早期动机理论
3. 当代动机理论
4. 整合当代动机理论
5. 管理者启示
教学重点、难点：各类动机理论
课程考核：了解各类动机理论，掌握当代动机理论
复习与思考题：小组作业1-《管理：在多元化工作空间下的冲突》、Case incident 1&2与课后讨论题
Chapter 7 Motivation Concepts and Application
1. Defining motivation
2. Early theories of motivation: hierarchy of needs theory, theory x and theory y
3. Contemporary theories of motivation
4. Integrating contemporary theories of motivation
5. Summary and implications for managers
Key and difficulties points: motivation theories
Evaluation requirements: to know the motivation theories and master the contemporary theories of motivation
Review and practices: Assignment 1-“Managing: Conflict in a Diverse Workplace”, Case incident 1&2 and questions for review
第三章 团队
Part 3 The Group
8. 小组行为的基础
1. 小组的定义
2. 小组发展的阶段
3. 小组特征：角色、规范、地位、规模、内核性、多元性
4. 小组决策
5. 管理者启示
教学重点、难点：小组的定义与发展阶段、小组决策
课程考核：了解小组定义，理解小组的特征，掌握小组决策特点
复习与思考题：Case incident 1&2与课后讨论题
Chapter 8 Foundations of Group Behavior
1. Defining and classifying groups
2. Stages of group development
3. Group properties: roles, norms, status, size, cohesiveness, and diversity
4. Group decision-making
5. Summary and implications for managers
Key and difficulties points: Groups and their classification, stages of group development, and group decision-making
Evaluation requirements: to know group definition; Understand group properties; Master the process of group decision-making
Review and practices: Case incident 1&2 and questions for review
9. 工作团队
1. 团队工作成为趋势
2. 小组与团队区别
3. 团队种类
4. 构建有效团队
5. 将个体与团队发展统一
6. 团队未必正确
7. 管理者启示
教学重点、难点：团队与小组区别、有效团队建设
课程考核：了解团队定义，理解团队种类，掌握构建有效团队的方法
复习与思考题：Case incident 1&2与课后讨论题
Chapter 9 Work Team
1. Why have teams become so popular?
2. Differences between groups and teams
3. Types of teams
4. Creating effective teams
5. Turning individuals into team players
6. Teams aren’t always the answer
7. Summary and implications for managers
Key and difficulties points: Differences between groups and teams, creating effective teams
Evaluation requirements: to know team definition; Understand types of teams; Master the manners to create effective teams
Review and practices: Case incident 1&2 and questions for review
10. 沟通
1. 沟通的作用
2. 沟通过程
3. 沟通定义
4. 人际沟通
5. 组织沟通
6. 沟通渠道选择
7. 拥有说服力的沟通
8. 有效沟通的障碍
9. 管理者启示
教学重点、难点：沟通的过程、组织内沟通、沟通渠道
课程考核：了解沟通的作用，理解沟通过程和人际沟通，掌握沟通渠道的选择和具有说服力的沟通
复习与思考题：Case incident 1&2与课后讨论题
Chapter 10 Communication
1. Functions of communication
2. The communication process
3. Direction of communication
4. Interpersonal communication
5. Organizational communication
6. Choice of communication channel
7. Persuasive communications
8. Barriers to effective communication
9. Summary and implications for managers
Key and difficulties points: communication process, creating effective teams, organizational communication, and communication channel
Evaluation requirements: to know functions of communication; Understand communication process and interpersonal communication; Master Persuasive communications and the way of effective communication
Review and practices: Case incident 1&2 and questions for review
第十一节 领导力
1. 领导是什么
2. 特质理论、行为理论、权变理论、领导下属交换理论
3. 魅力领导与变革领导
4. 权威领导
5. 未来领导：导师型
6. 领导力构建的挑战
7. 有效领导
8. 管理者启示
教学重点、难点：领导理论和领导类型
课程考核：了解领导理论，理解魅力领导与变革领导，掌握导师型领导风格与有效的领导方式
复习与思考题：小组作业2-《摩托罗拉公司：来自CEO办公室的观点》、Case incident 1&2与课后讨论题
Chapter 11 Leadership
1. What is leadership?
2. Trait theories, Behavioral theories, Contingency theories, Leader–member exchange (LMX) theory
3. Charismatic leadership and transformational leadership
4. Authentic leadership
5. Leading for the future: mentoring
6. Challenges to the leadership construct
7. Finding and creating effective leaders
8. Summary and implications for managers
Key and difficulties points: theories of leadership and traits of leaderships
Evaluation requirements: to know theories of leadership; Understand charismatic leadership and transformational leadership; Master mentoring leadership and effective leadership
Review and practices: Assignment 2-“Group Presentation: Motorola Corporation: The View from the CEO Office”, Case incident 1&2 and questions for review
五、其它（黑体，小四号字）
六、主要参考书（黑体，小四号字）
Robbins, S.P. (2009). Organizational Behavior (13th Ed.). NJ: Pearson Education, Inc.
执笔人： 张婷婷 教研室主任： 系教学主任审核签名：
《中国经济发展专题（双语）》教学大纲
Topics on Economic Development of China
课程编号：150053B
Course Code：150053B
课程类型：专业选修课
Course Type: Major Selective
总 学 时：48 讲课学时：32 实验（上机）学时：16
Periods：48 Lectures: 32 Experiments:16
学 分：3
Credits：3
适用对象：统计学专业（国际班）
Major; Statistics (international class)
先修课程：政治经济学， 经济学原理
Preparatory Courses：Political Economics, Principle of Economics
一、课程的教学目标（黑体，小四号字）
本课程回顾1949年后中国经济改革和发展历程，介绍当时中国基本国情和国际环境，结合发展经济学理论阐释中国经济发展战略选择和结果。课程将围绕农村改革、国有企业改革、金融改革、政府宏观经济政策四个主题介绍中国经济发展过程面临的主要问题以及当时的解决方案，并从社会阶层的利益分配和基本机制建设的角度分析经济变革演进。
This course reviews the development of economic reform of China since 1949, introduces the basic national conditions and international circumstances at the time, use the theories of development economics to interpret China's economic development strategy selection and results. The course discusses four topics on rural reform, state-owned enterprise reform, financial reform, macroeconomic policies, which shows the main problems and the solutions of economic development of China. It analyzes the process of the economic reforms from the perspectives of interest reallocation across social classes and the basic institutional construction.
二、教学基本要求（黑体，小四号字）
在这门课里，学生要阅读中国经济发展和改革的参考资料、进行课堂讨论、完成课后作业。通过这门课的学习，学生系统地了解中国改革和经济发展的历程，中国面临的主要经济发展问题以及解决这些问题的思路，使学生初步具备运用经济理论分析和解决各类现实经济问题的能力。课程的考核方式如下。
In this course, students are required to read the references about economic development and reform of China, participate in in-class discussion, and work on homework. By learning this course, students can systematically understand the trend of economic reform and development of China, main problems in economic growth, and ideas to solve the problems. Students are able to utilize economic theories to analyze and solve the economic problems. The methods of evaluation of this course as follows.
出勤Attendance 10%
课后作业 Take-home assignment 15%
课堂分组讨论及演讲 Group Discussion and Presentation 15%
课堂小测验In-class Quiz 20%
期末考试Final Exam 40%
三、各教学环节学时分配（黑体，小四号字）
教学课时分配
|序号 |章节内容 |讲课 |实验 |合计 |
|1 |农村社会经济结构变迁 |2 |1 |3 |
| |Socioeconomic Changes of Rural Areas | | | |
|2 |农村三次历史性变革 |2 |1 |3 |
| |Three Historical Reforms of Rural Areas | | | |
|3 |农村土地政策 |2 |1 |3 |
| |Rural Land Policies | | | |
|4 |农业现代化问题和道路 |2 |1 |3 |
| |Agricultural Modernization | | | |
|5 |计划经济的建立 |2 |1 |3 |
| |Establishment of Planned Economy | | | |
|6 |市场经济改革 |2 |1 |3 |
| |Market Economy Reform | | | |
|7 |国有资本的崛起 |2 |1 |3 |
| |Rise of State-owned Capital | | | |
|8 |东北经济 |2 |1 |3 |
| |Economy of Northeast China | | | |
|9 |银行利率市场化 |2 |1 |3 |
| |Marketization of Interest Rate | | | |
|10 |股市的重大制度沿革 |2 |1 |3 |
| |Institutional Changes of Stock Market | | | |
|11 |人民币国际化 |2 |1 |3 |
| |RMB Internationalization | | | |
|12 |网络金融 |2 |1 |3 |
| |Internet Finance | | | |
|13 |中央政府的角色 |2 |1 |3 |
| |Role of the Central Government | | | |
|14 |地方政府竞争 |2 |1 |3 |
| |Competition of Local Governments | | | |
|15 |“一路一带”战略 |2 |1 |3 |
| |the “Belt and Road” Strategy | | | |
|16 |中国发展模式 |2 |1 |3 |
| |China’s Growth Model | | | |
|合计 | |32 |16 |48 |
四、教学内容（黑体，小四号字）
1、农村社会经济结构变迁Socioeconomic Changes of Rural Areas
教学重点、难点：本节描述1949年后农民生产方式、收入来源，以及劳动力流动的变化历程。
课程的考核要求：学生了解中国的农村剩余劳动力流动的历史特征，及其当时的国家宏观政策和社会、经济发展水平。
复习思考题：
农村剩余劳动力的转移历经哪几个重要阶段?
每个阶段的特征和宏观经济背景是什么？
Key and Difficult Points: This section describes the changes in production, income, and labor mobility in rural areas after 1949.
Evaluation Requirements: Students understand the historical characteristics of rural labor surplus flow in China and the macroeconomic policy and socio-economic development at the time.
Review Questions:
What are the important stages of rural surplus labor flows?
What are the characteristics of each stage and the macroeconomic background?
2、农村三次历史性变革Three Historical Reforms of Rural Areas
教学重点、难点：本节分析土地改革、农业合作化和土地集体所有制、家庭联产承包制这三大农业政策对中国农村经济产生的影响。
课程的考核要求：学生了解土地改革、农业合作化和土地集体所有制、家庭联产承包制这三大农业政策的具体内容对以及这些政策对中国农村经济产生的影响。
复习思考题：
土地改革、农业合作化和土地集体所有制、家庭联产承包制这三大农业政策的核心内容是什么？
这三大农业政策产生的效果是什么？
Key and Difficult Points: This section analyzes the impact of three major agricultural policies, including land reform, agricultural cooperation and collective ownership of land, and the household contract responsibility system on rural economy in china.
Evaluation Requirements: Students understand the contents of three major agricultural policies, including land reform, agricultural cooperation and collective ownership of land, and the household contract responsibility system, and their impact on rural economy in china.
Review Questions:
What are the contents of three major agricultural policies?
What are the impacts of three major agricultural policies?
3、农村土地政策 Rural Land Policies
教学重点、难点：本节介绍土地制度改革的学界主流思路和政府思路，对不同思路进行评析。
课程的考核要求：学生了解土地制度改革的学界主流思路和政府思路，并能对不同思路从一些角度进行评析。
复习思考题：
土地制度改革的学界主流思路和政府思路是什么？
如何评价这些思路？
Key and Difficult Points: This section describes the main ideas of land reform institution from the perspectives of academics and government and evaluates these different ideas.
Evaluation Requirements: Students know the main ideas of land reform institution from the perspectives of academics and government. They can evaluate these different ideas from certain aspects.
Review Questions:
What are the main ideas of land reform institution from the perspectives of academics and government?
How will you evaluate these different ideas from certain aspects?
4、农业现代化问题和道路Agricultural Modernization
教学重点、难点：本节讨论农业现代化与可持续发展所面临的问题以及可能的解决方案。
课程的考核要求：学生了解中国农业现代化的决定因素和战略目标，以及可持续农业的内涵。
复习思考题：
中国农业现代化的决定因素是什么？
中国农业现代化的总体思路是什么？
什么是可持续农业？
Key and Difficult Points: This section discusses the problems in agricultural modernization and the sustainable development as well as possible solutions.
Evaluation Requirements: Students understand the determinants and strategic objectives of China's agricultural modernization, as well as the connotation of sustainable agriculture.
Review Questions:
What are the determinants of China's agricultural modernization?
What is the general idea of China's agricultural modernization?
What is sustainable agriculture?
5、计划经济的建立 Establishment of Planned Economy
教学重点、难点：本节介绍新中国成立后消灭私营经济和建立计划经济的过程。
课程的考核要求：学生了解中国解放初期的经济状况，实行计划经济的过程、取得的成就、出现的问题。
复习思考题：
中国在建国初期要实行计划经济？
实行计划经济的利弊是什么？
Key and Difficult Points: This section describes the process to eliminate private economies and to establish a planned economy after the establishment of new China.
Evaluation Requirements: Students understand the economic situation when new China was founded, the process of implementing the planned economy, and the achievements and problems of planned economy.
Review Questions:
Why did China implement planned economy after the establishment of new China?
What are the achievements and problems of planned economy?
6、市场经济改革 Market Economy Reform
教学重点、难点：本节介绍1979年改革开放的国际环境和当时中国的社会经济状况。
课程的考核要求：学生了解1979年改革开放时复杂的国际环境和当时中国的社会经济状况。
复习思考题：
1979年改革开放的国际环境是怎样的？
当时中国的社会经济状况是怎样的？
Key and Difficult Points: This section introduces the international environment of the reform and opening up in 1979 and the social and economic conditions of China at the time.
Evaluation Requirements: Students understand the complex of the international environment at the time of the reform and opening up in 1979 and the social and economic conditions of China at the time.
Review Questions:
What is the international environment at the time of the reform and opening up in 1979?
What are the social and economic conditions of China at the time?
7、国有资本的崛起 Rise of State-owned Capital
教学重点、难点：本节介绍国有经济在中国经济主体地位的不可动摇性。
课程的考核要求：学生了解国有经济在中国经济主体地位的不可动摇性。
复习思考题：
为什么国有经济在中国经济主体地位不可动摇性？
Key and Difficult Points: This section describes the substantially important position of state-owned economy in China.
Evaluation Requirements: Students understand the substantially important position of state-owned economy in China.
Review Questions:
Why is state-owned economy substantially important in China?
8、东北经济 Economy of Northeast China
教学重点、难点：本节讨论东北工业基地转型过程出现的问题和发展方向。
课程的考核要求：学生了解东北经济的过去、现在和未来。
复习思考题：
东北经济未来的发展路径是什么？
Key and Difficult Points: This section discusses the problems and development direction of the northeast industrial base transformation.
Evaluation Requirements: Students understand the past, present and future economy of Northeast China.
Review Questions:
What is the development path of Northeast China?
9、银行利率市场化 Marketization of Interest Rate
教学重点、难点：本节讨论银行利率市场化的必然性以及对商业银行的影响。
课程的考核要求：学生了解银行利率市场化的必然性以及对商业银行的影响。
复习思考题：
为什么银行利率必须市场化？
银行利率市场化对商业银行的影响是什么？
Key and Difficult Points: This section discusses why marketization of bank interest rate is inevitable and its impact on commercial banks.
Evaluation Requirements: students understand why marketization of bank interest rate is inevitable and its impact on commercial banks.
Review Questions:
Why is marketization of bank interest rate inevitable?
What are its impacts on commercial banks on commercial banks?
10、股市的重大制度沿革 Institutional Changes of Stock Market
教学重点、难点：本节介绍中国股市的发展史中重要制度变迁。
课程的考核要求：学生了解中国股市发展的重要阶段和其中的制度变迁。
复习思考题：
中国股市发展的周期是怎样划分的？
这些阶段中有哪些重要的制度变迁？
Key and Difficult Points: This section describes the important institutional changes during the history of China's stock market development,
Evaluation Requirements: Students understand the history of China's stock market and the important institutional changes during the development.
Review Questions:
What are the business cycles in the history of China's stock market?
What are the important institutional changes during the development?
11、人民币国际化 RMB Internationalization
教学重点、难点：本节结合国际形势简述货币战争中中国经济应对方略。
课程的考核要求：学生了解现代经济的货币战争形式和中国采取的应对方式。
复习思考题：
人民币为什么需要国际化？
人民币国际化该如何国际化？
Key and Difficult Points: This section describes the international situation and China's economic response strategy in the currency war.
Evaluation Requirements: Students understand the currency war in modern economy and the strategies of China.
Review Questions:
Why does RMB need to become a international currency？
How can RMB become a international currency?
12、网络金融Internet Finance
教学重点、难点：本节讨论各种网络金融创新方式的利弊和发展趋势。
课程的考核要求：学生了解各种网络金融创新方式的利弊和发展趋势。
复习思考题：
各种网络金融创新方式的利弊和发展趋势是什么？
Key and Difficult Points: This section discusses the advantages and disadvantages of various internet financial innovations and the development trend.
Evaluation Requirements: Students understand the advantages and disadvantages of various internet financial innovations and the development trend.
Review Questions:
What are the advantages and disadvantages of various internet financial innovations and the development trend?
13、中央政府的角色Role of the Central Government
教学重点、难点：本节讲述中央政府集权与放权以及宏观经济的战略选择。
课程的考核要求：学生从具体的政策分析了解中央政府在中国经济发展各个阶段的放权与集权的倾向，以及具体政策选择背后的战略考虑。
复习思考题：
中央政府在中国经济发展各个阶段的放权与集权的倾向是怎样的？
Key and Difficult Points: This section describes the centralization and decentralization of the central government as well as the macroeconomic strategy choices.
Evaluation Requirements: Students analyze the specific policies of the central government during the economic development of China, identify decentralization and centralization preference of the central government, as well as understand the strategic considerations in specific policy.
Review Questions:
What is decentralization and centralization preference of the central government in various polices?
14、地方政府竞争Competition of Local Governments
教学重点、难点：本节分析改革开放后地方政府竞争机制和对宏观经济的影响。
课程的考核要求：学生了解改革开放后地方政府竞争的机制和对宏观经济的影响。
复习思考题：
改革开放后地方政府竞争的机制是什么？
地方政府竞争对宏观经济的影响是什么？
Key and Difficult Points: This section analyzes the mechanism and its impact of local government competition on macro-economy after 1979.
Evaluation Requirements: Students understand the mechanism and its impact of local government competition on macro-economy after 1979.
Review Questions:
What is the mechanism of local government competition on macro-economy after 1979?
What are the m its impacts of local government competition on macro-economy after 1979?
15、“一路一带”战略The “Belt and Road” Strategy
教学重点、难点：本节介绍“一路一带”战略产生的背景、内容，及其对地缘政治的影响。
课程的考核要求：学生了解“一路一带”战略产生的背景、内容，及其对地缘政治的影响。
复习思考题：
“一路一带”战略产生的背景是什么？
“一路一带”战略产生的内容是什么？
“一路一带”战略产生对地缘政治的影响是什么？
Key and Difficult Points: This section describes the background and content of the “Belt and Road” strategy and its impact on geopolitics.
Evaluation Requirements: Students understand the background and content of the “Belt and Road” strategy and its impact on geopolitics.
Review Questions:
What are the background of the “Belt and Road” strategy?
What are the content of the“Belt and Road”strategy?
What are the impacts of the “Belt and Road” strategy on geopolitics?
16、中国发展模式 China‘s Growth Model
教学重点、难点：本节分析中国发展模式的利与弊。
课程的考核要求：学生了解中国发展模式的优点以及存在的问题。
复习思考题：
中国经济发展模式有哪些特点？
中国经济发展模式下取得的成就有哪些？
中国经济发展模式存在什么问题？
Key and Difficult Points: This chapter analyzes the pros and cons of China’s growth model.
Evaluation Requirements: Students understand the pros and cons of China’s growth model.
Review Questions:
What are the characteristics of China’s growth model?
What are the achievements under China’s growth model?
What are the disadvantages of China’s growth model?
五、主要参考书（黑体，小四号字）
1、华生，城市化转型与土地陷阱，东方出版社，2014年1月第1版
2、张维为，中国超越，中国人民大学出版社，2014年8月第1版
3、吴晓波，历代经济变革得失，浙江大学出版社 2013年8月第1版
4、林毅夫，解读中国经济，北京大学出版社，2012年9月第1版
5、周其仁，改革的逻辑，中信出版社，2013年9月第1版
6、郑永年，关键时刻-中国改革何处去，2014年6月第1版
执笔人：苏志 教研室主任： 系教学主任审核签名：
《财务管理》教学大纲
Syllabus of Financial Management
课程编号： 150062B
Course code: 150062B
课程类型：专业选修课
Course type: Discipline Elective Course
总 学 时：32 讲课学时： 实验（上机）学时：
Instruction time: 32 Lecture: Experiment and exercises：
学 分：2
Grade credits: 2
适用对象：金融学（金融经济）
Audience: Finance（Finance and Economics Experimental Class）
先修课程：经济学原理、会计学原理
Prerequisite: Principles of Economics and Accounting
2. 课程的教学目标
Course Objectives
财务管理是管理与经济学的重要核心课程，是金融专业本科生的专业入门课与基础课，主要介绍了企业微观层面的金融活动与投资决策。该门课程将详细介绍什么是企业、企业目标是什么、以及如何获得企业目标等问题。通过课程学习，学生将掌握企业财务各项指标所反映的企业状况、收益率、资本的时间价值、企业融资活动的价值等概念及相应估计方法。该门课程为公司金融和投资学提供铺垫。
Financial management is one of core and popular disciplines of business and economics. It mainly investigates micro-level financial activities of corporations, including financing activities and investment decisions. It answers a series of questions, such as “What is a corporate?”, “What is the goal of a corporate?”, and “How to achieve the goal?”. After this course, students are able to master the skills of financial statement analysis, cost of capital, the time value of money, interest rates, and corporate financing activities. This course will be the bas of corporate finance and investment that will be learned in the coming semesters.
二、教学基本要求（黑体，小四号字）
Teaching Plans and Requirements
财务管理课程的重点知识包括公司的种类、财务数据的分析和决策、货币的时间价值、债券和普通股的定价、风险与收益等。其中，财务指标的分析和货币的时间价值是本课程的知识核心，也是该门课程其他主要内容的基础。而估计资本的成本（最低要求回报率）则是本课程的一个难点。
Financial management mainly contains the types of corporation, financial statement analysis and decision, time value of money, value of bond, value of common stock, and risk and return. The time value of money is the core content of the discipline, while how to estimate the minimal required rate of return for any assets is a difficult part.
案例分析是财务管理课程的重要学习方法，能够将课本知识灵活应用到真是的商业环境中。财务管理强调现实商业环境下的企业决策，包括投资、融资决策，短期与长期决策等。作为入门级课程，学生掌握案例分析对未来学习金融和财务课程具有重要意义。案例分析的另一个重要特征是互动性。本课讨论的所有案例都要求学生能够参与其中，完成小组讨论。
Case Study has been widely adopted in Business and Economics education. It provides learners with a “real” context to utilize what they have learned from the “textbook”. Financial management covers the financial principles that direct how corporations make decisions, including how to allocate limited resources, in what manners to raise funds for the investment and how to divide the gains. It emphasizes corporate real decisions, from short-term to long-term. As a beginner, getting to know of this study tool is of great importance for your further study on Corporate Finance. Another critical characteristic of case study is to interact. All the cases to be discussed on the class should be well prepared ahead based on your group discussions.
为加强学生对教学重点的理解，本课还会采用随堂练习和测验与课后作业结合的形式，让学生在标准化试题中应用课上学过的知识。
Surprise quiz and after-class-practices will facilitate students to understand the instructing knowledge, which motivates the students to apply their knowledge to solve the standardized problems.
而对市场有效性和委托代理问题，本课将做简单介绍，只关注重点的概念和现象。对于该部分的内容讲解，主要结合英文文献讨论委托-代理理论的相关概念。小组作业将以自选主题、自选案例对象的形式，让学生在收集上市公司数据的过程中了解所学各模型变量在现实财务管理活动中对应的指标量，以小组展示的形式，汇报分析结论。每节课后作业根据课上内容布置。
As per the efficiency of market and agency theory, this course will make a brief introduction on concepts and phenomenon. Theoretical literature regarding the agency theory will be involved in the lecture. Students can learn from the prior studies of the key concepts. Group projects are in the form of presentation. Students form groups and select their interested topics. Based on their analysis of the real financial data of corporations, they can apply the variables in the models they learned to the real analysis. There is also homework after each chapter.
课程的考核如下：
|考核方式 |百分比 |
|小组作业1 |25% |
|小组作业2 |60% |
|案例作业 |10% |
|考勤 |5% |
|合计 |100% |
Assessment:
|Items |% |
|Group project 1 |25% |
|Group project 2 |60% |
|Case study |10% |
|Attendance |5% |
|Total |100% |
三、各教学环节学时分配（黑体，小四号字）
Teaching plan of each lecture
以表格方式表现各章节的学时分配，表格如下：
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |公司 |2 | | |2 |
| |Chapter 1 The Corporation | | | | |
|2 |财务报告分析简介 |2 | | |2 |
| |Chapter 2 Introduction of Financial Statement Analysis (FSA) | | | | |
|3 |财务报告分析——资产分析 |2 | | |2 |
| |Chapter 3 FSA—Assets Analysis | | | | |
|4 |案例分析 | |2 | |2 |
| |Case Study: Boston Chicken, Inc. | | | | |
|5 |财务报告分析——负债与所有者权益分析 |2 | | |2 |
| |Chapter 4 FSA—Liabilities and Equity Analysis | | | | |
|6 |案例分析 | |2 | |2 |
| |Case Study: Manufactured Homes, Inc. | | | | |
|7 |财务报告分析——收入分析 |2 | | |2 |
| |Chapter 5 FSA—Revenue Analysis | | | | |
|8 |案例分析 | |2 | |2 |
| |Case Study: Oracle Systems Corporation | | | | |
|9 |财务报告分析——费用分析 |2 | | |2 |
| |Chapter 6 FSA—Expense Analysis | | | | |
|10 |案例分析 | |2 | |2 |
| |Case Study: Pre-paid Legal Service, Inc. | | | | |
|11 |市场有效性与融资行为 |2 | | |2 |
| |Chapter 7 Efficient Markets and Behavior Finance | | | | |
|12 |现值估计 |2 | | |2 |
| |Chapter 8 Present Value | | | | |
|13 |利率 |2 | | |2 |
| |Chapter 9 Interest Rate | | | | |
|14 |委托代理理论和经理人补偿及绩效 |2 | | |2 |
| |Chapter 10 Agency problems and Compensation and Performance Measurement | | | | |
|15 |债券估值 |2 | | |2 |
| |Chapter 11 Valuing Bonds | | | | |
|16 |普通股估值 |2 | | |2 |
| |Chapter 12 Value of Common Stocks | | | | |
|合计 | |24 |8 | |32 |
四、教学内容（黑体，小四号字）
以“章节”为单位说明本章节的教学内容、教学重点、难点、课程的考核要求和复习思考题等，各章节格式如下：
第一章 财务报告分析
1. 公司
1. 四种公司形式：独资、合伙、有限责任公司、股份有限公司及特征
2. 所有权与公司治理：企业高层管理团队、企业所有者
3. 股票市场：一级市场与二级市场
教学重点、难点：公司的形式与公司治理结构、股票市场
课程考核：了解公司形式，理解各种公司形式的特征，掌握各级股票市场的交易特征与构成、企业高层团队构成、企业所有者
复习与思考题：无
Chapter 1 The Corporation
1. The four types of firms: sole proprietorships, partnerships, limited liability companies, and corporations
2. Ownership versus control of corporations: the corporate management team and owners
3. The stock market: primary and secondary stock markets
Key and difficult points: the four types of firms, the stock market
Evaluation and requirements: to know the types of firms; Understand the features of each type of firm; Master the trading characteristics of different stock markets, corporate management team and owners of firms
Review and practices: N/A
2. 财务报告分析简介
1. 公司财务披露：财务报告信息准备，全球财务报告标准，财务报告类型
2. 资产负债表
3. 损益表
4. 现金流量表
5. 其他财务报告
6. 财务报告分析，利润率、流动率、工作资本率、利率
7. 现实中财务报告
教学重点、难点：各财务报表的比率分析、现实中财务报告准备
课程考核：了解财务信息披露要求和财务报告类型、掌握资产负债表、损益表和现金流量表的各项指标
复习与思考题：课后习题
Chapter 2 Introduction of Financial Statement Analysis (FSA)
1. Firms’ disclosure of financial: information-preparation of financial statements-
International financial reporting standards; types of financial statements
2. The balance sheet: assets, liabilities, stockholders’ equity, market value versus book value, and enterprise value
3. The income statement: earnings calculations
4. The statement of cash flows, operating activity, investment activity, financing activity
5. Other financial statement: information, statement of stockholders’ equity, management discussion and analysis, notes to the financial statements
6. Financial statement analysis, profitability ratios, liquidity ratios, working capital ratios, interest coverage ratios
7. Financial reporting in practice
Key and difficult points: Firms’ disclosure of financial: information-preparation of financial statements-International financial reporting standards; types of financial statements, financial statement analysis, profitability ratios, liquidity ratios, working capital ratios, interest coverage ratios
Evaluation and requirement: to know the financial information disclosure and types financial statements; Master the profitability ratios, liquidity ratios, working capital ratios, interest coverage ratios
Review and Practices: Exercises in the chapter
3. 财务报告分析——资产分析
1. 历史成本与保守原则
2. 资产报告分析的问题与原则：拥有的资产 vs. 未来可获得或收回的资产与收益 vs. 在确定情况下的资产
3. 资产分析的一些错误理解
教学重点、难点：资产报告分析的问题与原则
课程考核：了解历史成本的处理、保守原则与资产分析的一些错误理解；掌握资产报告分析的问题与原则
复习与思考题：案例Boston Chicken, Inc.， 课后思考题
Chapter 3 FSA—Assets Analysis
1. Historical costs and conservatism
2. Asset reporting challenges: assets and resources owned vs. receivable and future assets and economic earnings vs. assets to some extent certain
3. Common misconceptions about asset accounting
Key and difficult points: Asset reporting challenges and the principles
Evaluation and requirement: to know how to deal with the historical costs records, conservatism principles and challenges of asset pricing; Understand the challenges and how to analyze the asset reporting data.
Review and Practices: case study Boston Chicken, Inc., discussion questions
4. 财务报告分析——负债与所有者权益分析
1. 负债的定义以及负债报告的挑战
2. 债务会计过程中的一些错误
3. 权益的定义及权益报告的挑战
教学重点、难点：负债的定义以及负债报告的挑战、权益的定义及权益报告的挑战
课程考核：了解债务会计过程中的一些错误，理解负债的定义以及负债报告的挑战、权益的定义及权益报告的挑战
复习与思考题：案例Manufactured Homes, Inc.， 课后思考题
Chapter 4 FSA—Liabilities and Equity Analysis
1. Liability definition and reporting challenges
2. Common misconceptions about liability accounting
3. Equity definition and reporting challenges
Key and difficult points: liability and equity reporting challenges and the principles
Evaluation and requirement: to know the types of misconceptions about liability accounting; Understand how to deal with the liability and equity items in analysis
Review and Practices: case study Manufactured Homes, Inc., discussion questions
5. 财务报告分析——收入分析
1. 收入的计入原则：两种计入原则
2. 收入报告的挑战
教学重点、难点：收入的计入原则、多种产品或服务计入的计入期
课程考核：了解收入的记录挑战，掌握收入计入原则，多种产品或服务进入的计入期，独立完成收入报告
复习与思考题：案例Oracle System Corporation， 课后思考题
Chapter 5 FSA—Revenue Analysis
1. Revenue recognition rule: two criteria
2. Revenue reporting challenges
Key and difficult points: the principles of revenue recognition and the period of multiple products and services
Evaluation and requirement: to know the challenges of revenue reporting; Master the principles of revenue types, and the report period of multiple products and services revenues; Do the revenue reporting independently
Review and Practices: case study Oracle System Corporation, discussion questions
6. 财务报告分析——费用分析
1. 费用的匹配与保守原则
2. 费用报告的挑战
教学重点、难点：费用的匹配与分类
课程考核：了解费用报告的挑战；掌握费用各类的匹配原则；能够独立完成费用报告
复习与思考题：案例Pre-paid Legal Service, Inc，课后思考题
Chapter 6 FSA—Expense Analysis
1. Matching and conservatism
2. Expense reporting challenges
Key and difficult points: the principles and criteria for recognizing expenses, challenges of expense reporting challenges.
Evaluation and requirement: to know the challenges of expense reporting; Master the principles of matching expenses types; Do the expenses reporting independently
Review and Practices: case study Pre-paid Legal Service, Inc., discussion questions
第二章 公司金融基础
7. 市场有效性与融资行为
市场有效性与金融行为
1. 什么是有效市场:有效市场存在的依据及有效市场的启示
2. 有效市场是理想状态
3. 行为金融学
教学重点、难点：什么是有效市场:有效市场存在的依据及有效市场的启示
课程考核：了解有效市场理论的背景、有效市场存在的依据及有效市场下的个体金融行为，理解有效市场存在的基本特征，掌握有效市场的启示
复习与思考题：课后习题中所有判断题
Part 2 Introduction of Corporate Finance
Chapter 7 Efficient Markets and Behavioral Finance
1. What is an efficient market (the features of efficient market)? Price changes are random, three forms of market efficiency, efficient markets: the evidence, lessons of market efficiency
2. The evidence against market efficiency
3. Behavioral finance
Key and difficult points: what is an efficient market, lessons of market efficiency
Evaluation requirements: to know conflicted argument of efficient markets; understand what is an efficient market, lessons of market efficiency; master arbitrage
Review and practices: True or False in exercises of the chapter in the textbooks
8. 现值估计
1. 未来值与现值
a) 风险与现值、回报率与现值、多种现金流的现值
b) 投资的机会与机会成本
c) 计算未来价值、计算现值、净现值
2. 永续年金与年金
a) 估计年金到期日、估计年金
b) 年金的未来值
c) 如何估计永续年金、如何估计年金
3. 增长永续年金与年金
a) 增长永续年金、增长年金、复利计算
教学重点、难点：投资机会成本、永续年金和年金的现值估计、增长年金、复利计算、投资的机会与机会成本、永续增长年金、未来价值、现值与净现值
课程考核：要求学生了解年金到期日的概念、年金的估计，理解年金未来值，风险与现值、回报率、现值、多种现金流的现值,掌握投资的机会与机会成本，尤其是机会成本的估计。计算未来价值、现值和净现值、熟练运用永续年金、年金、增长型永续年金和年金的估计
复习与思考题: 案例思考Kodak破产的背后，课后习题16、19、32、38
Chapter 8 Present Values
1. Future value and present value
a) Risk and present value, rate of return, present value, cash flow and present value
b) Opportunity and the opportunity costs of investment
c) Calculation the future value and present value and NPV
2. Perpetuity and annuities
a) Valuing annuities due and calculating annual payments
b) Future value of annuities
c) How to value perpetuities and annuities
3. Growing perpetuities and annuities
Key and difficult points: opportunity cost of investment, perpetuities and annuities, growing perpetuities and annuities
Evaluation requirements: to know the risk and return, rate of return, present value, and present value of multiple kinds of cash flow; Master the investment opportunity and opportunity cost; Calculate future value, present value and NPV
Review and practice: Kodak bankruptcy and homework 16,19,32,38
9. 利率
1. 利率的调整与应用：年利率、年金中的折现率
2. 借款的折现率
3. 利率的决定因素：通胀率下的利率与实际利率、投资的利率原则、到期收益与利率间的关系
4. 风险与税收：风险与利率，税后利率
5. 资本的机会成本
教学重点、难点：利率的应用于调整、折现率与到期收益之间的关系曲线、资本的机会成本
课程考核：了解折现率与借款、风险与税收，理解折现率与到期收益之间的关系、通胀率下的利率与实际利率，运用利率的调整与应用：年利率、年金中的折现率, 资本的机会成本
复习与思考题：课后习题
Chapter 9 Interest Rate
1. Interest rate quotes and adjustments: the effective annual rate, wrong discount rate in the annuity formula, annual percentage rates
2. Application: discount rates and loans
3. The determinants of interest rates: inflation and real versus nominal rates, investment and interest rate policy, the yield curve and discount rates
4. Risk and taxes: risk and interest rates, after-tax interest rates
5. The opportunity cost of capital
Key and difficult points: Interest rate quotes and adjustments, the yield curve and discount rates, the opportunity cost of capital
Evaluation requirements: to know discount rates and loans, risk and taxes; Understand the yield curve and discount rates, inflation and real versus nominal rates; Master discount rate in the annuity formula, annual percentage rates, the opportunity cost of capital and annual rate
Review and practice: exercises in the chapter of the textbook
10. 委托代理问题，薪酬补偿与绩效测量
1. 薪酬与激励：委托代理问题在资本预算、冒险投资、监管、薪酬补偿、绩效监管
2. 衡量与绩效汇报：经济附加值与收入剩余
3. 会计绩效衡量的偏差
教学重点、难点：委托代理产生的原因与现象、经济附加值
课程考核：了解委托代理问题，理解经济附加值与收入剩余、会计绩效衡量的偏差，掌握委托代理的原因与现象、
复习与思考题：课后习题
Chapter 10 Agency Problems, Compensation, and Performance Measurement
1. Incentives and Compensation: Agency Problems in Capital Budgeting, Risk Taking, Monitoring, Management Compensation, Incentive Compensation, Monitoring Pay for Performance
2. Measuring and Rewarding Performance: Residual Income and EVA
3. Biases in Accounting Measures of Performance
Key and difficult points: the causes resulting in Principal-agency problems and typical phenomenon, EVA
Evaluation requirements: to know Principal-agency problems; Understand EVA and surplus; Master Principal-agency causes and typical phenomenon
Review and practices: Exercises in the chapter of the textbook
11. 债券估值
1. 运用现值计算估计债券价值
a) 政府债价值
b) 息票债券价值
2. 如何根据利率为债券定价
a) 久期、波动
3. 利率期限结构
a) 利率期限结构的期望理论、通胀与利率期期限结构
b) 折现因子
c) 即期汇率、债券定价、统一价格原则
4. 名义与实际利率
a) 指数债券、实际利率、实际利率的影响因素、通胀与名义利率
教学重点、难点：久期、波动、折现因子、即期汇率、债券定价
课程考核：了解政府债价值、风险的介绍、利率期限结构的期望理论、通胀与利率期期限结构，理解指数债券、实际利率、实际利率的影响因素、通胀与名义利率、折现因子,掌握息票债券价值，熟练运用久期、波动、即期汇率、债券定价、统一价格原则
复习与思考题：课后习题
Chapter 11 Valuing Bonds
1. Using the present value formula to value bonds
a) Government bond
b) Coupon bond prices
2. How bond prices vary with interest rates
a) Duration and volatility
3. The term structure of interest rates
a) Expectations theory of the term structure, inflation and term structure
b) Discount Factor Increases—and a Digression on Money
c) Spot Rates, Bond Prices, and the Law of One Price/Measuring the Term Structure
4. Real and Nominal Rates of Interest
a) Indexed Bonds and the Real Rate of Interest, What Determines the Real Rate of Interest, Inflation and Nominal Interest Rates
Key and difficult points：duration, volatility, discount factor, spot rate, valuing bond
Evaluation requirements: to know government bond, introducing risk, Expectations Theory of the Term Structure; Understand coupon bond, real interest, the influential factors of real interests, inflation and nominal interests, and discount factor; Use the value of bond, duration, volatility, spot rate, valuing price, the law of one price.
Review and practice: Exercises in book of the chapter
12. 普通股价值
1. 普通股如何交易
2. 普通股如何估值、分红与股票价格、估计权益资本成本（包括DCF模型估计估价、持续增长公式）、现金流折现估计公司活动
3. 每股收益与股票价格：估计持续增长的现值
教学重点、难点：普通股估价、股票价值与价格、权益资本成本、现金流计算
课程考核：了解普通股的交易与相关名词、掌握普通股估值、分红、股票价格、权益成本与增长股利，熟练运用每股收益和红利分析股票价格
复习与思考题：Reedy Sports 案例分析、课后习题
Chapter 12 Valuing Common stock
1. How Common Stocks Are Traded
2. How Common Stocks Are Valued: Valuation by Comparable, Stock Prices and Dividends, Estimating the Cost of Equity Capital: Using the DCF Model to Set Gas and Electricity: Prices/Dangers Lurk in Constant-Growth Formulas
3. The Link Between Stock Price and Earnings per Share: Calculating the Present Value of Growth
Key and difficult points: valuing common stock, Stock Prices and Dividends, Estimating the Cost of Equity Capital: Using the DCF Model to Set Gas and Electricity: Prices/Dangers Lurk in Constant-Growth Formulas
Evaluation requirements: to know the trade of common stock and related terms; Master valuing common stock, dividend, stock price, cost of equity and growth dividend price of a stock; Use EPS and dividend to estimate stock price.
Review and practice: Reedy Sports case study, exercises of the chapter
五、其它（黑体，小四号字）
六、主要参考书（黑体，小四号字）
[1]Rachard A Brealey, Stewart C. Myers & Franklin Allen. Principles of Corporate Finance, 10th ed. 北京：机械工业出版社. 2012-01-01
[2] Palepu Krishna G. Healy Paul M & Bernard Victor L. Business Analysis & Valuation Using Financial Statement, 3rd ed. 北京：中信出版社 2002-05-01
执笔人： 张婷婷 教研室主任： 系教学主任审核签名：
《财务管理》教学大纲
Syllabus of Financial Management
课程编号： 150063A
Course code: 150063A
课程类型：专业必修课
Course type: Discipline Compulsory Course
总 学 时：48 讲课学时：32 实验（上机）学时：16
Instruction time: 48 Lecture: 32 Experiment and exercises：16
学 分：3
Grade credits: 3
适用对象：金融学（金融经济）
Audience: Finance（Finance and Economics Experimental Class）
先修课程：经济学原理、会计学原理
Prerequisite: Principles of Economics and Accounting
3. 课程的教学目标
Course Objectives
财务管理是管理与经济学的重要核心课程，是金融专业本科生的专业入门课与基础课，主要介绍了企业微观层面的金融活动与投资决策。该门课程将详细介绍什么是企业、企业目标是什么、以及如何获得企业目标等问题。通过课程学习，学生将掌握企业财务各项指标所反映的企业状况、收益率、资本的时间价值、企业融资活动的价值等概念及相应估计方法。该门课程为公司金融和投资学提供铺垫。
Financial management is one of core and popular disciplines of business and economics. It mainly investigates micro-level financial activities of corporations, including financing activities and investment decisions. It answers a series of questions, such as “What is a corporate?”, “What is the goal of a corporate?”, and “How to achieve the goal?”. After this course, students are able to master the skills of financial statement analysis, cost of capital, the time value of money, interest rates, and corporate financing activities. This course will be the bas of corporate finance and investment that will be learned in the coming semesters.
二、教学基本要求（黑体，小四号字）
Teaching Plans and Requirements
财务管理课程的重点知识包括公司的种类、财务数据的分析和决策、货币的时间价值、债券和普通股的定价、风险与收益等。其中，财务指标的分析和货币的时间价值是本课程的知识核心，也是该门课程其他主要内容的基础。而估计资本的成本（最低要求回报率）则是本课程的一个难点。
Financial management mainly contains the types of corporation, financial statement analysis and decision, time value of money, value of bond, value of common stock, and risk and return. The time value of money is the core content of the discipline, while how to estimate the minimal required rate of return for any assets is a difficult part.
案例分析是财务管理课程的重要学习方法，能够将课本知识灵活应用到真是的商业环境中。财务管理强调现实商业环境下的企业决策，包括投资、融资决策，短期与长期决策等。作为入门级课程，学生掌握案例分析对未来学习金融和财务课程具有重要意义。案例分析的另一个重要特征是互动性。本课讨论的所有案例都要求学生能够参与其中，完成小组讨论。
Case Study has been widely adopted in Business and Economics education. It provides learners with a “real” context to utilize what they have learned from the “textbook”. Financial management covers the financial principles that direct how corporations make decisions, including how to allocate limited resources, in what manners to raise funds for the investment and how to divide the gains. It emphasizes corporate real decisions, from short-term to long-term. As a beginner, getting to know of this study tool is of great importance for your further study on Corporate Finance. Another critical characteristic of case study is to interact. All the cases to be discussed on the class should be well prepared ahead based on your group discussions.
为加强学生对教学重点的理解，本课还会采用随堂练习和测验与课后作业结合的形式，让学生在标准化试题中应用课上学过的知识。
Surprise quiz and after-class-practices will facilitate students to understand the instructing knowledge, which motivates the students to apply their knowledge to solve the standardized problems.
而对市场有效性和委托代理问题，本课将做简单介绍，只关注重点的概念和现象。对于该部分的内容讲解，主要结合英文文献讨论委托-代理理论的相关概念。小组作业将以自选主题、自选案例对象的形式，让学生在收集上市公司数据的过程中了解所学各模型变量在现实财务管理活动中对应的指标量，以小组展示的形式，汇报分析结论。每节课后作业根据课上内容布置。
As per the efficiency of market and agency theory, this course will make a brief introduction on concepts and phenomenon. Theoretical literature regarding the agency theory will be involved in the lecture. Students can learn from the prior studies of the key concepts. Group projects are in the form of presentation. Students form groups and select their interested topics. Based on their analysis of the real financial data of corporations, they can apply the variables in the models they learned to the real analysis. There is also homework after each chapter.
课程的考核如下：
|考核方式 |百分比 |
|期中考试 |20% |
|小组作业1 |5% |
|小组作业2 |10% |
|期末考试 |60% |
|考勤 |5% |
|合计 |100% |
Assessment:
|Items |% |
|Midterm |20% |
|Group project 1 |5% |
|Group project 2 |10% |
|Final |60% |
|Attendance |5% |
|Total |100% |
三、各教学环节学时分配（黑体，小四号字）
Teaching plan of each lecture
以表格方式表现各章节的学时分配，表格如下：
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |公司 |2 | | |2 |
| |Chapter 1 The Corporation | | | | |
|2 |财务报告分析简介 |2 | | |2 |
| |Chapter 2 Introduction of Financial Statement Analysis (FSA) | | | | |
|3 |财务报告分析——战略分析 |2 | | |2 |
| |Chapter 3 FSA—Strategy Analysis | | | | |
|4 |财务报告分析——会计分析 |2 | | |2 |
| |Chapter 4 FSA—Accounting Analysis | | | | |
|5 |财务报告分析——资产分析 |2 | | |2 |
| |Chapter 5 FSA—Assets Analysis | | | | |
|6 |案例分析 | |2 | |2 |
| |Case Study: Boston Chicken, Inc. | | | | |
|7 |财务报告分析——负债与所有者权益分析 |2 | | |2 |
| |Chapter 6 FSA—Liabilities and Equity Analysis | | | | |
|8 |案例分析 | |2 | |2 |
| |Case Study: Manufactured Homes, Inc. | | | | |
|6 |财务报告分析——收入分析 |2 | | |2 |
| |Chapter 7 FSA—Revenue Analysis | | | | |
|7 |案例分析 | |2 | |2 |
| |Case Study: Oracle Systems Corporation | | | | |
|8 |财务报告分析——费用分析 |2 | | |2 |
| |Chapter 8 FSA—Expense Analysis | | | | |
|9 |案例分析 | |2 | |2 |
| |Case Study: Pre-paid Legal Service, Inc. | | | | |
|10 |小组作业 | |2 | |2 |
| |Group Presentation: Financial Statement Analysis of a Listed Firm | | | | |
| 11 |期中考试 | |2 | |2 |
| |Mid-term | | | | |
|12 |市场有效性与融资行为 |2 | | |2 |
| |Chapter 9 Efficient Markets and Behavior Finance | | | | |
|13 |现值估计 |2 | | |2 |
| |Chapter 10 Present Value | | | | |
|14 |投资决策准则 |2 | | |2 |
| |Chapter 11 Investment Decisions with NPV rule | | | | |
|15 |利率 |2 | | |2 |
| |Chapter 12 Interest Rate | | | | |
|16 |委托代理理论和经理人补偿及绩效 |2 | | |2 |
| |Chapter 13 Agency problems and Compensation and Performance Measurement | | | | |
|17 |债券估值 |2 | | |2 |
| |Chapter 14 Valuing Bonds | | | | |
|18 |普通股估值 |2 | | |2 |
| |Chapter 15 Value of Common Stocks | | | | |
|19 |风险与收益 |2 | | |2 |
| |Chapter 16 Risk and Return | | | | |
|20 |复习与答疑 | |2 | |2 |
| |Review and Q&A | | | | |
|21 |小组作业 | |2 | |2 |
| |Group Presentation | | | | |
|22 |期末考试 | | | | |
| |Final | | | | |
|合计 | |32 |16 | |48 |
四、教学内容（黑体，小四号字）
以“章节”为单位说明本章节的教学内容、教学重点、难点、课程的考核要求和复习思考题等，各章节格式如下：
第一章 财务报告分析
13. 公司
4. 四种公司形式：独资、合伙、有限责任公司、股份有限公司及特征
5. 所有权与公司治理：企业高层管理团队、企业所有者
6. 股票市场：一级市场与二级市场
教学重点、难点：公司的形式与公司治理结构、股票市场
课程考核：了解公司形式，理解各种公司形式的特征，掌握各级股票市场的交易特征与构成、企业高层团队构成、企业所有者
复习与思考题：无
Part 1 Financial Statement Analysis
Chapter 1 The Corporation
1. The four types of firms: sole proprietorships, partnerships, limited liability companies, and corporations
2. Ownership versus control of corporations: the corporate management team and owners
3. The stock market: primary and secondary stock markets
Key and difficult points: the four types of firms, the stock market
Evaluation and requirements: to know the types of firms; Understand the features of each type of firm; Master the trading characteristics of different stock markets, corporate management team and owners of firms
Review and practices: N/A
14. 财务报告分析简介
8. 公司财务披露：财务报告信息准备，全球财务报告标准，财务报告类型
9. 资产负债表
10. 损益表
11. 现金流量表
12. 其他财务报告
13. 财务报告分析，利润率、流动率、工作资本率、利率
14. 现实中财务报告
教学重点、难点：各财务报表的比率分析、现实中财务报告准备
课程考核：了解财务信息披露要求和财务报告类型、掌握资产负债表、损益表和现金流量表的各项指标
复习与思考题：课后习题
Chapter 2 Introduction of Financial Statement Analysis (FSA)
1. Firms’ disclosure of financial: information-preparation of financial statements-
International financial reporting standards; types of financial statements
2. The balance sheet: assets, liabilities, stockholders’ equity, market value versus book value, and enterprise value
3. The income statement: earnings calculations
4. The statement of cash flows, operating activity, investment activity, financing activity
5. Other financial statement: information, statement of stockholders’ equity, management discussion and analysis, notes to the financial statements
6. Financial statement analysis, profitability ratios, liquidity ratios, working capital ratios, interest coverage ratios
7. Financial reporting in practice
Key and difficult points: Firms’ disclosure of financial: information-preparation of financial statements-International financial reporting standards; types of financial statements, financial statement analysis, profitability ratios, liquidity ratios, working capital ratios, interest coverage ratios
Evaluation and requirement: to know the financial information disclosure and types financial statements; Master the profitability ratios, liquidity ratios, working capital ratios, interest coverage ratios
Review and Practices: Exercises in the chapter
15. 财务报告分析——战略分析
1. 行业分析：现有竞争对手、新进入者的威胁、替代产品威胁、价值链各部分的讨价还价能力
2. 竞争优势的来源：低成本、差异化
3. 价值创造
4. 持续竞争优势：直销、订单生产、低应收账款、R&D投入
5. 企业战略分析
教学重点、难点：行业分析、竞争优势来源、价值创造
课程考核：了解企业战略分析的基本内容，理解保持持续竞争优势的投资与融资策略，掌握行业分析的内容
复习与思考题：案例American online
Chapter 3 FSA—Strategy Analysis
1. Industrial analysis: rivals in competition, potential threats of new entries, threats of products replaced, and bargaining power from value chains
2. Sources of competitive advantages: low costs and differentiation
3. Value creation
4. Sustaining competitive advantage: Direct selling, made-to-order manufacturing, the third-party service low accounts receivable, focused investment in R&D
5. Corporate strategy analysis
Key and difficult points: Industrial analysis, sources of competitive advantages, value creation
Evaluation and requirement: to know the contents of strategy analysis; Understand the sources of competitive advantages; Master the components of industrial analysis.
Review and Practices: case analysis American online
16. 财务报告分析——会计分析
1. 财务报告的一般框架：会计账目基本框架、会计准则、外部审计、会计分析的局限、影响会计质量的因素
2. 会计分析步骤
3. 会计分析的缺陷
4. 会计数据的价值与会计分析关系
教学重点、难点：会计准则、财务报告的一般框架、会计数据分析
课程考核：了解会计分析步骤和缺陷，理解会计数据的价值和会计分析的关系，愚弄会计数据做出会计账目的分析基本框架。
复习与思考题：案例Harnischfeger Corporation,课后讨论问题
Chapter 4 FSA—Accounting Analysis
1. Financial reporting framework
2. Doing accounting analysis
3. Accounting analysis pitfalls
4. Value of accounting data and accounting analysis
Key and difficult points: Financial reporting framework and accounting data analysis
Evaluation and requirement: to know the contents of accounting analysis and pitfalls; Understand financial reporting framework; Master the skills of accounting data analysis
Review and Practices: case analysis Harnischfeger Corporation, discussion questions
17. 财务报告分析——资产分析
4. 历史成本与保守原则
5. 资产报告分析的问题与原则：拥有的资产 vs. 未来可获得或收回的资产与收益 vs. 在确定情况下的资产
6. 资产分析的一些错误理解
教学重点、难点：资产报告分析的问题与原则
课程考核：了解历史成本的处理、保守原则与资产分析的一些错误理解；掌握资产报告分析的问题与原则
复习与思考题：案例Boston Chicken, Inc.， 课后思考题
Chapter 5 FSA—Assets Analysis
4. Historical costs and conservatism
5. Asset reporting challenges: assets and resources owned vs. receivable and future assets and economic earnings vs. assets to some extent certain
6. Common misconceptions about asset accounting
Key and difficult points: Asset reporting challenges and the principles
Evaluation and requirement: to know how to deal with the historical costs records, conservatism principles and challenges of asset pricing; Understand the challenges and how to analyze the asset reporting data.
Review and Practices: case study Boston Chicken, Inc., discussion questions
18. 财务报告分析——负债与所有者权益分析
4. 负债的定义以及负债报告的挑战
5. 债务会计过程中的一些错误
6. 权益的定义及权益报告的挑战
教学重点、难点：负债的定义以及负债报告的挑战、权益的定义及权益报告的挑战
课程考核：了解债务会计过程中的一些错误，理解负债的定义以及负债报告的挑战、权益的定义及权益报告的挑战
复习与思考题：案例Manufactured Homes, Inc.， 课后思考题
Chapter 6 FSA—Liabilities and Equity Analysis
4. Liability definition and reporting challenges
5. Common misconceptions about liability accounting
6. Equity definition and reporting challenges
Key and difficult points: liability and equity reporting challenges and the principles
Evaluation and requirement: to know the types of misconceptions about liability accounting; Understand how to deal with the liability and equity items in analysis
Review and Practices: case study Manufactured Homes, Inc., discussion questions
19. 财务报告分析——收入分析
3. 收入的计入原则：两种计入原则
4. 收入报告的挑战
教学重点、难点：收入的计入原则、多种产品或服务计入的计入期
课程考核：了解收入的记录挑战，掌握收入计入原则，多种产品或服务进入的计入期，独立完成收入报告
复习与思考题：案例Oracle System Corporation， 课后思考题
Chapter 7 FSA—Revenue Analysis
3. Revenue recognition rule: two criteria
4. Revenue reporting challenges
Key and difficult points: the principles of revenue recognition and the period of multiple products and services
Evaluation and requirement: to know the challenges of revenue reporting; Master the principles of revenue types, and the report period of multiple products and services revenues; Do the revenue reporting independently
Review and Practices: case study Oracle System Corporation, discussion questions
20. 财务报告分析——费用分析
3. 费用的匹配与保守原则
4. 费用报告的挑战
教学重点、难点：费用的匹配与分类
课程考核：了解费用报告的挑战；掌握费用各类的匹配原则；能够独立完成费用报告
复习与思考题：案例Pre-paid Legal Service, Inc，课后思考题
Chapter 8 FSA—Expense Analysis
3. Matching and conservatism
4. Expense reporting challenges
Key and difficult points: the principles and criteria for recognizing expenses, challenges of expense reporting challenges.
Evaluation and requirement: to know the challenges of expense reporting; Master the principles of matching expenses types; Do the expenses reporting independently
Review and Practices: case study Pre-paid Legal Service, Inc., discussion questions
第二章 公司金融基础
21. 市场有效性与融资行为
市场有效性与金融行为
4. 什么是有效市场:有效市场存在的依据及有效市场的启示
5. 有效市场是理想状态
6. 行为金融学
教学重点、难点：什么是有效市场:有效市场存在的依据及有效市场的启示
课程考核：了解有效市场理论的背景、有效市场存在的依据及有效市场下的个体金融行为，理解有效市场存在的基本特征，掌握有效市场的启示
复习与思考题：课后习题中所有判断题
Part 2 Introduction of Corporate Finance
Chapter 9 Efficient Markets and Behavioral Finance
1. What is an efficient market (the features of efficient market)? Price changes are random, three forms of market efficiency, efficient markets: the evidence, lessons of market efficiency
2. The evidence against market efficiency
3. Behavioral finance
Key and difficult points: what is an efficient market, lessons of market efficiency
Evaluation requirements: to know conflicted argument of efficient markets; understand what is an efficient market, lessons of market efficiency; master arbitrage
Review and practices: True or False in exercises of the chapter in the textbooks
22. 现值估计
1. 未来值与现值
b) 风险与现值、回报率与现值、多种现金流的现值
c) 投资的机会与机会成本
d) 计算未来价值、计算现值、净现值
4. 永续年金与年金
a) 估计年金到期日、估计年金
b) 年金的未来值
c) 如何估计永续年金、如何估计年金
5. 增长永续年金与年金
a) 增长永续年金、增长年金、复利计算
教学重点、难点：投资机会成本、永续年金和年金的现值估计、增长年金、复利计算、投资的机会与机会成本、永续增长年金、未来价值、现值与净现值
课程考核：要求学生了解年金到期日的概念、年金的估计，理解年金未来值，风险与现值、回报率、现值、多种现金流的现值,掌握投资的机会与机会成本，尤其是机会成本的估计。计算未来价值、现值和净现值、熟练运用永续年金、年金、增长型永续年金和年金的估计
复习与思考题: 案例思考Kodak破产的背后，课后习题16、19、32、38
Chapter 10 Present Values
4. Future value and present value
a) Risk and present value, rate of return, present value, cash flow and present value
b) Opportunity and the opportunity costs of investment
c) Calculation the future value and present value and NPV
5. Perpetuity and annuities
a) Valuing annuities due and calculating annual payments
b) Future value of annuities
c) How to value perpetuities and annuities
6. Growing perpetuities and annuities
Key and difficult points: opportunity cost of investment, perpetuities and annuities, growing perpetuities and annuities
Evaluation requirements: to know the risk and return, rate of return, present value, and present value of multiple kinds of cash flow; Master the investment opportunity and opportunity cost; Calculate future value, present value and NPV
Review and practice: Kodak bankruptcy and homework 16,19,32,38
23. 投资决策准则
1. 投资回收政策、回收期、回收原则
2. 内部收益率、内部收益率与NPV之间的关系
3. 内部收益率法的局限
4. 现值指数
教学重点、难点：内部收益率、内部收益率法的局限；内部收益率与NPV之间的关系
课程考核：了解各种投资原则、回收政策、回收期，理解现值指数的计算，掌握内部收益率、内部收益率与NPV之间的关系及内部收益率的局限
复习与思考题：课后习题
Chapter 11 Net Present Value and Other Investment Criteria
1. Payback, discounted payback, payback period
2. Internal (or discounted-cash-flow) rate of return: calculating the IRR/the IRR rule and NPV rule
3. IRR pitfall lending or borrowing?/pitfall 2—multiple rates of return/pitfall 3—mutually exclusive projects/ pitfall 4—what happens when there is more than one opportunity cost of capital?/the verdict on IRR
4. Profitability index
Key and difficult points: IRR rule and its pitfalls, the relationship between IRR and NPV
Evaluation requirements: to know multiple rules of investment, payback rules and payback period; Understand the profitability index; Master IRR and the relationship between IRR and NPV and pitfalls of IRR.
Review and practice: exercises in the chapter of the textbook
24. 利率
6. 利率的调整与应用：年利率、年金中的折现率
7. 借款的折现率
8. 利率的决定因素：通胀率下的利率与实际利率、投资的利率原则、到期收益与利率间的关系
9. 风险与税收：风险与利率，税后利率
10. 资本的机会成本
教学重点、难点：利率的应用于调整、折现率与到期收益之间的关系曲线、资本的机会成本
课程考核：了解折现率与借款、风险与税收，理解折现率与到期收益之间的关系、通胀率下的利率与实际利率，运用利率的调整与应用：年利率、年金中的折现率, 资本的机会成本
复习与思考题：课后习题
Chapter 12 Interest Rate
1. Interest rate quotes and adjustments: the effective annual rate, wrong discount rate in the annuity formula, annual percentage rates
2. Application: discount rates and loans
3. The determinants of interest rates: inflation and real versus nominal rates, investment and interest rate policy, the yield curve and discount rates
4. Risk and taxes: risk and interest rates, after-tax interest rates
5. The opportunity cost of capital
Key and difficult points: Interest rate quotes and adjustments, the yield curve and discount rates, the opportunity cost of capital
Evaluation requirements: to know discount rates and loans, risk and taxes; Understand the yield curve and discount rates, inflation and real versus nominal rates; Master discount rate in the annuity formula, annual percentage rates, the opportunity cost of capital and annual rate
Review and practice: exercises in the chapter of the textbook
25. 委托代理问题，薪酬补偿与绩效测量
4. 薪酬与激励：委托代理问题在资本预算、冒险投资、监管、薪酬补偿、绩效监管
5. 衡量与绩效汇报：经济附加值与收入剩余
6. 会计绩效衡量的偏差
教学重点、难点：委托代理产生的原因与现象、经济附加值
课程考核：了解委托代理问题，理解经济附加值与收入剩余、会计绩效衡量的偏差，掌握委托代理的原因与现象、
复习与思考题：课后习题
Chapter 13 Agency Problems, Compensation, and Performance Measurement
4. Incentives and Compensation: Agency Problems in Capital Budgeting, Risk Taking, Monitoring, Management Compensation, Incentive Compensation, Monitoring Pay for Performance
5. Measuring and Rewarding Performance: Residual Income and EVA
6. Biases in Accounting Measures of Performance
Key and difficult points: the causes resulting in Principal-agency problems and typical phenomenon, EVA
Evaluation requirements: to know Principal-agency problems; Understand EVA and surplus; Master Principal-agency causes and typical phenomenon
Review and practices: Exercises in the chapter of the textbook
26. 债券估值
5. 运用现值计算估计债券价值
a) 政府债价值
b) 息票债券价值
6. 如何根据利率为债券定价
a) 久期、波动
7. 利率期限结构
a) 利率期限结构的期望理论、通胀与利率期期限结构
b) 折现因子
c) 即期汇率、债券定价、统一价格原则
8. 名义与实际利率
a) 指数债券、实际利率、实际利率的影响因素、通胀与名义利率
教学重点、难点：久期、波动、折现因子、即期汇率、债券定价
课程考核：了解政府债价值、风险的介绍、利率期限结构的期望理论、通胀与利率期期限结构，理解指数债券、实际利率、实际利率的影响因素、通胀与名义利率、折现因子,掌握息票债券价值，熟练运用久期、波动、即期汇率、债券定价、统一价格原则
复习与思考题：课后习题
Chapter 14 Valuing Bonds
5. Using the present value formula to value bonds
a) Government bond
b) Coupon bond prices
6. How bond prices vary with interest rates
a) Duration and volatility
7. The term structure of interest rates
a) Expectations theory of the term structure, inflation and term structure
b) Discount Factor Increases—and a Digression on Money
c) Spot Rates, Bond Prices, and the Law of One Price/Measuring the Term Structure
8. Real and Nominal Rates of Interest
a) Indexed Bonds and the Real Rate of Interest, What Determines the Real Rate of Interest, Inflation and Nominal Interest Rates
Key and difficult points：duration, volatility, discount factor, spot rate, valuing bond
Evaluation requirements: to know government bond, introducing risk, Expectations Theory of the Term Structure; Understand coupon bond, real interest, the influential factors of real interests, inflation and nominal interests, and discount factor; Use the value of bond, duration, volatility, spot rate, valuing price, the law of one price.
Review and practice: Exercises in book of the chapter
27. 普通股价值
4. 普通股如何交易
5. 普通股如何估值、分红与股票价格、估计权益资本成本（包括DCF模型估计估价、持续增长公式）、现金流折现估计公司活动
6. 每股收益与股票价格：估计持续增长的现值
教学重点、难点：普通股估价、股票价值与价格、权益资本成本、现金流计算
课程考核：了解普通股的交易与相关名词、掌握普通股估值、分红、股票价格、权益成本与增长股利，熟练运用每股收益和红利分析股票价格
复习与思考题：Reedy Sports 案例分析、课后习题
Chapter 15 Valuing Common stock
3. How Common Stocks Are Traded
4. How Common Stocks Are Valued: Valuation by Comparable, Stock Prices and Dividends, Estimating the Cost of Equity Capital: Using the DCF Model to Set Gas and Electricity: Prices/Dangers Lurk in Constant-Growth Formulas
3. The Link Between Stock Price and Earnings per Share: Calculating the Present Value of Growth
Key and difficult points: valuing common stock, Stock Prices and Dividends, Estimating the Cost of Equity Capital: Using the DCF Model to Set Gas and Electricity: Prices/Dangers Lurk in Constant-Growth Formulas
Evaluation requirements: to know the trade of common stock and related terms; Master valuing common stock, dividend, stock price, cost of equity and growth dividend price of a stock; Use EPS and dividend to estimate stock price.
Review and practice: Reedy Sports case study, exercises of the chapter
28. 风险与收益
1. 了解历史数据
2. 收益与风险的测量、系统风险、特有风险
3. 投资组合
4. 投资组合的收益与风险
5. 单个资产如何影响投资组合的风险与收益
6. 多元投资与价值的增加、单个资产/资产组合与市场风险的关系
教学重点、难点：风险的测量、投资组合风险与收益的测量
课程考核：了解历史数据的意义、理解投资组合的概念、收益与风险的概念、多元化投资的概念与意义，掌握收益与风险的测量、投资组合收益与风险的测量，运用投资组合收益与风险的关系解决资产组合增加/减少某一资产的决策。
复习与思考题：课后习题，重点突出投资组合、风险与收益的估计
Chapter 16 Introduction on Risk and Return
1. Capital market history in One Easy Lesson
2. Measuring portfolio risk: Variance and standard deviation/measuring, unique risk, and systematic risk
3. Portfolio with two assets
4. Return and risk of portfolio variability/how diversification reduces risk
5. Calculating portfolio risk: the contribution of an asset to the risk and return of a portfolio, general formula for computing portfolio risk/limits to diversification
Key and difficult points: Measuring portfolio risk, portfolio and diversification
Evaluation requirements: to know the history of capital market and portfolio; Understand risk and return and the risk and return of a portfolio, diversification
Review and practice: Exercises in the chapter of the textbooks
五、其它（黑体，小四号字）
六、主要参考书（黑体，小四号字）
[1]Rachard A Brealey, Stewart C. Myers & Franklin Allen. Principles of Corporate Finance, 10th ed. 北京：机械工业出版社. 2012-01-01
[2] Palepu Krishna G. Healy Paul M & Bernard Victor L. Business Analysis & Valuation Using Financial Statement, 3rd ed. 北京：中信出版社 2002-05-01
执笔人： 张婷婷 教研室主任： 系教学主任审核签名：
《财务报表分析（英语）》教学大纲
Financial Statement Analysis
Syllabus
课程编号： Course Code: 150063B
课程类型：专业选修课
总 学 时： Hours: 48
讲课学时： Lecture Hours: 32
实验（上机）学时：Lab Hours: 16
学 分： Credits: 3
适用对象：统计学专业（国际班）
Applicable Majors: Statistics (International)
先修课程：经济学原理、会计学原理、金融学原理
Prerequisites: Principles of Economics; Principles of Accounting; Principles of Finance
一、课程的教学目标 (Targets)
财务报表分析是金融类专业本科生的专业选修课程，包括价值理论、风险、资本预算实务、融资决策与市场有效性、资金支出政策与资本结构、齐全、债务融资、风险管理、财务规划与运营资本管理、公司控制与治理等十部分。该课程对于培养学生的金融学和财务的思维方式和业务能力，提高学生的综合素质和能力有重要的意义。财务报表分析课程教学的主要目标是培养学生应用会计学和金融学的分析方法，评估企业投资决策、运营状况和风险管理。为学生后续课程的学习和未来从事相关工作打下坚实的理论和实务操作的基础。
Financial Statement Analysis is a selective field course for undergraduate students in finance major. It covers ten parts: value, risk, best practices in capital budgeting, financing decisions and market efficiency, payout policy and capital structure, options, debt financing, risk management, financial planning and working capital management, merge and corporate control. This course is meaningful that can teach students to think in finance and accounting, and improve their comprehensive ability and skill. This course focuses on application of knowledge in accounting and finance to evaluate firms’projects, operations and risk management, and pave the way for studies and works in the future.
二、教学基本要求 (Requirement)
本课程的主要内容是阐述财务报表分析的基础知识，帮助学生理解并掌握基本的财务报表分析和公司财务管理的基本技巧。本课程的主要内容包括，在价值理论部分，重点阐述净现值原理和投资决策，债券和股票估值的原理，在风险部分，重点阐述资产定价模型，在融资决策和市场有效性部分，重点阐述有效市场和公司融资和证券发行，在资本结构部分，重点阐述公司的股利和负债政策，在期权部分主要介绍期权的基本知识和定价原理，在债务融资部分，重点介绍企业的各类债务和租赁业务，在风险管理部分介绍风险管理和国际市场风险的基本知识，在营运资本管理部分重点阐述财务分析和财务计划，在公司治理部分介绍公司兼并和公司重组的基本知识。
本课程以理论结合实务操作，在课堂讲授的基础上，结合一定量的上机操作和时事政策的分析介绍，并且组织学生对现实案例进行分析，和课堂讨论。
课程的考核方式及其所占权重如下：
|出勤及作业 |20% |
|期中闭卷考试 |40% |
|期末闭卷考试 |40% |
This course mainly focuses on basic knowledge and techniques in financial statement analysis, and teaches students to understand and grasp the fundamentals in corporate finance management. This course includes the net present value principles, investment criteria, the valuation of bonds and common stocks, capital asset pricing model, efficient markets, the issuance of securities, dividends and debt policies, options and their prices, different kinds of debts and leasing, risk management, financial planning, corporate merge and restructure.
This course includes lectures and lab practice, as well as some introduction and analysis of current policies, and organizes students to do in-class discussion and case studies.
The methods of evaluation of this course and their weights are as follows:
|Attendance and Assignments |20% |
|Midterm Exam (closed) |40% |
|Final Exam (closed) |40% |
三、各教学环节学时分配 (Schedules)
教学课时分配 Schedule
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|Number |Content |Lecture Hours |Lab Hours |Others |Total |
|1 |价值理论 |8 | | | |
| |Value | | | | |
|2 |风险 |5 | | | |
| |Risk | | | | |
|3 |资本预算实务 |2 | | | |
| |Best Practices in Capital Budgeting | | | | |
|4 |融资决策与市场有效性 |7 | | | |
| |Efficient markets and behavioral finance | | | | |
|5 |资金支出政策与资本结构 |13 | | | |
| |Payout Policy and Capital Structure | | | | |
|6 |财务规划与运营资本管理 |9 | | | |
| |Financial Planning and Working Capital | | | | |
| |Management | | | | |
|7 |兼并、公司控制与公司治理 |4 | | | |
| |Mergers, Corporate Control and Governance | | | | |
|合计 | |48 | | | |
|Total | | | | | |
四、教学内容（Contents）
第一章 价值理论
Chapter One: Value
第一节 企业目标和治理
Section 1: Goals and governance of the firm
第二节 现值计算
Section 2: How to calculate present values
第三节 债券估值
Section 3: Valuing bonds
第四节 普通股的价值
Section 4: The value of common stocks
第五节 净现值与其他准则
Section 5: NPV and other investment criteria
第六节 根据净现值法则进行投资决策
Section 6: Making investment decisions with the NPV rules
教学重点、难点：该部分重点在于阐述现值的计算，包括永续年金和年金的简便计算，债券的估值和利率期限结构，普通股的估值和权益资本成本的估计，内部收益率的估算，等额年现金流量的计算。
Key Points: This part focuses on the calculation of present value, including the formula of perpetuity and annuity, the pricing on bonds, the term structure of interest rates, the valuation of common stocks, and the estimation of cost of equity capital and internal rate of return, calculation of equivalent annual cash flow.
课程的考核要求：该部分要求学生熟练掌握并运用不同条件下的现金流的现值计算，包括永续年金和年金，掌握并熟练运用债券的估值的公式，了解利率期限结构及其解释，熟练掌握并运用普通股的估值公式，掌握投资项目评估的准则，掌握内部收益率的估算和调整，掌握等额年现金流量的计算。
Requirement: The part requires students grasp and apply the calculation of present value of cash flow in different context, including perpetuity and annuity, grasp and apply the formula of bond prices, understand the term structure of interest rate and its explanation, grasp and apply the formula for common stock valuation, grasp the criteria of investment projects, grasp the estimation and adjustment of internal rate of return, grasp the calculation of equivalent of annual cash flow.
复习思考题：
1. 推导并解释年金现值的计算公式；
2. 列出几种利率期限结构的解释理论；
3. 推导并阐述内部收益率法及其调整.
Summary Problems:
1. Please derive and explain the formula of present value of annuity;
2. Please list some explanation for the term structure of interest rates;
3. Please derive and explain the calculation of internal rate of return and its adjustment
第二章 风险
Chapter Two: Risk
第一节 风险与收益概论
Section 1: Introduction to risk and return
第二节 投资组合理论和资本资产定价模型
Section 2: Portfolio theory and the capital asset model pricing
第三节 风险和资本成本
Section 3: Risk and cost of capital
教学重点、难点：本章的重点阐述投资组合的风险的计算，风险和收益的关系，资本资产定价模型及其验证，公司资本成本和权益成本的计算，确定性等职的度量。
Key Points: This part focuses on the calculation on the risk of portfolio, the relationship between risk and returns, the CAPM and its application, the calculation of cost of capital and the cost of equity, valuation by certainty equivalent.
课程的考核要求：本章要求学生熟练掌握投资组合风险的计算，推导资本资产定价模型，理解并掌握证券市场线，掌握并运用公司资本成本和权益成本的计算。
Requirement: The chapter requires students to fully grasp the calculation on the risk of portfolio, understand the relationship between risk and returns, grasp and apply the CAPM to real problems, grasp and apply the calculation of cost of capital and cost of equity.
复习思考题：
1. 描述资本资产定价模型并推导证券市场线；
2. 描述并推导确定性等值的计算
Summary Problems:
1. Please derive and explain the CAPM as well as the security market line;
2. Please describe and derive the valuation by certainty equivalent
第三章 资本预算实务
Chapter Three: Best practices in capital budgeting
第一节 项目分析
Section 1: Project analysis
第二节 投资、战略与经济租金
Section 2: Investment, strategy and economic rents
第三节 代理问题、薪酬与业绩评估
Section 3: Agency problems, compensation, and performance measurement
教学重点、难点：本部分主要介绍资本的投资过程和敏感性分析，介绍实物期权和决策树的概念，介绍经济租金和公司治理中的代理问题
Key Points: The part focuses on the introduction of investment process, and sensitivity analysis, introduce real options and decision trees, introduce economic rents and agency problems.
课程的考核要求：了解资本投资过程和敏感性分析，了解实物期权和经济租金，了解公司治理中的代理问题和激励机制。
Requirement: Understand the investment process and sensitivity analysis; understand real options and economic rents; understand the agency problems in corporate governance and incentive mechanism.
复习思考题：简要描述资本投资的敏感性分析和实物期权。
Summary Problems: Please briefly describe the sensitivity analysis of investment process and real options.
第四章 资金支出政策与资本结构
Chapter Four: Best practices in capital budgeting
1. 股利政策
Section 1: Payout Policy
2. 负债政策的重要性
Section 2: Does Debt Policy Matter?
3. 公司负债额度
Section 3: How much should a Corporation Borrow?
4. 融资与估值
Section 4: Financing and Valuation
教学重点、难点：MM理论在有税收和无税收条件下的含义；财务困境下的压力；融资选择的优先次序；WACC在估值中的应用
Key Points: Modigliani and Miller Theory with tax and without tax; Financial distress costs; Pecking Order of Financing Choices; Weighted average cost of capital and its application in valuation
课程的考核要求：了解分红政策的基本事实；了解MM理论在不同税务环境下的含义；了解公司税，个人税以及财务困境下的压力；了解融资选择的有限次序；能够应用WACC方法进行估值。
Requirement: Understand the basic facts about payout policy; understand the Modigliani and Miller proposition under tax condition and without tax condition; Understand corporate taxes, personal taxes and the cost of Financial Distress; Understand Pecking order of financing choices; Apply Weighted Average Cost of Capital to value business
复习思考题：简述关于红利派发的争论；简述MM理论；简述融资选择的有限次序；用WACC方法进行估值
Summary Problems: To explain the payout controversy; to explain the MM theory under different conditions; to describe the pecking order sequence; to conduct middle level valuation via WACC
第五章 财务规划与运营资本管理
Chapter 5 Financial Planning and Working Capital Management
1. 财务分析
Section 1 Financial Analysis
2. 财务计划
Section 2 Financial Planning
3. 营运资本管理
Section 3 Working Capital Management
教学重点、难点：通过报表分析公司表现；解读财务比率；了解短期及长期融资计划
Key Points: Performance analysis via Financial Statement and ratio analysis; Short term and long term financial planning;
课程的考核要求：通过报表进行公司表现分析，效率状况分析，财务杠杆分析，流动性分析；了解营运资本管理中的现金管理和存货管理
Requirement: Be able to conduct performance analysis, efficiency analysis leverage analysis, and liquidity analysis via Financial Statement; Interpret ratios; Understand short term and long term financing plan; Understand cash, inventories and marketable securities in the working capital management
复习思考题：分析某一公司财务报表；解释短期融资计划和长期融资计划；阐释营运资本管理中的存货管理
Summary Problems: Perform financial statement analysis; interpret contents of short term and long term financial planning; explain inventories in the working capital management
第六章 兼并与公司治理
Chapter 6 Mergers and Corporate Governance
1. 兼并
Section 1 Merge
2. 公司重组
Section 2 Corporate Restructuring
教学重点、难点：兼并的动机；兼并收益及成本估计；私募股权和破产
Key Points: Motive for Mergers; Estimating merger gains and costs; Private Equity and Bankruptcy
课程的考核要求：了解兼并的合理动机；估计兼并的收益及成本；了解杠杆收购，私募股权，公司破产；
Requirement: Understand the motivation for merger; Estimating gains and costs in merger; Understand leverage buyouts, Private equity and bankruptcy
复习思考题：估计某个兼并案例的收益及成本
Summary Problems: estimating the gains and costs given a merger case
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
[1] Principles of Corporate Finance by Brealey, Myers and Allen, McGraw-Hill Irwin, 11th edition, 2013.
[2] Corporate Finance by Ross, Westerfield and Jaffe, McGraw-Hill Irwin, 10th edition, 2012.
执笔人： 苏立、黎菁 教研室主任： 系教学主任审核签名：
《金融理财学(CFA专题)》教学大纲
Financial Planning (CFA Topic) Course Outline
课程编号：150072B
课程类型：专业选修课
总 学 时：32 讲课学时：32 实验（上机）学时：0
学 分：2
适用对象：金融学（金融经济）
先修课程：财务报表分析，金融学原理
Course Code：150062B
Course Type：Discipline Elective Course
Periods：32 Lecture：32 Experiment：0
Credits：2
Target Students：Finance（Finance and Economics Experiment Class）
Pre-requisite：Financial Statement Analysis, Fundamentals of Finance
1. 课程的教学目标
《金融理财学（CFA专题）》是2014级金融学（金融经济）专业一门专业选修课。本课程特色在于课程教学大纲与CFA一级考试契合，学生在学习完本课程之后，可以达到CFA一级考试对股权类产品投资，固定收益证券，衍生产品，其他类产品投资，以及投资组合管理等考点的要求。本课程要求学生掌握并且熟练运用适用于理财的金融产品的性质，特点以及估值方法。同时，学生需要了解不同金融产品所对应的风险。最后，学生需要理解使用投资组合进行风险分散的原理以及理解不同的理财客户群体对风险与回报的不同要求，并能够为客户书写合适的投资政策声明(IPS)。
1. Course Scope
This course is a major elective in Financial Economics program conducted by ISEM. The contents of this course exactly match the learning objectives of CFA level 1 examination topics including equity investments, fixed income securities, derivatives, alternative investments and portfolio management. Therefore, students completing this course successfully should be able to take the CFA level 1 exam without making additional efforts on above mentioned topics.
This course requires students to understand the characteristics, risk exposures, and valuation methods of those financial instruments which are commonly used in financial planning process. Moreover, students are required to understand basic portfolio management procedures and to be able to construct investment portfolios for potential clients according to their specific required returns and risk tolerance levels. Last but not least, students are required to be able to write Investment Policy Statement (IPS) for their potential clients.
二、教学基本要求
本课程由理论课与习题课两大部分组成，采用交互教学模式，理论课由老师主讲，并鼓励学生积极参与课堂讨论。习题课由学生分组主讲（必须使用英文），老师在学生讲解过程中积极引导台下学生参与习题讨论，并对学生提出的解题方法与观点给予点评。
本课程对老师的要求在于认真备课，精讲CFA一级考试的重要考点，并以现实中的实际案例与理论相结合，加深学生对所学内容的理解。对学生的要求在于积极参与课堂讨论，勇于发表自己观点，并努力提高自己英语听力，阅读以及口语水平。
考核方式
| |权重 |个人/分组 |
|平时成绩 |30% |混合 |
|1. 课堂测验 |10% |个人 |
|2. 分组习题课演讲 |10% |分组 |
|2. 课堂参与 |10% |个人 |
|期末考试 (2小时闭卷考试) |70% |个人 |
|总计 |100% | |
2. Course Requirements
While the traditional method of education primarily focuses on the delivery of facts and ideas by the instructor but ignores the facts and ideas generated by the students, this course adopts an Engaged Learning method. In the lecture class, instructor is responsible for knowledge delivery and students are encouraged to actively participate in the discussion. In the tutorial class, students are formed in groups and each group will prepare the slides and present one set of tutorial questions in English. Instructor provides proper comments on solutions and statements from presenters during the tutorial and other audients should actively participate in the discussion of questions.
To increase the efficiency of the class, instructor is required to prepare for the class carefully and to support any theory with practical examples. Students are required to bravely share their opinions with others during the class and to improve their English skills.
Course Assessment
|Components |Weight |Individual/Group |
|Coursework |30% |Mixed |
|1. In-Class Quiz |10% |Individual |
|2. Tutorial Presentation |10% |Group |
|2. Class Participation |10% |Individual |
|Final Exam (2-hour Closed-book) |70% |Individual |
|Total |100% | |
三、各教学环节学时分配
3. Topics Allocation
教学课时分配 (Course Schedule)
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|No. |Content |Lecture |Experiment |Others |Total |
|1 |金融市场与金融产品指数 |2 |0 |0 |2 |
| |Financial Markets and Securities Indices | | | | |
|2 |股权类投资产品与估值 |7 |0 |0 |7 |
| |Equity Securities and Valuation | | | | |
|3 |固定收益类投资产品与估值 |8 |0 |0 |8 |
| |Fixed Income Securities and Valuation | | | | |
|4 |金融衍生类投资产品与估值 |4 |0 |0 |4 |
| |Derivatives Securities and Valuation | | | | |
|5 |其他类投资产品与估值 |3 |0 |0 |3 |
| |Alternative Investments and Valuation | | | | |
|6 |投资组合管理与IPS |8 |0 |0 |8 |
| |Portfolio Management and IPS | | | | |
|合计 | |32 |0 |0 |32 |
|Total | | | | | |
四、教学内容
4. Contents
第一章 金融市场与金融产品指数
第一节 金融市场组织与结构
1. 金融市场与金融产品的分类
2. 金融中间机构的角色与作用
3. 金融产品的交易方法
4. 一级市场与二级市场的作用与异同
5. 金融市场监管措施
第二节 金融产品指数
1. 金融产品指数的类型
3. 股票指数的构建
4. 股票指数的不同计算方法
5. 固定收益证券指数介绍
6. 其他类产品指数介绍
教学重点、难点：对金融市场以及金融产品类型的了解，以及掌握各种类型的金融产品指数的构建方法以及异同。
课程的考核要求：了解
Part 1: Financial Markets and Securities Indices
Session 1: Organization and Structure of Financial Markets
1. Types of financial markets and financial instruments
2. Role of financial intermediates
3. Trading of financial instruments
4. Primary and secondary markets
5. Governance of financial markets
Session 2: Financial Instruments Indices
1. Types of securities indices
2. Construction of equity indices
3. Computing equity indices
4. Basics on fixed income securities indices
5. Other securities indices
Key Points: Understand different types of financial markets and instruments. Understand the construction methods of different securities indices.
第二章 股权类投资产品与估值
第一节 股权类产品概览
1. 股票特性
2. 优先股与普通股
3. 上市公司与非上市公司股票异同
4. 股票投资中的风险
5. 股权融资与要求回报率
第二节 行业分析与基本面分析
1. 行业分类
2. 行业分析方法
3. 行业周期
4. 基本面分析方法
5. 基本面分析与行业分析的关联
第三节 有效市场理论
1. 股票的市场价格与内生价格
2. 影响市场有效性的因素
3. 市场有效性的三种形式
4. 市场异常与行为分析
第四节 股权投资类产品估值 (I)
1. 股票价值的低估与高估
2. 基本股票估值模型原理
3. 优先股估值模型
4. 股息折现模型
5. 股息增长率的计算原理
6. 多阶股息折现模型
第五节 股权投资类产品估值 (II)
1. 自由现金流模型
2. 自由现金流的计算
3. 股价乘数模型
4. 各类估值模型的优缺点及应用
第六节 习题课 (I)
1. 第一节至第三节习题
第七节 习题课 (II)
1. 第四节至第五节习题
教学重点、难点：了解股权类投资产品的特性与风险，掌握行业分析与基本面分析的方法，理解有效市场理论以及市场中存在的异常现象，理解各种估值模型并熟练运用。
课程的考核要求：运用
Part 2: Equity Securities and Valuation
Session 1: Overview of Equity Securities
1. Characteristics of equity securities
2. Preferred and common stocks
3. Public and private stocks
4. Risks involved in equity investments
5. Equity financing and required returns
Session 2: Industry and Firm Level Analysis
1. Industry classification
2. Industry analysis method
3. Industry cycle
4. Firm analysis method
5. Relation between industry and firm analysis
Session 3: Efficient Market Hypothesis
1. Market price and intrinsic value
2. Factors affecting market efficiency
3. Forms of market efficiency
4. Market anomalies and behavior analysis
Session 4: Valuation of Equity Securities (I)
1. Mispricing of equity
2. Valuation model of common stock
3. Valuation model of preferred stock
4. Dividend discount model
5. Computing dividend growth rate
6. Multi-stage dividend discount model
Session 5: Valuation of Equity Securities (II)
1. Free cash flow model
2. Computing free cash flows
3. Price multiplier
4. Advantages and disadvantages of valuation models
Session 6: Tutorial (I)
1. Tutorial questions on session 1 to 3
Session 7: Tutorial (II)
1. Tutorial questions on session 4 to 5
Key Points: Understand characteristics and risks of equity securities. Master the methods used to conduct industry and firm level analysis. Understand the efficient market hypothesis. Understand and be able to use different equity valuation models.
第三章 固定收益类投资产品与估值
第一节 固定收益类产品概览
1. 固定收益证券特征
2. 债务契约形式
3. 法律法规对债券发行与交易的影响
4. 债券现金流结构
5. 含权债券性质与特征
第二节 固定收益证券的发行与交易
1. 国际债券市场的分类
2. 债券市场的基准利率
3. 债券发行机制
4. 债券交易方式
5. 政府债券与公司债券
6. 短期债券融资
第三节 固定收益证券估值 (I)
1. 债券价格的计算
2. 利率期限结构与即期利率
3. 债券报价，成交价与应计利息
第四节 固定收益证券估值 (II)
1. 浮动利率债券与货币市场工具估值
2. 含权债券估值
3. 远期利率
4. 收益率溢价
第五节 资产抵押债券
1. 资产证券化与金融市场
2. 资产证券化流程
3. 住房贷款与住房抵押债券
4. 提前还款风险
5. 抵押担保债务证券
第六节 固定收益证券的风险与回报
1. 债券回报的来源
2. 修正久期与有效久期
3. 关键利率久期
4. 凸性
第七节 习题课 (I)
1. 第一节至第三节习题
第八节 习题课 (II)
1. 第四节至第六节习题
教学重点、难点：了解固定收益类投资产品的特性与风险，了解固定收益证券的发行与交易机制，掌握并熟练运用固定收益证券估值方法，理解资产证券化流程以及住房抵押债券性质，理解住房抵押债券的提前还款风险，掌握修正久期，有效久期以及关键利率久期的计算方法并运用久期与凸性估算债券价格变动。
课程的考核要求：运用
Part 3: Fixed Income Securities and Valuation
Session 1: Overview of Fixed Income Securities
1. Characteristics of fixed income securities
2. Bond indentures
3. Effects of regulations on bond issuing and trading
4. Cash flow structures of bonds
5. Characteristics of bonds with embedded options.
Session 2: Issuance and Trading of Fixed Income Securities
1. Classification of global bond markets
2. Benchmark interest rate of bond markets
3. Bond issuance mechanics
4. Trading of bonds
5. Sovereign bonds and corporate bonds
6. Short-term debt financing
Session 3: Valuation of Fixed Income Securities (I)
1. Computing bond price
2. Term structure and spot rates
3. Quoted price, invoiced price, and accrued interest
Session 4: Valuation of Fixed Income Securities (II)
1. Valuation of floating-rate bonds and money market instruments
2. Valuation of bonds with embedded options
3. Forward rates
4. Yield spreads
Session 5: Asset-Backed Securities
1. Securitization and financial markets
2. Securitization process
3. Mortgage loans and mortgage-backed securities
4. Pre-payment risk
5. Collateralized debt obligations.
Session 6: Risk and Return of Fixed Income Securities
1. Sources of bond’s total return
2. Modified duration and effective duration
3. Key rate duration
4. Convexity
Session 7: Tutorial (I)
1. Tutorial questions on session 1 to 3
Session 8: Tutorial (II)
1. Tutorial questions on session 4 to 5
Key Points: Understand the characteristics and risks of fixed income securities. Understand the issuance and trading mechanism of bonds. Master and be able to use valuation methods of fixed income securities. Understand mortgage-backed securities and prepayment risk. Master the calculation of modified, effective, and key rate durations and be able to use them to approximate the percentage change of bond price corresponding to the change of yield, together with convexity.
第四章 金融衍生类投资产品与估值
第一节 金融衍生品市场与工具
1. 衍生产品的特征与交易场所
2. 远期与期货的异同
3. 期权，互换，以及信用衍生品的性质
4. 衍生产品的作用
第二节 金融衍生产品定价 (I)
1. 远期与期货的定价
2. 互换的定价
3. 期权的定价
第三节 金融衍生产品定价 (II)
1. 期权交易策略
2. 期权交易策略与风险管理
第四节 习题课
1. 第一节至第三节习题
教学重点、难点：了解金融衍生类产品的特征与种类，掌握并运用不同种类的金融衍生产品的定价原理与方法，掌握实用金融衍生产品进行风险管理的方法。
课程的考核要求：运用
Part 4: Derivative Instruments and Valuation
Session 1: Derivative Markets and Instruments
1. Characteristics of derivatives and their trading places
2. Forwards and futures
3. Options, swaps and credit derivative securities
4. Application of derivatives
Session 2: Valuation of Derivatives (I)
1. Pricing of forwards and futures
2. Pricing of swaps
3. Pricing of options
Session 3: Valuation of Derivatives (II)
1. Option strategies
2. Option strategies and risk management
Session 4: Tutorial
1. Tutorial questions on session 1 to 3
Key Points: Understand different types of derivatives and their characteristics. Master and be able to price different derivative securities. Be able to use derivatives to manage risks.
第五章 其他类投资产品与估值
第一节 其他类投资产品
1. 其他类投资产品与传统投资产品区别
2. 其他类投资产品种类
3. 对冲基金与共同基金异同
4. 其他类投资产品的风险
第二节 其他类投资产品回报率
1. 对冲基金与PE的回报率
2. 房地产投资回报率
3. 商品与基建投资回报率
4. 其他类投资产品的风险管理
第三节 习题课
1. 第一节至第二节习题
教学重点、难点：了解其他类投资产品的特点，风险与种类。理解对冲基金与共同基金的异同。掌握其他类投资产品回报率的计算方法。
课程的考核要求：运用
Part 5: Alternative Investments and Valuation
Session 1: Alternative Investments
1. Difference between alternative and traditional investments
2. Types of alternative investments
3. Hedge funds and mutual funds
4. Risks of alternative investments
Session 2: Return of Alternative Investments
1. Return of hedge fund and private equity
2. Return of real estate
3. Return of commodities and infrastructure
4. Risk management of alternative investments
Session 3: Tutorial
1. Tutorial questions on session 1 to 2
Key Points: Understand the characteristics, risks, and types of alternative investments. Understand the difference between hedge fund and mutual fund. Master and be able to calculate returns of alternative investments.
第六章 投资组合管理与IPS
第一节 投资组合管理概览
1. 投资组合视角
2. 投资者的种类与特征
3. 投资组合管理的流程
第二节 投资组合与风险管理
1. 风险管理介绍
2. 风险管理框架
3. 风险承受力与风险管理
4. 风险类型与特征
5. 风险衡量指标
第三节 投资组合风险与回报 (I)
1. 回报率计算方法
2. 回报率的均值，方差与协方差
3. 有效前沿理论
第四节 投资组合风险与回报(II)
1. 投资者的效用
2. 最优投资组合
3. 资产配置线 CAL
4. 资本市场线 CML
第五节 投资组合风险与回报(III)
1. 系统性风险与非系统性风险
2. CAPM与SML
3. 投资组合盈利评估
第六节 投资策略说明书
1. 理想回报与预期回报
2. 承受风险意愿与能力
3. 投资期
4. 流动性需求
5. 税收与法律要求
6. 特殊情况说明
第七节 习题课 (I)
1. 第一节至第三节习题
第八节 习题课 (II)
1. 第四节至第六节习题
教学重点、难点：理解投资组合管理的基本原则，理解有效前沿的构建，理解最优投资组合的寻求，理解CAL与CML的异同，理解CAPM模型的假设与应用，理解SML的应用，了解IPS的基本写作规范。
课程的考核要求：运用
Part 6: Portfolio Management and IPS
Session 1: Overview of Portfolio Management
1. Portfolio Perspective
2. Different types of investors
3. Portfolio management procedures
Session 2: Portfolio and Risk Management
1. Introduction to risk management
2. Framework of risk management
3. Risk tolerance and management
4. Types of risks
5. Risk measures
Session 3: Portfolio Risks and Returns (I)
1. Return measures
2. Mean, variance and covariance
3. Efficient frontier
Session 4: Portfolio Risks and Returns (II)
1. Utilities of investors
2. Optimal portfolio
3. Capital allocation line
4. Capital market line
Session 5: Portfolio Risks and Returns (III)
1. Systematic and unsystematic risk
2. CAPM and SML
3. Portfolio performance valuation
Session 6: Investment Policy Statement
1. Desired return and expected return
2. Risk taking willingness and ability
3. Investment horizon
4. Liquidity requirements
5. Tax and legal consideration
6. Unique circumstances
Session 7: Tutorial (I)
1. Tutorial questions on session 1 to 3
Session 8: Tutorial (II)
1. Tutorial questions on session 4 to 6
Key Points: Understand basic principles of portfolio management. Understand the construction of efficient frontier. Understand identification of optimal risky portfolio. Understand the difference between CAL and CML. Understand the assumptions and applications of CAPM and SML. Understand the standards of investment policy statement.
五、主要参考书
5. Reference Books
[1]2016 Kaplan Schweser Study Notes Book 3
[2]2016 Kaplan Schweser Study Notes Book 4
[3]2016 Kaplan Schweser Study Notes Book 5
执笔人：庞蔡吉 教研室主任： 系教学主任审核签名：
《中国经济前沿（英语）》教学大纲
The Frontier of Chinese Economy
Syllabus
课程编号： Course Code: 150082B
课程类型：专业选修课
总 学 时：Hours: 32
讲课学时：Lecture Hours: 32
实验（上机）学时：Lab Hours: 0
学 分：Credits: 2
适用对象：金融学（金融经济）
Applicable Major: Finance
先修课程：
经济学原理，中级微观经济学，中级宏观经济学
Prerequisites: Principles of Economics, Principles of Accounting
一、课程的教学目标（Goals）
中国经济前沿是经济、金融类专业本科生的专业选修课程，包括中国宏观经济分析和当代中国金融市场研究。该课程的教学对于培养学生经济学思维方式，实际运用所学理论知识，提高学生综合素质有着重要意义。本课程教学的主要目标是培养学生运用所学的经济金融学的知识和分析方法，针对我国经济发展的热点问题，构建宏观经济的分析框架，从而合理的观察、分析并预测我国经济的发展，为后续课程的学习和未来走向工作岗位打下坚实的基础。
The frontier of Chinese economy is a major selective course for undergraduate students in Finance and Economics, which covers the analysis of Chinese macroeconomics and financial markets. This course can help students to built up the way of thinking as economists and apply their knowledge in economics and finance, so as to improve their comprehensive ability. The main purpose of this course is teach students to use their knowledge and skills to form the framework to analyze the Chinese economy, and get a solid and sound understanding, which is helpful for their future study and work.
二、教学基本要求（Requirement）
本课程的主要内容是介绍我国当年经济运行的热点问题，帮助学生更好地理解当前经济发展的状况，并对未来我国宏观经济走势有合理的判断，以及代表性行业的发展前景预测。本课程首先回顾近二十年来的中国宏观经济运行的历史，重点阐述我国的宏观经济政策和经济运行周期，包括人口结构分析，经济增长周期，经济结构分析，人民币汇率和通货膨胀的回顾，产能周期的分析，并重点介绍资产重估理论。本课程的后半部分将针对我国经济增长、制造业、房地产业和利率市场化等课题展开详细讨论，最后分析并预测未来我国经济增长的展望。
本课程的考核方式及其所占权重如下：
出勤及作业： 20%
期中闭卷考试： 40%
期末闭卷考试： 40%
This course is mainly focuses on hot topics in the current Chinese economy, and help students better understand the development of Chinese economy, then have a solid and sound forecasting on the macro-economy and some typical sectors. This course first reviews the economic development in recent decades, especially on the economic policies and business cycles, which covers the population structure, economic growth, economic structure, foreign exchange rate and inflation, production capacity cycles, and then ends up with the asset re-evaluation theory. In the second half of this course, we cover some topics such as economic growth, manufacturing sector, real estate sector, and financial sector, and finally discuss and forecast the economic development in the future.
The evaluation of this course is as follows:
Attendance and assignments: 20%
Midterm Exam (Closed Book): 40%
Final Exam (Closed Book): 40%
三、各教学环节学时分配（Schedule）
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|Number |Content |Lecture |Lab |Others |Total |
|1 |经济学的研究方法和思路 |1 | | | |
| |Methodology in economic research | | | | |
|2 |宏观经济分析新思路 |2 | | | |
| |New way to analyze the macroeconomic | | | | |
|3 |人口结构分析 |2 | | | |
| |Population structure | | | | |
|4 |经济增长周期回顾 |2 | | | |
| |Economic growth cycle | | | | |
|5 |经济结构的平衡 |2 | | | |
| |Economic structure | | | | |
|6 |货币与人民币汇率 |3 | | | |
| |Currency and foreign exchange rate | | | | |
|7 |通货膨胀再分析 |2 | | | |
| |Inflation | | | | |
|8 |产能周期再观察 |2 | | | |
| |Output cycle | | | | |
|9 |资产重估理论 |2 | | | |
| |Asset re-evaluation | | | | |
|10 |案例分析 |2 | | | |
| |Case study | | | | |
|11 |我国经济增长奇迹的回顾 |2 | | | |
| |Chinese miracle | | | | |
|12 |制造业的再分析 |2 | | | |
| |Manufacturing sector | | | | |
|13 |房地产行业简介 |4 | | | |
| |Real estate sector | | | | |
|14 |利率市场化简介 |2 | | | |
| |Interest rate liberalization | | | | |
|15 |我国经济增长展望 |2 | | | |
| |Economic forecast | | | | |
| | | | | | |
|合计 | |32 | | | |
|Total | | | | | |
四、教学内容（Content）
第一章 经济学的研究方法
Chapter 1: The Methodology in Economics
第一节 供给与需求
Section 1: Supply and Demand
第二节 长期与短期
Section 2: Long Term and Short Term、
第三节 人口结构分析
Section3: Population structure Analysis
第四节 经济增长周期回顾
Section 4: Review on Business Cycles
教学重点、难点：本章重点是从人口结构的角度来构建宏观经济的分析框架，并以此为基础回顾我国近年来的经济周期。
课程的考核要求：本章要求学生掌握如何从人口结构的角度分析经济周期。
复习思考题：请从人口结构的角度分析我国近10年来的经济周期
Key Points: This chapter focuses on the analysis framework from the structure of population and uses it to explain the business cycles in Chinese economy in recent decades.
Requirement: This chapter requires students to understand and grasp the analysis framework from the perspective of population structure.
Summary Problems: Please explain the business cycles in recent decades from the analysis framework introduced in class.
第二章 经济结构的平衡
Chapter 2: Balance of Economic Structure
第一节 经济结构的平衡与失衡
Section 1: Balance and imbalance in economic structure
第二节 企业对居民部门的挤压
Section 2: Crowd out from private sector
第三节 政府对居民部门的挤压
Section 3: Crowd out from government
第四节 居民部门的贫富差距
Section 4: Inequality in household sector
教学重点、难点：本章重点是以人口结构理论为基础，从居民消费的角度阐述经济结构的失衡，并且阐述私人部门和政府对居民消费的挤压，造成的经济周期的变动。
课程的考核要求：本章要求学生掌握从居民消费的角度解释我国经济周期的变动，理解并掌握私人部门和政府部门对居民消费的挤压造成的影响。
复习思考题：请解释私人部门和政府部门对居民消费的挤压造成的后果。
Key Points: This chapter focuses on the household consumption fluctuation from the perspective of population, and then further discusses the consequences of crowding out effects from private sector and government sector.
Requirement: This chapter requires students to explain the business cycles and consumption fluctuation in Chinese economy from the perspective of household and population structure.
第三章 货币与人民币汇率
Chapter 3: Currency and Exchange Rates
第一节 货币的储值功能
Section1: Deposit of currency
第二节 影子银行
Section 2: Shadow Banks
第三节 汇率与贸易差额
Section 3: Exchange Rates and Current Account
第四节 汇率与资本账户
Section 4: Exchange Rates and Capital Account
教学重点、难点：本章重点介绍货币的储值功能，并讨论影子银行的作用和影响，进一步阐述汇率和贸易差额和资本账户之间的关系。
课程的考核要求：本章要求学生理解货币的储值功能，了解影子银行的影响，掌握汇率和贸易差额和资本账户之间的关系。
复习思考题：请简要阐述汇率、贸易差额和资本账户之间的关系，并解释进0年来我国国际贸易市场变动。
Key Points: This chapter mainly focuses on the introduction of saving function of currency and the effects of shadow banks, and explains the relationship among exchange rates, current accounts and capital accounts.
Requirement: This chapter requires students to understand the saving function of currency and shadow banks, and to understand the relationship among exchange rates, current accounts and capital accounts.
Summary Problem: Please explain the relationship among exchange rates, current account, and capital account, and further explain the fluctuation in international trade markets in recent decades.
第四章 通货膨胀再分析
Chapter 4： Re-Analysis on Inflation
第一节 可贸易部门的通货膨胀
Section 1: Inflation in Tradable Sectors
第二节 食品类通货膨胀
Section 2: Inflation in Food Sector
第三节 不可贸易部门的通货膨胀
Section 3: Inflation in Non-Tradable Sectors
教学重点、难点：本章的重点阐述我国近20年来的通货膨胀历史，并且分部门讨论通货膨胀背后的驱动因素。
课程的考核要求：本章要求学生能够掌握我国当代的通货膨胀历史，并且区分不同部门的通货膨胀的特点。
复习思考题：请指出我国可贸易部门和不可贸易部门通货膨胀周期的不同特点及其成因。
Key Points：This chapter mainly focuses on the review of the history of inflation history in recent decades, and discusses the underlying factors, which difference between tradable sectors and non-tradable sectors.
Requirement: Grasp the history of inflation history and explain the factors which drive the inflation in different sectors.
Summary Problems: Please explain the factors which drive the inflation in tradable sectors and non-tradable sectors.
第五章 产能周期再观察
Chapter 5: Discussion on Output Cycle
第一节 资本约束
Section 1: Capital Constraint
第二节 国际收支下的分析
Section 2: Analysis in Open Economy
第三节 历史案例分析
Section 3: Case Studies
教学重点、难点：本章重点阐述在国际收支背景下的我国产能周期的分析，以及2005-2007年的周期和2008-2012年周期的异同
课程的考核要求：掌握开放宏观框架下的产能周期分析，掌握近年来两次产能周期的异同
复习思考题：请分析比较2005-2007年的产能周期和2008-2012年的产能周期。
Key Points: This chapter focuses on the output cycle analysis in the context of open economy, and compares two cycles in recent decade.
Requirement: This chapter requires students to understand and apply the methodology to analyze the output cycles in open economy.
Summary Problems: Please compare two output cycles 2005-2007 and 2008-2012.
第六章 资产重估理论
Chapter 6: Asset Pricing Theory
第一节 资产配置的约束
Section 1: Constraints on Asset Allocation
第二节 资产配置的优化
Section 2: Optimization on Asset Allocation
第三节 从资产负债表看资产配置
Section 3: Asset Allocation from Balance Sheets
教学重点、难点：本章的重点是从资产负债表出发阐述资产配置模型，进而从加总的层面构造宏观的资产配置的分析框架，并且在开放宏观经济的条件下讨论我国近20年来的经济周期
课程的考核要求：本章要求学生掌握开放经济下的资产配置模型，并以此分析我国近年来的经济周期
复习思考题：复述开放经济条件下的资产配置模型，并以此解释近年来权益市场的估值变化。
Key Points: This chapter focuses on the asset allocation model based on the balance sheets, and then builds up the framework of aggregated asset allocation, and discusses business cycles in recent decades.
Requirement: This chapter requires students to understand and grasp the asset allocation model and use it to analyze the business cycle in recent 20 years.
Summary Problems: Please explain the asset allocation model and apply it to the business cycle in Chinese economy.
第七章 案例分析
Chapter 7： Case Studies
第一节 货币扩张的案例
Section 1: Monetary Expansion
第二节 总需求扩张的案例
Section 2: Aggregated Demand Expansion
第三节 总需求收缩的案例
Section 3: Aggregated Demand Contraction
教学重点、难点：本章重点是以近20年来我国货币政策和总需求变动周期，并从资产配置的角度加以解释。
课程的考核要求：本章要求学生掌握近二十年来我国经济发展中的货币政策的变动和总需求的周期性变化。
复习思考题：请从资产配置的角度解释我国近二十年来的总需求的变动。
Key Points: This chapter focuses on the monetary policies and aggregated demand fluctuation in recent decades in Chinese economy and explains these phenomena from the theory of asset allocation.
Requirements: This chapter requires students to grasp and understand the monetary policies and aggregated demand fluctuation in Chinese economy and to explain from the perspective of asset allocation.
Summary Problems: Please give an explanation on the aggregated demand fluctuation from the perspective of asset allocation.
第八章 经济增长及行业专题研究
Chapter 8： Economic Growth and Industry Topics
第一节 中国经济增长的奇迹
Section 1: The miracle of Chinese economic growth
第二节 制造业
Section 2: Manufacturing
第三节 房地产行业
Section 3: Real Estates Sector
第四节 资本市场
Sector 4: Capital Market
第五节 经济增长展望
Sector 5: Forecast on the development of Chinese economy
教学重点、难点：本章重点是运用之前阐述的开放经济下宏观分析框架讨论不同行业的商业周期和发展前景
课程的考核要求：本章要求学生掌握驱动我国经济增长奇迹的因素，掌握几个代表性行业的商业周期和未来发展展望。
复习思考题：
1. 比较分析制造业和房地产行业的近年来的发展的周期；
2. 指出中国经济增长奇迹的几个因素并分析未来发展前景
Key Points: This chapter focuses on the application of the analysis framework before to study the macro economic growth and typical sectors in Chinese economy.
Requirement: This chapter requires students to understand and grasp the underlying factors that drive the Chinese economy growth, and understand the development in some typical sectors and their development in the future.
Summary Problems:
1. Please compare the development in manufacturing sector and real estate sector;
2. Please list some factors that drive the Chinese economy development and analyze the development in the future.
六、主要参考书（Textbooks）
吴敬琏．《Economists’ Analysis of China’s Economic Transformation》．北京：外文出版社．2012年8月
执笔人： 苏立 教研室主任： 系教学主任审核签名：
《固定收益证券》教学大纲
“Fixed Income Securities” Syllabus
课程编号：150092B
课程类型：专业选修课
总 学 时：32 讲课学时：32 实验（上机）学时：0
学 分：2
适用对象：金融学（金融经济）
先修课程：无
Course code: 150092B
Course Type: Optional field course
Credit hours: 32 Lectures: 32 Practice: 0
Credits: 2
Major: Finance（Finance and Economics Experimental Class）
Prerequisite: None
一、课程的教学目标（Learning objective）
固定收益证券是金融类专业本科生的专业课。其在行业内的重要性体现在以下三点：第一，目前是全球交易的金融资产中固定收益证券比重最大。其次，机构投资者，比如银行、养老基金或是共同基金所设计的投资组合中固定收益证券和利率的衍生工具占比最大。最后，理解利率的变化并对其建模是实行好的风险管理的重要前提。该课程的教学对培养与训练学生金融学思维方式，提高其综合素质和能力有非常重要的意义。本课程教学的主要目标是培养学生掌握固定收益类证券的基本理论知识，使学生能够将所学知识应用到将来所从事的金融证券行业的工作中去，或为本科以后阶段的学习打下坚实的理论基础。
Fixed income securities is a field course in Finance major. The course is an important course for three reasons. First, fixed income securities constitute by far the largest portion of globally traded assets. Institutional investors, such as banks, pension funds or mutual funds, have most of its trading portfolio composed of fixed income securities (treasury bills and bonds) and interest rate derivatives. Second, in developed financial markets, a significant part of capital for business is raised through issuing of corporate bonds. Last, but not least, proper understanding of changes in the interest rates and the ability to model them is a prerequisite for a good risk management. The instruction of fixed income securities plays very important role in building up students’ thinking as a practitioner in finance industry for the learners, and improving their comprehensive abilities to work and study. The aim of this course is to help student understand the basic theories and knowledge of fixed income securities, and apply the knowledge in this course to their future work in finance industry; or be well prepared for their future study in this field.
二、教学基本要求（Teaching requirements）
（一）教学内容 (teaching materials)
这门课主要覆盖了以下十部分内容：(1)固定收益证券的概念、债券的种类。(2)债券发行市场、流通市场、债券交易、债券评级。(3)货币的时间价值、债券价值、复杂情况下债券价值等的计算。(4)债券收益率。(5)凸性和久期的概念，票面利率大小、到期时间、初始收益率与债券价格波动的关系。(6)名义利率决定理论、利率期限结构理论。(7)利率期货、利率期权、利率掉期。(8)利率衍生工具的定价。(9)可转换债券定价与收益分析。(10)债券投资组合管理策略。
The course covers (1) the concept of fixed-income securities, types of bond. (2) bond issue market, secondary market, bond trading, bond rating. (3) the time value of money, bonds’ value, the calculation of bond value under complex conditions. (4) bonds yields. (5) concept of convexity and duration, relationship of the coupon rate, maturity time, initial yield to bond price volatility. (6) the theory on nominal interest rate decision, on the interest rate term structure. (7) interest rate futures, interest rate options, interest rate swaps. (8) pricing of interest rate derivatives. (9) the analysis of convertible bond’s pricing and yield. (10) Bond portfolio management strategies.
（二）教学方法和手段
这门课理论性较强，以理论教授为主，学生练习为辅。同时安排“读、写、议”课堂以便学生能够深入理解基本原理；组织学生分组进行主题课堂讨论。
The course is mainly theoretical. The main teaching technique will be lecturing companied by students’ tutorial presentation. The class will involve reading, writing and discussion to help students fully understand the course materials. In-class group presentation will also be important parts of the course.
（三）考核方式 (Assessment and Grading)
该科满分一百，由以下各部分按不同权重组成。
The total score is 100，the weight of different parts is as followed.
|类别 (Components) |权重 (Weight) |
|平时成绩 (Coursework) |30% |
|1. 随堂小测验 (In-Class Quiz) |15% |
|2. 课堂讲演 (Tutorial Presentation) |15% |
|闭卷期末考试 (Final Exam) |70% |
|总共 (Total) |100% |
三、各教学环节学时分配（Course schedule）
教学课时分配 Class schedule
|章节内容 |讲课 |实验 |其他 |合计 |
|Contents |Lecture (hours) |Practice |Other |Total |
| | |(hours) |(hours) |(hours) |
|货币的时间价值 |2 | | |2 |
|Time Value of Money | | | | |
|固定收益证券及其市场概述 |2 | | |2 |
|Introduction to Fixed Income Securities and Markets | | | | |
|债券定价及收益率 |2 | | |2 |
|Bond Price and Yield | | | | |
|债券价格波动及其衡量指标 |2 | | |2 |
|Bond Price Volatility | | | | |
|利率的期限结构 |4 | | |4 |
|Term Structure of Interest Rate | | | | |
|利率模型（期限结构模型） |2 | | |2 |
|Interest-rate model (term structure model) | | | | |
|嵌入期权式债券分析 |4 | | |4 |
|Analysis of Bonds with Embedded Options | | | | |
|住房抵押贷款证券 |2 | | |2 |
|Residential Mortgage-Backed Securities | | | | |
|抵押担保债券 |2 | | |2 |
|Collateralized Mortgage Obligations | | | | |
|利率期货 |2 | | |2 |
|Interest Rate Futures | | | | |
|利率期权 |2 | | |2 |
|Interest Rate Options | | | | |
|利率掉期和信用违约掉期 |3 | | |3 |
|Interest Rate Swaps and Credit Default Swaps | | | | |
|债券投资组合策略 |3 | | |3 |
|Bond Portfolio Strategies | | | | |
|合计 |32 | | |32 |
|Total | | | | |
四、教学内容（Teaching materials）
第一章 货币的时间价值
1. 市场利率的决定因素
2. 利率的类型
3. 现值和终值
4. 年金和永续年金
5. 非等额现金流
重点、难点：市场利率，现值和终值，金融计算器
考核要求：掌握市场利率的决定因素；掌握现金流、现值和终值的关系；掌握金融计算器的使用方法
Lecture 1 Time Value of Money
1. The Determinants of Market Interest Rates
2. Classification of Interest Rates
3. Present Values and Future Values
4. Annuities and Perpetuities
5. Uneven Cash Flows
Key Points: market interest rates, cash flows, present values and future values, financial calculator
Outcome: grasp the determinants of interest rates; grasp the relation among present value, future value and cash flows; understand how to use a financial calculator
第二章 固定收益证券及其市场概述
1. 债券特点概述
2. 美国国债和国库券
3. 美国州政府债
4. 公司债
重点、难点：债券特点，发行人类别，嵌入期权式债券，债券投资风险
考核要求：理解债券市场的主要构成部分；理解债券的主要种类及各自的特点
Lecture 2 Introduction to Fixed Income Securities and Markets
1. Overview of Bond Features
2. U.S. Treasury and Federal Agency Securities
3. U.S. Municipal Securities
4. Corporate Debt Instruments
Key Points: features of bonds, types of issuers, bonds with an embedded option, types of risks faced by investors in fixed-income securities
Outcome: understand the components of fixed income securities markets; understand types of bonds and their features
第三章 债券定价及收益率
1. 债券定价
2. 价格收益率关系
3. 到期收益率
4. 年化收益率和有效收益率
5. 债券的回报
6. 非债券付息日的债券定价
重点、难点：债券定价，到期收益率，应计利息，标价
考核要求：掌握债券定价；掌握到期收益率的计算；理解价格收益率曲线；理解应计利息和标价
Lecture 3 Bond Price and Yield
1. Pricing a Bond
2. Price-Yield Relationship
3. Yield to Maturity
4. Annualized and Effective Yields
5. Total Return of a Bond
6. Pricing a Bond between Coupons Payment Dates
Key Points: pricing a bond, yield to maturity, accrued interest, quoted price
Outcome: grasp the calculation of the price of a bond; grasp the calculation of yield to maturity; understand the price-yield relationship; understand the concept of accrued interest and quoted price
第四章 债券价格波动及其衡量指标
1. 债券价格波动的特点
2. 久期
3. 凸度
4. 用久期和凸度估计债券价格的变动
重点、难点：债券价格波动，久期，凸度，有效久期和凸度，价格变化估计
考核要求：理解债券价格波动；掌握久期，凸度的计算；掌握用久期和凸度估计债券价格变动的方法
Lecture 4 Bond Price Volatility
1. Price Volatility Characteristics of Option-Free Bonds
2. Duration
3. Convexity
4. Approximating price change using Duration and Convexity
Key Points: price volatility, duration, convexity, effective measures, approximating bond price change
Outcome: understand what is price volatility; grasp the calculation of duration and convexity; grasp the approximation of bond price using duration and convexity
第五章 利率的期限结构I
1. 基础利率和基准利差
2. 即期利率
3. 构造即期利率曲线
重点、难点：基础利率，利差，即期利率，自助法
考核要求：理解基础利率，利差以及它们与其他利率的关系；理解即期利率；掌握构造即期利率曲线的方法
Lecture 5 Term Structure of Interest Rate I
1. Base Interest Rate and Benchmark Spread
2. Spot Rate
3. Constructing the Theoretical Spot Rate Curve
Key Points: base interest rate, spread, spot rate, bootstrap
Outcome: understand base interest rate, spread and their relation with other interest rate; understand spot rate; grasp the construction of the theoretical spot rate curve
第六章 利率的期限结构II
1. 利用即期利率给债券定价
2. 远期利率
3. 利率期限结构的决定因素
重点、难点：远期利率，掉期利率，LIBOR利率
考核要求：掌握利用即期利率或远期利率给债券定价的方法；理解利率期限结构的决定因素及曲线的形状；理解掉期利率和LIBOR利率的概念
Lecture 6 Term Structure of Interest Rate II
1. Using Spot Rate Curve to Price a bond
2. Forward Rate
3. Determinants of Term Structure
4. the swap curve/LIBOR curve
Key Points: forward rate, swap rate, LIBOR rate
Outcome: grasp the pricing of bond using spot rate or forward rate; understand the determinants and shape of term structure; understand the concept of swap rate and LIBOR rate
第七章 利率模型（期限结构模型）
1. 利率模型的特点：漂移，波动和均值回归
2. 单因子利率模型
3. 无套利模型和均衡模型
4. 利率变化的经验证据
重点、难点：利率二叉树，利率模型，漂移，波动，均值回归，单因子，无套利，均衡
考核要求：了解利率模型的基础知识；理解无套利模型和均衡模型的关系；了解利率变化的经验研究证据
Lecture 7 Interest-rate model (term structure model)
1. Characteristics of an interest-rate model: drift, volatility, and mean reversion
2. One-factor interest-rate models
3. Arbitrage-free model and equilibrium model
4. The empirical evidence on interest rate changes
Key Points: binominal interest rate trees, interest-rate model, drift, volatility, mean reversion, one-factor, arbitrage, equilibrium
Outcome: understand the basis of interest-rate models; understand the relation between arbitrage-free model and equilibrium model; understand the empirical evidence on interest rate models
第八章 嵌入期权式债券分析I
1. 期权的特点
2. 可召回债券的特点
3. 嵌入期权式债券的定价
重点、难点：嵌入式期权，可召回，可卖出，可转，期权定价
考核要求：了解嵌入期权式债券和普通债券的区别；理解期权式债券的主要类别；掌握嵌入期权式债券的定价
Lecture 8 Analysis of Bonds with Embedded Options I
1. Characteristic of Options
2. Features of Callable Bonds
3. Pricing of A Bond with Embedded Options
Key Points: embedded options, callable, putable, convertible, option pricing
Outcome: understand the difference between bonds with embedded options and option-free bonds; understand the typical bonds with embedded options; grasp the pricing of a bond with embedded options
第九章 嵌入期权式债券分析II
1. 期权调整利差
2. 有效久期和凸度
3. 可转债
重点、难点：期权调整利差，可转债
考核要求：了解期权调整利差的概念；掌握可转债和股票的关系
Lecture 9 Analysis of Bonds with Embedded Options II
1. Option-Adjusted Spread
2. Effective Duration and Convexity
3. Features of Convertible Bonds
Key Points: option-adjusted spread, convertible bonds
Outcome: understand the concept of option-adjusted spread; grasp the relation between convertible bonds and stocks
第十章 住房抵押贷款证券
1. 住房抵押贷款
2. 住房抵押贷款支持证券市场
3. 抵押转递证券
重点、难点：住房抵押贷款，住房抵押贷款支持证券
考核要求：理解住房抵押贷款及其种类；理解按揭的概念及住房抵押贷款的风险；理解住房抵押贷款支持证券和抵押转递证券的概念
Lecture 10 Residential Mortgage-Backed Securities
1. Residential Mortgage Loans
2. Residential Mortgage-Backed Securities Markets
3. Characteristics of Mortgage Pass-Through Securities
Key points: residential mortgage loans; mortgage-backed securities
Outcome: understand a mortgage loan and types of residential mortgage loans; understand a prepayment and risks associated with investing in mortgages; understand the concepts of a mortgage-backed security and a mortgage pass-through security
第十一章 抵押担保债券
1. 抵押担保债券
2. 信贷资产证券的产生
3. 担保类型及证券化结构
4. 担保债务凭证
重点、难点：抵押担保债券，信贷资产证券，担保债务凭证
考核要求：了解抵押担保债券的来由；理解序列型抵押担保债券的概念；理解信贷资产证券是如何产生的；了解证券化的基本结构；了解担保债务凭证的概念及其种类
Lecture 11 Collateralized Mortgage Obligations
1. Characteristics of Collateralized Mortgage Obligations
2. Creation of an ABS
3. Collateral Type and Securitization Structure
4. Collateralized Debt Obligations
Key Points: collateralized mortgage obligation; asset-backed securities; collateralized debt obligation
Outcome: understand why and how an agency collateralized mortgage obligation is created; understand what a sequential-pay CMO is; understand how asset-backed securities are created; understand the basic structure of a securitization; understand what is meant by a collateralized debt obligation, collateralized bond obligation, and collateralized loan obligation
第十二章 利率期货
1. 利率期货
2. 利率期货市场的定价和套利
3. 利率期货在债券投资组合管理里的应用
重点、难点：期货，最低交割价，利率期货合约价格
考核要求：理解期货合约及其与远期合约的不同；理解利率期货的基本特点；理解利率期货合约的理论定价；理解利率期货在债券投资组合管理里的应用
Lecture 12 Interest Rate Futures
1. Interest Rate Futures Contracts
2. Pricing and Arbitrage in the Interest Rate Futures Market
3. Bond Portfolio Management Application
Key Points: futures; cheapest-to-deliver; price of a futures contract
Outcome: understand what a futures contract is and the differences between a futures contract and a forward contract; understand the basic features of various interest-rate futures contracts; understand how the theoretical price of a futures contract is determined; understand how futures contracts can be used in bond portfolio management
第十三章 利率期权
1. 利率期权
2. 期权的内在价值及其时间价值
3. 期权定价及套利
4. 影响期权价格波动的因素
5. 对冲策略
重点、难点：利率期权，内在价值, Black–Scholes期权定价模型；无套利二叉树模型；对冲
考核要求：理解利率期权合约的基本特点；理解期权和期货的不同；理解利率期权的理论定价；理解如何衡量期权价格的敏感性；了解期货期权在对冲里的应用
Lecture 13 Interest Rate Options
1. Types of Interest Rate Options
2. Intrinsic Value and Time Value of an Option
3. Option Pricing and Arbitrage
4. Sensitivity of Option Price to Change in Factors
5. Hedging Strategies
Key Points: interest-rate options contracts; intrinsic value; Black–Scholes option pricing model; arbitrage-free binomial model; hedging
Outcome: understand the basic features of interest-rate options contracts; understand the differences between options and futures; understand how to value options on fixed-income securities; understand measures to estimate the sensitivity of the option price; understand how futures options can be used to hedge
第十四章 利率掉期和信用违约掉期
1. 掉期交易
2. 掉期利率
3. 掉期定价
4. 信贷违约掉期的种类
5. 利用信贷违约掉期控制信用风险
重点、难点：利率掉期，掉期期权，信贷违约掉期
考核要求：理解利率掉期的概念以及掉期利率的计算；了解信贷衍生工具与利率衍生工具的不同；了解信贷违约掉期；了解如何利用信贷违约掉期控制一个投资组合的信用风险
Lecture 14 Interest Rate Swaps and Credit Default Swaps
1. Interpreting a Swap Position
2. Calculation of a Swap Rate
3. Valuing a Swap
4. Types of CDS
5. Using CDS to Control for Credit Risk
Key points: interest-rate swaps; swaption; credit default swap
Outcome: understand what an interest-rate swap is and how the swap rate is calculated; understand how a credit derivative differs from an interest-rate derivative; understand what a credit default swap is and how a credit event can be defined; understand how a credit default swap can be used to control a portfolio’s credit risk
第十五章 债券投资组合策略
1. 资产分配决策
2. “自上而下”与“自下而上”的投资组合构建
3. 主动型投资组合管理策略
4. 债务驱动型投资组合管理策略
重点、难点：资产分配，自上而下，自下而上，子弹型，杠铃型，阶梯型收益曲线，杠杆，债务驱动，免疫
考核要求：理解“自上而下”与“自下而上”两种不同的债券投资组合构建；了解主动性债券投资组合管理策略的主要类型；了解债务驱动的投资组合管理的概念；了解免疫策略的基本原理
Lecture 15 Bond Portfolio Strategies
1. Asset Allocation Decision
2. Top-Down vs. Bottom-Up Portfolio Construction
3. Active Portfolio Management Strategies
4. Liability-Driven Strategy
Key points: asset allocation, top-down, bottom-up, bullet, barbell, ladder yield curve, leveraging, liability-driven, immunization
Outcome: understand top-down and bottom-up approaches to bond portfolio management; understand the different types of active bond portfolio strategies; understand what a liability-driven strategy is; understand the basic principles of an immunization strategy
五、其它
无
六、主要参考书
[1] Fabozzi, Frank J. Bond Markets, Analysis, and Strategies (8th ed.). Pearson. 2013
[2] Fabozzi, Frank J., Fixed Income Analysis (2nded.). McGraw-HillCompanies, Inc.2007
[3] Tuckman, Bruce and Angel Serrat, Fixed Income Securities: Tools for Today's Markets (3rded.). Hoboken, NJ: John Wiley&Sons, Inc. 2012
[4] Veronesi,Pietro, Fixed Income Securities: Valuation, Risk, and Risk Management. Hoboken, NJ: John Wiley&Sons, Inc. 2010
执笔人： 教研室主任： 系教学主任审核签名：
《金融工程》教学大纲
“Financial Engineering” Course Outline
课程编号： 150102B
课程类型： 专业选修课
总 学 时： 32 讲课学时：32 实验（上机）学时：0
学 分： 2
适用对象： 金融学（金融经济）
先修课程： 数学分析，概率论与数理统计，投资学
Course Code： 150102B
Course Type： Discipline Elective
Total Hours： 32 Lecture：32 Experiment(Computer)：0
Credit： 2
Applicable Major： Finance（Finance and Economics Experiment Class）
Prerequisite： Mathematical Analysis, Probability Theories and Statistics, Investments
一、课程的教学目标
金融工程，主要指创新性金融产品与策略的开发与实施。金融衍生品是其中的重要组成部分，也是现代金融市场不可或缺的部分。本课程将主要介绍金融市场中常见金融衍生品，涵盖他们的概念、相关组合投资策略、定价以及他们所隐含的金融理念，展示如果对现有金融产品进行有机运用与重组以解决特的定金融问题。
通过课程的学习，学生应能理解常见金融衍生品及组合的构建意图，掌握依据无套利原则构建的衍生品定价模型及其在实际交易中的应用。本课程将帮助学生建立对金融工程的总体认知，掌握基本工具，为参与实务工作或进一步修读相关高级金融课程打下基础。
Financial engineering mainly involves development and implementation of new financial products and investment strategies. Derivatives are important components to financial engineering and the modern financial markets. This course mainly covers common derivatives in financial markets, focusing on their designs, investment strategies, their pricing and the finance ideas embedded. We will show how to create solutions to reach certain financial goals based on existing products.
Throughout the course, students should learn designing and usage of financial derivatives. With no-arbitrage principle, students are expected to understand derivative pricing models and how they are applied in market transactions. The course helps establish the big picture of financial engineering, introducing building blocks and basic tools for practical work or a further pursuit of more advanced finance courses.
二、教学基本要求
课程内容包含两大重点，第一，重要金融衍生产品（远期合同、期货和期权）的设计、互相组合以及结合股票和债券的综合运用；第二，金融衍生产品的定价理论（无套利原则、二叉树模型、Black-Scholes模型）。基于部分课程内容比较复杂，教师除了必要的数学推导外，应尽量直观地展示理论和模型的本质。讲授应尽量通过图形、表格、举例、市场交易实例（包括新闻事件）等多种手段帮助学生加深对课程内容的理解。课堂可通过引入实例，鼓励学生参与课堂讨论。而教师应从旁引导并加以总结，注重紧抓理论核心，做到详略得当重点突出。
金融工程的课程内容涉及大量的数量化计算，对数学计算能力以及对金融投资理论的综合运用能力有较高的要求。除了所列先修课程，能熟练运用计算软件（如Excel）将对学习过程有很大的帮助。教师应鼓励学生从课程开始即练习使用计算机辅助计算。学生也应对课程难度和足够的课余学习时间有足够的心理准备。
课程考核方式及其权重如下：
|出勤 |10% |
|作业 |20% |
|期中闭卷考试 |30% |
|期末闭卷考试 |40% |
There are two major components of the course: 1. the designing of important derivatives (forwards, futures and options) together with their combination and their integrated applications with stocks and bonds; 2. the pricing theories of derivatives (the no-arbitrage principle, binomial trees and the Black-Scholes model). By its nature, the course will be very technique intensive. Mathematical derivations should be accompanied with intuitive illustrations such as graphs, tables, examples and real market illustrations (including news). Every effort should be made to help students understand the intuition of models. Instructor can also hold case studies and encourage class discussions, while proper instructions and summaries should be made to emphasize the essence of the theories introduced.
This course requires a significant amount of quantitative and computational analysis, requiring capability of mathematical computation and comprehensive utilization of theories on finance and investments. Apart from the listed prerequisites, skills of computational software (such as Excel) will be helpful for students. Instructor should encourage practicing software computation throughout the course. And students should expect the course to be relatively difficult and spend enough time on it after class.
The grading weights are as follows:
|Attendancy |10% |
|Homework Assignments |20% |
|Midterm Exam (Closed Book) |30% |
|Final Exam (Closed Book) |40% |
三、各教学环节学时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |远期合同 |4 |0 |0 |4 |
| |Forwards | | | | |
|2 |期权合同 |8 |0 |0 |8 |
| |Options | | | | |
|3 |金融远期合同与期货合同 |4 |0 |0 |4 |
| |Financial Forwards and Futures | | | | |
|4 |二叉树期权定价模型 |8 |0 |0 |8 |
| |Binomial Option Pricing | | | | |
|5 |Black-Scholes 定价模型 |8 |0 |0 |8 |
| |The Black-Scholes Model | | | | |
|合计 | |32 |0 |0 |32 |
四、教学内容
第一章 远期合同
第一节 购买与卖空
第二节 远期合同
1. 到期价值和到期收益
2. 远期合同的基本要素
3. 远期合同的到期收益（图）
4. 远期合同与直接买入的联系
教学重点、难点：卖空、远期合同的到期收益图，远期合同与直接买卖的联系。
课程考核要求：理解卖空和远期合同的概念，掌握卖空、买入／卖出远期合同的到期收益（图），理解远期合同与直接买卖的区别与联系。
Chapter 1 Forwards
Section 1 Purchase and short-sale
Section 2 Forwards
1. Payoffs and Profits
2. Elements in Forward Contracts
3. Payoffs from Forwards
4. Forwards and Outright Purchases
Key and Difficult Points: payoff diagrams from short-sale and forwards, connections between forwards and outright purchases.
Evaluation Requirements: understand concepts of short-sale and forwards, master computing the payoffs and drawing the payoff diagrams for short-sale/long forwards/short forwards, understand the differences and connections between forwards and outright purchases.
第二章 期权合同
第一节 期权合同
1. 看涨期权的基本要素
2. 看涨期权的到期收益（图）
3. 看跌期权的基本要素和到期收益
第二节 涉及期权的简单交易策略
1. 期权基本头寸术语
2. 简单保险策略
3. （选讲）其他交易策略
第三节 买卖权平价关系
1. 远期合同与合成期权
2. 买卖权平价关系
教学重点、难点：期权的到期收益，期权的基本头寸，期权在交易中的作用， 买卖权平价关系。
课程考核要求：分辨期权的各种基本头寸，掌握期权各头寸的到期收益（图）并利用期权构建简单的保险策略，理解买卖权平价关系及所隐含的无套利原则。
Chapter 2 Options
Section 1 Options
1. Elements of Call Options
2. Profits from Call Options
3. Elements of Put Options and Their Profits
Section 2 Simple Strategies with Options
1. Positions with Options
2. Simple Insurance Strategies with Options
3. (Optional) Other Strategies
Section 3 The Put-Call Parity
1. Synthetic Forwards by Options
2. The Put-Call Parity
Key and Difficult Points: profits from options, basic positions with options, how options are used in financial transactions, the put-call parity.
Evaluation Requirements: understand the differences between positions with options, master computing payoffs and drawing payoff diagrams from different position with options and combined positions with options, understand the put-call parity and the underlying no-arbitrage principle.
第三章 金融远期合同与期货合同
第一节 金融远期合同与期货合同的区别与联系
第二节 金融远期合同与期货合同的定价
1. 远期合同的定价
2. 期货合同与远期合同的定价关系
教学重点、难点：远期合同的定价。
课程考核要求：理解远期合同与期货合同的异同，掌握远期合同与期货合同的定价。
Chapter 3 Financial Forwards and Futures
Section 1 Differences and Connections between Financial Forwards and Futures
Section 2 Pricing Financial Forwards and Futures
1. Pricing Financial Forwards
2. How Future Prices Are Connected to Forward Prices
Key and Difficult Points: pricing financial forwards.
Evaluation Requirements: understand the similarity and differences between financial forwards and futures, master the pricing of financial forwards and futures.
第四章 二叉树期权定价模型
第一节 单步二叉树模型
1. 单步二叉树图的构造
2. 无套利原则与单步二叉树模型的一般结论
3. 股票预期收益的无关性
第二节 （选讲）风险中性估值
第三节 双步二叉树模型
1. 双步二叉树图的构造
2. 双步二叉树模型的一般结论
教学重点、难点：无套利原则的应用
课程考核要求：掌握单／双步二叉树模型的设定，熟练运用无套利原则和二叉树模型对期权进行定价。
Chapter 4 Binomial Option Pricing
Section 1 One-step Binomial Trees
1. One-step Binomial Trees
2. General Results from One-step Binomial Trees with No-arbitrage Principle
3. Irrelevance of the Stock’s Expected Return
Section 2 (Optional) Risk-Neutral Valuation
Section 3 Two-step Binomial Trees
1. Two-step Binomial Trees
2. General Results from Two-step Binomial Trees
Key and Difficult Points: how no-arbitrage principle is applied to derive the option prices.
Evaluation Requirements: master model setups of one-step/two-step binomial trees, master the derivation of option prices with no-arbitrage principle and binomial trees.
第五章 Black-Scholes 定价模型
第一节 Black-Scholes 期权定价公式
1. Black-Scholes 看涨期权定价公式
2. Black-Scholes 看跌期权定价公式
3. Black-Scholes 公式的假设和涵义
第二节 从二叉树模型导出公式
第三节 Black-Scholes 公式的应用
教学重点、难点：Black-Scholes 公式的假设、涵义和导出
课程考核要求：理解Black-Scholes 公式的涵义，了解模型的假设与限制，掌握从二叉树模型导出公式
Chapter 5 The Black-Scholes Model
Section 1 The Black-Scholes Formula
1. The Black-Scholes Formula with Call Options
2. The Black-Scholes Formula with Put Options
3. Assumptions and Implications of the Black-Scholes Formula
Section 2 Derivation of the Black-Scholes Formula from Binomial Trees
Section 3 Applications of the Black-Scholes Formula
Key and Difficult Points: assumptions, implications and derivations of the Black-Scholes formula.
Evaluation Requirements: understand the implication of the Black-Scholes formula, understand the model assumptions and limitations, master the derivation of the Black-Scholes formula with binomial trees.
五、其它
授课老师应根据学生的能力和接受程度适当调节课程进度和内容 。
Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
[1] Robert L. McDonald. Derivatives Markets, 3rd Edition. NJ: Prentice Hall. 2012.
[2] John Hull. Options, Futures and Other Derivatives, 9th Edition. NJ: Pearson. 2014.
执笔人：罗穗 教研室主任： 系教学主任审核签名：
《应用经济学前沿》教学大纲
Advanced Topics in Applied Economics
Course Outline
课程编号：150112B
课程类型：专业选修课
总 学 时：32 讲课学时：30 实验（上机）学时：2
学 分：2
适用对象：金融学，经济学
先修课程：中级微观经济学，中级宏观经济学，计量经济学
Course Code: 150112B
Course Type: Elective Course
Periods: 32 Lecture: 30 Experiment (Computer): 2
Credits: 2
Applicable Subjects: Finance, Economics
Preparatory Courses: Intermediate Microeconomics, Intermediate Macroeconomics, Econometrics
一、课程的教学目标
本课程属于金融经济学的专业选修课之一，主要结合中英文文献阅读和社会现实问题分析，讲解应用经济学中常用的理论和实证分析方法。学生通过本课程的学习，能够基本掌握分析社会经济学问题的计量方法，并能撰写规范的实证论文来分析论证社会经济学的现实问题。要求掌握相关理论和实证分析方法，并能熟练运用一门统计软件进行实际的数据处理和分析。本课程还有助于学生熟悉实证研究的方法和步骤，开拓学生的研究思路，提高因果逻辑关系的辨析及推断能力，为今后从事相关工作和学习研究打下坚实的基础。
This course is one of the selective courses for financial economics majors. It combines Chinese and English academic journal articles and socioeconomic problems in reality, and focuses on applied economic theory and empirical analysis. After taking this course, students will be able to use econometric models to analyze general socioeconomic issues, and write a formal research paper. Students are required to master the methods of empirical analysis and use statistical software to do real data analysis. This course will also provide students with an understanding of general methodology in applied research work, improve their logical thinking and lay a foundation for future work.
二、教学基本要求
本课程主要讲述劳动经济学、卫生经济学、公共经济学等应用经济学领域前沿的研究理论与分析方法。本课程将对相关文献进行精选，并对经典文献中的经济学理论与实证分析方法进行详细讲解。要求学生结合课堂讲授的内容，认真阅读相应的学术论文，深入理解因果推断问题，掌握科学的实证分析方法，并且能够独立提出和解决有现实意义的社会经济学问题。本课程授课方式采用教师主讲、课后文献阅读和学生课堂展示相结合。教师结合课程教材及文献，系统讲授文献中计量模型分析及应用。学生根据教师分配的任务，两人一组进行相关研究主题的课堂展示，要求学生对所展示的内容进行深入理解并能提出独立的看法和见解。
课程的考核方式为课堂展示，作业和学术论文。课堂展示20%，平时作业3次占30%，学术论文占50%。学术论文应该主题明确，可行性强，本课程中间需提交学术论文的开题简介，最后学生还需对自己的论文进行课堂展示。\
This course focused on research theories and methods in applied economics fields such as labor economics, health economics and public economics. Carefully selected classical journal papers will be used for analysis. It requires the students to read these papers, understand and master the econometric methods to estimate causal effects, and propose practical socioeconomic research questions independently. This course is a combination of lectures, presentations and readings. Lecturers will teach general methodology in applied research work. Students are required to present one or two research papers in class. Students should present a synopsis of the paper and provide their own commentary on the research topic.
The final grade of this course will be based on two presentations(20%), three assignments(30%) and a research paper(50%). The research paper should address a clearly stated doable research question. A proposal of the research paper is due in the middle of the term. Finally the students are required to present their research project in class.
三、各教学环节学时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |应用经济学导论 |2 | | |2 |
| |Introduction to Applied Economics | | | | |
|2 |STATA基础应用 |1 |1 | |2 |
| |STATA Introduction | | | | |
|3 |经济学分解分析方法及应用 |5 | |3 |8 |
| |Decomposition Methods and Applications in | | | | |
| |Economics | | | | |
|4 |STATA统计分析 |1 |1 | |2 |
| |STATA Applications | | | | |
|5 |处理效应及政策评估 |6 | |2 |8 |
| |Treatment Effects and Program Evaluation | | | | |
|6 |工具变量回归方法及应用 |4 | |2 |6 |
| |Instrumental Variables Regression and | | | | |
| |Applications | | | | |
|7 |中国社会保障制度专题 |4 | | |4 |
| |Social Security System in China | | | | |
|合计 | |23 |2 |7 |32 |
教学课时分配(Class Schedule)
四、教学内容
第一章应用经济学导论
第一节实证分析
6. 实证分析
7. 实证研究
第二节数据
1. 数据的类别与性质
2. 常用数据库介绍
教学重点、难点：计量分析方法
课程的考核要求：理解实证分析，了解主要的计量分析方法和特点，了解微观数据的获取途径
复习思考题：
1. 简述实证分析
2. 如何获取研究所需数据
1. Introduction to Applied Economics
1. Empirical Analysis
1. Empirical Analysis
2. Empirical Research
2. Data
1. Data Types
2. Introduction to Commonly Used Dataset
Key and Difficult Points: Econometric Analysis
Evaluation Requirements: Understanding the concept of empirical analysis，knowing econometric methods and features in general, knowing how to obtain microeconomic data.
Problems:
1. Concept of Empirical Analysis
2. How can we obtain microeconomic data
第二章STATA基础应用
第一节数据探究与描述
第二节计算机操作
教学重点、难点：运用STATA对数据进行基本的描述性分析
课程的考核要求：掌握STATA描述性分析的基本命令，运用命令分析具体数据
复习思考题：
描述数值类变量的命令有哪些
2. STATA Introduction
1. Data Exploration and Description
2. Computer Programming
Key and Difficult Points: Use STATA to do descriptive analysis
Evaluation Requirements: Know how to use STATA to do descriptive analysis
Problems: STATA commands for summary statistics
第三章经济学分解分析方法及应用
第一节均值分解
1. 分解的类别与方法
2. Oaxaca-Blinder分解
3. 详细分解与举例
第二节分位数分解
1. 分位数回归
2. RIF回归
3. 分位数分解
教学重点、难点：分位数回归与分解的理解与运用
课程的考核要求：掌握Oaxaca-Blinder分解的理论与方法，了解分位数回归的理论与方法，运用Oaxaca-Blinder分解或分位数分解方法解决实际问题
复习思考题：
1. Oaxaca-Blinder分解有几种方法及如何解释分解结果
2. 如何解释分位数分解的结果
3. Decomposition Methods and Applications in Economics
1. Mean Decomposition
1. Decomposition Methods and Types
2. Oaxaca-Blinder Decomposition
3. Detailed Decomposition and Applications
2. Decomposition for Quantiles
3.2.1 Quantile Regression
3.2.2 RIF Regression
3.2.3 Decomposition for Quantiles
Key and Difficult Points: RIF regression and decomposition
Evaluation Requirements: Master Oaxaca-Blinder decomposition method, know quantile regression and method, apply Oaxaca-Blinder and quantile decomposition methods
Problems：
1. Interpret the results of Oaxaca-Blinder mean decomposition
2. Interpret the results of decomposition of quantiles
第四章STATA应用
第一节线性与非线性回归分析
第二节分解分析
第三节计算机操作
教学重点、难点：分位数分解
课程的考核要求：运用STATA进行经济学分解分析
复习思考题：
简述分位数分解的步骤
4. STATA Applications
1. Linear and Nonlinear Regression Analysis
2. Decomposition Analysis
3. Computer Programming
Key and Difficult Points:Decomposition of quantiles using STATA
Evaluation Requirements: Use STATA to do decomposition analysis in economics
Problems：
Describe the steps of decomposition of quantiles
第五章处理效应及政策评估
第一节处理效应
第二节处理效应的估计方法
1. 非实验数据
2. 非参方法
3. 回归方法
4. 匹配方法
5. 倍差法
第三节政策评估
教学重点、难点：处理效应的估计
课程的考核要求：掌握处理效应的几种估计方法，会运用匹配法和倍差法估计处理效应
复习思考题：
1. 简述处理效应的几种估计方法
2. 倍差法与匹配法估计的前提假设是什么
5. Treatment Effects and Program Evaluation
1. Treatment Effects
2. Estimation of Treatment Effects
1. Nonparametric Estimation
2. Regression Method
3. Matching Method
4. Difference-in-differences
3. Program Evaluation
Key and Difficult Points: Estimation of treatment effects
Evaluation Requirements: Master the methods of treatment effect estimation, apply matching and difference-in-differences to estimate the impact of a program
Problems：
1. Describe methods of treatment effect estimation
2. What are the identifying assumptions for matching method and difference-in-differences estimation
第六章工具变量回归方法及应用
第一节内生性与工具变量
1. 内生性变量
2. 工具变量的要求
第二节工具变量回归
1. 两步最小二乘估计
2. 一般工具变量估计
第三节工具变量估计应用
教学重点、难点：两步最小二乘估计方法与应用
课程的考核要求：理解工具变量的适用范围，掌握和运用两步最小二乘法进行工具变量估计
复习思考题：
1. 简述内生性变量和外生性变量
2. 如何选取有效的工具变量
6. Instrumental Variables Regression and Applications
1. Endogeneity and Instrumental variables
1. Endogenous Variables
2. Conditions for Instrumental Variables
2. Instrumental Variables Regression
1. Two Stage Least Squares Estimator
2. 6.2.2. General IV Regression
3. IV Regression Applications
Key and Difficult Points: Two Stage Least Squares Estimation and Applications
Evaluation Requirements: Understand when to use IV regression, apply two stage least squares estimation using real data
Problems：
1. Describe endogenous variables and exogenous variables
2. How can we find a valid instrument
第七章中国社会保障制度专题
第一节中国医疗系统
1. 医疗系统简介
2. 医疗保障系统
3. 医生人力资源
第二节中国养老保险研究
教学重点、难点：社会保障相关问题的实证研究
课程的考核要求：了解中国社会保障制度的现状，并运用所学知识对社会保障问题进行分析
7. Social Security System in China
1. Health Care System in China
1. Introduction to Health Care System in China
2. Health Insurance in China
3. Human Resource Issues in the Health Care Sector
2. Pension System in China
Key and Difficult Points: Empirical studies of social security policies in China
Evaluation Requirements: Know the status of social security system in China, apply the empirical methods to analyze real socioeconomics problems
五、其它
本课程教学每周都有阅读应用经济学文献的任务。
A set of readings will be assigned to students every week.
六、主要参考书
列出主要参考书目，所列条目及其顺序如下：
[1] Angrist, J. and Pischke J.S., Mostly Harmless Econometrics, Princeton,New Jersey, USA, Princeton University Press, 2009
[2] Benjamin, D., Gunderson,M.and Lemieux, T., Labour Market Economics, 6th Edition, Ontario,Canada,McGraw-Hill Ryerson Higher Education, 2007
[3] Folland, S., Goodman, A.C. and Stano, M,The Economics of Health and Health Care, Prentice Hall, 6th Edition, Prentice Hall, New Jersey, USA (2009),
[4]Fortin, N., Lemieux, T. and Firpo.S “Decomposition Methods in Economics,”in Handbook of Labor Economics, Vol.4, ed. by O. Ashenfelter and D. Card, Amsterdam, Elsevier Science, 2011
[5] Wooldridge, J.M.,Econometric Analysis of Cross Section and Panel Data, Cambridge, USA, MIT Press,2010
执笔人：王超 教研室主任： 系教学主任审核签名：
《计量经济学》教学大纲
The Course Outline of Econometrics
课程编号：150143A
课程类型：学科基础课
总 学 时：48 讲课学时：48 实验（上机）学时：
学 分：3
适用对象：经济学、管理学、统计学、金融学等
先修课程：微观经济学、宏观经济学、概率与统计、线性代数、微积分
Course Code: 150143A
Course Type: Discipline basic course
Periods: 48 Lecture: 48 Experiment (Computer):
Credits: 3
Applicable Subjects: Economics, Management, Statistics, Finance, etc.
Prerequisite Courses: Microeconomics, Macroeconomics, Probability and Statistics, Linear Algebra, Calculus
一、课程的教学目标
本课程是面向经济学、管理学及金融学专业本科学生开设的计量经济学入门课程。计量经济学是经济学科中的核心必修课程，它为经济研究者提供了在分析经济数据,归纳经济现象,和总结经济规律时所必需的实证研究工具。作为计量经济学入门课程，我们希望学生通过课堂学习与实际操作，掌握计量经济学的基础理论和基本分析方法，具备处理经济数据、建立线性回归模型、和估计模型并进行假设检验的应用能力。本课程将为学习中级计量经济学、金融计量经济学、和学生从事独立实证研究奠定扎实的基础。
This course is an introduction to Econometrics, tailored for undergraduate students whose major is Economics, Management, or Finance. Econometrics is a core subject in Economics, equipping researchers with essential tools for analyzing economic data, and discovering the regularities underlying the seemingly perplexing economic phenomena. As an introductory course, we expect students to be able to comprehend basic concepts and master basic methods in Econometrics. Through learning in class and practicing using computer software, students should be capable of handling economic data, constructing a linear regression model, estimating the model, and performing hypothesis testing. This course will provide solid foundations for further study in the courses, such as Intermediate Econometrics and Financial Econometrics, and for students’ own empirical research.
二、教学基本要求
本课程教学的基本要求是，对计量经济学要理论学习与实际应用并重。作为入门课程，理论学习强调对计量经济学理论的整体把握，对基础概念与原理的准确理解，和对基本估计与检验方法的精通掌握。理论学习涵盖以下内容：一元线性回归模型的估计与假设检验，多元线性回归模型的估计和假设检验，以及对模型设定的评价。在时间允许的情况下，本课程还将介绍面板数据回归与工具变量法的基本原理与方法。本课程将围绕如何判断自变量与因变量之间的因果关系这一核心问题展开，重点讲解如何利用多元线性回归模型分析横截面数据中的因果关系。计量经济学理论学习必须结合实际应用。本课程将结合课本中各章节的实例，利用相关数据，讲授如何使用计算机软件（主要是R语言）实现模型估计与检验。
本课程教学方法将以课堂讲授为主。由于课程内容难度相对较大，我们鼓励学生课前预习，课上积极参与讨论，并课后复习和独立完成作业。受到课时限制，计算机软件的学习以课堂展示和学生自学的方式完成。我们将提供给学生完整的上机操作说明，并安排上机作业。
课程考核由作业、随堂测验、期中和期末考试组成。考核成绩为百分制，各项分数分配见表（一）。随堂测验、期中和期末考试均为闭卷考试。为了减少“死记硬背”，我们允许学生在期中和期末考试中携带一张“小抄”用来记忆定理与公式。为了鼓励学生参与课堂讨论，我们将给予表现积极的学生最高5%的奖励分。
|表（一）：分数分配方式 |
|作业 |20% |
|随堂测试 |10% |
|期中考试 |30% |
|期末考试 |40% |
This course emphasizes on both theoretical learning and real applications. At an introductory level, the course expects that students will comprehend the general framework of Econometrics, accurately understand the basic concepts and theories, and master the fundamental methods of estimation and inference. Serving for these ends, the contents of this course cover, but not limited to, the single and multiple ordinary least squares (OLS) regression estimation, hypothesis testing, model specification assessment, panel data regression, and instrumental variables regression. The core subject of this course is how to use a multiple regression model to analyze the causal relationship between the dependent variable and the independent variables when using cross-sectional data. Moreover, the course stresses the importance of real applications along with theoretical learning. Students will learn how to use computer software (primarily R programming language) to implement estimation and inference of multiple regression models using the real data of the applications in each chapter in the textbook.
The basic teaching strategy of this course mainly involves in-class lectures. Due to the difficulty of the course, we encourage students to browse the assigned reading materials before class, to proactively participate discussions in class, and to peruse lecture notes and independently complete homework after class. With limited time in class, computer software will primarily be learned by lecturing and self-practicing. We will provide students with complete tutorials and assign empirical exercises for practice.
The methods of the course evaluation include homework, quiz, mid-term and final exams. The grade distribution of each component within one hundred percentage points is presented in Table 1. The quiz, mid-term and final exams are all closed-book exams. To prevent students from cramming for the exams, we allow students to bring a cheat-sheet for reminding themselves of important theorems and formula when taking the mid-term and final exams. Finally, to promote class participation, we will award the students frequently engaging in-class discussions for as high as 5% bonus points.
|Table 1: The grade distribution |
|Homework |20% |
|Quiz |10% |
|Midterm exam |30% |
|Final exam |40% |
三、各教学环节学时分配
教学课时分配 (The assignment of hours of instruction)
|序号(No.) |章节内容 |讲课(Lecture) |实验(Experiment) |其他(Others) |合计(Total) |
| |(Content) | | | | |
|1 |导论 (Introduction) |1 | | |1 |
|2 |概率论回顾 (Review of Probability) |2 | | |2 |
|3 |数理统计回顾 (Review of Statistics) |2 | | |2 |
|4 |线性代数回顾 (Review of Linear Algebra) |1 | | |1 |
|5 |随堂测试 (Quiz) |1 | | |1 |
|6 |一元线性回归模型 (Linear Regression with One |4 | | |4 |
| |Regressor) | | | | |
|7 |一元线性回归模型假设检验 (Hypothesis Test of |4 | | |4 |
| |Linear Regression with a Single Regressor) | | | | |
|8 |期中考试 (Mid-term exam) |2 | | |2 |
|9 |多元线性回归模型 (Linear Regression with |6 | | |6 |
| |Multiple Regressors) | | | | |
|10 |多元线性回归模型假设检验 (Hypothesis Tests in |6 | | |6 |
| |Multiple Regression) | | | | |
|11 |非线性回归方程 (Nonlinear Regression |5 | | |5 |
| |Functions) | | | | |
|12 |回归模型评价 (Assessing Studies Based on |4 | | |4 |
| |Multiple Regression) | | | | |
|13 |面板数据回归 (Regression with Panel Data) |4 | | |4 |
|14 |工具变量法 (Instrumental Variables Regression)|4 | | |4 |
|15 |回顾与总结 (Review and Summary) |2 | | |2 |
|合计(Total) | |48 | | |48 |
四、教学内容（黑体，小四号字）
第一讲 导论
第一节 什么是计量经济学
第二节 计量经济学中的研究问题
第三节 因果关系与实验方法
1. 因果关系估计
2. 随机控制实验
第四节 数据来源与类型
1. 实验数据与观测数据
2. 数据类型
教学重点、难点：了解计量经济学在经济学科中的地位和作用，理解如何通过随机实验推断变量间因果关系。
课程的考核要求：课后阅读
第二讲 概率论回顾
第一节 随机变量与概率分布
1. 概率、样本空间与随机变量
2. 离散随机变量的概率分布
3. 连续随机变量的概率分布
第二节 随机变量的期望与方差
1. 随机变量的期望
2. 标准差与方差
第三节 两个随机变量的联合分布与协方差
1. 联合分布与边际分布
2. 条件分布
3. 独立、协方差与相关性
第四节 正态分布、开方分布、t分布与F分布
1. 正态分布
2. 开方分布
3. t分布
4. F分布
第五节 随机样本与样本均值的抽样分布
1. 随机抽样
2. 样本均值的抽样分布
第六节 大样本的渐进分布
1. 大数定律与一致性
2. 中心极限定理
教学重点、难点：掌握计算随机变量期望、方差、条件期望和协方差的公式，了解样本均值的大样本特征。
课程的考核要求：课后阅读、完成作业
第三讲 数理统计回顾
第一节 总体均值的估计
1. 估计量及其特征
2. 随机抽样的重要性
第二节 关于总体均值的假设检验
1. 零假设与备择假设
2. t统计量及其大样本分布
3. 显著性水平、临界值和p值
第三节 总体均值的置信区间
第四节 散点图、样本协方差和相关系数
教学重点、难点：理解假设检验的基本原理，掌握p值、临界值和置信区间的计算。
课程的考核要求：课后阅读、完成作业
第四讲 线性代数回顾
第一节 向量与矩阵
第二节 矩阵的运算
第三节 逆矩阵
第四节 线性独立
第五节 特征值与正定性
教学重点、难点：熟练掌握用向量和矩阵表示一组变量的样本值，掌握矩阵的基本运算。
课程的考核要求：课后阅读、完成作业
第五讲 一元线性回归模型
第一节 线性回归模型
第二节 估计线性回归模型中的参数
1. 最小二乘估计量
2. 估计参数的解释
第三节 模型拟合的衡量
1. 拟合优度(R2)
2. 回归标准差(SER)
第四节 最小二乘估计的假设
第五节 最小二乘估计量的抽样分布
教学重点、难点：熟练掌握最小二乘估计法，掌握最小二乘估计量的推导与公式，理解最小二乘估计的假设
课程的考核要求：课后阅读、完成作业、完成上机练习
第六讲 一元线性回归模型假设检验
第一节 单系数的假设检验
1. 关于斜率的双边与单边检验
2. 关于截距的检验
第二节 回归系数的置信区间
第三节 虚拟变量
1. 回归系数的解释
第四节 异方差与同方差
1. 异方差与同方差的定义
2. 同方差的数学含义
第五节 最小二乘法的理论基础
1. 高斯-马科夫定理
教学重点、难点：熟练掌握单参数假设检验的方法，掌握虚拟变量在回归模型中的作用，理解异方差和高斯-马科夫定理
课程的考核要求：课后阅读、完成作业、完成上机练习
第七讲 多元线性回归模型
第一节 多元回归模型
1. 总体回归线
2. 总体多元回归模型
3. 多元回归模型的矩阵表示
第二节 多元回归模型的最小二乘估计量
1. 最小二乘估计量
2. 估计系数的解释
第三节 多元回归模型拟合的衡量
1. 回归标准差(SER)
2. 拟合优度(R2)
3. 调整拟合优度(Adjusted R2)
第四节 多元回归的最小二乘假设
第五节 多元回归最小二乘估计量的统计特性
第六节 缺失变量误差
第七节 多重共线性
教学重点、难点：熟练掌握多元回归模型的最小二乘估计法，掌握运用矩阵表示回归模型与估计量，理解估计量的统计特性、缺失变量误差和多重共线性
课程的考核要求：课后阅读、完成作业、完成上机练习
第八讲 多元线性回归模型假设检验
第一节 单系数的假设检验和置信区间
1. 最小二乘估计量的标准差
2. 单系数的假设检验
3. 单系数的置信区间
第二节 联合假设的检验
1. 联合假设的形式
2. F统计量
3. 同方差下的F统计量
第三节 多系数的置信集合
教学重点、难点：熟练掌握运用F统计量推断联合假设，掌握联合假设的形式，和理解F统计量的含义
课程的考核要求：课后阅读、完成作业、完成上机练习
第九讲 非线性回归方程
第一节 非线性回归方程的一般形式
第二节 单自变量的非线性方程变换
1. 多项式
2. 对数函数
第三节 自变量的交互效应
1. 虚拟变量的交互效应
2. 虚拟变量与连续变量的交互效应
3. 连续变量的交互效应
教学重点、难点：熟练掌握非线性回归模型的基本形式，掌握回归系数的正确解释方法
课程的考核要求：课后阅读、完成作业、完成上机练习
第十讲 评价回归模型
第一节 内部和外部有效性
1. 对内部有效性的威胁
2. 对外部有效性的威胁
第二节 回归模型的内部有效性问题
1. 缺失变量误差
2. 模型形式的错误设定
3. 测量误差及其估计偏差
4. 缺失数据与样本选择性
5. 双向因果关系
教学重点、难点：理解内部和外部有效性的定义，掌握影响回归模型内部有效性的因素
课程的考核要求：课后阅读、完成作业
第十一讲 面板数据回归
第一节 面板数据
第二节 两时期面板数据：事前事后比较法
第三节 固定效应回归模型
1. 固定效应回归模型的估计与推断
第四节 加入时间固定效应
教学重点、难点：掌握固定效应面板数据回归的基本估计方法
课程的考核要求：课后阅读、完成作业、完成上机练习
第十二讲 工具变量法
第一节 单自变量与单工具变量的回归模型
1. 工具变量与假设
2. 二阶段最小二乘法
第二节 一般回归模型的工具变量估计法
1. 多元回归模型中的二阶段最小二乘法
2. 工具变量的相关性和外生性
3. 工具变量回归模型的假设与二阶段最小二乘估计量的抽样分布
4. 工具变量回归模型的假设检验
第三节 检验工具变量的有效性
教学重点、难点：理解工具变量法的基本原理，掌握二阶段最小二乘法
课程的考核要求：课后阅读、完成作业、完成上机练习
Lecture 1 Introduction
Section 1.1 What is Econometrics About?
Section 1.2 Economic Questions We Examine
Section 1.3 Causal Effects and Idealized Experiments
1. Estimation of Causal Effects
2. Randomized Controlled Experiments
Section 1.4 Data Sources and Types
1. Experimental Versus Observational Data
2. Data Types
Key and Difficult Points: Know the roles and status of Econometrics in the subject of Economics, and understand how to use randomized controlled experiments to assess the causal relationship among variables.
Evaluation Requirements: Reading relevant materials
Lecture 2 Review of Probability
Section 2.1 Random Variables and Probability Distributions
1. Probabilities, the Sample Space, and Random Variables
2. Probability Distribution of a Discrete Random Variable
3. Probability Distribution of a Continuous Random Variable
Section 2.2 The Expected Value and the Variance of a Random Variable
1. The Expected Value of a Random Variable
2. The Standard Deviation and Variance
Section 2.3 Two Random Variables
1. Joint and Marginal Distributions
2. Conditional Distributions
3. Independence, Covariance, and Correlation
Section 2.4 The Normal, Chi-Squared, Student t, and F Distributions
1. The Normal Distribution
2. The Chi-Squared Distribution
3. The Student t Distribution
4. The F Distribution
Section 2.5 Random Sampling and the Distribution of the Sample Average
1. Random Sampling
2. The Sampling Distribution of the Sample Average
Section 2.6 Large-Sample Approximations to Sampling Distributions
1. The Law of Large Numbers and Consistency
2. The Central Limit Theorem
Key and Difficult Points: Master the calculation of the expected value, variance, covariance, and conditional mean, and understand the large-sample properties of the sample average.
Evaluation Requirements: Reading materials, and finishing homework
Lecture 3 Review of Statistics
Section 3.1 Estimation of the Population Mean
1. Estimators and Their Properties
2. The Importance of Random Sampling
Section 3.2 Hypothesis Testing Concerning the Population Mean
1. Null and Alternative Hypotheses
2. The t-Statistic and its Sampling Distribution with Large Samples
3. The Significance Level, the Critical Value, and the p-Value
Section 3.3 Confidence Intervals for the Population Mean
Section 3.4 Scatterplots, the Sample Covariance, and the Sample Correlation
Key and Difficult Points: Understand the basic philosophy of hypothesis testing, and master the calculation of the p-value, the critical value, and the confidence interval concerning the population mean.
Evaluation Requirements: Reading materials, and finishing homework
Lecture 4 Review of Linear Algebra
Section 4.1 Vectors and Matrices
Section 4.2 Matrix Operations
Section 4.3 Inverse Matrix
Section 4.4 Linear Independence
Section 4.5 Eigenvalues and Positive-Definiteness
Key and Difficult Points: Master the method of representing the observations of a group of variables using vectors and matrices, and grasp basic matrix operations.
Evaluation Requirements: Reading materials, and finishing homework
Lecture 5 Linear Regression with One Regressor
Section 5.1 The Linear Regression Model
Section 5.2 Estimating the Coefficients of the Linear Regression Model
1. The OLS estimators
2. Interpretation of the estimated coefficients
Section 5.3 Measures of Fit
1. R2
2. The Standard Error of Regression (SER)
Section 5.4 The Least Squares Assumptions
Section 5.5 Sampling Distribution of the OLS Estimators
Key and Difficult Points: Master the OLS estimation method, grasp the derivation of the formula of the OLS estimators, and understand the least squares assumptions
Evaluation Requirements: Reading materials, finishing homework, and completing empirical exercises
Lecture 6 Hypothesis Test of Linear Regression with a Single Regressor
Section 6.1 Testing Hypotheses about One of the Regression Coefficients
1. Two-Sided and One-Sided Hypotheses Concerning the Slope
2. Hypotheses Concerning the Intercept
Section 6.2 Confidence Intervals for a Regression Coefficient
Section 6.3 Regression When X is a Binary Variable
1. Interpretation of the Regression Coefficients on a Binary Variable
Section 6.4 Heteroskedasticity and Homoskedasticity
1. What are heteroskedasticity and homoskedasticity?
2. Mathematical Implications of Heteroskedasticity
Section 6.5 The Theoretical Foundations of Ordinary Least Squares
1. The Gauss-Markov Theorem
Key and Difficult Points: Master the approach to hypothesis testing concerning one coefficient, grasp the use of a binary variable in regression, and understand heteroskedasticity and the Gauss-Markov theorem.
Evaluation Requirements: Reading materials, finishing homework, and completing empirical exercises
Lecture 7 Linear Regression with Multiple Regressors
Section 7.1 The Multiple Regression Model
1. The Population Regression Line
2. The Population Regression Model
3. Matrix Notation of the Multiple Regression Model
Section 7.2 The OLS Estimator in Multiple Regression
1. The OLS Estimators
2. Interpretation of the Estimated Coefficients
Section 7.3 Measures of Fit in Multiple Regression
1. The Standard errors of the regression (SER)
2. R2
3. The Adjusted R2
Section 7.4 The Least Squares Assumptions in Multiple Regression
Section 7.5 The Statistical Properties of the OLS Estimators in Multiple Regression
Section 7.6 The Omitted Variable Bias
Section 7.7 Multicollinearity
Key and Difficult Points: Master the OLS estimation method in multiple regression, grasp the way to represent the multiple regression model and the OLS estimators using matrices, and understand the statistical properties of the OLS estimators, and the concepts of the omitted variable bias and multicollinearity.
Evaluation Requirements: Reading materials, finishing homework, and completing empirical exercises
Lecture 8 Hypothesis Tests in Multiple Regression
Section 8.1 Hypothesis tests and confidence intervals for a single coefficient
1. Standard errors for the OLS estimators
2. Hypothesis Tests for a Single Coefficient
3. Confidence Intervals for a Single Coefficient
Section 8.2 Tests of joint hypotheses
1. The Forms of Joint hypothesis
2. The F-Statistic
3. The Homoskedasticity-Only F-Statistic
Section 8.3 Confidence Sets for Multiple Coefficients
Key and Difficult Points: Master the approach to using the F-statistic for joint hypothesis testing, grasp the various forms of joint hypotheses, and understand the implication of the F-statistic.
Evaluation Requirements: Reading materials, finishing homework, and completing empirical exercises
Lecture 9 Nonlinear Regression Functions
Section 9.1 A General Strategy for Modeling Nonlinear Regression Functions
Section 9.2 Nonlinear functions of a single independent variable
1. Polynomials
2. Logarithms
Section 9.3 Interactions between independent variables
1. Interactions between two binary variables
2. Interactions between a continuous and a binary variable
3. Interactions between two continuous variables
Key and Difficult Points: Master the basic forms of nonlinear regression functions, and master the correct interpretation of coefficients in nonlinear regression functions.
Evaluation Requirements: Reading materials, finishing homework, and completing empirical exercises
Lecture 10 Assessing Studies Based on Multiple Regression
Section 10.1 Internal and external validity
1. Threats to Internal Validity
2. Threats to External Validity
Section 10.2 Threats to internal validity of multiple regression analysis
1. Omitted Variable Bias
2. Misspecification of the Functional Form of the Regression Function
3. Measurement Error and Errors-In-Variable Bias
4. Missing data and Sample Selection
5. Mutual Causality
Key and Difficult Points: Understand the concepts of interval and external validity, grasp the threats to interval validity in multiple regression analysis
Evaluation Requirements: Reading materials, and finishing homework
Lecture 11 Panel Data Regression
Section 11.1 Panel Data
Section 11.2 Panel Data with Two Time Periods: “Before and After” Comparisons
Section 11.3 Fixed Effects Regression
1. Estimation and Inference of the Fixed Effects Regression Model
Section 11.4 Regression with Time Fixed Effects
Key and Difficult Points: Grasp the basic method of estimation and inference of the fixed effects regression model.
Evaluation Requirements: Reading materials, finishing homework, and completing empirical exercises
Lecture 12 Instrumental Variables Regression
Section 12.1 The IV Estimator with a Single Regressor and a Single Instrument
1. The IV Model and Assumptions
2. The Two Stage Least Squares Estimator
Section 12.2 The General IV Regression Model
1. TSLS in the General IV Model
2. Instrument Relevance and Exogeneity
3. The IV Regression Assumptions and Sampling Distribution of the TSLS Estimator
4. Inference Using the TSLS Estimator
Section 12.3 Checking Instrument Validity
Key and Difficult Points: Grasp the basic theory and method of the TSLS estimation
Evaluation Requirements: Reading materials, finishing homework, and completing empirical exercises
五、主要参考书（黑体，小四号字）
[1] 詹姆斯·斯托克 (James H. Stock) ， 马克·沃森 (Mark W. Watson). 计量经济学(第3版)(英文版) ( Introduction to Econometrics, 3d Edition). 格致出版社,上海人民出版社. 2015年1月1日
[2] 杰弗里·伍德里奇 (Jeffrey M. Wooldridge). 计量经济学导论:现代观点(第5版) (Introductory Econometrics: A Modern Approach, 5th Edition). 清华大学出版社.2014年2月1日.
[3] Christian Kleiber, Achim Zeileis. Applied Econometrics with R. Springer. 2008
执笔人：田峥 教研室主任： 系教学主任审核签名：
《高级计量经济学》教学大纲
“Advanced Econometrics” Course Outline
课程编号：150183A
课程类型：专业选修课
总 学 时：48 讲课学时：48 实验（上机）学时：0
学 分：3
适用对象：经济学、统计学、金融学等
先修课程：微观经济学、宏观经济学、计量经济学
Course Code: 150183A
Course Type: Specialized Optional Course
Periods: 48 Lecture: 48 Experiment (Computer): 0
Credits: 3
Applicable Subjects: Economics, Statistics, Finance
Prerequisites: Microeconomics, Macroeconomics, Econometrics
一、课程的教学目标
该课程面向经济学、统计学和金融学等相关专业高年级本科生，重点介绍计量经济学各种核心理论方法及其实际应用的学科专业选修课程。本课程是学生在本科阶段的高阶课程，着重加强学生对计量理论的理解并为提升其对理论运用的认知。具体而言，该课程的侧重训练学生以下四个方面的能力：1）掌握基本计量模型的结构、估计及统计推断；2）理解每个计量模型的特点及适用范围；3）能针对具体的经济问题构建恰当计量模型；4）熟练使用统计软件R实现完整的计量分析。通过本课程的学习，学生能够从实际经济问题出发，结合相应的数据特点，构建并分析合理的计量模型，并对分析结果进行科学规范的讨论，从而初步建立其独立研究分析的能力。
This is a specialized optional course in the theory and practice of advanced econometric methods for students majoring in economics, statistics, and finance. This course is of advanced level for senior undergraduate students, aiming at enhancing students’ understanding of fundamental econometric theories and the practical applications of these methods. Mainly, the course train the student’s abilities in the following four aspects: 1) know well the setting, estimation and statistical inference of basic econometric models; 2) understand the basic properties and also the applications of each econometric model; 3) be capable of construct the proper econometric model for practical economic problems; 4) be familiar with the most popular statistical programming language R for econometric analysis. Through this course, the students should learn how to combine the economic theories, stylized facts with data structure to construct the econometric model for empirical analysis, and also how to investigate the econometric results, so as to establish the ability of conduct independent research.
二、教学基本要求
本课程的教学目的是让学生掌握计量经济学的基础理论方法并熟练运用所学计量知识分析各种现实经济问题。课程教学需要着重强调从研究的视角探讨模型构建的思路、估计方法以及其它检验分析，同时兼顾前沿理论动态的发展，以便学生能够用前瞻的视角思考计量问题。内容上，本课程需要重点阐释线性回归模型的各种性质，并对比最小二乘法、极大似然法和广义矩估计法在各不同模型估计中的异同。
课程教学主要采取理论讲解的教学方法，并通过作业、课题等形式让学生掌握理论方法的使用。鼓励学生课前预习；课上安排课堂讨论，提高学生的课堂参与积极性，以便学生能够深入理解知识要点；课后布置实证作业，通过分析数据提升学生使用R编程并进行计量分析的能力；指定学生进行经典论文的选读，指导学生撰写小论文并组织课堂宣讲。
课程的考核方式及其所占权重如下：
|出勤 |10% |
|作业 |20% |
|期中闭卷考试 |20% |
|期末闭卷考试 |30% |
|课程论文 |20% |
在上述考核方式中，作业来自于课本中的理论和实践习题；期末闭卷考试考查计量理论知识；课程论文考查计量应用实践。
The main content of this course is to elaborate the core theories of econometrics and their applications, helping students to master the development of classical econometric theories and proficiently apply the econometric methods to the quantitative analysis of real economic problems. It is necessary to teach this course by showing the ideas, methods, and tests of econometric models from the perspective of conducting researches. Meanwhile, the materials of this course should include the frontier of econometric methods so that students can touch the boundary of this field and learn how to think of econometric problems in prospective and professional way. This course should also cover the general concepts of econometrics, focusing on analyzing the properties of linear regression model and comparing the main three methods with each other: least squares, maximum likelihood, and general moment method.
This course should adopt the teaching strategy of lecturing theory in details and encourage students to learn the practice of econometric theories through assignments and projects. To motivate students to preview course materials before class, arrange discussions during class, and enhance student’s enthusiasm and initiative in class participation would help students understand those key points of econometric methods deeply. To assign empirical homework will also help the students learn using R for econometric analysis. Also, students can learn from reading classical academic papers selectively, writing term paper, and making presentations in class.
The methods of evaluation of this course and their weights are as follows:
|Attendance |10% |
|Assignments |20% |
|Midterm Exam |20% |
|Final Exam (closed) |30% |
|Term paper |20% |
In the methods of evaluation above, the assignments come from the theoretical and application exercises in the textbook; the closed form final exam focuses on the examination of knowledge in theory; and the term paper focuses on the examination of application.
三、各教学环节学时分配
教学课时分配 (Class Schedule)
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |绪论 |1 | | |1 |
| |Introduction | | | | |
|2 |矩阵与统计基础 |1 | | |1 |
| |Basics of Matrix and Statistics | | | | |
|3 |古典线性回归模型 |4 | | |4 |
| |Classical Linear Regression Model | | | | |
|4 |最小二乘估计 |6 | | |6 |
| |Least Squares Estimation | | | | |
|5 |大样本性质 |4 | | |4 |
| |Large Sample Properties | | | | |
|6 |极大似然估计 |4 | | |4 |
| |Maximum Likelihood Estimator | | | | |
|7 |假设检验 |6 | | |6 |
| |Hypothesis Tests | | | | |
|8 |非线性回归 |4 | | |4 |
| |Nonlinear Regression | | | | |
|9 |内生性与工具变量估计 |4 | | |4 |
| |Endogeneity and Instrumental Variable | | | | |
| |Estimation | | | | |
|10 |广义最小二乘 |4 | | |4 |
| |Generalized Least Squares | | | | |
|11 |离散和受限因变量模型 |6 | | |6 |
| |Models of Discrete and Limited Dependent | | | | |
| |Variables | | | | |
|12 |面板数据模型 |4 | | |4 |
| |Panel Data Model | | | | |
|合计 | |48 | | |48 |
四、教学内容
第一章 绪论
4. 经济研究的一般范式
5. 计量经济学简介
教学重点、难点：计量经济学的分析思路
课程的考核要求：了解经济研究的基本范式，掌握计量方法的核心框架
Chapter 1 Introduction
Section 1 Research Paradigm of Economics
Section 2 Main Framework of Econometrics
Key and Difficult Points: the key points of econometric analysis
Evaluation Requirements: understand the paradigm of economic research; master general framework of econometric analysis.
第二章 矩阵与统计基础
第一节 矩阵
第二节 概率论
6. 数理统计
教学重点、难点：矩阵求导，估计量，假设检验
课程的考核要求：掌握线性代数、概率论与数理统计相关核心理论的运用
Chapter 2 Review of Matrix and Statistics
Section 1 Matrix
Section 2 Probability Theory
Section 3 Mathematical Statistics
Key and Difficult Points: vector derivatives, estimators, hypothesis testing
Evaluation Requirements: master the applications of the theories of linear algebra, probability and statistics.
第三章 古典线性回归模型
第一节 最小误差预测
第二节 古典线性回归模型假设
1. 线性结构
2. 解释变量满秩
3. 外生性
4. 残差项球型方差
5. 条件正太分布
教学重点、难点：各假设条件的现实含义
课程的考核要求：理解各假设条件的含义，掌握外生性概念
Chapter 3 Classical Linear Regression Model
Section 1 Least Squares of Predicting Error
Section 2 Assumptions of Classical Linear Regression Model
1. Linear Form
2. Full Rank of Explanatory Variables
3. Exogeneity
4. Spherical Disturbance
5. Conditional Normality
Key and Difficult Points: the practical meaning of each assumption
Evaluation Requirements: understand the meaning of the five assumptions, master the concept of exogeneity
第四章 最小二乘估计
第一节 普通最小二乘法
第二节 最小二乘估计的几何表述
1. 投影矩阵
2. 残差矩阵
第三节 部分回归
第四节 最小二乘估计概率性质
1. 无偏估计
2. 有效性
3. 条件正太分布
4. 方差无偏估计
5. 系数估计与方差估计的独立性
6. 高斯-马尔科夫定理
第五节 拟合优度
第六节 数据问题
1. 共线性
2. 数据缺失
3. 测度误差
教学重点、难点：运用普通最小二乘法的几何性质分析部分回归，将最小二乘估计的各条性质与假设条件对应起来，高斯-马尔科夫定理的推导
课程的考核要求：理解数据问题所带来的表征，掌握最小二乘法估计的几何性质、概率性质及它们的推导方法。
Chapter 4 Least Squares Estimation
Section 1 Ordinary Least Squares (OLS)
Section 2 Geometric Elaboration of Least Squares Methods
1. Projection Matrix
2. Residual Maker
Section 3 Partial Regression
Section 4 Probabilistic Properties of Least Squares Estimator
1. Unbiased Estimation
2. Efficiency
3. Conditional Normality
4. Estimator of Variance
5. Independence of Coefficient Estimator and Variance Estimator
6. Gauss-Markov Theorem
Section 5 Good of Fitness
Section 6 Data Problems
1. Multicollinearity
2. Missing Values
3. Measurement Error
Key and Difficult Points: using the geometric properties of OLS to analyze partial regression, combine each probabilistic property with the corresponding assumptions, and derive Gauss-Markov theorem
Evaluation Requirements: understand the issues of data problems, master the geometric, probabilistic properties of OLS, and the way to derive these properties
第五章 大样本性质
第一节 收敛方式
第二节 大数定律
1. 弱大数定律
2. 强大数定律
第三节 中心极限定理
7. 最小二乘估计的大样本性质
1. 一致性
2. 渐近正态分布
教学重点、难点：各种收敛方式间的关系，大数定律与中心极限定理的应用，一致性与渐近正态性的建立
课程的考核要求：理解各统计定理的应用，掌握依概率收敛概念，掌握最小二乘法估计一致性和渐近正态性的构建条件及推导方法
Chapter 5 Large Sample Properties
Section 1 Modes of Convergence
Section 2 Law of Large Numbers
1. Weak Law of Large Numbers
2. Strong Law of Large Numbers
Section 3 Central Limit Theorems
Section 4 Large Sample Properties of OLS
1. Consistency
2. Asymptotic Normality
Key and Difficult Points: the relation of each pair of modes of convergence, the application of law of large numbers and central limit theorems, the establishment of consistency and asymptotic normality
Evaluation Requirements: understand the applications of each related statistical theorems, master the concept of convergence in probability, master the establishment of consistency and asymptotic normality for least squares estimators.
第六章 极大似然估计
第一节 极大似然估计的基本原理
第二节 极大似然估计的正则条件
第三节 极大似然估计的渐近性质
1. 一致性
2. 渐近正态分布
3. 渐近有效性
第四节 线性回归模型的极大似然估计
8. 准极大似然估计
教学重点、难点：检验正则条件，建立极大似然函数，极大似然估计的渐近性质
课程的考核要求：了解正则法则的含义，掌握极大似然估计方法的原理，掌握极大似然估计量一致性、渐近正态性和渐近有效性
Chapter 6 Maximum Likelihood Estimators (MLE)
Section 1 Maximum Likelihood Methods
Section 2 Regularity Conditions of MLE
Section 3 Asymptotic Properties of MLE
1. Consistency
2. Asymptotic Normality
3. Asymptotic Efficiency
Section 4 MLE of Linear Regression Model
Section 5 Quasi Maximum Likelihood Method
Key and Difficult Points: the meaning of regularity conditions, construction of maximum likelihood function, asymptotic properties of maximum likelihood estimators
Evaluation Requirements: understand the meaning of regularity conditions, master the basic theory of maximum likelihood methods, master consistency, asymptotic normality, and asymptotic efficiency of maximum likelihood estimators
第七章 假设检验
第一节 假设检验基本方法
第二节 沃德检验
1. 单系数检验
2. 多重约束检验
第三节 似然比检验
1. 约束最小二乘估计
2. 约束极大似然估计
3. 似然比检验统计量
第四节 拉格朗日乘数检验
第五节 非嵌套模型
9. 结构突变
10. 非线性约束
教学重点、难点：假设检验的基本方法，沃德检验、似然比检验、拉格朗日乘数检验的基本原理
课程的考核要求：掌握假设检验的基本方法，了解两类错误的含义，掌握三种常用检验统计量的构建方法及其分布
Chapter 7 Hypothesis Tests
Section 1 Methodology of Hypothesis Tests
Section 2 Wald Type Test
1. t-Test of Single Coefficient
2. F-Statistic for Multiple Restrictions
Section 3 Likelihood Ratio Type Test
1. Restricted Least Squares Estimator
2. Restricted Maximum Likelihood Estimator
3. Likelihood Ratio Test Statistics
Section 4 Lagrange Multiplier (LM) Type Tests
Section 5 Nonnested Models
Section 6 Structural Breaks
Section 7 Nonlinear Restrictions
Key and Difficult Points: methodology of hypothesis tests, theories of Wald, Likelihood Ratio, Lagrange Multiplier tests
Evaluation Requirements: master the methodology of hypothesis tests, understand the meaning of two type errors, master the method of constructing the test statistics of Wald, Likelihood Ratio, Lagrange Multiplier tests, and derive their distributions
第八章 非线性回归模型
第一节 非线性经济关系
第二节 非线性回归模型
第三节 非线性最小二乘估计
1. 一致性
2. 渐近正态性
第四节 假设检验
教学重点、难点：非线性模型估计方法
课程的考核要求：了解经济中常见的非线性关系，掌握非线性最小二乘法
Chapter 8 Nonlinear Regression Models
Section 1 Nonlinear Economic Relationships
Section 2 Nonlinear Regression Models
Section 3 Nonlinear Least Squares Estimators (NLS)
1. Consistency of NLS
2. Asymptotic Normality of NLS
Section 4 Hypothesis Tests
Key and Difficult Points: estimation of nonlinear regression models
Evaluation Requirements: understand the nonlinear economic relationships, master the nonlinear least squares estimation methods
第九章 内生性与工具变量估计
第一节 经典线性回归模型的推广
第二节 估计方法
1. 最小二乘
2. 工具变量估计量
3. 两阶段最小二乘
11. 两个设定检验
1. Hausman检验
2. 过度识别检验
12. 测量误差
13. 弱工具变量
教学重点、难点：模型内生性的成因及其工具变量解决办法
课程的考核要求：了解模型内生性的成因，掌握工具变量估计法和设定检验
Chapter 9 Endogeneity and Instrumental Variable Estimation
Section 1 Extension of the Classical Linear Regression Model
Section 2 Estimation
1. Least Squares
2. The Instrumental Variables Estimator
3. Two-Stage Least Squares
Section 3 Two Specification Tests
1. The Hausman Test
2. A Test for Overidentification
Section 4 Measurement Error
Section 5 Weak Instruments
Key and Difficult Points: the cause of endogeneity in models and its solution using instrumental variables
Evaluation Requirements: understand the cause of endogeneity in models; master the instrumental variable estimation and its specification tests
第十章 广义最小二乘法
第一节 异方差
第二节 最小二乘的非有效性
第三节 异方差检验
1. 怀特一般检验
2. 布里希-佩干拉格朗日乘数检验
第四节 加权最小二乘法
1. 方差矩阵已知的加权最小二乘法
2. 方差矩阵含未知参数的加权最小二乘法
第五节 广义最小二乘法
第六节 稳健方差矩阵估计
教学重点、难点：异方差及序列相关产生的原因，异方差检验，广义最小二乘法
课程的考核要求：了解异方差及序列相关带来的估计问题，理解异方差检验方法，掌握加权最小二乘法和广义最小二乘法
Chapter 10 Generalized Least Squares
Section 1 Heteroscedasticity
Section 2 Inefficient Estimation of Least Squares
Section 3 Tests for Heteroscedasticity
1. White’s General Test
2. The Breusch–Pagan LM Test
Section 4 Weighted Least Squares
1. Weighted Least Squares with Known Covariance
2. Estimation When Covariance Matrix Contains Unknown Parameters
Section 5 Generalized Least Squares
Section 6 Robust Covariance Matrix Estimator
Key and Difficult Points: the reasons of heteroscedasticity and serial correlation, tests of heteroscedasticity, generalized least squares
Evaluation Requirements: the estimating problem of heteroscedasticity and serial correlation, master weighted least squares estimation and generalized least squares estimation
第十一章 离散与受限因变量模型
第一节 双重结果模型
1. Probit模型
2. Logit模型
第二节 多重选择模型
1. 随机效用基础
2. Multinomial Logit模型
3. 嵌套Logit模型
4. 混合Logit模型
第三节 截尾数据
1. 截尾分布
2. 截尾分布的矩
3. 截尾回归模型
第四节 删失数据
1. 删失正态分布
2. 删失回归模型
3. 删失模型估计
第五节 评估处理效应
1. 处理效应回归分析
2. 倾向指数匹配
3. 断点回归
教学重点、难点：各模型的数据特点，各模型的估计方法，各模型对应的现实经济问题
课程的考核要求：了解各模型的数据特点，掌握各模型的估计方法
Chapter 11 Models of Discrete and Limited Dependent Variables
Section 1 Models for Binary Outcomes
1. Probit Model
2. Logit Model
Section 2 Multiple Choices
1. Random Utility Basis
2. The Multinomial Logit Model
3. Nested Logit Models
4. The Mixed Logit Model
Section 3 Truncation
1. Truncated Distributions
2. Moments of Truncated Distributions
3. The Truncated Regression Model
Section 4 Censored Data
1. The Censored Normal Distributions
2. The Censored Regression (Tobit) Models
3. Estimation
Section 5 Evaluating Treatment Effects
1. Regression Analysis of Treatment Effects
2. Propensity Score Matching
3. Regression Discontinuity
Key and Difficult Points: data characteristics of each model, estimation method for each model, the corresponding economic problem of each model
Evaluation Requirements: understand the data characteristics of each model, master the estimating method of each model
第十二章 面板数据模型
第一节 模型结构
第二节 混合回归模型
1. 混合回归模型最小二乘估计
2. 稳健协方差矩阵估计
3. 用分组均值做稳健回归
第三节 固定效应模型
1. 最小二乘回归
2. 检验分组效应显著性
3. 固定时间和分组效应
第四节 随机效应模型
1. 最小二乘估计
2. 广义最小二乘估计
3. 随机效应检验
4. 随机效应豪斯曼设定检验
教学重点、难点：面板数据模型的结构，固定效应与随机效应模型的对比
课程的考核要求：理解面板数据模型的数据结构，掌握固定效应模型和随机效应模型的估计方法与设定检验方法
Chapter 12 Panel Data Model
Section 1 Model Structures
Section 2 Pooled Regression Model
1. Least Squares Estimation of the Pooled Model
2. Robust Covariance Matrix Estimation
3. Robust Estimation Using Group Means
Section 3 Fixed Effects Model
1. Least Squares Estimation
2. Testing the Significance of the Group Effects
3. Fixed Time and Group Effects
Section 4 Random Effects Model
1. Least Squares Estimation
2. Generalized Least Squares
3. Testing for Random Effects
4. Hausman’s Specification Test for the Random Effects
Key and Difficult Points: the data structure of panel data model, comparison of fixed effect and random effect panel data model
Evaluation Requirements: understand the data structure of panel data model, master the estimating method of fixed effect and random effect panel data models, master the specification test of random effect models
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
[1] Greene, W. Econometric Analysis. NJ: Prentice Hall. 2012
[2] Casella, George and Roger L. Berger, Statistical Inference, 2nd edition. Cengage Learning, 2001.
[3] Kleiber, C. and A. Zeileis, Applied Econometrics with R. Springer, 2008.
执笔人：李红军 教研室主任： 系教学主任审核签名：
《会计学原理(英语)》教学大纲
Principles of Accounting
Syllabus
课程代码：Course Code：150263A
课程类型：学科基础课
学时： Periods 48
学分： Credits：3
适用专业：金融学（金融经济）
Majors: Finance （Finance and Economics Experiment Class）
先修课程：无
Prerequisite Courses: None
一、教学目标
《会计学原理》课程主要目的是向学生讲授会计学的基本理论、基本方法和基本技能。通过课程学习，使学生了解簿记技术和会计循环的有关知识，初步掌握基本的会计核算方法和具备最基本的会计技能，培养从理财的视角对财务报表进行专业解读的能力，提升会计专业英语水平，为后续课程的学习奠定良好的会计基础。
The course of Principles of Accounting emphasizes the understanding of fundamental accounting principles and procedures. It provides basic knowledge in preparing, processing and interpreting the data about business transactions for different types of accounting information users. By developing a background for understanding and reading financial reports and for assessing position and making managerial decisions, the course equips the students with a comprehensive idea of accounting information system and specific accounting techniques.
二、教学基本要求
（一）教学内容
主要讲授的内容包括：掌握会计的职能、目标、基础以及会计要素的确认计量、会计等式等基本理论，在掌握借贷记账法原理的基础上，采用会计核算的基本方法对企业的实际经济业务进行账务处理，了解中外会计体系的异同。
The main teaching contents are basic concepts and principles of accounting for the effective use of accounting information in making decisions; basic skills and procedures of bookkeeping & double-entry bookkeeping; basic accounting models and the design of accounting systems in sole proprietorship, partnership and corporations; similarities and differences between domestic and foreign accounting systems.
（二）教学方法和手段
课堂授课以理论教授为主，组织学生分组进行主题课堂讨论。
The lectures given are mainly theoretical. Students are encouraged to discuss in group and give presentation in class.
（三）考核方式
学生分数将有三部分组成：平日作业成绩占20%、课堂参与10%和期末考试（闭卷）70%。
The grade for this course will be composed of an assignment, a final exam and class participation. The grade will be determined as follows:
Assignment 20%
Final Exam (Closed-book) 70%
Class Attendance and Participation 10%
学生成绩：
The letter grade for this course will be based on the following guidelines:
分数Points: Letter Grade:
(90 -100) A
(80 - 89) B
(70 - 79) C
(60 - 69) D
(0 -59) F
（四）学习要求
课后作业：Homework from questions from text books
学生自学：Reading Assignment for each chapter
三、各教学环节学时分配( schedule)
Class Schedule
|章节内容（Contents） |讲课 |其他 |
| |Lecture（hours） |Others |
|会计与企业概述 |3 |讨论 |
|Chapter 1 Introduction to Accounting and Business | |discussion |
|第2章 经济业务分析 |4 |课后习题 |
|Chapter 2 Analyzing Transactions | |exercises |
|第3章 调整过程 |3 |课后习题 |
|Chapter 3 The Adjusting Process | |exercises |
|第4章 完成会计循环 |4 |课后习题 |
|Chapter 4 Completing the Accounting Cycle | |exercises |
|第5章 会计系统 |3 |课后习题 |
|Chapter 5 Accounting Systems | |exercises |
|第6章 商业企业会计 |4 |讨论 |
|Chapter 6 Accounting for Merchandising Businesses | |discussion |
|第7章 存货 |3 |课后习题 |
|Chapter 7 Inventories | |exercises |
|第9章 应收款项 |3 |课后习题 |
|Chapter 9 Receivables | |exercises |
|第10章 固定资产与无形资产 |3 |课后习题 |
|Chapter 10 Fixed Assets and Intangible Assets | |exercises |
|第11章 流动负债和工资 |2 |课后习题 |
|Chapter 11 Current Liabilities and Payroll | |exercises |
|第12章 公司：组织、股票交易和股利 |3 |讨论 |
|Chapter 12 Corporations: Organization, Stock Transactions, and Dividends | |discussion |
|第13章 长期负债：债券和票据 |3 |课后习题 |
|Chapter 13 Long-Term Liabilities: Bonds and Notes | |exercises |
|第14章 投资和公允价值会计 |4 |课后习题 |
|Chapter 14 Investments and Fair Value Accounting | |exercises |
|第15章 现金流量表 |2 |课后习题 |
|Chapter 15 Statement of Cash Flows | |exercises |
|第16章 财务报表分析 |4 |课后习题 |
|Chapter16 Financial Statement Analysis | |exercises |
4. 教学内容
第1章 会计与企业概述
Chapter 1 Introduction to Accounting and Business
Contents内容：
1. Nature of business and accounting 商业与会计的性质
2. Generally accepted accounting principles公认会计准则
3. Business transactions and the accounting equation商业交易与会计等式
教学组织和设计：讲授和讨论
Teaching method: lecture and discussion
第2章 经济业务分析
Chapter 2 Analyzing Transactions
Contents：
2.1 Using accounts to record transactions使用账户记录交易
2.2 Business connection商业联系
2.3 Double entry accounting system复式记账会计系统
2.4 Posting journal entries to accounts
2.5 Trail balance试算平衡
本章教学组织和设计：讲授
Teaching method: lecture
第3章 调整过程
Chapter 3 The Adjusting Process
Contents：
3.1 Nature of the adjusting process调整过程性质
3.2 Recording adjusting entries调整分录
3.3 Summary of adjustment process调整过程总结
3.4 Adjusted trial balance调整后试算表
本章教学组织和设计：讲授
Teaching method: lecture
第4章 完成会计循环
Chapter 4 Completing the Accounting Cycle
Contents
4.1 Flow of accounting information会计信息流程
4.2 Financial statements财务报告
4.3 Closing entries结账
4.4 Accounting cycle会计循环
本章教学组织和设计：讲授
Teaching method: lecture
第5章 会计系统
Chapter 5 Accounting Systems
Contents
5.1 Basic accounting systems基本会计系统
5.2 Manual accounting systems手工会计系统
5.3 Adapting manual accounting systems采用手工会计系统
5.4 Computerized accounting systems电算化会计系统
本章教学组织和设计：讲授和讨论
Teaching method: lecture and discussion
第6章 商业企业会计
Chapter 6 Accounting for Merchandising Businesses
Contents
6.1 Nature of merchandising business商业企业性质
6.2 Financial statements for a merchandising business商业企业财务报表
6.3 Merchandising transactions商品交易
6.4 The adjusting and closing process调整与结账过程
本章教学组织和设计：讲授
Teaching method: lecture
第7章 存货
Chapter 7 Inventories
Contents:
7.1 Control of inventory存货控制
7.2 Inventory cost flow assumptions存货成本流转假设
7.3 Comparing inventory costing methods存货成本核算方法的比较
7.4 Reporting merchandise inventory in the financial statements财务报表中商业企业存货披露
本章教学组织和设计：讲授与讨论
Teaching method: lecture and discussion
第9章 应收款项
Chapter 9 Receivables
Contents：
9.1 Classification of receivables应收款项分类
9.2 Uncollectible receivables坏账
9.3 Notes receivable应收票据
9.4 Reporting receivables on the balance sheet 应收款项在资产负债表中的披露
本章教学组织和设计：讲授
Teaching method: lecture and discussion
第10章 固定资产与无形资产
Chapter 10 Fixed Assets and Intangible Assets
Contents
10.1 Nature of fixed assets固定资产性质
10.2 Accounting for depreciation固定资产折旧
10.3 Disposal of fixed assets固定资产处置
10.4 Natural resources自然资源
10.5 Intangible assets无形资产
10.6 Financial reporting for fixed assets and intangible assets固定资产与无形资产的披露
本章教学组织和设计：讲授与讨论相结合
Teaching method: lecture and discussion
第11章 流动负债和工资
Chapter 11 Current Liabilities and Payroll
Contents：
11.1 Current liabilities流动负债
11.2 Payroll and payroll taxes工资和工资税
11.3 Accounting systems for payroll and payroll taxes工资与工资税的会计核算体系
11.4 Contingent liabilities或有负债
本章教学组织和设计：讲授
Teaching method: lecture
第12章 公司：组织、股票交易和股利
Chapter 12 Corporations: Organization, Stock Transactions, and Dividends
Contents:
12.1 Nature of a corporation公司性质
12.2 Stockholders’equity所有者权益
12.3 Accounting for dividends股利
12.4 Reporting stockholders’ equity所有者权益的披露
本章教学组织和设计：讲授与讨论相结合
Teaching method: lecture and discussion
第13章 长期负债：债券和票据
Chapter 13 Long-Term Liabilities: Bonds and Notes
Contents:
13.1 Financing corporations公司融资
13.2 Nature of bonds payable应付债券性质
13.3 Accounting for bonds payable应付债券会计核算
13.4 Reporting long term liabilities长期负债披露
本章教学组织和设计：讲授
Teaching method: lecture
第14章 投资和公允价值会计
Chapter 14 Investments and Fair Value Accounting
Contents:
14.1 Why companies invest为何投资
14.2 Accounting for debt investments债务投资
14.3 Accounting for equity investments权益投资
14.4 Valuing and reporting investments核算与披露
14.5 Fair value accounting公允价值会计
本章教学组织和设计：讲授
Teaching method: lecture
第15章 现金流量表
Chapter 15 Statement of Cash Flows
Contents:
15.1 Reporting cash flows 现金流量披露
15.2 Statement of cash flows现金流量表
本章教学组织和设计：讲授与讨论相结合
Teaching method: lecture and discussion
第16章 财务报表分析
Chapter16 Financial Statement Analysis
Contents:
16.1 Basic analytical methods基本分析方法
16.2 Solvency analysis偿付能力分析
16.3 Profitability analysis盈利能力分析
16.4 Corporate annual reports公司年报
本章教学组织和设计：讲授与讨论相结合
Teaching method: lecture and discussion
五、其它
授课语言: 英语
Instructional language: English
六、指定教材和主要学习参考书
指定教材：
1. Principles of Accounting, Author: John J. Wild, Ken Shaw and Barbara Chiappetta， Publisher: McGraw-Hill， International Edition: 19th edition , Renmin University of China
2. Essentials of Accounting, Author: Leslie K. Breitner, Robert N. Anthony
Publisher: Pearson， International Edition: 11th edition, Tsinghua University
主要学习参考书：
1．Financial accounting， Harrison Horngren，Prentice Hall， 4th Edition；
2． Financial accounting， Kimmel Weygandt Kieso，John Wiley & Sons, Inc.， 2nd Edition；
执笔人： 教研室主任： 系教学主任审核签名：
《金融市场与机构》教学大纲
“Financial Markets and Institutions” Course Outline
课程编号： 151102A
课程类型：选修课
总 学 时： 32 讲课学时： 32 实验（上机）学时：无
学 分：2
适用对象：经济学、管理学、金融学等
先修课程：微观经济学、宏观经济学
Course Code: 151102A
Course Type: Selective course
Periods: 32 Lecture: 32 Experiment (Computer): None
Credits: 2
Applicable Subjects: Economics, Finance, Management
Preparatory Courses: Microeconomics (not required), Macroeconomics
一、课程的教学目标
这是一门面向经济学、金融学和管理学等专业本科生介绍关于金融市场与机构历史、现状及发展的基础知识和基础理论的课程。本门课着力于将理论与实际紧密相连，可以帮助学生理解:(1)金融市场和机构在如何运作;(2)金融机构与金融创新如何影响银行和经济结构；(3)货币政策，经济周期与其它经济变量间的联系。学完本门课程，学生应对经济活动中金融市场和机构所扮演的角色有系统的理解和认识，并具备分析宏观经济变动对各金融市场各组成影响的能力。
This is a specialized course in the basic knowledge and theory about the history, current and future outlook of financial markets and financial institutions for students majoring in Economics, Finance and Management. This course closely combines theory and practice. This course helps the student in understanding:(1) how financial markets and institutions work in the economy;(2) how financial intermediation and financial innovation affect banking and the economy; (3) the basic links among monetary policy, the business cycle, and economic variables。 After learning this course, the student should be able to identify and explain the functions of financial markets and financial institutions in the real economy. Furthermore, they should also be able to analyze how macroeconomic shocks affect the financial system.
二、教学基本要求（黑体，小四号字）
本课程主要是从经济学的角度来学习金融系统。全课程的核心包括两个层次的难点1，股市，债市，和货币市场组成元素、运行规则以及市场价格形成机制。2，运用经济学理论来分析宏观变量对于各个市场以及产品价格的影响。为了达到这个目标，需要紧密联系现实情况，通过分析热点问题培养学生学兴趣，同时揭示信息不对称以及机制设计等学习难点，让学生更快且更深入的理解整个金融市场的运作。对于学生不仅需要他们了解书本上的知识，更需要紧密地追踪市场新闻，并且不断地利用所学的知识来进行分析，并根据市场走势来验证自己的判断。本课程预计将设计8次作业并采用两次期中一次期末的闭卷考试方式进行考核。本课最终的成绩将取决于出勤，作业以及考试的加总。分数加总的方式如下
| |总分数 （100%） |
|项目 |出勤 |作业 |期中1 |期中2 |期末 |
|分项权重 |5% |15% |15% |20% |45% |
This course studies the financial system from an economic perspective. Students will examine major financial assets and markets, financial intermediation, central banking and monetary policy. To help students construct the understanding of financial markets quickly, this course divides financial markets and institutions into two levels. The first level is based on the discussion of the components of financial markets which include the operations of financial markets and the price setting mechanism. The second level is based on analyzing how economic conditions affect the components of financial markets and institutions. Before embarking on the study of this course, the student must be convinced that financial market and institutions is an exciting field because it focuses on economic phenomena that affect everyday life. Talking about the data and news from real markets helps the students to get familiar with the real world and strengthen their abilities to apply the theories from this course to analyzing the real markets. There should be around 8 problem sets, two midterm exams, and one final exam for this course. The course grade is based on lecture attendance, assignments, and exams. They will count toward the total numerical grade as follows:
| |Total Numerical Grade（100%） |
|Item |Attendance |Assignment |Midterm I |Midterm II |Final |
|Percent |5% |15% |15% |20% |45% |
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |绪论 |1 | | |1 |
|2 |金融市场 |7 | | |7 |
|3 |金融机构 |8 | | |8 |
|4 |央行和货币政策 |8 | | |8 |
|5 |货币理论 |8 | | |8 |
|合计 | |32 | | |32 |
Time Distribution
|No. |Content |Hours |Lab |Others |Total |
|1 |Introduction |1 | | |1 |
|2 |Financial Markets |7 | | |7 |
|3 |Financial Institutions |8 | | |8 |
|4 |Central Banking and the Conduct of Monetary Policy |8 | | |8 |
|5 |Monetary Theory |8 | | |8 |
|Total | |32 | | |32 |
四、教学内容
第1章 绪论
第一节 为什么学习金融市场与金融机构
8. 为什么学习金融市场？
9. 为什么学习金融机构？
10. 为什么学习货币和货币政策？
第二节 金融系统总览
1. 金融市场功能
7. 金融市场结构
8. 金融市场工具
第二节 什么是货币
1. 货币的定义和功能
2. 支付系统的演变
教学重点、难点：了解金融市场与金融中介对资本的分配意义，货币的经济学意义
课程的考核要求：熟练掌握金融市场的基本组成，掌握货币经济学意义
Chapter 1 Introduction
Section 1 Why Study Money, Banking, and Financial Markets?
6. Why Study Financial Markets?
7. Why Study Financial Institutions and Banking?
8. Why Study Money and Monetary Policy?
Section 2 An Overview of the Financial System
1. Function of Financial Markets
2. Structure of Financial Markets
Section 3 What is Money
3. Meaning and Functions of Money
4. Evolution of the Payments System
Key and Difficult Points: the functions of financial markets and financial intermediates in distributing the capital, understand money from an economic pespective
Evaluation Requirements: be proficient in understanding the construction of financial markets, master the meaning of monetary economics
第2章 金融市场
第一节 利率的定义
1. 测量利率
2. 利率与收益的区别
3. 实际与名义利率
第二节 利率的行为
1. 资产需求决定要素
2. 债券市场的供给与需求
3. 均衡利率的变动
第三节 利率的风险与期限结构
1. 利率的风险结构
2. 利率的期限结构
教学重点、难点：利率与收益的区别，有效市场假说，债券市场利率决定
课程的考核要求：熟练掌握利率的决定因素，熟练掌握债券市场对利率的影响
Chapter 2 Financial Markets
Section 1 The Meaning of Interest Rates
1. Measuring Interest Rates
2. The Distinction Between Interest Rates and Returns
3. The Distinction Between Real and Nominal Interest Rates
Section 2 The Behavior of Interest Rates
1. Determinants of Asset Demand
2. Supply and Demand in the Bond Market
3. Changes in Equilibrium Interest Rates
Section 3 The Risk and Term Structure of Interest Rates
1. Risk Structure of Interest Rate
2. Term Structure of Interest Rates
Key and Difficult Points: Distinguish the difference between interest rate and return, Efficient Market Hypothesis, How the market sets interest rate
Evaluation Requirements: be proficient in explaining the determinants for interest rates, be proficient in explaining the performance of bond rates in bond markets,
第3章 金融机构
第一节 金融结构的经济学分析
1. 世界金融结构的基本特点
2. 交易成本
3. 不对称信息
4. 逆向选择对金融结构的影响
5. 道德风险对股票与债券市场影响
第二节 银行系统与金融机构管理
1. 银行资产负债表
2. 银行基本知识
3. 银行管理概要
4. 信贷风险管理
5. 利率风险管理
6. 表外业务
第三节 金融监管的经济学分析
1. 不对称信息
2. 金融监管种类
第四节 银行产业：结构与竞争
1. 银行系统的历史发展
2. 金融创新与影子银行
3. 商业银行结构
4. 全球银行结构比较
5. 分业与混业经营
第五节 非银行金融
1. 保险业
2. 年金
3. 金融公司
4. 债券公司
5. 共同基金
6. 对冲基金
7. 私募及风险投资
教学重点、难点：不对称信息，金融危机成因，银行资产负债表管理，利益冲突原理
课程的考核要求：熟练掌握不对称信息在金融市场中的表现，理解利率的决定因素，理解金融危机的成因和表现，熟练掌握非银行金融部门种类和职能
Chapter 3 Financial Institutions
Section 1 An Economic Analysis of Financial Structure
1. Basic Facts About Financial Structure Throughout the World
2. Transaction Costs
3. Asymmetric Information: Adverse Selection and Moral Hazard
4. The Lemons Problem: How Adverse Selection Influences Financial Structure
5. How Moral Hazard Affects the Choice Between Debt and Equity Contracts
Section 2 Banking and the Management of Financial Institutions
1. The Bank Balance Sheet
2. Basic Banking
3. General Principles of Bank Management
4. Managing Credit Risk
5. Managing Interest-Rate Risk
6. Off-Balance-Sheet Activities
Section 3 Economic Analysis of Financial Regulation
1. Asymmetric Information as a Rationale for Financial Regulation
2. Types of Financial Regulation
Section 4 Banking Industry: Structure and Competition
1. Historical Development of the Banking System
2. Financial Innovation and the Growth of the “Shadow Banking System”
3. Structure of the U.S. Commercial Banking Industry
4. Separation of Banking and Other Financial Service Industries
Section 5 Nonbank Finance
1. Insurance
2. Pension Funds
3. Finance Companies
4. Securities Market Operations
5. Mutual Funds
6. Hedge Funds
7. Private Equity and Venture Capital Funds
Key and Difficult Points: Asymmetric information, management of Bank Balance Sheet
Evaluation Requirements: be Proficient in Explaining the Phenomenon caused by Asymmetric Information, be Proficient in understanding the Functions and Components of Nonbank Finance
第4章 中央银行与货币政策
第一节 中央银行与美联储
1. 美联储的起源
2. 美联储的架构
3. 美联储的独立性
4. 其他国家央行的独立性
第二节 货币供给
1. 货币供给的三个决定者
2. 美联储的资产负债表
3. 控制基础货币
4. 储蓄创造：一个简单模型
5. 货币供给的决定因素
6. 货币供给总览
7. 货币乘数
第三节 货币政策工具
1. 储备金和联邦基金
2. 传统储备金利率
3. 非传统货币工具和量化宽松
教学重点、难点：美联储架构，货币供给决定因素，传统货币工具与非传统货币工具的优缺点
课程的考核要求：了解美联储架构，熟悉掌握货币供给原理，熟练掌握传统与非传统货币政策意义
Chapter 4 Central Banking and The Conduct of Monetary Policy
Section 1 Central Banks and the Federal Reserve System
1. Origins of the Federal Reserve System
2. Structure of the Federal Reserve System
3. How Independent Is the Fed?
4. Structure and Independence of Other Central Banks
Section 2 The Money Supply Process
1. Three Players in the Money Supply Process
2. The Fed’s Balance Sheet
3. Control of the Monetary Base
4. Multiple Deposit Creation: A Simple Model
5. Factors that Determine the Money Supply
6. Overview of the Money Supply Process
7. The Money Multiplier
Section 3 Tools of Monetary Policy
1. The Market for Reserves and the Federal Funds Rate
2. Conventional Monetary Interest on Reserves
3. Nonconventional Monetary Policy Tools and Quantitative Easing
Section 4 The Conduct of Monetary Policy: Goals, Strategy, and Tactics
1. The Price Stability Goal and the Nominal Anchor
2. Other Goals of Monetary Policy
3. Should Price Stability Be the Primary Goal of Monetary Policy?
4. Inflation Targeting
5. The Evolution of the Federal Reserve’s Monetary Policy Strategy
Key and Difficult Points: The framework of Fed, Factors Affect Money Supply, Conventional and Unconventional Monetary Tools, Goals of Monetary Policies and Plausibility
Evaluation Requirements: Understand the Framework of Federal Reserve Banks, be Proficient in Explaining the Theory of Money Supply, Master the theories of Conventional and Unconventional Monetary Policies
第5章 货币理论
第一节 数量理论，通胀，和货币需求
1. 货币数量理论
2. 预算赤字和通胀
3. 凯恩斯理论和货币需求
4. 货币需求的资产组合理论
5. 货币需求的实证证据
第二节 总需求总供给分析
1. 总需求
2. 总供给
3. 总供给曲线变化
4. 总需求与供给分析
5. 总供给与需求冲击
第三节 货币政策理论
1. 货币政策对冲击的反应
2. 政策制定者需要多积极地稳定经济
3. 通胀：一直而且到处都是货币现象
第四节 货币政策的传导理论
1. 货币政策传导理论
2. 货币政策教训
教学重点、难点：货币需求理论，货币供给需求分析
课程的考核要求：掌握货币数量理论，熟练掌握凯恩斯的货币需求理论，掌握货币需求资产组合理论，熟练掌握货币总需求总供给理论，理解货币政策对金融冲击的反应，掌握货币政策的传导理论
Chapter 5 Monetary Theory
Section 1 Quantity Theory, Inflation, and the Demand for Money
1. Quantity Theory of Money
2. Budget Deficits and Inflation
3. Keynesian Theories of Money Demand
4. Portfolio Theories of Money Demand
5. Empirical Evidence for the Demand for Money
Section 2 Aggregate Demand and Supply Analysis
1. Aggregate Demand
2. Aggregate Supply
3. Shifts in the Aggregate Supply Curves
4. Equilibrium in Aggregate Demand and Supply Analysis
5. Aggregate Supply and Demand Shocks
Section 3 Monetary Policy Theory
1. Response of Monetary Policy to Shocks
2. How Actively Should Policymakers Try to Stabilize Economic Activity?
3. Inflation: Always and Everywhere a Monetary Phenomenon
Section 4 Transmission Mechanisms of Monetary Policy
1. Transmission Mechanisms of Monetary Policy
2. Lessons for Monetary Policy
Key and Difficult Points: the Theory of Money Demand, the Theory of Money Supply, the theory of Monetary Policies at the Zero Lower Bound
Evaluation Requirements: Master Quantity Theory of Money, be Proficient in Using Keynesian Theories of Money Demand, be Proficient in Using Aggregate Demand and Supply Analysis, understand the Policy Reactions to Financial Shocks, Master the Transmission Mechanisms of Monetary Policy
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
[1] Frederic S. Mishkin, the Economics of Money Banking & Financial Markets: The Business School Edition, Tenth Edition. Pearson Eduction,Inc. 2013
执笔人： 周子彭 教研室主任： 系教学主任审核签名：
《经济学原理（英语）》教学大纲
“Principles of Economics” Course Outline
课程编号：151103A
课程类型：专业必修课
总 学 时：48 讲课学时：48 实验（上机）学时：0
学 分：3
适用对象：经济学、金融学、管理学等
先修课程：大学英文
Course Code: 151103A
Course Type: Compulsory Course
Total Hours: 48 Lecture Hours: 48 Lab Hours: 0
Credits: 3
Applicable Majors: Economics, Finance, Management, etc.
Prerequisites: University English
一、课程的教学目标 (Course Objectives)
经济学原理是经济、金融类等专业的本科生的专业必修课程，旨在为学生提供基础的经济学理论以及经济学家的思维模式。通过课堂上对经济学相关原理的学习和掌握，学生可以运用所学的概念和工具对现实生活中发生的各种经济现象进行更专业和理论的分析，并且为后续课程的学习打下坚实的基础。
Principles of Economics is a compulsory course for undergraduate students majoring in Economics, Finance etc. This course is designed to provide students with a fundamental understanding of the principles of economics and the way how an economist thinks. Upon successful completion, students will be able to use the concepts and tools discussed throughout the course to better perceive and analyze issues that confront us in the real world. At the end of the term, students will be familiar with the terminologies and basic concepts in economics in preparing for the higher level economics courses.
二、教学基本要求 (Course Requirements)
经济学是一门对生产、分配，以及对商品货物和服务的消费的一种学习--经济。经济学依照惯例被分为两个大类：微观经济学和宏观经济学。微观经济学主要学习在不同市场结构下消费者和生产者之间的相互作用和影响，以及这种相互作用和影响所带来的资源和财富的分配。另一方面，宏观经济学主要学习整个国家作为一个经济体是怎样运作的以及怎样为了整个民族的总的健康幸福做最优的选择。这门课程通过对微观及宏观经济学两个部分的学习，启蒙学生的经济学思维，鼓励学生结合所学概念对现实生活的各种现象进行积极主动的思考与讨论，并且通过课堂研讨，课堂问答，课堂练习题，随堂考试，和课后作业等方式，帮助学生消化并吸收课堂上所学内容。
本课程的考核方式如下：
出勤及作业： 10%
随堂考试： 20%
期中闭卷考试： 30%
期末闭卷考试： 40%
Economics is the study of the production, distribution, and consumption of goods and services - the economy. Economics is conventionally divided into two parts: microeconomics and macroeconomics. Microeconomics study how consumers and producers interact in different market structures and how this interaction leads to the allocation of resources and wealth. Macroeconomists, on the other hand, study how a country’s economy works and try to determine the best choices to improve the overall wellbeing of a nation. This course will inspire students with the basic theory of economics and economic thinking. Students are encouraged to apply the concepts learnt from the class to the real issues and engage in class discussions. In order to do well in this course, students are required to come and participate in class, do homework, take in class quizzes and exams.
The evaluation of this course is as follows:
Attendance and assignments: 10%
In Class Quizzes: 20%
Midterm Exam: 30%
Final Exam: 40%
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|Number |Content |Lecture |Lab |Others |Total |
|1 |经济学十大原理 |3 | | |3 |
| |Ten Principles of Economics | | | | |
|2 |像经济学家一样思考 |2 | | |2 |
| |Think Like an Economist | | | | |
|3 |相互依存性与贸易的好处 |2 | | |2 |
| |Interdependence and the Gains from Trade | | | | |
|4 |供给与需求的市场力量 |4 | | |4 |
| |The Market Forces of Supply and Demand | | | | |
|5 |弹性及其应用 |4 | | |4 |
| |Elasticity and Its Application | | | | |
|6 |供给、需求与政府政策 |4 | | |4 |
| |Supply, Demand, and Government Policies | | | | |
|7 |消费者、生产者与市场效率 |4 | | |4 |
| |Consumers, Producers, and the Efficiency | | | | |
|8 |应用：赋税的代价 |2 | | |2 |
| |Application: The Cost of Taxation | | | | |
|9 |一国收入的衡量 |3 | | |3 |
| |Measuring a Nation’s Income | | | | |
|10 |生活费用的衡量 |2 | | |2 |
| |Measuring the Cost of Living | | | | |
|11 |生产与增长 |2 | | |2 |
| |Production and Growth | | | | |
|12 |储蓄、投资和金融体系 |4 | | |4 |
| |Saving, Investment, and the Financial System | | | | |
|13 |失业与自然失业率 |4 | | |4 |
| |Unemployment | | | | |
|14 |货币制度 |4 | | |4 |
| |The Monetary System | | | | |
|15 |货币增长与通货膨胀 |4 | | |4 |
| |Money Growth and Inflation | | | | |
| | | | | | |
|合计 | |48 | | |48 |
|Total | | | | | |
四、教学内容
第一章 经济学十大原理
Chapter 1: Ten Principles of Economics
第一节 人们怎样做决定
Section 1: How People Make Decisions
第二节 人们怎样互动
Section 2: How People Interact
第三节 经济是怎样运作的
Section3: How the Economy as a Whole Works
教学重点、难点：经济学十大原理相关概念的理解与恰当运用。
课程的考核要求：初步了解经济学的基础概念，理解经济学的十大基本原理及其运用。
复习思考题：
1.什么是机会成本？
2.“看不见的手”在市场经济里起什么作用？
Key and Difficult Points: The understanding of key concepts of ten principles of Economics and its application.
Evaluation Requirements: Understanding the basic concept of economics and its ten principles.
Questions:
4. What is opportunity cost?
5. What does the “invisible hand” of the market place do?
第二章 像经济学家一样思考
Chapter 2: Think Like an Economist
第一节 经济学家如同科学家
Section 1: The Economist as Scientist
第二节 经济学家如同政策顾问
Section 2: The Economist as Policy Adviser
第三节 为什么经济学家意见不一
Section3: Why Economists Disagree
教学重点、难点：不像其他的科学，虽然在经济学领域里做试验比较困难，而且经济学家的意见通常也不一致，经济学仍然是科学的一种。
课程的考核要求：理解并掌握循环流动模型和生产可能性边界曲线。
复习思考题：
4. 为什么经济学家做假设？
5. 用生产可能性边界曲线解释“效率”？
Key and Difficult Points: Understand economics is a science although experiments in Economics are usually hard to conduct comparing to other sciences such as physics and economists often disagree with each other.
Evaluation Requirements: Understanding the Circular-Flow Diagram and the Production Possibilities Frontier.
Questions:
1. Why do economists make assumptions?
2. Use a production possibilities frontier to describe the idea of “efficiency”？
第三章 相互依存性与贸易的好处
Chapter 3: Interdependence and the Gains from Trade
第一节 现代经济的一个寓言
Section 1: A Parable for the Modern Economy
第二节 相对优势：专业化的动力
Section 2: Comparative Advantage: The Driving Force of Specialization
第三节 相对优势的运用
Section3: Applications of Comparative Advantage
教学重点、难点：理解贸易双赢的概念和机会成本与相对优势之间的关系。
课程的考核要求：区别绝对优势和相对优势，理解为什么相对优势带来生产专业化。
复习思考题：
1. 绝对优势和相对优势哪个对贸易更重要？解释你的选择。
2. 为什么经济学家反对限制国家之间贸易的政策？
Key and Difficult Points: Understand trade making both party better off and the concept of comparative advantages.
Evaluation Requirements: Understand the difference between absolute and comparative advantages and why comparative advantage is the driving force of specialization.
Questions:
1. Is absolute advantage or comparative advantage more important for trade? Explain your answer.
2. Why do economists oppose policies that restrict trade among nations?
第四章 供给与需求的市场力量
Chapter 4: The Market Forces of Supply and Demand
第一节 市场与竞争
Section 1: Markets and Competition
第二节 需求
Section 2: Demand
第三节 供应
Section3: Supply
第四节 供求关系
Section 4: Supply and Demand Together
教学重点、难点： 学习并掌握供求和价格之间的关系并且理解影响供求曲线变动的因素。
课程的考核要求：熟练掌握影响供求曲线移动的因素。
复习思考题：
1. 什么是供求列表和供求曲线以及他们之间的联系？
2. 为什么需求曲线向下倾斜而供应曲线向上倾斜？
3. 定义市场均衡。 解释是什么促使市场移向它的均衡点？
Key and Difficult Points: Understand the relationship between price and quantity demanded and relationship between price and quantity supplied. Understand what variables that can shift demand or supply curve.
Evaluation Requirements: Understand the difference between movement along the demand or supply curve and shifts in the demand or supply curve.
Questions:
1. What are the demand/supply schedule and the demand/supply curve and how are they related? Why does the demand/supply curve slope downward/upward?
2. Define the equilibrium of a market. Explain the forces that move a market toward its equilibrium?
第五章 弹性及其应用
Chapter 5: Elasticity and Its Application
第一节 需求弹性
Section 1: The Elasticity of Demand
第二节 供应弹性
Section 2: The Elasticity of Supply
第三节 供求与弹性的应用
Section3: Three Applications of Supply, Demand, and Elasticity
教学重点、难点： 学习计算需求和供给的价格弹性，理解总收入与价格弹性之间的关系。
课程的考核要求：要求熟练掌握价格弹性的定义和计算方法，区别供求弹性价格与供求不弹性价格以及不同弹性对总收入的影响。
复习思考题：
1. 列出并解释影响需求价格弹性的四个因素？
2. 如果需求是单位恒一弹性，价格的下调会怎样影响总收入？解释。
Key and Difficult Points: Learn how to compute the price elasticity of demand or supply. Understand the impact on total revenue by different price elasticity of demand or supply.
Evaluation Requirements: Understand the definition of price elasticity of demand or supply and know how to compute them. Study the different degrees of elasticity of demand and supply and how they affect the total revenue.
Questions:
1. List and explain the four determinants of the price elasticity of demand?
2. If demand is unit elastic, how will a decline in price affect total revenue? Explain.
第六章 供给、需求与政府政策
Chapter 6: Supply, Demand, and Government Policies
第一节 价格控制
Section 1: Controls on Prices
第二节 税收
Section 2: Taxes
第三节 弹性与税收率
Section3: Elasticity and Tax Incidence
教学重点、难点： 学习价格最高和最低限度的定义以及它们对市场平衡结果的影响，学习这样的理论在实际政策上的应用。
课程的考核要求：理解并掌握政策定制的最高和最低价格对市场结果的改变。
复习思考题：
1. 什么会引起货物短缺，是最高价格还是最低价格？又是什么会引起货物过剩呢？
2. 税收是怎样影响消费者购买的价格和商家得到的价钱以及会有多少货物可以卖掉？
Key and Difficult Points: Study the definition of price ceiling and price floor and how they affect the market outcomes. Study the applications on policy from the theory.
Evaluation Requirements: Understand the impact of such policies on the market outcomes.
Questions:
1. What causes a shortage of a good-price ceiling or a price floor? Which causes a surplus?
2. How does a tax on a good affect the price paid by buyers, the price received by sellers, and the quantity sold?
第七章 消费者、生产者与市场效率
Chapter 7: Consumers, Producers, and the Efficiency
第一节 消费者盈余
Section 1: Consumer Surplus
第二节 供应商盈余
Section 2: Producer Surplus
第三节 市场效率
Section3: Market Efficiency
教学重点、难点：学习利用需求和供给曲线去测量消费者盈余和生产者盈余以及怎样计算总盈余。
课程的考核要求：理解消费者盈余和生产者盈余的定义和熟练掌握怎样计算总盈余，理解市场效率最大化的概念。
复习思考题：
1. 在供求图形里，画出在市场平衡下的消费者盈余和生产者盈余。
2. 什么是市场效率？这是经济政策制定者唯一要达到的目标吗？
Key and Difficult Points: Study how to measure consumer/producer surplus using demand/supply cure. Study how to calculate total surplus.
Evaluation Requirements: Understand the definition of consumer/producer surplus and efficiency. Know how to calculate total surplus.
Questions:
1. In a supply-and-demand diagram, show producer and consumer surplus in the market equilibrium.
2. What is efficiency? Is it the only goal of economic policymakers?
第八章 应用：赋税的代价
Chapter 8: Application: The Cost of Taxation
第一节 税收的无谓损失
Section 1: The Deadweight Loss of Taxation
第二节 造成无谓损失的决定因素
Section 2: The Determinants of the Deadweight Loss
第三节 税收变化时的无谓损失和税收收益
Section3: Deadweight Loss and Tax Revenue as Taxes Vary
教学重点、难点： 理解税收对市场平衡结果的影响和税收带来的无谓损失。 学习影响无谓损失的因素。
课程的考核要求：掌握无谓损失的定义和价格弹性以及税收额度对无谓损失的影响。
复习思考题：
1. 画在对商品征求税收情形下的供给图形，并且画出无谓损失和税收收入。
2. 供求弹性是怎样影响税收带来的无谓损失的？为什么他们有这样的影响？
Key and Difficult Points: Understand how a tax affects market participants and the deadweight loss of taxation. Learn the determinants of the deadweight loss.
Evaluation Requirements: Know the definition of deadweight loss and how elasticity affects the deadweight loss.
Questions:
1. Draw a supply-and-demand diagram with a tax on the sale of the good? Show the deadweight loss. Show the tax revenue.
2. How do the elasticity of supply and demand affect the deadweight loss of a tax？Why do they have this effect?
第九章 一国收入的衡量
Chapter 9: Measuring a Nation’s Income
第一节 国内生产总值的侧量
Section 1: The Measurement of Gross Domestic Product
第二节 国内生产总值的构成部分
Section 2: The Components of GDP
第三节 实质国内生产总值和名义国内生产总值的对比
Section3: Real versus Nominal GDP
教学重点、难点： 学习国内生产总值的计算和构成部分。区别实质国内生产总值和名义国内生产总值。
课程的考核要求：明确并熟练掌握国内生产总值的定义和计算方式。熟练掌握国内生产总值的紧缩指数的计算。
复习思考题：
1. 解释为什么一个国家的经济总收入必须等于它的总消费？
2. 为什么经济学家要用实质国内生产总值而不用名义国内生产总值来评估一个国家经济的良好状态？
Key and Difficult Points: Study the measurement of Gross Domestic Product and its components. Understand the difference between real GDP and nominal GDP.
Evaluation Requirements: Know the exact definition of GDP and how to measure it. Know how to calculate the GDP deflator.
Questions:
1. Explain why an economy’s income must equal its expenditure.
2. Why do economists use real GDP rather than nominal GDP to gauge economic well-being?
第十章 生活费用的衡量
Chapter 10: Measuring the Cost of Living
第一节 消费者物价指数
Section 1: The Consumer Price Index
第二节 通货膨胀影响下需要修正的变量
Section 2: Correcting Economic Variables for the Effects of Inflation
教学重点、难点：学习消费者物价指数的计算和通货膨胀率的计算。学习国内生产总值紧缩指数与消费者物价指数之间的区别。
课程的考核要求：明确知道消费者物价指数的定义及熟练掌握其算法，并且知道怎样通过消费者物价指数计算通货膨胀率和比较不同时间段的收入或者物价。
复习思考题：
1. 为什么消费者物价指数和国内生产总值紧缩指数算出来的通货膨胀率不一样？举例解释。
2. 解释真实利率和名义利率的区别，它们之间是怎样联系的？
Key and Difficult Points: Study the consumer index and its calculation. Learn the difference between the GDP deflator and the CPI.
Evaluation Requirements: Know the exact definition of CPI and how to calculate it. Know how to use CPI in different years to calculate the inflation and dollar figures from different times.
Questions:
1. Why the inflation rates calculated from GDP deflator and CPI are different?
2. Explain the meaning of nominal interest rate and real interest rate. How are they related?
第十一章 生产与增长
Chapter 11: Production and Growth
第一节 世界经济增长
Section 1: Economic Growth around the World
第二节 生产力：它的角色和因素
Section 2: Productivity: Its Role and Determinants
第三节 经济增长和公共政策
Section3: Economic Growth and Public Policy
教学重点、难点： 学习并掌握生产力的重要性和影响生产力的因素以及政府如何可以提高国民生产力和生活水平。
课程的考核要求：理解社会的生活水平建立在它的生产力上，掌握决定生产力的因素。
复习思考题：
1. 列举四个影响生产力水平的因素。
2. 人口增长是怎样影响人均国内生产总值的？
Key and Difficult Points: Study the importance of productivity and its determinants. Understand what government policy can do to raise productivity and living standards.
Evaluation Requirements: Understand that a society’s standard of living depends on its ability to produce goods and services, its productivity. Learn the determinants of productivity.
Questions:
1. List and describe four determinants of productivity.
2. How does the rate of population growth influence the level of GDP per person?
第十二章 储蓄、投资和金融体系
Chapter 12: Saving, Investment, and the Financial System
第一节 美国金融机构
Section 1: Financial Institutions in the U.S. Economy
第二节 国民收入账目里的储蓄和投资
Section 2: Saving and Investment in the National Income Accounts
第三节 可贷资金市场
Section3: The Market for Loanable Funds
教学重点、难点：了解美国金融机构和储存与投资之间的联系。学习金融机构怎样协调经济体里的储存和投资。
课程的考核要求：初步了解美国金融机构的重要性。熟练掌握可贷资金市场模型以及政府政策如何通过可贷资金市场调控国民储蓄和投资。
复习思考题：
1. 金融机构的角色是什么？举出并描述两个美国金融机构里的市场。
2. 什么是投资？投资和国民储蓄有什么联系？
Key and Difficult Points: Understand the financial system in the U.S. economy. Learn how financial markets coordinate the economy’s saving and investment.
Evaluation Requirements: Understand the importance of financial system and learn how government policies influence saving and investment through the market for loanable funds.
Questions:
1. What is the role of the financial system? Name and describe two markets that are part of the financial system in the U.S. economy.
2. What is investment? How is it related to national saving?
第十三章 失业与自然失业率
Chapter 13: Unemployment
第一节 识别失业
Section 1: Identifying Unemployment
第二节 工作寻找
Section 2: Job Search
第三节 最低工资法
Section3: Minimum-Wage Laws
第四节 工会和集体谈判
Section3: Unions and Collective Bargaining
第五节 效率工资
Section3: TheTheory of Efficiency Wage
教学重点、难点：学习失业定义，学习计算劳动参与率和失业率。理解为什么尽管经济发展状况良好，但是社会上还是总有失业的人。
课程的考核要求：掌握计算劳动参与率，失业率。理解摩擦性失业不可避免，掌握有效工资理论。
复习思考题：
1. 失业一般来说是短期的还是长期的？解释。
2. 工会是怎样影响自然失业率的？
Key and Difficult Points: Study the definition of unemployment and how to calculate labor-force participation rate and unemployment rate. Understand there always some workers without jobs even when the overall economy is doing well.
Evaluation Requirements: Know how to calculate unemployment rate and participation rate. Understand why frictional unemployment is inevitable. Understand the theory of efficiency wages.
Questions:
1. Is unemployment typically short-term or long term? Explain.
2. How do unions affect the natural rate of unemployment?
第十四章 货币制度
Chapter 14: The Monetary System
第一节 货币的意义
Section 1: The Meaning of Money
第二节 美国联邦储蓄系统
Section 2: The Federal Reserve System
第三节 银行和货币供应
Section3: Banks and the Money Supply
教学重点、难点：了解货币的意义，功能及货币的种类。初步了解美国联邦储蓄系统。学习银行怎样通过货币乘数效应影响货币供应从而使美联储控制货币供应的工作复杂化。
课程的考核要求：了解货币功能。理解银行的部分储蓄制度以及掌握银行怎样通过货币乘数影响货币供应。学习并掌握美联储控制货币的工具。
复习思考题：
1. 区分货币与其他资产的是什么？
2. 银行部分储蓄率的要求是什么？如果美联储升高了部分储蓄率的要求，货币供应会怎样？
Key and Difficult Points: Understand the meaning, functions and kinds of money. Know the function of the Federal Reserve. Study how banks can manipulate money supply by the money multiplier and how they complicate the Fed’s job of controlling the money supply.
Evaluation Requirements: Know the functions of money. Understand the fractional-reserve banking system and how the money multiplier creates money. Understand the Fed’s tool of money control.
Questions:
1. What distinguishes money from other assets in the economy?
2. What are reserve requirements? What happens to the money supply when the Fed raises reserve requirements?
第十五章 货币增长与通货膨胀
Chapter 15: Money Growth and Inflation
第一节 通货膨胀的经典理论
Section 1: The Classical Theory of Inflation
第二节 通货膨胀的代价
Section 2: The cost of Inflation
教学重点、难点：学习经典通货膨胀理论和怎样计算货币流通速度。学习菲舍尔效应和通货膨胀的代价。
课程的考核要求：熟练掌握计算货币流通速度，理解通货膨胀带来的各种成本。
复习思考题：
1. 根据货币数量理论，增加货币数量的影响是什么？
2. 通货膨胀的代价是什么？你认为哪种代价在我们国家是最重要的？
Key and Difficult Points:
Evaluation Requirements: Questions:
1. According to the quantity theory of money, what is the effect of an increase in the quantity of money?
2. What are the costs of inflation? Which of these costs do you think are most important for the economy in our country?
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedules according to the capability of students.
六、主要参考书
[1] N. Gregory Mankiw, 2009. Principles of Economics (4th edition), Cengage Learning Asia Pte Ltd.
[2] N. Gregory Mankiw, 2009. 经济学原理 (第四版), 清华大学出版社
执笔人：尚英 教研室主任： 系教学主任审核签名：
《中级微观经济学》教学大纲
Intermediate Microeconomics Syllabus
课程编号：151113A
Course Code: 151113A
课程类型：学科基础课
Course Type: Discipline basic course
总学时:Period: 48
学分：Credits: 3
适用对象：金融学, 经济学
Applicable Majors: Finance, Economics
先修课程：高等数学、经济学原理
Preparatory Courses: Advanced Math, Principles of Economics.
1. 课程的教学目标
本课程是经济学原理的后续课程，旨在帮助学生以更严谨的方法去学习微观经济学的核心内容，以达到更深层次的理解。本课程将经济学直觉数理化，教学中将使用微积分和几何图形。学完本课程后，学生应该能使用数学工具表达微观经济学中基本概念，推导常用的经济学模型，并将所学模型用以分析身边的经济学问题。本课程为其他课程的学习提供微观经济学基础。
Building on Principles of Economics, this course aims to give students a deeper understanding on various microeconomic topics in a more rigorous way. Economic intuition will be formally modeled using mathematical language, and students are expected to use calculus and graph to solve these models. Upon completion of this course, students should be able to understand the basic concepts and models in an analytic way, and apply these techniques to solve various economic problems. This course will provide a microeconomic foundation for other economics courses.
2. 教学的基本要求
中级微观经济学重点讲授消费者偏好与效用函数，消费者最优选择及其需求函数特征，厂商利润最大化和成本最小化及其供给函数，竞争性均衡，拍卖，外部性，垄断竞争，不对称信息。本门课程中的很多概念及模型在《经济学原理》中已经教授过，但本课程更注重严格的数理分析，要求学生能使用微积分及几何图形解决最优化问题和模型均衡解。为帮助学生理解这些概念和掌握解题技巧，很多实例将用来作为示范。课后练习是本门课程不可缺少的一部分。课后练习题与课上所授内容紧密相关，旨在让学生通过反复练习以达到掌握。课程考核由四部分组成，分别是平时作业20%，课堂测验10%，期中闭卷考试30%，期末闭卷考试40%。
This course will focus on the study of consumer preference and its utility representation, consumers’ optimal choice and the properties of demand functions, firms’ optimization problem and supply function, the interaction of demand and supply through competitive equilibrium, auction, monopolistic competition, externalities, and asymmetric information. These concepts and models have been introduced in Principle of Economics; however, they will be examined in a more rigorous way, requiring students solving optimization and equilibrium problem by calculus and graph. To help students understand the concepts and to illustrate the usefulness of economics models, concrete examples will be used throughout the teaching. Homework is an integrated part of this course. Homework questions follow lecture notes closely, and are designed to help students learn the concepts and techniques by solving problems. The grades include four parts, homework, quiz, midterm exam and final exam. Homework counts for 20% of the final grade, quiz counts for 10% of the final grade, midterm exam counts for 30% of the final grade, final exam counts for 40% of the final grade.
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |偏好与效用 |3 | | | |
| |Preference and Utility | | | | |
|2 |预算约束 |3 | |Homework 1 | |
| |Budget Constraint | | | | |
|3 |消费者选择 |3 | | | |
| |Consumer Choice | | | | |
|4 |需求 |3 | |Homework 2 | |
| |Demand | | | | |
|5 |显示性偏好 |3 | | | |
| |Revealed Preference | | | | |
|6 |斯拉茨基方程 |3 | |Homework 3 | |
| |Slutsky Equation | | | | |
|7 |买与卖 |3 | | | |
| |Buying and Selling | | | | |
|8 |消费者剩余 |3 | |Homework 4 | |
| |Consumer’s Surplus | | | | |
|9 |均衡 |3 | | | |
| |Equilibrium | | | | |
|10 |利润最大化 |3 | |Homework 5 | |
| |Profit Maximization | | | | |
|11 |成本最小化 |3 | | | |
| |Cost Minimization | | | | |
|12 |产业供给 |3 | |Homework 6 | |
| |Industrial Supply | | | | |
|13 |拍卖 |3 | | | |
| |Auction | | | | |
|14 |外部性 |3 | |Homework 7 | |
| |Externalities | | | | |
|15 |垄断行为 |3 | | | |
| |Monopoly Behavior | | | | |
|16 |不对称信息 |3 | |Homework 8 | |
| |Asymmetric Information | | | | |
|合计 | |48 | | | |
四、教学内容
第一章 偏好与效用
CHAPTER I: Preference and Utility
第一节关于偏好的假设
PART 1 Assumptions about preferences
第二节无差异曲线
PART 2 Indifference curves
第三节边际替代率
PART 3 The marginal rate of substitution
第四节构建效用函数
PART 4 Constructing a utility function
第五节边际效用
PART 5 Marginal utility
教学重点、难点：效用函数的排序特性，边际替代率的含义。
Key Points: the ordinal property of utility function and the meaning of the marginal rate of substitution.
课程的考核要求：理解效用函数的排序特性，掌握边际替代率的含义与计算。
Requirement: understand the ordinal property of utility function, master the meaning and calculation of the marginal rate of substitution.
第二章：预算约束
CHAPTER 2：Budget Constraint
第一节 预算约束
PART 1 The budget constraint
第二节 预算约束特征
PART 2 Properties of the budget constraint
第三节 预算线的变动
PART 3 How the budget line changes
第四节 税收，补贴和配额
PART 4 Taxes, subsidies, and rationing
教学重点、难点：预算约束线如何受收入，价格和经济政策影响而变动。
Key Points: how the budget line changes with respect to income, prices and economic policy.
课程的考核要求：熟练掌握预算约束线如何受收入，价格和经济政策影响而变动。
Requirement: master how the budget line changes with respect to income, prices and economic policy.
第三章 消费者选择
CHAPTER 3 Consumer Choice
第一节最优选择
PART 1 Optimal choice
第二节估计效用函数
PART 2 Estimating a utility function
第三节估计效用函数
PART 3 Implications of the MRS condition
第四节税收的选择
PART 4 Choosing taxes
教学重点、难点：最优选择的求解，估计效用函数，税收对最优选择的影响。
Key Points: solving the optimal choice, estimate the utility function, analysis of tax effect on optimal choice.
课程的考核要求：理解如何估计效用函数，掌握最优选择的求解，并会分析税收对最优选择的影响。
Requirement: understand estimating the utility function, master the technique of solving the optimal choice, analyzing tax effect on optimal choice.
第四章 需求
CHAPTER 4 Demand
第一节正常品与劣质品
PART 1 Normal and inferior goods
第二节恩格尔曲线
PART 2 Engle curve
第三节吉芬品
PART 3 Giffen goods
第四节需求曲线
PART 4 Demand curve
教学重点、难点：恩格尔曲线，劣质品和吉芬品之间的关系。
Key Points: Engle curve, the relation between inferior goods and Giffen goods.
课程的考核要求：理解恩格尔曲线的定义，以及劣质品和吉芬品之间的关系。
Requirement: understand the definition of Engle curve, and the relation between inferior goods and Giffen goods.
第五章 显示性偏好
CHAPTER 5 Revealed Preference
第一节显示性偏好的思想
PART 1 The idea of revealed preference
第二节弱显示性偏好公理
PART 2 The Weak Axiom of Revealed Preference
第三节强显示性偏好公理
PART 3 The Strong Axiom of Revealed Preference
教学重点、难点： 弱（强）显示性偏好公理。
Key Points: Weak (Strong) Axiom of Revealed preference.
课程的考核要求：掌握如何检验消费数据是否满足弱（强）显示性偏好公理。
Requirement: master how to check whether given data satisfies Weak (Strong) Axiom of Revealed preference.
第六章 斯拉茨基方程
CHAPTER 6 Slutsky Equation
第一节替代效应
PART 1 Substitute effect
第二节收入效应
PART 2 Income effect
第三节需求的总变动
PART 3 The total change in demand
第四节需求定律
PART 4 The law of demand
第五节补偿需求曲线
PART 5 Compensated demand curves
教学重点、难点：替代效应和收入效应，斯拉茨基方程的推导。
Key Points: substitute effect and income effect, and the derivation of Slutsky equation.
课程的考核要求：理解替代效应和收入效应，掌握斯拉茨基方程的推导。
Requirement: understand the definition of substitute effect and income effect, master the derivation of Slutsky equation.
第七章 买与卖
CHAPTER 7 Buying and Selling
第一节净需求与总需求
PART 1 Net and gross demands
第二节禀赋的改变
PART 2 Changing the endowment
第三节价格变动
PART 3 Price changes
第四节斯拉茨基方程
PART 4 The Slutsky equation revisited
第五节劳动供给
PART 5 Labor supply
教学重点、难点：禀赋变动对需求的影响，存在禀赋时斯拉茨基方程的推导。
Key Points: the effect of endowment on demand, Slutsky equation when there is endowment.
课程的考核要求：理解禀赋变动对需求的影响，掌握存在禀赋时斯拉茨基方程的推导。
Requirement: understand the effect of endowment on demand, master the Slutsky decomposition of demand change when there is endowment.
第八章 消费者剩余
CHAPTER 8 Consumer’s Surplus
第一节消费者剩余
PART 1: Consumer’s surplus
第二节拟线性效用函数
PART 2: Quasilinear utility
第三节补偿与等价变换
PART 3: Compensating and equivalent variation
第四节生产者剩余
PART 4: Producer’s surplus
第五节收益-成本分析
PART 5: Benefit-cost analysis
教学重点、难点：消费者剩余的含义，补偿变换和等价变换之间的关系。
Key Points: the meaning of consumer’s surplus, the relation between compensating and equivalent variation.
课程的考核要求: 理解补偿变换和等价变换之间的关系，掌握消费者剩余的含义与计算。
Requirement: understand the relation between compensating and equivalent variation, and master the meaning and calculation of consumer’s surplus.
第九章 均衡
CHAPTER 9 Equilibrium
第一节市场均衡
PART 1: Market equilibrium
第二节比较静态
PART 2: Comparative statics
第三节税收
PART 3: Taxes
第四节帕累托有效性
PART 4: Pareto efficiency
教学重点、难点：市场均衡的求解，市场均衡如何受经济政策影响而变动，以及市场均衡的效率性。
Key Points: solving market equilibrium, how market equilibrium changes with respect to economic policy, and the efficiency of market equilibrium.
课程的考核要求: 理解市场均衡如何受经济政策影响而变动，掌握市场均衡的求解以及市场均衡的效率性。
Requirement: understand how market equilibrium changes with respect to economic policy, master the technique to find a market equilibrium, and the efficiency of market equilibrium.
第十章 利润最大化
CHAPTER 10 Profit Maximization
第一节利润
PART 1: Profits
第二节固定和可变要素
PART 2: Fixed and variable factors
第三节短期利润最大化
PART 3: Short-run profit maximization
第四节长期利润最大化
PART 4: Profit maximization in the long run
教学重点、难点：固定和可变要素的定义，求解短期（长期）利润最大化的解。
Key Points: meaning of fixed and variable factors, solving short-run (long-run) profit maximization.
课程的考核要求: 理解固定和可变要素的定义,掌握短期（长期）利润最大化的求解。
Requirement: understand the meaning of fixed and variable factors, master the technique of solving short-run (long-run) profit maximization.
第十一章 成本最小化
CHAPTER 11 Cost Minimization
第一节成本最小化
PART 1: cost minimization
第二节规模收益与成本函数
PART 2: Return to scale and the cost function
第三节长期与短期成本
PART 3: Long-run and short-run costs
第四节固定与沉没成本
PART 4: Fixed and sunk costs
教学重点、难点：求解短期（长期）成本最小化的解，以及规模收益与成本的关系。
Key Points: solve short-run (long-run) cost minimization, the relation between return to scale and cost.
课程的考核要求: 理解规模收益与成本的关系，掌握短期（长期）成本最小化的求解。
Requirement: understand the relation between return to scale and cost, master the technique to solve short-run (long-run) cost minimization.
第十二章 产业供给
CHAPTER 12 Industry Supply
第一节短期产业供给
PART 1: Short-run industry supply
第二节长期供给曲线
PART 2: The long-run supply curve
第三节固定要素和经济租金
PART 3: Fixed factors and economic rent
第四节能源政策
PART 4: Energy policy
教学重点、难点：短期（长期）供给曲线的推导，经济租金的含义。
Key Points: the derivation of short-run (long-run) supply curve, meaning of economic rent.
课程的考核要求: 理解
Requirement: understand the meaning of economic rent, master the derivation of short-run (long-run) supply curve.
第十三章 拍卖
CHAPTER 13 Auction
第一节拍卖的分类
PART 1: Classification of auctions
第二节拍卖设计
PART 2: Auction design
第三节位置拍卖
PART 3: Position auction
第四节拍卖的问题
PART 4: Problems with auctions
教学重点、难点：不同拍卖形式的特征，位置拍卖。
Key Points: the properties of different auctions, position auction.
课程的考核要求: 掌握不同拍卖形式的特征，理解位置拍卖。
Requirement: master the properties of different auctions, understand position auction.
第十四章 外部性
CHAPTER 14 Externalities
第一节吸烟者与非吸烟者
PART 1: Smokers and nonsmokers
第二节拟线性偏好与科斯定理
PART 2: Quasilinear preference and the Coase Theorem
第三节生产外部性
PART 3: Production externalities
第四节公共地悲剧
PART 4: The tragedy of the Commons
教学重点、难点：存在外部性时资源分配的无效率性，解决外部性的方法，公共地悲剧。
Key Points: the inefficiency when there are externalities, solutions to externalities, the tragedy of the commons.
课程的考核要求: 掌握存在外部性时资源分配的无效率性，解决外部性的方法，理解公共地悲剧。
Requirement: master the inefficiency when there are externalities, and solutions to externalities, understand the tragedy of the commons.
第十五章 垄断行为
CHAPTER 15 Monopoly Behavior
第一节价格歧视
PART 1: Price discrimination
第二节一级价格歧视
PART 2: First-degree price discrimination
第三节二级价格歧视
PART 3: Second-degree price discrimination
第四节三级价格歧视
PART 4: Third-degree price discrimination
第五节捆绑
PART 5: Bundling
第六节两部定价
PART 6: Two-part tariffs
第七节产品差异化
PART 7: Product differentiation
教学重点、难点：存在垄断竞争时不同的定价方法，以及产品差异化。
Key Points: the pricing behavior and production differentiation when there is monopolistic competition.
课程的考核要求: 掌握存在垄断竞争时不同的定价方法，以及产品差异化
Requirement: master the pricing behavior and production differentiation when there is monopolistic competition.
第十六章 不对称信息
CHAPTER 16 Asymmetric Information
第一节柠檬市场
PART 1: The markets for lemons
第二节逆向选择
PART 2: Adverse selection
第三节道德风险
PART 3: Moral hazard
第四节发送信号
PART 4: Signaling
第五节激励
PART 5: Incentives
教学重点、难点：存在不对称信息时市场均衡的特征。
Key Points: the equilibrium results when there is asymmetric information.
课程的考核要求: 掌握存在不对称信息时市场均衡的特征。
Requirement: master the equilibrium results when there is asymmetric information.
五、主要参考书 Textbook
Hal R Varian. Intermediate Microeconomics: A Modern Approach, 8th edition. W.W.North & Company, 2009.
执笔人：宋信息 教研室主任： 系教学主任审核签名：
《会计学原理(双语)》教学大纲
Principles of Accounting
Syllabus
课程代码：Course Code：151123A
课程类型：学科基础课
学时： Periods 48
学分： Credits：3
适用专业：适用专业：金融学（金融经济）
Majors: Finance （Finance and Economics Experiment Class）
先修课程：无
Prerequisite Courses: None
一、教学目标
《会计学原理》课程主要目的是向学生讲授会计学的基本理论、基本方法和基本技能。通过课程学习，使学生了解簿记技术和会计循环的有关知识，初步掌握基本的会计核算方法和具备最基本的会计技能，培养从理财的视角对财务报表进行专业解读的能力，提升会计专业英语水平，为后续课程的学习奠定良好的会计基础。
The course of Principles of Accounting emphasizes the understanding of fundamental accounting principles and procedures. It provides basic knowledge in preparing, processing and interpreting the data about business transactions for different types of accounting information users. By developing a background for understanding and reading financial reports and for assessing position and making managerial decisions, the course equips the students with a comprehensive idea of accounting information system and specific accounting techniques.
二、教学基本要求
（一）教学内容
主要讲授的内容包括：掌握会计的职能、目标、基础以及会计要素的确认计量、会计等式等基本理论，在掌握借贷记账法原理的基础上，采用会计核算的基本方法对企业的实际经济业务进行账务处理，了解中外会计体系的异同。
The main teaching contents are basic concepts and principles of accounting for the effective use of accounting information in making decisions; basic skills and procedures of bookkeeping & double-entry bookkeeping; basic accounting models and the design of accounting systems in sole proprietorship, partnership and corporations; similarities and differences between domestic and foreign accounting systems.
（二）教学方法和手段
课堂授课以理论教授为主，组织学生分组进行主题课堂讨论。
The lectures given are mainly theoretical. Students are encouraged to discuss in group and give presentation in class.
（三）考核方式
学生分数将有三部分组成：平日作业成绩占20%、课堂参与10%和期末考试（闭卷）70%。
The grade for this course will be composed of an assignment, a final exam and class participation. The grade will be determined as follows:
Assignment 20%
Final Exam (Closed-book) 70%
Class Attendance and Participation 10%
学生成绩：
The letter grade for this course will be based on the following guidelines:
分数Points: Letter Grade:
(90 -100) A
(80 - 89) B
(70 - 79) C
(60 - 69) D
(0 -59) F
（四）学习要求
课后作业：Homework from questions from text books
学生自学：Reading Assignment for each chapter
三、各教学环节学时分配( schedule)
Class Schedule
|章节内容（Contents） |讲课 |其他 |
| |Lecture（hours） |Others |
|会计与企业概述 |3 |讨论 |
|Chapter 1 Introduction to Accounting and Business | |discussion |
|第2章 经济业务分析 |4 |课后习题 |
|Chapter 2 Analyzing Transactions | |exercises |
|第3章 调整过程 |3 |课后习题 |
|Chapter 3 The Adjusting Process | |exercises |
|第4章 完成会计循环 |4 |课后习题 |
|Chapter 4 Completing the Accounting Cycle | |exercises |
|第5章 会计系统 |3 |课后习题 |
|Chapter 5 Accounting Systems | |exercises |
|第6章 商业企业会计 |4 |讨论 |
|Chapter 6 Accounting for Merchandising Businesses | |discussion |
|第7章 存货 |3 |课后习题 |
|Chapter 7 Inventories | |exercises |
|第9章 应收款项 |3 |课后习题 |
|Chapter 9 Receivables | |exercises |
|第10章 固定资产与无形资产 |3 |课后习题 |
|Chapter 10 Fixed Assets and Intangible Assets | |exercises |
|第11章 流动负债和工资 |2 |课后习题 |
|Chapter 11 Current Liabilities and Payroll | |exercises |
|第12章 公司：组织、股票交易和股利 |3 |讨论 |
|Chapter 12 Corporations: Organization, Stock Transactions, and Dividends | |discussion |
|第13章 长期负债：债券和票据 |3 |课后习题 |
|Chapter 13 Long-Term Liabilities: Bonds and Notes | |exercises |
|第14章 投资和公允价值会计 |4 |课后习题 |
|Chapter 14 Investments and Fair Value Accounting | |exercises |
|第15章 现金流量表 |2 |课后习题 |
|Chapter 15 Statement of Cash Flows | |exercises |
|第16章 财务报表分析 |4 |课后习题 |
|Chapter16 Financial Statement Analysis | |exercises |
5. 教学内容
第1章 会计与企业概述
Chapter 1 Introduction to Accounting and Business
Contents内容：
4. Nature of business and accounting 商业与会计的性质
5. Generally accepted accounting principles公认会计准则
6. Business transactions and the accounting equation商业交易与会计等式
教学组织和设计：讲授和讨论
Teaching method: lecture and discussion
第2章 经济业务分析
Chapter 2 Analyzing Transactions
Contents：
2.1 Using accounts to record transactions使用账户记录交易
2.2 Business connection商业联系
2.3 Double entry accounting system复式记账会计系统
2.4 Posting journal entries to accounts
2.5 Trail balance试算平衡
本章教学组织和设计：讲授
Teaching method: lecture
第3章 调整过程
Chapter 3 The Adjusting Process
Contents：
3.1 Nature of the adjusting process调整过程性质
3.2 Recording adjusting entries调整分录
3.3 Summary of adjustment process调整过程总结
3.4 Adjusted trial balance调整后试算表
本章教学组织和设计：讲授
Teaching method: lecture
第4章 完成会计循环
Chapter 4 Completing the Accounting Cycle
Contents
4.1 Flow of accounting information会计信息流程
4.2 Financial statements财务报告
4.3 Closing entries结账
4.4 Accounting cycle会计循环
本章教学组织和设计：讲授
Teaching method: lecture
第5章 会计系统
Chapter 5 Accounting Systems
Contents
5.1 Basic accounting systems基本会计系统
5.2 Manual accounting systems手工会计系统
5.3 Adapting manual accounting systems采用手工会计系统
5.4 Computerized accounting systems电算化会计系统
本章教学组织和设计：讲授和讨论
Teaching method: lecture and discussion
第6章 商业企业会计
Chapter 6 Accounting for Merchandising Businesses
Contents
6.1 Nature of merchandising business商业企业性质
6.2 Financial statements for a merchandising business商业企业财务报表
6.3 Merchandising transactions商品交易
6.4 The adjusting and closing process调整与结账过程
本章教学组织和设计：讲授
Teaching method: lecture
第7章 存货
Chapter 7 Inventories
Contents:
7.1 Control of inventory存货控制
7.2 Inventory cost flow assumptions存货成本流转假设
7.3 Comparing inventory costing methods存货成本核算方法的比较
7.4 Reporting merchandise inventory in the financial statements财务报表中商业企业存货披露
本章教学组织和设计：讲授与讨论
Teaching method: lecture and discussion
第9章 应收款项
Chapter 9 Receivables
Contents：
9.1 Classification of receivables应收款项分类
9.2 Uncollectible receivables坏账
9.3 Notes receivable应收票据
9.4 Reporting receivables on the balance sheet 应收款项在资产负债表中的披露
本章教学组织和设计：讲授
Teaching method: lecture and discussion
第10章 固定资产与无形资产
Chapter 10 Fixed Assets and Intangible Assets
Contents
10.1 Nature of fixed assets固定资产性质
10.2 Accounting for depreciation固定资产折旧
10.3 Disposal of fixed assets固定资产处置
10.4 Natural resources自然资源
10.5 Intangible assets无形资产
10.6 Financial reporting for fixed assets and intangible assets固定资产与无形资产的披露
本章教学组织和设计：讲授与讨论相结合
Teaching method: lecture and discussion
第11章 流动负债和工资
Chapter 11 Current Liabilities and Payroll
Contents：
11.1 Current liabilities流动负债
11.2 Payroll and payroll taxes工资和工资税
11.3 Accounting systems for payroll and payroll taxes工资与工资税的会计核算体系
11.4 Contingent liabilities或有负债
本章教学组织和设计：讲授
Teaching method: lecture
第12章 公司：组织、股票交易和股利
Chapter 12 Corporations: Organization, Stock Transactions, and Dividends
Contents:
12.1 Nature of a corporation公司性质
12.2 Stockholders’equity所有者权益
12.3 Accounting for dividends股利
12.4 Reporting stockholders’ equity所有者权益的披露
本章教学组织和设计：讲授与讨论相结合
Teaching method: lecture and discussion
第13章 长期负债：债券和票据
Chapter 13 Long-Term Liabilities: Bonds and Notes
Contents:
13.1 Financing corporations公司融资
13.2 Nature of bonds payable应付债券性质
13.3 Accounting for bonds payable应付债券会计核算
13.4 Reporting long term liabilities长期负债披露
本章教学组织和设计：讲授
Teaching method: lecture
第14章 投资和公允价值会计
Chapter 14 Investments and Fair Value Accounting
Contents:
14.1 Why companies invest为何投资
14.2 Accounting for debt investments债务投资
14.3 Accounting for equity investments权益投资
14.4 Valuing and reporting investments核算与披露
14.5 Fair value accounting公允价值会计
本章教学组织和设计：讲授
Teaching method: lecture
第15章 现金流量表
Chapter 15 Statement of Cash Flows
Contents:
15.1 Reporting cash flows 现金流量披露
15.2 Statement of cash flows现金流量表
本章教学组织和设计：讲授与讨论相结合
Teaching method: lecture and discussion
第16章 财务报表分析
Chapter16 Financial Statement Analysis
Contents:
16.1 Basic analytical methods基本分析方法
16.2 Solvency analysis偿付能力分析
16.3 Profitability analysis盈利能力分析
16.4 Corporate annual reports公司年报
本章教学组织和设计：讲授与讨论相结合
Teaching method: lecture and discussion
五、其它
采用中英文双语授课。Bilingual teaching.
六、指定教材和主要学习参考书
指定教材：
3. Principles of Accounting, Author: John J. Wild, Ken Shaw and Barbara Chiappetta， Publisher: McGraw-Hill， International Edition: 19th edition , Renmin University of China
4. Essentials of Accounting, Author: Leslie K. Breitner, Robert N. Anthony
Publisher: Pearson， International Edition: 11th edition, Tsinghua University
主要学习参考书：
1．Financial accounting， Harrison Horngren，Prentice Hall， 4th Edition；
2． Financial accounting， Kimmel Weygandt Kieso，John Wiley & Sons, Inc.， 2nd Edition；
执笔人： 教研室主任： 系教学主任审核签名：
《中级宏观经济学》教学大纲
“Intermediate Macroeconomics” Course Outline
课程编号：151133A
课程类型：学科基础课
总 学 时: 48
学 分： 3
适用对象：经济学, 金融学
先修课程：高等数学、经济学原理、微观经济学
Course Code: 151143A
Course Type: Discipline basic course
Periods: 48
Credits: 3
Applicable Subjects: Economics, Finance
Preparatory Courses: Advanced Math, Principles of Economics, Microeconomics.
一、课程的教学目标
本课程的教学目的旨在让金融以及经济类本科二年级学生掌握现代宏观经济学的基本概念和基本理论。课程学习可以培养学生的经济学思维能力，使学生能够运用严谨科学的方法来思考宏观经济问题，并结合运用数学，图形作为分析工具。课程结束后，学生应该具备运用和解决数学模型，提高运用模型解决现实问题的能力。课程也会帮助今后研究生阶段的高级宏观经济学的学习打下良好基础。
Upon successful completion of the course, the second year students majoring in economics and finance should be able to demonstrate a basic understanding of modern macroeconomics concepts and theory. The course will train students to think in an analytically rigorous way about macroeconomic questions using the tools of advanced math and graph. After the course, the students should be able to use and solve mathematical models, and improve ability of applying economic models to analyze economic issues. In addition, the course also helps students prepare entering graduate education.
二、教学基本要求
中级宏观经济学提供分析问题的工具和模型来解释生产，通货膨胀，就业，利率，汇率和其他宏观经济指数。这门课要求学生将图形分析法和数学分析方法相结合来分析宏观经济现象和问题。这对于本科二年级学生来讲相对比较陌生。因此涉及到数学模型分析和图形分析部分会精讲，而涉及一些比较基本的宏观经济现象会相对粗讲，并且在这部分要求学生课后进行广泛的材料阅读。作业也是课程的重要组成部分。每一章结束后，大概每三次或者四次课，会布置一次大作业，要求完成时间会在课上说明。 作业以大综合题目为主，题目包括多道小题，难度递增，主要考察学生对一个特定的宏观问题的全面理解。课程考核由三部分组成，分别是期中闭卷考试30%，期末闭卷考试60%，平时作业10%。
This course provides analytical tools and models to explain the output, inflation, employment, interest rate, exchange rates and other aggregate economic quantities. Intermediate macroeconomics requires students to use both mathematics and graph to undertake analysis. This is unfamiliar for students. Thus the course will focus on the methods of solving mathematical model. Referring to the economic phenomena, the course requires reading extensively. Homework represents an important part of this course. After each chapter, approximately every three or four classes, one homework will be assigned. Due date will be given as the assignments are made. Each homework has one integrated question which includes several small questions; the level of difficulties will increase with the rank of the questions. It tests whether the students have a comprehensive understanding about one specific macroeconomic problem. The grades include three parts, midterm exam, final exam and homework. Midterm exam counts for 30% of the final grade, final exam counts for 60% of the final grade, and homework counts for 10% of the final grade.
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |国民收入的核算与组成 |3 | | | |
| |GDP Calculation | | | | |
| |And Compositions | | | | |
|2 |IS-LM 模型 |6 | |Homework 1 | |
| |IS-LM Model | | | | |
|3 |AD-AS模型 |8 | |Homework 2 | |
| |AD-AS Model | | | | |
|4 |失业与通货膨胀 |3 | | | |
| |Unemployment and | | | | |
| |Inflation | | | | |
|5 |经济增长 |8 | |Homework 3 | |
| |Economic Growth | | | | |
|6 |开放条件下宏观经济理论和政策 |12 | |Homework 4 | |
| |Open Economy and Policies | | | | |
|7 |失业理论 |8 | |Homework 5 | |
| |Unemployment Theory | | | | |
|合计 | |48 | | | |
四、教学内容
第一章 国民收入的核算与组成
1. GDP的概念与核算
2. GDP的组成
3. 国民收入循环
教学重点、难点：让学生明白为什么不同的GDP核算方法是等价的。
课程的考核要求：理解
第二章：IS-LM模型
1. 商品市场
2. 金融市场
3. 双重均衡 IS-LM 模型
4. 财政政策与货币政策
教学重点、难点：理解商品市场和货币市场之间的关系，两个市场如何相互影响并共同决定均衡利率与国民生产收入。
课程的考核要求：熟练掌握
复习思考题：
1. 提高储蓄在短期内对经济是件好事吗？为什么？
第三章 国民收入决定的AD-AS模型
1. 总需求曲线
2. 总供给曲线
教学重点、难点：理解劳动力市场的均衡为什么直接影响总供给曲线。
课程的考核要求：熟练掌握
复习思考题：
1. 用 AS-AD 模型来推测原油价格上升会导致的结果。
第四章 失业与通货膨胀
1. 菲利普斯曲线
教学重点、难点：理解菲利普斯曲线的政策意义。
课程的考核要求：理解
复习思考题：
1. 名义货币增长，会对通货膨胀和生产有什么影响作用？
第五章 经济增长理论
1. 第一节国民收入长期趋势与波动
1. 第二节经济增长理论
教学重点、难点：理解资本驱动和技术驱动经济增长的区别。
课程的考核要求：熟练掌握
复习思考题：
1. 储蓄率如何影响增长率？
第六章 开放条件下宏观经济理论和政策
1. 汇率
2. 国际收支平衡
3. IS-LM-BP模型
4. 不同资本流动程度下的IS-LM-BP模型
教学重点、难点：不同汇率下的财政政策和货币政策的效果。
课程的考核要求：熟练掌握
复习思考题：
1. 当资本完全流动并且央行采取汇率固定制度，财政政策还是货币政策是有效的？
第七章 失业理论
1. 简单的配对方程
2. 基本的贝尔曼等式
3. 失业均衡
教学重点、难点：最基本的贝尔曼等式的数学意义及其推导。
课程的考核要求: 理解
复习思考题：
1. 当失业保险或者补助提高，失业率如何被影响？
Chapter 1 GDP and its Composition
Section 1 GDP and its Calculation
Section 2 GDP and its composition
Section 3 Where GDP comes from and goes to
Key Points and Difficult Points：Ensure students to understand why the different methods of calculating GDP are equivalent.
Evaluation Requirements: Generally understanding
Chapter 2 IS-LM Model
Section 1 Goods Market
Section 2 Financial Markets
Section 3 Goods and Financial Markets Equilibrium IS-LM Model
Section 4 Fiscal Policy and Monetary Policy
Key Points and Difficult Points: Understanding the interactions between goods and financial markets, and how they jointly determine the equilibrium interest rate and production.
Evaluation Requirements: To be familiar with
Question：
1. Increase in saving is good for economy in the short run? Why?
2. Why weren’t monetary and fiscal policy used to avoid rather than just to limit the recession?
Chapter 3 AD-AS Model
Section 1 AD curve
Section 2 AS curve
Key Points and Difficult Points: Understanding why the equilibrium in the labor market determines the AS curve.
Evaluation Requirements: To be familiar with.
Question：
1. Using AS-AD model to conclude the result of the increase in oil price.
Chapter 4 Unemployment and Inflation
Section 1 Phillips curve
Key Points: Understanding the political meaning of Phillips curve.
Evaluation Requirements: Generally understanding
Question:
1. What are the effects of nominal money growth on inflation and output?
Chapter 5 Economic Growth Theory
Section 1 Long Term Trends and Fluctuations
Section 2 Growth Theory
Key Points: Understanding the difference between capital-driven and technology-driven.
Evaluation Requirements: To be familiar with
Question：
1. How the saving rate affects the growth rate?
Chapter 6 The Open Economy
Section 1 Exchange Rate
Section 2 Balance of Payment
Section 3 IS-LM-BP Model
Section 4 Capital Mobility and IS-LM-BP Model
Key Points: Understanding the efficiency of fiscal policy and monetary policy in different exchange rate regimes.
Evaluation Requirements: To be familiar with.
Question：
1. When the capital is perfectly mobile and exchanged rate is fixed, which expansionary policy is effective, fiscal policy or monetary policy?
Chapter 7 Unemployment Theory
Section 1: Simple Matching Function
Section 2: Basic Bellman Equations
Section 3: The Equilibrium
Key Points: Understanding the mathematical sense of Bellman equation.
Evaluation Requirements: Generally understanding
Question：
1. When the unemployed insurance or benefit becomes higher, how the unemployment rate is affected?
六、主要参考书
[1] Olivier Blanchard. Macroeconomics. Pearson Education Limited. 2012-09
[2] Christopher A. Pissarides. Equilibrium Unemployment Theory. United States: The MIT Press. 2000-03
执笔人：张蕊 教研室主任： 系教学主任审核签名：
《计量经济学》教学大纲
The Course Outline of Econometrics
课程编号：151143A
课程类型：学科基础课
总 学 时：48 讲课学时：32 实验（上机）学时：16
学 分：3
适用对象：经济学、管理学、统计学、金融学等
先修课程：微观经济学、宏观经济学、概率与统计、线性代数、微积分
Course Code: 151143A
Course Type: Discipline basic course
Periods: 48 Lecture: 32 Experiment (Computer): 16
Credits: 3
Applicable Subjects: Economics, Management, Statistics, Finance, etc.
Preparatory Courses: Microeconomics, Macroeconomics, Probability and Statistics, Linear Algebra, Mathematical Analysis
一、课程的教学目标
本课程是面向经济学、管理学及金融学专业本科学生开设的计量经济学入门课程。计量经济学是经济学科中的核心必修课程，它为经济研究者提供了在分析经济数据、归纳经济现象、和总结经济规律时所必需的实证研究工具。作为计量经济学入门课程，我们希望学生通过课堂学习与实际操作，掌握计量经济学的基础理论和基本分析方法，能够利用统计软件处理经济数据，建立线性回归模型，估计模型并进行假设检验。本课程将为学习中级计量经济学、金融计量经济学、和学生从事独立实证研究奠定扎实的基础。
This course is an introduction to Econometrics, tailored for undergraduate students whose major is Economics, Management, or Finance. Econometrics is a core subject in Economics, equipping researchers with essential tools for analyzing economic data, and discovering the regularities underlying the seemingly perplexing economic phenomena. As an introductory course, we expect students to be able to comprehend basic concepts and master basic methods in Econometrics. Through learning in class and practicing using computer software, students should be capable of handling economic data, constructing a linear regression model, estimating the model, and performing hypothesis testing. This course will provide solid foundations for further study in the courses, such as Intermediate Econometrics and Financial Econometrics, and for students’ own empirical research.
二、教学基本要求
本课程教学的基本要求是，对计量经济学要理论学习与实际应用并重。作为入门课程，理论学习强调对计量经济学理论的整体把握，对基础概念与原理的准确理解，和对基本估计与检验方法的精通掌握。理论学习涵盖以下内容：一元线性回归模型的估计与假设检验，多元线性回归模型的估计和假设检验，以及对模型设定的评价。在时间允许的情况下，本课程还将介绍面板数据回归与工具变量法的基本原理与方法。本课程将围绕如何判断自变量与因变量之间的因果关系这一核心问题展开，重点讲解如何利用多元线性回归模型分析横截面数据中的因果关系。计量经济学理论学习必须结合实际应用。本课程将结合课本中各章节的实例，利用相关数据，讲授如何使用计算机软件（主要是R语言）实现模型估计与检验。
本课程教学方法将以课堂讲授为主。由于课程内容难度相对较大，我们鼓励学生课前预习，课上积极参与讨论，并课后复习和独立完成作业。 R语言的学习以课堂展示和学生上机实际操作的方式完成。我们将结合教学实例，为学生提供完整的R语言操作说明，并安排上机作业。
课程考核由一般作业、上机作业、随堂测验、期中和期末考试组成。考核成绩为百分制，各项分数分配见表（一）。随堂测验、期中和期末考试均为闭卷考试。为了减少“死记硬背”，我们允许学生在期中和期末考试中携带一张“小抄”用来记忆定理与公式。为了鼓励学生参与课堂讨论，我们将给予表现积极的学生最高5%的奖励分。
|表（一）：分数分配方式 |
|一般作业 |15% |
|上机作业 |5% |
|随堂测试 |10% |
|期中考试 |30% |
|期末考试 |40% |
This course emphasizes on both theoretical learning and real applications. At an introductory level, the course expects that students will comprehend the general framework of Econometrics, accurately understand the basic concepts and theories, and master the fundamental methods of estimation and inference. Serving for these ends, the contents of this course cover, but not limited to, the single and multiple ordinary least squares (OLS) regression estimation, hypothesis testing, model specification assessment, panel data regression, and instrumental variables regression. The core subject of this course is how to use a multiple regression model to analyze the causal relationship between the dependent variable and the independent variables when using cross-sectional data. Moreover, the course stresses the importance of real applications along with theoretical learning. Students will learn how to use computer software (primarily R programming language) to implement estimation and inference of multiple regression models using the real data of the applications in each chapter in the textbook.
The basic teaching strategy of this course mainly involves in-class lectures. Due to the difficulty of the course, we encourage students to browse the assigned reading materials before class, to proactively participate discussions in class, and to peruse lecture notes and independently complete homework after class. Students will learn R through in-class instructions and practice. With the data of real applications in the textbook, we will provide students with complete tutorials and assign empirical exercises for practice.
The methods of the course evaluation include general homework, practical exercises, quiz, mid-term and final exams. The grade distribution of each component within one hundred percentage points is presented in Table 1. The quiz, mid-term and final exams are all closed-book exams. To prevent students from cramming for the exams, we allow students to bring a cheat-sheet for reminding themselves of important theorems and formula when taking the mid-term and final exams. Finally, to promote class participation, we will award the students engaging frequent in-class discussions for as high as 5% bonus points.
|Table 1: The grade distribution |
|Homework |15% |
|Practical Exercises |5% |
|Quiz |10% |
|Midterm exam |30% |
|Final exam |40% |
三、各教学环节学时分配
教学课时分配 (The assignment of hours of instruction)
|序号(No.) |章节内容 |讲课(Lecture) |实验(Experiment) |其他(Others) |合计(Total) |
| |(Content) | | | | |
|1 |导论 (Introduction) |1 | | |1 |
|2 |概率论回顾 (Review of Probability) |2 | | |2 |
|3 |数理统计回顾 (Review of Statistics) |2 | | |2 |
|4 |线性代数回顾 与R语言初步(Review of Linear |1 |1 | |2 |
| |Algebra and Introduction to R) | | | | |
|5 |随堂测试 (Quiz) |1 | | |1 |
|6 |一元线性回归模型 (Linear Regression with One |2 |2 | |4 |
| |Regressor) | | | | |
|7 |一元线性回归模型假设检验 (Hypothesis Test of |2 |2 | |4 |
| |Linear Regression with a Single Regressor) | | | | |
|8 |期中考试 (Mid-term exam) |2 | | |2 |
|9 |多元线性回归模型 (Linear Regression with |3 |3 | |6 |
| |Multiple Regressors) | | | | |
|10 |多元线性回归模型假设检验 (Hypothesis Tests in |3 |3 | |6 |
| |Multiple Regression) | | | | |
|11 |非线性回归方程 (Nonlinear Regression |3 |2 | |5 |
| |Functions) | | | | |
|12 |回归模型评价 (Assessing Studies Based on |4 | | |4 |
| |Multiple Regression) | | | | |
|13 |面板数据回归 (Regression with Panel Data) |2 |2 | |4 |
|14 |工具变量法 (Instrumental Variables Regression)|3 |1 | |4 |
|15 |回顾与总结 (Review and Summary) |1 | | |1 |
|合计(Total) | |32 |16 | |48 |
四、教学内容（黑体，小四号字）
第一讲 导论
第一节 什么是计量经济学
第二节 计量经济学中的研究问题
第三节 因果关系与实验方法
3. 因果关系估计
4. 随机控制实验
第四节 数据来源与类型
3. 实验数据与观测数据
4. 数据类型
教学重点、难点：了解计量经济学在经济学科中的地位和作用，理解如何通过随机实验推断变量间因果关系。
课程的考核要求：课后阅读
第二讲 概率论回顾
第一节 随机变量与概率分布
4. 概率、样本空间与随机变量
5. 离散随机变量的概率分布
6. 连续随机变量的概率分布
第二节 随机变量的期望与方差
3. 随机变量的期望
4. 标准差与方差
第三节 两个随机变量的联合分布与协方差
4. 联合分布与边际分布
5. 条件分布
6. 独立、协方差与相关性
第四节 正态分布、开方分布、t分布与F分布
5. 正态分布
6. 开方分布
7. t分布
8. F分布
第五节 随机样本与样本均值的抽样分布
3. 随机抽样
4. 样本均值的抽样分布
第六节 大样本的渐进分布
3. 大数定律与一致性
4. 中心极限定理
教学重点、难点：掌握计算随机变量期望、方差、条件期望和协方差的公式，了解样本均值的大样本特征。
课程的考核要求：课后阅读、完成作业
第三讲 数理统计回顾
第一节 总体均值的估计
3. 估计量及其特征
4. 随机抽样的重要性
第二节 关于总体均值的假设检验
4. 零假设与备择假设
5. t统计量及其大样本分布
6. 显著性水平、临界值和p值
第三节 总体均值的置信区间
第四节 散点图、样本协方差和相关系数
教学重点、难点：理解假设检验的基本原理，掌握p值、临界值和置信区间的计算。
课程的考核要求：课后阅读、完成作业
第四讲 线性代数回顾与R语言初步
第一节 向量与矩阵
第二节 矩阵的运算
第三节 逆矩阵
第四节 线性独立
第五节 特征值与正定性
第六节 R语言初步
教学重点、难点：熟练掌握用向量和矩阵表示一组变量的样本值，掌握矩阵的基本运算。
课程的考核要求：课后阅读、完成作业、完成上机练习
第五讲 一元线性回归模型
第一节 线性回归模型
第二节 估计线性回归模型中的参数
3. 最小二乘估计量
4. 估计参数的解释
第三节 模型拟合的衡量
3. 拟合优度(R2)
4. 回归标准差(SER)
第四节 最小二乘估计的假设
第五节 最小二乘估计量的抽样分布
教学重点、难点：熟练掌握最小二乘估计法，掌握最小二乘估计量的推导与公式，理解最小二乘估计的假设
课程的考核要求：课后阅读、完成作业、完成上机练习
第六讲 一元线性回归模型假设检验
第一节 单系数的假设检验
3. 关于斜率的双边与单边检验
4. 关于截距的检验
第二节 回归系数的置信区间
第三节 虚拟变量
2. 回归系数的解释
第四节 异方差与同方差
3. 异方差与同方差的定义
4. 同方差的数学含义
第五节 最小二乘法的理论基础
2. 高斯-马科夫定理
教学重点、难点：熟练掌握单参数假设检验的方法，掌握虚拟变量在回归模型中的作用，理解异方差和高斯-马科夫定理
课程的考核要求：课后阅读、完成作业、完成上机练习
第七讲 多元线性回归模型
第一节 多元回归模型
4. 总体回归线
5. 总体多元回归模型
6. 多元回归模型的矩阵表示
第二节 多元回归模型的最小二乘估计量
3. 最小二乘估计量
4. 估计系数的解释
第三节 多元回归模型拟合的衡量
4. 回归标准差(SER)
5. 拟合优度(R2)
6. 调整拟合优度(Adjusted R2)
第四节 多元回归的最小二乘假设
第五节 多元回归最小二乘估计量的统计特性
第六节 缺失变量误差
第七节 多重共线性
教学重点、难点：熟练掌握多元回归模型的最小二乘估计法，掌握运用矩阵表示回归模型与估计量，理解估计量的统计特性、缺失变量误差和多重共线性
课程的考核要求：课后阅读、完成作业、完成上机练习
第八讲 多元线性回归模型假设检验
第一节 单系数的假设检验和置信区间
4. 最小二乘估计量的标准差
5. 单系数的假设检验
6. 单系数的置信区间
第二节 联合假设的检验
4. 联合假设的形式
5. F统计量
6. 同方差下的F统计量
第三节 多系数的置信集合
教学重点、难点：熟练掌握运用F统计量推断联合假设，掌握联合假设的形式，和理解F统计量的含义
课程的考核要求：课后阅读、完成作业、完成上机练习
第九讲 非线性回归方程
第一节 非线性回归方程的一般形式
第二节 单自变量的非线性方程变换
3. 多项式
4. 对数函数
第三节 自变量的交互效应
4. 虚拟变量的交互效应
5. 虚拟变量与连续变量的交互效应
6. 连续变量的交互效应
教学重点、难点：熟练掌握非线性回归模型的基本形式，掌握回归系数的正确解释方法
课程的考核要求：课后阅读、完成作业、完成上机练习
第十讲 评价回归模型
第一节 内部和外部有效性
3. 对内部有效性的威胁
4. 对外部有效性的威胁
第二节 回归模型的内部有效性问题
6. 缺失变量误差
7. 模型形式的错误设定
8. 测量误差及其估计偏差
9. 缺失数据与样本选择性
10. 双向因果关系
教学重点、难点：理解内部和外部有效性的定义，掌握影响回归模型内部有效性的因素
课程的考核要求：课后阅读、完成作业
第十一讲 面板数据回归
第一节 面板数据
第二节 两时期面板数据：事前事后比较法
第三节 固定效应回归模型
2. 固定效应回归模型的估计与推断
第四节 加入时间固定效应
教学重点、难点：掌握固定效应面板数据回归的基本估计方法
课程的考核要求：课后阅读、完成作业、完成上机练习
第十二讲 工具变量法
第一节 单自变量与单工具变量的回归模型
3. 工具变量与假设
4. 二阶段最小二乘法
第二节 一般回归模型的工具变量估计法
5. 多元回归模型中的二阶段最小二乘法
6. 工具变量的相关性和外生性
7. 工具变量回归模型的假设与二阶段最小二乘估计量的抽样分布
8. 工具变量回归模型的假设检验
第三节 检验工具变量的有效性
教学重点、难点：理解工具变量法的基本原理，掌握二阶段最小二乘法
课程的考核要求：课后阅读、完成作业、完成上机练习
Lecture 1 Introduction
Section 1.1 What is Econometrics About?
Section 1.2 Economic Questions We Examine
Section 1.3 Causal Effects and Idealized Experiments
3. Estimation of Causal Effects
4. Randomized Controlled Experiments
Section 1.4 Data Sources and Types
3. Experimental Versus Observational Data
4. Data Types
Key and Difficult Points: Know the roles and status of Econometrics in the subject of Economics, and understand how to use randomized controlled experiments to assess the causal relationship among variables.
Evaluation Requirements: Reading relevant materials
Lecture 2 Review of Probability
Section 2.1 Random Variables and Probability Distributions
4. Probabilities, the Sample Space, and Random Variables
5. Probability Distribution of a Discrete Random Variable
6. Probability Distribution of a Continuous Random Variable
Section 2.2 The Expected Value and the Variance of a Random Variable
3. The Expected Value of a Random Variable
4. The Standard Deviation and Variance
Section 2.3 Two Random Variables
4. Joint and Marginal Distributions
5. Conditional Distributions
6. Independence, Covariance, and Correlation
Section 2.4 The Normal, Chi-Squared, Student t, and F Distributions
5. The Normal Distribution
6. The Chi-Squared Distribution
7. The Student t Distribution
8. The F Distribution
Section 2.5 Random Sampling and the Distribution of the Sample Average
3. Random Sampling
4. The Sampling Distribution of the Sample Average
Section 2.6 Large-Sample Approximations to Sampling Distributions
3. The Law of Large Numbers and Consistency
4. The Central Limit Theorem
Key and Difficult Points: Master the calculation of the expected value, variance, covariance, and conditional mean, and understand the large-sample properties of the sample average.
Evaluation Requirements: Reading materials, and finishing homework
Lecture 3 Review of Statistics
Section 3.1 Estimation of the Population Mean
3. Estimators and Their Properties
4. The Importance of Random Sampling
Section 3.2 Hypothesis Testing Concerning the Population Mean
4. Null and Alternative Hypotheses
5. The t-Statistic and its Sampling Distribution with Large Samples
6. The Significance Level, the Critical Value, and the p-Value
Section 3.3 Confidence Intervals for the Population Mean
Section 3.4 Scatterplots, the Sample Covariance, and the Sample Correlation
Key and Difficult Points: Understand the basic philosophy of hypothesis testing, and master the calculation of the p-value, the critical value, and the confidence interval concerning the population mean.
Evaluation Requirements: Reading materials, and finishing homework
Lecture 4 Review of Linear Algebra and an Introduction to R
Section 4.1 Vectors and Matrices
Section 4.2 Matrix Operations
Section 4.3 Inverse Matrix
Section 4.4 Linear Independence
Section 4.5 Eigenvalues and Positive-Definiteness
Section 4.6 Introduction to R
Key and Difficult Points: Master the method of representing the observations of a group of variables using vectors and matrices, and grasp basic matrix operations.
Evaluation Requirements: Reading materials, finishing homework, completing the practical exercises
Lecture 5 Linear Regression with One Regressor
Section 5.1 The Linear Regression Model
Section 5.2 Estimating the Coefficients of the Linear Regression Model
3. The OLS estimators
4. Interpretation of the estimated coefficients
Section 5.3 Measures of Fit
3. R2
4. The Standard Error of Regression (SER)
Section 5.4 The Least Squares Assumptions
Section 5.5 Sampling Distribution of the OLS Estimators
Key and Difficult Points: Master the OLS estimation method, grasp the derivation of the formula of the OLS estimators, and understand the least squares assumptions
Evaluation Requirements: Reading materials, finishing homework, and completing practical exercises
Lecture 6 Hypothesis Test of Linear Regression with a Single Regressor
Section 6.1 Testing Hypotheses about One of the Regression Coefficients
3. Two-Sided and One-Sided Hypotheses Concerning the Slope
4. Hypotheses Concerning the Intercept
Section 6.2 Confidence Intervals for a Regression Coefficient
Section 6.3 Regression When X is a Binary Variable
2. Interpretation of the Regression Coefficients on a Binary Variable
Section 6.4 Heteroskedasticity and Homoskedasticity
3. What are heteroskedasticity and homoskedasticity?
4. Mathematical Implications of Heteroskedasticity
Section 6.5 The Theoretical Foundations of Ordinary Least Squares
2. The Gauss-Markov Theorem
Key and Difficult Points: Master the approach to hypothesis testing concerning one coefficient, grasp the use of a binary variable in regression, and understand heteroskedasticity and the Gauss-Markov theorem.
Evaluation Requirements: Reading materials, finishing homework, and completing practical exercises
Lecture 7 Linear Regression with Multiple Regressors
Section 7.1 The Multiple Regression Model
4. The Population Regression Line
5. The Population Regression Model
6. Matrix Notation of the Multiple Regression Model
Section 7.2 The OLS Estimator in Multiple Regression
3. The OLS Estimators
4. Interpretation of the Estimated Coefficients
Section 7.3 Measures of Fit in Multiple Regression
4. The Standard errors of the regression (SER)
5. R2
6. The Adjusted R2
Section 7.4 The Least Squares Assumptions in Multiple Regression
Section 7.5 The Statistical Properties of the OLS Estimators in Multiple Regression
Section 7.6 The Omitted Variable Bias
Section 7.7 Multicollinearity
Key and Difficult Points: Master the OLS estimation method in multiple regression, grasp the way to represent the multiple regression model and the OLS estimators using matrices, and understand the statistical properties of the OLS estimators, and the concepts of the omitted variable bias and multicollinearity.
Evaluation Requirements: Reading materials, finishing homework, and completing practical exercises
Lecture 8 Hypothesis Tests in Multiple Regression
Section 8.1 Hypothesis tests and confidence intervals for a single coefficient
4. Standard errors for the OLS estimators
5. Hypothesis Tests for a Single Coefficient
6. Confidence Intervals for a Single Coefficient
Section 8.2 Tests of joint hypotheses
4. The Forms of Joint hypothesis
5. The F-Statistic
6. The Homoskedasticity-Only F-Statistic
Section 8.3 Confidence Sets for Multiple Coefficients
Key and Difficult Points: Master the approach to using the F-statistic for joint hypothesis testing, grasp the various forms of joint hypotheses, and understand the implication of the F-statistic.
Evaluation Requirements: Reading materials, finishing homework, and completing practical exercises
Lecture 9 Nonlinear Regression Functions
Section 9.1 A General Strategy for Modeling Nonlinear Regression Functions
Section 9.2 Nonlinear functions of a single independent variable
3. Polynomials
4. Logarithms
Section 9.3 Interactions between independent variables
4. Interactions between two binary variables
5. Interactions between a continuous and a binary variable
6. Interactions between two continuous variables
Key and Difficult Points: Master the basic forms of nonlinear regression functions, and master the correct interpretation of coefficients in nonlinear regression functions.
Evaluation Requirements: Reading materials, finishing homework, and completing practical exercises
Lecture 10 Assessing Studies Based on Multiple Regression
Section 10.1 Internal and external validity
3. Threats to Internal Validity
4. Threats to External Validity
Section 10.2 Threats to internal validity of multiple regression analysis
6. Omitted Variable Bias
7. Misspecification of the Functional Form of the Regression Function
8. Measurement Error and Errors-In-Variable Bias
9. Missing data and Sample Selection
10. Mutual Causality
Key and Difficult Points: Understand the concepts of interval and external validity, grasp the threats to interval validity in multiple regression analysis
Evaluation Requirements: Reading materials, and finishing homework
Lecture 11 Panel Data Regression
Section 11.1 Panel Data
Section 11.2 Panel Data with Two Time Periods: “Before and After” Comparisons
Section 11.3 Fixed Effects Regression
2. Estimation and Inference of the Fixed Effects Regression Model
Section 11.4 Regression with Time Fixed Effects
Key and Difficult Points: Grasp the basic method of estimation and inference of the fixed effects regression model.
Evaluation Requirements: Reading materials, finishing homework, and completing practical exercises
Lecture 12 Instrumental Variables Regression
Section 12.1 The IV Estimator with a Single Regressor and a Single Instrument
3. The IV Model and Assumptions
4. The Two Stage Least Squares Estimator
Section 12.2 The General IV Regression Model
5. TSLS in the General IV Model
6. Instrument Relevance and Exogeneity
7. The IV Regression Assumptions and Sampling Distribution of the TSLS Estimator
8. Inference Using the TSLS Estimator
Section 12.3 Checking Instrument Validity
Key and Difficult Points: Grasp the basic theory and method of the TSLS estimation
Evaluation Requirements: Reading materials, finishing homework, and completing practical exercises
五、主要参考书（黑体，小四号字）
[1] 詹姆斯·斯托克 (James H. Stock) ， 马克·沃森 (Mark W. Watson). 计量经济学(第3版)(英文版) ( Introduction to Econometrics, 3d Edition). 格致出版社,上海人民出版社. 2015年1月1日
[2] 杰弗里·伍德里奇 (Jeffrey M. Wooldridge). 计量经济学导论:现代观点(第5版) (Introductory Econometrics: A Modern Approach, 5th Edition). 清华大学出版社.2014年2月1日.
[3] Christian Kleiber, Achim Zeileis. Applied Econometrics with R. Springer. 2008
执笔人：田峥 教研室主任： 系教学主任审核签名：
《金融衍生工具（英语）》教学大纲
“Financial Derivatives” Course Outline
课程编号：151153A
课程类型：专业必修课
总 学 时：48 讲课学时：48 实验（上机）学时：0
学 分：3
适用对象：经济学、管理学、统计学、金融学等
先修课程：经济学原理、金融学原理、概率论与数理统计
Course Code: 151153A
Course Type: Compulsory major course
Periods: 48 Lecture: 48 Experiment (Computer): 0
Credits: 3
Applicable Subjects: Economics, Management, Statistics, Finance
Preparatory Courses: Principal of Economics, Principal of Finance, Probability and Mathematical Statistics
一、课程的教学目标
这是金融类专业学生最重要的专业必修课之一，课程将从理论与实践这两个方面向学生介绍金融市场的各类衍生工具，例如远期、期货、期权等等。在课堂中，学生不仅会学到理论概念，更会学到一些定量计算的方法。通过对这门课程的学习，学生们将掌握金融衍生工具各个方面的知识和技巧，比如金融衍生工具在金融市场中如何运行、如何定价以及我们如何利用其对金融风险进行规避和对冲。
这门课程是基于经济学与金融学的较高级课程，学生们只有运用之前学到的经济学原理和金融学原理当中最基本的概念，以及数学和统计学中学到的基本方法，才能更好的掌握本课程的基本内容。这门课程也将为学生们将来从事金融工程类的工作奠定很好的理论基础。
This is the one of the most important required courses for the Finance major students. This course is designed to introduce students the derivatives related instruments (forward, futures, options and other derivatives), from theoretical and practical aspects. Besides the conceptual materials, it would also involve relatively greater use of quantitative methods. By the end of this course, students would have a good knowledge of how these instruments work, how to price them and hedge risk with them.
This course is also the advanced course based on Finance and Economics. Students would apply all the basic concepts and math/statistics learned previously. This course would prepare the student for the financial engineering related positions.
二、教学基本要求
通过对这门课程的学习，学生们将对金融衍生工具的交易与柜台合约有一个很好的认识与理解，从而构建起对货币或衍生工具进行风险规避的投资组合策略。同时，学生们还会对远期合约、期货合约以及互换合约的定价有一个全面而清晰的掌握。此外，学生们还需要学习和掌握期权合约的运行机制和估价原则。期权定价一般使用二叉树模型或者Black Scholes模型，这些都是本课程里非常重要的进阶内容。更进一步地，学生们还可能接触到信用衍生工具，以及金融危机和金融风险的管理，这些都是本课程的一些后续学习内容。
本课程不仅对理论要求比较高，而且还需要学生们掌握很多定量计算的方法，教学方式主要采取老师直接授课的形式。为了达到最佳教学效果，学生们最好课前可以提前阅读教材的相关章节。除此之外，学生们最好还能掌握譬如Excel或者Matlab等软件工具，这些在教学听课和完成作业当中都是可以用到的。
课程总分为100分，各部分的分配情况如下：
1. 作业 10%
2. 期中考试 30%
3. 期末考试 60%
作业一般布置为教材上的练习。期中与期末考试都是闭卷的形式。
After completing this course, students should be able to have a good knowledge of exchange traded and OTC derivatives contracts, to create effective hedging strategies for cash or derivatives portfolios. Students should understand the pricing of forward contracts, future contracts and swaps. Also, students should learn and understand the mechanics and valuation principles for option contracts. Further topics are: pricing options using both binomial tree and Black Scholes formula. More advanced topics that would be covered in future courses: credit derivatives, financial crisis and risk management.
This course is both theoretical and highly quantitative. Teaching would be mainly in forms of lectures. Students are required to read the related chapters from the textbook before the class. In addition, students would be required to apply analytical tools, such as Excel or Matlab during learning and homework assignments.
The total score is 100，and the weight of different parts is as following.
1. Homework 10%
2. Mid-term Exam 30%
3. Final Exam 60%
Homework assignments would be the exercises in the textbook. Both Mid-term exam and Final exam would be close book, close notes.
三、各教学环节学时分配
教学课时分配 (Class Schedule)
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |绪论 |3 | | |3 |
| |Introduction | | | | |
|2 |远期与期权 |6 | | |6 |
| |Forwards and Options | | | | |
|3 |金融远期与期货 |6 | | |6 |
| |Financial Forwards and Futures | | | | |
|4 |MM理论 |9 | | |9 |
| |Modigliani-Miller Theorem | | | | |
|5 |二叉树期权定价 |9 | | |9 |
| |Binomial Option Pricing | | | | |
|6 |布莱克-斯科尔斯模型 |9 | | |9 |
| |Black-Scholes Model | | | | |
|7 |利率远期/期货与互换 |6 | | |6 |
| |Interest Rate Forwards/Futures and Swaps | | | | |
|合计 | |48 |0 |0 |48 |
四、教学内容
第一章 绪论
课程基本介绍
第二章 远期与期权
第一节 收益图，利润图
第二节 卖空
第三节 远期合约
第四节 买入/卖出期权
教学重点、难点：收益图与利润图的区别，卖空
课程的考核要求：理解收益图与利润图的区别，掌握卖空的方式
第三章 金融远期与期货
第一节 多种方式购买
第二节 期货
教学重点、难点：多种方式购买股票的区别
课程的考核要求：运用多种方式来购买股票
第四章 MM理论
第一节 MM理论综述
第二节 无税MM理论
第三节 有税MM理论
教学重点、难点：计算有税情况下的MM理论
课程的考核要求：运用税盾理论计算有税情况下的公司价值
第五章 二叉树期权定价
第一节 单期买入模型
第二节 单期卖出模型
第三节 多期模型
教学重点、难点：二叉树期权定价
课程的考核要求：运用二叉树模型对各种期权进行定价
第六章 布莱克-斯科尔斯模型
第一节 Black-Scholes公式
第二节 连续模型扩展
第三节 期权基本原则
教学重点、难点：期权模型的连续型扩展
课程的考核要求：掌握连续扩展型的期权定价模型
第七章 利率远期/期货与互换
第一节 债券基本介绍
第二节 远期利率协定
第三节 久期与凸性
第四节 互换
教学重点、难点：远期利率协定的计算
课程的考核要求：了解如何计算远期利率协定
Chapter 1 Introduction
Basic introduction to this course
Chapter 2 Forwards and Options
Session 1 Payoff Diagram, Profit Diagram
Session 2 Short selling
Session 3 Forward contract
Session 4 Call/Put options
Key and Difficult Points: the differences between payoff diagram and profit diagram, short selling.
Evaluation Requirements: understand the differences between payoff diagram and profit diagram, and master short selling.
Chapter 3 Financial Forwards and Futures
Session 1 Alternative ways to buy a stock
Session 2 Futures
Key and Difficult Points: the difference among alternative ways to buy a stock
Evaluation Requirements: use alternative ways to buy a stock
Chapter 4 Modigliani-Miller Theorem
Session 1 Introduction to MM theory
Session 2 MM theory with no taxes
Session 3 MM theory with taxes
Key and Difficult Points: calculation MM theory with taxes
Evaluation Requirements: use tax shield to calculate the company value with taxes
Chapter 5 Binomial Option Pricing
Session 1 One-period call option
Session 2 One-period put option
Session 3 Multi-period options
Key and Difficult Points: option pricing with binomial models
Evaluation Requirements: use binomial models to price all kinds of options
Chapter 6 Black-Scholes Model
Session 1 Black-Scholes formula
Session 2 Extension of continuous models
Session 3 Principals on options
Key and Difficult Points: continuous extension of option models
Evaluation Requirements: master how to use continuous extension of option models
Chapter 7 Interest Rate Forwards/Futures and Swaps
Session 1 Bonds basics
Session 2 Forward interest agreements
Session 3 Duration and convexity
Session 4 Swaps
Key and Difficult Points: calculation of forward interest agreements
Evaluation Requirements: know how to calculate forward interest agreements
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
[1] McDonald (2008), Derivatives Markets, 3rd Edition, Prentice Hall.
[2] John Hull (2011), Options, Futures and Other Derivatives, 8th Edition, Pearson Education Limited.
执笔人：李委明 教研室主任： 系教学主任审核签名：
《金融计量学》教学大纲
“Financial Econometrics” Course Outline
课程编号：151163A
课程类型：学科基础课
总 学 时：48 讲课学时：32 实验（上机）学时：16
学 分：3
适用对象：统计学专业（国际班）
先修课程：微观经济学、宏观经济学、概率论与数理统计、线性代数、微积分
Course Code: 151163A
Course Type: Discipline basic course
Periods: 48 Lecture: 36 Experiment (Computer): 12
Credits: 3
Applicable Subjects: Statistics (International)
Preparatory Courses: Microeconomics, Macroeconomics, Probability and Mathematical Statistics, Linear Algebra, Mathematical Analysis
一、课程的教学目标
这是一门向金融学，经济学和管理学相关专业的高年级本科生开设的学科基础课程。这门课程在学生的知识结构中占有重要位置，是训练学生研究能力和分析能力的重要课程之一。在这门课中，我们主要介绍应用于金融经济学中各种经典计量分析方法，包括以下教学目标：（1）为金融计量分析中其它相关课程提供所需要的基本概率知识；（2）着重于现代金融理论进行实证分析所需要的估计和检验方法；（3）学生能运用所学的金融计量理论分析和解释实际金融数据；（4）学生能在计算机上用计量软件EViews实践计量方法。学完这门课程后，学生能熟练运用各种经典的金融计量分析方法和软件来分析金融数据，包括金融变量间的建模，运用计量软件来检验，预测，理解和模拟金融数据，并拥有了解新的分析方法的工具。
Financial Econometrics is a basic major course for advanced undergraduate students majoring in finance, economics and management. This course plays a vital role in students’ structure of knowledge, and is an important training course for developing students’ research and analysis skills. In this course, we introduce basic econometric methods applied in financial economics, including the following aims: (1) provides background in probability theory for other courses in the Financial Econometrics; (2) focuses on the estimation and inferential methods used in empirical analysis of modern finance theory; (3) students are able to apply the methods taught in Financial Econometrics to analyze and explain the financial data; (4) students are able to implement these techniques using econometric software packages EViews. With successful completion of this course, students should be able to apply all sorts of empirical methods in Financial Econometrics to quantitatively analyze and interpret the financial data, including modelling the relationship between multivariate variables, using econometric software to test, predict, understand and simulate the financial data, and having the tools to read texts which introduce new methods.
二、教学基本要求
这门课程主要阐述的是关于金融理论的实证分析，以及如何分析实际金融数据所需要的计量理论和实证技术。因此，在教学内容的讲授过程中，授课老师需要做到理论与实践并重。这门课从金融数据的概述开始，包括一些基本的分析统计量，分位数相关的分析比如风险的计算，以及有效市场的检验。之后，我们开始分析数据的平稳性与非平稳性。 基于此基本性质，我们进而分析股票票回报率，金融市场泡沫的存在性。于此同时，我们用ARCH和GARCH模型分析市场的波动效应。我们还特别关注多维变量的建模和分析。基于多维向量自回归模型，我们继而学习协整模型和向量误差修正模型。于此同时，我们对相关的脉冲响应函数以及预测方差分解给予详细介绍。对于上述所有的模型的分析，该课程都提供相应的实证数据例子以及标准的计量分析程序。
由于教学理论与实践并重，授课老师应采取理论教授与上机实践紧密结合的教学方法。鼓励学生课前预习；课上安排课堂讨论，提高学生的课堂参与积极性，以便学生能够深入理解知识要点；课后指定学生进行经典论文的选读，指导学生撰写小论文并组织课堂宣讲。
课程的考核方式及其所占权重如下：
|出勤 |10% |
|作业 |30% |
|期末闭卷考试 |30% |
|课程论文 |30% |
在上述考核方式中，作业来自于授课相关知识的理论和实践习题；期末闭卷考试考查计量理论知识；课程论文考查计量应用实践。
The main content of this course is elaborating the Econometric theory and empirical techniques which are mostly used in the empirical analysis of financial theory and how they are applied to actual financial data. Therefore, in this course, the instructor should equal weights on both theory and application. The course starts with the overview of financial data. It covers some statistics, percentile related analysis such as risk computation, and continues with testing efficient market models. We then proceed to analyzing the stationarity and non-stationarity of data, with application on return predictability and bubble existence. We continue with volatility effects of the market data using ARCH and GARCH models. A special attention is paid to multivariate models. Based on basic Vector Autoregressive models, we cover cointegration and VECM model, other more advanced techniques like impulse response analysis and forecast error decomposition are included as well. All the models are accompanied with real-data examples in standard computer packages.
Because of the equal importance of theory and application, instructor should adopt the teaching strategy of close integration of lecturing in theory and practicing on computer. Encourage student to preview course materials before class, arrange discussions during class, enhance student’s enthusiasm and initiative in class participation so that student can understand those key points of knowledge deeply; assign student to read classical academic papers selectively, guide student to write term paper and organize presentations in class.
The methods of evaluation of this course and their weights are as follows:
|Attendance |10% |
|Assignments |30% |
|Final Exam (closed) |30% |
|Term paper |30% |
| | |
In the methods of evaluation above, the assignments come from the theoretical and application exercises from course related material; the closed form final exam focuses on the examination of knowledge in theory; and the term paper focuses on the examination of application.
三、各教学环节学时分配
教学课时分配 (Class Schedule)
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
| |金融数据概述 |4 | | |4 |
| |The Characteristics of Financial Market Data | | | | |
| |平稳时间序列 |6 |2 | |8 |
| |Stationary Time Series | | | | |
| |非平稳时间序列 |6 |2 | |8 |
| |Nonstationary Time Series | | | | |
| |股票回报率预测 |4 |2 | |6 |
| |Stock Return Predictability | | | | |
| |多元时间序列建模Multivariate Time Series |10 |4 | |14 |
| |波动率 |6 |2 | |8 |
| |Volatility | | | | |
| | | | | | |
|合计 | |36 |12 | |48 |
四、教学内容
第一章 金融市场数据的特征
14. 数据：金融数据的实证特征对金融建模很重要
15. 概括性的统计量
16. 分位数相关的分析
6. 在险价值
7. 期望损失
8. 密度预测
17. 实证分析
1. 有效市场假说
2. 方差比检验
教学重点、难点：在险价值和期望损失的计算
课程的考核要求：计算在险价值和期望损失，用计量软件检验有效市场假说
第二章 平稳时间序列
1. ARMA过程
1. 数据
2. 模型性质
2. 估计，检验和模型选择
1. MLE估计方法
2. 统计量
3. ARMA模型选择
3. 预测
1. 预测过程
2. 预测评估
4. 实证分析
教学重点、难点：ARMA过程模型性质和预测
课程的考核要求：分析ARMA过程模型性质和预测，用计量软件预测ARMA过程
第三章 非平稳时间序列
1. 单位根过程和确定性时间序列
1. 数据
2. 单位根过程的模型性质
3. 含有确定性时间序列模型的性质
2. 估计，检验和模型选择
1. MLE估计方法
2. 单位根检验
3. 滞后阶数的选择
3. 预测
1. 预测过程
2. 预测评估
4. 实证分析
1. 泡沫检验
2. 泡沫起始时间的估计
教学重点、难点：单位根检验和泡沫检验
课程的考核要求：分析单位根过程的模型性质，用计量软件进行单位根检验
第四章 多元时间序列建模
1. 向量自回归过程
1. 数据
2. 向量自回归过程的模型性质
3. 估计，检验和模型选择
4. 脉冲响应函数分析
5. 预测方差分解
2. 伪回归和协整模型
1. 伪回归模型
2. 协整模型
3. 向量误差修正模型
1. 模型性质
2. 模型估计
4. 预测
1. 预测过程
2. 预测评估
5. 实证分析
1. 泡沫检验
2. 泡沫起始时间的估计
教学重点、难点：向量自回归过程的模型性质和协整关系检验
课程的考核要求：分析向量自回归过程的模型性质，用计量软件进行协整关系检验
第五章 股票回报率预测
5. 股票回报率预测（i）
3. 预测回归
4. 长期预测回归
6. 股票回报率预测（ii）
5. 资本资产定价模型
6. 多因子模型
7. 实证分析
教学重点、难点：预测回归和多因子模型
课程的考核要求：用计量软件检验股票收益的可预测性
第六章 波动率
1. 资产价格过程的波动聚类
2. 自回归条件异方差模型（ARCH）
1. 模型性质
2. 估计方法
3. 模型选择
3. 广义自回归条件异方差模型（GARCH）
1. 模型性质
2. 估计方法
3. 模型选择
4. 实证分析
教学重点、难点：ARCH和GARCH模型的估计
课程的考核要求：用ARCH和GARCH模型来分析现实金融数据的波动性
Chapter 1 The Characteristics of Financial Market Data
Section 1 The Data: The empirical characteristics of financial data are important for building financial models.
Section 2 Summary Statistics
Section 3 Percentiles related statistics
9. Value-at-Risk
10. Expected Shortfall
11. Density Forecasting Estimation
Section 4 Empirical Analysis
1. Effcient Market Hypothesis
2. Variance Ratio Tests
Key and Difficult Points: calculation of Value-at-Risk and Expected Shortfall
Evaluation Requirements: calculation of Value-at-Risk and Expected Shortfall, and testing the Effcient Market Hypothesis by econometric software
Chapter 2 Stationary Time Series
Section 1 ARMA processes
1. Data
2. Properties
Section 2 Estimation, Inference and Model Selection
1. Estimation by MLE
2. Test Statistics
3. ARMA Model Selection
Section 3 Forecasting
1. Forecasting Procedure
2. Forecasting Evaluation
Section 4 Empirical Analysis
Key and Difficult Points: the properties of ARMA process and forecasting using ARMA model
Evaluation Requirements: the properties of ARMA process, and forecasting using ARMA model by econometric software
Chapter 3 Nonstationary Time Series
Section 1 Unit Root and Deterministic Trends
1. Data
2. Properties of Unit Root Model
3. Properties of Model with Deterministic Trends
Section 2 Estimation, Inference and Model Selection
1. Estimation by MLE
2. Unit Root Test
3. Lag-length Model Selection
Section 3 Forecasting
1. Forecasting Procedure
2. Forecasting Evaluation
Section 4 Empirical Analysis
1. Bubble Test
2. Data Stamping of Bubbles
Key and Difficult Points: Unit root test and Data Stamping of Bubbles
Evaluation Requirements: Properties of Unit Root Model, and test unit root by econometric software
Chapter 4 Multivariate Time Series
Section 1 Vector Autoregressive Models
1. Data
2. Properties of Vector Autoregressive Models
3. Estimation, Inference and Model Selection
4. Impulse Response Analysis
5. Forecast error variance decompositions
Section 2 Spurious Regression and Cointegration
1. Spurious Regression
2. Cointegration
Section 3 Vector Error Correction Model
1. Properties
2. Estimation
Section 4 Forecasting
1. Forecasting Procedure
2. Forecasting Evaluation
Section 5 Empirical Analysis
Key and Difficult Points: Vector Autoregressive Models and Cointegration
Evaluation Requirements: Properties of Vector Autoregressive Models and Cointegration test by econometric software
Chapter 5 Stock Return Predictability
Section 1 Stock Return Predictability (i)
1. Predictive Regression
2. Long-horizon Predictive Regression
Section 2 Stock Return Predictability (ii)
1. Capital Asset Pricing Model (CAPM)
2. Multifactor Models
Section 3 Empirical Analysis
Key and Difficult Points: Predictive Regression and Multifactor Models
Evaluation Requirements: Test stock return predictability by Predictive
Regression using econometric software
Chapter 6 Volatility
Section 1 Volatility Clustering of Asset Price Processes
Section 2 Autoregressive Conditional Heteroscedasticity Model（ARCH）
1. Properties
2. Estimation
3. Model Selection
Section 3 Generalized Autoregressive Conditional Heteroscedasticity Model（GARCH）
1. Properties
2. Estimation
3. Model Selection
Section 4 Empirical Analysis
Key and Difficult Points: estimation of ARCH and GARCH models
Evaluation Requirements: apply ARCH and GARCH models to real data in finance
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
[1] Campbell, J. Y., Lo, A. W. C., & MacKinlay, A. C. (1997). The econometrics of financial markets (Vol. 2, pp. 149-180). Princeton, NJ: princeton University press.
[2] Tsay, R. S. (2005). Analysis of _nancial time series (Vol. 543). John Wiley & Sons.
[3] Hamilton, J. D. (1994). Time series analysis (Vol. 2). Princeton: Princeton university press.
[4]Diebold, F. X. (1998). Elements of forecasting. South-Western College Publication.
执笔人：陈烨 教研室主任： 系教学主任审核签名：
《国际金融》教学大纲
“International Finance” Course Outline
课程编号：151173A
课程类型：必修
总 学 时：48 讲课学时：48 实验（上机）学时：0
学 分：3
适用对象：金融学（金融经济）
先修课程：中级宏观经济学、投资学、金融学，金融市场与机构
Course Code: 151143A
Course Type: Required Course
Periods: 48 Lecture: 48 Experiment (Computer): 0
Credits: 3
Applicable Subjects: Finance（Finance and Economics Experiment Class）
Preparatory Courses: Intermediate Macroeconomics, Investment, Finance, Financial market and institution.
一、课程的教学目标
这门课程包含三个方面的内容，金融市场，利率以及商业银行。在课程结束后，学生应该能够（1）解释国际金融市场的基本结构；（2）理解国际资本流动；（3）理解汇率是如何决定的，以及汇率和利率，通货膨胀之间的关系；（4）鉴别出影响汇率行为的因素；（5）理解如何管理汇率风险；（6）理解国际商业机构如何管理长期资本和负债；（7）理解国际商业机构如何管理短期资本和负债；（8）利用课程所学的概念和工具对具体商业案例进行分析。
This course covers three topics: financial markets, interest rates, and commercial banking.
Upon completion, you should be able to:
• Explain the basic structure of international financial market
• Understand international flow of fund.
• Understand how exchange rate is determined, the linkage between exchange rate and
inflation and interest rate
• Identify the factors that influence exchange rate behavior
• Understand how exchange rate risk is managed.
• Understand how long-term asset and liability is managed
• Understand how short-term asset and liability is managed
• Use the tools and concepts learned in this course to analyze business case
二、教学基本要求
本课程的主要内容将采取理论与案例相结合的教授方式。为了使学生巩固知识，案例分析将穿插在平时的课堂中。授课老师讲采取定期的课堂测验的方式掌握学生对知识的吸收情况，并针对学生的学习动态进行调整。
课程的考核方式及其所占权重如下：
|出勤 |10% |
|课堂测验一 |25% |
|课堂测验二 |25% |
|期末闭卷考试 |40% |
课堂测验：按照通常情况来说，课堂测验没有补测。如果你由于身体或者家庭原因，不能出席课堂测验，请提前通过邮件告知，并在之后提供缺席的相关证明。如果不能遵守这些规则，学生将有可能失去该部分的分数。
期末考试：期末考试考察的内容将覆盖整学期教授的内容。期末考试的日期将由学校统一安排，请妥善安排你的计划。
课堂测验和期末考试将由多项选择题，简答题（有关概念）以及分析题（用图分析或简单的代数分析题）。学生们被允许带具有简单科学运算功能的计算器。请同时带上你的学号到随堂测验以及期末考试。
随堂测验和期末考试均是闭卷。
Both theory and case study will be taught in this class.To help students consolidate knowledge better, case study will be discussed during the regular classes. In-class quizzes will be implemented to evaluate if students understand well.
Your overall performance will be evaluated based on:
Class participation: 10%
Quiz 1: 25%
Quiz 2: 25%
Final exam: 40%
Quizzes
As a general principle, there will be no make-up quizzes. If you cannot attend the quizzes due to medical or family emergency, you need to send an email to me BEFORE the quizzes. Later on you need to provide proofs for your absence. Failing to observe the rule will result in a complete loss of the grade allocated to the quizzes.
Final Exam
Your final exam is comprehensive, i.e., it will cover all the materials covered during the
semester. The final exam date is centrally arranged, and I have to abide by the official exam
schedule. Please make your holiday travel plans accordingly.
Both the quizzes and the final exam will consist of multiple choice questions, short answers
(straightforward conceptual questions or definitions) and analytical problems (diagrammatic
or simple algebraic analyses). You are allowed to bring a non-graphing calculator with basic
scientific functions to the exams. You have to bring your University photo ID to both the
quizzes and the final exam.
Quizzes and the final exam are closed books and notes.
各教学环节学时分配
教学课时分配 (Class Schedule)
|序号 |章节内容 |讲课 |其他 |合计 |
|1 |绪论Intruduction |2 | |2 |
|2 |外汇市场，远期市场和汇率风险 |6 | |6 |
| |The foreign exchange market , Forward Markets | | | |
| |and Transaction Exchange risk | | | |
|3 |国际收支平衡表 |4 | |4 |
| |The balance of payment | | | |
|4 |国际货币系统 |4 | |4 |
| |International monetary system | | | |
|5 |利率平价以及汇率决定 |8 | |8 |
| |Internatioanl parity condition and exchange rate| | | |
| |determination | | | |
|6 |国际资本市场 |6 | |6 |
| |International capital market | | | |
|7 |国际公司金融 |6 | |6 |
| |International coporate finance | | | |
|8 |利率和货币互换 |6 | |6 |
| |Interest rate and currency swap | | | |
|9 |外汇期货以及期权 |6 | |6 |
| |FX futures and options | | | |
|合计 | |48 | |48 |
四、教学内容
第一章 绪论
18. 全球化过程
1. 发展
2. 特征
19. 跨国公司
9. 特征
10. 与国际金融市场关联
第三节 国际金融市场
1，发展
2. 特征
教学重点、难点：全球化与国际金融市场的发展动态以及因果关系
课程的考核要求：了解模型全球化、跨国公司以及国际金融市场发展的历程。
第二章 外汇市场，远期市场和汇率风险
第一节 外汇市场
1. 外汇市场构成
2. 货币计价
3. 银行间市场
第二节 远期市场和汇率风险
1. 汇率风险
2. 远期货币市场及交割
3. 远期溢价
4. 汇率波动性变化
教学重点、难点：汇率计价的几种方式，银行间市场的作用，汇率风险的影响及如何利用远期市场消除汇率风险。
课程的考核要求：理解外汇市场的主要特征，清楚汇率计价的几种方式，了解远期市场的作用，了解汇率风险的来源。
第三章 国际收支平衡表
第一节 概念及组成
1. 经常账户
2. 资本账户
3. 储备账户
赤字与盈余
经常账户动态
1. 贸易账户动态
2. 投资收入账户动态
3. 与储蓄、投资的关系
教学重点、难点：国际收支平衡表的独特记录规则，各账户之间的联系，经常账户与储蓄和投资之间的联系。
课程的考核要求：可以对同一笔跨国交易在国际收支平衡表中进行记录。理解经常账户的变化与储蓄和投资变化的关系。
第四章 国际货币系统
第一节 中央银行
第二节 汇率制度
1. 固定汇率
2. 清洁浮动汇率
3. 有管理的浮动汇率
第三节 汇率危机
1. 资本的”突然停止”
2. 阿根廷的货币危机
教学重点、难点：中央银行和商业银行间的关系。固定和浮动汇率与资本流动以及货币危机之间的关系。
课程的考核要求：了解货币当局的组织架构，理解汇率管理制度的不同，可以分析不同汇率制度下资本流动的情况
第五章 利率平价以及汇率决定
第一节 利率等价理论
1. 假设条件
2. 抛补利率平价
3. 未抛补利率平价
第二节 购买力平价
1. 假设条件
2. 绝对购买力平价
3. 相对购买力平价
第三节 实际汇率
第四节 货币市场风险对冲
教学重点、难点：利率等价理论，购买力等价理论，汇率的预测。
课程的考核要求：理解利率等价和购买力等价的前提假设条件。掌握等价公式背后的逻辑，利用利率等价和购买力等价预测汇率。
第六章 国际资本市场
第一节 国际债券市场
1. 构成
2. 国际银行及借贷
3. 借贷成本
第二节 国际股票市场
1. 交叉上市
2. 不足及有利条件
第三节 国际资本市场的均衡
1. 风险与回报率
2. 最优资产配置
3. 资本定价模型
教学重点、难点：借贷成本，交叉上市的优劣以及国际资本市场回报的计算
课程的考核要求：根据条件计算国际债券市场借贷成本，以及计算国际资本市场投资的回报率计算。
国际公司金融
国际资本预算
折现资本模型
金融侧影响因子
实物期权
风险管理、外汇对冲
对冲
讨论：反对论据、支持论据
国际贸易融资
支付问题？
2. 支付方式
出口融资
教学重点、难点：资本预算及其影响因子。对冲在实际应用中的复杂性
课程的考核要求：掌握资本预算过程，可以对某一实际跨国投资项目的可行性给予分析。
第八章 利率和货币互换
第一节 利率互换
1. 利率互换合约
2. 定价
3. 信用风险
第二节 货币互换
1. 机制
2. 两种方式
3. 价值计算
教学重点、难点：利率互换和货币互换的定价
课程的考核要求：掌握利率互换和货币互换所产生的现金流，对互换合约可以进行定价
外汇期货及期权
外汇期货
1. 期货合约
对冲交易风险
外汇期权
1. 期权合约：欧式和美式
风险管理中的应用
教学重点、难点：期货储备账户动态，期权的定价及执行
课程的考核要求：掌握期货和期权所产生的现金流，可以根据市场价格对期货储备账户动态进行分析，掌握期权的执行条件。
Chapter1 Introduction
Section 1 Globalization
1. Development
2. Features
Section 2 Multinational firm
1. Features
2. Relationship with international financial market
Section 3 Internaitonal financial market
1. Development
2. Features
Chapter 2 Foreign exchange market, forward market and exchange rate risk
Section 1 Foreign exchange market
1. Composition
2. Quote
3. Interbank market
Section 2 Forward market and exchange rate risk
1. Exchange rate risk
2. Forward market and settlement
3. Forward premium
4. Volatility of exchange rate
Key and Difficult Points: the quote of exchange rate and forward premium
Evaluation Requirements: master the different ways to quote exchange rate in market, understand the existence of exchange rate risk and explain how forward market can mitigate exchange rate risk.
Chapter 3 The balance of payment
Section 1 Concept and composition
1. Current account
2. Capital account
3. Reserve account
Section 2 Supplus and Deficit
Section 3 Current account
1. Dynamics of trade account
2. Dynamics of investment income account
3. Relationship with saving and investment
Key and Difficult Points: The account rule of the balance of payment. The record correctly in each account for one international transaction
Evaluation Requirements: Can record correctly in each account for one international transaction. Understand the linkage between current account, saving and investment.
Chapter 4 Exchange rate system
Section 1 Central bank
Section 2 Exchange rate management system
1. Fixed exchange rate system
2. Floating exchange rate system
3. Managed floating exchange rate system
Section 3 Currency crisis
1. Sudden stop of international capital
2. Agentina Case
Key and Difficult Points: The relation between central bank and commecial bank. The linkage between exchange rate management system with capital flow and currency crisis.
Evaluation Requirements: Understand the structure of monetary management system. Analyze capital flow under different excahnge rate management system.
Chapter 5 Interest rate parity and exchange rate determination
Section 1 Interest rate parity
1. Assumption
2. Covered interest rate parity
3. Uncovered interest rate parity
Section 2 Purchasing power parity
1. Assumption
2. Absulote Purchasing power parity
3. Relative Purchasing power parity
Section 3 Real exchge rate
Section 4 Hedging exchange rate risk in currency market
Key and Difficult Points: Interest rate parity and purchasing power parity theory, forcasting future exchange rate.
Evaluation Requirements: Understand the assumptions in interest rate parity and purchasing power parity theory. Master the logic and intuition behind the fumulas. Be able to use fomulas to forcase furture exchange rate.
Chapter 6 International capital market
Section 1 International debt market
1. Composition
2. International bank and loans
3. Cost of debt
Section 2 International equity market
1. Cross listing
2. Advantage and disadvantage
Section 3 International capital marketEquilibrium
1. Risk and return
2. The optimal capital allocation
3. CAMP model
Key and Difficult Points: Cost of debt，return of equity investment
Evaluation Requirements: Be able to calculate the cost of debt and return of equity investment.
Chapter 7 International corporate finance
Section 1 International capital budgeting
1. Discount the cash flows
2. Financial side effects
3. Real option
Section 2 Risk management and foreign currency hedging
1. Hedge
2. Arguments for and against hedge
Section 3 Finance international trade
1. Payment Issues
2. Methods of payment
3. Finance export
Key and Difficult Points: Capital budgeting and influencing factors. The complexity of hedget in reality.
Evaluation Requirements: Master the method of capital budgeting. Be able to evaluate the possibility of international investmnet project.
Chapter 8 Interest rate and currency swaps
Section 1 Interest rate swap
1. Contract
2. Pricing
3. Credit risk
Section 2 Currency swap
1. Mechanism
2. Two ways
3. Valution
Key and Difficult Points: Pricing of interest rate and currency swaps
Evaluation Requirements: Calculate the cash flow interest rate swap and currency swap carried and pricing the two types of swaps.
Chapter 9 Foreign currency futures and options
Section 1 Foreign currency futures
1. Contract
2. Hedge transaction risk
Section 2Foreign currency options
1. Two types: European optiona and American option
2. Application in risk mangement
Key and Difficult Points: Dynamics of reserve account. And condition for margin cal. Valuation and excise of options
Evaluation Requirements: Calucalte cash flow of foreign currency futures and options. Analyze the reserve condition of foreign currency futures and master the conditions for optionas to be executed.
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
[1] International Financial Management, by Geert Bekaert and Robert Hodrick, 3rd Edition, Pearson, 2014
[2] International Economics: theory and policy. by Paul R. Krugman, MauriceObstfeld , Marc Melitz, 9rd Edition, Addison-Wesley, 2011
执笔人：彭道菊 教研室主任： 系教学主任审核签名：
《高级计量经济学》教学大纲
“Advanced Econometrics” Course Outline
课程编号：151183A
课程类型：学科基础课
总 学 时：48 讲课学时：32 实验（上机）学时：16
学 分：3
适用对象：经济学、统计学、金融学等
先修课程：微观经济学、宏观经济学、计量经济学
Course Code: 151183A
Course Type: Discipline Major Course
Periods: 48 Lecture: 32 Experiment (Computer): 16
Credits: 3
Applicable Subjects: Economics, Statistics, Finance
Prerequisites: Microeconomics, Macroeconomics, Econometrics
一、课程的教学目标
该课程面向经济学、统计学和金融学等相关专业高年级本科生，重点介绍计量经济学各种核心理论方法及其实际应用的学科专业课程。本课程是学生在本科阶段的高阶课程，着重加强学生对计量理论的理解并为提升其对理论运用的认知。具体而言，该课程的侧重训练学生以下四个方面的能力：1）掌握基本计量模型的结构、估计及统计推断；2）理解每个计量模型的特点及适用范围；3）能针对具体的经济问题构建恰当计量模型；4）熟练使用统计软件R实现完整的计量分析。通过本课程的学习，学生能够从实际经济问题出发，结合相应的数据特点，构建并分析合理的计量模型，并对分析结果进行科学规范的讨论，从而初步建立其独立研究分析的能力。
This is a core major course in the theory and practice of advanced econometric methods for students majoring in economics, statistics, and finance. This course is of advanced level for senior undergraduate students, aiming at enhancing students’ understanding of fundamental econometric theories and the practical applications of these methods. Mainly, the course train the student’s abilities in the following four aspects: 1) know well the setting, estimation and statistical inference of basic econometric models; 2) understand the basic properties and also the applications of each econometric model; 3) be capable of construct the proper econometric model for practical economic problems; 4) be familiar with the most popular statistical programming language R for econometric analysis. Through this course, the students should learn how to combine the economic theories, stylized facts with data structure to construct the econometric model for empirical analysis, and also how to investigate the econometric results, so as to establish the ability of conduct independent research.
二、教学基本要求
本课程的教学目的是让学生掌握计量经济学的基础理论方法并熟练运用所学计量知识分析各种现实经济问题。课程教学需要着重强调从研究的视角探讨模型构建的思路、估计方法以及其它检验分析，同时兼顾前沿理论动态的发展，以便学生能够用前瞻的视角思考计量问题。内容上，本课程需要重点阐释线性回归模型的各种性质，并对比最小二乘法、极大似然法和广义矩估计法在各不同模型估计中的异同。
由于本课程理论与实践并重，课程教学中应采取理论教授与上机实践紧密结合的教学方法。鼓励学生课前预习；课上安排课堂讨论，提高学生的课堂参与积极性，以便学生能够深入理解知识要点；课后指定学生进行经典论文的选读，指导学生撰写小论文并组织课堂宣讲。
课程的考核方式及其所占权重如下：
|出勤 |10% |
|作业 |10% |
|期中闭卷考试 |30% |
|期末闭卷考试 |30% |
|课程论文 |20% |
在上述考核方式中，作业来自于课本中的理论和实践习题；期末闭卷考试考查计量理论知识；课程论文考查计量应用实践。
The main content of this course is to elaborate the core theories of econometrics and their applications, helping students to master the development of classical econometric theories and proficiently apply the econometric methods to the quantitative analysis of real economic problems. It is necessary to teach this course by showing the ideas, methods, and tests of econometric models from the perspective of conducting researches. Meanwhile, the materials of this course should include the frontier of econometric methods so that students can touch the boundary of this field and learn how to think of econometric problems in prospective and professional way. This course should also cover the general concepts of econometrics, focusing on analyzing the properties of linear regression model and comparing the main three methods with each other: least squares, maximum likelihood, and general moment method.
Caring of both of theories establishment and empirical applications, the course should adopt the teaching strategy of close integration of lecturing in theory and practicing on computer. To encourage student to preview course materials before class, arrange discussions during class, and enhance student’s enthusiasm and initiative in class participation would help students understand those key points of econometric methods deeply. Also, students can learn from reading classical academic papers selectively, writing term paper, and making presentations in class.
The methods of evaluation of this course and their weights are as follows:
|Attendance |10% |
|Assignments |10% |
|Midterm Exam |30% |
|Final Exam (closed) |30% |
|Term paper |20% |
In the methods of evaluation above, the assignments come from the theoretical and application exercises in the textbook; the closed form final exam focuses on the examination of knowledge in theory; and the term paper focuses on the examination of application.
三、各教学环节学时分配
教学课时分配 (Class Schedule)
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |绪论 |1 | | |1 |
| |Introduction | | | | |
|2 |矩阵与统计：复习 |1 | | |1 |
| |Review of Matrix and Statistics | | | | |
|3 |古典线性回归模型 |2 |2 | |4 |
| |Classical Linear Regression Model | | | | |
|4 |最小二乘估计 |4 |2 | |6 |
| |Least Squares Estimation | | | | |
|5 |大样本性质 |4 | | |4 |
| |Large Sample Properties | | | | |
|6 |极大似然估计 |6 |1 | |7 |
| |Maximum Likelihood Estimator | | | | |
|7 |假设检验 |4 |2 | |6 |
| |Hypothesis Tests | | | | |
|8 |非线性回归 |2 | | |2 |
| |Nonlinear Regression | | | | |
|9 |内生性与工具变量估计 |3 |1 | |4 |
| |Endogeneity and Instrumental Variable | | | | |
| |Estimation | | | | |
|10 |广义最小二乘 |2 |1 | |3 |
| |Generalized Least Squares | | | | |
|11 |离散和受限因变量模型 |3 |1 | |4 |
| |Models of Discrete and Limited Dependent | | | | |
| |Variables | | | | |
|12 |面板数据模型 |4 |2 | |6 |
| |Panel Data Model | | | | |
|合计 | |36 |12 | |48 |
四、教学内容
第一章 绪论
20. 经济研究的一般范式
21. 计量经济学简介
教学重点、难点：计量经济学的分析思路
课程的考核要求：了解经济研究的基本范式，掌握计量方法的核心框架
Chapter 1 Introduction
Section 1 Research Paradigm of Economics
Section 2 Main Framework of Econometrics
Key and Difficult Points: the key points of econometric analysis
Evaluation Requirements: understand the paradigm of economic research; master general framework of econometric analysis.
第二章 矩阵与统计：复习
第一节 矩阵
第二节 概率论
22. 数理统计
教学重点、难点：矩阵求导，估计量，假设检验
课程的考核要求：掌握线性代数、概率论与数理统计相关核心理论的运用
Chapter 2 Review of Matrix and Statistics
Section 1 Matrix
Section 2 Probability Theory
Section 3 Mathematical Statistics
Key and Difficult Points: vector derivatives, estimators, hypothesis testing
Evaluation Requirements: master the applications of the theories of linear algebra, probability and statistics.
第三章 古典线性回归模型
第一节 最小误差预测
第二节 古典线性回归模型假设
11. 线性结构
12. 解释变量满秩
13. 外生性
14. 残差项球型方差
15. 条件正太分布
教学重点、难点：各假设条件的现实含义
课程的考核要求：理解各假设条件的含义，掌握外生性概念
Chapter 3 Classical Linear Regression Model
Section 1 Least Squares of Predicting Error
Section 2 Assumptions of Classical Linear Regression Model
12. Linear Form
13. Full Rank of Explanatory Variables
14. Exogeneity
15. Spherical Disturbance
16. Conditional Normality
Key and Difficult Points: the practical meaning of each assumption
Evaluation Requirements: understand the meaning of the five assumptions, master the concept of exogeneity
第四章 最小二乘估计
第一节 普通最小二乘法
第二节 最小二乘估计的几何表述
3. 投影矩阵
4. 残差矩阵
第三节 部分回归
第四节 最小二乘估计概率性质
7. 无偏估计
8. 有效性
9. 条件正太分布
10. 方差无偏估计
11. 系数估计与方差估计的独立性
12. 高斯-马尔科夫定理
第五节 拟合优度
第六节 数据问题
4. 共线性
5. 数据缺失
6. 测度误差
教学重点、难点：运用普通最小二乘法的几何性质分析部分回归，将最小二乘估计的各条性质与假设条件对应起来，高斯-马尔科夫定理的推导
课程的考核要求：理解数据问题所带来的表征，掌握最小二乘法估计的几何性质、概率性质及它们的推导方法。
Chapter 4 Least Squares Estimation
Section 1 Ordinary Least Squares (OLS)
Section 2 Geometric Elaboration of Least Squares Methods
3. Projection Matrix
4. Residual Maker
Section 3 Partial Regression
Section 4 Probabilistic Properties of Least Squares Estimator
7. Unbiased Estimation
8. Efficiency
9. Conditional Normality
10. Estimator of Variance
11. Independence of Coefficient Estimator and Variance Estimator
12. Gauss-Markov Theorem
Section 5 Good of Fitness
Section 6 Data Problems
4. Multicollinearity
5. Missing Values
6. Measurement Error
Key and Difficult Points: using the geometric properties of OLS to analyze partial regression, combine each probabilistic property with the corresponding assumptions, and derive Gauss-Markov theorem
Evaluation Requirements: understand the issues of data problems, master the geometric, probabilistic properties of OLS, and the way to derive these properties
第五章 大样本性质
第一节 收敛方式
第二节 大数定律
3. 弱大数定律
4. 强大数定律
第三节 中心极限定理
23. 最小二乘估计的大样本性质
3. 一致性
4. 渐近正态分布
教学重点、难点：各种收敛方式间的关系，大数定律与中心极限定理的应用，一致性与渐近正态性的建立
课程的考核要求：理解各统计定理的应用，掌握依概率收敛概念，掌握最小二乘法估计一致性和渐近正态性的构建条件及推导方法
Chapter 5 Large Sample Properties
Section 1 Modes of Convergence
Section 2 Law of Large Numbers
3. Weak Law of Large Numbers
4. Strong Law of Large Numbers
Section 3 Central Limit Theorems
Section 4 Large Sample Properties of OLS
3. Consistency
4. Asymptotic Normality
Key and Difficult Points: the relation of each pair of modes of convergence, the application of law of large numbers and central limit theorems, the establishment of consistency and asymptotic normality
Evaluation Requirements: understand the applications of each related statistical theorems, master the concept of convergence in probability, master the establishment of consistency and asymptotic normality for least squares estimators.
第六章 极大似然估计
第一节 极大似然估计的基本原理
第二节 极大似然估计的正则条件
第三节 极大似然估计的渐近性质
4. 一致性
5. 渐近正态分布
6. 渐近有效性
第四节 线性回归模型的极大似然估计
24. 准极大似然估计
教学重点、难点：检验正则条件，建立极大似然函数，极大似然估计的渐近性质
课程的考核要求：了解正则法则的含义，掌握极大似然估计方法的原理，掌握极大似然估计量一致性、渐近正态性和渐近有效性
Chapter 6 Maximum Likelihood Estimators (MLE)
Section 1 Maximum Likelihood Methods
Section 2 Regularity Conditions of MLE
Section 3 Asymptotic Properties of MLE
4. Consistency
5. Asymptotic Normality
6. Asymptotic Efficiency
Section 4 MLE of Linear Regression Model
Section 5 Quasi Maximum Likelihood Method
Key and Difficult Points: the meaning of regularity conditions, construction of maximum likelihood function, asymptotic properties of maximum likelihood estimators
Evaluation Requirements: understand the meaning of regularity conditions, master the basic theory of maximum likelihood methods, master consistency, asymptotic normality, and asymptotic efficiency of maximum likelihood estimators
第七章 假设检验
第一节 假设检验基本方法
第二节 沃德检验
3. 单系数检验
4. 多重约束检验
第三节 似然比检验
4. 约束最小二乘估计
5. 约束极大似然估计
6. 似然比检验统计量
第四节 拉格朗日乘数检验
第五节 非嵌套模型
25. 结构突变
26. 非线性约束
教学重点、难点：假设检验的基本方法，沃德检验、似然比检验、拉格朗日乘数检验的基本原理
课程的考核要求：掌握假设检验的基本方法，了解两类错误的含义，掌握三种常用检验统计量的构建方法及其分布
Chapter 7 Hypothesis Tests
Section 1 Methodology of Hypothesis Tests
Section 2 Wald Type Test
3. t-Test of Single Coefficient
4. F-Statistic for Multiple Restrictions
Section 3 Likelihood Ratio Type Test
4. Restricted Least Squares Estimator
5. Restricted Maximum Likelihood Estimator
6. Likelihood Ratio Test Statistics
Section 4 Lagrange Multiplier (LM) Type Tests
Section 5 Nonnested Models
Section 6 Structural Breaks
Section 7 Nonlinear Restrictions
Key and Difficult Points: methodology of hypothesis tests, theories of Wald, Likelihood Ratio, Lagrange Multiplier tests
Evaluation Requirements: master the methodology of hypothesis tests, understand the meaning of two type errors, master the method of constructing the test statistics of Wald, Likelihood Ratio, Lagrange Multiplier tests, and derive their distributions
第八章 非线性回归模型
第一节 非线性经济关系
第二节 非线性回归模型
第三节 非线性最小二乘估计
3. 一致性
4. 渐近正态性
第四节 假设检验
教学重点、难点：非线性模型估计方法
课程的考核要求：了解经济中常见的非线性关系，掌握非线性最小二乘法
Chapter 8 Nonlinear Regression Models
Section 1 Nonlinear Economic Relationships
Section 2 Nonlinear Regression Models
Section 3 Nonlinear Least Squares Estimators (NLS)
3. Consistency of NLS
4. Asymptotic Normality of NLS
Section 4 Hypothesis Tests
Key and Difficult Points: estimation of nonlinear regression models
Evaluation Requirements: understand the nonlinear economic relationships, master the nonlinear least squares estimation methods
第九章 内生性与工具变量估计
第一节 经典线性回归模型的推广
第二节 估计方法
4. 最小二乘
5. 工具变量估计量
6. 两阶段最小二乘
27. 两个设定检验
3. Hausman检验
4. 过度识别检验
28. 测量误差
29. 弱工具变量
教学重点、难点：模型内生性的成因及其工具变量解决办法
课程的考核要求：了解模型内生性的成因，掌握工具变量估计法和设定检验
Chapter 9 Endogeneity and Instrumental Variable Estimation
Section 1 Extension of the Classical Linear Regression Model
Section 2 Estimation
4. Least Squares
5. The Instrumental Variables Estimator
6. Two-Stage Least Squares
Section 3 Two Specification Tests
5. The Hausman Test
6. A Test for Overidentification
Section 4 Measurement Error
Section 5 Weak Instruments
Key and Difficult Points: the cause of endogeneity in models and its solution using instrumental variables
Evaluation Requirements: understand the cause of endogeneity in models; master the instrumental variable estimation and its specification tests
第十章 广义最小二乘法
第一节 异方差
第二节 最小二乘的非有效性
第三节 异方差检验
3. 怀特一般检验
4. 布里希-佩干拉格朗日乘数检验
第四节 加权最小二乘法
3. 方差矩阵已知的加权最小二乘法
4. 方差矩阵含未知参数的加权最小二乘法
第五节 广义最小二乘法
第六节 稳健方差矩阵估计
教学重点、难点：异方差及序列相关产生的原因，异方差检验，广义最小二乘法
课程的考核要求：了解异方差及序列相关带来的估计问题，理解异方差检验方法，掌握加权最小二乘法和广义最小二乘法
Chapter 10 Generalized Least Squares
Section 1 Heteroscedasticity
Section 2 Inefficient Estimation of Least Squares
Section 3 Tests for Heteroscedasticity
3. White’s General Test
4. The Breusch–Pagan LM Test
Section 4 Weighted Least Squares
3. Weighted Least Squares with Known Covariance
4. Estimation When Covariance Matrix Contains Unknown Parameters
Section 5 Generalized Least Squares
Section 6 Robust Covariance Matrix Estimator
Key and Difficult Points: the reasons of heteroscedasticity and serial correlation, tests of heteroscedasticity, generalized least squares
Evaluation Requirements: the estimating problem of heteroscedasticity and serial correlation, master weighted least squares estimation and generalized least squares estimation
第十一章 离散与受限因变量模型
第一节 双重结果模型
3. Probit模型
4. Logit模型
第二节 多重选择模型
5. 随机效用基础
6. Multinomial Logit模型
7. 嵌套Logit模型
8. 混合Logit模型
第三节 截尾数据
4. 截尾分布
5. 截尾分布的矩
6. 截尾回归模型
第四节 删失数据
4. 删失正态分布
5. 删失回归模型
6. 删失模型估计
第五节 评估处理效应
4. 处理效应回归分析
5. 倾向指数匹配
6. 断点回归
教学重点、难点：各模型的数据特点，各模型的估计方法，各模型对应的现实经济问题
课程的考核要求：了解各模型的数据特点，掌握各模型的估计方法
Chapter 11 Models of Discrete and Limited Dependent Variables
Section 1 Models for Binary Outcomes
4. Probit Model
5. Logit Model
Section 2 Multiple Choices
5. Random Utility Basis
6. The Multinomial Logit Model
7. Nested Logit Models
8. The Mixed Logit Model
Section 3 Truncation
4. Truncated Distributions
5. Moments of Truncated Distributions
6. The Truncated Regression Model
Section 4 Censored Data
4. The Censored Normal Distributions
5. The Censored Regression (Tobit) Models
6. Estimation
Section 5 Evaluating Treatment Effects
4. Regression Analysis of Treatment Effects
5. Propensity Score Matching
6. Regression Discontinuity
Key and Difficult Points: data characteristics of each model, estimation method for each model, the corresponding economic problem of each model
Evaluation Requirements: understand the data characteristics of each model, master the estimating method of each model
第十二章 面板数据模型
第一节 模型结构
第二节 混合回归模型
4. 混合回归模型最小二乘估计
5. 稳健协方差矩阵估计
6. 用分组均值做稳健回归
第三节 固定效应模型
4. 最小二乘回归
5. 检验分组效应显著性
6. 固定时间和分组效应
第四节 随机效应模型
5. 最小二乘估计
6. 广义最小二乘估计
7. 随机效应检验
8. 随机效应豪斯曼设定检验
教学重点、难点：面板数据模型的结构，固定效应与随机效应模型的对比
课程的考核要求：理解面板数据模型的数据结构，掌握固定效应模型和随机效应模型的估计方法与设定检验方法
Chapter 12 Panel Data Model
Section 1 Model Structures
Section 2 Pooled Regression Model
3. Least Squares Estimation of the Pooled Model
4. Robust Covariance Matrix Estimation
6. Robust Estimation Using Group Means
Section 3 Fixed Effects Model
4. Least Squares Estimation
5. Testing the Significance of the Group Effects
6. Fixed Time and Group Effects
Section 4 Random Effects Model
5. Least Squares Estimation
6. Generalized Least Squares
7. Testing for Random Effects
8. Hausman’s Specification Test for the Random Effects
Key and Difficult Points: the data structure of panel data model, comparison of fixed effect and random effect panel data model
Evaluation Requirements: understand the data structure of panel data model, master the estimating method of fixed effect and random effect panel data models, master the specification test of random effect models
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
[1] Greene, W. Econometric Analysis. NJ: Prentice Hall. 2012
[2] Casella, George and Roger L. Berger, Statistical Inference, 2nd edition. Cengage Learning, 2001.
[3] Kleiber, C. and A. Zeileis, Applied Econometrics with R. Springer, 2008.
执笔人：李红军 教研室主任： 系教学主任审核签名：
《高级微观经济学》教学大纲
“Advanced Microeconomics” Course Outline
课程编号：151193A
课程类型：专业选修课
总学时：48 讲课学时：48
学 分：3
适用对象：经济学、统计学、金融学
先修课程：经济学原理、中级微观经济学、线性代数、微积分
Course Code: 151193A
Course Type: Specialized elective course
Periods: 48 Lecture: 48
Credits: 3
Applicable Subjects: Economics, Statistics, Finance
Preparatory Courses: Principles of Microeconomics, Introductory Microeconomics, Linear Algebra, Mathematical Analysis
一、课程的教学目标
本课程作为本科学生的专业选修课旨在通过介绍微观经济学中的主要模型、原理和证明使学生具备进行微观经济学研究的基本方法与技能,为后续专业课程的学习奠定基础。
This specialized elective course is offered to undergraduate students majoring in Economics, Statistics, and Finance. This course builds the foundation for the study of subsequent major courses and trains the students in the micro – economic research skills.
二、教学基本要求
本课程的教学内容大致可以分为四大部分。第一部分为个人决策理论。第二部分为博弈论。第三部分为市场均衡和市场失效理论。第四部分为一般均衡理论。各部分中的基本概念、原理和实际应用应细讲和精讲，而深入的纯数学推导应粗讲和选讲。授课老师应利用浅显易懂的实际例子去解释知识点，使学生更好地理解、掌握和运用所学到的理论。为了保持学生的学习连贯性，除了课后作业之外，鼓励学生进行课前预习并适当增加课堂测验。
课程的考核方式及其所占权重如下：
|出勤 |10% |
|课堂小测验 |10% |
|作业 |20% |
|期中闭卷考试 |30% |
|期末闭卷考试 |30% |
This course consists of four main modules. The first part is individual decision making. The second part is game theory. The third part is market equilibrium and market failure. The fourth part is general equilibrium. For each module, the basic concept, theory, and application should be explained in detail and the mathematical derivation should be explained roughly. It is important to use easy to understand examples to help students connect theory with practical application. Besides homework, the instructor could also encourage class preparation and assign quiz to motivate students.
The methods of evaluation of this course and their weights are as follows:
|Attendance |10% |
|Quizzes |10% |
|Assignments |20% |
|Midterm Exam (closed) |30% |
|Final Exam (closed) |30% |
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |绪论 |2 | | |2 |
| |Introduction | | | | |
|2 |消费者理论 |14 | | |14 |
| |Consumer Choice | | | | |
|3 |博弈论 |12 | | |12 |
| |Game Theory | | | | |
|4 |市场均衡和市场失效 |10 | | |10 |
| |Market Equilibrium and Market Failure | | | | |
|5 |一般均衡 |10 | | |10 |
| |General Equilibrium | | | | |
|合计 | |48 | | |48 |
四、教学内容
第一章 绪论
第一节 经济学的含义和主要内容概述
第二节 经济分析方法论
教学重点、难点：微观经济学各知识点间的联系
课程的考核要求：理解微观经济学的研究范畴
第二章 消费者理论
第一节 偏好与选择
11. 选择理论
12. 偏好和选择的关系
第二节 消费者偏好关系、效用函数
第三节 古典消费者理论
1. 最大化效用函数
2. 最小化支出函数
3. 需求函数、效用函数和支出函数的关系
4. 显示偏好理论
第四节 不确定条件下的选择
1. 预期效用
2. 风险大小的测定
3. 风险资产的配置问题
教学重点、难点：与消费者选择相关的各函数之间的关系，不同资产组合的风险评估
课程的考核要求：掌握需求函数的性质和如何规避风险
第三章 博弈论
第一节 静态博弈
1. 占有策略
2. 纳什均衡
3. 混合策略纳什均衡
4. 贝叶斯纳什均衡
5. 纳什均衡的存在性
第二节 动态博弈
1. 逆向归纳法和子博弈精炼纳什均衡
2. 战略承诺
教学重点、难点：共同知识、子博弈和可置信威胁
课程的考核要求：熟练掌握均衡的推导过程、理解策略互动的重要性
第四章 市场均衡和市场失效
第一节 外部性和公共产品
1. 外部性
2. 公共产品
3. 私有信息
第二节 逆向选择和信号博弈
1. 不对称信息
2. 信号博弈
3. 筛选博弈
第三节 委托代理理论
教学重点、难点：外部性和信息的重要性
课程的考核要求：掌握外部性如何影响市场均衡的原理
第五章 一般均衡
第一节 一般均衡理论
1. 完全交换理论
2. 单个消费者和单个生产者的经济活动
3. 一般均衡理论和部分均衡理论的对比
第二节 一般均衡和社会福利
1. 福利经济学
2. 帕里托最优
教学重点、难点：一般均衡理论、帕里托最优和福利
课程的考核要求：熟练掌握一般均衡分析法
Chapter 1 Introduction
Section 1 Basic Concepts of Microeconomics
Section 2 Microeconomic Analysis
Key and Difficult Points: Concept mapping
Evaluation Requirements: Understand the scope of microeconomics
Chapter 2 Consumer Choice
Section 1 Preference and Choice
17. Choice Rule
18. The Relationship between Preference Relations and Choice Rules
Section 2 Consumer Choice and Utility Function
Section 3 Classical Demand Theory
1. The Utility Maximization Problem
2. The Expenditure Minimization Problem
19. Relationships between Demand, Indirect Utility, and Expenditure Functions
20. The Strong Axiom of Revealed Preference
Section 4 Choice under Uncertainty
7. Expected Utility
8. The Measurement of Risky Asset
9. How to Allocate between Risky Asset and Risky Free Asset
Key and Difficult Points: Duality and asset allocation
Evaluation Requirements: Master the properties of demand function, indirect utility and expenditure function and how to reduce risk
Chapter 3 Game Theory
Section 1 Simultaneous – Move Games
1. Dominant Strategy
2. Nash Equilibrium
3. Mixed Nash Equilibrium
4. Bayesian Nash Equilibrium
5. The Existence of Nash Equilibrium
Section 2 Dynamic Game
1. Backward Induction and Subgame Perfect Nash Equilibrium
2. Strategic Commitment
Key and Difficult Points: Common knowledge, subgame, credible threat
Evaluation Requirements: Know well the derivation of Nash Equilibrium and understand the importance of strategic interaction
Chapter 4 Market Equilibrium and Market Failure
Section 1 Externality and Public Good
1. Externality
2. Public Good
3. Private Information
Section 2 Adverse Selection and Signaling
1. Asymmetric Information
2. Signaling
3. Screening
Section 3 Principle – Agent
Key and Difficult Points: The importance of externality and information
Evaluation Requirements: Master the impact of externality on market equilibrium
Chapter 5 General Equilibrium
Section 1 General Equilibrium Theory
1. Pure Exchange: The Edgeworth Box
2. The One – Consumer, One – Producer Economy
3. General Versus Partial Equilibrium Theory
Section 2 Equilibrium and Its Basic Welfare Properties
1. Welfare Economics
2. Pareto Optimality and Social Welfare Optima
Key and Difficult Points: General equilibrium theory, pareto optimality and welfare
Evaluation Requirements: Know well the General equilibrium analysis
五、主要参考书
Mas – Colell, A., Whinston, M.D., Green, J. Microeconomic Theory. Oxford University Press. 1995.
执笔人： 王峥 教研室主任： 系教学主任审核签名：
《高级宏观经济学》教学大纲
"Advanced Macroeconomics"
Course Outline
课程编号： 151203A
课程类型：专业选修课
总 学 时：48 讲课学时：48 实验（上机）学时：0
学 分：3
适用对象：经济学、金融学等
先修课程：中级宏观经济学
Course Code: 151203A
Course Type: Professional optional course
Periods: 48 Lecture: 48 Experiment (Computer): 0
Credits: 3
Applicable Subjects: Economics, Finance
Preparatory Courses: Intermediate Macroeconomics
一、课程的教学目标(Goal)
本课程为本院人才培养方案中最后一门宏观经济学,旨在为学生介绍较为进阶的宏观经济理论与实证。本课程着重于培养学生应用所学之理论，同时能独立思考社会上出现之经济议题。对有心走向学术研究之路的学子，本课程可视为研究生与本科生教材之衔接，减少其面对研究生课程的困难。对即将面对就业市场的学生，本课程提供之宏观实证训练可提高学生之竞争力。
As the last macroeconomics course offered in the ISEM program, the main goal of this course is to introduce relatively advanced macroeconomic theories and empirical studies. In this course, students will acquire the ability to apply the theories to be learned and to analyze independently economic issues raised in our society. For students who are intended to pursue advanced academic degrees, this course can help them bridge the gap between graduate and undergraduate curriculum and reduce the difficulties which may confront them in a graduate program. Those who will join the job market upon their graduation will find this course helpful in increasing their competitiveness by acquiring the empirical macroeconomics techniques.
二、教学基本要求(Teaching requirements)
本课程强调理论与实证并重，在讲解基本的理论后，授课老师应介绍相对应的实证研究或后续发展。譬如讨论货币政策的议题，授课老师应详细讲解传统理论中货币政策之效果，并介绍实证上如何评估，以及后续货币政策理论之发展。然而授课老师必须考量学生对高级经济学理论技术之掌握，不应过快且过多的讲解学生无法吸收的理论技术。因此，本课程之授课老师应着重讲解每个环节中之经济学思路，以及实证研究之逻辑。对于要求学生阅读之学术文章，应提供具体的问题让学生知道他们阅读的重点。本课程之考核方式建议采用比闭卷考试以及期末报告。考试可占70%，平时与报告占30%。
This course emphasizes equally on theoretical and empirical macroeconomics. After introducing basic theories, the instructor should further introduce corresponding empirical studies and subsequent developments. For example, on issues of monetary policies, the instructor should first thoroughly introduce the effects of conventional monetary policy in traditional macro models, then discuss how to access these effects empirically, and broadly talk about subsequent studies of monetary policy. However, the instructor should consider students' familiarity with advanced techniques of theoretical economics and should not introduce too much techniques that students could not digest. Therefore, emphasis should be placed on discussing the economic thinking behind every theory and the reasoning of an empirical study. For academic articles students are assigned to read, the instructor should provide specific reviewing questions so that students will know the main points. The suggested evaluation for this course consists of two closed-book exams and a presentation. Exams take 70% and presentation/assignments take the rest 30%.
三、各教学环节学时分配
教学课时分配(Class Schedule)
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |宏观经济数据与分析 |3 |0 |0 |0 |
| |Macroeconomic data analysis | | | | |
|2 |AD-AS 模型 |9 |0 |0 |0 |
| |AD-AS models | | | | |
|3 |宏观经济政策与国际资产流动 |12 |0 |0 |0 |
| |Macroeconomic policy and international capital | | | | |
| |mobility | | | | |
|4 |消费与投资 |6 |0 |0 |0 |
| |Consumption and investment | | | | |
|5 |金融市场与经济周期 |3 |0 |0 |0 |
| |Financial Market and business cycle | | | | |
|6 |长期经济增长理论与实证 |15 |0 |0 |0 |
| |Long-run economic growth theories and empirical | | | | |
| |evidence | | | | |
|合计 | |48 |0 |0 |0 |
四、教学内容（黑体，小四号字）
第一章 宏观经济数据与分析
第一节 宏观经济数据
13. 国内生产毛额
14. 物价指数
15. 失业率
16. 利率与汇率
第二节 经济数据分析
1. 如何计算成长率
2. 如何计算折现值
教学重点、难点：宏观经济变量的特性，常用的经济数据分析方法。
课程的考核要求：了解宏观经济变量的特性，掌握经济数据分析方法与计算。
Chapter 1 Macroeconomic data analysis
Section 1 Macroeconomic data
1. Gross domestic product
2. Prices indices
3. Unemployment rate
4. Interest rate and exchange rates
Section 2 Tools for data analysis
1. How to calculate growth rate
2. How to calculate present value
Key and Difficult Points: Features of macroeconomic data, tools for analyzing macroeconomic data.
Evaluation Requirements: Understand features of macroeconomic data; acquire tools for analyzing macroeconomic data.
第二章 AD-AS 模型
第一节 静态AD-AS 模型
1. AS曲线
2. AD曲线
3. AD-AS模型与应用
第二节 动态AD-AS模型
1. AS曲线与飞利浦曲线之关系
2. 动态AD曲线
3. 动态AD-AS模型与应用
教学重点、难点：AD与AS的经济理论以及其应用。静态模型到动态模型的转换。
课程的考核要求：理解AD与AS的经济理论，熟悉其应有。理解静态模型到动态模型的转换。
Chapter 2 AD-AS models
Section 1 Static AD-AS model
1. AS curve
2. AD curve
3. Applications
Section 2 Dynamic AD-AS model
1. From AS curve to Phillips curve
2. Dynamic AD curve
3. Applications
Key and Difficult Points: Theoretical basis and applications of AD-AS model. Transition from static to dynamic model.
Evaluation Requirements: Understand theoretical basis of AD-AS model; get familiar with applications; understand transition from static to dynamic model.
第三章 宏观经济政策与国际资产流动
第一节 IS-LM模型
1. 商品市场均衡
2. 货币市场均衡
3. IS-LM模型与应用
第二节 货币与财政政策
1. 货币政策
2. 财政政策
第三节 国际资产流动与IS-LM模型
1. 国际收支与汇率
2. 汇率的长期均衡
3. 资产流动
4. Mundell-Fleming模型与应用
教学重点、难点：IS-LM 模型的理论基础；货币与财政政策的效果；开放经济体的宏观经济政策。
课程的考核要求：理解IS-LM 模型的理论基础；熟悉分析货币与财政政策的效果；理解与分析开放经济体的宏观经济政策。
Chapter 3 Macroeconomic policies and international capital mobility
Section 1 IS-LM model
1. Equilibrium in goods market
2. Equilibrium in money market
3. IS-LM models and its applications
Section 2 Monetary and fiscal policy
1. Monetary policy
2. Fiscal policy
Section 3 International capital mobility and IS-LM model
1. Balance of payments and exchange rate
2. Long-run equilibrium exchange rate
3. Capital mobility
4. Mundell-Fleming model and its applications
Key and Difficult Points: Theoretical basis and applications of IS-LM model; effects of monetary and fiscal policy; macroeconomic policies in open economy.
Evaluation Requirements: Understand theoretical basis of IS-LM model; get familiar with analyzing effects of monetary and fiscal policy; understand and analyze macroeconomic policies in open economy.
第四章 消费与投资
第一节 消费与储蓄
1. 生命周期与恒久性收入理论
2. 不确定下的消费决策
第二节 投资支出
1. 资本存量与投资流量
2. 固定投资、住宅投资与存货
3. 投资与总供给
教学重点、难点：消费行为的理论基础；投资行为的理论基础。
课程的考核要求：理解消费与投资行为的理论基础
Chapter 4 Consumption and investment
Section 1 Consumption and saving
1. Life-cycle and permanent income theory
2. Consumption decision under uncertainty
Section 2 Investment
1. Capital stock and investment flow
2. Fixed investment, residential investment, and inventory
3. Investment and aggregate supply
Key and Difficult Points: Theoretical basis of consumption and investment behaviors.
Evaluation Requirements: Understand theoretical basis of consumption and investment behaviors.
第五章 金融市场与资产价格
第一节 长期利率与短期利率
第二节 股价与随机漫步理论
第三节 汇率与利率
教学重点、难点：利率期限结构；随机漫步理论；汇率与利率之关系。
课程的考核要求：理解利率期限结构；理解随机漫步理论；分析汇率与利率之关系。
Chapter 4 Financial market and asset prices
Section 1 Long-term and short-term interest rates
Section 2 Stock price and random walk theory
Section 3 Exchange rate and interest rate
Key and Difficult Points: Term structure of interest rate; random walk theory; connection between exchange rate and interest rate.
Evaluation Requirements: Understand term structure of interest rate; understand random walk theory; know how to analyze connection between exchange rate and interest rate.
第六章 经济增长理论与实证
第一节 经济增长与累积
1. 增长会计法
2. 增长的实证估计
3. 新古典增长理论
第二节 经济增长与政策
1. 内生增长理论
2. 经济增长政策
教学重点、难点：增长会计法；新古典增长理论；内生增长理论。
课程的考核要求：理解与应用增长会计法；理解新古典与内生增长理论；熟悉增长理论建议的经济增长政策。
Chapter 6 Economic growth theories and empirical evidence
Section 1 Economic growth and accumulation
1. Growth accounting
2. Empirical estimates of economic growth
3. Neo-classical economic growth theory
Section 2 Economic growth and policies
4. Endogenous growth theory
5. Economic growth policies
Key and Difficult Points: Growth accounting; neo-classical economic growth theory; endogenous growth theory.
Evaluation Requirements: Understand and apply growth accounting; understand neo-classical and endogenous growth theory; get familiar with economic policies suggested by economic growth theories.
五、其它
本课程之评分方式可由授课老师调整，课时分配可依授课老师之专长及学生之兴趣略做调整。
Course evaluation can be adjusted by the instructor. Class schedule can be flexible according to the instructor's expertise and students' interests.
六、主要参考书
列出主要参考书目，所列条目及其顺序如下：
[1] Rudiger Dornbusch, Stanley Fischer, and Richard Startz. Macroeconomics, 12th edition. USA. McGraw-Hill Education. 2013.10.1
[2] N. Gregory Mankiw. Macroeconomics, 8th edition. USA. Worth Pub. 2012.6.1.
执笔人： 黄宇凡 教研室主任： 系教学主任审核签名：
《金融市场与机构》教学大纲
“Financial Markets and Institutions” Course Outline
课程编号： 151213A
课程类型：专业课
总 学 时： 48 讲课学时： 48 实验（上机）学时：无
学 分：3
适用对象：经济学、管理学、金融学等
先修课程：微观经济学、宏观经济学
Course Code: 151213A
Course Type: Specialized course
Periods: 48 Lecture: 48 Experiment (Computer): None
Credits: 3
Applicable Subjects: Economics, Finance, Management
Preparatory Courses: Microeconomics (not required), Macroeconomics
一、课程的教学目标
这是一门面向经济学、金融学和管理学等专业本科生介绍关于金融市场与机构历史、现状及发展的基础知识和基础理论的课程。本门课着力于将理论与实际紧密相连，可以帮助学生理解:(1)金融市场和机构在如何运作;(2)金融机构与金融创新如何影响银行和经济结构；(3)货币政策，经济周期与其它经济变量间的联系。学完本门课程，学生应对经济活动中金融市场和机构所扮演的角色有系统的理解和认识，并具备分析宏观经济变动对各金融市场各组成影响的能力。
This is a specialized course in the basic knowledge and theory about the history, current and future outlook of financial markets and financial institutions for students majoring in Economics, Finance and Management. This course closely combines theory and practice. This course helps the student in understanding:(1) how financial markets and institutions work in the economy;(2) how financial intermediation and financial innovation affect banking and the economy; (3) the basic links among monetary policy, the business cycle, and economic variables。 After learning this course, the student should be able to identify and explain the functions of financial markets and financial institutions in the real economy. Furthermore, they should also be able to analyze how macroeconomic shocks affect the financial system.
二、教学基本要求（黑体，小四号字）
本课程主要是从经济学的角度来学习金融系统。全课程的核心包括两个层次的难点1，股市，债市，和货币市场组成元素、运行规则以及市场价格形成机制。2，运用经济学理论来分析宏观变量对于各个市场以及产品价格的影响。为了达到这个目标，需要紧密联系现实情况，通过分析热点问题培养学生学兴趣，同时揭示信息不对称以及机制设计等学习难点，让学生更快且更深入的理解整个金融市场的运作。对于学生不仅需要他们了解书本上的知识，更需要紧密地追踪市场新闻，并且不断地利用所学的知识来进行分析，并根据市场走势来验证自己的判断。本课程预计将设计8次作业并采用两次期中一次期末的闭卷考试方式进行考核。本课最终的成绩将取决于出勤，作业以及考试的加总。分数加总的方式如下
| |总分数 （100%） |
|项目 |出勤 |作业 |期中1 |期中2 |期末 |
|分项权重 |5% |15% |15% |20% |45% |
This course studies the financial system from an economic perspective. Students will examine major financial assets and markets, financial intermediation, central banking and monetary policy. To help students construct the understanding of financial markets quickly, this course divides financial markets and institutions into two levels. The first level is based on the discussion of the components of financial markets which include the operations of financial markets and the price setting mechanism. The second level is based on analyzing how economic conditions affect the components of financial markets and institutions. Before embarking on the study of this course, the student must be convinced that financial market and institutions is an exciting field because it focuses on economic phenomena that affect everyday life. Talking about the data and news from real markets helps the students to get familiar with the real world and strengthen their abilities to apply the theories from this course to analyzing the real markets. There should be around 8 problem sets, two midterm exams, and one final exam for this course. The course grade is based on lecture attendance, assignments, and exams. They will count toward the total numerical grade as follows:
| |Total Numerical Grade（100%） |
|Item |Attendance |Assignment |Midterm I |Midterm II |Final |
|Percent |5% |15% |15% |20% |45% |
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |绪论 |2 | | |2 |
|2 |金融市场 |10 | | |10 |
|3 |金融机构 |13 | | |13 |
|4 |央行和货币政策 |13 | | |13 |
|5 |货币理论 |10 | | |10 |
|合计 | |48 | | |48 |
Time Distribution
|No. |Content |Hours |Lab |Others |Total |
|1 |Introduction |2 | | |2 |
|2 |Financial Markets |10 | | |10 |
|3 |Financial Institutions |13 | | |13 |
|4 |Central Banking and the Conduct of Monetary Policy |13 | | |13 |
|5 |Monetary Theory |10 | | |10 |
|Total | |48 | | |48 |
四、教学内容
第1章 绪论
第一节 为什么学习金融市场与金融机构
17. 为什么学习金融市场？
18. 为什么学习金融机构？
19. 为什么学习货币和货币政策？
第二节 金融系统总览
1. 金融市场功能
9. 金融市场结构
10. 金融市场工具
第二节 什么是货币
3. 货币的定义和功能
4. 支付系统的演变
教学重点、难点：了解金融市场与金融中介对资本的分配意义，货币的经济学意义
课程的考核要求：熟练掌握金融市场的基本组成，掌握货币经济学意义
Chapter 1 Introduction
Section 1 Why Study Money, Banking, and Financial Markets?
21. Why Study Financial Markets?
22. Why Study Financial Institutions and Banking?
23. Why Study Money and Monetary Policy?
Section 2 An Overview of the Financial System
3. Function of Financial Markets
4. Structure of Financial Markets
Section 3 What is Money
10. Meaning and Functions of Money
11. Evolution of the Payments System
Key and Difficult Points: the functions of financial markets and financial intermediates in distributing the capital, understand money from an economic pespective
Evaluation Requirements: be proficient in understanding the construction of financial markets, master the meaning of monetary economics
第2章 金融市场
第一节 利率的定义
4. 测量利率
5. 利率与收益的区别
6. 实际与名义利率
第二节 利率的行为
4. 资产需求决定要素
5. 债券市场的供给与需求
6. 均衡利率的变动
第三节 利率的风险与期限结构
3. 利率的风险结构
4. 利率的期限结构
第四节 股票市场，理性预期，和有效市场假说
1. 计算普通股票价格
2. 市场如何决定股票价格
3. 理性预期假说
4. 市场有效性假说
教学重点、难点：利率与收益的区别，有效市场假说，债券市场利率决定
课程的考核要求：熟练掌握利率的决定因素，熟练掌握债券市场对利率的影响，理解理性预期理论以及有效市场假说
Chapter 2 Financial Markets
Section 1 The Meaning of Interest Rates
4. Measuring Interest Rates
5. The Distinction Between Interest Rates and Returns
6. The Distinction Between Real and Nominal Interest Rates
Section 2 The Behavior of Interest Rates
4. Determinants of Asset Demand
5. Supply and Demand in the Bond Market
6. Changes in Equilibrium Interest Rates
Section 3 The Risk and Term Structure of Interest Rates
3. Risk Structure of Interest Rate
4. Term Structure of Interest Rates
Section 4 The Stock Market, the Theory of Rational Expectations, and the Efficient
1. Computing the Price of Common Stock
2. How the Market Sets Stock Prices
3. The Theory of Rational Expectations
4. The Efficient Market Hypothesis：Rational Expectations in Financial Markets
Key and Difficult Points: Distinguish the difference between interest rate and return, Efficient Market Hypothesis, How the market sets interest rate
Evaluation Requirements: be proficient in explaining the determinants for interest rates, be proficient in explaining the performance of bond rates in bond markets, and understand rational expectations and efficient market hypothesis
第3章 金融机构
第一节 金融结构的经济学分析
6. 世界金融结构的基本特点
7. 交易成本
8. 不对称信息
9. 逆向选择对金融结构的影响
10. 道德风险对股票与债券市场影响
第二节 银行系统与金融机构管理
7. 银行资产负债表
8. 银行基本知识
9. 银行管理概要
10. 信贷风险管理
11. 利率风险管理
12. 表外业务
第三节 金融监管的经济学分析
3. 不对称信息
4. 金融监管种类
第四节 银行产业：结构与竞争
6. 银行系统的历史发展
7. 金融创新与影子银行
8. 商业银行结构
9. 全球银行结构比较
10. 分业与混业经营
第五节 金融危机
1. 什么是金融危机
2. 金融危机的动态发展
3. 2007-2009年金融危机
4. 金融监管的反应
第六节 非银行金融
8. 保险业
9. 年金
10. 金融公司
11. 债券公司
12. 共同基金
13. 对冲基金
14. 私募及风险投资
第七节 金融产业的利益冲突
1. 什么是利益冲突
2. 利益冲突种类
3. 市场是否会消灭利益冲突
教学重点、难点：不对称信息，金融危机成因，银行资产负债表管理，利益冲突原理
课程的考核要求：熟练掌握不对称信息在金融市场中的表现，理解利率的决定因素，理解金融危机的成因和表现，熟练掌握非银行金融部门种类和职能
Chapter 3 Financial Institutions
Section 1 An Economic Analysis of Financial Structure
6. Basic Facts About Financial Structure Throughout the World
7. Transaction Costs
8. Asymmetric Information: Adverse Selection and Moral Hazard
9. The Lemons Problem: How Adverse Selection Influences Financial Structure
10. How Moral Hazard Affects the Choice Between Debt and Equity Contracts
Section 2 Banking and the Management of Financial Institutions
7. The Bank Balance Sheet
8. Basic Banking
9. General Principles of Bank Management
10. Managing Credit Risk
11. Managing Interest-Rate Risk
12. Off-Balance-Sheet Activities
Section 3 Economic Analysis of Financial Regulation
3. Asymmetric Information as a Rationale for Financial Regulation
4. Types of Financial Regulation
Section 4 Banking Industry: Structure and Competition
5. Historical Development of the Banking System
6. Financial Innovation and the Growth of the “Shadow Banking System”
7. Structure of the U.S. Commercial Banking Industry
8. Separation of Banking and Other Financial Service Industries
Section 5 Financial Crisis
1. What Is a Financial Crisis?
2. Dynamics of Financial Crises
3. The Global Financial Crisis of 2007–2009
4. Response of Financial Regulation
Section 6 Nonbank Finance
8. Insurance
9. Pension Funds
10. Finance Companies
11. Securities Market Operations
12. Mutual Funds
13. Hedge Funds
14. Private Equity and Venture Capital Funds
Section 7 Conflicts of Interest in the Financial Industry
1. What Are Conflicts of Interest, and Why Are They Important?
2. Ethics and Conflicts of Interest
3. Can the Market Limit Exploitations of Conflicts of Interest?
Key and Difficult Points: Asymmetric information, Causes of Financial Crisis，management of Bank Balance Sheet，the theories of conflicts of Interest
Evaluation Requirements: be Proficient in Explaining the Phenomenon caused by Asymmetric Information, Master the Causes and Results of Financial Crises, be Proficient in understanding the Functions and Components of Nonbank Finance
第4章 中央银行与货币政策
第一节 中央银行与美联储
5. 美联储的起源
6. 美联储的架构
7. 美联储的独立性
8. 其他国家央行的独立性
第二节 货币供给
8. 货币供给的三个决定者
9. 美联储的资产负债表
10. 控制基础货币
11. 储蓄创造：一个简单模型
12. 货币供给的决定因素
13. 货币供给总览
14. 货币乘数
第三节 货币政策工具
4. 储备金和联邦基金
5. 传统储备金利率
6. 非传统货币工具和量化宽松
第四节 施行货币政策：目标，策略，和战术
1. 价格稳定目标和名义锚定
2. 其他货币政策目标
3. 价格稳定应该成为货币政策主要目标吗？
4. 盯住通胀
5. 美联储的货币政策策略演变
6. 全球金融危机的教训
7. 央行是否应该阻止信贷泡沫
8. 战术：泰勒规则
教学重点、难点：美联储架构，货币供给决定因素，传统货币工具与非传统货币工具的优缺点，货币政策目标的原因及可行性
课程的考核要求：了解美联储架构，熟悉掌握货币供给原理，熟练掌握传统与非传统货币政策意义
Chapter 4 Central Banking and The Conduct of Monetary Policy
Section 1 Central Banks and the Federal Reserve System
5. Origins of the Federal Reserve System
6. Structure of the Federal Reserve System
7. How Independent Is the Fed?
8. Structure and Independence of Other Central Banks
Section 2 The Money Supply Process
8. Three Players in the Money Supply Process
9. The Fed’s Balance Sheet
10. Control of the Monetary Base
11. Multiple Deposit Creation: A Simple Model
12. Factors that Determine the Money Supply
13. Overview of the Money Supply Process
14. The Money Multiplier
Section 3 Tools of Monetary Policy
4. The Market for Reserves and the Federal Funds Rate
5. Conventional Monetary Interest on Reserves
6. Nonconventional Monetary Policy Tools and Quantitative Easing
Section 4 The Conduct of Monetary Policy: Goals, Strategy, and Tactics
6. The Price Stability Goal and the Nominal Anchor
7. Other Goals of Monetary Policy
8. Should Price Stability Be the Primary Goal of Monetary Policy?
9. Inflation Targeting
10. The Evolution of the Federal Reserve’s Monetary Policy Strategy
11. Lessons for Monetary Policy Strategy from the Global Financial Crisis
12. Should Central Banks Try to Stop Asset-Price Bubbles?
13. Tactics: Choosing the Policy Instrument
Key and Difficult Points: The framework of Fed, Factors Affect Money Supply, Conventional and Unconventional Monetary Tools, Goals of Monetary Policies and Plausibility
Evaluation Requirements: Understand the Framework of Federal Reserve Banks, be Proficient in Explaining the Theory of Money Supply, Master the theories of Conventional and Unconventional Monetary Policies
第5章 货币理论
第一节 数量理论，通胀，和货币需求
6. 货币数量理论
7. 预算赤字和通胀
8. 凯恩斯理论和货币需求
9. 货币需求的资产组合理论
10. 货币需求的实证证据
第二节 总需求总供给分析
6. 总需求
7. 总供给
8. 总供给曲线变化
9. 总需求与供给分析
10. 总供给与需求冲击
第三节 货币政策理论
4. 货币政策对冲击的反应
5. 政策制定者需要多积极地稳定经济
6. 通胀：一直而且到处都是货币现象
7. 通货膨胀货币理论的起因
8. 零利率下限下的货币理论
第四节 货币政策的传导理论
3. 货币政策传导理论
4. 货币政策教训
教学重点、难点：货币需求理论，货币供给需求分析，零利率下限下的货币理论
课程的考核要求：掌握货币数量理论，熟练掌握凯恩斯的货币需求理论，掌握货币需求资产组合理论，熟练掌握货币总需求总供给理论，理解货币政策对金融冲击的反应，掌握货币政策的传导理论
Chapter 5 Monetary Theory
Section 1 Quantity Theory, Inflation, and the Demand for Money
6. Quantity Theory of Money
7. Budget Deficits and Inflation
8. Keynesian Theories of Money Demand
9. Portfolio Theories of Money Demand
10. Empirical Evidence for the Demand for Money
Section 2 Aggregate Demand and Supply Analysis
6. Aggregate Demand
7. Aggregate Supply
8. Shifts in the Aggregate Supply Curves
9. Equilibrium in Aggregate Demand and Supply Analysis
10. Aggregate Supply and Demand Shocks
Section 3 Monetary Policy Theory
4. Response of Monetary Policy to Shocks
5. How Actively Should Policymakers Try to Stabilize Economic Activity?
6. Inflation: Always and Everywhere a Monetary Phenomenon
7. Causes of Inflationary Monetary Policy
8. Monetary Policy at the Zero Lower Bound
Section 4 Transmission Mechanisms of Monetary Policy
3. Transmission Mechanisms of Monetary Policy
4. Lessons for Monetary Policy
Key and Difficult Points: the Theory of Money Demand, the Theory of Money Supply, the theory of Monetary Policies at the Zero Lower Bound
Evaluation Requirements: Master Quantity Theory of Money, be Proficient in Using Keynesian Theories of Money Demand, be Proficient in Using Aggregate Demand and Supply Analysis, understand the Policy Reactions to Financial Shocks, Master the Transmission Mechanisms of Monetary Policy
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
[1] Frederic S. Mishkin, the Economics of Money Banking & Financial Markets: The Business School Edition, Tenth Edition. Pearson Eduction,Inc. 2013
执笔人： 周子彭 教研室主任： 系教学主任审核签名：
《金融数据分析》教学大纲
The Course Outline of Financial Data Analysis
课程编号：151223A
课程类型：专业必修课
总 学 时：48 讲课学时：32 实验（上机）学时：16
学 分：3
适用对象：金融学（金融经济）
先修课程：计量经济学、微观经济学、宏观经济学、概率论与数理统计、线性代数、微积分
Course Code: 151223A
Course Type: Discipline Compulsory Course
Periods: 48 Lecture: 32 Experiment (Computer): 16
Credits: 3
Applicable Subjects: Finance（Finance and Economics Experiment Class）
Prerequisite Courses: Econometrics, Microeconomics, Macroeconomics, Probability and Statistics, Linear Algebra, Calculus
一、课程的教学目标
本课程是面向金融学、经济学和管理学相关专业的高年级本科生开设的学科基础课程。本课程主要介绍应用于金融数据分析中的经典计量方法，包括以下教学目标：（1）使学生能运用所学的金融计量理论分析和解释实际金融数据；（2）着重为对金融理论进行实证分析提供所需的估计和检验方法；（3）使学生运用计算机软件（以R语言为主）进行金融数据研究。
Financial data analysis is a required course for advanced undergraduate students majored in finance, economics and management. In this course, we introduce basic econometric methods applied to financial data, with the following goals: (1) equipping students with econometric tools to analyze and explain financial data, (2) focusing on the estimation and inferential methods used in empirical analysis of finance theory, and (3) enabling students to implement these techniques using computer software, primarily R programming language.
二、教学基本要求
这门课程主要讲授如何利用海量金融数据对金融理论进行实证分析，以及在处理实际金融数据时所需的计量方法和计算机技术。因此，在教学内容的讲授过程中，授课老师需要做到理论与实践并重。理论学习包括金融数据概述，平稳时间序列分析，非平稳性时间序列分析，波动率分析，股票回报率预测，等。在时间允许的情况下，我们还将介绍，多维向量自回归模型, 以及协整和误差纠正模型。对于上述所有的模型的分析，本课程提供相应的实际金融数据，以及完整的R程序与讲解说明文件。
本课程教学方法将以课堂讲授为主。由于课程内容难度相对较大，我们鼓励学生课前预习，课上积极参与讨论，并课后复习和独立完成作业。R语言的学习以课堂展示和学生上机实际操作的方式完成。
课程考核由考勤、作业、研究项目、和期末考试组成。考核成绩为百分制，各项分数分配见表（一）。
|表（一）：分数分配方式 |
|出勤 |10% |
|作业 |30% |
|期末闭卷考试 |30% |
|研究项目 |30% |
The main content of this course is to explain how to handle a huge amount of financial data and to conduct empirical analysis based on financial theories. Thus, this course will weight equally on both learning econometric theories and real applications. Theoretical study will mainly cover such topics as introduction to financial data, stationary time series analysis, non-stationary time series analysis, volatility analysis, and stock return prediction. If time permits, we will also learn vector autoregressive models (VAR) and cointegration and error correction models. All the models are accompanied with real-data examples with complete R programs and tutorials.
The basic teaching strategy of this course mainly involves in-class lectures. Due to the difficulty of the course, we encourage students to browse the assigned reading materials before class, to proactively participate discussions in class, and to peruse lecture notes and independently complete homework after class. Students will learn R through in-class instructions and practice.
The methods of the course evaluation include attendance, homework, project work, and final exam. The grade distribution of each component within one hundred percentage points is presented in Table 1
|Table 1: The grade distribution |
|Attendance |10% |
|Assignments |30% |
|Final Exam (closed) |30% |
|Project Work |30% |
三、各教学环节学时分配
教学课时分配 (Class Schedule)
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |金融数据概述 |4 |2 | |6 |
| |The Characteristics of Financial Market Data | | | | |
|2 |平稳时间序列 |6 |3 | |9 |
| |Stationary Time Series | | | | |
|3 |非平稳时间序列 |6 |3 | |9 |
| |Nonstationary Time Series | | | | |
|4 |波动率 |6 |3 | |9 |
| |Volatility | | | | |
|5 |股票回报率预测 |4 |2 | |6 |
| |Stock Return Predictability | | | | |
|6 |多元时间序列建模Multivariate Time Series |6 |3 | |9 |
|合计 | |32 |16 | |48 |
四、教学内容
第一章 金融市场数据的特征
30. 数据：金融数据的实证特征对金融建模很重要
31. 概括性的统计量
32. 分位数相关的分析
16. 在险价值
17. 期望损失
18. 密度预测
33. 实证分析
3. 有效市场假说
4. 方差比检验
教学重点、难点：在险价值和期望损失的计算
课程的考核要求：计算在险价值和期望损失，用计量软件检验有效市场假说
第二章 平稳时间序列
8. ARMA过程
7. 数据
8. 模型性质
9. 估计，检验和模型选择
4. MLE估计方法
5. 统计量
6. ARMA模型选择
10. 预测
3. 预测过程
4. 预测评估
11. 实证分析
教学重点、难点：ARMA过程模型性质和预测
课程的考核要求：分析ARMA过程模型性质和预测，用计量软件预测ARMA过程
第三章 非平稳时间序列
5. 单位根过程和确定性时间序列
4. 数据
5. 单位根过程的模型性质
6. 含有确定性时间序列模型的性质
6. 估计，检验和模型选择
4. MLE估计方法
5. 单位根检验
6. 滞后阶数的选择
7. 预测
3. 预测过程
4. 预测评估
8. 实证分析
3. 泡沫检验
4. 泡沫起始时间的估计
教学重点、难点：单位根检验和泡沫检验
课程的考核要求：分析单位根过程的模型性质，用计量软件进行单位根检验
第四章 波动率
5. 资产价格过程的波动聚类
6. 自回归条件异方差模型（ARCH）
4. 模型性质
5. 估计方法
6. 模型选择
7. 广义自回归条件异方差模型（GARCH）
4. 模型性质
5. 估计方法
6. 模型选择
8. 实证分析
教学重点、难点：ARCH和GARCH模型的估计
课程的考核要求：用ARCH和GARCH模型来分析现实金融数据的波动性
第五章 股票回报率预测
1. 股票回报率预测（i）
9. 预测回归
10. 长期预测回归
2. 股票回报率预测（ii）
11. 资本资产定价模型
12. 多因子模型
3. 实证分析
教学重点、难点：预测回归和多因子模型
课程的考核要求：用计量软件检验股票收益的可预测性
第六章 多元时间序列建模
6. 向量自回归过程
6. 数据
7. 向量自回归过程的模型性质
8. 估计，检验和模型选择
9. 脉冲响应函数分析
10. 预测方差分解
7. 伪回归和协整模型
3. 伪回归模型
4. 协整模型
8. 向量误差修正模型
3. 模型性质
4. 模型估计
教学重点、难点：向量自回归过程的模型性质和协整关系检验
课程的考核要求：分析向量自回归过程的模型性质，用计量软件进行协整关系检验
Chapter 1 The Characteristics of Financial Market Data
Section 1 The Data: The empirical characteristics of financial data are important for building financial models.
Section 2 Summary Statistics
Section 3 Percentiles related statistics
24. Value-at-Risk
25. Expected Shortfall
26. Density Forecasting Estimation
Section 4 Empirical Analysis
3. Effcient Market Hypothesis
4. Variance Ratio Tests
Key and Difficult Points: calculation of Value-at-Risk and Expected Shortfall
Evaluation Requirements: calculation of Value-at-Risk and Expected Shortfall, and testing the Effcient Market Hypothesis by econometric software
Chapter 2 Stationary Time Series
Section 1 ARMA processes
3. Data
4. Properties
Section 2 Estimation, Inference and Model Selection
4. Estimation by MLE
5. Test Statistics
6. ARMA Model Selection
Section 3 Forecasting
3. Forecasting Procedure
4. Forecasting Evaluation
Section 4 Empirical Analysis
Key and Difficult Points: the properties of ARMA process and forecasting using ARMA model
Evaluation Requirements: the properties of ARMA process, and forecasting using ARMA model by econometric software
Chapter 3 Nonstationary Time Series
Section 1 Unit Root and Deterministic Trends
4. Data
5. Properties of Unit Root Model
6. Properties of Model with Deterministic Trends
Section 2 Estimation, Inference and Model Selection
4. Estimation by MLE
5. Unit Root Test
6. Lag-length Model Selection
Section 3 Forecasting
3. Forecasting Procedure
4. Forecasting Evaluation
Section 4 Empirical Analysis
3. Bubble Test
4. Data Stamping of Bubbles
Key and Difficult Points: Unit root test and Data Stamping of Bubbles
Evaluation Requirements: Properties of Unit Root Model, and test unit root by econometric software
Chapter 4 Volatility
Section 1 Volatility Clustering of Asset Price Processes
Section 2 Autoregressive Conditional Heteroscedasticity Model（ARCH）
4. Properties
5. Estimation
6. Model Selection
Section 3 Generalized Autoregressive Conditional Heteroscedasticity Model（GARCH）
4. Properties
5. Estimation
6. Model Selection
Section 4 Empirical Analysis
Key and Difficult Points: estimation of ARCH and GARCH models
Evaluation Requirements: apply ARCH and GARCH models to real data in finance
Chapter 5 Stock Return Predictability
Section 1 Stock Return Predictability (i)
3. Predictive Regression
4. Long-horizon Predictive Regression
Section 2 Stock Return Predictability (ii)
3. Capital Asset Pricing Model (CAPM)
4. Multifactor Models
Section 3 Empirical Analysis
Key and Difficult Points: Predictive Regression and Multifactor Models
Evaluation Requirements: Test stock return predictability by Predictive
Regression using econometric software
Chapter 6 Multivariate Time Series
Section 1 Vector Autoregressive Models
6. Data
7. Properties of Vector Autoregressive Models
8. Estimation, Inference and Model Selection
9. Impulse Response Analysis
10. Forecast error variance decompositions
Section 2 Spurious Regression and Cointegration
3. Spurious Regression
4. Cointegration
Section 3 Vector Error Correction Model
3. Properties
4. Estimation
Key and Difficult Points: Vector Autoregressive Models and Cointegration
Evaluation Requirements: Properties of Vector Autoregressive Models and Cointegration test by econometric software
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
[1] Walter Enders. Applied Econometric Time Series, 4th edition. Wiley. 2014
[2] Ruey S. Tsay. An Introduction to Analysis of Financial Data with R. Wiley. 2012
执笔人：田峥 教研室主任： 系教学主任审核签名：
《中级计量经济学（英语）》教学大纲
“Intermediate Econometrics”
Course Outline
课程编号：151243A
课程类型：学科基础课
总 学 时：48 讲课学时：38 实验（上机）学时：10
学 分：3
适用对象：经济学、管理学、统计学、金融学等
先修课程：微观经济学、宏观经济学、微积分、线性代数、概率论与数理统计、计量经济学
Course Code: 151243A
Course Type: Discipline basic course
Periods: 48 Lecture: 38 Experiment (Computer): 10
Credits: 3
Applicable Subjects: Economics, Management, Statistics, Finance, etc.
Preparatory Courses: Microeconomics, Macroeconomics, Calculus, Linear Algebra, Probability and Statistics, Introductory Econometrics
1. 课程的教学目标
计量经济学是教育部指定的经济学专业核心课程之一，涵盖数学、统计学和经济理论多方面的综合运用。计量经济学方法，即在一定经济学理论基础上，使用统计方法分析数据，从而发现隐藏在经济问题背后的因果关系。本课程是一门中级程度的计量经济学课程，在所有计量经济学课程中起着承上启下的重要作用。本课程是《计量经济学》的延伸，重点对经典计量模型的其他问题进行深入探讨。除了学习相关的计量经济学理论和方法，本课程更强调理论提出的直观逻辑及其实际应用。通过这门课程，学生应该完全理解、掌握计量经济学方法，并能够独立运用统计软件R或STATA对感兴趣的经济问题进行实证研究。
Econometrics is one of the core courses for economics major students required by China’s Ministry of Education. It is a combination of mathematics, statistics and economic theory. Based on certain economic theory, an econometric method is to analyze data with statistic techniques to find the hidden causality of economic issues. This is an intermediate level course and plays an important role in connecting the preceding and the following econometrics courses. It is an extension of the “Introduction to Econometrics”, and focuses on further issues in classical econometric models. Besides teaching related econometric theory and methods, this course emphasizes the intuition and application of the theory. After taking this course, students should fully understand the advanced econometric methods, and be able to do some empirical study on topics of interest with statistical software, R or STATA, independently.
二、教学基本要求
1) 教学内容
本课程着重指导学生理解最小二乘估计的理想条件不满足时可能出现的情形，以及在此情形下如何使用其他计量经济模型或方法解决产生的相关问题。同时，本课程还将简单介绍时间序列分析和面板数据分析的基础知识，为《金融数据分析》和《高级计量经济学》打下坚实基础。本课程涉及的计量经济学方法包括工具变量法，广义最小二乘法，极大似然法，联立方程模型，离散选择和受限因变量模型，时间序列和面板数据模型，等等。
The main purpose of this course is to help students understand what happens when the ideal conditions for ordinary least squares are violated, and then provides alternative regression techniques that address problems arising from the violations of the basic assumptions. This course also introduces the basics of time series analysis and panel data analysis, and develops the necessary groundwork for “Financial Data Analysis” and “Advanced Econometrics”. This course will include techniques such as instrumental variables, generalized least squares, maximum likelihood estimator, simultaneous equation models, discrete and limited dependent variables, time series analysis, panel data models, and other advanced topics.
2) 教学方法和手段
本课程内容偏理论，但不以复杂的数学证明为主。相反，本课程强调理论提出的直观逻辑及理论的实际应用。因此，本课程会适当提供简单的证明以帮助学生理解理论的逻辑。教学过程中，本课程会使用板书与多媒体相结合的方法向学生教授课程内容，同时还将演示如何使用操作统计软件。本课程鼓励学生课上积极参与课堂讨论，课后巩固相关课程知识。为使学生更好地理解教学内容，课后会指定相关教材及论文阅读，布置作业及使用统计软件R或STATA的数据分析。
This course is very theoretical, but does not cover complicated mathematical proofs. In contrast, it emphasizes the intuition and application of the theory. Therefore, simple proofs and empirical examples will be provided to illustrate the theory and thus help students understand it. In class, lectures are taught via blackboard and multimedia. Guidance on how to practice using statistical software is provided as well. This course encourages group discussions in class and self-study after class. To help students further understand teaching materials, reading assignments on related textbooks and papers, take-home assignments and data analysis using statistical software R or STATA are arranged.
3) 考核方式
本课程总分为100分，考核方式及其所占权重如下：
|出勤 |10% |
|作业 |20% |
|期中考试 |30% |
|期末考试 |40% |
The total score is 100, the weights of different parts is as follow.
|Attendance |10% |
|Homework Assignments |20% |
|Midterm Exam |30% |
|Final Exam |40% |
4) 学习要求
本课程要求学生在课前自己预习主要内容，课上积极参与小组讨论，课后复习相关知识点。学生课后应阅读指定内容，按时完成作业，并掌握统计软件的使用。
Students are required to self-study the main contents before class, take part in group discussions in class, and review related topics after class. They should finish required reading assignments after each lecture and complete the corresponding homework on time. They should also master using statistical software.
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |绪论 |1 | | |1 |
| |Introduction | | | | |
|2 |简单回归模型回顾 |2 | | |2 |
| |Review of the Simple Regression Model | | | | |
|3 |多元回归分析 |4 |1 | |5 |
| |Multiple Regression Analysis | | | | |
|4 |假设检验与模型选择 |4 |1 | |5 |
| |Hypothesis Tests and Model Selection | | | | |
|5 |极大似然估计法 |3 | | |3 |
| |Maximum Likelihood Estimation | | | | |
|6 |二值或虚拟变量 |2 |1 | |3 |
| |Binary (Dummy) Variables | | | | |
|7 |异方差性 |3 |1 | |4 |
| |Heteroskedasticity | | | | |
|8 |工具变量估计与两阶段最小二乘法 |3 |1 | |4 |
| |Instrumental Variables Estimation and Two| | | | |
| |Stage Least Squares | | | | |
|9 |离散选择和受限因变量模型 |5 |2 | |7 |
| |Discrete Choice and Limited Dependent | | | | |
| |Variable Models | | | | |
|10 |简单时间序列分析 |4 |1 | |5 |
| |Simple Time Series Analysis | | | | |
|11 |联立方程模型 |4 |1 | |5 |
| |Systems of Equations | | | | |
|12 |简单面板数据分析 |3 |1 | |4 |
| |Simple Panel Data Analysis | | | | |
|合计 | |38 |10 | |48 |
四、教学内容
第一章 绪论
1. 计量经济学
2. 计量经济学建模
3. 计量经济学应用
教学重点、难点：计量经济学概况
课程的考核要求：无
Chapter 1: Introduction
Section 1 Econometrics
Section 2 The Econometric Approach
Section 3 Application of the Econometric Model
Key and Difficulty Points: Overview of Econometrics.
Evaluation Requirements: N/A
第二章 简单回归模型回顾
1. 简单回归模型的基本假设
2. 简单回归模型的参数估计
3. 简单回归模型的假设检验
4. 简单回归模型的应用：预测问题
教学重点、难点：简要回顾简单回归模型的相关知识点
课程的考核要求：掌握简单回归模型的基本假设，参数估计，假设检验和预测
Chapter 2: Review of the Simple Regression Model
Section 1 Assumptions of the Simple Regression Model
Section 2 Estimation of the Simple Regression Model
Section 3 Hypothesis Test of the Simple Regression Model
Section 4 Forecast of the Simple Regression Model
Key and Difficulty Points: Brief review of the Simple Regression Model.
Evaluation Requirements: Understand the assumptions of the Simple Regression Model; master how to estimate coefficients and test hypothesis in simple regressions.
第三章 多元回归分析
1. 多元回归模型的参数估计
2. 多元回归模型的统计推断
3. 最小二成估计量的渐进分布
4. 多元回归模型的其他问题
教学重点、难点：高斯-马尔科夫定理，拟合度，标准误，置信区间，临界值，检验统计量，p-值，渐进分布
课程的考核要求：掌握多元回归模型的基本假设，参数估计和假设检验
Chapter 3: Multiple Regression Analysis
Section 1 Estimation of the Multiple Regression Model
Section 2 Inference for the Multiple Regression Model
Section 3 OLS Asymptotics of the Multiple Regression Model
Section 4 Further Issues with the Multiple Regression Model
Key and Difficulty Points: Gauss-Markov Theorem, Goodness-of-Fit Measure, Standard Errors, Confidence Interval, Critical Value, Test Statistics, p-value，Asymptotics.
Evaluation Requirements: master how to estimate coefficients and test hypothesis in multiple regressions.
第四章 假设检验
1. 假设检验的方法
2. Wald检验
3. 用回归拟合检验模型约束
4. 检验非线性约束
5. 模型选择的几个标准
教学重点、难点：假设检验的方法论、检验统计量的构造和适用范围
课程的考核要求：了解假设检验的方法论，掌握检验统计量的构造原理和方法， 正确运用几个模型选择标准
Chapter 4: Hypothesis Tests and Model Selection
Section 1 Hypothesis Testing Methodology
Section 2 Wald Tests
Section 3 Testing Restrictions Using the Fit of the Regression
Section 4 Testing Nonlinear Restrictions
Section 5 Model Selection Criteria
Key and Difficult Points: the methodology of hypothesis testing, the construction of test statistics and their applicability
Evaluation Requirements: understand the methodology of hypothesis testing; master the principles and methods in the construction of test statistics; apply several model selection criteria correctly.
第五章 极大似然估计法
7. 似然函数和参数识别
8. 有效估计：极大似然的原理
9. 极大似然估计法的性质
10. 极大似然框架下的假设检验
教学重点、难点：极大似然估计法的含义、性质和用法
课程的考核要求：了解极大似然估计法的含义，掌握极大似然估计量的性质，运用极大似然估计法来对计量模型进行估计
Chapter 5 Maximum Likelihood Estimation
Section 1 The Likelihood Function and Identification of the Parameters
Section 2 Efficient Estimation: The Principle of Maximum Likelihood
Section 3 Properties of Maximum Likelihood Estimators
Section 4 Testing Hypotheses in the MLE Framework
Key and Difficult Points: the meanings, properties and application of MLE
Evaluation Requirements: understand the meanings of MLE; master the properties of MLE; apply maximum likelihood method to the estimation of econometric models.
第六章 二值或虚拟变量
1. 简单虚拟变量
2. 使用虚拟变量区分不同分类
3. 使用虚拟变量的交叉乘积项
4. 二值因变量
教学重点、难点：虚拟变量，政策分析，项目评估，线性概率模型
课程的考核要求：掌握如何在回归分析中运用定性信息
Chapter 6: Binary (Dummy) Variables
Section 1 A single Dummy Independent Variable
Section 2 Using Dummy Variables for Multiple Categories
Section 3 Interactions Involving Dummy Variables
Section 4 A Binary Dependent Variable
Key and Difficult Points: Dummy Variable, Policy Analysis, Program Evaluation, Linear Probability Model (LPM)
Evaluation Requirements: master how to use qualitative information in regression analysis.
第七章 异方差性
1. 最小二成估计存在异方差性的后果
2. 对异方差稳健的统计推断
3. 检验异方差性
4. 加权最小二乘估计
教学重点、难点：异方差稳健的标准误，广义最小二乘估计量，可行的广义最小二乘估计量
课程的考核要求：了解存在异方差时最小二乘估计量的性质，掌握解决此类问题的估计方法
Chapter 7: Heteroskedasticity
Section 1 Consequences of Heteroskedasticity for OLS
Section 2 Heteroskedasticity-Robust Inference after OLS Estimation
Section 3 Testing for Heteroskedasticity
Section 4 Weighted Least Squares Estimation
Key and Difficult Points: Heteroskedasticity-Robust standard error, Generalized Least Squares (GLS) Estimators, Feasible GLS (FGLS)
Evaluation Requirements: understand the properties of OLS in the presence of heteroskedasticity; master the alternative estimation method to solve this problem.
第八章 工具变量估计与两阶段最小二乘法
1. 研究动机：简单回归模型中的遗漏变量
2. 多元回归模型的工具变量估计
3. 两阶段最小二乘法
4. 内生性检验及过渡识别检验
教学重点、难点：遗漏变量，内生性，工具变量，两阶段最小二乘法
课程的考核要求：掌握内生性问题存在时使用工具变量估计法对参数进行一致估计。
Chapter 8: Instrumental Variables Estimation and Two Stage Least Squares
Section 1 Motivation: Omitted Variables in a Simple Regression Model
Section 2 IV Estimation of the Multiple Regression Model
Section 3 Two Stage Least Squares
Section 4 Testing for Endogeneity and Testing Overidentifying Restrictions
Key and Difficult Points: Omitted Variables, Endoneneity, Instrumental Variables, Two Stage Least Squares (2SLS) Estimation
Evaluation Requirements: master the method of instrumental variables as a way to consistently estimate the parameters in a linear model when endogeneity problem exists.
第九章 离散选择和受限因变量模型
1. 二元因变量的Logit和Probit模型
2. 角点解因变量的Tobit模型
3. 泊松回归模型
4. 删失数据和截尾回归模型
5. 样本选择误差矫正
教学重点、难点：二元因变量模型，受限因变量，Tobit、 Logit,、Probit模型
课程的考核要求：掌握实证研究中，尤其是微观经济研究中，常用的高级建模方法
Chapter 9: Discrete Choice and Limited Dependent Variable Models
Section 1 Logit and Probit Models for Binary Response
Section 2 The Tobit Model for Corner Solution Responses
Section 3 The Poisson Regression Model
Section 4 Censored and Truncated Regression Models
Section 5 Sample Selection Corrections
Key and Difficult Points: Binary Response Models, Limited Dependent Variable, Tobit, Logit, Probit Models
Evaluation Requirements: master several advanced methods that are often used in applications, especially in microeconomics.
第十章 简单时间序列分析
1. 时间序列数据的本质
2. 时间序列模型举例
3. 时间趋势和季节性
教学重点、难点：自相关性，线性时间趋势，季节性，伪回归模型，ARMA模型
课程的考核要求：了解基本的时间序列模型
Chapter 10: Simple Time Series Analysis
Section1 The Nature of Time Series Data
Section 2 Examples of Time Series Models
Section 3 Trends and Seasonality
Key and Difficult Points: Autocorrelation, Linear Time Trend, Seasonality, Spurious Regression Problem, ARMA models
Evaluation Requirements: understand basic time series models.
第十一章 联立方程模型
5. 看似不相关回归模型
6. 联立方程组模型
7. 应用
教学重点、难点：SUR模型，联立方程组模型
课程的考核要求：了解联立方程组模型成因，掌握联立方程组模型的估计方法
Chapter 11 Systems of Equations
Section 1 The Seemingly Unrelated Regressions Model
Section 2 Simultaneous Equations Models
Section 3 Applications
Key and Difficult Points: SUR model, SEM
Evaluation Requirements: understand the cause of system of equations models; master the estimation method for simultaneous equations models
第十二章 简单面板数据分析
1. 跨时横截面的混合
2. 两时期面板数据分析
3. 固定效应估计
4. 随机效应模型
教学重点、难点：跨时横截面的混合，面板数据，不可观测效应，特质误差，平衡面板，固定效应估计，随机效应估计
课程的考核要求：能够区分跨时横截面的混合和面板数据的不同；掌握存在不可观测效应的面板数据最常用的两种估计方法。
Chapter 12: Simple Panel Data Analysis
Section 1 Pooling Independent Cross Sections across Time
Section 2 Two-Period Panel Data Analysis
Section 3 Fixed Effects Estimation
Section 4 Random Effects Models
Key and Difficult Points: Pooling Cross Sections, Panel Data, Unobserved Effect, Idiosyncratic Error, Balanced Panel, Fixed Effects Estimator, Random Effects Estimator
Evaluation Requirements: understand the difference between pooling cross sections and panel data; master two common methods for estimating panel data with unobserved effects.
五、其它
本课程全英文教学，授课老师应根据学生的能力适当调节课程进度和内容。
This course is taught in English. Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
指定教材:
[1]. Jeffrey M. Wooldridge. Introductory Econometrics: A Modern Approach (5e). Mason: South-Western Cengage Learing. 2012
主要学习参考书:
[1]. James H. Stock, Mark W. Watson. Introduction to Econometrics (3e). Boston: Addison-Wesley. 2010.
[2]. Damodar Gujarati. Basic Econometrics (4e). McGraw-Hill. 2002
[3]. William Greene. Econometric Analysis (7e). Prentice Hall. 2011
执笔人： 孙宇 教研室主任： 系教学主任审核签名：
《国际经济学》教学大纲
“International Economics”
Course Outline
课程编号： 151253A
课程类型：学科基础课
总 学 时： 48 讲课学时：48 实验（上机）学时：0
学 分：3
适用对象：经济学、金融学、国际经济与贸易
先修课程：微观经济学、宏观经济学
Course Code: 151253A
Course Type: Discipline basic course
Periods: 48 Lecture: 48 Experiment (Computer): 0
Credits: 3
Applicable Subjects: Economics, Finance, International Economics and Trade
Preparatory Courses: Microeconomics, Macroeconomics
一、课程的教学目标
国际经济学是教育部确定的经济学门类各专业的8门核心课程之一，是经济学本科各专业的学科基础课。该课程以微观和宏观经济学为基础，是微观和宏观经济学基本理论在开放经济条件下的应用和深化。通过该课程的学习，学生能够理解国际经济一体化和全球化的表现和特征，并掌握分析国际经济问题的基本思想和工具。
International Economics is one of the eight core courses and a discipline basic course established by Chinese Ministry of Education for undergraduates majoring in Economics. This course is based on Microeconomics and Macroeconomics, and is their extensions and applications in open economy. By studying this course, students will deeply understand the characteristics of economic integration and globalization, and grasp basic ideas and tools to analyze international economics issues.
二、教学基本要求
1.内容讲授要求
本课程内容主要包括国际经济学微观部分和国际经济学宏观部分。微观部分包括国际贸易理论与政策、经济一体化理论和国际要素流动。其中，国际贸易理论重点理解贸易基础、贸易模式和贸易利益。国际贸易政策重点在于贸易政策的福利效应分析。经济一体化理论包括了解一体化的基本形式，重点讲解关税同盟的效应。国际要素流动重点分析要素流动的福利效应。宏观部分重点讲授国际收支调节理论、汇率决定理论和不同汇率制度下开放经济的政策调节。
The contents of this course include two parts: Micro part and Macro part. The Micro part consists of theory and policy of international trade, theory of economic integration and international factor movements. The key points of international trade theory are the basis, pattern and gains of international trade. The key points of international trade policy are the welfare analysis of various trade policies. The theory of economic integration mainly introduces the patterns of economic integration, and emphatically explains the effect of custom unions. The theory of international factor movements mainly explores the welfare effects of international factor movements. In the Macro part, the adjustment of BOP, exchange rate determination and Macroeconomic equilibrium of open economy under different exchange rate regimes will be deeply discussed.
2.教学方法与手段
本课程理论性较强，内容难度较大，教学方式以课堂讲授为主，同时要求学生通过多种方式参与，包括课前预习、课堂演讲、课后作业等，并通过随堂测验和期中考试随时了解学生的掌握程度。
This course is a theoretical course and relatively difficult. Thus it will be mainly taught by the instructor. Meanwhile, active participation of students will be required, including previews, in-class presentations and homework etc.. In addition, surprise quizzes and a mid-term exam will be conduct.
3.课程的考核方式
本课程考核包括平时成绩、期中成绩和期末成绩。考试采取闭卷方式。总成绩所含各部分权重如下：出勤5%， 随堂测验或报告10%，作业5%，期中考试40%，期末考试40%。
The methods of evaluation of this course and their weights are as follows:
|Attendance |5% |
|Quizzes & Presentations |10% |
|Assignments |5% |
|Mid-term Exam(closed) |40% |
|Final Exam (closed) |40% |
| | |
三、各教学环节学时分配
教学课时分配 (Class Schedule)
|章节 |内容 |讲课 |实验 |其他 |
|Chapter |Contents |Lecture |Experiment |Others |
|1 |绪论 |1 | | |
| |Introduction | | | |
|2 |比较优势原理 |4 | |习题 |
| |The Law Of Comparative Advantage | | |Exercise |
|3 |国际贸易的标准理论 |3 | |习题 |
| |The Standard Theory Of International Trade | | |Exercise |
|4 |需求、供给、提供曲线与贸易条件 |3 | |习题 |
| |Demand And Supply, Offer Curves And The Terms Of Trade | | |Exercise |
|5 |要素禀赋与赫克歇尔-俄林理论 |4 | |习题 |
| |Factor Endowments and the Heckscher-Ohlin Theory | | |Exercise |
|6 |规模经济、不完全竞争与国际贸易 |3 | |习题 |
| |Economies Of Scale, Imperfect Competition, and International | | |Exercise |
| |Trade | | | |
|7 |经济增长与国际贸易 |1 | | |
| |Economic Growth and International Trade | | | |
|8 |关税 |2 | |习题 |
| |The Tariff | | |Exercise |
|9 |非关税壁垒与新贸易保护主义 |2 | | |
| |Non-Tariff Barriers And New Trade Protectionism | | | |
|10 |经济一体化：关税同盟与自由贸易区 |3 | |习题 |
| |Economic Integration: Custom Unions and Free Trade Areas | | |Exercise |
|11 |国际生产要素流动：资本、劳动 |2 | | |
| |International Resource Movements: Capital and Labor | | | |
|12 |国际收支与国际收支调节理论 |5 | |习题 |
| |Balance Of Payments and The Adjustment Of BOP Disequilibrium | | |Exercise |
|13 |外汇市场、汇率与汇率决定 |6 | |习题 |
| |Foreign Exchange Market And Exchange Rate Determination | | |Exercise |
|14 |固定汇率下宏观经济内外均衡 |5 | |习题 |
| |Macroeconomic Equilibrium Under Fixed Exchange Rate Regime | | |Exercise |
|15 |浮动汇率下宏观经济内外均衡 |4 | |习题 |
| |Macroeconomic Equilibrium Under Flexible Exchange Rate Regime | | |Exercise |
四、教学内容
第一章 绪论
重点难点：
国际经济学的主要内容和分析方法
学习目的：
理解全球化的意义和重要性
了解国际经济学的主要研究内容和方法
Chapter 1 Introduction
Key points: the main contents and methodology of international economics
Evaluation requirements: understand the significance of globalization; understand the main contents and methodology of International Economics.
第二章 比较优势原理
2.1重商主义的贸易观点
2.2亚当斯密的绝对优势理论
2.3李嘉图的比较优势理论
2.4比较优势与机会成本
2.5 固定成本下的贸易基础与贸易所得
重点难点：
贸易理论回答的三个基本问题；比较优势理论与绝对优势理论的区别；国际交换价格的确定；贸易利益的分配
学习目的：
理解国际贸易理论回答的三个基本问题；熟练掌握比较优势理论并以此分析现实经济问题；掌握国际交换价格如何确定
Chapter 2 The Law of Comparative Advantage
2.1 The Mercantilists’ Views on Trade
2.2 Trade Based on Absolute Advantage: Adam Smith
2.3 Trade Based on Comparative Advantage: David Ricardo
2.4 Comparative Advantage and Opportunity Costs
2.5 The Basis for and the Gains from Trade Under Constant Costs
Key points: three questions of trade theory; the difference of absolution advantage theory and comparative advantage theory; the determination of international exchange price; the distribution of trade gains
Evaluation requirements: understand the three questions of trade theory; grasp comparative advantage theory and its applications; master the determination of international exchange price.
第三章 国际贸易的标准理论
3.1机会成本递增条件下的生产可能性曲线
3.2社会无差异曲线
3.3孤立均衡
3.4机会成本递增条件下贸易基础和贸易利益
重点难点：
作图分析机会成本递增条件下贸易基础和贸易利益
学习目的：
掌握机会成本递增条件下贸易基础和贸易利益分配
Chapter 3 The Standard Theory of International Trade
3.1The Production Frontier with Increasing Costs
3.2Community Indifference Curves
3.3 Equilibrium in Isolation
3.4 The Basis for and the Gains from Trade with Increasing Costs
Key points: analyze the basis for and the gains from trade with illustrations
Evaluation requirements: grasp the basis for and the gains from trade with increasing costs
第四章 需求、供给、提供曲线与贸易条件
4.1贸易均衡相对价格的局部均衡分析
4.2提供曲线
4.3贸易均衡相对价格的一般均衡分析
4.4局部均衡分析与一般均衡分析的关系
4.5贸易条件
重点难点：
提供曲线的推导；贸易均衡相对价格的确定
学习目的：
理解相互需求的思想；掌握提供曲线的推导；掌握贸易均衡相对价格的确定
Chapter 4 Demand and Supply, Offer Curves and the Terms of Trade
4.1 The Equilibrium Relative Commodity Price with Trade-Partial Equilibrium Analysis
4.2Offer Curves
4.3The Equilibrium-Relative Commodity Price with Trade-General Equilibrium Analysis
4.4 Relationship between General and Partial Equilibrium Analyses
4.5 The Terms of Trade
Key points: the derivation of offer curves; the determination of equilibrium relative commodity price
Evaluation requirements: understand reciprocal demand; grasp the derivation of offer curves; grasp the determination of equilibrium relative commodity price.
第五章 要素禀赋与赫克歇尔-俄林理论
5.1赫克歇尔-俄林理论的假设
5.2要素密集度、要素丰裕度与生产可能性曲线
5.3要素禀赋与赫克歇尔-俄林理论
5.4要素价格均等与收入分配
5.5 对赫克歇尔-俄林理论的经验检验
重点难点：
要素密集度、要素丰裕度的概念；赫克歇尔-俄林理论中的三个贸易基本问题；要素价格均等化定理；里昂惕夫之谜
学习目的：
理解要素密集度、要素丰裕度的概念；掌握赫克歇尔-俄林理论对三个贸易基本问题的回答；掌握要素价格均等化定理；理解赫克歇尔-俄林理论经验检验的方法和对里昂惕夫之谜的解释
Chapter 5 Factor Endowments and the Heckscher-Ohlin Theory
5.1 Assumptions of the Theory
5.2 Factor Intensity, Factor Abundance, and the Production Frontier
5.3 Factor Endowments and the Heckscher-Ohlin Theory
5.4 Factor-Price Equalization and Income Distribution
5.5 Empirical Tests of the Heckscher-Ohlin Model
Key points: the definitions of factor intensity and factor abundance; the three trade questions in Heckscher-Ohlin Theory; the theorem of factor price equalization; the Leontief Paradox
Evaluation requirements: understand the definitions of factor intensity and factor abundance; master the three trade questions in Heckscher-Ohlin Theory; grasp the theorem of factor price equalization; understand the empirical test of Heckscher-Ohlin Theory and the explanations on the Leontief Paradox.
第六章 规模经济、不完全竞争与国际贸易
6.1赫克歇尔-俄林理论与新贸易理论
6.2规模经济与国际贸易
6.3不完全竞争与国际贸易
6.4基于动态技术差异的贸易
6.5运输成本、环境标准与国际贸易
重点难点：
规模经济与国际贸易；不完全竞争与国际贸易；
学习目的：
掌握新贸易理论的内容；掌握新贸易理论与之前贸易理论的区别；理解战略性贸易政策的基础
Chapter 6 Economies of Scale, Imperfect Competition, and International Trade
6.1 The H-O Model and New Trade Theories
6.2Economies of Scale and International Trade
6.3 Imperfect Competition and International Trade
6.4 Trade Based on Dynamic Technological Differences
6.5 Transportation Costs, Environmental Standards, and International Trade
Key points: economies of scale and international trade; imperfection competition and international trade
Evaluation requirements: grasp the contents of New Trade Theory; grasp the difference of New Trade Theory with previous trade theories; understand the theoretical basis of strategic trade policy.
第七章 经济增长与国际贸易
7.1 生产要素的增长与技术进步
7.2 经济增长与国际贸易：小国情况
7.3经济增长与国际贸易：大国情况
重点难点：
雷布津斯基定理；不幸的增长
学习目的：
掌握雷布津斯基定理的内容；理解“不幸的增长”的原因。
Chapter 7 Economic Growth and International Trade
7.1 Growth of Production Factors and Technical Progress
7.2 Growth and Trade: The Small Country Case
7.3 Growth and Trade: The Large Country Case
Key points: the Rybczynski Theorem; the Immiserizing Growth
Evaluation requirements: grasp the Rybczynski Theorem; understand the reason of the Immiserizing Growth
第八章 关税
8.1进口关税的局部均衡分析
8.2关税结构理论
8.3小国进口关税的一般均衡分析
8.4大国进口关税的一般均衡分析
8.5最优关税
重点难点：
关税结构的意义和重要性；关税的成本和收益；小国进口关税的局部均衡分析和一般均衡分析；大国进口关税的局部均衡分析和一般均衡分析
学习目的：
理解有效保护率；掌握小国进口关税的局部均衡分析和一般均衡分析；了解大国进口关税的局部均衡分析和一般均衡分析。
Chapter 8 Tariffs
8.1 Partial Equilibrium Analysis of a Tariff
8.2The Theory of Tariff Structure
8.3General Equilibrium Analysis of a Tariff in a Small Country
8.4 General Equilibrium Analysis of a Tariff in a Large Country
8.5The Optimum Tariff
Key points: the theory of tariff structure; the costs and benefits of a tariff; partial equilibrium and general equilibrium analysis of a tariff in a small country; partial equilibrium and general equilibrium analysis of a tariff in a large country
Evaluation requirements: understand the rate of effective protection; grasp the partial equilibrium and general equilibrium analysis of a tariff in a small country; understand the partial equilibrium and general equilibrium analysis of a tariff in a large country.
第九章 非关税壁垒与新保护主义
9.1进口配额
9.2其他非关税贸易壁垒与新保护主义
9.3战略性贸易和产业政策
重点难点：
比较进口配额、出口补贴与进口关税的效应
学习目的：
掌握进口配额、出口补贴的局部均衡效应；掌握进口配额与进口关税的区别；理解倾销的定义和类型；理解战略性贸易和产业政策
Chapter 9 Nontariff Trade Barriers and the New Protectionism
9.1 Import Quotas
9.2 Other Nontariff Barriers and the New Protectionism
9.3 Strategic Trade and Industrial Policy
Key points: the comparison of the effect of import quota, export subsidy with import tariff
Evaluation requirements: grasp the partial equilibrium effect of import quota and export subsidy; grasp the comparison of import quota to import tariff; understand the definition and type of dumping; understand strategic trade and industrial policy.
第十章 经济一体化：关税同盟与自由贸易区
10.1经济一体化的主要形式
10.2 贸易创造关税同盟
10.3贸易转移关税同盟
重点难点：
关税同盟的静态效应
学习目的：
掌握关税同盟的静态效应
Chapter 10 Economic Integration: Customs Unions and Free Trade Area
10.1 The Types of Economic Integration
10.2 Trade-Creating Customs Unions
10.3 Trade-Diverting Customs Unions
Key points: the static effect of customs unions
Evaluation requirements: grasp the static effect of customs unions
第十一章 国际生产要素流动：资本、劳动
11.1国际资本流动的动机和福利效应
11.2国际劳动流动的动机和福利效应
重点难点：
国际资本流动和国际劳动流动的福利效应
学习目的：
理解国际资本流动和国际劳动流动的动因；掌握国际资本流动和国际劳动流动的福利效应
Chapter 11 International Resource Movements: Capital, Labor
11.1 Motives for and Welfare Effects of International Capital Flows
11.2 Motives for and Welfare Effects of International Labor Migration
Key points: the welfare effects of international capital flows and international labor migration
Evaluation requirements: understand the motives for international capital flows and international labor migration; grasp the welfare effects of international capital flows and international labor migration
第十二章 国际收支与国际收支调节理论
12.1国际收支与国际收支平衡表
12.2国际收支的平衡与失衡
12.3国际收支调节的弹性分析法
12.4国际收支调节的吸收分析法
12.5国际收支调节的货币分析法
重点难点：
国际收支平衡表会计准则；国际收支调节的弹性分析法；国际收支调节的吸收分析法；国际收支调节的货币分析法
学习目的：
掌握复式记账原则；理解国际收支失衡对一国经济的影响；掌握国际收支调节的弹性分析法、吸收分析法；理解国际收支调节的货币分析法
Chapter 12 Balance Of Payments and The Adjustment Of BOP Disequilibrium
12.1 Balance of payments and BOP Presentation
12.2 Equilibrium and Disequilibrium of BOP
12.3 Elasticity Approach to BOP Adjustment
12.4Absorption Approach to BOP Adjustment
12.5 Monetary Approach to BOP Adjustment
Key points: accounting principles of BOP; Elasticity Approach to BOP Adjustment; Absorption Approach to BOP Adjustment; Monetary Approach to BOP Adjustment
Evaluation requirements: grasp the double-entry bookkeeping principle; understand the impact of BOP disequilibrium on an economy; grasp the elasticity approach and absorption approach to BOP adjustment; understand the monetary approach to BOP adjustment.
第十三章 外汇市场、汇率与汇率决定
13.1外汇市场与汇率
13.2 铸币平价理论
13.3 购买力平价理论
13.4利率平价理论
13.5汇率决定的资产市场模型
重点难点：
汇率报价与套汇；购买力平价理论；利率平价理论
学习目的：
掌握外汇市场结构；理解套汇的机理；掌握购买力平价理论；掌握利率平价理论
Chapter 13 Foreign Exchange Market And Exchange Rate Determination
13.1 Foreign Exchange Market And Exchange Rate
13.2 Mint Parity Theory
13.3 Purchasing-Power Parity Theory
13.4 Interest Rate Parity Theory
13.5 The Capital Market Models of Exchange Rate Determination
Key points: foreign exchange rate quotations and arbitrage; purchasing-power parity theory; interest rate parity theory
Evaluation requirements: grasp the structure of foreign exchange rate market; understand the mechanism of arbitrage; grasp purchasing-power parity theory; grasp interest rate parity theory.
第十四章 固定汇率下宏观经济内外均衡
14.1开放经济下的政策搭配
14.2 IS-LM-BP模型
14.3 固定汇率制下的财政与货币政策
重点难点：
BP曲线的含义与推导；IS-LM-BP模型；固定汇率制下财政政策与货币政策的有效性
学习目的：
理解BP曲线的含义；掌握BP曲线的推导；掌握IS-LM-BP模型；掌握固定汇率制下财政政策与货币政策的有效性
Chapter 14 Macroeconomic Equilibrium Under Fixed Exchange Rate Regime
14.1 Policy Coordination In Open Economy
14.2 IS-LM-BP Model
14.3 Fiscal and Monetary Policy Under Fixed Exchange Rate Regime
Key points: the definition and derivation of BP curve; IS-LM-BP model; the effectiveness of fiscal and monetary policy under fixed exchange rate regime
Evaluation requirements: understand the definition of BP curve; grasp the derivation of BP curve; grasp IS-LM-BP model; grasp the effectiveness of fiscal and monetary policy under fixed exchange rate regime
第十五章 浮动汇率下宏观经济内外均衡
15.1浮动汇率制下的财政与货币政策
重点难点：
浮动汇率制下财政政策与货币政策的有效性
学习目的：
掌握浮动汇率制下财政政策与货币政策的有效性
Chapter 15 Macroeconomic Equilibrium Under Flexible Exchange Rate Regime
15.1 Fiscal and Monetary Policy under Flexible Exchange Rate Regime
Key points: the effectiveness of fiscal and monetary policy under flexible exchange rate regime
Evaluation requirements: grasp the effectiveness of fiscal and monetary policy under flexible exchange rate regime
五、主要参考书
1. Dominick Salvatore. International Economics （Version 8）. 北京：清华大学出版社 2004.6
2. Krugman,Paul R., Maurice Obstfeld. International Economics：Theory and Policy （Version 8）. 北京：清华大学出版社 2011.11
执笔人： 侯蕾 教研室主任： 系教学主任审核签名：
《金融学原理》教学大纲
Syllabus of Principles of Finance
课程编号： 151273A
Course code: 151273A
课程类型：专业必修课
Course type: Discipline Compulsory Course
总 学 时：48 讲课学时：31 实验（上机）学时：17
Instruction time: 48 Lecture: 31 Experiment and exercises：17
学 分：3
Grade credits: 3
适用对象：金融学（金融经济）
Audience: Finance（Finance and Economics Experimental Class）
先修课程：经济学原理、会计学原理
Prerequisite: Principles of Economics and Accounting
1. 课程的教学目标
Course Objectives
金融学原理是管理与经济学的重要核心课程，是金融专业本科生的专业入门课与基础课，主要介绍了企业微观层面的金融活动，包括融资与投资决策。该门课程将详细介绍什么是企业、企业目标是什么、以及如何获得企业目标等问题。通过课程学习，学生将掌握资本的时间价值、资本成本、风险与收益、企业价值等概念及相应估计方法。该门课程为公司金融和投资学提供铺垫。
“Principles of Finance” is one of core and popular disciplines of business and economics. It mainly investigates micro-level financial activities of corporations, including financing activities and investment decisions. It answers a series of questions, such as “What is a corporate?”, “What is the goal of a corporate?”, and “How to achieve the goal?”. After this course, students are able to master the concepts of time value of money, cost of capital, risk and return, corporate value and their estimation. This course will be the bas of corporate finance and investment that will be learned in the coming semesters.
二、教学基本要求
Teaching Plans and Requirements
公司金融课程的重点知识包括货币的时间价值、债券和普通股市场的定价、风险与收益、投资组合理论、CAPM资本资产定价模型、企业的成本、WACC模型等。其中，货币的时间价值是本课程的知识核心，也是其他各项主要内容的基础。而估计资本的成本（最低要求回报率）则是本课程的一个难点。
Principles of Finance mainly contain the time value of money, bond market, common stock market, risk and return, portfolio theory, CAPM, cost of corporate, 按and WACC model. The time value of money is the core content of the discipline, while how to estimate the minimal required rate of return for any assets is a difficult part.
案例分析是商科与经济学教育的重要学习方法，能够将课本知识灵活应用到真是的商业环境中。金融活动强调现实商业环境下的企业决策，包括投资、融资决策，短期与长期决策等。作为入门级课程，学生掌握案例分析对未来学习金融和财务课程具有重要意义。案例分析的另一个重要特征是互动性。本课讨论的所有案例都要求学生能够参与其中，完成小组讨论。
Case Study has been widely adopted in Business and Economics education. It provides learners with a “real” context to utilize what they have learned from the “textbook”. Financial activities cover the financial principles that direct how corporations make decisions, including how to allocate limited resources, in what manners to raise funds for the investment and how to divide the gains. It emphasizes corporate real decisions in both short-term and long-term. As a beginner, getting to know of this study instrument is of great importance for your further study on Finance. Another critical characteristic of case study is to interact. All the cases to be discussed on the class should be well prepared ahead based on your group discussions.
为加强学生对教学重点的理解，本课还会采用随堂练习和测验与课后作业结合的形式，让学生在标准化试题中应用课上学过的知识。
Surprise quiz and after-class-practices will facilitate students to understand the instructing knowledge, which motivates the students to apply their knowledge to solve the standardized problems.
而对投资环境、市场有效性和委托代理问题，本课将做简单介绍，只关注重点的概念和现象。对于该部分的内容讲解，主要结合英文文献讨论委托-代理理论的相关概念。小组作业将以自选主题、自选案例对象的形式，让学生在收集上市公司数据的过程中了解所学各模型变量在现实公司金融活动中对应的指标量，以小组展示的形式，汇报分析结论。每节课后作业根据课上内容布置。
As per the efficiency of market, investment environment and agency theory, this course will make brief introduction on concepts and phenomenon. Theoretical literature regarding the agency theory will be involved in the lecture. Students can learn from the prior studies of the key concepts. Group projects are in the form of presentation. Students form groups and select their interested topics. Based on their analysis of the real financial data of corporations, they can apply the variables in the models they learned to the real analysis. There is also homework after each chapter.
课程的考核如下：
|考核方式 |百分比 |
|期中考试 |20% |
|小组作业1 |5% |
|小组作业2 |10% |
|期末考试 |60% |
|考勤 |5% |
|合计 |100% |
Assessment:
|Items |% |
|Midterm |20% |
|Group project 1 |5% |
|Group project 2 |10% |
|Final |60% |
|Attendance |5% |
|Total |100% |
三、各教学环节学时分配
Teaching plan of each lecture
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |组织的目标与治理 |2 | | |2 |
| |Chapter 1 Goals and Governance of the Firm | | | | |
|2 |现值计算 |2 | | |2 |
| |Chapter 2 Present Values | | | | |
|3 |案例分析：现值分析 | |2 | |2 |
| |Case study: Google Search for Value | | | | |
|4 |债券估值 |2 | | |2 |
| |Chapter 3 Valuing Bonds | | | | |
|5 |普通股估值（上） |2 | | |2 |
| |Chapter 4 Value of Common Stocks(1) | | | | |
|6 |普通股估值（下） |1 |1 | |2 |
| |Chapter 4 Value of Common Stocks(2) | | | | |
| |案例分析：普通股估值 | | | | |
| |Mini-case: Reedy Sports & Practice | | | | |
|7 |净现值估计 |2 | | |2 |
| |Chapter 5 Net Present Value and Other Investment Criteria | | | | |
|8 |投资决策准则 |2 | | |2 |
| |Chapter 6 Investment Decisions with NPV rule | | | | |
|9 |风险与收益（上） |2 | | |2 |
| |Chapter 7 Risk and Return(1) | | | | |
|10 |风险与收益（下） |2 | | |2 |
| |Chapter 7 Risk and Return(2) | | | | |
|11 |第一次小组作业 | |2 | |2 |
| |Group Presentation | | | | |
|12 |复习与习题讲解 | |2 | |2 |
| |Review and Practice | | | | |
|13 |期中考试 | |2 | |2 |
| |Mid-term | | | | |
|14 |期中考试总结 | |2 | |2 |
| |Summary and practice | | | | |
|15 |投资组合理论 |2 | | |2 |
| |Chapter 8 Portfolio Theory | | | | |
|16 |投资组合理论 |2 | | |2 |
| |Chapter 8 Portfolio Theory | | | | |
|17 |CAPM模型 |2 | | |2 |
| |Chapter 9 CAPM | | | | |
|18 |CAPM模型 |2 | | |2 |
| |Chapter 9 CAPM | | | | |
|19 |投资组合理论与CAPM模型习题课 | |2 | |2 |
| |Portfolio Theory and CAPM Tutorial | | | | |
|20 |风险与资本成本 |2 | | |2 |
| |Chapter 10 Risk and Cost of Capital | | | | |
|21 |风险与资本成本 |2 | | |2 |
| |Chapter 10 Risk and Cost of Capital | | | | |
|22 |委托代理理论和经理人补偿及绩效 |2 | | |2 |
| |Chapter 11 Agency problems and Compensation and Performance Measurement | | | | |
|23 |英文文献阅读 | |2 | |2 |
| |Literature Review on Principal-Agency Theory | | | | |
|24 |市场有效性与融资行为 |2 | | |2 |
| |Chapter 13 Efficient Markets and Behavior Finance | | | | |
|25 |期末考试 | | | | |
| |Final | | | | |
|合计 | |33 |15 | |48 |
四、教学内容
第一章 价值
第一节 公司金融简介
20. 企业投资与融资决策
a) 公司的目标
b) 公司金融的主要活动
c) 投资决策与融资决策活动的区别与联系
21. 公司的金融目标
a) 委托-代理矛盾、投资风险与收益的平衡
b) 资本成本、股东要求的最低收益率（门槛收益率）
教学重点、难点：公司金融的主要活动及活动的重要内容、资本成本与门槛收益率
课程考核:要求学生能够了解公司的经营目标是什么、掌握公司金融活动：能够区分投资活动与融资活动、理解委托-代理问题的存在、投资风险与收益的平衡、灵活运用资本成本和门槛收益率计算公司的资本成本
复习与思考题：课后习题、阅读Google案例
Part 1 Value
Chapter 1 Introduction of Finance
1. Investment and financing decisions
a) The target of corporate
b) Activities of corporate finance
c) The relationship between financing and investment decisions
2. The target of corporate finance
a) Principal-agency conflicts and trade-off between risk and return
b) Cost of capital and hurdle rates
Key and difficulties points: financing activities and investment decisions, cost of capital
Evaluation requirements: students are required to know the goal of corporation, master financing versus investment activities, understand the problems of Principal-Agency theory, the trade-off between risk and return, and use exactly the cost of capital and hurdle rates.
Review and practice: Practices of review and Google case
第二节 现值计算
1. 未来值与现值
b) 风险与现值、回报率与现值、多种现金流的现值
c) 投资的机会与机会成本
d) 计算未来价值、计算现值、净现值
6. 永续年金与年金
a) 估计年金到期日、估计年金
b) 年金的未来值
c) 如何估计永续年金、如何估计年金
7. 增长永续年金与年金
a) 增长永续年金、增长年金、复利计算
教学重点、难点：投资机会成本、永续年金和年金的现值估计、增长年金、复利计算、投资的机会与机会成本、永续增长年金、未来价值、现值与净现值
课程考核：要求学生了解年金到期日的概念、年金的估计，理解年金未来值，风险与现值、回报率、现值、多种现金流的现值,掌握投资的机会与机会成本，尤其是机会成本的估计。计算未来价值、现值和净现值、熟练运用永续年金、年金、增长型永续年金和年金的估计
复习与思考题: 案例思考Kodak破产的背后，课后习题16、19、32、38
Chapter 2 Present Values
7. Future value and present value
a) Risk and present value, rate of return, present value, cash flow and present value
b) Opportunity and the opportunity costs of investment
c) Calculation the future value and present value and NPV
8. Perpetuity and annuities
a) Valuing annuities due and calculating annual payments
b) Future value of annuities
c) How to value perpetuities and annuities
9. Growing perpetuities and annuities
Key and difficult points: opportunity cost of investment, perpetuities and annuities, growing perpetuities and annuities
Evaluation requirements: to know the risk and return, rate of return, present value, and present value of multiple kinds of cash flow; Master the investment opportunity and opportunity cost; Calculate future value, present value and NPV
Review and practice: Kodak bankruptcy and homework 16,19,32,38
第三节 债券的估值
9. 运用现值计算估计债券价值
a) 政府债价值
b) 息票债券价值
10. 如何根据利率为债券定价
a) 久期、波动
11. 利率期限结构
a) 利率期限结构的期望理论、通胀与利率期期限结构
b) 折现因子
c) 即期汇率、债券定价、统一价格原则
12. 名义与实际利率
a) 指数债券、实际利率、实际利率的影响因素、通胀与名义利率
教学重点、难点：久期、波动、折现因子、即期汇率、债券定价
课程考核：了解政府债价值、风险的介绍、利率期限结构的期望理论、通胀与利率期期限结构，理解指数债券、实际利率、实际利率的影响因素、通胀与名义利率、折现因子,掌握息票债券价值，熟练运用久期、波动、即期汇率、债券定价、统一价格原则
复习与思考题：课后习题
Chapter 3 Valuing Bonds
9. Using the present value formula to value bonds
a) Government bond
b) Coupon bond prices
10. How bond prices vary with interest rates
a) Duration and volatility
11. The term structure of interest rates
a) Expectations theory of the term structure, inflation and term structure
b) Discount factor increases—and a digression on money
c) Spot rates, bond prices, and the law of one price/measuring the term structure
12. Real and nominal rates of interest
a) Indexed bonds and the real rate of interest, what determines the real rate of interest, inflation and nominal interest rates
Key and difficult points：duration, volatility, discount factor, spot rate, valuing bond
Evaluation requirements: to know government bond, introducing risk, Expectations Theory of the Term Structure; Understand coupon bond, real interest, the influential factors of real interests, inflation and nominal interests, and discount factor; Use the value of bond, duration, volatility, spot rate, valuing price, the law of one price.
Review and practice: Exercises in book of the chapter
第四节 普通股价值
7. 普通股如何交易
8. 普通股如何估值、分红与股票价格、估计权益资本成本（包括DCF模型估计估价、持续增长公式）、现金流折现估计公司活动
9. 每股收益与股票价格：估计持续增长的现值
教学重点、难点：普通股估价、股票价值与价格、权益资本成本、现金流计算
课程考核：了解普通股的交易与相关名词、掌握普通股估值、分红、股票价格、权益成本与增长股利，熟练运用每股收益和红利分析股票价格
复习与思考题：Reedy Sports 案例分析、课后习题
Chapter 4 Valuing Common stock
5. How common stocks are traded
6. How common stocks are valued: valuation by comparable, stock prices and dividends, estimating the cost of equity capital: using the DCF model to set gas and electricity: prices/dangers lurk in constant-growth formulas
7. The link between stock price and earnings per share: calculating the present value of growth
Key and difficult points: valuing common stock, stock prices and dividends, estimating the cost of equity capital: using the DCF model to set gas and electricity: prices/dangers lurk in constant-growth formulas
Evaluation requirements: to know the trade of common stock and related terms; Master valuing common stock, dividend, stock price, cost of equity and growth dividend price of a stock; Use EPS and dividend to estimate stock price.
Review and practice: Reedy Sports case study, exercises of the chapter
第五节 净现值与其他投资原则
5. 投资回收政策、回收期、回收原则
6. 内部收益率、内部收益率与NPV之间的关系
7. 内部收益率法的局限
8. 现值指数
教学重点、难点：内部收益率、内部收益率法的局限；内部收益率与NPV之间的关系
课程考核：了解各种投资原则、回收政策、回收期，理解现值指数的计算，掌握内部收益率、内部收益率与NPV之间的关系及内部收益率的局限
复习与思考题：课后习题
Chapter 5 Net Present Value and Other Investment Criteria
5. Payback, discounted payback, payback period
6. Internal (or discounted-cash-flow) rate of return: calculating the IRR/the IRR rule and NPV rule
7. IRR pitfall lending or borrowing?/pitfall 2—multiple rates of return/pitfall 3—mutually exclusive projects/ pitfall 4—what happens when there is more than one opportunity cost of capital?/the verdict on IRR
8. Profitability index
Key and difficult points: IRR rule and its pitfalls, the relationship between IRR and NPV
Evaluation requirements: to know multiple rules of investment, payback rules and payback period; Understand the profitability index; Master IRR and the relationship between IRR and NPV and pitfalls of IRR.
Review and practice: exercises in the chapter of the textbook
第六节 净现值原则的应用
1. 净现值估计的4个原则
2. 直线折旧与加速折旧对公司税收、利润的影响
3. 投资的时效
教学重点、难点：税盾、折旧方式对公司税收和利润的影响
课程考核：了解净现值的4个原则、理解现金流的估计与增长、掌握直线折旧与加速折旧方法
复习与思考题：课后习题
Chapter 6 Net Present Value
1. Four principles of NPV estimation
2. Straight-line and Accelerated depreciation methods and their influences on income tax and profit of firms
3. Timing of investment
Key and difficult points: tax shield, straight-line and accelerated depreciation methods and their influences on income tax and profit of firms
Evaluation requirements: to know the 4 principles of NPV; Understanding cash flow and growing cash flow; Master straight-line and Accelerated depreciation methods
Review and practice: Exercises in the chapter of the textbooks
第二章 风险
7. 风险与收益介绍
7. 了解历史数据
8. 收益与风险的测量、系统风险、特有风险
9. 投资组合
10. 投资组合的收益与风险
11. 单个资产如何影响投资组合的风险与收益
12. 多元投资与价值的增加、单个资产/资产组合与市场风险的关系
教学重点、难点：风险的测量、投资组合风险与收益的测量
课程考核：了解历史数据的意义、理解投资组合的概念、收益与风险的概念、多元化投资的概念与意义，掌握收益与风险的测量、投资组合收益与风险的测量，运用投资组合收益与风险的关系解决资产组合增加/减少某一资产的决策。
复习与思考题：课后习题，重点突出投资组合、风险与收益的估计
Part 2 Risk
Chapter 7 Introduction on Risk and Return
1. Capital market history in One Easy Lesson
2. Measuring portfolio risk: Variance and standard deviation/measuring, unique risk, and systematic risk
3. Portfolio with two assets
4. Return and risk of portfolio variability/how diversification reduces risk
5. Calculating portfolio risk: the contribution of an asset to the risk and return of a portfolio, general formula for computing portfolio risk/limits to diversification
Key and difficult points: Measuring portfolio risk, portfolio and diversification
Evaluation requirements: to know the history of capital market and portfolio; Understand risk and return and the risk and return of a portfolio, diversification
Review and practice: Exercises in the chapter of the textbooks
8. 投资组合
1. Harry Markowitz 与投资组合理论、投资组合的风险与各项资产之间的收益相关系数
2. 风险与收益的关系、有效投资组合、有效边界、投资组合的变化与有效边界的移动、CML与收益边界的关系、Sharpe比率、SML
教学重点、难点：个人投资的风险偏好、投资组合风险与收益之间的非线性关系；投资组合的变化与有效边界的移动
课程考核：了解Harry Markowitz 与投资组合理论、套利理论、三因素模型，理解风险与收益的关系、有效投资组合，掌握投资组合的风险与各项资产之间的收益相关系数、投资组合的变化与有效边界的移动
复习与思考题：课后习题
Chapter 8 Portfolio Theory
1. Harry Markowitz and portfolio theory, risk of a portfolio and the combining stocks into portfolios
2. Efficient portfolio, efficient frontier, the change of a portfolio and the move of efficient frontier of a portfolio, CML, SML Sharpe Ratio
Key and difficult points: Risk appetite of individuals, non-linear relationship between risk and return of portfolio, the shift of efficient frontier of investment portfolio
Evaluation requirements: to know Harry Markowitz, portfolio theory, arbitrage theory, three-factor-model; Understand risk and return, efficient portfolio; Master the risk and return of portfolio, the shift of efficient frontier of portfolio, the relationship between risk and return of a portfolio
Review and practice: Exercises in the chapter of the textbook
9. CAPM模型
1. CAPM使用的范围以及作用
2. 其他资产价值定价理论：套利理论、三因素模型
教学重点、难点：CML与收益边界的关系、Sharpe比率、SML、CAPM
课程考核： CML与收益边界的关系、Sharpe比率、SML、CAPM使用的范围以及作用
复习与思考题：课后习题9、11、12、15、24
Chapter 9 Capital Asset Pricing Model
1. Validity and role of the capital asset pricing model, tests of the capital asset pricing model/assumptions behind the capital asset pricing model
2. Some alternative theories: arbitrage pricing theory/arbitrage pricing theory/the three-factor model
Key and difficult points: CML and efficient frontier, Sharpe ratio, SML, and CAPM
Evaluation requirements: Master CML and efficient frontier, Sharpe ratio, SML, and CAPM
Review and practice: Exercises 9、11、12、15、24
第十节 风险与资本成本
1. 公司与项目的成本：企业价值的估计、WACC
2. 权益的融资成本估计、CAPM与权益融资成本
3. 项目风险分析、市场风险与公司成本的关系
4. 资本结构与公司的融资成本
5. DCF与风险估计
教学重点、难点：公司与项目的成本、融资成本、资本结构与公司的融资成本
课程考核：了解公司价值的构成及公司资本成本与单一资本成本的区别，理解权益融资成本、CAPM与权益融资成本、项目风险分析、市场风险与公司成本的关系，掌握资本结构与公司融资成本的估计与计算、DCF模型
复习与思考题：Yahoo! Finance选择一只上市公司的股票，分析市场平均收益与公司融资成本的关系；课后习题8、9、11、12、21
Chapter 10 Risk and the Cost of Capital
1. Company and project costs of capital: perfect pitch and the cost of capital, WACC
2. Measuring the cost of equity and CAPM
3. Estimating beta
4. Capital structure and cost of capital
5. DCF and risk estimation
Key and difficult points：cost of corporation and project, cost of equity, capital structure and the cost of capital
Evaluation requirements: to know the components of the value of corporation, unique risk and systematic risk; understand the cost of equity, CAPM and the cost of equity, analysis of project, risk of market and cost of company; master the structure of corporate capital, DCF model
Review and practice: select a listed firm from U.S. stock market and download the data from Yahoo! Finance to estimate the WACC of the firm; exercises of the chapter in the textbook: 8,9,11,12,21
第十一节 委托代理问题，薪酬补偿与绩效测量
7. 薪酬与激励：委托代理问题在资本预算、冒险投资、监管、薪酬补偿、绩效监管
8. 衡量与绩效汇报：经济附加值与收入剩余
9. 会计绩效衡量的偏差
教学重点、难点：委托代理产生的原因与现象、经济附加值
课程考核：了解委托代理问题，理解经济附加值与收入剩余、会计绩效衡量的偏差，掌握委托代理的原因与现象、
复习与思考题：课后习题
Chapter 11 Agency Problems, Compensation, and Performance Measurement
7. Incentives and compensation: agency problems in capital budgeting, risk taking, monitoring, management compensation, incentive compensation, monitoring pay for performance
8. Measuring and rewarding performance: residual income and EVA
9. Biases in accounting measures of performance
Key and difficult points: the causes resulting in principal-agency problems and typical phenomenon, EVA
Evaluation requirements: to know principal-agency problems; understand EVA and surplus; master principal-agency causes and typical phenomenon
Review and practices: exercises in the chapter of the textbook
第十二节 市场有效性与金融行为
7. 什么是有效市场（基本特征）:有效市场存在的依据及有效市场的启示
8. 有效市场是理想状态
9. 行为金融学
教学重点、难点：什么是有效市场:有效市场存在的依据及有效市场的启示
课程考核：了解有效市场理论的背景、有效市场存在的依据及有效市场下的个体金融行为，理解有效市场存在的基本特征，掌握有效市场的启示
复习与思考题：课后习题中所有判断题
Chapter 12 Efficient Markets and Behavioral Finance
1. What is an efficient market (the features of efficient market)? Price changes are random, three forms of market efficiency, efficient markets: the evidence, lessons of market efficiency
2. The evidence against market efficiency
3. Behavioral finance
Key and difficult points: what is an efficient market, lessons of market efficiency
Evaluation requirements: to know conflicted argument of efficient markets; understand what is an efficient market, lessons of market efficiency; master arbitrage
Review and practices: True or False in exercises of the chapter in the textbooks
五、其它
无
六、主要参考书
[1]Rachard A Brealey, Stewart C. Myers, Franklin Allen. Principles of Corporate Finance, 10th ed. 北京：机械工业出版社. 2012-01-01
[2]Zvi Bodie, Alex Kane, and Alan J. Marcus Investments, 9th ed. 北京：机械工业出版社.2012-09-01
执笔人： 张婷婷 教研室主任： 系教学主任审核签名：
《公司金融》教学大纲
Corporate Finance
Syllabus
课程编号：151283A
Course Code: 151283A
课程类型：专业课
Course Classification: Major Course
总 学 时：48 讲课学时：48 实验（上机）学时：0
Hours: 48 Lecture Hours: 48 Lab Hours: 0
学 分：3
Credits: 3
适用对象：金融学 （金融经济）
Applicable Major: Finance （Finance and Economics Experiment Class）
先修课程：会计学原理、财务管理
Prerequisites: Principles of Accounting, Financial Management
一、课程的教学目标
公司金融是金融学专业的必备知识，是本科学习阶段不可或缺的一门核心主干课程。本课程教学目的在于向学生系统阐述现代公司金融的基本概念、一般原理以及深层次理论。通过这门课程的学习，学生应系统地掌握资本预算的方法，风险与资本预算，融资管理，资本结构，股利分配，公司治理，兼并收购等方面的知识。通过将原理、理论与案例相结合进行讲解，使学生理解公司金融领域的一些实际问题，提高运用这些方法和工具来解决各种问题的综合能力。
Corporate finance is a core course for finance major undergraduate students. The purpose of this course is to give students the capacity to understand the concepts, principles and techniques that have been developed in modern corporate finance. At the end of this course, students should have mastered some important issues in capital budgeting, capital structure, dividend, corporate governance, mergers and acquisitions, and etc. Also, students should be able to apply these theories in real-world situations.
二、教学基本要求
公司金融包含三个核心知识模块，即资本预算、资本结构、股利分配。本课程应将这三个知识模块作为重点教学内容予以精讲、细讲，确保学生能正确理解公司金融的分析框架、熟练运用相关分析方法。本课程的教学内容还包括公司金融的一些专题，如公司治理和兼并收购等。在保证核心内容的前提下，教师可有针对性地对专题内容进行讲述，丰富学生的知识结构。教学过程中，教师应注重课堂例题以及课外作业的价值，通过练习强化学生对各知识点的理解。此外，教师还需坚持理论联系实践，采用案例辅助教学，培养学生分析问题、解决问题的综合能力。
本课程的考核包括平时作业、期中考试、期末考试。作业和考试采用百分制，考试均为闭卷。学生最终成绩按照平时作业20%，期中考试40%，期末考试40%的比例进行加权平均计算。
This course will cover the theory and practice of decision-making within the corporation, as well as assorted other topics. A large proportion of the content will build on three significant components of corporate finance, i.e. capital budgeting, capital structure, and dividend policy. The instructor is expected to provide comprehensive and detailed lectures in these topics to make sure that students fully understand the material. This course also gives a treatment of some specialized areas such as corporate governance and mergers & acquisitions. This course emphasizes on the development of problem-solving skills based on in-class exercises as well as a good understanding of the business environment through case studies.
The performance evaluation of this course is based on assignments, mid-term exam and final exam. All assignments and exams will be graded on a scale of 100. The exams are closed-book. A student’s final grade is calculated based on the scores received from the assignments (20%), mid-term exam (40%), and final exam (40%).
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |实验 |习题 |合计 |
|# |Contents |Lecture |Lab |In-class |Total |
| | | | |exercise | |
|1 |公司金融导论 |2 | | |2 |
| |Introduction to corporate finance | | | | |
|2 |资本预算决策方法 |4 | |1 |5 |
| |Capital budgeting and alternative investment | | | | |
| |decision criteria | | | | |
|3 |资本预算中的现金流计算 |4 | |2 |6 |
| |Cash flow calculation in capital budgeting | | | | |
|4 |资本预算中的不确定性分析 |4 | | |4 |
| |Uncertainty in capital budgeting | | | | |
|5 |收益和风险 |4 | | |4 |
| |Return and risk | | | | |
|6 |资本成本与资本预算 |4 | |2 |6 |
| |Cost of capital in capital budgeting | | | | |
|7 |权益融资，债务融资及股利政策简介 |3 | | |3 |
| |Introduction to financing, dividend and other| | | | |
| |payout activities | | | | |
|8 |资本结构 |4 | |2 |6 |
| |Capital structure | | | | |
|9 |杠杆企业的资本预算 |4 | |2 |6 |
| |Capital budgeting for the levered firm | | | | |
|10 |兼并与收购 |3 | | |3 |
| |Mergers and Acquisitions | | | | |
|11 |公司治理 |3 | | |3 |
| |Corporate governance | | | | |
|合计 | |39 | |9 |48 |
|Total | | | | | |
四、教学内容
第一章 公司金融导论 Introduction to corporate finance
22. 了解公司金融的基本框架。What is corporate finance and the basic structure of modern corporate finance theory.
23. 理解公司的各种财务活动，具体包括长期投资决策、长期融资决策、股利政策。Financial activities and the concepts of investment decisions, financing decisions, and dividend and other payout decisions.
24. 掌握公司财务活动的目标。The financial goal of the corporation.
第二章 资本预算决策方法 Capital budgeting and alternative investment decision criteria
1. 熟练掌握净现值法的特点以及在资本预算中的运用。The concept of Net Present Value (NPV) and its application in capital budgeting.
2. 掌握回收期法和折现回收期法的运用及其优缺点。The concepts of payback period and discounted payback period. The problems of these two methods.
3. 掌握内部收益率法及其优缺点，尤其是对融资型项目和互斥项目进行决策分析时如何运用内部收益率方法，掌握内部收益率法和净现值法的区别。The concept of Internal Rate of Return (IRR) and its problems. How to use IRR for financing-type investment and mutually exclusive investments? Distinguish between NPV method and IRR method.
4. 掌握盈利指数法及其优缺点，掌握该方法在互斥项目和资本限额情况下的运用。The concept of profitability index (PI) and its application in mutually exclusive investments and capital rationing.
第三章 资本预算中的现金流计算 Cash flow calculation in capital budgeting
1. 掌握增量现金流量的概念，掌握机会成本和沉没成本的运用。The concept of incremental cash flow. Implications of opportunity cost and sunk cost in cash flow calculation.
2. 熟练掌握现金流的计算方法，包括资本投资现金流、税后经营性现金流、净营运资本、项目残值。The methods for cash flow calculation in capital budgeting, including capital investment cash flow, after-tax operating cash flow, changes in net working capital, and salvage value.
3. 掌握通货膨胀对资本预算的影响，掌握名义现金流量和实际现金流量、名义利率和实际利率的运用。Inflation and its implication in capital budgeting. The concepts of nominal/real cash flow and nominal/real interest rate.
4. 理解不同生命周期的投资决策方法。 Capital budgeting when projects have unequal lives.
第四章 资本预算中的不确定性分析 Uncertainty in capital budgeting
1. 理解敏感性分析和场景分析。理解敏感性分析和场景分析方法的区别。Introduction to sensitivity analysis, scenario analysis, and their conceptually differences.
2. 理解介绍盈亏平衡分析方法，盈亏平衡分析是确定公司盈亏平衡时所需达到的销售量。Introduction to break-even analysis.
第五章 收益和风险 Return and risk
1. 掌握收益和风险的概念和计算方法，掌握资产组合的收益和风险的关系。Statistical measures for return and risk. The relationship between expected return and risk for a portfolio.
2. 掌握系统性风险和可分散风险。The concepts of systematic risk and diversifiable risk.
3. 熟练掌握资本资产定价模型。Capital Asset Pricing Model and its application in capital budgeting.
第六章 资本成本与资本预算 Cost of capital in capital budgeting
1. 熟练掌握权益资本成本、债务资本成本、以及加权平均资本成本的概念。Cost of equity, cost of debt, and Weighted Average Cost of Capital (WACC).
2. 熟练掌握权益资本成本的计算方法。Using CAPM to estimate cost of equity.
3. 熟练掌握项目权益贝塔系数的估计方法，掌握项目贝塔系数的影响因素，熟练掌握不同财务杠杆下贝塔系数的计算方法。The method to estimate equity beta for a project. The determinants of equity beta. Relationship between equity beta and asset beta.
第七章 权益融资，债务融资及股利政策简介 Introduction to financing, dividend and other payout activities
1. 了解公开发行股票的程序和发行方式，了解公开增发和配股发行。The basic procedure for issuing equity. Public offering and rights offering.
2. 了解长期负债的类型以及短期负债融资方式。Different types of long-term and short-term debts.
3. 掌握股利的概念和类型，具体包括现金股利、股票股利和股票回购，了解这几种股利方式的区别。 Different types of dividends, including cash dividend, stock dividend, and stock repurchase.
4. 理解税收、发行成本与股利，了解公司发放高股利和低股利的原因。Personal taxes, issuance costs, and dividends. Real-world factors favoring a high/low-dividend policy.
第八章 资本结构 Capital structure
1. 理解资本结构的概念，理解财务杠杆与公司价值的关系。The concept of capital structure. Financial leverage and firm value.
2. 熟练掌握Modigliani and Miller (MM) 理论，具体包括不考虑所得税、存在公司税以及存在个人税这三种情况下资本结构与公司价值之间的关系，理解杠杆企业与无杠杆企业价值之间的关系，掌握资本结构与资本成本之间的关系。Modigliani and Miller (MM) proposition I and II. Capital structure and firm value under no tax, corporate tax, and personal tax. Levered firm value and unlevered firm value. Capital structure and cost of capital.
3. 掌握资本结构的确定方法。How firms establish capital structure.
第九章 杠杆企业的资本预算 Capital budgeting for the levered firm
1. 掌握加权平均资本成本法。Weighted Average Cost of Capital approach (WACC).
2. 掌握权益现金流法。 Flow To Equity approach (FTE).
3. 掌握调整净现值法. Adjusted Present Value (APV) approach.
4. 掌握调整净现值法、权益现金流量法以及加权平均资本成本法的区别及其适用情况。 A comparison of the APV, FTE, and WACC approaches.
第十章 兼并与收购 Mergers and Acquisitions
1. 了解兼并购的动因。Synergy and sources of synergy from acquisition.
2. 了解并购的种类。The basic forms of merger, acquisition or consolidation.
3. 理解市场对并购的反应。Do acquisitions benefit shareholders?
4. 了解恶意收购及其防御策略。Hostile takeover and defensive tactics.
第十一章 公司治理 Corporate governance
1. 理解代理成本和公司治理。Agency cost and corporate governance.
2. 掌握管理层与股东利益冲突。Conflicts between shareholders and managers. Separation of ownership and control.
3. 掌握控股股东与中小股东利益冲突。Conflicts between controlling shareholder and minority shareholders. Separation of control rights and cash flow rights.
4. 了解公司治理的解决方法。Methods to mitigate corporate governance problems.
五、主要参考书
[1] Richard A. Brealey, Stewart C. Myers and Franklin Allen, Principles of Corporate Finance (10th edition), McGraw-Hill/Irwin.
[2] Stephen A. Ross, Randolph W. Westerfield and Jeffrey F. Jaffe, Corporate Finance
(10th edition), McGraw-Hill.
执笔人： 文旷宇 教研室主任： 系教学主任审核签名：
《投资学》教学大纲
Investments Syllabus
课程编号：151293A
Course Code: 151293A
课程类型：专业课
Course Type: Major compulsory course
总学时:Period: 48
学分：Credits: 3
适用对象：金融学（金融经济）
Applicable Majors: Finance（Finance and Economics Experiment Class）
先修课程：微观经济学、微积分、概率论与数理统计
Preparatory Courses: Microeconomics, Calculus, Probability and Mathematical Statistics.
1. 课程的教学目标
本课程是对不确定性下的个人微观行为及均衡资产价格的分析。本课程旨在帮助学生理解经济中个体在不确定性下如何做决策，如何通过金融工具规避风险，以及在均衡中金融资产如何定价。学完本课程后，学生应该对金融中的基本概念很好的掌握，可以解决有约束的最优化问题，以及推导均衡的资产价格。本课程为以后的衍生资产定价和更高级的金融课程提供基础。
This course carries on the microeconomic analysis to uncertainty. It aims to help students to understand how individuals make choice under uncertainty, how individuals could hedge risks through financial instruments, and how financial assets are priced in equilibrium. Upon completion of this course, students should have solid understanding of basic concepts in finance, solve constrained optimization problem under uncertainty, and derive the equilibrium asset price. This course gives students preparation for derivative pricing and more advanced finance courses.
2. 教学的基本要求
投资学通过严格的数学分析工具来分析不确定性下个体是如何做决策，风险厌恶，风险度量，最优资产组合的选择，和金融产品的定价。课程的授课重点是风险厌恶、风险补偿和风险这些基本概念，解决有约束的最优化方法，最优解的比较静态分析，均值-方差分析，以及推导CAMP和APT资产定价模型。课程的难点在与广泛使用微积分和抽象推导。为了克服这一难点，授课中很多具体的例子会被用来解释概念的含义，以及模型解决技巧的使用。作业也是课程的重要组成部分。每章结束后都会有一次作业，作业分组完成，鼓励组内学生的探讨与交流。 作业的设计主要考虑到与教课内容的互补，包括具体实例的计算和一些证明。课程考核由三部分组成，分别是平时作业16%，期中闭卷考试24%，期末闭卷考试60%。
This course provides analytical tools to model individual decision making under uncertainty, risk aversion, measurement of risk, optimal portfolio choice and asset pricing. The emphases will be on concepts of risk aversion, risk compensation, and risk, and on the techniques to solve optimal portfolio, to do comparative statics, to derive Capital Asset Pricing Model and Arbitrage Pricing Theory. One potential challenge of this course is the extensive use of calculus and abstract reasoning. However, many concrete examples will be provided to illustrate the intuition of basic concepts and how to apply techniques to solve a model. Homework represents an important part of this course. Each chapter will be followed by one homework, which will be done by groups. Homework is designed to complement lecture notes, including calculation of concrete examples and proof of some statements in lecture notes. The grades include three parts, homework, midterm exam, final exam. Homework counts for 16% of the final grade, midterm exam counts for 24% of the final grade, and final exam counts for 60% of the final grade.
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |期望效用理论 |3 | |Homework 1 | |
| |Expected Utility Theory | | | | |
|2 |风险厌恶 |6 | |Homework 2 | |
| |Risk Aversion | | | | |
|3 |风险 |6 | |Homework 3 | |
| |Risk | | | | |
|4 |预算约束 |3 | |Homework 4 | |
| |Budget Constraint | | | | |
|5 |一个风险资产的最优资产组合 |6 | |Homework 5 | |
| |Optimal Portfolio with one risky asset | | | | |
|6 |多个风险资产的最优资产组合 |6 | |Homework 6 | |
| |Optimal Portfolio with many risky assets | | | | |
|7 |均值-方差投资分析 |6 | |Homework 7 | |
| |Mean-Variance Portfolio Analysis | | | | |
|8 |资本资产定价模型 |6 | |Homework 8 | |
| |Capital Asset Pricing Model | | | | |
|9 |套利定价模型 |6 | |Homework 9 | |
| |Arbitrage Pricing Theory | | | | |
|合计 | |48 | | | |
四、教学内容
第一章 期望效用理论
CHAPTER I: Expected utility theory
2. 消费者效用理论
PART 1 Basic Preference Theory
第二节期望效用理论
PART 2 Expected Utility Theory
教学重点、难点：偏好的效用函数表示，和期望效用的计算。
Key Points: utility function representation of preferences, and calculation of expected utility for a lottery.
课程的考核要求：理解什么条件下偏好存在效用函数表示，掌握期望效用的计算。
Requirement: understand when a preference can be represented by a utility function, master the calculation of expected utility for a lottery.
第二章：风险厌恶
CHAPTER 2: Risk aversion
第一节风险厌恶定义
PART 1 Definition of risk aversion
第二节风险厌恶与效用函数凹性
PART 2 Risk aversion and concavity of utility function
第三节风险厌恶与风险补偿
PART 3 Risk aversion and risk compensation
第四节风险厌恶的比较
PART 4 Comparative risk aversion
第五节经典效用函数
PART 5 Classical utility functions
教学重点、难点：不同风险度量的含义及其之间的等价，风险厌恶指数的计算。
Key Points: different measures of risk aversion and their equivalence, computation of the corresponding risk aversion given a utility function.
课程的考核要求：理解不同风险度量的含义及其之间的等价，掌握风险厌恶的定义和风险厌恶指数的计算。
Requirement: understand different measures risk aversion and their equivalence, master the definition of risk aversion and the calculation of risk aversion index.
第三章 风险
CHAPTER 3 Risk
第一节风险定义
PART 1 Definition of Risk
第二节风险与风险厌恶
PART 2 Risk and risk aversion
第三节风险与方差
PART 3 Risk and variance
教学重点、难点：风险的定义，风险与风险厌恶的关系，风险与方差的区别。
Key Points: the definition of risk, its relation with risk aversion, and its difference from variance.
课程的考核要求：理解风险与风险厌恶的关系，掌握风险的定义及其与方差的区别。
Requirement: understand the relation between risk and with risk aversion, master the definition of risk, and its difference from variance.
第四章 预算约束
CHAPTER 4 Budget constraint
第一节资产
PART 1 Assets
第二节无套利价格
PART 2 Non arbitrage prices
第三节投资组合限制
PART 3 Portfolio restrictions
教学重点、难点：资产的数学表示，无套利含义。
Key Points: the representation of an asset, the definition of non arbitrage.
课程的考核要求：理解资产的表示，掌握无套利的定义。
Requirement: understand the representation of an asset, master the definition of non arbitrage.
第五章 一个风险资产的最优投资组合
CHAPTER 5 Optimal portfolio with one risky asset
第一节投资组合问题
PART 1 Portfolio choice problem
第二节最优投资组合
PART 2 Optimal portfolio
第三节风险溢价最优投资组合
PART 3 Risk premium and optimal portfolio
第四节最优投资组合比较静态分析
PART 4 Comparative statics of optimal portfolio
教学重点、难点：求解只有一个风险资产时的最优投资组合，以及最优投资组合的比较静态分析。
Key Points: solve the optimal portfolio, and its comparative statics.
课程的考核要求：熟练掌握求解只有一个风险资产时的最优投资组合，以及最优投资组合的比较静态分析。
Requirement: master how to solve the optimal portfolio, and its comparative statics.
第六章 多个风险资产的最优投资组合
CHAPTER 6 Optimal portfolio with many risky assets
第一节最优投资组合
PART 1 Optimal portfolio
第二节风险与收益的权衡
PART 2 Risk-return trade-off
第三节公平定价下的最优投资组合
PART 3 Optimal portfolio under fair pricing
第四节风险溢价与最优投资组合
PART 4 Risk premium and optimal portfolio
第五节线性风险承受下的最优投资组合
PART 5 Optimal portfolio under linear risk tolerance
教学重点、难点：风险与收益的权衡，线性风险承受下的最优投资组合。
Key Points: the trade-off between risk and return, and calculation of the optimal portfolio under linear risk tolerance.
课程的考核要求：理解风险与收益的权衡，掌握线性风险承受下的最优投资组合。
Requirement: understand the trade-off between risk and return, and master the calculation of the optimal portfolio under linear risk tolerance.
第七章 期望-方差投资分析
CHAPTER 7 Mean-variance portfolio analyses
第一节期望-方差分析与期望效用
PART 1: Consistency of mean-variance analysis with expected utility
第二节标准均值-方差投资问题
PART 2: Standard mean-variance portfolio problem
教学重点、难点：期望-方差分析与期望效用分析的关系，均值-方差最优投资组合。
Key Points: relation between mean-variance analysis and expected utility analysis, calculation of the optimal mean-variance portfolio.
课程的考核要求: 理解期望-方差分析与期望效用分析的关系，掌握均值-方差最优投资组合的推导。
Requirement: understand the relation between mean-variance analysis and expected utility analysis, master the derivation of the optimal mean-variance portfolio.
第八章 资本资产定价模型
CHAPTER 8 Consumption Asset Pricing Model
第一节证券市场线
PART 1: Security market line
第二节 均值-方差偏好下的均衡投资组合
PART 2: Equilibrium portfolio under mean-variance preference
第三节二次项函数
PART 3: Quadratic utility
第四节正态分布的收益
PART 4: Normally distributed payoffs
教学重点、难点：资产风险溢价及此资产收益与其市场收益协方差之间的关系。
Key Points: the relation between the risk premium on any asset and the covariance between the return to that asset and the market return.
课程的考核要求: 掌握资产风险溢价及此资产收益与其市场收益协方差之间的关系。
Requirement: master the relation between the risk premium on any asset and the covariance between the return to that asset and the market return.
第九章 套利定价理论
CHAPTER 9 Arbitrage Pricing Theory
第一节无误差因子定价
PART 1: Exact factor pricing
第二节无误差定价，beta定价和CAPM
PART 2: Exact factor pricing, beta pricing and the CAPM
第三节因子定价误差
PART 3: Factor pricing errors
第四节因子结构
PART 4: Factor structure
教学重点、难点：资产风险溢价及此资产收益对因子风险敏感度之间的关系。
Key Points: the relation between the expected return on any asset and the measure of the sensitivity of an asset’s return to factor risk.
课程的考核要求: 掌握资产风险溢价及此资产收益对因子风险敏感度之间的关系。
Requirement: master the relation between the expected return on any asset and the measure of the sensitivity of an asset’s return to factor risk.
五、主要参考书Textbooks
1. Bodie, Kane and Marcus. Investments. McGraw Hill. 10e. 2014
2. Leroy and Werner. Principles of financial economics. Cambridge University Press. 2001
执笔人：宋信息 教研室主任： 系教学主任审核签名：
《贝叶斯统计》教学大纲
“Bayesian Statistics” Course Outline
课程编号： 152053A
课程类型： 专业选修课
总 学 时： 48 讲课学时：48 实验（上机）学时：0
学 分： 3
适用对象： 金融学（金融经济）
先修课程： 数学分析、概率论与数理统计、计量经济学
Course Code： 152053A
Course Type： Discipline Elective
Total Hours： 48 Lecture：48 Experiment(Computer)：0
Credit： 3
Applicable Major： Finance（Finance and Economics Experiment Class）
Prerequisite： Mathematical Analysis, Probability Theory and Statistics, Econometrics
一、课程的教学目标
本课程旨在向学生介绍贝叶斯统计理论、贝叶斯统计方法及其在实证研究中的应用。贝叶斯统计理论与传统统计理论遵循着不同的基本假设，为我们处理数据信息提供新的角度和解读思路，并在处理某些复杂模型上（如，估计动态随机一般均衡模型、带时变参数的状态空间模型等）相比传统方法具有相对优势。
本课程要求学生在选课前具备基本的微积分、概率统计以及计量经济学知识。以此为起点，我们将主要就贝叶斯统计理论知识、统计模型的应用以及基于计算机编程的实证能力三方面对学生进行训练。经过对本课程的学习，学生应了解贝叶斯框架的基本思想，掌握基本的贝叶斯理论方法及其主要应用，并掌握实证研究中常用的贝叶斯数值抽样方法以及相关的计算机编程技能。特别地，学生应能明确了解贝叶斯统计方法与传统统计方法在思想和应用上的区别以及各自的优缺点，以便能在实际应用中合理选择统计分析工具。
This course introduces the basic concepts of Bayesian statistics and the use of Bayesian econometric methods in empirical study. Bayesian statistics has different fundamental assumptions from the classical (frequentist) framework, providing us with an alternative way in analyzing and interpreting data information. Bayesian methods also have relative advantages, and thus are widely used, in dealing with certain complicated models (for example, the estimation of Dynamic Stochastic General Equilibrium model, state space models with time-varying parameters, etc.).
Students should have had basic trainings on calculus, probability theory and statistics, and preferably econometrics prior to this course. The major trainings offered in this course focus on Bayesian theories, Bayesian statistical models with applications and computational skills required for empirical analysis. After the course, students should develop their understanding on the philosophy of Bayesian framework, understand basic Bayesian theories, Bayesian estimation methods and their applications, and master the computer skills for the practical use of Bayesian methods. Specifically, students should understand the differences between the Bayesian viewpoint and the classical frequentist perspective in order to be able to choose appropriate analyzing tools in empirical use.
二、教学基本要求
贝叶斯统计学和计量方法在近年得到越来越广泛的关注和应用，主要得益于计算机技术的发展使得贝叶斯数值抽样方法在实际应用中得以实现。因此，除了对贝叶斯相关理论的讲授，计算机数值方法的介绍与相关实践也是同等重要的。
统计理论的部分，本课程主要涵盖贝叶斯定理以及贝叶斯方法的基本数据分析框架，以及运用贝叶斯方法进行回归模型的估计、预测和模型比较的基本方法。数值方法部分，主要介绍Markov Chain Monte Carlo后验分布抽样方法（Gibbs抽样法和Methopolis-Hastings抽样法），以及边缘似然函数和贝叶斯因子的估计方法等。这两部分的内容应紧密结合并辅以实例分析，以课堂讲授结合计算机演示的方式进行教学。另外，贝叶斯方法与传统统计方法的对比也应贯穿课程各章节，以帮助学生了解两种方法的优缺点及适用范围，为实际应用提供指导。
对应课堂内容，课后作业也应强调理论和实践的结合，编程练习应占重要比例。教师应提供必要的编程软件使用指导，并指导学生根据提供的范例练习运用贝叶斯方法进行数据分析。
课程考核方式及其权重如下：
|出勤 |10% |
|作业 |20% |
|期末闭卷考试 |30% |
|课程论文 |30% |
|课程论文宣讲 |10% |
Thanks to the development of computer technology, Bayesian statistics and econometrics has become more popular as Bayesian computational methods have become practical. Computational methods are as important as theories to Bayesian statistics, so as to this course.
In the theoretical statistics part, this course involve lectures on Bayes Theorem, the general Bayesian analysis framework, and the general approaches to estimate models, develop predictions and compare models in the Bayesian way. In terms of computational methods, we will mainly introduce the MCMC posterior sampling (the Gibbs Sampling and the Metropolis-Hasting Algorithm), and the approximation technique for marginal likelihood and the Bayes factor. The two parts should introduced along with each other. Empirical and computer illustrations are also necessary for students to understand the approach. Last but not the least, instructor should have the Bayesian framework compared with the Classical frequentist framework in all aspects when appropriate in order to illustrate the advantages/disadvantages of the two frameworks, providing students with empirical instructions.
Homework assignments should be composed of derivations and computer exercises. Proper software instructions and examples should be provided to facilitate students’ practice on Bayesian analysis techniques.
The grading weights are as follows:
|Attendancy |10% |
|Homework Assignments |20% |
|Final Exam (Closed Book) |30% |
|Term Paper |30% |
|Term Paper Presentations |10% |
三、各教学环节学时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
|1 |课程简介及贝叶斯定理 |2 |0 |0 |2 |
| |Course Overview and Bayes Theorem | | | | |
|2 |贝叶斯统计理论初步 |4 |0 |0 |4 |
| |Elements of Bayesian Inference | | | | |
|3 |线性回归模型（假设共轭先验分布） |6 |0 |0 |6 |
| |Linear Regression Models with Natural | | | | |
| |Conjugate Priors | | | | |
|4 |线性回归模型（假设其他先验分布） |9 |0 |0 |9 |
| |Linear Regression Models with Other Priors | | | | |
|5 |非线性回归模型 |6 |0 |0 |6 |
| |Nonlinear Regression | | | | |
|6 |潜在变量模型 |6 |0 |0 |6 |
| |Models with Latent Variables | | | | |
|7 |时间序列模型 |6 |0 |0 |6 |
| |Time Series Models | | | | |
|8 |贝叶斯模型比较与模型平均 |6 |0 |0 |6 |
| |Bayesian Model Comparisons and Model | | | | |
| |Averaging | | | | |
|9 |论文宣讲 |3 |0 |0 |3 |
| |Term Paper Presentations | | | | |
|合计 | |48 |0 |0 |48 |
四、教学内容
第一章 课程简介及贝叶斯定理
第一节 课程简介
第二节 贝叶斯定理
5. 贝叶斯定理
6. 贝叶斯定理的简单应用
教学重点、难点：贝叶斯定理的涵义并通过实例阐释。
课程考核要求：掌握贝叶斯定理的涵义，并能运用定理对对简单的事件作出推论。
Chapter 1 Course Overview and Bayes Theorem
Section 1 Course Overview
Section 2 Bayes Theorem
5. Bayes Theorem
6. Simple Applications of Bayes Theorem
Key and Difficult Points: the key idea of Bayes Theorem presented with examples.
Evaluation Requirements: master the key idea of Bayes Theorem, and make inferences with the theorem in simple scenarios.
第二章 贝叶斯统计理论初步
第一节 贝叶斯统计理论的基本要素
1. 先验分布与后验分布
2. 贝叶斯定理的应用
3. 贝叶斯统计与传统统计方法的系统性差别
第二节 点估计和置信区间
1. 点估计
2. 最高后验密度区间
第三节 贝叶斯决策理论
第四节 模型比较
1. 边际似然函数
2. 预测密度函数
教学重点、难点：贝叶斯统计各要素的相互关联，与传统统计方法的根本区别。
课程考核要求：掌握贝叶斯统计体系各要素的定义及相互联系，了解贝叶斯统计体系与传统统计学的根本区别，了解贝叶斯统计推断的常见内容。
Chapter 2 Elements of Bayesian Inference
Section 1 Basic Elements of Bayesian Statistics
1. Prior and Posterior
2. How Bayes Theorem is used
3. Systematic Differences between the Bayesian and Frequentist View
Section 2 Point Estimation and Credible Sets
1. Point Estimation
2. Highest Posterior Density Interval
Section 3 Bayesian Decision Theory
Section 4 Model Comparison
1. Marginal Likelihoods
2. Predictive Densities
Key and Difficult Points: the relationships between elements of Bayesian Statistics, the fundamental differences between the Bayesian view and the frequantist view.
Evaluation Requirements: master the concepts of the elements of Bayesian Statistics and the relationship among them, understand the fundamental differences between the Bayesian and frequentist view, and understand the common components of Bayesian inferences.
第三章 线性回归模型（假设共轭分布）
第一节 后验分布的推导
1. 用矩阵表示的线性回归模型
2. 似然函数
3. 共轭先验分布
4. 后验分布
第二节 预测
第三节 贝叶斯数值计算方法： 蒙特卡罗模拟积分
第三节 实证范例
教学重点、难点：后验分布的推导与应用，蒙特卡罗模拟积分。
课程考核要求：理解共轭先验分布假设下的后验分布的推导，掌握运用后验分布进行实证分析，掌握蒙特卡罗模拟积分方法。
Chapter 3 Linear Regression Models with Natural Conjugate Priors
Section 1 Derivation of the Posterior
1. The Linear Regression Model in Matrix Notation
2. The Likelihood Function
3. The Natural Conjugate Prior
4. The Posterior
Section 2 Prediction
Section 3 Bayesian Computational Methods: Monte Carlo Integration
Section 4 Empirical Illustrations
Key and Difficult Points: the derivation of the posterior and its applications, Monte Carlo Integration.
Evaluation Requirements: understand the derivation of the posterior, analyze real data based on the posterior, master the methodology of Monte Carlo integration.
第四章 线性回归模型（假设其他先验分布）
第一节 独立正态－伽玛先验分布
1. 独立正态－伽玛先验分布
2. 后验分布
第二节 贝叶斯数值计算方法：后验分布Gibbs随机抽样法
1. Gibbs随机抽样法
2. 马尔可夫链蒙特卡罗收敛判定
第三节 带限制的线性回归模型
1. 后验分布
2. 贝叶斯数值计算方法：重要性随机抽样法
第四节 实证范例
教学重点、难点：Gibbs随机抽样法， 重要性随机抽样法。
课程考核要求：掌握Gibbs随机抽样法和重要性随机抽样法，了解如何根据实际情况对抽样方法做出选择。
Chapter 4 Linear Regression Models with Other Priors
Section 1 The Independent Normal-Gamma Prior
1. The Independent Normal-Gamma Prior
2. The Posterior
Section 2 Bayesian Computational Methods: Gibbs Sampling
1. Gibbs Sampling
2. MCMC Convergence Diagnostics
Section 3 Linear Regression Models with Restrictions
1. The Posterior
2. Bayesian Computational Methods: Importance Sampling
Section 4 Empirical Illustrations
Key and Difficult Points: Gibbs sampling, importance sampling.
Evaluation Requirements: master the methodology of Gibbs sampling and importance sampling, understand how to choose appropriate methodology given different scenarios.
第五章 非线性回归模型
第一节 非线性回归模型
1. 模型设定
2. 先验分布与后验分布
第二节 贝叶斯数值计算方法：Metropolis-Hasting抽样法
1. 一般性步骤
2. 独立链MH抽样法
3. 随机游走链MH抽样法
4. Metropolis-within-Gibbs抽样法
第三节 实证范例
教学重点、难点：MH抽样法，Metropolis-within-Gibbs抽样法。
课程考核要求：理解MH抽样法的一般步骤，掌握独立链与随机游走链MH抽样法，了解Metropolis-within-Gibbs抽样法。
Chapter 5 Nonlinear Regression
Section 1 Nonlinear Regression
1. Model Setup
2. The Prior and The Posterior
Section 2 Bayesian Computational Methods: Metropolis-Hasting Algorithm
1. The General Algorithm
2. The Independent Chain MH Algorithm
3. The Random Walk Chain MH Algorithm
4. Metropolis-within-Gibbs
Section 3 Empirical Illustrations
Key and Difficult Points: Metropolis-Hasting Algorithm, Metropolis-within-Gibbs.
Evaluation Requirements: understand the general algorithm of Metropolis-Hasting, master the independence chain/random walk chain MH algorithm, understand the methodology of Metropolis-within-Gibbs.
第六章 潜在变量模型
第一节 删截线性回归模型
第二节 Probit模型
第三节 Tobit模型
第四节 带混合正态的模型
教学重点、难点：各模型的特点及相对应的数据特点，各模型适用的后验分布抽样方法。
课程考核要求：理解各模型的特点及相对应的数据特点，了解适用的后验分布抽样方法。
Chapter 6 Models with Latent Variables
Section 1 Censored Linear Models
Section 2 Probit Models
Section 3 Tobit Models
Section 4 Modeling with Mixtures of Normals
Key and Difficult Points: features of the above models and their corresponding datasets, posterior sampling with the above models.
Evaluation Requirements: understand the features of the above models and their corresponding datasets, understand the methodology for posterior sampling.
第七章 时间序列模型
第一节 线性时间序列模型
1. 常见模型
2. 一般性估计方法
第二节 状态空间模型
1. 一般模型设定
2. Gibbs抽样法
3. MH抽样法
教学重点、难点：状态空间模型的贝叶斯估计法。
课程考核要求：掌握一般时间序列模型的贝叶斯估计方法，了解状态空间模型及其贝叶斯估计法。
Chapter 7 Time Series Models
Section 1 Linear Time Series Models
1. Common Time Series Models
2. General Bayesian Approach
Section 2 State-Space Models
1. General Model Setup
2. Gibbs Sampling
3. Metropolis-Hasting Algorithm
Key and Difficult Points: Bayesian estimation algorithm of state-space models.
Evaluation Requirements: master the general estimation approaches for linear time series models, understand the setup of state-space models and their Bayesian estimation algorithm.
第八章 贝叶斯模型比较与模型平均
第一节 贝叶斯模型比较
1. 贝叶斯因子
2. 用Gelfand－Dey方法估计边际似然函数
3. 用Chib方法估计边际似然函数
4. （选讲）贝叶斯假设检验
第二节 贝叶斯模型平均
教学重点、难点：贝叶斯因子的应用，边际似然函数的估计。
课程考核要求：掌握贝叶斯因子的定义及应用，了解边际似然函数的估计方法, 了解模型平均的意义。
Chapter 8 Bayesian Model Comparisons and Model Averaging
Section 1 Bayesian Model Comparisons
1. Bayes Factor
2. Marginal Likelihood Approximation with the Gelfand-Dey Method
3. Marginal Likelihood Approximation with the Chib Method
Section 2 Bayesian Model Averaging
Key and Difficult Points: Bayes factor and its application, approximation of marginal likelihood.
Evaluation Requirements: master the concept and application of Bayes factor, understand the methodology to approximate the marginal likelihood, understand the idea of Bayesian model averaging.
第九章 论文宣讲
以PPT汇报分组课程论文成果。
课程考核要求：英文宣讲及PPT，要求宣讲结构清晰、有条理，内容细节见课堂要求。
Chapter 9 Term Paper Presentations
A short presentation on term papers in groups.
Evaluation Requirements: presentation in English and well organized, details as announced in class.
五、其它
授课老师应根据学生的能力和接受程度适当调节课程进度和内容，但第一至五章及第八章第一节建议优先讲授。
Instructor should adjust the course schedule and content according to the capability of students. But Chapter 1 to 5 and the Section 1 in Chapter 8 should be covered in priority.
六、主要参考书
[1] Gary Koop. Bayesian Econometrics. England: Wiley. 2003.
[2] John Geweke. Contemporary Bayesian Econometrics and Statistics. NJ: Wiley-Interscience. 2005
执笔人：罗穗 教研室主任： 系教学主任审核签名：
《应用随机过程》教学大纲
“Applied Stochastic Process” Course Outline
课程编号：152063A
课程类型：专业选修课
总 学 时：48 讲课学时：40 实验（上机）学时：8
学 分：3
适用对象：经济学、管理学、统计学、金融学等
先修课程：概率论与数理统计、线性代数、微积分
Course Code: 152063A
Course Type: Discipline basic course
Periods: 48 Lecture: 40 Experiment (Computer): 8
Credits: 3
Applicable Subjects: Economics, Management, Statistics, Finance etc.
Preparatory Courses: Probability and Mathematical Statistics, Linear Algebra, Mathematical Analysis
一、课程的教学目标
这是一门向经济学和管理学相关专业本科生介绍随机过程的理论方法和实际应用的专业选修课程。本课程在学生已经扎实掌握概率论和数理统计基础知识的前提下，介绍随机过程中的基本概念和结果。本课程主要训练学生的如下能力：（1）灵活组合运用微积分，线性代数和概率论解决数学问题的能力；（2）进一步的抽象思维和符号运算能力；（3）把实际问题抽象为理论模型，再把理论结果结合实际情况进行解释的能力；（4）利用计算机和MATLAB软件解决复杂计算问题和无解析解的问题的能力。学习完本课程后，学生们能对随机过程及其应用有基本的认识，并且具有今后进一步学习高级随机过程理论,现代金融工程和随机控制理论和从事相关工作的专业基础。
The course of Applied Stochastic Process introduces theory and application of stochastic process to undergraduate students. Students are assumed to have already finished their study of undergraduate level probability and statistics. Students train the following abilities this course: (1) methodologically applying calculus, linear algebra and probability theory to new mathematical problems; (2) advanced logical reasoning and symbol handling; (3) building mathematical models from real world problems, and then translating mathematical results back to fit the original question; (4) employing computers and MATLAB software to solve computationally complexed problems and/or problems without closed form solution. Upon finishing the course, students can gain a basic understanding of the theory and application of stochastic process, and build a foundation for studying advanced stochastic process theory, modern financial engineering and stochastic control theory, as well as performing relevant work.
二、教学基本要求
本课程讲述随机过程的基础理论结果及其应用。随机过程是比随机变量更深入一步的数学概念，理解随机过程必须建立在学生扎实深入的学好概率论，掌握随机变量的性质的基础上。同时，本课程还要求学生对微积分和线性代数有深刻的掌握，并能灵活运用已有知识去解决新问题。随机过程属于数学中较难理解的概念，同时学生们很可能在先修课程中就有不明白的地方。因此，任课教师需要精心设计教学计划和编写课件，做到能深入浅出的阐述相关理论。同时在授课中要及时与学生交流并发现学生知识结构中的薄弱点有针对性的进行讲解。本课程重点讲解随机过程中的最基本要素：泊松过程，更新过程和马尔科夫过程。尽量做到让学生对这些最重要的概念有全面深刻的了解，从而能举一反三学习更广泛深入的知识。
本课程将讲述大量例子来与理论相结合。并计划安排少量计算机实践来向学生解释实际中处理问题的方法。教学中，鼓励学生课前预习，课上安排课堂讨论，提高学生的课堂参与积极性，以便学生能够深入理解知识要点；课后让学生完成作业并对部分习题进行课堂讲解。
课程的考核方式及其所占权重如下：
|出勤 |10% |
|作业 |20% |
|期末闭卷考试 |70% |
在上述考核方式中，作业来自于课本中的理论和实践习题；期末闭卷考试考查理论知识和解决应用题的能力。
This course introduces basic results and applications of stochastic process. Stochastic process lays its foundation on and is a further development of the concept of random variables. For this reason, students are expected to have already had a firm grasp of undergraduate level probability and statistic knowledge, as well as calculus and linear algebra. Students should also be able to use what they already have known methodologically to solve new problems. Stochastic process falls into the category of “hard” mathematics for undergraduate level students. On the other hand, most undergraduate students have difficulties understanding at least certain mathematical knowledge they have already learned. Under these circumstances, the lecturer is required to carefully design the structure of instruction and the lecture notes to ensure hard concepts are instilled step by step following special examples and concepts easier to understand. During the instruction, the lecturer should be keen to spot weak points of students’ knowledge structure and clear the obstacle hindering progress. The course is built around three fundamental concepts in stochastic process: Poisson process, renewal process and Markov process. Once students are able to comprehend those seminal building blocks, they will explore other vast areas of this subject much faster.
The course will introduce numerous examples along with theory knowledge. Students are encouraged to read relevant materials before the class. Discussions will be organized in the class to facilitate better understanding. Problem sets is given after class, and some of them will be analyzed in later classes.
The methods of evaluation of this course and their weights are as follows:
|Attendance |10% |
|Assignments |20% |
|Final Exam (closed) |70% |
| | |
In the methods of evaluation above, the assignments come from the theoretical and application exercises in the textbook. The closed form final exam focuses on the examination of knowledge in theory.
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |实验 |其他 |合计 |
| |绪论 |1 | | |1 |
| |Introduction | | | | |
| |概率论回顾 |2 | | |2 |
| |Review of Probability Theory | | | | |
| |泊松过程 |4 |1 | |5 |
| |Poisson Process | | | | |
| |非齐次泊松过程 |2 |1 | |3 |
| |Nonhomogeneous Poisson Process | | | | |
| |复合泊松过程 |2 | | |2 |
| |Compound Poisson Process | | | | |
| |排队论基础 |3 |1 | |4 |
| |Elementary Queuing Theory | | | | |
| |泊松到达平均 |1 | | |1 |
| |Poisson Arrival See Time Average | | | | |
| |数列的生成函数 |1 | | |1 |
| |The generating function of a Sequence | | | | |
| |更新过程 |8 |1 | |9 |
| |Renewal Process | | | | |
| |剩余寿命，当前寿命和总观测寿命 |6 |1 | |7 |
| |Excess Life, Current Life and Total Life | | | | |
| |离散马尔科夫链 |6 |1 | |7 |
| |Discrete-time Markov Chains | | | | |
| |连续马尔科夫链 |4 |2 | |6 |
| |Continuous-time Markov Chains | | | | |
|合计 | |40 |8 | |48 |
四、教学内容
1. 绪论
1. 什么是随机过程
2. 第一个例子：股票价格
3. 连续和离散随机变量
4. 分布函数和密度函数
5. 期望和方差
6. 联合分布和独立
教学重点、难点：随机过程概念
课程的考核要求：无
Chapter 1 Introduction
Section 1 What is a stochastic process?
Section 2 First example: the dynamic of stock price
Section 3 Discrete and continuous random variable
Section 4 Probability and cumulative density functions
Section 5 Expectation and variance of random variables
Section 6 Joint distribution and independence
Key and Difficult Points: the conception of a stochastic process
Evaluation Requirements: no
第二章 概率论回顾
第一节 重要的离散分布
1. 伯努利分布
2. 二项分布
3. 泊松分布
4. 几何分布
5. 负二项分布
第二节 重要的连续分布
2.1 均匀分布
2.2 正态分布
2.3 对数正态分布
第三节 矩和矩生成函数
第四节 马尔科夫不等式
第五节 大数定律
第六节 中心极限定理
第七节 随机变量的转换
7.1 分布函数法
7.2 密度函数法
7.3 多元随机变量的转换
7.4 示例：对数正态分布的密度函数
第八节 贝叶斯公式
第九节 条件期望，条件矩，条件方差
第十节 拉普拉斯变换
第十一节卷积
教学重点、难点：条件期望和随机变量的转换
课程的考核要求：掌握现代概率论基础中的基本概念和定理
Chapter 2 Review of probability theory
Section 1 Important discrete distributions
1.1 Bernoulli distribution
1.2 Binominal distribution
1.3 Poisson distribution
1.4 Geometric distribution
1.5 Negative binominal distribution
Section 2 Important continuous distributions
2.1 Uniform distribution
2.2 Normal distribution
2.3 Log-normal distribution
Section 3 Moment and moment generating function
Section 4 Markov inequality
Section 5 Law of large numbers
Section 6 Central Limiting Theorem
Section 7 Transformation of random variables
7.1 CDF method
7.2 PDF method
7.3 Transformation of multi-dimensional random variables
7.4 Examples: the PDF of log-normal distribution
Section 8 The Bayesian formula
Section 9 Conditional expectation, conditional moments and conditional variance
Section 10 Laplace transforms
Section 11 Convolution
Key and Difficult Points: conditional expectation and transformation of random variables
Evaluation Requirements: understand fundamentals of modern probability theory, including notations and theorems
第三章 泊松过程
第一节 泊松过程的定义
1. 独立增量
2. 泊松过程在给定时间点呈现泊松分布
3. 示例：电话服务中心
第二节 泊松过程的基本假设
2.1 计数过程
2.2 连续时间域上的离散过程
2.3 平稳独立增量
2.4 多个到达的概率为高阶无穷小
第三节 泊松过程的分布公式
第四节 到达时间和间隔到达时间
第五节 泊松过程，到达时间和间隔到达时间之间的等价关系
第六节 生成泊松到达时间
第七节 示例：有线电视公司
教学重点、难点：泊松过程的基本性质以及泊松过程和到达时间及间隔到达时间的等价
课程的考核要求：了解泊松过程的定义和基本性质
Chapter 3 Poisson Process
Section 1 Definition of Poisson process
1. Independent increment
2. Poisson process at a given time is a Poisson distribution
3. An example of a phone call center
Section 2 General assumptions of Poisson process
2.1 Counting process
2.2 Discrete valued on a continuous time domain
2.3 Stationary and independent increment
2.4 Higher order infinitesimal for multiple arrivals
Section 3 The distribution formula of the Poisson process
Section 4 Arrival time and interarrival time
Section 5 Equivalence between the Poisson process, the arrival times and the interarrival times
Section 6 Generating Poisson arrival times
Section 7 An example of cable company
Key and Difficult Points: fundamental properties of Poisson process and the equivalence between it and its arrival times and interarrival times
Evaluation Requirements: understand the definition of Poisson process and its basic properties
第四章 非齐次泊松过程
第一节 定义
1. 变化的到达率
2. 独立增量
3. 多个到达概率为高阶无穷小
第二节 非齐次泊松过程的间隔到达时间和到达时间以及非齐次泊松过程的分布
2.1 非齐次泊松过程和间隔到达时间和到达时间的等价
2.2 首次到达时间的分布
2.3 后续间隔到达时间的条件分布
2.4 在给定时间内出现n次到达的概率
2.5 非齐次泊松过程分布的推导
第三节 非齐次泊松过程是特殊的齐次泊松过程
第四节 各种非齐次泊松过程之间的转换
第五节 非齐次泊松过程和齐次泊松过程之间的转换
第六节 示例：出租车服务
第七节 非齐次泊松过程的应用
教学重点、难点：非齐次泊松过程和齐次泊松过程的联系和区别
课程的考核要求：掌握非齐次泊松过程的性质和分布
Chapter 4 Nonhomogeneous Poisson process
Section 1 Definition
4. Time-varying arrival rate
5. Independent increment
6. Higher order infinitesimal for multiple arrivals
Section 2 Interarrival times and arrival times of nonhomogeneous Poisson process and distribution of nonhomogeneous Poisson process
2.1 Equivalence between nonhomogeneous Poisson process and its interarrival times and arrival times
2.2 Distribution of the first interarrival time
2.3 Conditional distribution of consequential interarrival times
2.4 The probability of a specific arrival case with n arrivals on a given time interval
2.5 Getting the distribution of nonhomogeneous Poisson process
Section 3 Nonhomogeneous Poisson process as a special case of Poisson process
Section 4 Transformation between different nonhomogeneous Poisson processes
Section 5 From nonhomogeneous to homogeneous Poisson process
Section 6 Example: Car service on Galveston Beach
Section 7 Applications of nonhomogeneous Poisson process
Key and Difficult Points: the resemblance and distinction between nonhomogeneous and homogeneous Poisson processes
Evaluation Requirements: understand definition, property and distribution of nonhomogeneous Poisson process
第五章 复合泊松过程
第一节 定义
第二节 复合泊松过程的性质
2.1 复合泊松过程的独立平稳增量
2.2 复合泊松过程的方差大于期望
2.3 复合泊松过程的期望分解
第三节 复合泊松过程的推广
第四节 “口吃”过程及其应用
第五节 对数泊松过程
教学重点、难点：复合泊松过程和构成它的泊松过程的联系
课程的考核要求：掌握复合泊松过程的构造以及它的几个特殊性质
Chapter 5 Compound Poisson process
Section 1 Definition
Section 2 Properties
2.1 Independence and increment-stationarity of compound Poisson process from the underlying Poisson process
2.2 Variance is always greater than expectation
2.3 Decomposition of expectation
Section 3 Generalization of compound Poisson process
Section 4 The stuttering Poisson process and its application
Section 5 The logarithmic Poisson process
Key and Difficult Points: the property of compound Poisson process comes from its underlying Poisson process
Evaluation Requirements: understand the definition and several special property of compound Poisson process
第六章 排队论基础
第一节 排队论是现实世界中队列的抽象
第二节 随机队列的构造
2.1顾客的到达过程
2.2 服务器和服务时间的分布
2.3 等待空间
第三节 无限个服务器的队列
第四节 有限个服务器的队列
4.1 等待服务和队列的形成
4.2 服务时间的指数分布和多个服务器的并行服务速率
第五节 状态概率向量
第六节 队列系统的微分差分方程
6.1 状态之间的转换
6.2 当存在空闲服务器时
6.3当不存在空闲服务器时
6.4转移向量和转移矩阵
第七节 有限等待空间
第八节 “口吃”泊松队列
第九节 两个随机队列的级联
教学重点、难点：随即队列的状态空间和转移矩阵
课程的考核要求：了解随机队列和现实队列的联系以及随机队列的数学描述。
Chapter 6 Elementary queuing theory
Section 1 Queuing theory as a generalization from the actual queue and waiting practice in the real world
Section 2 Structure of a stochastic queue
2.1 The arrival process of customers
2.2 The servers and its associated service time distribution
2.3 The waiting space
Section 3 The queue with infinite number of servers
Section 4 The queue with finite number of servers
4.1 Waiting for service and formation of the queue
4.2 Exponential distribution assumption of service time and service rate of multiple servers
Section 5 State probability vector of the queue
Section 6 The differential-difference equations of the queue system
6.1 Transition between states
6.2 The cases of not all servers are occupied
6.3 When there are more customers than servers
6.4 The transition vectors
6.5 The transition matrix
Section 7 Limited waiting space
Section 8 The stuttering Poisson process
Section 9 Two queue systems in tandem
Key and Difficult Points: The state space and the transition matrix of stochastic queue
Evaluation Requirements: understand relationship between stochastic queue and real world queue, and the mathematical description of the stochastic queue
第七章 泊松到达时间平均(PASTA)
第一节 随即队列系统的渐进分布和稳态
第二节 随机队列的时间平均和顾客平均
第三节 缺乏预期假设和到达定理
第四节 指数服务时间队列的稳态分布
教学重点、难点：渐进时间平均和顾客平均等效的条件
课程的考核要求：了解泊松到达时间的概念和它的重要性，掌握指数服务时间队列达到稳态的条件和稳态下的状态分布公式
Chapter 7 Poisson Arrival See Time Average (PASTA)
Section 1 The long-time distribution of the queue system and the steady state
Section 2 The time average and the customer average of the queue system
Section 3 Lack of Anticipation Assumption (LAA) and the arrival theorem
Section 4 Steady state vector of the queue system with exponential service time
Key and Difficult Points: understand when time average will be equal to customer average
Evaluation Requirements: understand PASTA and its importance, and the condition for an exponential queue to reach steady state and its state probability distribution under the steady state
第八章 数列的生成函数
第一节 数列和它的生成函数
第二节 数列生成函数的性质
第三节 常见数列的生成函数
第四节 离散随机变量的生成函数
教学重点、难点：生成函数之间的关系取决于数列之间的关系
课程的考核要求：了解数列的生成函数的概念和基本性质，会求解简单数列的生成函数和离散随机变量的生成函数
Chapter 8 The generating function of a sequence
Section 1 The correspondence between a sequence and a composite power series
Section 2 Properties of the generating function of a sequence
Section 3 Generating functions of common sequences
Section 4 Probability generating function of a discrete random variable
Key and Difficult Points: the relationship of generating functions depends on the relationship between the original sequences
Evaluation Requirements: understand the definition and basic property of generating function of sequence, solve for generating functions of simple sequences and discrete random variables.
第九章 更新过程
1. 更新过程是泊松过程的推广
2. 更新过程和它的到达时间和间隔到达时间之间的等价关系
3. 更新过程的分布
4. 更新函数和更新密度
5. 更新密度的终值
6. 更新方程和更新方程的解
7. 根本更新定理
8. 停时及其应用，Wald定理
教学重点、难点：掌握得到更新方程首次到达时间期望法
课程的考核要求：了解更新方程的概念，了解更新函数，更新密度，更新方程和它的解，了解停时的概念和性质
Chapter 9 The renewal process
Section 1 Renewal process as a generalization of Poisson process
Section 2 Equivalence between renewal process and its arrival and interarrival times
Section 3 Distribution of the renewal process
Section 4 The renewal function and renewal density
Section 5 The final value of the renewal density
Section 6 The renewal-type equations and the renewal-type solution
Section 7 The key renewal theorem
Section 8 Stopping times and its applications, Wald’s theorem
Key and Difficult Points: Conditioning on first arrival time to obtain the renewal-type equation
Evaluation Requirements: understand the definition of renewal process, the renewal function and renewal density, know how the renewal-type equation is formed and how it is solved, understand stopping times and its properties and applications.
第十章 剩余寿命，当前寿命与总观测寿命
1. 更新过程的生灭性质和当前对象
2. 总观测寿命和间隔到达时间的区别
3. 剩余寿命分布的更新方程及其解
4. 剩余寿命密度和它的终值
5. 当前寿命与剩余寿命的等价关系和当前寿命的分布
6. 总观测寿命的分布
7. 间隔到达时间为均匀分布的更新过程
8. 生灭过程
9. 离散更新过程
教学重点、难点：对三种寿命的理解，总观测寿命和间隔到达时间的区别，寿命之间的等价关系
课程的考核要求：了解三种寿命的定义和它们之间的联系，了解总观测寿命和间隔到达时间的区别，能写出三种寿命的更新方程，能解释三种寿命及其密度分布的终值定理的意义
Chapter 10 Excess Life, Current Life and Total Life
Section 1 The renewal process as a birth and death process and the current occupant at a given time
Section 2 Difference between the total life and the interarrival time
Section 3 Renewal-type equation for the distribution of excess life and its solution
Section 4 Excess life density and its final value
Section 5 The equivalence between the current life and the excess life and the distribution of the current life
Section 6 The distribution of the total life
Section 7 A renewal process with uniform interarrival times
Section 8 Regenerative process
Section 9 Discrete renewal process
Key and Difficult Points: the definition and behavior of three lives, the distinction between total life and interarrival time
Evaluation Requirements: understand the definition and relationship between excess life, current life and total life, understand the difference between total life and interarrival time, be able to write down the renewal-type equation of three lives, be able to explain the intuition behind the distribution of three lives, their densities, and the final value and key renewal theorem of them
第十一章 离散马尔科夫链
1. 随机过程的马尔科夫性质
2. 马尔科夫链的状态和状态空间
3. 遍历性和周期马尔科夫链
4. 吸收马尔科夫链
5. 可逆马尔科夫链
教学重点、难点：马尔科夫链的无后效性，马尔科夫链的分类
课程的考核要求：掌握马尔科夫链的根本性质，了解马尔科夫链的状态空间，会对马尔科夫链进行分类
Chapter 11 Discrete-Time Markov Chains
Section 1 Markov property
Section 2 States of the Markov Chain
Section 2 Classification of states
Section 3 Ergodic and periodic Markov Chains
Section 4 Absorbing Markov Chains
Section 5 Reversible Discrete Markov Chains
Key and Difficult Points: the memoryless property of the Markov chains, the classification of Markov chains
Evaluation Requirements: understand the Markov property, understand state space of Markov chains, can classify Markov chains
第十二章 连续马尔科夫链
1. 连续马尔科夫链的定义
2. 柯尔莫格洛夫微分方程
3. 极限概率
4. 连续吸收马尔科夫链
5. 相位分布
6. 归一化
7. 连续马尔科夫奖励过程
8. 可逆连续马尔科夫链
教学重点、难点：柯尔莫格洛夫微分方程和相位分布
课程的考核要求：大致了解连续马尔科夫链的定义和性质
Chapter 12 Continuous-Time Markov Chains
Section 1 Definition
Section 2 The Kolmogorov Differential Equation
Section 3 The limiting probabilities
Section 4 Absorbing continuous-time Markov Chains
Section 5 Phase-Type distributions
Section 6 Uniformization
Section 7 Continuous-Time Markov reward processes
Section 8 Reversible continuous-time Markov Chains
Key and Difficult Points: The Kolmogorov Differential Equation and phase-type equations
Evaluation Requirements: roughly understand the definition of continuous-time Markov chains and its properties
五、其它
授课老师应根据学生的能力适当调节课程进度和内容
Instructor should adjust the course schedule and content according to the capability of students.
六、主要参考书
[1] Edward P.C. Kao "An Introduction to Stochastic Processes", China Machine Press (ISBN: 7-111-12414-6/O⋅327).
[2] Amir Dembo (revised by Kevin Ross), "Stochastic Processes" (Lecture Notes), Department of Statistics, Stanford University.
执笔人：侯杰 教研室主任： 系教学主任审核签名：
《实变与泛函初步》教学大纲
“Introduction to Real Analysis and Functional Analysis” Course Outline
课程编号：152243A
课程类型：专业选修课
总 学 时：48 讲课学时：48 实验（上机）学时：0
学 分：3
适用对象：经济学、金融学、统计学等
先修课程：数学分析I、数学分析II、高等代数
Course Code: 152243A
Course Type: Major Elective Course
Periods: 48 Lecture: 48 Experiment (Computer): 0
Applicable Subjects: Economics, Finance, Statistics etc.
Preparatory Courses: Mathematical Analysis (I), Mathematical Analysis (II), Advanced Algebra
一、课程的教学目标
这是一门向经济学和金融学等相关专业的高年级本科生介绍现代分析数学基础理论与应用的专业选修课程。实分析与泛函分析是现代数学的重要基础，直接涉及到本专业所涉及的许多相关知识，例如概率论、数理统计、测度论、数值方法等。本课程的知识为经济学和金融学的量化分析提供严谨的数学理论支持。通过对本课程的学习，学生将会对基础拓扑和勒贝格理论有较好的理解，并对几种基本的抽象空间有一个初步的认识。学完此课程，学生应能养成一定的抽象思维和数学推理的能力，为今后学习专业知识和阅读研究文献打下较好的数学基础。
This is a major elective course which introduces fundamental theory and applications of modern analysis to senior undergraduate students in economics and finance related majors. As important foundations of modern mathematics, real analysis and functional analysis directly relate to many knowledge involved in this profession, such as probability theory, mathematical statistics, measure theory, numerical methods etc. The knowledge in this course provides quantitative analysis of economics and finance with rigorous mathematical supports. Through this course, students will have improved comprehension on basic topology and Lebesgue theory, and have preliminary knowledge on some basic abstract spaces. After completing this course, students should be equipped with some ability of abstract thinking and mathematical reasoning which helps them prepare for learning professional knowledge and reading research literature in future.
二、教学基本要求
本课程的主要教学内容包括基础拓扑学、勒贝格理论、Lp空间以及一些抽象空间理论。其中，基础拓扑中的集合运算、勒贝格测度、勒贝格可测函数及其积分是本课程的重点和难点，需要精讲。在教学方法上可以引导学生将本课程的内容与之前学习的数学分析中的黎曼积分理论进行对比，加深对勒贝格积分理论的理解。另外，本课程所涉及的Lp空间、距离空间、拓扑空间、巴拿赫空间、希尔伯特空间以及泛函理论，对学生的抽象思维能力要求较高，应针对学生学习情况的反馈及时调整讲授难度和范围。
由于难度相对较大，本课程建议学生在课前能够预习相关的课程内容。原则上，每次课后，教师应留有课后作业，并在讲授完一章内容后，组织习题课，检查并讲解课后作业。本课程的考核方式及其所占课程总评成绩的比例分别为：课堂出勤（10%）、课后作业（30%）、闭卷期中考试（20%）、闭卷期末考试（40%）。
The main content of this course includes basic topology, Lebesgue theory, Lp space and some abstract spaces theory. Among them, the set operations in basic topology, Lebesgue measure, Lebesgue measurable function and its integration are the key and difficult points in this course, and demand elaboration in the class. Pedagogically, instructor can induce students to compare the new integration concepts with Riemann integration studied in mathematical analysis, which can help student deepen the understanding of Lebesgue integration theory. In addition, the Lp space, distance space, topological space, Banach space, Hilbert space, and functional theory involved in this course require students to have relatively strong ability of abstracting thinking, and instructor should adjust the lecture progress and content according the students’ feedback on their study.
Because of relatively high difficulty level, it is recommended that students preview the lecture content before class. In principle, after each class, instructor should prescribe some homework for students, organizes an exercise class after finishing each chapter by checking homework and tutoring students. There are four evaluation methods for this course, and their proportions on final grade are: class attendance (10%), homework (30%), closed-book midterm exam (20%), and closed-book final exam (40%).
三、各教学环节学时分配
教学课时分配
|序号 |章节内容 |讲课 |讨论 |合计 |
|1 |第一章 基础拓扑学 |3 | |3 |
| |第一节 集合与集合的运算 | | | |
| |第二节 映射可列集与基数 | | | |
| |第三节 集类 | | | |
| |第四节 欧式空间中的点集 | | | |
| |Chapter 1 Basic Topology | | | |
| |Section 1 Set and set operations | | | |
| |Section 2 Mapping countable sets and cardinality | | | |
| |Section 3 Class | | | |
| |Section 4 Point sets in Euclid space | | | |
|2 |第二章 勒贝格理论（I） |8 | |8 |
| |第一节 勒贝格测度 | | | |
| |第二节 可测函数 | | | |
| |Chapter 2 Lebesgue Theory (I) | | | |
| |Section 1 Lebesgue measure | | | |
| |Section 2 Measurable function | | | |
|3 |第三章 勒贝格理论（II） |16 | |16 |
| |第一节 勒贝格积分 | | | |
| |第二节 微分与不定积分 | | | |
| |第三节 Lp空间 | | | |
| |Chapter 3 Lebesgue Theory (II) | | | |
| |Section 1 Lebesgue Integral | | | |
| |Section 2 Differentiation and indefinite integral | | | |
| |Section 3 Lp space | | | |
| |期中复习 | |3 |3 |
| |Midterm review | | | |
|4 |第四章 空间理论简介 |15 | |15 |
| |第一节 距离空间 | | | |
| |第二节 赋范空间 | | | |
| |第三节 有界线性算子 | | | |
| |第四节 希尔伯特空间 | | | |
| |Chapter 4 Introduction to Spaces Theory | | | |
| |Section 1 Distance space | | | |
| |Section 2 Normed space | | | |
| |Section 3 Bounded linear operator | | | |
| |Section 4 Hilbert space | | | |
| |期末复习 | |3 |3 |
| |Final review | | | |
|合计 | |42 |6 |48 |
四、教学内容
第一章 基础拓扑学
第一节 集合与集合的运算
第二节 映射可列集与基数
第三节 集类
第四节 欧式空间中的点集
教学重点、难点：各种集合的性质及其运算法则
课程的考核要求：理解各种集合的性质、熟练运用集合的运算法则
复习思考题：
1. 例题及课后作业
Chapter 1 Basic Topology
Section 1 Set and set operations
Section 2 Mapping countable set and cardinality
Section 3 Class
Section 4 Point sets in Euclid space
Key and Difficult Points: Properties of different kinds of sets and their rules of operations
Evaluation Requirements: Understand properties of different kinds of sets, and proficiently master the set operation rules
Questions for review:
1. Examples and homework
第二章 勒贝格理论（I）
第一节 勒贝格测度
1. 外测度
2. 可测集与测度
3. 测度空间
第二节 可测函数
1. 可测函数的性质
2. 可测函数的收敛
3. 可测函数与连续函数的关系
4. 测度空间上的可测函数
教学重点、难点：勒贝格测度的引出、可测函数及其收敛的性质
课程的考核要求：理解勒贝格测度和测度空间的定义、掌握可测函数及其收敛的性质
复习思考题：
1. 例题及课后作业
Chapter 2 Lebesgue Theory (I)
Section 1 Lebesgue measure
1. Outer measure
2. Measurable set and measure
3. Measure space
Section 2 Measurable function
1. Properties of measurable function
2. Convergence of measurable function
3. The relationship between measurable function and continuous function
4. Measurable function on measure space
Key and Difficult Points: The introduction of Lebesgue measure, measurable function and its properties of convergence
Evaluation Requirements: Understand Lebesgue measure and the definition of measure space, master the properties of measurable function and its convergence
Questions for review:
1. Examples and homework
第三章 勒贝格理论（II）
第一节 勒贝格积分
1. 积分的定义
2. 积分的初等性质
3. 积分的极限定理
4. 可积函数的逼近性质
5. Fubini定理
6. 测度空间上的积分
第二节 微分与不定积分
1. 单调函数的可微性
2. 有界变差函数
3. 绝对连续函数与不定积分
第三节 Lp空间
1. Lp空间的定义与性质
2．L2空间
3. Lp空间上的连续线性泛函
教学重点、难点：勒贝格积分的极限定理、Fubini定理的推导及其应用
课程的考核要求：理解勒贝格积分与黎曼积分的关系、掌握Lp空间及其连续线性泛函的性质
复习思考题：
1. 例题及课后作业
Chapter 3 Lebesgue Theory (II)
Section 1 Lebesgue integral
1. Definition of integral
2. Primary properties of integral
3. Limiting theorems of integral
4. Approximation properties of integrable function
5. Fubini Theorem
6. Integral on measure space
Section 2 Differentiation and indefinite integral
1. Differentiability of monotonic function
2. Bounded variation function
3. Absolute continuous function and indefinite integral
Section 3 Lp space
1. Definition of Lp space and its properties
2. L2 space
3. Continuous linear functionals on Lp space
Key and Difficult Points: Limiting theorems on Lebesgue integral, Fubini Theorem and its applications
Evaluation Requirements: Understand the relationship between Lebesgue integration and Riemann integration, master the properties of Lp space and continuous linear functionals
Questions for review:
1. Examples and homework
第四章 空间理论简介
第一节 距离空间
1. 距离空间的基本概念
第二节 赋范空间
1. 赋范空间的基本概念
2. Lp空间回顾
3. 点集、连续映射与可分性
4. 完备性
5. 紧性
第三节 有界线性算子
1. 有界线性算子的基本概念
2. 共鸣定理及其应用
3. 逆算子定理与闭图像定理（选讲）
4. Hahn—Banach定理（选讲）
第四节 希尔伯特空间
1. 内积空间的基本概念
2. 正交投影
3. 正交系
4. Riesz表示定理
教学重点、难点：几种空间的性质和相关定理及其相互之间的联系
课程的考核要求：了解距离空间、赋范空间、希尔伯特空间的定义并掌握这些空间所具有的各种性质及相关定理
复习思考题：
1. 例题及课后作业
Chapter 4 Introduction to Spaces Theory
Section 1 Distance space
1. Basic concepts of distance space
Section 2 Normed space
1. Basic concepts of normed space
2. Review on Lp space
3. Point sets, continuous mapping, and separability
4. Completeness
5. Compactness
Section 3 Bounded linear operator
1. Basic concepts of bounded linear operator
2. Resonance theorem and its applications
3. Inverse operator theorem and closed graph theorem (optional)
4. Hahn-Banach Theorem (optional)
Section 4 Hilbert space
1. Basic concepts of inner product space
2. Orthogonal projection
3. Orthonormal basis
4. Riesz Representation Theorem
Key and Difficult Points: Properties of different kinds of spaces and their theorems, and their interrelationship
Evaluation Requirements: Understand the definitions of distance space, normed space, Hilbert space, and master their properties and related theorems
Questions for review:
1. Examples and homework
五、其它
期中复习和期末复习的六个学时作为教学机动时间，可用来弹性调节教学进度和安排习题讨论讲解的专题课。
Midterm and final reviews, occupying six periods, are open periods, and they can be flexibly used to adjust lecture progress and arrange homework discussion and tutoring class.
六、主要参考书
[1] 侯友良. 实变函数论. 武汉大学出版社. 2008
[2] 侯友良. 泛函分析. 武汉大学出版社. 2011
[3] 郭懋正. 实变函数与泛函分析. 北京大学出版社. 2005
[4] Rudin, W. Principles of Mathematical Analysis, 3rd edition. McGraw-Hill. 1976
[5] Royden, H.L. and P.M. Fitzpatrick. Real Analysis, 4th edition, Pearson. 2010
执笔人：林蔚 教研室主任： 系教学主任审核签名：
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