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博士研究生培养方案(2010年11月修订)

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载自: 被阅览数:20013次 发布时间:2008/4/4 9:23:37

学术通知

院长寄语

WISE动态

Welcome to the Wang Yanan Institute for Studies in Economics (WISE). I hope you will find your time as a

学生培养

PhD student with us both a happy and rewarding period of your life.

学子风采
招聘信息

视频新闻
资料下载

As a PhD student you will have a Supervisory Team to oversee your research, one or more members of which

厦大视点

will act as your main supervisor(s). This is the group which will monitor your progress on a regular basis and
make recommendations to WISE regarding such matters as your progression from one year to the next. Each
year you will be asked to write a short statement on the progress you feel you have made in the previous 12
months, outline the research training your have undertaken, and discuss with your Supervisory Team the
training which you will undertake in the coming year, as well as the future direction of your research.

搜索

I do hope you will find your time here an intellectually rewarding and challenging experience.

(一)培养目标

培养具有扎实的经济学理论基础、合理的知识结构及广阔知识面的综合型高级经济学人才。通过专业基础课程
和前沿课程的学习,使学生能够通畅地阅读和理解发表于国际顶尖期刊上前沿论文;能够全面、系统地掌握经
济学基本理论与方法,能够探索国际经济理论发展的前沿动态和中国经济发展的发展趋势。学院要求学生能掌
握并熟练运用现代经济学研究常用的分析方法和工具,并能够将其应用于经济研究。

(二)培养要求
学习年限

4-5年,修满学分、完成学位论文且满足学院相关要求者可申请提前毕业

学分要求
总学分

其中
公共学位课

4学分

专业学位课

24学分

专业选修课

12学分

52学分

12学分

学术前沿讲座

【1】 专业学位课程包括高级宏观经济学(I)、高级微观经济学(I)、高级计量经济学(I))、经济数学、高
级宏观经济学(II)、高级微观经济学(II)、高级计量经济学(II)和金融学原理。

【2】 专业选修课涵盖7个不同的研究方向,即宏观经济学理论与应用、微观经济学理论与应用、劳动经济学、
宏观计量经济学、微观计量经济学、公司金融和数量金融。

【3】 专业学位课和专业选修课的最终成绩采取百分制。
课程安排
【1】 所有博士生在第一学年应修完8门专业学位课程,即高级宏观经济学(I)、高级微观经济学(I)、高级
计量经济学(I)、经济数学、高级宏观经济学(II)、高级微观经济学(II)、高级计量经济学(II)和金融学
原理。所有课程必须获得70或70以上的成绩。条件合格的学生可以向WISE学位评定分委员会提出部分专业学
位课程的免修申请,经学位评定分委员会讨论后视具体情况批复。原则上,获得免修资格的学生必须参加免修
课程的期中和期末考试,经考试合格后方能取得相应学分。

【2】 从第二学年起,所有博士生需要选择两个研究方向(主修专业和辅修专业),并且在每个研究方向至少
选修二门课程。以下是不同研究方向所包含的课程:
a:宏观经济学(宏观经济学专题I、宏观经济学专题II)
b:微观经济学(产业组织理论、实验经济学)
c:劳动经济学(应用微观经济学I、应用微观经济学II)
d:宏观计量经济学(金融计量经济学、时间序列分析、非参数计量经济学)
e:微观计量经济学(微观计量经济学、面板数据计量经济学、非参数计量经济学)
f:公司金融(金融学原理、公司金融)
g:数量金融(金融计量经济学、资产定价理论与应用)

【3】 所有博士生在秋季学期和春季学期必须参加至少10次由WISE主办的各类学术讲座,并在每学期末递交一
份不少于2000字的读书报告。

【4】 一年级博士生在第一学年夏季学期必须至少选修两门课程,其余博士生必需在夏季学期注册由WISE主办
的博士研究生论文研讨班,轮流报告学年论文或博士论文初稿。

导师组的建立
每个博士研究生的导师组必需至少由三位成员组成,其中可以选择由一位导师做主导师或两位导师做联合主导
师。导师组成员必需是WISE全职或兼职教授,其中至少主导师或联合导师中的一位导师具有博士生导师的资
格。导师组负责学生的学年论文与毕业论文的学术指导,并指导学生按照学院的博士生培养方案进行选课。所
有博士生最晚在第二学年春季学期结束前必须确定导师组的主要成员。

学年论文的要求
【1】 所有博士生必须在第二学年夏季学期开始前提交第二学年论文(second-year paper),并且在夏季学期
开设的博士研究生研讨班上报告, 报告及答辩时间不少于45分钟。 导师组根据论文质量和现场答辩情况做出相
应决定(通过、修改后通过和不通过),并报WISE学位评定分委员会批准。不通过者必须在至少3个月以后才
能安排重新答辩。未能在第二学年夏季学期结束前通过第二学年论文的学生原则上不得参加奖学金评定,也不
得承担助教工作。
【2】 所有博士生必须在第三学年夏季学期开始前提交第三学年论文(third-year paper),并且在夏季学期开
设的博士研究生研讨班上报告, 报告及答辩时间不少于60分钟。 导师组根据论文质量和现场答辩情况做出相应
决定(通过、修改后通过和不通过),并报WISE学位评定分委员会批准。第三学年论文应该达到能在国内权威
学术期刊或SSCI经济学金融学学术期刊上发表的要求。不通过者必须在至少3个月以后才能安排重新答辩。未
能在第二学年夏季学期结束前通过第三学年论文的学生原则上不得参加奖学金评定,也不得承担助教工作。
【3】 所有博士生必须在第三学年春季学期结束前提交博士毕业论文开题报告。开题报告需经导师组所有成员
一致签名同意。开题报告的内容包括厦门大学开题报告表(一式两份)、必要的文献综述、论文思路和技术路
线、预计的结果和可能的贡献、以及可行性分析。

发表论文的基本要求
WISE博士研究生申请博士学位必须满足发表学术论文相关要求,WISE博士生可以有两个选择。第一种选择:
博士研究生自入学起,在获得博士学位之前,必须以第一作者(导师为第一作者,研究生为第二作者的视同第
一作者)和“厦门大学”为第一署名单位至少在国内核心刊物(不含增刊、专刊、专辑)发表两篇与其学位论文相
关的专业学术论文(字数不少于5000字)。发表在一类核心期刊上的一篇论文可以算作两篇核心论文,其中被
SCI、EI、SSCI收录的文章有录用函即可。第二种选择:对于从事国际前沿课题研究的博士生,根据国际经济
学或金融学学术期刊论文发表周期较长(通常需要三年左右)的实际情况,在执行申请学位发表论文的规定
上,具体办法如下: 由从事国际前沿课题研究的博士研究生向其导师组和WISE学位评定分委员会提出申请,经
博士研究生导师组成员全体同意和WISE学位评定分委员会投票批准(根据简单多数原则),可由WISE组织国
际专家组对博士研究生学术论文进行评阅,国际专家组认可通过后,并且其论文通过国际期刊(SCI或SSCI)一审
(Revision invited or requested from the editors),可免其在国际国内期刊上发表论文的要求。

毕业论文与毕业论文答辩
WISE要求博士研究生熟悉某一相关领域的学术发展状态,对所研究的课题有创新的见解,掌握所研究课题的研
究方法和技能;具有独立从事实证和理论研究的能力。并且能够按照国际学术界的规范要求撰写学术论文。申
请博士学位的学位论文能够反映作者掌握系统深入的专业知识,在科研方面有创造性的成果。博士学位论文应
在导师指导下独立完成,一般不少于五万字。论文必须用中文撰写,凡用非中文撰写的论文,必须同时提交中
文译文。论文格式应遵照“厦门大学研究生学位论文格式规范”的相关要求。
博士研究生必须完成WISE培养方案规定的教学要求,即课程考核合格(公共学位课和专业学位课70分以上为合
格,选修课60分以上为合格),取得培养方案规定的学分,完成关于学术讲座、学年论文和论文盲审等相关要
求后,才能申请博士生论文答辩。WISE原则上在每年的春季、秋季各组织一次博士生论文答辩,对于未能通过
论文答辩的学生,WISE原则上不单独安排重新答辩。通过论文答辩的博士研究生,可以申请毕业,并取得毕业
证书。但未达到以上申请学位相关的发表学术论文要求者暂不授予学位。博士研究生在通过答辩后的三年内达
到申请学位发表学术论文标准的,可向研究生院学位与学科建设办提出授予博士学位的申请。

(三)专业介绍
西方经济学

研究方向

主要研究内容、特色与意义

研究生导师

主要研究内容:

货币理论,货币政策,增长理论,中国宏观经
济。

特色与意义:

①宏观经济学

运用微观基础方法论构造宏观经济模型,利用
国际先进的理论方法研究宏观问题。有助于对
宏观问题的理解,有助于学生对宏观前沿问题
的把握和研究。

Brett Graham
陈智琦*
郭 晔
Jason Shachat
赖小琼*
方 颖
博弈论及其应用、产业组织理论、国际贸易理 欧振中
袁宇菲
论以及城市经济学。
郑挺国
这门课是训练经济学研究人才的基础课。通过 邹至庄*
对各个基础理论的教学培养学生扎实的经济学
直觉,训练学生用数学工具表述、论证经济学
问题的能力,为学生今后工作、研究等准备一 *号注明博导
系列常用工具。

主要研究内容:
特色与意义:
②微观经济学

金融学

研究方向

主要研究内容、特色与意义

研究生导师

主要研究内容:

资本结构、股利政策、首次公开募股、兼
并收购和风险管理。

研究中国转型期公司理财的特殊问题,有
助于中国市场化改革的进展和新理论的出
现。

蔡宗武*
蔡立耑
陈国进*
陈灯塔
陈 蓉
洪永淼
林 海
林 明
牛霖琳
潘 越
任宇
王起
吴俊吉
郑鸣*

特色与意义

①公司理财

②金融计量经济学

主要研究内容:
金融学与计量经济学的结合。
特色与意义:

③投资学

主要研究内容:
资本市场、资产组合选择和资产定价
特色与意义:研究中国转型期资本市场的

用计量经济学研究金融问题,在国内还是
一个较新的领域,有助于金融学的国际接
轨。

*号注明博导

特殊问题,有助于中国市场化改革的进展
和新理论的出现。

数量经济学

研究方向

主要研究内容、特色与意义

①计量经济学

主要研究内容:
计量经济理论与应用计量经济学
特色与意义:

②数理经济学

主要研究内容:
现代经济学的数理分析方法
特色与意义:

研究生导师
蔡宗武*
方 颖
管中闵*
洪永淼*
林光平*
林明
任宇
Jason Shachat
萧 政*
郑挺国

强调计量经济学前沿理论的研究与应用,
在金融计量经济学、非参数时间序列分析
和微观计量经济学方面的研究在国内外处
于领先地位。

在数理分析方法方面,以数理金融和博弈
论为研究特色。

*号注明博导

◆ 劳动经济学

研究方向

主要研究内容、特色与意义

①劳动力供给与需


研究生导师

主要研究内容:劳动力供给, 劳动力需

求,劳动力市场均衡,教育与人力资本,劳
动力迁徙,工作搜寻,工作匹配和员工流
转。
注重训练学生对数理模型的
掌握,使学生了解基本假设与模型结果之间
的联系,运用最先进的计量学方法(尤其是
微观计量经济学),训练学生理论论证和实
证分析的思维逻辑,培养学生独立研究的能
力。在劳动力供给和需求行为与决定因素的
研究领域,大部分已发表的研究成果涉及的
是美国以及其他发达国家的劳动力市场,现
代劳动经济学理论和实证方法在中国劳动力
市场中的应用尚处于起步阶段。因此,严谨
科学的研究中国劳动力市场不仅在学术范围
内深具意义,研究成果也可用于对经济政策
的建议,帮助我们了解中国经济发展的进步
与局限性。比如,本方向对教育的研究可以
在中国现行教育体制背景下,将现代经济增
长理论与微观教育选择模型相结合,探究如
何优化教育投资结构、改善区域教育不平衡
现状。另外,在中国经济背景下,探讨计划
生育政策和城乡分割下的劳动力迁徙如何影
响劳动力市场也颇具意义。

特色与意义:

②薪资构成与结构

主要研究内容:

蔡宗武*
补偿性工资差异,劳动力市
洪永淼*
场歧视,劳动契约,劳动力市场分割,信息
赖小琼*
不对称,风险分担与激励机制,工会, 集体
孟 磊
议价以及议价理论,工资差距,收入不平
欧振中
等, 技术进步,全球化与收入不平等, 失业。
齐 豪
沈凯玲
着重学生对竞争工资理论的局限性的理解,
萧 政*
使学生掌握数理模型对不完全信息,不确定
性,风险等因素的处理,并熟悉各类理论预
测的经验证据,带领学生了解国际有关研究
的前沿, 并能运用严谨的计量学方法,进行 *号注明博导
独立研究。在中国经济背景下,现代劳动经
济学和现代计量经济学提供的研究工具可以
用来探讨2008年劳动法对职工议价能力以
及公司的聘佣与解雇决定的影响。中国城乡
分割的历史和现状也提供了一个研究劳动力
市场歧视和隔离的土壤。此外,对中国当前
收入不平等原因的研究也是非常重要的,这
样的研究,不仅在学术范围内深具意义,研
究成果也可用于对相关经济政策提供建议。

特色与意义:

③制度与劳动力市
场政策

主要研究内容:劳动力市场政策,体制与劳
动力市场表现, 最低工资,就业保护, 失业
保险,税收,
:
通过对学生进行严谨的理论与实证方法训
练,使其熟练掌握相关数理模型,对公共政
策,体制,与劳动力市场表现之间的联系以
及各类政府对劳动力市场的干预政策进行分
析。鼓励学生挑战本研究领域中的既成观
念,培养学生独立研究的能力。随着中国对
最低工资制度,就业保障,失业保险等方面
日益明晰的立法执法进程, 这方面的研究在
阐明各种体制间的依存关系如何相互作用,
以至指向最有利于就业的条件上,尤其具有
价值。

特色与意义

统计学



研究方向

主要研究内容、特色与意义

研究生导师

主要研究内容:
时间序列分析的方法、理论与应用
特色与意义:

①时间序列分析

针对经济、金融数据的特点,引入半参数和
非参数的方法,对非平稳和非线性时间序列
分析的前沿课题进行研究。

主要研究内容:
非参数估计与检验的方法、理论与应用
特色与意义:

②非参数统计

将非参数的方法扩展到一些前沿领域,比如
非平稳数据的非参数估计和分位数的非参数
估计方法。

蔡宗武*
程立新*
方 颖
洪永淼*
林 明
林光平*
刘继春
任 宇
王海滨
萧 政*
郑挺国

主要研究内容:

③统计计算

通过随机模拟的方法有效的求解各类计算问


特色与意义:

*号注明博导

以统计理论为基础,利用计算机模拟解决传
统数值方法难以处理的高维计算问题,如高
维积分和优化问题。能够对经济、金融模型
的分析提供有效的手段。

(四)课程设置
序 课程 课 程 名 称
号 类型

1

总学
授课
学期 学分 时 语言 任课教师(职称

第一
马克思主义与当代 学年
社会思潮
秋季
学期
公共
学位
第一外国语

2

3

高级宏观经济学
( 1)

4

高级微观经济学
( 1)

5

高级计量经济学
( 1)
数理经济学

6

专业
学位
7

高级宏观经济学
( 2)

8

高级微观经济学
( 2)

9

高级计量经济学
( 2)
金融学原理

10

第一
学年
第一
学年
秋季
学期
第一
学年
秋季
学期
第一
学年
秋季
学期
第一
学年
秋季
学期
第一
学年
春季
学期
第一
学年
春季
学期
第一
学年
春季
学期
第一
学年
春季
学期

应用微观经济学I

11



经济学方法论和统 秋
计软件应用
公司金融

面板数据计量经济 秋


12
13
14

36

汉语 由研院统一开课

36

双语 由研院统一开课

60

英语 袁宇菲 (助理教授)

3

60

英语

3

60

英语 林明(副教授)

2

2

3

3

3

Jason
Shachat(

教授)

任宇(助理教
授)

60

英语

60

牛霖琳(助理教
英语
授)
Brett
Graham

3

60

英语

3

60

英语 方颖(助理教授)

60

蔡立耑(助理教
英语
授)

2

60

沈凯玲(助理教
英语
授)

2

60

英语 蔡宗武(教授)

2

60

2

60

2

60

1

20

2

60

2

60

3

60

2

60

2

60

英语 陈国进(教授)
方颖(助理教
英语
授)
王起(助理教
英语
授)
英语 萧政(教授)
英语 郑挺国(助理教授)
袁宇菲(助理教
英语
授)
英语 蔡宗武(教授)
英语
TBA
英语 George Morris

2

60

英语
英语

3

(助理教
授)

资产定价



17

微观计量经济学
金融计量经济学




18

宏观经济学专题I



非参数计量经济学
博士生研讨会
专业英语写作
现代经济学研究方

实验经济学与金融







2

60

金融工程



2

60



2

60

数理金融学



2

60

应用微观经济学II
时间序列计量经济

货币经济学
风险管理



2

60

教授)
Mark Holder(副
英语
教授)
牛霖琳(助理教
英语
授)
陈灯塔(副教
英语
授)
英语
TBA



2

60

英语 蔡宗武(教授)

2

60

2

60

15
16

19
20
21
22

23

24
25

选修 宏观经济学专题II

26

27
28

29
30

产业组织理论

31

32
33

34

35
36
37
38
39
40
41
42

博士生研讨会
SAS和MATLAB统
计软件
计量经济学高级专
题I
计量经济学高级专
题II
金融学高级专题I
金融学高级专题II
经济学高级专题I
经济学高级专题II
学术报告与学术讲

其他
培养
综合考试
环节
开题报告






TBA
Jason
Shachat(

英语
英语

TBA
TBA



2

60

英语

Brett
Graham



2

60

英语

TBA



2

60

英语

罗智超(工程
师)



2

60

英语

TBA



2

60

英语

TBA






2
2
2
2
12

英语
60
英语
60
英语
60
英语
要求详见后页。
60

(助理教
授)

TBA
TBA
TBA
TBA

要求详见后页。
要求详见后页。

(五)课程介绍
高级宏观经济学(I)
Advanced MacroeconomicsⅠ
This course provides a mix of theory and applications of macroeconomics. Topics range from the classical
economics, Keynesian economics and other neo-classical models such as overlapping generation models,
dynamic optimization, real business cycle theory, inter-temporal open economy models and the theory of
economic growth. Various theories will be illustrated using examples drawn from local and international policy
issues, as appropriate.
教材:Romer, David, Advanced Macroeconomics, various editions, English or Chinese

高级微观经济学(I)
Advanced Microeconomics



The purpose of this course is to teach the basic principles of micro theory which lie at the core of modern
argumentation of economics. Hence this is very much like learning a language. By the end of the course, you
should have exposed to most standard techniques in partial-equilibrium analysis, including fundamental
theories to analyze firm and consumer behaviors.
教材:Varian, Microeconomic Analysis, 3rd Edition.

高级计量经济学(I)
Advanced EconometricsⅠ
This course is an introduction to basic probability and statistical theory. Topics covered in the course include
random variable, conditional expectation, modes of convergence, weak law of large numbers, central limit
theorems, hypothesis testing and maximum likelihood theory. This course is designed for both M.A. and PhD
students whose research area is econometrics or applied econometrics. Calculus and linear algebra are
prerequisites.
教材:Hong, Y. (2006) Lecture Notes for Probability and Statistics

数理经济学
Mathematical Economics
Intensive study of mathematic methods and applications widely used in economics and related fields is
undertaken. This course is designed to equip students with essential tools and techniques in application to the
fundamental studies of macroeconomics, microeconomics and econometrics.
教材:Mathematical for Economics, First Edition, by Carl P. Simon and Lawrence Blume ISBN 0-393-95733-0

金融学原理
Foundations of Finance
This course is the second part of Research Methods in Finance sequence for postgraduate students. It
focuses on the foundations of the equilibrium models of asset pricing rather than the arbitrage pricing theory,
which is the other main pricing approach in finance. Topics include: a review of general equilibrium theory in
pure exchange economies and economies with productions; utility theory under uncertainty; portfolio choice
under uncertainty; mean-variance analysis; two fund separation theorem; the Sharpe-Lintner CAPM; theory of
contingent markets and martingale representation of asset prices. All discussions will be within a two-period
economy.
教材:Danthine and Donalson, (2002) Intermediate Financial Theory, Prentice Hall.

高级宏观经济学(II)



Advanced Macroeconomics

This course aims to introduce students to recent developments in macroeconomic research,
with a unified view towards the latest theoretical models and empirical techniques. In
particular, we concentrate on numerically solving and empirically estimating dynamic
stochastic general equilibrium (DSGE) models. Beginning with a brief introduction of MATLAB,
lectures will be structured into two parts. 1). Numerical methods of approximating and solving
DSGE models, with emphasis on solution methods based on logarithmic approximations. 2).
Empirical methods that bring models to the data. This includes topics on basic techniques of
data preparation, parameter calibration, and estimation methods (VAR models, Likelihood
methods, GMM and Bayesian VARs).

教材:
D. N. Dejong and C. Dave, Structural Macroeconometrics. Princeton University Press, 2007.
F. Canova, Methods for Applied Macroeconomic Research. Princeton University Press, 2007.
H. Uhlig, "A Toolkit for analyzing Nonlinear Dynamic Stochastic Models easily", in Computational Methods for
the Study of Dynamic Economies, Ramon Marimon and Andrew Scott (editors), Oxford University Press 1999
(February), pp.30-61.

高级微观经济学(II)
Advanced MicroeconomicsⅡ
This is a core course designed to teach students the current tools of microeconomic analysis, and is a natural
continuation of Advanced Microeconomics I. While the focus of learning in Advanced Microeconomics I was
the classical theory of choice and perfectly competitive markets, the core concept of Advanced
Microeconomics II is Nash equilibrium. This concept and its subsequent refinements will be applied to the
analysis of strategic interaction, problems involving information and incentives and the functioning of
imperfectly competitive markets.
At the end of the course students should be able to understand and critique the literature in a wide number of
fields that heavily use the concepts, including labor economics, industrial organization, public finance,
development, and even macroeconomics. What students learn here will form much of their basic repertoire as
a professional economist in the future!
教材:Osborne, Martin J. and Rubinstein, Ariel, A Course in Game Theory, MIT Press, 1994.

高级计量经济学(II)
Advanced EconometricsⅡ
This course is the continuation of Probability and Statistic Theory offered in the previous semester. The course
begins with an introduction of the classical linear regression (CLR) models, and then relaxes assumptions
gradually. Besides CLR models, this course covers linear regression models with I.I.D. observations, linear
regression models with dependent observations, linear regression models with HAC disturbances,
instrumental variables regression, GMM and MLE. This course also touches several frontier topics, for
example, nonparametric econometrics and model selections et al. This course aims to provide solid
econometric foundation for both theorists and empirical economists.
教材:Hong, Y. (2006), Advanced Econometric Theory

和MATLAB统计软件

SAS

Data Analysis in Academic Research

(Using SAS)

By taking this one semester course, students are expected to learn some basic computer and network
knowledge and master SAS programming skills, and they can apply these tools to do some empirical
economic research independently. Topics to be introduced are: 1. some most useful computer and network
skills can enable students to solve problems that they may face when doing research; 2. SAS base module is
very important and basic knowledge to master other modules. 3. SAS statistic module provides many PROCs
to do some statistic analysis. 4. SAS macro skills can be used to make your program shorter and easier to
read; 5. SAS ETS module focuses on econometrics and time series. 6. PROC SQL helps students to control
the data for their uses. 7. SAS IML, the interactive matrix language, by which students can program some new
statistic test methods or do some Monte Carlo simulation, especially important to the students whose major is
Econometrics. 8. Case I and Case II, after learning these two complicated and synthesized cases, students
can reuse all the knowledge they learnt from this course and can also learn some methods of how to do some
empirical study.

应用微观经济学(1)
Applied MicroeconomicsⅠ
The core material deals with labor supply decisions made by rational households, labor demand decisions
made by profit-maximizing firms, and the equilibrium wage differentials and employment patterns implied by
these decisions when markets are competitive. Applications include the analysis of industry wage differentials,
life-cycle age-earnings profiles, and returns to human capital investments. The last part of the course
considers various ways in which labor markets may differ from the competitive ideal. Topics include efficiency
wages and other incentive schemes, discrimination, bargaining between workers and employers to divide
monopoly rents, and unemployment.

经济学方法论和统计软件应用
Advanced Topics in Analysis of Economic and Financial
Data Using R and SAS Languages
This is the advanced level of econometrics and Financial econometrics with some basic theory and heavy
applications. Here, our focuses are on the SKILLS of analyzing real data using advanced econometric
techniques and statistical softwares such as SAS and R. This is along the line with our WISE’s spirit
“STRONG THEORETICAL FOUNDATION and SKILL EXCELLENCE". In other words, this course covers
basically some advanced topics in analysis of economic and financial data, particularly in nonlinear time series
models and some models related to economic and financial applications. The topics covered start from
classical approaches to modern modeling techniques even up to the research frontiers. The difference
between this course and others is that you will learn step by step how to build a model based on data (or socalled \let data speak themselves") through real data examples using statistical softwares or how to explore
the real data using what you have learned. Therefore, there is no a single book serviced as a textbook for this
course so that materials from some books and articles will be provided. However, some necessary handouts,
including computer codes like SAS and R codes, will be provided with your help (You might be asked to print
out the materials by yourself).

公司金融
Corporate Finance
The course is divided into five parts. The long-term investment decision is covered first. Financing decisions
and working capital are covered next. Finally a series of special topics are covered. Here are the five parts:
Part I describes how investment opportunities are valued in financial markets. The most important concept in
Part I is net present value. We develop the net present value rule into a tool for valuing investment
alternatives. Part II introduces basic measures of risk. The capital-asset pricing model (CAPM) and the
arbitrage pricing theory (APT) are used to devise methods for incorporating risk in valuation. We use the
above pricing models to handle capital budgeting under risk. Part III examines two interrelated topics: capital
structure and dividend policy. Capital structure is the extent to which the firm relies on debt. It cannot be
separated from the amount of cash dividends the firm decides to pay out to its equity shareholders.Part IV
concerns long-term financing. We describe the securities that corporations issue to raise cash, as well as the
mechanics of offering securities for a public sale. Here we discuss call provisions, warrants, convertibles, and
leasing. Part V discusses options.Part VI covers mergers.In addition, students are required to read and
present critically some classical papers on corporate finance. These papers are from top journals in finance,
such as JOF, JFE and JFQA. You can get them through JSTOR.

面板数据计量经济学
Panel Data Econometrics
This course is an introduction to panel data econometrics. Panel data provides multiple observations over time
for a number of cross-section units. Topics range from econometric analysis of fixed effect models, random
effect models and dynamic panels. The course is designed for both M.A. and PhD students whose research
area is econometrics or applied econometrics. Probability and Statistical Theory, Advanced Econometrics (I)
and (II) are prerequisites.
教材:Arellano, Manuel, (2003) Panel Data Econometrics.
Hsiao, C. (2003) Analysis of Panel Data.
Baltagi, B. (2004) Econometric Analysis of Panel Data.
Wooldridge, J (2001) Econometric Analysis of Cross Section and Panel Data.

金融工程
Financial Engineering
The course covers the main topics in financial engineering which include:(1) Introduction of derivatives:
Forward, Futures, Options, Swap;(2) Pricing of derivatives: models, closed-form pricing formulas, numerical
methods;(3) Hedge and Risk Management: Greek Letters, VAR;(4) Term Structure of Interest Rate and Bond
Pricing;(5)Exotic Derivatives.
教材:John Hull, Options, Futures and Other Derivatives

微观计量经济学
Micro-econometrics
This course is intended to bring students to the frontier of applied econometrics using labour economics as the
main platform. The underlying theoretical issues are mostly microeconomic aspects of the labour market. We
will go through a list of important papers in the field of applied labour most of the term (one or two papers each
week). Students’ active participation in the discussion is strongly encouraged. Another important part of this
course is students’ presentations. Students will be asked to select applied papers in their chosen field and
give a presentation on these papers.

金融计量经济学
Financial Econometrics
The course will cover the statistical and econometric techniques needed to conduct quantitative research in
finance. Topics include estimation of CAPM, option pricing, continuous time process, term structure, VaR,
CVaR and credit risk. Emphasis is on understanding and interpreting empirical findings in a range of financial
markets, from viewpoints of academics as well as practitioners
教材:Campbell, John Y., Andrew W. Lo and A. Craig MacKinlay (1997),The Econometrics of Financial
Markets, Princeton, N.J.: Princeton University Press.
Hamilton, James D. (1994), Time Series Analysis, Princeton, N.J.: Princeton University.
Tsay, Ruey S. (2005), Analysis of Financial Time Series, 2nd Edition, New York: Wiley-Interscience.

时间序列计量经济学
Time Series Econometrics
This course examines parametric time series models for analyzing stationary and non-stationary data.
Emphasis is on drawing economic interpretations with time series data. The objective of this course is twofold.
One is introducing econometric tools for modeling economic and financial time series. The other is providing
solid foundation on the econometric theory of time series models.
教材:Tsay, Ruey S. (2005), Analysis of Financial Time Series, 2nd Edition, New York: Wiley-Interscience.

数理金融学
Mathematical Finance

This course presents a fairly complete and rigorous treatment of mathematics utilized in
theoretical pricing models for financial instruments. Students will accomplish a working
knowledge of Stochastic Calculus from both a theoretical and an applications point of view.
Starting from the binomial model, the meaning and the relevance of the arbitrage theorem
will be introduced first. And then the fundamental theorem of asset pricing is discussed for a
better understanding of risk-neutral measure (equivalent martingale measure). Special efforts
will be made to dig into the mathematics behind continuous-time, the Stochastic Calculus. Ito
integrals, stochastic differential equations, martingale theory, change of numeraire, and
change of measure will be studied thoroughly through applications in finance, such as stocks
and currency options, bonds, interest rates and exotic options.
教材:
Klebaner, Fima C., 2005. Introduction to Stochastic Calculus with Applications, 2/e. Imperial College Press,
Singapore
Bjork, Tomas, 2009. Arbitrage Theory in Continuous Time, 3/e. Oxford University Press, Oxford, U.K.
Neftci, Salih N., 2000. An Introduction to the Mathematics of Financial Derivatives, 2/e. Academic Press, San
Diego, CA

应用微观经济学(II)
Applied Microeconomics II
This course is intended to bring students to the frontier of applied econometrics using labour economics as the
main platform. The underlying theoretical issues are mostly microeconomic aspects of the labour market. We
will go through a list of important papers in the field of applied labour most of the term (one or two papers each
week). Students’ active participation in the discussion is strongly encouraged. Another important part of this
course is students’ presentations. Students will be asked to select applied papers in their chosen field and
give a presentation on these papers.

非参数计量经济学
Nonparametric Econometrics
This is the advanced level of econometrics with ideas, theory and applications. Here, our focuses are on both
the rigorous THEORY and SKILLS of analyzing real data using nonparametric methods and statistical
software R.
Nonparametric econometrics is referred to statistical techniques that do not require a researcher to specify a
functional form for an object being estimated. Rather than assuming that the functional form of an object is
known up to a few unknown parameters, we shall substitute less restrictive assumptions such as existence
and smoothness for the assumption that the parametric form of, say, a density function is known and equal to,
say, the univariate normal distribution. Of course, if there is some prior knowledge about the functional form of
the object of interest up to a few unknown parameters (say, mean and variance), then it would be better to use
parametric techniques.
However, in practice these forms are rarely if ever known, and the unforgiving consequences of parametric
mis-specification are well known and are not repeated here. Lectures will provide details on ideas,
methodologies, theory and applications. In particular, the theoretical results will be derived in a rigorous way
and the computer code for applications will be provided as well as all results will derived under both iid setting
and time series contexts.
Applications include using nonparametric methods to recover the drift and diffusion functions in Black-Scholes
model, to forecast the inflation rate, interest rate and exchange rates, to estimate the frontier production
function, and to test if a jump diffusion model is appropriate for a specific financial asset, and so on so forth.

(六)国家公派研究生项目
国家留学基金管理委员会每年会制定国家公派研究生项目实施方案,确定选派的规模、类别、资助内容、申请
条件、选拔办法等。国家留学基金管理委员会根据2010年度实际选派情况确定2011年选派计划,各校按照不超
过计划的120%推荐人选,其中攻读博士学位和研究生联合培养博士生按照1:1的比例推荐。国家留学基金提供
往返国际旅费和规定留学期间的奖学金生活费。奖学金资助标准及方式按照国家现行有关规定执行。
选派类别为攻读博士学位研究生和联合培养博士研究生。
攻读博士研究生:申请时为应届本科毕业生,或在读硕士生或博士一年级学生;需提交国外院校的入学通知
书、免学费或获得学费资助证明;入学时间原则上为申请当年。
联合培养博士研究生:申请时为在读博士生;需提交国外院校正式邀请信、双方导师共同制定的研修计划和可
能发生的与学习相关费用说明;入学时间为申请当年。
具体可参见国家留学基金委网站:http://www.csc.edu.cn/gb/

此培养方案最终解释权归王亚南经济研究院所有,如有其它未尽事宜,
以我院届时公布的通知为准。
(WISE 2010年11月修订)
上一条:WISE硕士研究生培养方 下一条: WISE应用金融与商务经

联系方式:
通讯地址: 厦门大学王亚南经济研究院经济楼A308
邮政编码: 361005
联系电话: 86-592-2188827


真: 86-592-2187708

电子邮件: wise@xmu.edu.cn

人文地理


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