Learning and Asymmetric Business Cycles
Learning and Asymmetric Business Cycles
复制标题
学习和不对称经济周期
DOI：
10.1006/redy.1998.0024
复制
发表时间：
1998
影响因子：
2
通讯作者：
In Ho Lee
中科院分区：
文献类型：
--
作者：
M. Chalkley;In Ho Lee
众所周知，各种经济时间序列表现出不对称性，即衰退的到来是迅速的，而从衰退中复苏似乎是漫长的。本文通过考虑经济主体的风险规避行为，从学习和信息聚合的角度，对经济时间序列在经济周期中的非对称运动进行了解释。一个模型，其中基本的自然状态的变化，根据一个对称的一阶马尔可夫过程。风险厌恶的代理人作出的资本利用选择，部分地揭示了他们的私人信息的基本状态的性质。风险厌恶阻止他们在收到好消息时迅速采取行动，而它鼓励他们在收到坏消息时迅速采取行动。当这种谨慎的反应在个人层面上与总噪音相结合，一个经济范围内的非对称时间序列产生。进行数值模拟，以获得这样的时间序列的运动的经验分布。（版权所有：爱思唯尔）
It is known that a variety of economic time series exhibit asymmetry in the sense that the arrival of a recession is prompt, while the recovery from a recession appears protracted. This paper provides an explanation for the asymmetric movement of economic time series over business cycles by considering learning and information aggregation, given risk aversion on the part of economic agents. A model is constructed in which the underlying state of nature changes according to a symmetric first-order Markov process. Risk-averse agents make capital utilization choices which partially reveal their private information on the underlying state of nature. Risk aversion prevents them from acting promptly on receiving good news, while it encourages them to act quickly on receiving bad news. When this cautious response at the individual level is combined with aggregate noise, an economy-wide asymmetric time series is generated. A numerical simulation is carried out to derive the empirical distribution of movements of such a time series. (Copyright: Elsevier)