Asset Prices in Stationary Rational Expectation Models

固定理性预期模型中的资产价格

• 批准号: 8708616
• 负责人: David Levine
• 金额: $ 14.11万
• 依托单位: University of California-Los Angeles
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1987
• 资助国家: 美国
• 起止时间: 1987-08-01 至 1990-01-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=8708616&HistoricalAwards=false
• 关键词: Asset; Prices; Stationary; Rational; Expectation

The project continues a distinguished line of research into the concept of equilibrium in an economy. This concept is central in virtually all economic analysis, both theoretical and empirical. In essence, the idea of economic equilibrium implies that the economy can be stable in certain circumstances, that those conditions can be derived at least in a theoretical sense, that the forces in the economy will respond in some predictable way to outside influences, and that the economy will remain in balance unless forced to change. Equilibrium is also more than just a theoretical construct used to make analysis more tractable; it appears to be a realistic description of the actual workings of an economy. This is evident in that markets are typically not chaotic, at least not for long periods of time. Enormous numbers of producers supply a seemingly endless variety of products and services, which in turn are consumed by other agents in the economy. Millions of transactions are completed daily in a relatively orderly fashion. Some incorporate a high degree of government regulation, but most take place with virtually no oversight from any established institution. Even though a stabilizing influence or equilibrium appears to be a fundamental component of a viable and growing economy, modelling that process mathematically has proven to be extremely difficult, particularly if a researcher wishes to examine the growth of the economy through time. Of special complexity are the rational expectations models, which realistically allow for the fact that economic agents such as consumers, producers, and policy makers all react to each other's movements in the economic marketplace. This project extends our knowledge of the evolution of economic systems by analyzing in both a theoretical and empirical way, the conditions necessary for stationary equilibria in rational expectations models. Starting from a simple monetary economy in which debt cannot be collected, Professor Levine incorporates multiple assets and production, and examines the efficiencies in economic growth brought about by transactions costs. Included in the project are analyses of government policy, multiple asset markets, and detailed studies of the mechanisms by which changes in one sector of the economy affect the other sectors.

该项目继续对经济均衡概念进行杰出的研究。 这个概念几乎是所有经济分析（无论是理论分析还是实证分析）的核心。 从本质上讲，经济均衡的思想意味着经济在某些情况下可以保持稳定，这些条件至少可以在理论上推导出来，经济中的力量将以某种可预测的方式对外部影响作出反应，并且经济将保持平衡，除非被迫改变。 均衡不仅仅是一种用于使分析更容易处理的理论构造；它似乎是对经济实际运作的现实描述。 显而易见，市场通常不会混乱，至少在很长一段时间内不会混乱。 大量生产者提供看似无穷无尽的产品和服务，而这些产品和服务又被经济中的其他主体所消费。 每天数以百万计的交易都以相对有序的方式完成。 有些涉及高度的政府监管，但大多数都是在几乎没有任何既定机构的监督下进行的。 尽管稳定影响或均衡似乎是可行且不断增长的经济的基本组成部分，但事实证明，对该过程进行数学建模极其困难，特别是如果研究人员希望研究经济随时间的增长情况。 特别复杂的是理性预期模型，它实际上考虑到了这样一个事实：消费者、生产者和政策制定者等经济主体都会对经济市场中彼此的变动做出反应。 该项目通过理论和实证的方式分析理性预期模型中平稳均衡的必要条件，扩展了我们对经济系统演化的认识。 莱文教授从债务无法收回的简单货币经济出发，将多种资产和生产结合起来，考察交易成本带来的经济增长效率。 该项目包括对政府政策、多个资产市场的分析，以及对经济某一部门的变化影响其他部门的机制的详细研究。