Knightian uncertainty and macroeconomics

主观期望效用理论是指给定每个事件的主观概率，经济主体在给定的概率下使期望效用最大化的模型。另一方面，不确定性的程度太大，无法用单一概率来概括，而可以用一组概率来概括的情况称为不确定性。选择使期望效用最小化的概率的模型称为极大极小期望效用理论。在主流宏观经济学中，主观期望效用理论是迄今为止的假设。本研究利用最小期望效用理论来分析宏观经济现象。特别是，在典型的基于主观期望效用的求职模型中，风险的增加表现为均值保持扩散，风险的增加使得求职时间延长。然而，不确定性的增加似乎使pe ...更多信息 找工作的时间更短，因为人们更自然地认为失业的工人会更快地接受工作机会，以避免未来的不确定性。如果我们把不确定性的增加看作是一组可能概率的扩展，而不是均值保持的扩展，如果我们认为失业工人采取最大最小行为，那么事实证明，不确定性的增加缩短了求职时间。此外，对真实的期权的分析表明，虽然风险的增加使行权时间缩短，但不确定性的增加使行权时间延长。直觉上，在求职模型中，接受工作机会避免了不确定性，但在期权模型中，行使期权使代理人面临不确定性。除了这些结果，我们发现，在Boghtian不确定性，学习过程提高了不确定性的程度，相反，我们的直觉，并公理化的一个简单的和可操作的形式的最大化最小的行为。少

The model in which the subjective probability is given to each event and economic agent maximizes expected utility with respect to the given probability is called subjective expected utility theory. On the other hand, the situation in which the degree of uncertainty is too large to be summarized by a single probability and it may be summarized by a "set" of probabilities is called Knightian uncertainty. The model in which the probability which minimizes the expected utility is chosen is called maximin expected utility theory. In main stream macroeconomics subjective expected utility theory was assumed so far. This research project uses maximin expected utility theory to analyze the macroeconomic phenomenon. In particular, the following point was found. In typical job search model which uses subjective expected utility, increase of risk is expressed by mean-preserving spread and increase of risk makes the period of job search longer. However, increase of uncertainty seems to make the pe … More riod of job search shorter because it is more natural to think that an unemployed worker takes the job offer more quickly to avoid future uncertainty. If we regard the increase of uncertainty as the expansion of a set of the possible probabilities rather than mean-preserving spread and if we think unemployed worker takes maximin behavior, then it turns out that an increase of Knightian uncertainty shortens the period of job search. Furthermore, an analysis of real option shows that while an increase of risk makes the timing of exercise shorter, an increase of Knightian uncertainty makes it longer. Intuitively, in the job search model, acceptance of job offer avoids uncertainty, but in option model, an exercise of an option makes the agent face uncertainty In addition to these results, we found that under Knightian uncertainty, learning procedure raises the degree of uncertainty on the contrary to our intuition, and axiomatization of a simple and operational form of maximin behavior was obtained. Less