Knightian uncertainty and macroeconomics

奈特的不确定性和宏观经济学

• 批准号: 15530115
• 负责人: OZAKI Hiroyuki
• 金额: $ 2.11万
• 依托单位: KEIO UNIVERSITY (2005)Tohoku University (2003-2004)
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2003
• 资助国家: 日本
• 起止时间: 2003 至 2005
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-15530115/
• 关键词: risk; subjective expected utility; Knightian uncertainty; maximin expected utility; ミンマックス期待効用理論

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

给每个事件赋予主观概率，经济主体相对于给定概率最大化期望效用的模型称为主观期望效用理论。另一方面，不确定性程度太大而无法用单个概率来概括而可以用概率“集合”来概括的情况称为奈特不确定性。选择使期望效用最小化的概率的模型称为最大最小期望效用理论。迄今为止，主流宏观经济学都假设主观预期效用理论。本研究项目使用最大最小期望效用理论来分析宏观经济现象。特别是发现以下几点。在典型的使用主观期望效用的求职模型中，风险的增加以保均值分布来表示，风险的增加使得求职的周期变长。然而，不确定性的增加似乎使求职时间缩短，因为人们更自然地认为失业工人会更快地接受工作机会以避免未来的不确定性。如果我们将不确定性的增加视为一组可能概率的扩大，而不是均值保值的分布，并且如果我们认为失业工人采取最大化最小行为，那么事实证明，奈特不确定性的增加缩短了求职周期。此外，对实物期权的分析表明，虽然风险的增加使行权时间变短，但奈特不确定性的增加却使行权时间变长。直观上，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，执行选项使代理人面临不确定性。除了这些结果之外，我们发现在奈特不确定性下，学习过程提高了不确定性程度，这与我们的直觉相反，并且获得了一种简单且可操作的最大最小行为形式的公理化。较少的

项目成果

An axiomatic approach to epsilon-contamination

epsilon 污染的公理化方法

• 发表时间: 2006
• 期刊: Economic Theory 27
• 作者: 西村清彦;尾崎裕之
• 通讯作者: 尾崎裕之

Search and Knightian uncertainty

• DOI: 10.1016/j.jet.2003.04.001
• 发表时间: 2004-12
• 期刊: J. Econ. Theory
• 作者: K. Nishimura;Hiroyuki Ozaki

『非線形動学-不決定性と複雑性』、11章担当

负责《非线性动力学——不确定性与复杂性》第11章

• 发表时间: 2004
• 作者: 西村和雄;福田慎一
• 通讯作者: 福田慎一

西村清彦, 尾崎裕之: "Search and Knightian uncertainty"Journal of Economic Theory. (掲載予定).

Kiyohiko Nishimura、Hiroyuki Ozaki：“搜索和奈特不确定性”经济理论杂志（待出版）。