Knightian uncertainty and macroeconomics

给每个事件给定主观概率并使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，不能用一个概率来概括，而可以用一组概率来概括的情况，称为奈特不确定性。选择期望效用最小的概率的模型称为最大期望效用理论。主流宏观经济学至今都假设主观期望效用理论。本研究项目运用最大期望效用理论对宏观经济现象进行分析。特别发现了以下几点。在使用主观期望效用的典型求职模型中，风险的增加表现为均值保留价差，风险的增加使求职时间延长。然而，不确定性的增加似乎使找工作的时间更短，因为人们更自然地认为，一个失业的工人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散，如果我们认为失业工人采取最大化行为，那么奈特不确定性的增加缩短了找工作的时间。此外，对实物期权的分析表明，风险的增加使行权时间变短，而奈特不确定性的增加使行权时间变长。从直观上看，在求职模型中，接受工作机会避免了不确定性，而在期权模型中，期权的行使使agent面临不确定性。除了这些结果外，我们还发现，在knight不确定性下，学习过程提高了不确定性的程度，这与我们的直觉相反，并得到了一个简单可操作的最大化行为形式的公理化。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