資産市場と効率性価格:世代重複モデルによる分析

资产市场和效率价格：使用重叠发电模型的分析

• 批准号: 08630001
• 负责人: 山本 賢司
• 金额: $ 1.09万
• 依托单位: Otaru University of Commerce
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1996
• 资助国家: 日本
• 起止时间: 1996 至 1998
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-08630001/
• 关键词: 資産市場; 価格; 効率性; 世代重複モデル; 効率性価格

本課題研究では、経済活動を時間の経過に沿って運行する動学システムとみなす。この観点に立って,次の2つの問題を分析した。1.効率性価格による資産価格の表現生産関数に強い凹性を仮定すると,競争均衡では企業に利潤が生じる。この利潤は,株主(企業の所有者)に分配される。従って,利潤を受け取る権利(配当請求権)自体が取り引きされる市場が生まれる。これはポートフォリオ選択をする家計にとっては,資産市場となる。資産市場での均衡価格は,No arbitrage conditionを満たす。この結果,凸集合に関する分離定理の適用により,均衡資産価格を支持価格(効率性価格)で示すことができる。よって,市場均衡がパレートの意味での効率的であることを示した。2.資産価格の変動要因本課題研究では,OLG(overlapping generations model)モデルを分析の基礎においた。このモデルは本質的に動学モデルである。家計と企業に仮定される凹性によって,非線形性が動学モデルに組み込まれる。その結果,均衡資産価格の経路は必ずしも安定的ではなく,パラメータの値に依存して不規則な動きを示す。従って,均衡経路が内生的振動とカオス的な動きを示す可能性がある。

In this project, the activity time of this project has been passed along the train to carry out the study of dynamics and the training of students. Please click and analyze the problem 2 times later. 1. In order to balance the profits of balanced enterprises, the data table shows that the number of investment is strong, and the number of enterprises is highly concave and stable. The owner of the plant (the owner of the enterprise) will distribute the money to the owner of the enterprise. In order to make a profit, we should take advantage of the profit (worthy of asking for it). We will introduce you to the market. There is an election for the purchase of household design and market information. The financial market is balanced, and the No arbitrage condition market is in good condition. The results show that the convex set separation theorem is valid, and the balanced data grid supports the grid (probabilistic lattice) to show the validity of the separation theorem. In terms of market equilibrium, market equilibrium means that the price of the market is higher than that of the market. two。 The information program is based on the research program of this project, and the OLG (overlapping generations model) software analysis program is based on the research program. Please tell me about the dynamics of this book. The household design enterprise is determined to have a concave disorder, and a non-concave mechanical device is designed to produce a concave disorder. The results show that the balance of data must be stable and stable, and that the dependency rules will not be displayed. In order to balance the endogenous vibration of the road, the activity of the vibration signal indicates that it is possible to do so.

项目成果

Kenji Yamamoto: "A Characterization of Efficiency Prices in an Overlapping-Generations Model"Working Paper (Otaru University of Commerce). 1-18 (1996)

Kenji Yamamoto：“重叠代模型中效率价格的特征”工作论文（小樽商业大学）。

Kenji Yamamoto: "Equilibrium Asset Prices Supported as Efficiency Prices"Working Paper (Otaru University of Commerce). 1-25 (1998)

Kenji Yamamoto：“作为效率价格支持的均衡资产价格”工作论文（小樽商科大学）。

Kenji Yamamoto: "Asset Price as a Signal of Efficiency in the Steady States" Working Paper,Department of Economics,Otaru University of Commerce. (1997)

Kenji Yamamoto：“资产价格作为稳态效率的信号”工作论文，小樽商业大学经济系。

Kenji Yamamoto: "Efficiency prices and Transversality Condition in an Overlapping -Generations Model"Working Paper (Otaru University of Commerce). 1-21 (1997)

Kenji Yamamoto：“重叠代模型中的效率价格和横向条件”工作论文（小樽商业大学）。

Kenji Yamamoto: "Equilibrium Asset Prices Supported As Efficiency Prices" Working Paper,Department of Economics,Otaru University of Commerce. 1-23 (1998)

Kenji Yamamoto：“均衡资产价格支持效率价格”工作论文，小樽商业大学经济系。