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    Title: 有限理性與彈性迷思
    Bounded Rationality and the Elasticity Puzzle
    Authors: 王仁甫
    Wang,Jen Fu
    Contributors: 陳樹衡
    Chen,S.-H
    王仁甫
    Wang,Jen Fu
    Keywords: 跨期替代彈性
    風險趨避係數
    基因演算法
    一般化動差法
    一般化最小平方法
    the elasticity of intertemporal substitution
    RRA
    GMM
    GLS
    Genetic Algorithms
    Date: 2005
    Issue Date: 2009-09-18 16:05:07 (UTC+8)
    Abstract: 在總體經濟學中,跨期替代分析方法佔有相當重要的地位。其中跨期替代彈性(the
    elasticity of intertemporal substitution, EIS)的大小,間接或者直接影響總體經濟中的許多層面,直覺上,例如跨期替代彈性越大,對個人而言,是對當期消費的機會成本提升,使延後消費的意願上升,同時增加個人儲蓄,在正常金融市場情況之下,個人儲蓄金額的增加,將使市場資金的供給量增多,使得企業或個人的投資機會成本降低,經由總體經濟中間接或直接的影響下,則總體經濟成長率應會上升。其中,當消費者效用函數為固定風險趨避係數(constant coefficient of relative risk aversion, CRRA)且具有跨期分割與可加性的特性,加上在傳統經濟學中,假設每個人皆為完全理性的前提下,經由跨期替代分析方法推導後,可以得到相對風險趨避係數(the coefficient of relative risk aversion, RRA)與跨期替代彈性(the elasticity of intertemporal substitution, EIS)恰好是倒數關係。
    <br>在過去相關研究中,Hansen and Singleton (1983)推估出跨期替代彈性值較大且顯著,但Hall (1988)強調,若考慮資料的時間加總問題(time aggregation problem),
    則前者估計出跨期替代彈性在統計上則不再是顯著;Hall亦於結論提出跨期替代彈性為小於或等於0.1,甚至比0小。在經濟意義上,代表股票市場中投資人的相對風險趨避程度(RRA)極大,直覺上,是不合理的現象,這也是著名的彈性迷思(elasticity puzzle)。於是Epstein and Zin (1991)嘗試建議並修正效用函數為不具時間分割性(non-time separable utility)的效用函數,並得到跨期替代彈性(EIS)與相對風險趨避係數(RRA)互為倒數關係,不復存在的結論。這也說明影響彈性迷思(elasticity puzzle)的原因有許多,其中之一,可能為設定不同形式效用函數所造成。
    <br>在傳統經濟模型中,假設完全理性的個人決策行為之下,利用跨期替代方法,可以得到跨期替代彈性(EIS)與相對風險趨避程度(RRA)互為倒數關係後,又得到隱含風險趨避程度為無窮大的推估結論。這也是本研究想要來探究的問題,即是彈性迷思(elasticity puzzle)究竟是假設所造成,或者是因為由個體資料加總成總體資料,所產生的謬誤。
    <br>因此,本研究與其他研究不同之處,在於利用建構時間可分離形式的效用函數(time-separable utility)模型基礎,以遺傳演算(Genetic Algorithms)方法,建構有限理性的人工股票市場進行模擬,其中,模擬方式為設定不同代理人(agent)有不同程度的預測能力,代表其理性程度的差異的表現。
    <br>本研究發現在有限理性異質性個人的人工股票市場下,相對風險趨避程度係數(RRA)與跨期替代彈性(EIS)不為倒數關係,且設定不同代理人不同的預測能力,亦會影響跨期替代彈性(EIS)的推估數值大小。
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    Description: 碩士
    國立政治大學
    經濟研究所
    92258011
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0922580111
    Data Type: thesis
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