基于理性异质信念的内生市场波动研究

发布时间：2018-04-05 14:17

本文选题：理性异质信念　切入点：异质信念　出处：《复旦大学》2013年博士论文

【摘要】：经济主体的预期或信念形成方式是现代经济学和金融学的一个重要论题。理性预期理论和行为经济理论是当前关于预期或信念的两个主要研究范式。理性预期认为,经济主体充分利用了所有可得信息,因而绝不会犯系统性错误。行为经济认为经济主体存在各种心理、认知或行为偏差,是非理性的或有限理性的,因此经济主体常常犯错。理性异质信念的逻辑与理性预期、行为经济等研究范式截然不同。理性异质信念指的是,虽然拥有相同信息的经济主体对相同的经济现象具有不同的理解,但是这些经济主体都是理性的。按照理性异质信念,经济主体的信念形成过程符合基于历史数据得出的统计规律,因此经济主体是理性的；同时,因经济结构和社会制度具有非稳定性,经济主体对经济变量的主观概率常常偏离真实的客观概率,并且不同经济主体的主观概率分布各不相同,个体信念常表现出异质性。基于上述认识,理性异质信念理论认为加总异质的个体信念大多数情形下都无法得到稳定的市场信念,异质信念自身就足以产生比外生冲击更强的内生不确定性。这种不确定性通过某种传播机制,使得经济在没有受到外生的外部冲击时仍可以表现出波动性,表现出种种违背经典理论的异象。可见,理性异质信念提供了一个新的研究起点和框架。基于这一框架,研究微观层面的资产价格行为、宏观层面的汇率决定和货币非中性等传统论题,均可以得到新鲜的理解。基于理性异质信念理论,分别从微观和宏观层面研究市场和经济的波动。本研究的主要任务包括两个方面：一是跟踪国外经济和金融研究的理论前沿；二是基于国外已有成果和研究范式,结合中国市场的实际情况进行实证研究。本文主要研究了以下内容：第一章是导论。本章提出的问题是,研究理性异质信念理论具有哪些意义?促使本人研究理性异质信念理论的原因有哪些?针对这些问题,特别重要的是本文提出了两个经验事实。第一个经验事实是,信念分歧(即异质信念)是一种普遍存在的经验事实,而不是一种理论假设；第二个经验事实是,经济活动表现出过度的波动性。当本文提到“波动”一词时,本文是在一种宽泛的意义上使用该次的,包括微观角度上的金融市场的价格波动与宏观范围内的经济周期等各种现象。第二章是文献综述,主要是异质信念理论的思想回顾。本章的问题是,经济学中的理性和异质性思想究竟来自哪里?目前关于理性异质信念的研究进展如何?本章的结论是：已有的异质信念文献经常依赖于非理性假设,且缺乏统一框架；理性异质信念理论提供了一种新视角和统一的研究框架。第三章是理性预期、信息不对称与市场波动的模型与缺陷。本章的问题是,理性预期理论与信息不对称理论能否解释现实问题?本章的结论是：理性预期理论只能解释很小一部分市场波动；若附加其他不合理的假设,可以解释波动；信息不对称假设具有局限性,尤其是公开信息非常充分的条件下。第四章是异质信念到理性异质信念的演进。本章的问题是,进一步研究中是否需要理性前提?异质信念是否影响资产价格?从异质信念演进到理性异质信念,具有体现在哪里?本章的结论是：理性假设在大多数情形是符合实际的,因此一直是思想界的主流；异质信念确实影响资产的价格与波动性,即使在传统框架内也是如此;与异质信念相比,理性异质信念具有更好的解释能力和理论一致性。第五章是共同信息下的理性异质信念理论介绍。本章的问题是：理性异质信念能否解释现实问题?本章的答案是：理性异质信念理论为研究市场波动提供了一种统一的视角；信念分歧自身就足以产生显著的波动。与外生波动相比,信念引致的波动称作内生波动。第六章是理性异质信念下的市场波动模拟分析。本章的问题是：理性异质信念理论在实证上是否能解释现实市场的波动性特征?本章的结论是：模拟分析发现,在某些信念结构下,理性异质信念理论比理性预期理论更能解释市场的实际波动。第七章是结论与展望。本章的问题是：理性异质信念理论是否已经足够完善?能不能解释其他经济现象?本章的结论是：理性异质信念理论仍不够完善；理性异质信念理论可以应用到其他问题。
[Abstract]:Rational expectation theory and behavioral economy theory are two main research paradigms of modern economics and finance . Rational expectation theory and behavioral economics theory are two main research paradigms about expectations or beliefs .
At the same time , because of the non - stability of the economic structure and the social system , the subjective probability of the economic main body to the economic variable is often deviated from the real objective probability , and the subjective probability distribution of the different economic subjects is different , and the individual belief often shows the heterogeneity . Based on the understanding , the rational heterogeneous belief provides a new research starting point and framework . Based on the rational heterogeneous belief theory , the fluctuation of the market and the economy is studied from the micro and macro levels .
Second , based on the existing achievements and research paradigm in foreign countries , this paper studies the practical situation of Chinese market . The main research is as follows :

The first chapter is the introduction . The question put forward in this chapter is to study the significance of the theory of rational heterogeneous belief . What are the reasons why I study the theory of rational heterogeneous belief ? For these problems , it is especially important to put forward two empirical facts . The first empirical fact is that the difference of belief ( i.e . , heterogeneous belief ) is a universal empirical fact , not a theoretical hypothesis ;
The second empirical fact is that economic activity exhibits excessive volatility . When the term " fluctuation " is mentioned in this article , this paper uses this sub - term in a broad sense , including the price fluctuation of financial markets at the micro - angle and the economic cycle in the macro - scale .

The second chapter is literature review , which is mainly the thought review of heterogeneous belief theory . The question of this chapter is where the rational and heterogeneous thought in economics comes from ? What is the current research progress on rational heterogeneous belief ? This chapter concludes that the existing heterogeneous belief documents often rely on irrational assumptions and lack uniform framework ;
The theory of rational heterogeneous belief provides a new perspective and a unified framework for research .

The third chapter is the model and defect of rational expectation , information asymmetry and market volatility . The problem of this chapter is whether the rational expectation theory and the information asymmetry theory can explain the real problem ? The conclusion of this chapter is that the rational expectation theory can only explain a small part of the market volatility ;
If other unreasonable assumptions are attached , the fluctuation can be explained ;
Information asymmetry is assumed to have limitations , especially under conditions where the disclosure information is very sufficient .

The fourth chapter is the evolution of heterogeneous belief to rational heterogeneous belief . The question of this chapter is whether the rational premise is needed in the further study ? Does the heterogeneous belief affect the price of the asset ? From the heterogeneous belief to the rational heterogeneous belief , what is it ? The conclusion of this chapter is that the rational assumption is in conformity with the actual situation in most cases , so it has always been the mainstream of the ideology .
The heterogeneous belief does affect the price and volatility of the asset , even within the traditional framework ; the reason heterogeneous belief has better interpretation ability and theoretical consistency than the heterogeneous belief .

The fifth chapter is the theory of rational heterogeneous belief under the common information . The question of this chapter is whether the rational heterogeneous belief can explain the real problem ? The answer in this chapter is that the rational heterogeneous belief theory provides a unified perspective for the study of market volatility ;
The belief differences themselves are sufficient to produce significant fluctuations . In contrast to exogenous fluctuations , fluctuations in beliefs are known as endogenic fluctuations .

Chapter 6 is the simulation analysis of market volatility under rational heterogeneous belief . The question of this chapter is whether the theory of rational heterogeneous belief can explain the volatility characteristics of the real market . The conclusion of this chapter is that , under certain belief structures , the theory of rational heterogeneous belief can explain the actual fluctuation of the market more than the rational expectation theory .

Chapter 7 is the conclusion and prospect . The question of this chapter is whether the theory of rational heterogeneous belief is perfect enough to explain other economic phenomena ? The conclusion of this chapter is that rational heterogeneous belief theory is still not perfect ;
The theory of rational heterogeneous belief can be applied to other problems .

【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F224;F832.5

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