投资消费最优化的纳什均衡与敏感性分析

发布时间：2018-04-16 10:30

本文选题：投资与消费 + 纳什均衡　；参考：《厦门大学》2014年硕士论文

【摘要】：消费与投资是国民收入中最重要的两个部分,也是财政政策制定的重点关注与实施对象。研究消费与投资问题有助于政府更好地制定有效的财政政策,充分发挥财政职能,保证收入在消费与投资间的合理分配以及有效增长,同时对于正确引导财政政策实施的方向以及优化市场宏观调控等都有着积极的意义。投资消费的最优化模型建立了虚拟经济和实体经济相联系的纽带,对实现投资和消费的动态平衡具有很强的实践指导意义。关注市场因素对决策者消费行为的影响及其程度大小不仅对优化消费者的消费决策很有意义,而且对完善整个市场运行的机制以及宏观调控的优化也有重大的影响。基于以上背景,作者在充分研究了前人文献成果的基础上,引入宏观经济学中经典的纳什均衡分析框架,对投资消费这一问题进行最优化分析。作者用制度转换矩阵来刻画资本市场的状态,风险资产的收益率服从log正态分布,通过最大似然估计法拟合出了制度转换矩阵与1og正态分布参数,最终用递归法得出最优消费水平。参数估计中作者分别选取了中国和美国的数据进行分析,结果发现中国的资本市场状态波动较大不够稳定。接着,作者通过考察数值变化来分析贴现率、到期日、市场状态以及风险规避程度对最优消费水平的影响及程度大小。根据参数估计及敏感性分析结果,作者提出,为了促进投资与消费水平的不断增加,政府应该着力改善宏观经济环境,优化市场结构,只有在良好稳定的市场状态下,决策者才会对市场有信心,增加投资,从而不断扩张其财富最终提高消费水平。本文的创新之处主要表现在：(1)本文的研究角度比较新颖,从避免时间不一致问题这一角度出发,而国内的研究大多着眼于放宽经典投资消费最优化问题中对于资本市场上的假设条件。(2)作者对纳什均衡分析框架下的参数利用真实的市场数据进行估计,弥补了前人文献中参数估计的缺陷。(3)作者分别采用了中国与美国市场的数据进行对比分析,且数据量大,结论更加有说服力,同时对于完善中国资本市场提供了理论依据。(4)作者关注了市场因素对投资消费水平的影响,并用数值变化考察了他们的影响程度,对于政府的财政政策建议更加有针对性。
[Abstract]:Consumption and investment are the two most important parts of national income.The study of consumption and investment will help the government to formulate effective fiscal policies, give full play to its financial functions, and ensure the rational distribution and effective growth of income between consumption and investment.At the same time, it has positive significance for correctly guiding the implementation of fiscal policy and optimizing market macro-control.The optimization model of investment and consumption establishes the link between virtual economy and real economy, which is of great practical significance to realize the dynamic balance between investment and consumption.Paying attention to the influence and extent of market factors on the decision makers' consumption behavior is significant not only to optimize the consumer's consumption decision, but also to improve the mechanism of the whole market operation and the optimization of macro-control.Based on the above background, the author introduces the classical Nash equilibrium analysis framework in macroeconomics to optimize investment and consumption.The author describes the state of the capital market by the institutional transformation matrix, the return rate of the risk asset is normally distributed from the log, and the parameters of the institutional transformation matrix and the 1og normal distribution are fitted by the maximum likelihood estimation method.Finally, the optimal consumption level is obtained by recursive method.In the parameter estimation, the data of China and the United States are selected for analysis, and the results show that the state of China's capital market is unstable.Then, the author analyzes the influence and extent of discount rate, maturity date, market state and risk aversion on the optimal consumption level.According to the results of parameter estimation and sensitivity analysis, the author suggests that in order to promote the increasing level of investment and consumption, the government should focus on improving the macroeconomic environment and optimizing the market structure, only in good and stable market conditions.Policy makers will have confidence in the market and invest more, thus expanding their wealth and ultimately raising consumption levels.The innovation of this paper is mainly manifested in: 1) the research angle of this paper is relatively novel, from the angle of avoiding the problem of time inconsistency,However, most domestic studies focus on relaxing the assumptions in the capital market in the classical investment and consumption optimization problem. The author estimates the parameters under the Nash equilibrium analysis framework using real market data.It makes up for the defect of parameter estimation in previous literature.) the author uses the Chinese and American market data to carry on the comparative analysis, and the data quantity is large, the conclusion is more persuasive.At the same time, the author pays close attention to the influence of market factors on the level of investment and consumption, and studies their influence degree with numerical changes, which is more pertinent to the government's fiscal policy suggestions.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.59

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