本文選題：理性異質(zhì)信念　切入點(diǎn)：異質(zhì)信念　出處：《復(fù)旦大學(xué)》2013年博士論文

【摘要】：經(jīng)濟(jì)主體的預(yù)期或信念形成方式是現(xiàn)代經(jīng)濟(jì)學(xué)和金融學(xué)的一個(gè)重要論題。理性預(yù)期理論和行為經(jīng)濟(jì)理論是當(dāng)前關(guān)于預(yù)期或信念的兩個(gè)主要研究范式。理性預(yù)期認(rèn)為,經(jīng)濟(jì)主體充分利用了所有可得信息,因而絕不會(huì)犯系統(tǒng)性錯(cuò)誤。行為經(jīng)濟(jì)認(rèn)為經(jīng)濟(jì)主體存在各種心理、認(rèn)知或行為偏差,是非理性的或有限理性的,因此經(jīng)濟(jì)主體常常犯錯(cuò)。理性異質(zhì)信念的邏輯與理性預(yù)期、行為經(jīng)濟(jì)等研究范式截然不同。理性異質(zhì)信念指的是,雖然擁有相同信息的經(jīng)濟(jì)主體對(duì)相同的經(jīng)濟(jì)現(xiàn)象具有不同的理解,但是這些經(jīng)濟(jì)主體都是理性的。按照理性異質(zhì)信念,經(jīng)濟(jì)主體的信念形成過(guò)程符合基于歷史數(shù)據(jù)得出的統(tǒng)計(jì)規(guī)律,因此經(jīng)濟(jì)主體是理性的；同時(shí),因經(jīng)濟(jì)結(jié)構(gòu)和社會(huì)制度具有非穩(wěn)定性,經(jīng)濟(jì)主體對(duì)經(jīng)濟(jì)變量的主觀概率常常偏離真實(shí)的客觀概率,并且不同經(jīng)濟(jì)主體的主觀概率分布各不相同,個(gè)體信念常表現(xiàn)出異質(zhì)性�；谏鲜稣J(rèn)識(shí),理性異質(zhì)信念理論認(rèn)為加總異質(zhì)的個(gè)體信念大多數(shù)情形下都無(wú)法得到穩(wěn)定的市場(chǎng)信念,異質(zhì)信念自身就足以產(chǎn)生比外生沖擊更強(qiáng)的內(nèi)生不確定性。這種不確定性通過(guò)某種傳播機(jī)制,使得經(jīng)濟(jì)在沒(méi)有受到外生的外部沖擊時(shí)仍可以表現(xiàn)出波動(dòng)性,表現(xiàn)出種種違背經(jīng)典理論的異象�？梢�(jiàn),理性異質(zhì)信念提供了一個(gè)新的研究起點(diǎn)和框架�；谶@一框架,研究微觀層面的資產(chǎn)價(jià)格行為、宏觀層面的匯率決定和貨幣非中性等傳統(tǒng)論題,均可以得到新鮮的理解�；诶硇援愘|(zhì)信念理論,分別從微觀和宏觀層面研究市場(chǎng)和經(jīng)濟(jì)的波動(dòng)。本研究的主要任務(wù)包括兩個(gè)方面：一是跟蹤國(guó)外經(jīng)濟(jì)和金融研究的理論前沿；二是基于國(guó)外已有成果和研究范式,結(jié)合中國(guó)市場(chǎng)的實(shí)際情況進(jìn)行實(shí)證研究。本文主要研究了以下內(nèi)容： 第一章是導(dǎo)論。本章提出的問(wèn)題是,研究理性異質(zhì)信念理論具有哪些意義?促使本人研究理性異質(zhì)信念理論的原因有哪些?針對(duì)這些問(wèn)題,特別重要的是本文提出了兩個(gè)經(jīng)驗(yàn)事實(shí)。第一個(gè)經(jīng)驗(yàn)事實(shí)是,信念分歧(即異質(zhì)信念)是一種普遍存在的經(jīng)驗(yàn)事實(shí),而不是一種理論假設(shè)；第二個(gè)經(jīng)驗(yàn)事實(shí)是,經(jīng)濟(jì)活動(dòng)表現(xiàn)出過(guò)度的波動(dòng)性。當(dāng)本文提到“波動(dòng)”一詞時(shí),本文是在一種寬泛的意義上使用該次的,包括微觀角度上的金融市場(chǎng)的價(jià)格波動(dòng)與宏觀范圍內(nèi)的經(jīng)濟(jì)周期等各種現(xiàn)象。 第二章是文獻(xiàn)綜述,主要是異質(zhì)信念理論的思想回顧。本章的問(wèn)題是,經(jīng)濟(jì)學(xué)中的理性和異質(zhì)性思想究竟來(lái)自哪里?目前關(guān)于理性異質(zhì)信念的研究進(jìn)展如何?本章的結(jié)論是：已有的異質(zhì)信念文獻(xiàn)經(jīng)常依賴于非理性假設(shè),且缺乏統(tǒng)一框架；理性異質(zhì)信念理論提供了一種新視角和統(tǒng)一的研究框架。 第三章是理性預(yù)期、信息不對(duì)稱與市場(chǎng)波動(dòng)的模型與缺陷。本章的問(wèn)題是,理性預(yù)期理論與信息不對(duì)稱理論能否解釋現(xiàn)實(shí)問(wèn)題?本章的結(jié)論是：理性預(yù)期理論只能解釋很小一部分市場(chǎng)波動(dòng)；若附加其他不合理的假設(shè),可以解釋波動(dòng)；信息不對(duì)稱假設(shè)具有局限性,尤其是公開(kāi)信息非常充分的條件下。 第四章是異質(zhì)信念到理性異質(zhì)信念的演進(jìn)。本章的問(wèn)題是,進(jìn)一步研究中是否需要理性前提?異質(zhì)信念是否影響資產(chǎn)價(jià)格?從異質(zhì)信念演進(jìn)到理性異質(zhì)信念,具有體現(xiàn)在哪里?本章的結(jié)論是：理性假設(shè)在大多數(shù)情形是符合實(shí)際的,因此一直是思想界的主流；異質(zhì)信念確實(shí)影響資產(chǎn)的價(jià)格與波動(dòng)性,即使在傳統(tǒng)框架內(nèi)也是如此;與異質(zhì)信念相比,理性異質(zhì)信念具有更好的解釋能力和理論一致性。 第五章是共同信息下的理性異質(zhì)信念理論介紹。本章的問(wèn)題是：理性異質(zhì)信念能否解釋現(xiàn)實(shí)問(wèn)題?本章的答案是：理性異質(zhì)信念理論為研究市場(chǎng)波動(dòng)提供了一種統(tǒng)一的視角；信念分歧自身就足以產(chǎn)生顯著的波動(dòng)。與外生波動(dòng)相比,信念引致的波動(dòng)稱作內(nèi)生波動(dòng)。 第六章是理性異質(zhì)信念下的市場(chǎng)波動(dòng)模擬分析。本章的問(wèn)題是：理性異質(zhì)信念理論在實(shí)證上是否能解釋現(xiàn)實(shí)市場(chǎng)的波動(dòng)性特征?本章的結(jié)論是：模擬分析發(fā)現(xiàn),在某些信念結(jié)構(gòu)下,理性異質(zhì)信念理論比理性預(yù)期理論更能解釋市場(chǎng)的實(shí)際波動(dòng)。 第七章是結(jié)論與展望。本章的問(wèn)題是：理性異質(zhì)信念理論是否已經(jīng)足夠完善?能不能解釋其他經(jīng)濟(jì)現(xiàn)象?本章的結(jié)論是：理性異質(zhì)信念理論仍不夠完善；理性異質(zhì)信念理論可以應(yīng)用到其他問(wèn)題。
[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 .

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.5

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