本文選題：投資與消費(fèi) + 納什均衡　； 參考：《廈門大學(xué)》2014年碩士論文

【摘要】：消費(fèi)與投資是國民收入中最重要的兩個部分,也是財政政策制定的重點(diǎn)關(guān)注與實(shí)施對象。研究消費(fèi)與投資問題有助于政府更好地制定有效的財政政策,充分發(fā)揮財政職能,保證收入在消費(fèi)與投資間的合理分配以及有效增長,同時對于正確引導(dǎo)財政政策實(shí)施的方向以及優(yōu)化市場宏觀調(diào)控等都有著積極的意義。 投資消費(fèi)的最優(yōu)化模型建立了虛擬經(jīng)濟(jì)和實(shí)體經(jīng)濟(jì)相聯(lián)系的紐帶,對實(shí)現(xiàn)投資和消費(fèi)的動態(tài)平衡具有很強(qiáng)的實(shí)踐指導(dǎo)意義。關(guān)注市場因素對決策者消費(fèi)行為的影響及其程度大小不僅對優(yōu)化消費(fèi)者的消費(fèi)決策很有意義,而且對完善整個市場運(yùn)行的機(jī)制以及宏觀調(diào)控的優(yōu)化也有重大的影響。 基于以上背景,作者在充分研究了前人文獻(xiàn)成果的基礎(chǔ)上,引入宏觀經(jīng)濟(jì)學(xué)中經(jīng)典的納什均衡分析框架,對投資消費(fèi)這一問題進(jìn)行最優(yōu)化分析。作者用制度轉(zhuǎn)換矩陣來刻畫資本市場的狀態(tài),風(fēng)險資產(chǎn)的收益率服從log正態(tài)分布,通過最大似然估計法擬合出了制度轉(zhuǎn)換矩陣與1og正態(tài)分布參數(shù),最終用遞歸法得出最優(yōu)消費(fèi)水平。參數(shù)估計中作者分別選取了中國和美國的數(shù)據(jù)進(jìn)行分析,結(jié)果發(fā)現(xiàn)中國的資本市場狀態(tài)波動較大不夠穩(wěn)定。接著,作者通過考察數(shù)值變化來分析貼現(xiàn)率、到期日、市場狀態(tài)以及風(fēng)險規(guī)避程度對最優(yōu)消費(fèi)水平的影響及程度大小。根據(jù)參數(shù)估計及敏感性分析結(jié)果,作者提出,為了促進(jìn)投資與消費(fèi)水平的不斷增加,政府應(yīng)該著力改善宏觀經(jīng)濟(jì)環(huán)境,優(yōu)化市場結(jié)構(gòu),只有在良好穩(wěn)定的市場狀態(tài)下,決策者才會對市場有信心,增加投資,從而不斷擴(kuò)張其財富最終提高消費(fèi)水平。 本文的創(chuàng)新之處主要表現(xiàn)在：(1)本文的研究角度比較新穎,從避免時間不一致問題這一角度出發(fā),而國內(nèi)的研究大多著眼于放寬經(jīng)典投資消費(fèi)最優(yōu)化問題中對于資本市場上的假設(shè)條件。(2)作者對納什均衡分析框架下的參數(shù)利用真實(shí)的市場數(shù)據(jù)進(jìn)行估計,彌補(bǔ)了前人文獻(xiàn)中參數(shù)估計的缺陷。(3)作者分別采用了中國與美國市場的數(shù)據(jù)進(jìn)行對比分析,且數(shù)據(jù)量大,結(jié)論更加有說服力,同時對于完善中國資本市場提供了理論依據(jù)。(4)作者關(guān)注了市場因素對投資消費(fèi)水平的影響,并用數(shù)值變化考察了他們的影響程度,對于政府的財政政策建議更加有針對性。
[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.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F830.59

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