發(fā)布時(shí)間：2018-04-16 10:30

  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(guó)民收入中最重要的兩個(gè)部分,也是財(cái)政政策制定的重點(diǎn)關(guān)注與實(shí)施對(duì)象。研究消費(fèi)與投資問(wèn)題有助于政府更好地制定有效的財(cái)政政策,充分發(fā)揮財(cái)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(zhǎng),同時(shí)對(duì)于正確引導(dǎo)財(cái)政政策實(shí)施的方向以及優(yōu)化市場(chǎng)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(duì)實(shí)現(xiàn)投資和消費(fèi)的動(dòng)態(tài)平衡具有很強(qiáng)的實(shí)踐指導(dǎo)意義。關(guān)注市場(chǎng)因素對(duì)決策者消費(fèi)行為的影響及其程度大小不僅對(duì)優(yōu)化消費(fèi)者的消費(fèi)決策很有意義,而且對(duì)完善整個(gè)市場(chǎng)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(duì)投資消費(fèi)這一問(wèn)題進(jìn)行最優(yōu)化分析。作者用制度轉(zhuǎn)換矩陣來(lái)刻畫(huà)資本市場(chǎng)的狀態(tài),風(fēng)險(xiǎn)資產(chǎn)的收益率服從log正態(tài)分布,通過(guò)最大似然估計(jì)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(jì)中作者分別選取了中國(guó)和美國(guó)的數(shù)據(jù)進(jìn)行分析,結(jié)果發(fā)現(xiàn)中國(guó)的資本市場(chǎng)狀態(tài)波動(dòng)較大不夠穩(wěn)定。接著,作者通過(guò)考察數(shù)值變化來(lái)分析貼現(xiàn)率、到期日、市場(chǎng)狀態(tài)以及風(fēng)險(xiǎn)規(guī)避程度對(duì)最優(yōu)消費(fèi)水平的影響及程度大小。根據(jù)參數(shù)估計(jì)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(chǎng)結(jié)構(gòu),只有在良好穩(wěn)定的市場(chǎng)狀態(tài)下,決策者才會(huì)對(duì)市場(chǎng)有信心,增加投資,從而不斷擴(kuò)張其財(cái)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(shí)間不一致問(wèn)題這一角度出發(fā),而國(guó)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(wèn)題中對(duì)于資本市場(chǎng)上的假設(shè)條件。(2)作者對(duì)納什均衡分析框架下的參數(shù)利用真實(shí)的市場(chǎng)數(shù)據(jù)進(jìn)行估計(jì),彌補(bǔ)了前人文獻(xiàn)中參數(shù)估計(jì)的缺陷。(3)作者分別采用了中國(guó)與美國(guó)市場(chǎng)的數(shù)據(jù)進(jìn)行對(duì)比分析,且數(shù)據(jù)量大,結(jié)論更加有說(shuō)服力,同時(shí)對(duì)于完善中國(guó)資本市場(chǎng)提供了理論依據(jù)。(4)作者關(guān)注了市場(chǎng)因素對(duì)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(duì)于政府的財(cái)政政策建議更加有針對(duì)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(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F830.59

【參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 劉海龍,吳沖鋒;考慮隨機(jī)方差的最優(yōu)消費(fèi)和投資決策問(wèn)題[J];管理工程學(xué)報(bào);2002年01期

2 錢曉松;跳擴(kuò)散模型中具有成比例交易費(fèi)的最優(yōu)投資消費(fèi)模型[J];高校應(yīng)用數(shù)學(xué)學(xué)報(bào)A輯(中文版);2005年03期

3 楊昭軍，，師義民;最優(yōu)投資及最優(yōu)消費(fèi)策略[J];高校應(yīng)用數(shù)學(xué)學(xué)報(bào)A輯(中文版);1994年01期

4 郭文旌;跳躍擴(kuò)散股價(jià)的最優(yōu)投資組合選擇[J];控制理論與應(yīng)用;2005年02期

5 費(fèi)為銀,吳讓泉;容許借貸的消費(fèi)投資策略研究[J];應(yīng)用數(shù)學(xué);2000年02期

本文編號(hào)：1758519