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題名 有限理性與彈性迷思
Bounded Rationality and the Elasticity Puzzle
作者 王仁甫
Wang,Jen Fu
貢獻者 陳樹衡
Chen,S.-H
王仁甫
Wang,Jen Fu
關鍵詞 跨期替代彈性
風險趨避係數
基因演算法
一般化動差法
一般化最小平方法
the elasticity of intertemporal substitution
RRA
GMM
GLS
Genetic Algorithms
日期 2005
上傳時間 18-Sep-2009 16:05:07 (UTC+8)
摘要 在總體經濟學中，跨期替代分析方法佔有相當重要的地位。其中跨期替代彈性(the
elasticity of intertemporal substitution, EIS)的大小，間接或者直接影響總體經濟中的許多層面，直覺上，例如跨期替代彈性越大，對個人而言，是對當期消費的機會成本提升，使延後消費的意願上升，同時增加個人儲蓄，在正常金融市場情況之下，個人儲蓄金額的增加，將使市場資金的供給量增多，使得企業或個人的投資機會成本降低，經由總體經濟中間接或直接的影響下，則總體經濟成長率應會上升。其中，當消費者效用函數為固定風險趨避係數(constant coefficient of relative risk aversion, CRRA)且具有跨期分割與可加性的特性，加上在傳統經濟學中，假設每個人皆為完全理性的前提下，經由跨期替代分析方法推導後，可以得到相對風險趨避係數(the coefficient of relative risk aversion, RRA)與跨期替代彈性(the elasticity of intertemporal substitution, EIS)恰好是倒數關係。

在過去相關研究中，Hansen and Singleton (1983)推估出跨期替代彈性值較大且顯著，但Hall (1988)強調，若考慮資料的時間加總問題(time aggregation problem)，
則前者估計出跨期替代彈性在統計上則不再是顯著；Hall亦於結論提出跨期替代彈性為小於或等於0.1，甚至比0小。在經濟意義上，代表股票市場中投資人的相對風險趨避程度(RRA)極大，直覺上，是不合理的現象，這也是著名的彈性迷思(elasticity puzzle)。於是Epstein and Zin (1991)嘗試建議並修正效用函數為不具時間分割性(non-time separable utility)的效用函數，並得到跨期替代彈性(EIS)與相對風險趨避係數(RRA)互為倒數關係，不復存在的結論。這也說明影響彈性迷思(elasticity puzzle)的原因有許多，其中之一，可能為設定不同形式效用函數所造成。

在傳統經濟模型中，假設完全理性的個人決策行為之下，利用跨期替代方法，可以得到跨期替代彈性(EIS)與相對風險趨避程度(RRA)互為倒數關係後，又得到隱含風險趨避程度為無窮大的推估結論。這也是本研究想要來探究的問題，即是彈性迷思(elasticity puzzle)究竟是假設所造成，或者是因為由個體資料加總成總體資料，所產生的謬誤。

因此，本研究與其他研究不同之處，在於利用建構時間可分離形式的效用函數(time-separable utility)模型基礎，以遺傳演算(Genetic Algorithms)方法，建構有限理性的人工股票市場進行模擬，其中，模擬方式為設定不同代理人(agent)有不同程度的預測能力，代表其理性程度的差異的表現。

本研究發現在有限理性異質性個人的人工股票市場下，相對風險趨避程度係數(RRA)與跨期替代彈性(EIS)不為倒數關係，且設定不同代理人不同的預測能力，亦會影響跨期替代彈性(EIS)的推估數值大小。
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描述 碩士
國立政治大學
經濟研究所
92258011
94
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0922580111
資料類型 thesis
dc.contributor.advisor 陳樹衡zh_TW
dc.contributor.advisor Chen,S.-Hen_US
dc.contributor.author (Authors) 王仁甫zh_TW
dc.contributor.author (Authors) Wang,Jen Fuen_US
dc.creator (作者) 王仁甫zh_TW
dc.creator (作者) Wang,Jen Fuen_US
dc.date (日期) 2005en_US
dc.date.accessioned 18-Sep-2009 16:05:07 (UTC+8)-
dc.date.available 18-Sep-2009 16:05:07 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 16:05:07 (UTC+8)-
dc.identifier (Other Identifiers) G0922580111en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/35803-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟研究所zh_TW
dc.description (描述) 92258011zh_TW
dc.description (描述) 94zh_TW
dc.description.abstract (摘要) 在總體經濟學中，跨期替代分析方法佔有相當重要的地位。其中跨期替代彈性(the
elasticity of intertemporal substitution, EIS)的大小，間接或者直接影響總體經濟中的許多層面，直覺上，例如跨期替代彈性越大，對個人而言，是對當期消費的機會成本提升，使延後消費的意願上升，同時增加個人儲蓄，在正常金融市場情況之下，個人儲蓄金額的增加，將使市場資金的供給量增多，使得企業或個人的投資機會成本降低，經由總體經濟中間接或直接的影響下，則總體經濟成長率應會上升。其中，當消費者效用函數為固定風險趨避係數(constant coefficient of relative risk aversion, CRRA)且具有跨期分割與可加性的特性，加上在傳統經濟學中，假設每個人皆為完全理性的前提下，經由跨期替代分析方法推導後，可以得到相對風險趨避係數(the coefficient of relative risk aversion, RRA)與跨期替代彈性(the elasticity of intertemporal substitution, EIS)恰好是倒數關係。

在過去相關研究中，Hansen and Singleton (1983)推估出跨期替代彈性值較大且顯著，但Hall (1988)強調，若考慮資料的時間加總問題(time aggregation problem)，
則前者估計出跨期替代彈性在統計上則不再是顯著；Hall亦於結論提出跨期替代彈性為小於或等於0.1，甚至比0小。在經濟意義上，代表股票市場中投資人的相對風險趨避程度(RRA)極大，直覺上，是不合理的現象，這也是著名的彈性迷思(elasticity puzzle)。於是Epstein and Zin (1991)嘗試建議並修正效用函數為不具時間分割性(non-time separable utility)的效用函數，並得到跨期替代彈性(EIS)與相對風險趨避係數(RRA)互為倒數關係，不復存在的結論。這也說明影響彈性迷思(elasticity puzzle)的原因有許多，其中之一，可能為設定不同形式效用函數所造成。

在傳統經濟模型中，假設完全理性的個人決策行為之下，利用跨期替代方法，可以得到跨期替代彈性(EIS)與相對風險趨避程度(RRA)互為倒數關係後，又得到隱含風險趨避程度為無窮大的推估結論。這也是本研究想要來探究的問題，即是彈性迷思(elasticity puzzle)究竟是假設所造成，或者是因為由個體資料加總成總體資料，所產生的謬誤。

因此，本研究與其他研究不同之處，在於利用建構時間可分離形式的效用函數(time-separable utility)模型基礎，以遺傳演算(Genetic Algorithms)方法，建構有限理性的人工股票市場進行模擬，其中，模擬方式為設定不同代理人(agent)有不同程度的預測能力，代表其理性程度的差異的表現。

本研究發現在有限理性異質性個人的人工股票市場下，相對風險趨避程度係數(RRA)與跨期替代彈性(EIS)不為倒數關係，且設定不同代理人不同的預測能力，亦會影響跨期替代彈性(EIS)的推估數值大小。		zh_TW
dc.description.tableofcontents １ 緒論 ......................................1
1.1　研究動機與目的..........................2
　 1.2 本文架構................................4
2 文獻回顧　...................................6
2.1 傳統經濟學的迷思.........................8
2.1.1 經濟模型缺失........................8
2.1.2 代表性個人與異質性投質者所造成之影響...13
2.1.3 有限理性下的影響.....................13
2.2 以代理人基(Agent-Based)為基礎的經濟學.......15
3 模型建構與設定..............................18
3.1 模型建構...............................18
3.1.1 以傳統無窮期下CAPM模型為建模基礎......18
3.1.2 有限期下多資產CAPM模型建模...........20
3.2 模擬機制與實驗設計......................23
3.2.1 投資者（agent）演化機制.............23
3.3 以本論文模型推導迴歸方程式...............29
3.3.1 模擬設定...........................30
4 模擬結果與計量分析...........................31
4.1 以對數效用函數投資者(log utility agent)為基礎的模擬分析
..........................33
4.1.1 個別投資之EIS模擬結果分析...........35
4.1.2 以個股分發股利（given dividend）為報酬(rd2)之基礎下
　　　　　　分析...............................47
4.1.3 以log utility 為模擬基礎的結論......52
4.2 比較跨期替代彈性（EIS）與風險趨避程度（RRA）相關性
　　 4.2.1 以個投資者報酬（rd1）為分析基礎.....56
4.2.2 以市場報酬(rd2)為分析基礎..........57
4.2.3 對消費者及報酬資料加總分析..........59
4.2.4 小結.............................62
4.3 加大異質性對EIS推估的影響...............65
4.3.1 以rd1分析.........................65
4.3.2 在加大異質性以市場報酬(rd2)分析.....66
4.3.3 在大異質性下加總性資料分析..........69
4.3.4 小結.............................70
5 結論與未來研究方向　........................72
5.1 結論...............................72
5.2 未來研究方向........................74

A 附錄　A--EIS　回歸式-數學推導...............75
B 附錄　B--belief 程式演化說明................78
C 附錄　C--Durbin Watson test ...............81		zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0922580111en_US
dc.subject (關鍵詞) 跨期替代彈性zh_TW
dc.subject (關鍵詞) 風險趨避係數zh_TW
dc.subject (關鍵詞) 基因演算法zh_TW
dc.subject (關鍵詞) 一般化動差法zh_TW
dc.subject (關鍵詞) 一般化最小平方法zh_TW
dc.subject (關鍵詞) the elasticity of intertemporal substitutionen_US
dc.subject (關鍵詞) RRAen_US
dc.subject (關鍵詞) GMMen_US
dc.subject (關鍵詞) GLSen_US
dc.subject (關鍵詞) Genetic Algorithmsen_US
dc.title (題名) 有限理性與彈性迷思zh_TW
dc.title (題名) Bounded Rationality and the Elasticity Puzzleen_US
dc.type (資料類型) thesisen
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