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( )
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,
spekarski@hse.ru
http://www.hse.ru/infopage/persona/p/pekarsky_s_e.htm
D. Romer (2001) Advanced Macroeconomics. 2nd ed.
McGraw-Hill. Ch. 7.
http://groups.yahoo.com/group/macro3finance/
macro3finance-subscribe@yahoogroups.com
?
(LCH)
(PIH)
(RWH)
?
LCH/PIH
T /
u (Ct )
t 0 (1 )
t
max
Ct
At 1 At Yt Ct (1 r )
T / T /
Ct Yt At
t 0 (1 r )
t
A0
t 0 (1 r )
t
NPG : lim
t (1 r ) t
0
AT 0
:
u (Ct ) 1 r
u (Ct 1 ) 1
Permanent Income Hypothesis
M. Friedman, 1957
u (Ct ) 1 r
Ct
Yt
u (Ct 1 ) 1
t 0 (1 r )
t
A0
t 0 (1 r )
t
1 Yt
r Ct const C A0
t 0 (1 r ) t
t 0 (1 r ) t
r
Yt
A0
PIH
C t
1 r t 0 1 r
PIH
-
(
)
r
def
Yt
C Y A0
P
t
1 r t 0 1 r
:
(human wealth).
,
PIH
def
St Yt Ct
At 1 At Yt Ct 1 r
At St 1 r
PIH
~ def r r
St At Yt Ct At St
1 r 1 r
~ r
At 1 At Yt Ct 1 r At St At 1 r
1 r
~
At St 1 r
PIH
..
(transitory income),
(
):
~ r
def
Yt St
T
At Yt Y P
1 r
Life-Cycle Hypothesis
F. Modigliani, R. Brumberg,1954
yt 1 , ct , st , at
8
1
0.8
0.2
0 L=40 T = 50
-0.8
?
LCH-PIH ,
,
(Random Walk Hypothesis)
( 2) At 1 At Yt Ct (1 rt 1 )
RWH
Et V ( At 1 , Yt 1 , rt 1 )
(3) V ( At , Yt , rt ) max u (Ct )
Ct
(1 )
V(A,) ( ) -
,
RWH
(
)
RWH
,
,
PIH
Et V ( At 1 , Yt 1 , rt 1 )
(3) V ( At , Yt , rt ) max u (Ct )
Ct
(1 )
, (3)
RWH
Et V ( At 1 , Yt 1 , rt 1 )
(3) V ( At , Yt , rt ) max u (Ct )
Ct
(1 )
( 2) At 1 At Yt Ct (1 rt 1 )
FOC :
1 V ( At 1 , Yt 1 , rt 1 )
(4) u(Ct ) Et (1 rt 1 )
1 At 1
RWH
: Zt = At + Yt - Ct
(3)
, :
Et V ( At 1 , Yt 1 , rt 1 )
5 V ( At , Yt , rt ) max u ( At Yt Z t )
Zt
(1 )
, ..
( ),
RWH
Et V ( At 1 , Yt 1 , rt 1 )
5 V ( At , Yt , rt ) max u ( At Yt Z t )
Zt
(1 )
,
Zt*
, At+1 = Zt (1 + rt+1), :
(6) V ( At , Yt , rt ) u ( At Yt Z )
*
Et V ( Z (1 rt 1 ), Yt 1 , rt 1 )
*
t
t
(1 )
RWH
(6) V ( At , Yt , rt ) u ( At Yt Z t )
* Et V (
Z t (1 rt 1 ), Yt 1 , rt 1 )
*
(1 )
At ,
-:
V ( At , Yt , rt ) u ( At Yt Z ) *
7 u(Ct )
t
At At
RWH
V ( At , Yt , rt )
(7) u (Ct )
At
:
,
RWH
1 V ( At 1 , Yt 1 , rt 1 )
(4) u(Ct ) Et (1 rt 1 )
1 At 1
V ( At , Yt , rt )
(7 ) u (Ct )
At
(4) (7), :
1
(8) u (Ct ) Et (1 rt 1 )u(Ct 1 )
1
RWH
1
(8) u(Ct ) Et (1 rt 1 )u (Ct 1 )
1
(8)
:
u (Ct ) 1 r 1
u (Ct ) 1 r u(Ct 1 )
u (Ct 1 ) 1 1
RWH
1
(8) u(Ct ) Et (1 rt 1 )u(Ct 1 )
1
(8)
,
, (8)
(
,
)
RWH
,
,
, rt = r
RWH
1
(8) u (Ct ) Et (1 rt 1 )u(Ct 1 )
1
1
(9) Et u (Ct 1 ) u (Ct ),
1 r
(11) u (Ct ) C Ct
1 2
u(Ct ) C Ct
.. , :
(12) Et u(Ct 1 ) u( Et Ct 1 )
Certainty Equivalence
(12) Et u(Ct 1 ) u( Et Ct 1 )
,
-
,
RWH
1
(9) Et u (Ct 1 ) u (Ct ),
1 r
(12) Et u(Ct 1 ) u ( Et Ct 1 )
C Ct C Et Ct 1
13 Et Ct 1 C 1 Ct
14 Ct 1 C 1 Ct t 1 , Et t 1 0
RWH
14 Ct 1 C 1 Ct t 1 , Et t 1 0
r = , :
(15) Ct 1 Ct t 1
..,
,
, t+1~i.i.d.(0,2),
(15)
RWH
.
1978
t t+1
,
RWH
C Y
16 Et At Et
t 1 r t 1 r
t t
r
Y
17 Ct At Et t
1 r t 1 r
(17)
,
RWH
~ r
def
Yt St
T
At Yt Yt P
1 r
r r
Y
At Yt At Et t
1 r 1 r t 1 r
r Y
Yt Et
1 r t 1 r t
RWH
r
Y
17 Ct At Et t
1 r t 1 r
r
Y
Ct 1 At 1 Et 1 t 1
1 r t 11 r
r Et 1Y EtY
(18) Ct Ct 1 Ct
1 r t 1 1 r t 1
r Et 1Y EtY
(18) Ct Ct 1 Ct
1 r t 1 1 r t 1
t t+1
,
r Et 1Y EtY
(18) Ct Ct 1 Ct
1 r t 1 1 r t 1
, ,
r Et 1Y EtY
(18) Ct Ct 1 Ct
1 r t 1 1 r t 1
,
,
:
RWH ,
: (18)
t
Yt
(19)-(20)
. , (20)
Yt
RWH , ,
,
,
,
(18)
,
,
, (18)
,
,
MA-
:
21 Yt Y t i t i
i 1
(21) -
21 Yt Y t i t i Y t 1 t 1 2 t 2
i 1
r Et 1Y EtY
(18) Ct Ct 1 Ct
1 r t 1 1 r t 1
t 1, Et 1Y EtY t 1
t 2, Et 1Y EtY 1 t 1
t 3, Et 1Y EtY 2 t 1
r 1 2
22 Ct 1 ... t 1
1 r 1 r 1 r 2
r 1
t 1
1 r 1 r
- ARMA
:
23 ( L)Yt Y ( L) t ,
( L) 1 1 L 2 L ... , ( L) 1 1 L 2 L ...,
2 2
Lxt xt 1 , L2 xt xt 2 , ...
ARMA
M:
24 Yt Y ( L) ( L) t
1
, (23):
1 2 1
1 ...
r 1 r 1 r
2
r 1 r
25 Ct t 1 t 1
1 r 1 2 1 r 1
1 1 r ...
1 r 2
1 r
1 2
1 ...
r 1 r 1 r
2
25 Ct , , r
t 1 t 1
1 r 1 2
1 1 r ...
1 r 2
, RW-,
,
,
1 2
1 ...
r 1 r 1 r
2
25 Ct , , r
t 1 t 1
1 r 1 2
1 1 r ...
1 r 2
,
,
-
RWH AR(2)
:
26 Yt 1 0 1Yt 2Yt 1 t 1 ,
27 Ct t 1
28 Ct 1Yt 2 Yt 1 t 1 t 1
26 Yt 1 0 1Yt 2Yt 1 t 1 ,
28 Ct 1Yt 2 Yt 1 t 1 t 1
:
29 Ct ( 1 0 ) (2 1 (1 1 )Yt 1
1 ( 2 1 1)Yt 1 (1 ) t 1 t 1 ,
30 Yt 0 (1 1)Yt 1 ( 2 1 1)Yt 1 t 1.
Deaton (1987) :
30 Ct 0.004 0.147 Yt 1 0.004 Yt 1 ,
( 0.4 ) ( 3.19 ) ( 0.47 )
32 ( L)Yt ( L) t ,
(25)
,
:
33 1 0.5L 1 (1 ) L Yt t
> 0 (TS Trend Stationary)
= 0 (DS
Difference Stationary)
23 ( L)Yt Y ( L) t ,
1 2
1 ...
r 1 r 1 r
2
25 C t t 1 , , r t 1
1 r 1 2
1 1 r ...
1 r 2
33 1 0.5L 1 (1 ) L Yt t
L 1 0.5 1 L 0.5 1 L ,
2
L 1,
r 1 r
34 Ct t 1
(r )(r 0.5)
33 1 0.5L 1 (1 ) L Yt t
r 1 r
34 C t t 1
(r )(r 0.5)
r 0.05
TS : 0.05 Ct 0.954 t 1
DS : 0 Ct 1.909 t 1
TS- ,
, ,
,
, -
:
(Nelson-Plosser, 1981)
,
-
( )
,
(, )
,
,