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18
9 (18 ):


(50% )
( )
(50% )


1-2

,
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

Campbell J. Y. (1999) Asset Prices, Consumption, and


the Business Cycle in Handbook of Macroeconomics
ed. by J. B. Taylor and M. Woodford. (also NBER
Working Paper No. 6485, 1998).
http://papers.nber.org/papers/W6485

?
(LCH)
(PIH)
(RWH)


?
LCH/PIH

Friedman M. (1957) A Theory of the Consumption Function.


Princeton University Press: Princeton.

Modigliani F., Brumberg R. (1954) Utility Analysis and the


Consumption Function: and Interpretation of Cross-Section
Data in Post Keynesian Economics ed. by K. K. Kurihara,
Rutgers University Press: New Brunswick, N. J.




() :

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)

Hall R.E. (1978) Stochastic Implications of the Life Cycle -


Permanent Income Hypothesis: Theory and Evidence.
Journal of Political Economy, 86(6), pp. 971-87.
Random Walk Hypothesis (RWH)


:

u (Ct )
(1) E0 max
t 0 (1 )
t Ct

( 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

(10) u(Ct 1 ) u(Ct ) t 1 , Et t 1 0


,

RWH
. , ,
:

(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






,
,




:

19 Ct 8.2 1.130 Ct 1 0.040 Ct 2 0.030 Ct 3 0.113 Ct 4 ,


( 8 .3 ) ( 0.092 ) ( 0.142 ) ( 0.142 ) ( 0.093 )

R 2 0.9988, SE 14.5, DW 1.96.

(20) Ct 23 1.076 Ct 1 0.049 Yt 1 0.051Yt 2 0.023Yt 3 0.024 Yt 4


(11) ( 0.047) ( 0.043) ( 0.052) ( 0.051) ( 0.037)

R 2 0.9989, SE 14.4, DW 1.71.






Flavin M. A. (1981) The Adjustment of Consumption to Changing
Expectations About Future Income. Journal of Political Economy, 89, pp.
974-1009.
Nelson C., Plosser C. (1982) Trends and Random Walks in
Macroeconomic Time Series. Some Evidence and Implications. Journal of
Monetary Economics, vol. 10, pp. 139-162.
Deaton A. (1987) Life-Cycle Models of Consumption: Is the Evidence
Consistent with the Theory in T. Bewley ed. Advances in Econometrics,
Fifth World Congress, Vol. 2, pp. 121-48.
Campbell J. Y., Mankiw N. G. (1989) Consumption, Income, and Interest
Rates: Reinterpreting the Time Series Evidence in MIT Macroeconomics
Annual, pp. 185-216, ed. by O. J. Blanchard and S. Fischer.
Flavin M. A. (1993) The Excess Smoothness of Consumption:
Identification and Interpretation. Review of Economic Studies, 60(204), pp.
651-666.
Deaton A. (1992) Understanding Consumption. Clarendon Press: Oxford.


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 )

31 Yt 0.025 0.417 Yt 1 0.025Yt 1.


(1.54 ) ( 5.17 ) (1.56 )
: ( )



23 ( L)Yt Y ( L) t ,
25 Ct , , r t 1
Hansen-Sargent (1981) , (-
) ARMA (23) (
) ARIMA,

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)


,

-
( )

,
(, )
,
,

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