臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：內生性偏好模型的經濟動態
作者：許毓珊 引用關係
作者(外文)：Yu-Shan Hsu
校院名稱：國立臺灣大學
系所名稱：經濟學研究所
指導教授：陳明郎
學位類別：博士
出版日期：2009
主題關鍵詞：內生性偏好；習慣養成；複均衡；通貨膨脹；資本累積；單部門模型；endogenous discounting；habit formation；indeterminacy；inflation；capital accumulation；spending in patience；one-sector model
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:294
This dissertation includes three essays on economic dynamics in models of endogenous discounting. In a representative agent, one-sector growth model in which the discounting is decreasing in the consumption standard measured as the current average consumption flow, Drugeon (1998) establishes local indeterminacy. The first essay extends Drugeon’s setup in the discount rate. In our setup, the consumption standard is a habit stock that a weighted average of the whole history of average consumption flows in the past. Local indeterminacy emerges only when the speed of habit formation tends to infinite; otherwise, local indeterminacy cannot appear no matter how large the habit affects the discount rate.
Recently, in a one-sector growth model with leisure choices and fixed discount rates, Alonso-Carrera et al. (2008) have obtained local indeterminacy that is free from reliance on increasing social returns by introducing social levels of consumption into felicity function. The second essay generalizes the model of Alonso-Carrera et al. (2008) to consider consumption habit formation and investigates the plausibility of indeterminacy. For a generalization, a current consumption standard in a society is the habitual consumption of stock that comes from a past weighted average of consumption with weighting exponentially declining in the past. The general setup renders the setup in Alonso-Carrera et al. (2008) as a special case that emerges only when the adjustment speed of consumptive habit formulation is infinite. As the generalization turns out, indeterminacy emerges only when the speed of habit formation is sufficiently fast and is above a threshold. We derive the condition of the threshold. Employing the set of parameter values used in Alonso-Carrera et al. (2008), we find the threshold speed of consumption habit formation required for indeterminacy is unreasonably high. As a result, if preferences are affected by average consumption habits, it is unlikely for a one-sector growth model with elastic labor to exhibit indeterminacy without resorting to increasing social returns.
While monetary policies have been analyzed in a Ramsey model with the time preference rate required to be constant geometric discounting, this structure has some doubtful implications, for example, the most patient individual would eventually own the entire economy. To avoid these unattractive implications, the third essay departs from existing setups by employing an endogenous time-preference structure of Becker and Mulligan (1997) wherein the agent optimally allocates spending in patience in order to increase one’s own appreciation of the future, and studies the effect of monetary policies on capital accumulation in a one-sector growth model with cash-in-advance constraints. Under this structure, two main results are obtained. First, even when consumption and investment are equally constrained by cash, the long-run relationship between money and capital may be positive if spending in patience is not constrained by cash. Second, along the transitional equilibrium path, the effect of monetary policies depends crucially on whether or not spending in patience is constrained by cash.
References
Abel, A.B., 1985, Dynamic behavior of capital accumulation in a cash-in-advance model, Journal of Monetary Economics 16, 55-71.
Abel, A., 1990, Asset prices under habit formation and catching up with the Joneses, American Economic Review 80, 38-42.
Alonso-Carrera, J., J. Caballe and X. Raurich, 2008, Can consumption spillovers be a source of equilibrium indeterminacy, Journal of Economic Dynamics and Control 32, 2883-2902.
Auray, S. and P. Feve, 2008, On sunspots, habits and monetary facts, Macroeconomic Dynamics 12, 72-96.
Basu, S. and J.G. Fernald, 1997, Returns-to-scale in U.S. production: estimates and implications, Journal of Political Economy 105, 249-283.
Barro, R.J., 1999, Ramsey meets Laibson in the neoclassical growth model, Quarterly Journal of Economics 14, 1125-1152.
Becker, G.S. and C.B. Mulligan, 1997, On the endogenous determination of time preference, Quarterly Journal of Economics 112, 729-753.
Becker, R., 1980, On the long-run steady state in a simple model of equilibrium with heterogeneous households, Quarterly Journal of Economics 95, 375-82.
Benhabib, J. and R.E. Farmer, 1994, Indeterminacy and increasing returns, Journal of Economic Theory 63, 19-41.
Benhabib, J. and R.E. Farmer, 1999, Indeterminacy and sunspots in macroeconomics,
Handbook of Macroeconomics, in: J.B. Taylor and M. Woodford (ed.), 387-448.
Bianconi, M., 1992, Monetary growth innovations in a simple cash-in-advance asset-pricing model, European Economic Review 36, 1501-21.
Boldrin, M., L. Christinao and J. Fisher, 2001, Habit persistence, asset returns and business cycles, American Economic Review 91, 149-163.
Campbell, J. and J. Cochrane, 1999, By force of habit: a consumption-based explanation of aggregate stock market behavior, Journal of Political Economy 107, 205-251.
Campbell, J. and R. Shiller, 1988, Stock prices, earnings, and expected dividends, The Journal of Finance 43, 661-676.
Carmichael, B., 1989, Anticipated monetary policy in a cash-in-advance economy, Canadian Journal of Economics 22, 93-108.
Carrasco, R., J.M. Labeaga and J.D. Lopez-Salido, 2005, Consumption and habits: evidence from panel data, Economic Journal 115, 144-165.
Carroll, C.D., J. Overland and D.N. Weil, 2000, Savings and growth with habit formation, American Economic Review 90, 341-355.
Chang, W.Y. and H.F Tsai, 2003, Money, social status and capital accumulation in a cash-in-advance model, Journal of Money, Credit and Banking 35, 657-661.
Chen, B.-L., 2007, Multiple BGPs in a growth model with habit persistence, Journal of Money, Credit and Banking 39, 25-48.
Clower, R., 1967, A reconsideration of the microfoundations of monetary theory, Western Economic Journal 6, 1–9.
Constantinides, G..M., 1990, Habit formation: a resolution of the equity premium puzzle, Journal of Political Economy 98, 519-543.
Doi, J. and K. Mino, 2008, A variety-expansion model of growth with external habit formation, Journal of Economic Dynamics and Control 32, 3055-3083.
Dotsey, M. and P.D. Sarte, 2000, Inflation uncertainty and growth in a cash-in-advance economy, Journal of Monetary Economics 35, 631-55.
Drugeon, J. P., 1998, A Model with Endogenously Determined Cycles, Discounting and Growth, Economic Theory 12, 349-369.
Englund, P. and L.E.O. Svensson, 1988, Money and banking in a cash-in-advance economy, International Economic Review 29, 681-705.
Faria, J. R., 2001, Habit formation in a monetary growth model, Economics Letters 73, 51-55.
Fisher, I., 1930, The Theory of Interest, New York: McMillan.
Fuhrer, J., 2000, Habit formation in consumption and its implications for monetary-policy models,American Economic Review 90, 367-390.
Gong, L.T. and H.F. Zou, 2001, Money, social status and capital accumulation in a cash-in-advance model, Journal of Money, Credit and Banking 33, 284-293.
Korniotis, G..M., 2009, Estimating panel models with internal and external habit formation, the Journal of Business and Economic Statistics (forthcoming).
Krusell, P. and A. Smith, Jr., 2003, Consumption-savings decisions with quasi-geometric discounting, Econometrica 71, 365-375.
Laibson, D., 1997, Golden eggs and hyperbolic discounting, Quarterly Journal of Economics 112, 443-477.
Ljungqvist, L. and H. Uhlig, 2000, Tax policy and aggregate demand management under catching up with Joneses, American Economic Review 90, 356-366.
Lucas, R.E., Jr., 1980, Equilibrium in a pure currency economy, Economic Inquiry 18, 203-20.
Palivos, T., P. Wang and J. Zhang, 1993, Velocity of money in a modified cash-in-advance economy: theory and evidence, Journal of Macroeconomics 15, 225-48.
Phelps, E.S. and R. Pollak, 1968, One second-best national saving and game-equilibrium growth, Review of Economic Studies 35, 185-199.
Pollak, R., 1968, Consistent planning, Review of Economic Studies 35, 201-208.
Ravina, E., 2005, Keeping up with the Joneses: evidence from micro data, Working Paper, New York University.
Ryder, H.E. and G.M. Heal, 1973, Optimum Growth with Intertemporally Dependent Preferences, Review of Economic Studies 40,1-33.
Samuelson, P. A., 1937, A note on the measurement of utility, Review of Economic Studies 4, 155–161
Stern, M.L., 2006, Endogenous time preference and optimal growth, Economic Theory 29, 49-70.
Stockman, A.C., 1981, Anticipated inflation and the capital stock in cash-in-advance economy, Journal of Monetary Economics 8, 387-393.
Strotz, R.H., 1956, Myopia and inconsistency in dynamic utility optimization, Review of Economic Studies 23, 165-180.
Uzawa, H., 1968, Time preference, the consumption function, and optimal asset holdings, in Value, Capital and Growth: Papers in Honor of Sir John Hicks, J.N. Wolfe ed., pp. 485-504. Edinburgh: University of Edinburgh Press.
Van de Stadt, H., A. Kapteyn and S. van de Geer, 1985, The relativity of utility: evidence from panel data, Review of Economics and Statistics 67, 179-187.
Wachter, J., 2006, A consumption-based model of the term structure of interest rates, Journal of Financial Economics 76, 362-399.
Wang, P. and C.K. Yip, 1992, Alternative approaches to money and growth, Journal of Money, Credit and Banking 24, 553-562.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：476（臺灣：468，外國：8） ／ 本年度總使用人次：2328986 ／ 訪客人次（自102年09月）：68122708
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上