一道COMPETITIVE　ＥＱＵＩＬＩＢＲＩＵＭ的问题 - 未名空间MITBBS历史存档

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一道COMPETITIVE　ＥＱＵＩＬＩＢＲＩＵＭ的问题

一道COMPETITIVE　ＥＱＵＩＬＩＢＲＩＵＭ的问题# Economics - 经济

c*g2004-04-23 07:04

1 楼

看看有谁能帮我做出来．谢谢．
Consider a competitive economy with a single non-storable consumption
good:corn.
There are two consumers, each of which is a strictly risk-averse expected
utility maximizer with time separable preference and is endowed with a given
amount of corn each period, which depends on the state of the world.
There are two states: in state 1 there are locusts, while in state 2 there are
not. There is 10% chance that state 1 occurs. The aggregate corn endowment is
strictly lower when there a

w*i2004-04-23 07:04

2 楼

Endowment at state 1: E1
Endowment at state 2: E2
Marginal utility: mu(.)
E1 mu(E2)
Equilibrium:
Buy asset 1 or buy asset 2 makes no difference, no arbitrage
utility loss at time 0 = expected utility gain at time 1 (times discount
rate)
time 0 endowment E (known at time 0)
p1*mu(E) : mu(E) = p1 : 1 = 1/10 mu(E1) : 9/10 mu(E2)
so p1>1/9
should be in any assets pricing textbook

are
is
assets

【在 c*****g 的大作中提到】

: 看看有谁能帮我做出来．谢谢．
: Consider a competitive economy with a single non-storable consumption
: good:corn.
: There are two consumers, each of which is a strictly risk-averse expected
: utility maximizer with time separable preference and is endowed with a given
: amount of corn each period, which depends on the state of the world.
: There are two states: in state 1 there are locusts, while in state 2 there are
: not. There is 10% chance that state 1 occurs. The aggregate corn endowment is
: strictly lower when there a

c*g2004-04-23 07:04

3 楼

非常感谢. 我对assets pricing 不了解.昨天自学了M-C第19章,也做出来了,但是方法和
你的不太一样,结果一样,也用到两个重要条件: E1 mu(E2).
再次感谢.

given
in
returns
is

【在 w********i 的大作中提到】

: Endowment at state 1: E1
: Endowment at state 2: E2
: Marginal utility: mu(.)
: E1 mu(E2)
: Equilibrium:
: Buy asset 1 or buy asset 2 makes no difference, no arbitrage
: utility loss at time 0 = expected utility gain at time 1 (times discount
: rate)
: time 0 endowment E (known at time 0)
: p1*mu(E) : mu(E) = p1 : 1 = 1/10 mu(E1) : 9/10 mu(E2)

w*i2004-04-23 07:04

4 楼

en, if you knew the basic assets pricing equation:
Et[mu(t+1)/mu(t) Rt,t+1]=1
you could get the answer immediately

和
expected
there
endowment
in

【在 c*****g 的大作中提到】

: 非常感谢. 我对assets pricing 不了解.昨天自学了M-C第19章,也做出来了,但是方法和
: 你的不太一样,结果一样,也用到两个重要条件: E1 mu(E2).
: 再次感谢.
:
: given
: in
: returns
: is

r*n2004-04-23 07:04

5 楼

喔,这个公式我知道,在宏观当中学的. LUCAS的经典MODEL.
我又想了一下你的方法,你的假设是:只有一个代表性的消费者, 但是这道题里有两个消费
者.所以我对你的方法产生了怀疑.但是我们得到的结果又是一样的:有这样一个均衡.本来
对这个就不熟悉,更困惑了. 另外这道题是一个MICRO PROF 出的,他是不搞assets
pricing的.
还有就是,在LUCAS的PAPER里,他的均衡定义还包括市场出清(DIVIDENT的和等于CONSUMPTI
ON)和消费者HOLD所有的ASSET. 是不是还应考虑这些呢?
这是我现在的一点想法.还是很感谢你,这年头能FREE的帮人做题的人太少了.

法
discount

【在 w********i 的大作中提到】

: en, if you knew the basic assets pricing equation:
: Et[mu(t+1)/mu(t) Rt,t+1]=1
: you could get the answer immediately
:
: 和
: expected
: there
: endowment
: in

w*i2004-04-23 07:04

6 楼

费
What is their difference?
还有就是,在LUCAS的PAPER里,他的均衡定义还包括市场出清(DIVIDENT的和等于CONSUMPTI
If consumers are identical, everybody consumes their endowment in the
equilibrium. Under the equilibrium price system, no one trades.
方

【在 r********n 的大作中提到】

: 喔,这个公式我知道,在宏观当中学的. LUCAS的经典MODEL.
: 我又想了一下你的方法,你的假设是:只有一个代表性的消费者, 但是这道题里有两个消费
: 者.所以我对你的方法产生了怀疑.但是我们得到的结果又是一样的:有这样一个均衡.本来
: 对这个就不熟悉,更困惑了. 另外这道题是一个MICRO PROF 出的,他是不搞assets
: pricing的.
: 还有就是,在LUCAS的PAPER里,他的均衡定义还包括市场出清(DIVIDENT的和等于CONSUMPTI
: ON)和消费者HOLD所有的ASSET. 是不是还应考虑这些呢?
: 这是我现在的一点想法.还是很感谢你,这年头能FREE的帮人做题的人太少了.
:
: 法