理性预期、完全时间一致性与最优利率规则——一个基于无穷远视角的分析  

Rational Expectations,Full Time Consistency and the Optimal Interest-rate Rules——An Analysis Based on Timeless Perspective

作　　者：艾洪德[1] 郭凯[1] 

机构地区：[1]东北财经大学金融学院,辽宁大连116025

出　　处：《财经问题研究》2007年第8期3-13,共11页Research On Financial and Economic Issues

基　　金：国家自然科学基金资助项目(70473011)

摘　　要：本文以基准的线性理性预期模型为框架,在对无穷远视角的观点赋予新的解释的基础上,分析比较了利率规则的全局最优解SG、条件承诺最优解SCC、相机抉择最优解SD、时间一致性最优解STP和完全时间一致性最优解SFTP这五种形式的最优解的优劣性。我们发现,虽然SG SCC SD(表示"较优于"或"较强于"),但SG和SCC是时间不一致性解,它们最终会退化为SD的形式;又因为STP是SCC的上确界,因而也未必绝对优于SD;最后,SFTP相对于SD是占优解,它等价于在STP的基础上规定社会贴现因子等于1,它所对应的均衡符合时间一致性均衡,是稳态均衡的本质内涵,它相当于在原有的线性理性预期模型框架内增加了两类约束条件,同时随机非稳态社会损失福利函数也相应地转变为随机稳态社会损失福利函数。In the benchmark framework of the linear rational - expectations model, this paper compares the optimality among the five different solutions to optimal interest -rate rules, ie, SG （generally optimality）, Scc （ conditional commitment）, SD （ discretion）, STy （ time consistency）, SFTP （ full time consistency）. We find that SG is superior to Sc which is superior to SD. However, both SG and Scc is time inconsistent and they will reduce to SD eventually. STy is the supremum of SD, so it is not always superior to SD. On the other hand, SFTP is optimal relative to SD, which is equivalent to the stipulation that social discount factor be equal to one that is the only difference between SFTP and STy. Essentially, SFTP corresponds to two non -economic restrictions to the benchmark model, results in the time consistent equilibrium which accords with steady equilibrium, and at the same time, ＂stochastic unstable state social loss welfare function＂ in the benchmark model also changes into ＂stochastic stable state social loss welfare function＂.

关 键 词：理性预期 无穷远视角 完全时间一致性 最优利率规则 

分 类 号：F830.2[经济管理—金融学]