推广的周期性破裂型资产泡沫模型  

Extended Periodical Bursting Asset Bubble Model

作　　者：唐彦斌[1] 叶中行[1] 

机构地区：[1]上海交通大学理学院数学系

出　　处：《管理学报》2009年第1期31-35,56,共6页Chinese Journal of Management

基　　金：国家重点基础研究发展计划(973)资助项目(2007CB814903);国家自然科学基金资助项目(70671069)

摘　　要：在理性预期意义下对周期性破裂基本模型进行了推广,提出了周期性多步不完全破裂泡沫模型。通过数值模拟展示泡沫滋生、膨胀、破灭到再生的全过程,研究了含有泡沫的资产价格的厚尾统计特性,并给出政策性的建议。Periodical bursting bubble model proposed by Evans under rational expectation was extended. Periodical and multi-step incomplete bursting asset bubble model is proposed, which was simulated numerically to illustrate the whole process of bubble generating, expanding, bursting and regenerating. The fat tail statistical characteristic was discussed. Some suggestions are also given.

关 键 词：资产泡沫 不完全破裂型 周期性 厚尾特性 

分 类 号：F830[经济管理—金融学]