金融经济学(王江).pdf

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1、金融经济学导论Chapter1IntertemporalChoice1.1概述1.1.1金融经济学的基本框架金融学的核心问题是资源的有效配置，而资源配置的效率主要体现在两个层面：在微观层面，配置效率关注的是经济参与者如何使用他们所拥有的资源来最优地满足他们的经济需要；在宏观层面，配置效率关注的是稀缺资源如何流向最能产生价值的地方。资源的配置是通过在市场特别是金融市场上的交易来完成的，金融市场是交易金融要求权（financialclaim）——即对未来资源的要求权的场所。因此，金融学关注的焦点是金融市场在资源配置中的作用和效率。具体而

2、言，它分析的是每一个市场参与者如何依赖金融市场达到资源的最优利用，以及市场如何促进资源在参与者之间进行有效配置。1-1⎧⎪个体参与者如何作出金融决策，尤其是在金融市场中的交易决策⎪⎪⎪建立基本框架个体参与者的这些决策如何决定金融市场的整体行为，特别是金融要求权的价格⎨⎪⎪⎪这些价格如何影响资源的实际配置⎪⎩RobinsonCrusoe’sdecisionissimultaneouslyoneofconsumptionandinvestment.Inordertodecide,heneedstwotypesofinformation:

3、(1)Heneedstounderstandhisownsubjectivetrade-offsbetweenconsumptionnowandconsumptioninthefuture.Thisinformationisembodiedintheutilityandindifferencecurves.(2)Hemustknowthefeasibletrade-offsbetweenpresentandfutureconsumptionthataretechnologicallypossible.Thesearegivenint

4、heinvestmentandproductionopportunitysets.Theoptimalconsumption/investmentdecisionestablishesasubjectiveinterestrate.Itrepresentsuniqueoptimalrateofexchangebetweenconsumptionnowandinthefuture.Thusinterestratesareanintegralpartofconsumption/investmentdecision.Onecanthink

5、oftheinterestrateasthepriceofdeferredconsumptionortherateofreturnoninvestment.1-21.1.2基本假设Consideraworldwithoutuncertaintywhereresourcesmaybeconsumedtodayorinvestedandconsumedtomorrow.Givenaninitialconsumptionbundleendowment,individualswishtomaximizetheirutility.Wewant

6、toshowhowthepresenceofaproductiontechnologyandacapitalmarketyieldsaParetooptimaloutcomeandthattheproductiondecisionisindependentofthesubjectivepreferencesofeachindividual.Ourmodelincludesthefollowingassumptions:(1)Onlytwoperiods(严格的说，应该是twodates:t=0,1,onetimeperiod),de

7、cisionsmadeintwoperiodcontext(2)Allwealthisconsumedatthesetwodates1-3(3)Wantsareinsatiable(marginalutilityisalwayspositive,U'0>)(4)Diminishingmarginalutility(U"0<)*(5)Individualhasanoriginalendowmenty(mannafromheaven)(6)Nofirms,norisk,notransactionscosts,notaxes(7)以一种物

8、品作为计量单位，其余的物品均换算成该物品Individualsareendowedwithincomeatthebeginningoftheperiod,y0,andattheendoftheperiod,y1.Individuals