Expectations in micro data: rationality revisited

An increasing number of longitudinal data sets collect expectations information regarding a variety of future individual level events and decisions, providing researchers with the opportunity to explore expectations over micro variables in detail. We present a theoretical framework and an econometric methodology to use that type of information to test the Rational Expectations (RE) hypothesis in models of individual behavior. This RE assumption at the micro level underlies a majority of the research in applied fields in economics, and it is the common foundation of most work in dynamic models of individual behavior. We present tests of three different types of expectations using two different panel data sets that represent two very different populations. In all three cases we cannot reject the RE hypothesis. Our results support a wide variety of models in economics, and other disciplines, that assume rational behavior. We would like to acknowledge outstanding research assistance from Huan Ni. The Michigan Retirement Research Center (MRRC) and the TIAA-CREF Institute made this research possible through their financial support of two related projects. Benítez-Silva also acknowledges the financial support from NIH grant AG1298502 on a related project, and also from the Fundación BBVA, and the Spanish Ministry of Science and Technology through project number SEJ2005-08783-C04-01, and wants to thank the Department of Economics at the University of Maryland and the Department of Economics at Universitat Pompeu Fabra for their hospitality during the completion of this paper. Three anonymous referees provided excellent comments and suggestions. Any remaining errors are the authors’.     

An ascending double auction

We show why the failure of the affiliation assumption prevents the double auction from achieving efficient outcomes when values are interdependent. This motivates the study of an ascending price version of the double auction. It is shown that when there is a sufficiently large, but still finite, number of sellers, this mechanism has an approximate perfect Bayesian equilibrium in which traders continue bidding if and only if their true estimates of the ‘value’ of the object being traded exceed the current price. This equilibrium is ex post efficient and has a rational expectations property in the sense that along the equilibrium path traders appear to have made the best possible trades conditional on information revealed by the trading process. We thank two anonymous referees and Dan Kovenock, the Editor, whose detailed comments and suggestions have allowed us to substantially improve the paper. We also thank seminar participants at University of Toronto, University of Wisconsin-Madison, Summer 2003 North American Meetings of the Econometric Society, 2004 NSF Decentralization Conference for their comments.     

经济理论该如何回应行为“异象”挑战——来自桑塔费学派的看法

行为经济学研究不是要挑战主流经济学的理性行动者模型（BPC模型）,而是要改造和完善BPC模型。许多不一致的偏好和"非理性"的行为,只要加入情景因素便可得到合理的解释。经济理论对人类行为"异象"挑战的正确回应,不是抛弃BPC模型,而是考虑偏好的情景依存性和进化心理机制对BPC模型进行修正和改造。     

Rational expectations,difference of opinions and asset pricing

This article applies the concept of relative overconfidence (the measure of how heavily investors depend on others’ information) to combine the rational expectations equilibrium (REE) and difference of opinions (DO) models. And we discuss the effects of relative overconfidence on asset price efficiency and trading volume. We find that when investors hold assets to maturity, relative overconfidence has no effect on price efficiency and trading volume; however, when investors speculate, relative overconfidence reduces price informativeness and trading volume, because investors will reckon asset prices as more noisy and find it meaningless to speculate on capital gains based on their private information. Our results highlight the role of speculation in differentiating REE and DO models and influencing the effects of overconfidence.     

我国机场建设布局合理性实证分析

目前中国机场建设存在着资源浪费和盲目建设、重复建设等问题,航空机场布局中存在比较严重的漏洞,缺乏合理的规划.针对我国机场建设存在的主要问题,将国家安全以及国际航空市场竞争综合进行考虑,优化我国目前的机场建设布局,明确国内不同级别机场的职能,实现地区交通体系建设的优势互补,对于我国优化地区产业布局,促进航空业发展均具有战略意义.     

新时期我国健康城市化的经济学解释及发展重点分析

目前,我国正处在城市化快速发展的阶段,农民市民化趋势与城市社会经济发展和城市承载能力之间产生了一系列的矛盾.本文针对目前在城市化理论研究和实践中存在的问题,从经济学视角对城市健康发展加以解释,得出健康城市化的经济学涵义,并提出了新时期我国健康城市化发展的重点.     

包含多个知情交易者的可甄别交易流模型研究

本文扩展Corb（1994）分析框架,研究包含多个知情交易者的可甄别交易流模型．通过数值解的方法求得理性预期均衡。研究表明,线性理性预期均衡与相应的卡尔类型模型的均衡是相同的。在非线性理性预期均衡中,与卡尔类型模型相比,知情交易者的期望利润更低．市场流动性更高;当市场上不知情交易者的数量较少以及知情交易者的私人信息准确度不高时．知情交易者的交易强度更大,价格更有效,反之,知情交易者的交易强度会更小。     

新凯恩斯主义粘性信息理论研究评述

为了说明价格粘性与工资粘性产生的微观基础,新凯恩斯主义者近年来提出了粘性信息模型,认为关于宏观经济运行的各种信息在经济主体之间的传播是缓慢的,其原因在于获取信息和处理信息是需要花费成本的,最优化也是需要成本的,虽然价格总是变动的,但企业的价格决策并不是总是以当前最新的信息为基础,这就产生了理性的疏忽。新凯恩斯主义者提出了粘性信息的菲利普斯曲线,认为当前通货膨胀率不仅仅取决于当前产出,还依赖于过去对当前通货膨胀率以及产出缺口变动率的预期。本文认为粘性信息理论是凯恩斯主义理论的一次重大飞跃,对微观经济主体的假设更加系统、更接近现实,克服了完全理性假说非现实性的缺点,对经济活动的解释更具有可信度,是当代宏观经济学的重要进展。     

Revealed group preferences on non-convex choice problems

Summary. This paper studies the conditions under which the basic results of the revealed preference theory can be established on the domain of choice problems which include non-convex feasible sets; the exercise is closely related to the works of Peters and Wakker (1991) and Bossert (1994). We show that while no continuous choice function can satisfy strong Pareto optimality over the class of all compact and comprehensive choice problems, strong Pareto optimality, Arrow's choice axiom, upper hemicontinuity and a weak compromisation postulate turn out to be necessary and sufficient to represent choice correspondences by continuous, strictly increasing and quasiconcave real-valued functions. Some applications of our main findings to axiomatic bargaining theory are also studied. Received: December 2, 1996; revised version: February 27, 1998     

我国宏观税收负担水平的选择和优化

政府税收收入规模过小难以保证其履行职能的资金需要,而政府税收收入规模过大又会抑制经济的发展,因此科学理性地确定一国的宏观税收负担水平显得尤为重要。本文分析了宏观税收负担水平的影响因素,借鉴国际经验,结合我国国情,就如何界定我国宏观税收负担水平及其优化途径提供了相关的建议。