Econ Papers Daily / 期刊论文
实体经济与股票市场之间感知驱动的互动
Perception-driven interactions between real economy and stock market
摘要
We develop a simple behavioural model where real economy interacts with stock market. The real economy adopts the Samuelson’s (Samuelson, 1939) multiplier–accelerator model while the stock market adopts a chartist-fundamentalist approach. The real economy and the stock markets interact via three channels: ( i ) the stock price influences private investment, ( i i ) the stock price influences agents’ perception of the national income equilibrium, and ( i i i ) the national income influences agents’ perception of the stock market fundamental value. In the absence of interaction terms, the real economy and the stock market are governed by two independent one-dimensional nonlinear maps. In such a setting, the real economy may generate endogenous boom and slumping dynamics, while the stock market may produce endogenous bull and bear market fluctuations. In the presence of interaction, the model’s dynamics are driven by a two-dimensional nonlinear map. Analytical and numerical investigations reveal that the model can generate multiple coexisting attractors characterized by comovements between stock prices and national income dynamics.
中文摘要
我们构建了一个简单的行为模型，其中实体经济与股票市场相互作用。实体经济采用萨缪尔森（Samuelson，1939）的乘数—加速数模型，而股票市场采用图表主义者—基本面主义者方法。实体经济与股票市场通过三个渠道相互作用：（i）股票价格影响私人投资，（ii）股票价格影响代理人对国民收入均衡的感知，（iii）国民收入影响代理人对股票市场基本面价值的感知。在不存在交互项的情况下，实体经济与股票市场由两个相互独立的一维非线性映射支配。在这种设定下，实体经济可能产生内生的繁荣与衰退动态，而股票市场可能产生内生的牛市与熊市波动。在存在交互作用的情况下，模型动态由一个二维非线性映射驱动。解析与数值研究表明，该模型能够生成多个共存吸引子，其特征是股票价格与国民收入动态之间的共同变动。