具有价格调整的一般均衡——一个动态规划方法

J. Lindgren
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引用次数: 0

摘要

本文建立了瓦尔拉斯纯交换经济的动态框架,从而将静态瓦尔拉斯一般均衡理论扩展到具有价格调节的动态瓦尔拉斯一般均衡理论。基于动态规划的考虑,导出了价格向量的演化方程。经济试图通过最小化某个成本函数从非均衡走向一般均衡。成本函数衡量的是个体优化时的交易成本和总支出。价格决定与梯度搜索直接相关。如果在需要的时候价格调整可以很大,那么一般均衡在李亚普诺夫意义上是稳定的。条件稳定性可能是金融时间序列波动聚类的原因之一。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
General Equilibrium with Price Adjustments—A Dynamic Programming Approach
This research article develops a dynamic framework for the Walrasian pure exchange economy and thus extends the static Walrasian general equilibrium theory into a dynamic one with price adjustments. An evolution equation for the price vector is derived from dynamic programming considerations. The economy tries to move from disequilibrium to general equilibrium by minimizing certain cost functional. The cost functional measures transactions costs and the total expenditure of agents when they optimize individually. Price determination is directly related to a gradient search. The general equilibrium is shown to be stable in the sense of Lyapunov if price adjustments can be large, when needed. The conditional stability could be one reason for volatility clustering in financial time series.
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