內生性偏好模型的經濟動態

This dissertation includes three essays on economic dynamics in models of endogenous discounting. In a representative agent, one-sector growth model in which the discounting is decreasing in the consumption standard measured as the current average consumption flow, Drugeon (1998) establishes local indeterminacy. The first essay extends Drugeon’s setup in the discount rate. In our setup, the consumption standard is a habit stock that a weighted average of the whole history of average consumption flows in the past. Local indeterminacy emerges only when the speed of habit formation tends to infinite; otherwise, local indeterminacy cannot appear no matter how large the habit affects the discount rate. Recently, in a one-sector growth model with leisure choices and fixed discount rates, Alonso-Carrera et al. (2008) have obtained local indeterminacy that is free from reliance on increasing social returns by introducing social levels of consumption into felicity function. The second essay generalizes the model of Alonso-Carrera et al. (2008) to consider consumption habit formation and investigates the plausibility of indeterminacy. For a generalization, a current consumption standard in a society is the habitual consumption of stock that comes from a past weighted average of consumption with weighting exponentially declining in the past. The general setup renders the setup in Alonso-Carrera et al. (2008) as a special case that emerges only when the adjustment speed of consumptive habit formulation is infinite. As the generalization turns out, indeterminacy emerges only when the speed of habit formation is sufficiently fast and is above a threshold. We derive the condition of the threshold. Employing the set of parameter values used in Alonso-Carrera et al. (2008), we find the threshold speed of consumption habit formation required for indeterminacy is unreasonably high. As a result, if preferences are affected by average consumption habits, it is unlikely for a one-sector growth model with elastic labor to exhibit indeterminacy without resorting to increasing social returns. While monetary policies have been analyzed in a Ramsey model with the time preference rate required to be constant geometric discounting, this structure has some doubtful implications, for example, the most patient individual would eventually own the entire economy. To avoid these unattractive implications, the third essay departs from existing setups by employing an endogenous time-preference structure of Becker and Mulligan (1997) wherein the agent optimally allocates spending in patience in order to increase one’s own appreciation of the future, and studies the effect of monetary policies on capital accumulation in a one-sector growth model with cash-in-advance constraints. Under this structure, two main results are obtained. First, even when consumption and investment are equally constrained by cash, the long-run relationship between money and capital may be positive if spending in patience is not constrained by cash. Second, along the transitional equilibrium path, the effect of monetary policies depends crucially on whether or not spending in patience is constrained by cash.

並列關鍵字

endogenous discounting,habit formation ； indeterminacy ； inflation ； capital accumulation ； spending in patience ； one-sector model

參考文獻

Abel, A.B., 1985, Dynamic behavior of capital accumulation in a cash-in-advance model, Journal of Monetary Economics 16, 55-71.

Abel, A., 1990, Asset prices under habit formation and catching up with the Joneses, American Economic Review 80, 38-42.

Alonso-Carrera, J., J. Caballe and X. Raurich, 2008, Can consumption spillovers be a source of equilibrium indeterminacy, Journal of Economic Dynamics and Control 32, 2883-2902.

Auray, S. and P. Feve, 2008, On sunspots, habits and monetary facts, Macroeconomic Dynamics 12, 72-96.

Basu, S. and J.G. Fernald, 1997, Returns-to-scale in U.S. production: estimates and implications, Journal of Political Economy 105, 249-283.

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內生性偏好模型的經濟動態

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