[6.3]系统理论进展:应对经济复杂性的系统和物理视角

[6.3]系统理论进展:应对经济复杂性的系统和物理视角

周三系统理论进展学术交流报告



应对经济复杂性的系统和物理视角



主讲人:王有贵(教授)、石永彬、熊婉婷、李伯尧



时间:2015.6.3(周三) 下午1330



地点:北京师范大学英东教育楼217会议室




摘要:近期的金融危机和经济现实呼吁经济学理论框架的重新构建,以便对经济现象给出更合理的解释和有效的政策建议。宏观经济的复杂性对于宏观经济理论的重构带来了很大的挑战,一是微观层面熟知的因果逻辑在宏观层面上未必成立,这个通常被称为“合成谬误”;另一个是传统经济学所忽视的金融部门实际上在宏观经济运行中扮演了极其重要的角色,这个被称之为“集成问题”。忽视了“合成谬误”和“集成问题”的政策方案,特别是用来应对系统性风险的宏观审慎政策,其结果往往是“南辕北辙”,适得其反。我们认为,迎接这个理论挑战的有效方法,不是主流经济学所倡导的理性和均衡,而是复杂性科学中的系统和物理。其中,最有代表性的是存量流量一致性模型,它是集系统与物理于一身的典型范式。我们发现,从系统和物理的视角出发考察宏观经济,能够给出微观行为的宏观结果,能够理解金融不稳定的根源,还能有效地提出防范和应对金融危机的政策主张。同样,这样的视角还能够帮助我们理解群体博弈的现象和结果。

宏观部分(13:3015:00
1、王有贵:新经济理论重构的基本框架(15分钟);
2、石永彬:储蓄行为的宏观结果(15分钟);
3、熊婉婷:自组织金融不稳定性(20分钟);
4、李伯尧:巴塞尔III协议的政策有效性(20分钟);
茶歇(15:0015:15
博弈部分(15:1516:15
5、熊婉婷:群体博弈的实验和理论—以最后通牒博弈为例。


部分内容详细介绍:

1. Saving Behavior and Velocity of MoneyCirculation

       This work presents a multi-agent basedmodel to describe the expenditure behavior of agents, and to analyze how thesaving behavior of agents affects the equilibrium value of velocity of money. Theagents are divided into two types, one has a propensity of saving with respectto income, the other one has a propensity of saving with respect to wealth. Thisstudy has shown that in an economy consisting of only the people whoseexpenditure is determined by their incomes, the circulation of money eventuallyceases. When the two types of agents are mixed, we have the same final outcome,for the first group will drain up all the money stock. Only if the people havemixed behavior, the system can then be sustained. This study could provide usmore insightful understanding of the micro-foundation of money circulation andof the impacts interaction of agents on the performance of a macro-economy.


2. Self-organized Financial Instability

       By drawing an analogy of the collapses ofa sand pile and financial crashes due to cascading bankruptcy, this work aimsto understand the sources of instability in the financial system and the factthat financial crashes have become bigger but rarer. It is argued that the boomand bust of credit could emerge from a self-organized process without anyexogenous shocks. The occurrence of financial crashes is uncertain andimpossible to predict unless perfect information about the network structure isgiven. By simulation, we found that the distribution of the size of financialcrash follows the power law while that of crash interval is exponential. Atrade-off between the size and the frequency of crashes was also discovered.


3. Multi-player Ultimatum Game: Theory and Experiment

       The formation process of the fairnesspreference in ultimatum games remains an intriguing puzzle. we put the questioninto a repeated and multiplayer framework and attempts to provide a theoreticalexplanation that is further tested through human experiments. In this theory,the players are assumed to be directional learners whose collective behaviorsare characterized by a set of master equations with path-dependent transitionrates. With this model, two predictions are drawn: (1) directional learninglead to a Nash equilibrium but not necessarily a subgame perfect state, and (2)after learning, proposers exhibit a high concentration of offers at theequilibrium offer while responders hold on to the variety of demands. Theseconclusions are supported by the experimental results which confirm that (1)the evolution process and the equilibrium results are in agreement with the theory,and (2) the properties of directional learning are observed in the behaviors ofhuman players.


4. Impactsof the Liquidity Regulation over Banks on Macroeconomic Stability

       In response to the deficiencies of financialregulation revealed by this crisis, the Basel Committee on Banking Supervisionpublished the Basel III documents: A global regulatory framework for moreresilient banks and banking systems in order to strengthen the regulation,supervision, and risk management of the banking sector. However,up to present, people scarcely obtain a consistent and definite answer on theeffects of these new regulations. Indeed, the changes in liquidity requirementsinvolved in Basel III is almost an experiential and intuitive response to thisrecent crisis, how these fresh regulations affect banking conditions andultimately output remains an open question. We show that the LCR probably donot yet a qualified micro prudential regulation under its definition in somespecified stressed scenarios. We discover a novel positive feedback effectimplying in the LCR that can be triggered endogenously. In view of this, ouranalysis clearly indicates that the LCR regulation as a prescription for thehealth of banking system potentially turns out to be a poison to the wholeeconomy under some specific circumstances.



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