论文标题
金融市场和现实经济：关于资本分配和积累的统计领域观点
Financial Markets and the Real Economy: A Statistical Field Perspective on Capital Allocation and Accumulation
论文作者
论文摘要
本文提供了一种通用方法，可以将带有大量代理的经典经济框架直接转化为现场形式的模型。这种形式主义允许使用任意数量的代理商对经济模型进行分析处理，同时保留了个人级别的系统相互作用和微观经济特征。我们将这种方法应用于金融市场与真实经济之间的相互作用，以大量异构代理商，投资者，投资者和公司的经典框架进行了描述。企业在部门之间传播，但可能在部门之间转移以提高其回报。他们通过生产差异化商品并通过股息和股票的估值来奖励投资者来竞争。投资者会根据公司的预期长期收益进行投资，并沿着行业进行转移。从该框架中得出的现场形式 - 正式模型允许集体国家出现。我们表明，每个部门的公司数量取决于投资于该行业及其公司预期的长期收益的总金融资本。每个部门的资本积累都取决于短期收益和相对于邻近部门的预期长期收益。对于每个部门，出现了三种积累模式。在第一种模式中，短期收益的股息部分是少数公司和资本低的部门的决定因素。 在第二种模式中，该行业的短期和长期回报都在驱动中间至最高的资本。在第三种模式中，对长期回报的较高期望推动了大量资本投入。因此，我们扩大了我们的方法并研究集体配置的动态，特别是平均资本和预期的长期回报之间的相互作用，并表明总体稳定性至关重要地取决于期望的形成过程。对资本变量高度反应的期望稳定稳定高的资本配置，高资本配置，低资本范围降低资本方面，将资本范围推向较高的资本或高级资本，依赖于他们最初的资本，依赖于他们最初的资本。相反，低到中等的资本配置是通过对资本变化的适度反应的期望来稳定的，并将高资本部门推向了更中等水平的资本均衡水平。实际上，期望的结合既对外源性条件高度敏感又对资本的高度重新反应性，这意味着资本的变化表明，在系统中的大幅度波动，可能是实时的经济体。
This paper provides a general method to directly translate a classical economic framework with a large number of agents into a field-formalism model. This type of formalism allows the analytical treatment of economic models with an arbitrary number of agents, while preserving the system's interactions and microeconomic features of the individual level.We apply this methodology to model the interactions between financial markets and the real economy, described in a classical framework of a large number of heterogeneous agents, investors and firms. Firms are spread among sectors but may shift between sectors to improve their returns. They compete by producing differentiated goods and reward their investors by paying dividends and through their stocks' valuation. Investors invest in firms and move along sectors based on firms' expected long-run returns.The field-formalism model derived from this framework allows for collective states to emerge. We show that the number of firms in each sector depends on the aggregate financial capital invested in the sector and its firms' expected long-term returns. Capital accumulation in each sector depends both on short-term returns and expected long-term returns relative to neighbouring sectors.For each sector, three patterns of accumulation emerge. In the first pattern, the dividend component of short-term returns is determinant for sectors with small number of firms and low capital. In the second pattern, both short and long-term returns in the sector drive intermediate-to-high capital. In the third pattern, higher expectations of long-term returns drive massive inputs of capital.Instability in capital accumulation may arise among and within sectors. We therefore widen our approach and study the dynamics of the collective configurations, in particular interactions between average capital and expected long-term returns, and show that overall stability crucially depends on the expectations' formation process.Expectations that are highly reactive to capital variations stabilize high capital configurations, and drive low-to-moderate capital sectors towards zero or a higher level of capital, depending on their initial capital. Inversely, low-to moderate capital configurations are stabilized by expectations moderately reactive to capital variations, and drive high capital sectors towards more moderate level of capital equilibria.Eventually, the combination of expectations both highly sensitive to exogenous conditions and highly reactive to variations in capital imply that large fluctuations of capital in the system, at the possible expense of the real economy.
