巫和懋2006-07-262018-06-292006-07-262018-06-292004http://ntur.lib.ntu.edu.tw//handle/246246/17043本研究探討在合理信念架構下，「內 生型不確定性」（endogenous uncertainty ） 對資產價格波動會有何種影響。本計畫根 據廣 Kurz and Wu （1996 ）發展出的「合 理信念」（rational beliefs ），以投資者具 有合理但異質的信念（heterogeneous beliefs ）來刻劃在金融市場交易所必須面對 的不確定性。信念的變換也造成「內生型 不確定性」（endogenous uncertainty ）(見 Kurz and Wu (1996)，Huang and Wu (1999)）。應用「社會狀態」(Social states, 見 Cass, Chichilnisky and Wu (1996))觀念與我 最近幾篇文章(Wu and Guo (2003, 2004)） 推導出來的方法，本研究分析資產價格的 波動特性，並且瞭解財務創新與政策的影響。The purpose of this research is to study the impacts of endogenous uncertainty on asset price volatility when participants in the financial markets have heterogeneous but rational beliefs. The participants in the financial market are allowed to form heterogeneous but “rational beliefs”, as developed by Kurz and Wu (1996). In such a framework, the equilibrium prices do not have any discernible connection with the exogenous states of the world (see Kurz and Wu (1996) and Huang and Wu (1999)). This kind of uncertainty is therefore called “endogenous uncertainty”. Based on the work of Wu and Guo (2003, 2004), we apply the concept of social states (see Cass, Chichilnisky and Wu (1996)) to study the pattern of asset price volatility in an economy with endogenous uncertainty. We also explore the implications of government policy and financial innovation.application/pdf72575 bytesapplication/pdfzh-TW國立臺灣大學國際企業學系暨研究所資產價格波動財務創新內生型不確定性合理信念Asset Price VolatilityFinancial InnovationEndogenous UncertaintyRational Beliefsreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/17043/1/922416H002016.pdf