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Government guarantee, inflation-linked bonds, and investment with ambiguity and learning.

机译：政府担保，与通胀挂钩的债券以及具有歧义和学习能力的投资。

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摘要

The broad aim of this dissertation is to explain some puzzling phenomena in Finance and Macroeconomics, focusing on the role of (1) government guarantee, (2) Inflation-Linked Bonds (ILBs) and (3) models with ambiguity and learning. I explore their quantitative and qualitative influences on consumption, investment and financing decisions.;The first chapter analyzes the effect of government guarantee cost as a new incentive to issue ILBs. During a political decision or reform process, a government typically has to provide some form of compensation to avoid noncompliance. The cost of this guarantee could be significant, and issuing ILBs instead of providing this guarantee would be a way for the government to avoid this cost. The model with this new feature provides a mechanism to explain why some countries issue ILBs with low inflation and also justifies why countries typically only issue small amounts of ILBs compared to nominal bonds, neither of which practices is well explained by the previous literature.;The second chapter introduces ambiguity and learning into a portfolio-choice model to explain some puzzling stylized facts, especially the "hump-shaped" share in risky asset in relation to age. I find that the ambiguity over labor income will make the agent not invest much in risky assets at the beginning of the working life. As the agent approaches retirement, there are two partially offsetting effects. First, the learning mechanism gradually solves the uncertainty. Second, the value of the bond position implicit in his human capital decreases. Eventually, this second effect prevails, and hence explains the hump-shaped stock allocation of the agent's life-cycle profile.;The third chapter discusses the role of ILBs in China's pension reform. Firstly it reviews the current problems of China's pension structure so as to find ways to improve the conditions of Chinese pensioners. In particular, I argue that the government could issue ILBs. Then by conducting a simulation using China's macro and financial data, I show that the ILBs will provide the investor with a significantly better risk-return trade-off.
机译：本文的主要目的是解释金融和宏观经济学中的一些令人困惑的现象，重点是（1）政府担保，（2）通货膨胀债券（ILBs）和（3）具有模糊性和学习性的模型的作用。我探讨了它们对消费，投资和融资决策的定量和定性影响。第一章分析了政府担保成本作为发行ILB的新动机的影响。在政治决策或改革过程中，政府通常必须提供某种形式的补偿，以避免违规。此担保的成本可能很高，签发ILB而不是提供此担保将是政府避免此费用的一种方式。具有此新功能的模型提供了一种机制，可以解释为什么一些国家发行低通胀的ILB，并说明为什么与标称债券相比，国家通常只发行少量ILB，而先前的文献都没有很好地解释这两种做法。第二章将歧义性和学习性引入投资组合选择模型中，以解释一些令人费解的程式化事实，尤其是与年龄有关的风险资产中的“驼峰形”份额。我发现对劳动收入的含糊不清将使代理人在工作开始之初就不会对风险资产进行太多投资。随着代理人退休，有两种抵消作用。首先，学习机制逐步解决了不确定性。其次，人力资本中隐含的债券头寸价值下降。最终，这种第二种效应盛行，从而解释了代理人生命周期轮廓的驼峰形股票分配。第三章讨论了ILB在中国养老金改革中的作用。首先，它回顾了中国养老金结构目前存在的问题，以寻求改善中国养老金领取者条件的方法。我特别认为政府可以发行ILB。然后，通过使用中国的宏观和金融数据进行的模拟，我证明了ILB将为投资者提供明显更好的风险收益权衡。

著录项

  • 作者

    Huang, Peng.;

  • 作者单位

    Boston University.;

  • 授予单位 Boston University.;
  • 学科 Finance.;Commerce-Business.;Economic theory.
  • 学位 Ph.D.
  • 年度 2015
  • 页码 118 p.
  • 总页数 118
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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