信息、通货膨胀与利息
Information, Inflation, and Interest
摘要：
本文提出了一类离散时间随机模型，用于通货膨胀挂钩资产的定价。本文从离散时间背景下的资产定价和利率理论的公理化方案开始。第一个公理引入了“无风险”资产，第二个公理确定了支付股息资产的跨期定价关系。名义和实际的定价内核，在价格指数可以表示，然后通过引入Sidrauski型效用函数依赖于（a）总消费率，和（b）的总利率的实际流动性利益赋予的货币供应量。消费和货币供应政策的选择，使得在一个特定的时间范围内获得的预期联合效用最大化的预算约束，考虑到与货币供应量相关的流动性效益的“价值”。对于二元效用函数的任何选择，所得到的模型都确定了消费率、价格水平和货币供应量之间的关系。该模型还产生了显式表达式的实际和名义的定价内核，从而建立了一个基础的通货膨胀挂钩证券的估值。
英文摘要：
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing relations that hold for dividend-paying assets. The nominal and real pricing kernels, in terms of which the price index can be expressed, are then modelled by introducing a Sidrauski-type utility function depending on (a) the aggregate rate of consumption, and (b) the aggregate rate of real liquidity benefit conferred by the money supply. Consumption and money supply policies are chosen such that the expected joint utility obtained over a specified time horizon is maximised subject to a budget constraint that takes into account the "value" of the liquidity benefit associated with the money supply. For any choice of the bivariate utility function, the resulting model determines a relation between the rate of consumption, the price level, and the money supply. The model also produces explicit expressions for the real and nominal pricing kernels, and hence establishes a basis for the valuation of inflation-linked securities.
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