金融市场与实体经济：从统计场的角度看资本配置与积累
Financial Markets and the Real Economy: A Statistical Field Perspective on Capital Allocation and Accumulation
摘要：
本文提供了一个一般的方法，直接翻译一个经典的经济框架与大量的代理人到一个场形式主义模型。这种类型的形式主义允许任意数量的代理人的经济模型的分析处理，同时保留系统的相互作用和微观经济特征的个人level.We应用这种方法来模拟金融市场和实体经济之间的相互作用，描述了大量的异构代理人，投资者和企业的经典框架。公司分布在不同的行业，但可能会在不同的行业之间转移，以提高他们的回报。他们通过生产差异化的商品来竞争，通过支付股息和股票估值来回报投资者。投资者根据企业的预期长期回报对企业进行投资，并沿着行业移动，由此框架衍生的场形式主义模型允许集体状态的出现。我们发现，在每个部门的公司数量取决于总的金融资本投资在该部门和其公司的预期长期回报。每个部门的资本积累既取决于短期回报，也取决于相对于相邻部门的预期长期回报。在第一种模式中，短期回报的股息成分对于公司数量少和资本低的部门是决定性的。在第二种模式中，该行业的短期和长期回报都推动了中高资本。在第三种模式中，对长期回报的更高预期驱使大量资本投入，资本积累的不稳定性可能在部门之间和部门内部出现。因此，我们扩大了研究方法，研究了集体配置的动态变化，特别是平均资本和预期长期回报之间的相互作用，并表明整体稳定性关键取决于预期的形成过程。对资本变化高度反应的预期稳定了高资本配置，并推动中低资本部门走向零资本或更高的资本水平，这取决于他们的初始资本。对资本变动的适度反应预期稳定了不稳定的低到中等的资本配置，并将高资本部门推向更适度的资本均衡水平。最终，对外生条件高度敏感和对资本变动高度反应的预期组合意味着系统中资本的大幅波动，可能以牺牲实体经济为代价。
英文摘要：
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.
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