中国社会科学院研究生院 硕士学位论文 指导教师姓名：王 诚 职称：研究员 系别：经济系 专业名称：西方经济学 2004年4月 内容提要 本文首先论述了不确定性的起源，分类，在前人研究成果的基础上，吸收有限理性思想，提出将不确定性分为经济行为主体的（主观的）不确定性和客观的不确定性。经济行为主体的不确定性定义为偏离“完全理性”假设的行为都是主观的不确定性，而客观的不确定性则是经济行为主体所处环境所带来的不确定性。 我们追溯了凯恩斯在《就业、利息和货币通论》中强调的预期和不确定性，但是凯恩斯只是将预期的形成假定为外生而回避了对预期的深入研究。在随后经济理论的发展中，预期理论有了形式化的公式，这就是外推预期和适应性预期，这两种预期理论受到了许多批评，认为它们与“完全理性”假设不一致，在这两种预期理论中的经济行为人没有做到充分利用信息，而且会形成系统性错误。对于适应性预期而言，在经济学家和其研究对象之间有一个不对称。对于外推预期和适应性预期而言，在这两种预期理论中实际上考虑了经济行为主体的不确定性，虽然在这两种预期理论中没有考虑客观不确定性。不过必须指出，在外推预期和适应性预期理论中，经济学家们并没有考察预期的形成机制，只是将其作为假说提出，然后运用到经济分析中去。 1960年代穆斯提出了理性预期的思想，经卢卡斯等经济学家在十多年后重新发掘，掀起了经济理论中的理性预期革命。理性预期理论认为经济行为人的主观概率分布等于经济系统的客观概率分布。理性预期从其思想提出开始就受到各种批评。在这些批评中，最为有力的就是认为理性预期理论忽略了不确定性。理性预期理论虽然在其预期公式中加入了代表不确定性的随机性误差，但是，这难免有随意性之嫌。同时如果在分析中加入考虑成本的话，则对于理性假设就有一个无穷倒退的逻辑难题。随着对理性假设的反思，萨金特在其晚近工作中试图将有限理性和预期结合起来。目前看来，在考虑了有限理性的条件下，预期理论并没有取得突飞猛进的发展。而且在将西蒙的有限理性思想与萨金特的有限理性思想进行对比后可以发现，其实萨金特将有限理性和预期结合的尝试还是在回避西蒙的过程理性。也许经济学的预期理论必须回到对经济行为人自身的研究上来，充分吸收心理学、社会学等其他学科的成果才会有较大突破。 关键词：预期、适应性预期、理性预期、有限理性、不确定性 ABSTRACT In this dissertation, the origin and classification of uncertainty was discussed at first. Based on the antecedent researches, Uncertainty was classified into two kinds：the first one is the uncertainty of the economic agent which also means Subjective Uncertainty；The second one is Objective Uncertainty. In this classification, you can see ideas absorbed from bounded rationality. Uncertainty of economic agent was defined as those behaviors deviated from the assumption of Complete Rationality. The environment around the economic agent brings about Objective Uncertainty. We reviewed the ideas of expectation and uncertainty emphasized by John Maynard Keynes in his The General Theory of Employment, Interest and Money. Mr. Keynes stopped at extrinsic expectation assumption. Formalization of the expectation theory was the main works done by the economists in the afterwards researches in which Extrapolate Expectation and Adaptive Expectation assumptions were developed. But the two assumptions on expectation were criticized for being not coherent with the presumption of Complete Rationality；And the agent didn’t take full advantage of the information and would make systematic errors. There is an asymmetry between the economists and their research objects, the economic agent. In our analysis, the two assumptions on expectation provided places for Subjective Uncertainty although not for Objective Uncertainty. We must point out that in the two assumptions the economists didn’t investigate the formation of expectation and just use them as assumptions. Mr. Muth put forward the idea of Rational Expectation in the 1960’s, which was refreshed by Mr. Lucas in the 1970’s and caused the revolution of Rational Expectation in economic analysis, although it was criticized from the day it was put forward. The Subjective Probability Distribution of the economic agent equals the Objective Probability Distribution of the economy system in Rational Expectation Assumption. The most important criticize to the Rational Expectation Assumption is it’s ignoring of uncertainty. The stochastic errors added into the Rational Expectation formulas to represent uncertainty by those Rational Expectation economists were criticized as being unreasonable. If non-zero deliberation costs were taken into consideration, an infinite logic regression would occur. In his reconsideration on Rational Expectation, Mr. Sargent tried to combine Bounded Rationality with expectation in his current researches. More efforts must be made to make more progresses in expectation theory under the assumption of Bounded Rationality. After compared the Bounded Rationality of Sargent with the ideas of Simon, we can find that Sargent still avoided the Process Rationality in Simon’s researches. In order to make more progresses on expectation theory, we must research the economic agent and assimilate the ideas from psychology and sociology. Keywords: Expectation, Adaptive Expectation, Rational Expectation, Bounded Rationality, Uncertainty 目录 一、不确定性研究概述………………………………………………………………1 1、1不确定性的来源………………………………………………………………2 1、2不确定性的类型………………………………………………………………3 1、3关于主观不确定性的探讨…………………………………………………….4 1、4为什么要引入主观不确定性…………………………………………………..7 二、预期理论的早期研究…………………………………………………………..10 2、1凯恩斯的外生预期……………………………………………………………11 2、2外推预期…………………………………………………………………….13 2、3适应性预期………………………………………………………………….14 三、理性预期………………………………………………………………………..16 3、1理性预期的含义………………………………………………………………16 3、2对理性预期理论的批评及回应…………………………………………………19 3、2、1对理性预期理论的批评及回应之一……………………………………….20 3、2、2对理性预期理论的批评及回应之二……………………………………….21 3、2、3对理性预期理论的批评及回应之三………………………………………22 3、2、4对理性预期理论的批评之四………………………………………………23 四、预期理论的最新进展……………………………………………………………24 4、1不确定性与可预测性…………………………………………………………..24 4、2非平稳过程、各态历经性（ergodicity）、非线性以及非对称性………………25 4、3理性预期的出路………………………………………………………………27 4、4萨金特的适应性预期模型…………………………………………………….28 4、5预期的人工智能模拟方法…………………………………………………….29 4、6萨金特的有限理性与西蒙的有限理性的对比………………………………….31 五、结语………………………………………………………………………………32 附录一：复杂性与圣塔菲研究所…………………………………………………..32 附录二：萨金特的适应性预期……………………………………………………..33 附录三：主观概率与客观概率……………………………………………………..35 附录四：人工智能的专家系统……………………………………………………..36 参考文献……………………………………………………………………………..36 致谢…………………………………………………………………………………..44