英文标题：
《Macroeconomic Dynamics of Assets, Leverage and Trust》
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作者：
Jeroen Rozendaal, Yannick Malevergne and Didier Sornette
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最新提交年份：
2015
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英文摘要：
  A macroeconomic model based on the economic variables (i) assets, (ii) leverage (defined as debt over asset) and (iii) trust (defined as the maximum sustainable leverage) is proposed to investigate the role of credit in the dynamics of economic growth, and how credit may be associated with both economic performance and confidence. Our first notable finding is the mechanism of reward/penalty associated with patience, as quantified by the return on assets. In regular economies where the EBITA/Assets ratio is larger than the cost of debt, starting with a trust higher than leverage results in the highest long-term return on assets (which can be seen as a proxy for economic growth). Our second main finding concerns a recommendation for the reaction of a central bank to an external shock that affects negatively the economic growth. We find that late policy intervention in the model economy results in the highest long-term return on assets and largest asset value. But this comes at the cost of suffering longer from the crisis until the intervention occurs. The phenomenon can be ascribed to the fact that postponing intervention allows trust to increase first, and it is most effective to intervene when trust is high. These results derive from two fundamental assumptions underlying our model: (a) trust tends to increase when it is above leverage; (b) economic agents learn optimally to adjust debt for a given level of trust and amount of assets. Using a Markov Switching Model for the EBITA/Assets ratio, we have successfully calibrated our model to the empirical data of the return on equity of the EURO STOXX 50 for the time period 2000-2013. We find that dynamics of leverage and trust can be highly non-monotonous with curved trajectories, as a result of the nonlinear coupling between the variables.
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中文摘要：
提出了一个基于经济变量（i）资产、（ii）杠杆（定义为债务对资产的比率）和（iii）信任（定义为最大可持续杠杆）的宏观经济模型，以研究信贷在经济增长动态中的作用，以及信贷如何与经济表现和信心相关联。我们的第一个显著发现是与耐心相关的奖惩机制，通过资产回报率进行量化。在息税折旧摊销前利润/资产比率大于债务成本的常规经济体中，从高于杠杆的信托开始，长期资产回报率最高（这可以被视为经济增长的代表）。我们的第二个主要发现是关于中央银行对负面影响经济增长的外部冲击作出反应的建议。我们发现，模型经济中的后期政策干预导致了最高的长期资产回报率和最大的资产价值。但这样做的代价是，在干预发生之前，要承受更长时间的危机。这一现象可以归因于这样一个事实：推迟干预会让信任首先增加，而在信任较高时进行干预最有效。这些结果来自我们模型的两个基本假设：（a）当信任高于杠杆时，信任倾向于增加；（b） 经济代理人学习如何根据给定的信任水平和资产量最佳地调整债务。使用息税折旧摊销前利润/资产比率的马尔可夫转换模型，我们成功地将我们的模型校准为2000-2013年期间欧元斯托克50指数的股本回报率的经验数据。我们发现，由于变量之间的非线性耦合，杠杆和信任的动力学可以是高度非单调的曲线轨迹。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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