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Knightian uncertainty and macroeconomics

Research Project

Project/Area Number 15530115
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic theory
Research InstitutionKEIO UNIVERSITY (2005)
Tohoku University (2003-2004)

Principal Investigator

OZAKI Hiroyuki  KEIO UNIVERSITY, Economics, Professor, 経済学部, 教授 (90281956)

Project Period (FY) 2003 – 2005
Project Status Completed (Fiscal Year 2005)
Budget Amount *help
¥3,300,000 (Direct Cost: ¥3,300,000)
Fiscal Year 2005: ¥1,300,000 (Direct Cost: ¥1,300,000)
Fiscal Year 2004: ¥900,000 (Direct Cost: ¥900,000)
Fiscal Year 2003: ¥1,100,000 (Direct Cost: ¥1,100,000)
Keywordsrisk / subjective expected utility / Knightian uncertainty / maximin expected utility / ミンマックス期待効用理論
Research Abstract

The model in which the subjective probability is given to each event and economic agent maximizes expected utility with respect to the given probability is called subjective expected utility theory. On the other hand, the situation in which the degree of uncertainty is too large to be summarized by a single probability and it may be summarized by a "set" of probabilities is called Knightian uncertainty. The model in which the probability which minimizes the expected utility is chosen is called maximin expected utility theory. In main stream macroeconomics subjective expected utility theory was assumed so far. This research project uses maximin expected utility theory to analyze the macroeconomic phenomenon. In particular, the following point was found. In typical job search model which uses subjective expected utility, increase of risk is expressed by mean-preserving spread and increase of risk makes the period of job search longer. However, increase of uncertainty seems to make the pe … More riod of job search shorter because it is more natural to think that an unemployed worker takes the job offer more quickly to avoid future uncertainty. If we regard the increase of uncertainty as the expansion of a set of the possible probabilities rather than mean-preserving spread and if we think unemployed worker takes maximin behavior, then it turns out that an increase of Knightian uncertainty shortens the period of job search. Furthermore, an analysis of real option shows that while an increase of risk makes the timing of exercise shorter, an increase of Knightian uncertainty makes it longer. Intuitively, in the job search model, acceptance of job offer avoids uncertainty, but in option model, an exercise of an option makes the agent face uncertainty In addition to these results, we found that under Knightian uncertainty, learning procedure raises the degree of uncertainty on the contrary to our intuition, and axiomatization of a simple and operational form of maximin behavior was obtained. Less

Report

(4 results)
  • 2005 Annual Research Report   Final Research Report Summary
  • 2004 Annual Research Report
  • 2003 Annual Research Report
  • Research Products

    (7 results)

All 2006 2005 2004 Other

All Journal Article (5 results) Book (1 results) Publications (1 results)

  • [Journal Article] An axiomatic approach to epsilon-contamination2006

    • Author(s)
      西村清彦, 尾崎裕之
    • Journal Title

      Economic Theory 27

      Pages: 333-340

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2005 Annual Research Report 2005 Final Research Report Summary
  • [Journal Article] An axiomatic approach to epsilon-contamination2006

    • Author(s)
      Kiyohiko G.Nishimura, Hiroyuki Ozaki
    • Journal Title

      Economic Theory 27

      Pages: 333-340

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2005 Final Research Report Summary
  • [Journal Article] An Axiomatic Approach to Epsilon-contamination2005

    • Author(s)
      西村清彦, 尾崎裕之
    • Journal Title

      Economic Theory (掲載予定)

    • Related Report
      2004 Annual Research Report
  • [Journal Article] Search and Knightian uncertainty2004

    • Author(s)
      西村清彦, 尾崎裕之
    • Journal Title

      Journal of Economic Theory 119

      Pages: 299-333

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2005 Final Research Report Summary
  • [Journal Article] Search and Knightian Uncertainty2004

    • Author(s)
      Kiyohiko G.Nishimura, Hiroyuki Ozaki
    • Journal Title

      Journal of Economic Theory 119

      Pages: 299-333

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2005 Final Research Report Summary
  • [Book] 『非線形動学-不決定性と複雑性』、11章担当2004

    • Author(s)
      西村和雄, 福田慎一
    • Total Pages
      338
    • Publisher
      東京大学出版会
    • Related Report
      2004 Annual Research Report
  • [Publications] 西村清彦, 尾崎裕之: "Search and Knightian uncertainty"Journal of Economic Theory. (掲載予定).

    • Related Report
      2003 Annual Research Report

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Published: 2003-04-01   Modified: 2016-04-21  

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