英文标题：
《An Endogenous Mechanism of Business Cycles》
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作者：
Dimitri Kroujiline, Maxim Gusev, Dmitry Ushanov, Sergey V. Sharov,
Boris Govorkov
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最新提交年份：
2019
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英文摘要：
This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we seek to incorporate into the macroeconomic framework a dynamic stock market model based on opinion interactions (Gusev et al., 2015). We derive this model from microfoundations, provide its empirical verification, demonstrate that it contains the efficient market as a particular regime and establish a link through which macroeconomic models can be attached for the study of real economy and stock market interaction. To examine key effects, we link it with a simple macroeconomic model (Blanchard, 1981). The coupled system generates nontrivial endogenous dynamics, which exhibit deterministic and stochastic features, producing quasiperiodic fluctuations (business cycles). We also inspect this system\'s behavior in the phase space. The real economy and the stock market coevolve dynamically along the path governed by a stochastically-forced dynamical system with two stable equilibria, one where the economy expands and the other where it contracts, resulting in business cycles identified as the coherence resonance phenomenon. Thus, the incorporation of stock market dynamics into the macroeconomic framework, as presented here, allows the derivation of realistic behaviors in a tractable setting.
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中文摘要：
本文认为，商业周期可能是实体经济和股票市场动态耦合的一种表现，并描述了一种能够产生与观察到的商业周期一致的经济波动的机制。为此，我们寻求将基于意见互动的动态股票市场模型纳入宏观经济框架（Gusev et al.，2015）。我们从微观基础上推导出该模型，提供其实证验证，证明其包含有效市场作为一种特殊制度，并建立了一种联系，通过这种联系，宏观经济模型可以用于研究实体经济和股票市场的相互作用。为了检验关键影响，我们将其与一个简单的宏观经济模型联系起来（Blanchard，1981）。耦合系统产生非平凡的内生动力学，表现出确定性和随机性，产生准周期波动（商业周期）。我们还检查了该系统在相空间中的行为。实体经济和股票市场沿着一个随机强迫的动态系统所控制的路径动态地共同演化，该系统具有两个稳定的平衡点，一个是经济扩张，另一个是经济收缩，导致商业周期被确定为一致性共振现象。因此，如本文所述，将股票市场动态纳入宏观经济框架，可以在可处理的环境中衍生现实行为。
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分类信息：

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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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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