&

&

2009



. , , Hywell G. Jones
(: , 1993)
.
.
.
Harrod
Hywell Jones aide-mmoire. Solow
, .
Ramsey-Cass-Koopmans,
von Neumann .
,
.
. , , .
. , . .


.
www.econ.uoa.gr. .
, 2009,

ntheocar@econ.uoa.gr

1 :
2 :
3 :
4 :
5 :
6 :
7 :
8 :

.................................................
Stylized facts.............................................................................
Harrod................................................................

Robert Solow......................................................................

Ramsey-Cass-Koopmans...................................................
................................................................
von Neumann........
....................................................................................

. 1
. 15
. 35
. 41
. 53
. 69
. 85
. 97



1. (growth rates)
(, .
variables) . . : , , ,
.

:
(Discrete variables)
(Continuous variables)

(..,
, ) (, )
(.., ,
), (..,
, ).

t =0,1,2,3,..,n
( ) t = 0
.
( ) t=0, t=1, t=2, ,
t=n
.

- :
y0, y1, y2 ytyn
t0
t0 +1, t0 +2, , t0 +n:
yto , yto +1 , yto + 2 , , yto + n

, , , 2009

. 1


70

y=f(t)

y = 10 + 0, 5t 2

60
50
40
30
20
10

t ()

10

11

y t

y=f(t).

.
y=f(t) (
).
t=0
.

70

y=f(t)

y = 10 + 0, 5t 2

60
50
40
30
20
10

t ()

10

11

, , , 2009

. 2

 &

.
t y y
, y y/t
y t.

y. ., y , $.

y:
., y ( )
y:

y/y
:
y/y=100(.)/1.000(.) = 100.000/1.000.000=10%

y, gy :
gy =

1 y
y t

, t ,
., t =1,

gy=y/y

:
yt = yt +1 yt

g y ,t =

1 y 1 yt +1 yt yt +1 yt
=
=
t
y t yt
yt

t=(t+1)-t=1

, , , 2009

. 3

g y ,t =

yt +1 yt
yt (1 + g y ,t ) = yt +1
yt

:
yt y0=120 5
126, 138, 161, 182 200 .
.

(1)

(2)

(3)

(4)

yt

yt

gy,t

120

126

5,00%

138

12

9,52%

161

23

16,67%

182

21

13,04%

200

18

9,89%

y0 (1 + g y ,0 ) = y1

y1 (1 + g y ,1 ) = y2 = y0 (1 + g y ,0 )(1 + g y ,1 )

y2 (1 + g y ,2 ) = y3 = y0 (1 + g y ,0 )(1 + g y ,1 )(1 + g y ,2 )

y3 (1 + g y ,3 ) = y4 = y0 (1 + g y ,0 )(1 + g y ,1 )(1 + g y ,2 )(1 + g y ,3 )

y4 (1 + g y ,4 ) = y5 = y0 (1 + g y ,0 )(1 + g y ,1 )(1 + g y ,2 )(1 + g y ,3 )(1 + g y ,4 )

:
, ., ;
., gy
y0(1+ gy)n=yn
gy :

, , , 2009

. 4

y0 (1 + g y )

y n
= yn g y = n 1
y0

:
1

y n
200 5
g y = n 1 =
1 10,76%
y
120

0

, .,
1
n

n 1 g
y
5+9,52+16,67+13,04+9,89
y ,t
g y = n 1
=
10,82%
5
t =0 n
y0

y/y

y=f(t).
y=f(t) :
f ( t + t ) f ( t )
dy
f (t ) =
= lim
dt t 0
t
,
dy/dt
()

. .,
f ( t ) 1 dy
=
gy =
f ( t ) y dt
t
. :
dy
y=
= f (t )
dt
y (y dot)

gy =

y
= y
y

y (y hat)
:

gy =

1 dy f ( t )
y
= y = =
y
y dt
f (t )

, , , 2009

. 5

2.
:
y loge(y),
ln(y), z e= 2,718281828 y.
.,
z = ln ( y ) y = e z

y=y(z)=ez=exp(z) z

y = Ae ( z )

dy
z
z
= Ae ( ) = Ae ( ) ( z )
dz
y(z)=ez

dy
= ( e z ) = e z
dz

., . (, ,

.) .
y(0)=e0 =1 ez >0, ., ,

y = ez

, , , 2009

. 6

 e
r.
: (1+r)
t : (1+r)t
, ., 4 .
: (1+r/4)4
t :(1+r/4)4t
n
n
: (1+r/n)
t (1+r/ n) nt
;
=1 r=100%
n

(1+1/ n)n

2,25

2,4414063

100

2,7048138

1.000

2,7169239

10.000

2,7181459

100.000

2,7182682

10.000.000

2,7182817

1 100% , .,
(continuous compounding),
e 2,718281828...
, e :

1
e lim 1 +
n
n

r, 1
t

ert

, , , 2009

. 7


t=1:

r
1 +
n

n
m=n/r.
n

1
r
1
+
=
1
+

n m

mr

1
= 1 +
m

1
r
lim 1 + = lim 1 +
n
n m m

= lim 1 +
m m

= er

t:
:

( lim x )
m

= lim ( xmr )
m

r n
r
lim 1 + = lim 1 +

n
n
n
n
nt

r
= lim 1 +
m n

= ( er ) = e rt
t

, , , 2009

. 8

 r t

ert

:
r
t;

e-rt

B
(1 + r )t
y(t) 0

.
;

T

PV = y ( t )e rt dt
0

:
T

PV =
t =0

yt
(1 + r )t

, y(t)
g y(0)= y0
t :
gt

y(t)= y0e

g=

y
= y
y

: (y) g;
: t ,
gt
y(t)= y0e =2y0
gt
e =2

, , , 2009

. 9

ln ( e gt ) = ln 2 gt = ln 2 t =

ln 2
g

ln20,693 10%

t =0,693/0,1 ., 7 .

y(z)=ez

y ( t ) = exp ( z ( t ) )
dy dy dz
dz
dz
dz
= = ( e z )
= ez
=y
dt dz dt
dt
dt
dt
dz 1 dy
= = gy
dt y dt

y = yz = e z z = e z z = yz

( )

z=

y
= y
y

z=ln(y)

z=

d ln y y
= = y
dt
y

., y

, , , 2009

. 10

: Real GDP per capita

20.000

Alan Heston, Robert Summers and

Bettina Aten, Penn World Table Version
6.2, Center for International
Comparisons of Production, Income
and Prices at the University of
Pennsylvania, September 2006.

18.000
16.000
14.000
12.000
10.000
8.000
6.000
4.000
2.000

0
1950

1960

1970

1980

1990

2000

2010

: Real GDP per capita

100.000
10.000
1.000
100
10

1
1950

1960

1970

1980

1990

2000

. ,
1980 -

, , , 2009

. 11

2010

z=xy, lnz=lnx +lny

z=x/y, lnz=lnx lny
z=x, lnz=lnx
y=f(x)=lnx, dy/dx=1/x
y=lnx(t),
dy dy dx 1
x
=
= x = = x
dt dx dt x
x

z=xy, lnz=lnx +lny,

z = x + y
z=x/y, lnz=lnxlny, z = x y
z=x, lnz=lnx z = x
dlnz/dt=dlnx/dt +dlny/dt

: Cobb-Douglas

Y ( t ) = AK ( t ) L ( t )
a

1 a

ln Y ( t ) = ln A + a ln K ( t ) + (1 a ) ln L ( t )

d ln Y ( t )
d ln K ( t )
d ln L ( t )
=a
+ (1 a )

dt
dt
dt
Y
K
L
= a + (1 a ) Y = aK + (1 a ) L
Y
K
L

, , , 2009

. 12

 (ratios) (growth rates)

z x y ,

:

z=

x
z = x y
y

, :

z =0

z
= z = 0 = x y x = y
z

: ,
.

..

[y(t+1)-y(t)]/y(t)
y(t+1)=y(t)eg

y ( t + 1) y ( t ) e g y ( t ) y ( t )
=
= eg 1
y (t )
y (t )

Taylor ex x exx+1

y ( t + 1) y ( t )
= e g 1 ( g + 1) 1 = g
y (t )

, , , 2009

. 13

 , , , 2009

. 14


Stylized facts

.
.
stylized facts,
,
. 1958
Nicholas Kaldor, Cambridge. .

Nicholas Kaldor, 1908-1986

stylized facts ;
SF#1 .
SF#2 .
SF#3 .
SF#4
.
SF#5 :
1.

2.
3.

, , , 2009

. 15

 . ..
(SF#1)
. . .
. : David N. Weil:
Economic Growth, Addison-Wesley, 2005.

(purchasing-power parity).
.,
( )
. ,

, , , 2009

. 16


.

. ,
,
.

.
(http://pwt.econ.upenn.edu/)
.

Economist's Big Mac index The
Economist Big Mac
. : The Economist, 12/1/2006

.
:

(.., , )

, , , 2009

. 17

 . : .

..
: Heston et al., Penn World Tables (2006) .

, , , 2009

. 18

 2003
55.000

50.000
Alan Heston, Robert Summers
and Bettina Aten, Penn World
Table Version 6.2, Center for
International Comparisons of
Production, Income and Prices
at the University of
Pennsylvania, September 2006.

45.000

40.000

35.000

30.000

25.000

20.000

15.000

10.000

5.000

IRL

USA

AUS

SGP

PRI

SVN

KWT

BHS

GRC

LVA

ANT

MYS

URY

PLW

TUN

BWA

DOM

DZA

UKR

SLV

CHN

PER

MAR

BIH

VUT

FSM

VNM

BGD

STP

GHA

COM

RWA

TZA

UGA

SLE

LBR

MDG

Lorenz
.
.
, .., 2/3 1/3
, 47% 17%
.
Lorenz 2003
100%

USA

90%

80%

70%

Alan Heston, Robert Summers

and Bettina Aten, Penn World
Table Version 6.2, Center for
International Comparisons of
Production, Income and Prices
at the University of
Pennsylvania, September 2006.

NOR

60%

50%
GRC
40%

30%
CHN
20%

IDN
IND

10%

0%
0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

.. (
..=100)
.
, , , 2009

. 19

 .. ). : IBRD/World Bank, 2005 International Comparison Program, 2008.

. 60%
20% . : Charles I
Jones, Introduction to Economic Growth, 2 ., W.W. Norton, 2002

, , , 2009

. 20

 ,
Jan Pen 1971.
.., . -
. : David N. Weil: Economic Growth, AddisonWesley,2005.

, 1960 2000.
: Durlauf et al., Growth Econometrics, 2005.

, , , 2009

. 21



1960.
2000
( ) ,
1960. ( ).

.,

SF#2
.
( )
: 1960-80 1980-2000.

.
.

, , , 2009

. 22

 ( Charles Jones, ,.)

(
(;)),
1960 1997
. (
). Jones , ,
.

, , , 2009

. 23

 Penn World Table 6.2

.. (2003), 1960-2003 .

/
..

1960-2003
(.)
49.262
3,16%
453

34.875
2,34%
292.617

34.011
3,02%
4.575
-
27.658
5,05%
7.394

26.999
4,41%
4.609

26.046
2,18%
59.282

25.664
2,59%
60.008

20.644
3,41%
42.144
.
17.597
5,96%
47.463

15.785
3,14%
11.075

6.253
0,06%
24.655

5.633
2,16%
71.252

4.970
5,75%
1.286.975

2.990
2,85%
1.049.700

2.439
0,14%
12.577

1.184
0,93%
11.626

884
-0,59%
9.253

759
-1,19%
16.980

, , , 2009

. 24

 Durlauf et al., :
(1) 15 (1960-200),
(2) 15 (1960-200)
(3) .. . 19803 .. !

, , , 2009

. 25

SF#3.


20 .
Jones
Angus Maddison,
1500 . ..
1985 .

1%.
.

, , , 2009

. 26

 .
Durlauf et al.
1960-80
1980-2000.

Durlauf et al. .
(convergence)
.
(..,
GRC )
(1960 1980
) .
1960-200 1960-80 19802000.
.

, , , 2009

. 27

 , , , 2009

. 28

 , SF#3
.
( Durlauf et al.)
45 .
1960-80
1980-2000.
.

, , , 2009

. 29





1960 2000
.
.

, , , 2009

. 30

 , , , 2009

. 31

SF#4
.
(Durlauf et al.)
( ) 1960 2000.

45. .

.
:

SF#5 .
1.
2.
3.

, , , 2009

. 32

 (: Jones) 1860 2000 1990

.
1929
.
.

2005 International Comparison Program: Tables of final results (2008), Washington

D.C.: International Bank for Reconstruction and Development/ The World Bank.

http://siteresources.worldbank.org/ICPINT/Resources/ICP_final-results.pdf
DURLAUF, Steven N., Paul A. JOHNSON & Jonathan R.W. TEMPLE (2005), Growth
Econometrics, Philippe Aghion & Steven N. Durlauf (.): Handbook of
Economic Growth, . Amsterdam: North-Holland, Elsevier.
HESTON, Alan, Robert SUMMERS & Bettina ATEN (2006), Penn World Table Version
6.2, Center for International Comparisons of Production, Income and Prices at the
University of Pennsylvania, September.
http://pwt.econ.upenn.edu/php_site/pwt_index.php
JONES, Charles I. (2002), Introduction to Economic Growth, 2 ., New York:
W.W. Norton.
WEIL, David N. (2005): Economic Growth, Boston, Mass. & London: AddisonWesley.
, , , 2009

. 33

 , , , 2009

. 34


Harrod1
Sir Roy F. Harrod, 1900-1978

R. F. Harrod
1939 "An Essay in Dynamic Theory", Economic Journal, . 49, . 14-33.
1948 Towards a Dynamic Economics: Some recent developments of economic theory and their application to policy, London: Macmillan.
1973 Economic Dynamics, London: Macmillan.
R. F. Harrod, "An Essay in Dynamic Theory", Economic Journal, 1939

. : ,
.
.2

,
Hywell Jones. .
2
The significance of what follows should not be judged solely by reference to the validity or
convenience of the particular equations set forth. It involves something wider: a method of thinking, a
way of approach to certain problems. It is necessary to think dynamically

, , , 2009

. 35

 Harrod

1.

2.

3.
Harrod


1. S Y
S=sY
s=
2. L n
L L=n

3.
4. K L
Y
K L
Y = min ,
v u
L
,
K, L/u
max

Y L
= =n
Y L

- v

K=vY
K=vY

K = vY

, , , 2009

. 36

 - v -
K K K
=
= =v
Y Y Y
- v

(i):

. ex post ( v )
(ii):

ex ante ( vr )

I = K I = vY
I=S S=sY

vY = sY

Y s
=
Y v


s
s
ln Y ( t ) = dt = t + Z
v
v

e
s

s
Y ( t ) = exp t + Z = exp ( Z ) exp t =
v

v
s
= Y ( 0 ) exp t
v

-
Y s
=
Y v

, , , 2009

. 37

K
I = K = S = sY = s
v
s
K= K
v
K s Y
= =
K v Y
s
K ( t ) = K ( 0 ) exp t
v

Y s
=
Y v

Y
v=s
Y

(i) v: v =

K I
=
Y Y

Y
Y I
S
v=
=s=
Y
YY
Y

GA

GAs/v

Y s
=
Y vr

(ii)
GW warranted ( )

GWs/vr

, , , 2009

. 38

 Harrod

L
=n
L
GA = GW = n
GA

GA =

s
=n
vr

GAv = s = GW vr
GA vr
=
GW v

..

GA>GW I
t:
Yt E
: GtE =

Yt E Yt 1
Yt E

: Gt =

Yt Yt 1
Yt

1
Yt = I t
s

I t = v (Yt E Yt 1 )

, , , 2009

. 39

v E
(Yt Yt 1 )
s
Yt
v Yt E Yt 1 v E
=

= Gt
Yt E s Yt E s

Yt =

1 GtE s
Gt = 1
GtE v
.,

GtE > s v Gt > GtE

GtE = s v Gt = GtE
GtE < s v Gt < GtE
Harrod

, , , 2009

. 40

ETA

Robert Solow3

Solow (Solow growth model)

.
Robert Solow 1956 Quarterly Journal of
Economics Harvard.4 Trevor Swan Economic Record.5
Solow-Swan.
.
3

David Romer, Advanced Macroeconomics,

McGraw-Hill, 2001, 2 , .
4
Robert M. Solow (1956): A Contribution to the Theory of Economic Growth, Quarterly Journal of Economics, 70, , . 65-94.
5
Trevor W. Swan, (1956): Economic Growth and Capital Accumulation, Economic Record,
32, , . 334-361

, , , 2009

. 41

 .
.

= (Output)
= (Capital).
. .
.
(corn models)
.6
L = (Labour).
.

.
, Solow
. ,
.
.
.
A = (Knowledge or effectiveness of
labor) , , , .
. .
t = (time)
(..) (Production function)

Solow
. -
Harrod-Domar . Solow - Harrod-Domar.7
Solow

corn .
.
(wheat) (oats). corn model David Ricardo 1815.
, .
7
Solow Harrod Leontief, . ..

K L
Y = min , . Harrod v u

-. .
Hywell Jones.

, , , 2009

. 42

Y (t ) = F ( K (t ) , A (t ) L (t ))

(1)

:
t .. K, A, L. ..
F(K, L, A, t)
8
2. A L AL (AL=
(effective labour))
3. ,
. .
1.

A. .
(well-behaved)
.
1. (constant returns to scale)9 AL,
.,
F( cK, cAL) = cF( K, AL) c0
(2)

(2) (intensive form)

.. c=1/AL (2)
K 1
F
,1 =
F ( K , AL )
AL AL

(3)

K/AL .

(labor augmenting) Harrod (Harrod-neutral). , Harrod

K FK L FL -.. ..
Harrod Joan Robinson Hirofumi Uzawa. ,
Hicks (Hicks-neutral) o -. .
Hywell Jones.
Solow labor-augmenting , .. Cobb-Douglas capital-augmenting ( Robert J. Barro & Xavier Sala-i-Martin (1995): Economic
Growth. McGraw-Hill, New York., . 54)
9
:
() , , ..,

() ..
, ..,
.

.

, , , 2009

. 43

 k = K/AL, y = Y/AL f(k) = F(k,1)

(3)

y = f (k )

(4)

2. f (0) = 0, f (k ) > 0, f (k ) < 0

3. f(k) Inada10 (Inada conditions)
lim f ( k ) = , lim f ( k ) = 0
k 0

(5)

:

Cobb-Douglas:
1
F ( K , AL ) = K ( AL ) , 0 < < 1
(6)
Cobb-Douglas f ( k ) = k

(7)

:
Y =K

( AL )

K ( AL )
Y
y=
=
AL
AL

K ( AL )

( AL ) ( AL )

K AL
=

AL AL

= k

.. 11

f(k)

. 12 K, L , K(0), L(0) A(0) ,

L (t )
(8)
=n
L (t )

10

Kenichi Inada, (1964): Some Structural Characteristics of Turnpike Theorems, Review of Economic Studies, , 31 , . 43-58.
11
Cobb-Douglas a=1/3
12
t=0.

, , , 2009

. 44

A (t )

(9)
=g
A (t )
L(0), A(0) 0,
t L(t ) = L(0)e nt , A(t ) = A(0)e gt .
.

. .
() s, (0<s<1)
.13
.
. :
K ( t ) = sY ( t ) K ( t )

(10)

. n, g . s, n, g
.

.

Solow k
., .
k :
K
k =d

AL

dt =

K ( AL ) K AL + AL

( AL )

)=

K
K L K A

AL AL L AL A

(11)14

k, (8), (9) (10)

13

Solow
.
Harrod.
14
k=K/AL, t,

h( x ) =

f ( x)
f ( x) g ( x) - g ( x) f ( x)
h( x) =
g ( x)
g ( x) 2

, , , 2009

. 45

k=

sY K
Y
K
Y
kn kg = s

kn kg = s
k kn kg
AL
AL
AL
AL

(12)

f(k)=Y/AL
Solow

k (t ) = sf (k (t )) - (n + g + )k (t )

(13)

sf (k (t )) (actual investment) .
(breakeven investment) k 15
k
, . .

f(k)
(n+g+)k
sf(k)

dk/dt

k*

(phase
diagram) (dk/dt)
( ).

15

, n+g
, k K/AL.

, , , 2009

. 46

dk/dt

k*

k*, ., sf(k*)=(n+g+)k*,
, k* k .

, . ,
n g . ,
ALk k ( k=k*),
g+n,16 K K = n + g .

n+g. (K/L) (Y/L) g.
, Solow ,
(balanced growth path)
.

s k* .
, s s1,
k 1*

16

w = xyz , x x = a , y y = b, z z = c w w = a + b + c

, , , 2009

. 47

(n+g+)k

f(x)
s 1f(x)
sf(x)

k*

k 1*

k
. (, path) . s

.



.
sf(k*)=(n+g+)k*, c* f(k)-sf(k)

c* = f ( k ) - ( n + g + ) k *

(14)

k* s
(n,g,) k*=k*(s,n,g,). , (14)
k * ( s, n, g , )
c *
*

= [ f (k ( s, n, g , )) (n + g + )]
s
s

(15)

(15) ( ) f ( k * ) = (n + g + ) 17.
s, (golden
rule) . Solow
k * ( s, n, g , )
>0, s
s
(15)
17

, , , 2009

. 48

 s . s . s , s.
( )
. c* s, .
c*

H s 18
y*
k * ( s, n, g , )
(16)
= f (k * )
s
s
k*/s.

sf (k * ( s, n, g , )) = (n + g + )k * ( s, n, g , )

(17)

s,n,g ,
s .
sf (k * )

18

k*
k*
+ f (k * ) = (n + g + )
s
s

(18)

, , , 2009

. 49

 k*/s
k*
f (k * )
=
s (n + g + ) - sf (k * )

(19)

(19) (16)

y*
f (k * ) f (k * )
=
s (n + g + ) - sf (k * )

(20)

(20) sf ( k * ) = ( n + g + ) k * (20)

s y*
s
f (k * ) f (k * )
=
y s
f (k * ) (n + g + ) - sf (k * )
(n + g + )k * f (k * )
=
f (k * )[(n + g + ) - ( n + g + ) k * f (k * ) / f ( k * )]

(21)

k * f (k * ) / f (k * )
=
1-[k * f (k * ) / f (k * )]
k * f (k * ) / f (k * ) ,
K (k * ) (20)

K (k * )
s y*
=
y s 1- K (k * )

(22)

f(k*), k * f (k * ) ,
k * f (k * ) / f (k * ) . K (k * ) .
Cobb-Douglas .

Cobb-Douglas

Solow CobbDouglas Y = K L1 .
y = k .
Solow (., 13) :

k = sk - (n + g + )k
k *

, , , 2009

. 50

k = sk - (n + g + )k = 0 s ( k * ) = (n + g + )k *

(k )

* 1

n + g +

1
s
k =

n + g +
*

, y y = ( k
*

1
s
=

n + g +

s ;
f ( k * ) = (n + g + ) .

f (k ) = k f (k ) = k 1
f (k * ) = ( k * )

s
=
n + g +

n + g +

f ( k * ) = (n + g + )

n + g +

s XK

s XK
=

= n + g +

Solow .. Cobb-Douglas19

Solow
.
.
Cobb-Douglas y0 , A0 , y0 A0 ,
, y (t ) ,

19

. Charles I. Jones (2002), Introduction to Economic Growth, W.W. Norton, New York, 2
, . 50-1. http://emlab.berkeley.edu/
users/chad/closedform.pdf.

, , , 2009

. 51

y
s
t
t

y (t ) =
(1 e ) + A e A(t )
n + g +
0

= (1 )(n + g + ) .
Solow (closed-form solution of the Solow model).
t = 0 et = 1 1 et = 0 , y (0) = y0 . , t = ,

1
s
y (t ) =
A(t ) .
n + g +

y (t ) =

y (t )
Y (t )
=
, y (t ) t =
A(t ) A(t ) L(t )

1
s
y =
Cobb-Douglas.
n + g +
*

y (t ) .
g, ., , .
Solow
( )

y(t),

100

10

1
0

20

40

60

80

100

120

t, ()

. Microsoft Excel.
Cobb-Douglas =1/3 s,s1,n,g,,
y0 , A0 70%, 80%, 5%, 3%, 3%, 1 1

, , , 2009

. 52



Ramsey-Cass-Koopmans20

Frank Plumpton Ramsey, 1903-1930

(corn model) Solow

.

. Solow
Harrod
Harrod
-.
Harrod .
.
, 1965 -

20

David Romer, Advanced Macroeconomics,

McGraw-Hill, 2001, 2 ,
.

, , , 2009

. 53

 David Cass21 Tjalling C. Koopmans22 1928

Economic Journal, , Frank Ramsey23
,24
.25
Solow

(agents) . ,
,
.26 .
, Solow
. ,
,
.
, ,
, , . .
.
(infinite time horizon models) -

21

David Cass, (1965): Optimum Growth in an Aggregative Model of Capital Accumulation, Review of Economic Studies, 32, (July), . 233-240.
22
Tjalling C Koopmans,. (1965): On the Concept of Optimum Economic Growth, The Economic Approach to Development Planning. North-Holland, Amsterdam. Koopmans Nobel ( L.V. Kantorovitch) 1975
activity analysis.
. (, Assar Lindbeck (ed.) (1992): Nobel
Lectures: Economic Sciences 1969-1980. Nobel Foundation, World Scientific, Singapore, . 215-6.)
23
Frank Plumpton Ramsey (1902-1930) 28
. Keynes, Sraffa Wittgenstein, , .
Keynes Economic Journal. Peter Newman Frank
Plumpton Ramsey J. Eatwell, M. Milgate, P. Newman (eds.) (1987): The New Palgrave: A Dictionary of Economics, Macmillan, London ( Palgrave)
24
F.P. Ramsey, (1928): A Mathematical Theory of Saving, Economic Journal, 38 (December),
.543-559. David M. Newberry, The Ramsey Model Palgrave.
25
Ramsey
,
.
(Bliss point) .
.
.
. Ramsey Pigou, Cambridge,
. (calculus of variations) Ramsey . Ramsey History of Economic Thought Website
http://cepa.newschool.edu/het/essays/growth/optimal/ramseygr.htm
26
Solow (1956)
.
.

, , , 2009

. 54

 () (lifetime) .27 .

28 . Y = F ( K , AL ) , -

Solow29. : Y, , , , L, ,
, . ,

. ,
. . , (
Solow) g.30
( =0) 31

. ()
. L //
. L
n. ., L = L L = n . ,
t L ( t ) H .32

t. () . ,
K ( t ) H ,
t = 0 , K ( 0 ) H .

,
U
.

L (t )
U = e t u ( C ( t ) )
dt
(1)
H
t =0

27

.
28
.
.
29
, , , ,
Inada.

= A A = g , g .
., A
31
Solow.
32
.
. n, -.
30

, , , 2009

. 55

 C ( t ) t, u ( C ( t ) )
t, (instantaneous utility function33) ,
, ,
.
(1)
U.
t, u ( C ( t ) )

L ( t ) H .

, ., u ( C ( t ) ) L ( t ) H . t1
t2 ( t1 < t2 ) .
, (
) (
.)
. .
,
(,
t t+1, t+s t+s+1) .
.
e t .
(t=0) . .
e-t.
,
. ,
(1+).
1/(1+) . , (1+/2)2.
, ( , /2) /2,
(1+/2)

(1+/2)2. , (1 + ) .

, e , e
. , lim (1 + ) = e [

1
lim 1 + = e .]
x

t,

33

ophelimity felicity function. t. .

20 70
.

, , , 2009

. 56

 , et ,
t, 1 e t = e t , (1)

,
(Constant Relative Risk Aversion, CRRA)
C (t )
u (C (t )) =
, > 0, n (1 ) g > 0
(2)
1
(Relative Risk Aversion)
C u ( C ) u ( C ) . (2) - C u (C) u (C) = 34
1

CRRA


. ,
C1 C2, C1 < C2 , u(C1) < u(C2), C1
p C2 (1-p),
pu(C1)+(1-p)u(C2) u(pC1+(1-p)
C2) . 1 2. , .
C u ( C ) u ( C ) Pratt-Arrow
.35
-
.
. ,
. ,
(constant
34

C 1
1 = 1 C 1 1 = C
C
1

u (C )

u (C )
=
C

u (C )

2 u (C ) C
=
= C 1
C
C

Cu (C ) u (C ) =

C (C 1 )

=
C
C
35
Akira Takayama, (1994): Analytical Methods in
Economics. Harvester Wheatsheaf, 5. J.W. Pratt, (1964): Risk
Aversion in the Small and in the Large, Econometrica, 32 (January/February), . 132-36 K.J
Arrow, (1965): Aspects in the Theory of Risk-Bearing. Yrj Jahnsson Lectures, Yrj Jahnsson Sattio,
Helsinski. Adam Smith.
Daniel Bernoulli 1738,
Specimen theoriae novae de mensura sortis. ( ), St. Petersburgs paradox. Bernoulli, Daniel, Expected
Utility and Mathematical Expectation, The Expected Utility Hypothesis, Palgrave: O Frank
Ramsey (. Ramsey, Frank Plumpton Palgrave)

, , , 2009

. 57

intertemporal elasticity of substitution, CIES).36

; .
,

.
, . A , ,

. C 1 (1 ) = ln C 37. 2
3 .

.
,
. , .
Solow f(k)38. f()
. .
.
t :

r (t ) = f (k (t ))

(3)

39 f(k) - kf (k)
, :
w(t ) = f (k (t )) k (t ) f (k (t ))

(4)

36

1/.
37

(1 )

1 (1 )

(C

1) (1 ) . de

l'Hpital:

lim ( C1 1) = lim (1 ) = 0 lim ( C1 1) (1 ) = lim ( C1 1) lim (1 ) =

1

= lim ( C
1
38

ln C ) lim ( 1) = ln C

F ( K , AL) = ALf ( K / AL), F ( K / AL) K = ALf ( K / AL)

39

( K / AL)
= ALf ( K / AL)(1/ AL) = f ( k )
K

,
f(k)
. f(k)
, k (k=K/AL). kf(k).
f(k)-kf(k).

, , , 2009

. 58

 ( )
A F(K, AL) AL t
A(t)w(t).40



. (budget
constraint)

.

r(t)
()

. . R ( t )

=0

r ( )d .

(t) e R( t ) t. , .., r ,
R(t) rt .41
()
()
.

C(t) .
L(t)/H, t C(t)L(t)/H.
e-R(t),
t,
(5)

K(t) t,
, , K(0)/H.
A(t)w(t) -
- L(t)/H ,
t A(t)L(t)/H.

(5)42

40

F ( K , AL) . ()
AL

F ( K , AL) AL
F ( K , AL) .
=A
AL
L
AL

w(t)

. (t)
A(t)w(t).
41
, .
t; R(t) .
0 t, R(t)
, . R(t)
t
42
,
(5);

, , , 2009

. 59

L (t )
K ( 0 ) R(t )
L (t )
R( t )
e
C
t
dt
A(t ) w (t )
dt

+ e
(
)
t =0
t
0
=
H
H
H

(5)

Solow,
, . c(t)=C(t)/A,
k(t)=K(t)/[A(t)L(t)] (5) 43:

A (t ) L (t )
A ( 0 ) L ( 0 ) R(t )
A (t ) L (t )
R( t )
t =0 e c ( t ) H dt k ( 0 ) H + t =0 e w ( t ) H dt (6)
44 A(t)L(t)=A(0)L(0)e(n+g)t
(6) A(0)L(0)/H,

t =0

R( t )

c ( t ) e(

t =0

g + n )t

e R( t ) c ( t ) e( g + n )t dt k ( 0 ) + e R( t ) w ( t ) e( g + n )t dt
t =0

dt k ( 0 ) + e
t =0

R(t )

w ( t ) e(

g + n )t

(7)

dt

.
(7) (limiting behavior)
. .
(6)
, k(0)A(0)L(0)=K(0).

K ( 0 ) R(t )
L (t )
dt 0
+ e
w ( t ) c ( t ) A ( t )
t =0
H
H

(8)

t=0 t= . (8) :
s
L (t )
K ( 0)
R t
dt 0
lim
+ e ( ) w ( t ) c ( t ) A ( t )
t =0
s
H
H

(9)

s 45:
K (s)
K (0)
= e R(s)
+
H
H

t =0

e R ( s ) R (t ) [ w(t ) c (t )]

A(t ) L(t )
dt
H

(10)

(10) eR(s) (9)

:
43

C(t) , K(t) AL
c(t) k(t). ,
44
A(t)=A(0)egt L(t)=L(0)ent. Solow.
K ( 0)
45
e R ( s )

H
0. t [w(t)-c(t)]A(t)L(t) .
e R ( s ) R (t ) s t. ( e-R(t) eR(s) s.)

, , , 2009

. 60

K ( s)

0
lim e R ( s )
s
H

(11)

. , K(s) 46
k(s)e(n+g)s, (11) .

lim e R ( s ) e( n + g ) s k ( s ) 0
s

(12)

.
.
. ,
Ponzi (Ponzi schemes.)47. (12)
. Robert J. Barro &
Xavier Sala-i-Martin (1995): Economic Growth. McGraw-Hill, New York.

48
.
(2). [c(t)C(t)/A(t)] A,
A(t)=A(0)egt u(t) :

C (t )1 [ A(t )c(t )]1

=
1
1
[ A(0)e gt ]1 c(t )1
=
1
1
(1 ) gt c (t )
= A(0)1 e
1

(13)

(13) L(t)=L(0)ent,
( ) (1) :

46

K(s)=k(s)A(s)L(s)=k(s)A(0)egs L(0)ens = A(0)L(0) k(s)e(n+g)s To A(0)L(0)

.
47
Ponzi ,

. (
) ( ).
.

10 . Bernie Madoff (3/2009)
Ponzi 50 !
48
(objective function) ,
.

, , , 2009

. 61

C (t )

U = e

t =0

= e

L (t )

t =0

L ( 0 ) e nt
dt =

L ( 0 ) t (1 ) gt nt c ( t )
e e
e
dt =
H t =0
1
1

c (t )

= B e

dt =

1 (1 ) gt c ( t )
A ( 0) e
1

= A (0)

t =0

dt , B = A ( 0 )

L (0)
H
(14)

, = n (1 ) g

(2) .49
.
c(t) (14)
. c
, 50.
.
(14) (7) Lagrange:

L = B e
t =0

c (t )
dt
1
1

(15)

R( t )
R ( t ) ( g + n )t
( g + n )t

+ k ( 0 ) + e w ( t ) e
dt e e
c ( t ) dt
t =0
t =0

c, t. c(t)
51:
Bet c(t ) = e R ( t ) e( n+ g ) t (16)
(16) ()
.52
49

, , ..
U
50
.
Robert J. Barro & Xavier Sala-i-Martin
(1995): Economic Growth. McGraw-Hill, New York. calculus of
variations Pontryagin.
51
, ,
c(t) L ( ) .

c(t). c(t) ,
e
L e

R( t ) ( n + g ) t

c( t )

t 1
t
1
t
(, e c /(1 ) = e c = e (1 )c = et c )
c
1 c
1
52
: ln(xy)=lnx+lny, ln(e x )=x

, , , 2009

. 62

ln B t ln c(t ) = ln R(t ) + (n + g )t (17)

(17) t t,
, 53,
c (t )

= r (t ) + (n + g )
(18)
c(t )
c (t )
= n (1 ) g ,

c(t )
Euler
c (t ) r (t ) n g
=
c(t )

r (t ) g
=

(19)

(19), C(t)
c(t)A(t), c(t)
(19) A, g. C(t) [r(t)-]/54 (19)

, . , ,
,
.
(19) Euler.
c c(0).
c (19)

. c(0)

. c(0) ,
(19)
, (path) .
c(0) , .

53

dlnx/dx=1/x, d ln c(t ) = d ln c(t ) dc(t ) = 1 c (t ) = c (t )

dt

R (t )
54

dc(t )

dt

c(t )

c(t )

r ( )d . .
t

=0

r (t ) g
r (t ) g + g r (t )
+g =
=

, , , 2009

. 63

 1
Ramsey

(t) = (Output)
(t) = (Capital). .
L(t) = (Labor) ,

A(t) = (Knowledge or effectiveness of
labor) A(t)L(t) (effective labor)
C(t) =
r(t) = ,
w(t) =
U = (utility)
u(t) = (instantaneous utility function)
R(t) = t.
t=
(time) t=0.

y=
Y(t)/[A(t)L(t)]
k=
K(t)/[A(t)L(t)]
c=
C(t)/A(t)

n=

g=

=

=
Constant Relative Risk Aversion
H=

, , , 2009

. 64

 2
John Maynard Keynes (1933): Essays in Biography, London, Macmillan.

[ , Keynes (Collected Works), Royal

Economic Society Macmillan 1972, 29]
RAMSEY

55

Frank Ramsey, Fellow56 Kings

College Cambridge, Winchester Trinity,
Magdalene57,
,
. , , ,
.
Cambridge
. ,

- -
,
, ,
.
, ,
.
( )
- Economic Journal:
(A Contribution to the Theory of Taxation) 1927
(A Mathematical Theory of Saving)
1928. , , ,
,
,
.
,

.
Ramsey, , ,
, . Johnson58 ,
55

Economic Journal, 1930

Fellow, . ( , .)
57
Kings, Trinity, Magdalene ( ), Cambridge.
Keynes Fellow Kings College. Winchester public school
Eaton Harrow(...)
58
Keynes Dr. Samuel Johnson, 18 ,
. Ramsey,
Johnson, optimal growth path (17 stones, 110 ).
(...)
56

, , , 2009

. 65

 , ,
- ,
, ,

,
.
1930

u(pc1+(1-p)c2)

pu(c1)+(1-p)u(c2)

c1

pc1+(1-p)c2

c2

, , , 2009

. 66

 2
CRRA

-0,5

-0,1

0,1

0,5

0,8

1,2

1,5

, , , 2009

. 67

 , , , 2009

. 68



Wendy Carlin
David Soskice, Macroeconomics: Imperfections, Institutions and Policies, Oxford
University Press, 2006 R.E. Lucas On the Mechanics of Economic
Development, Journal of Monetary Economics, 22 (1988), . 3-42
Charles Jones Philippe Aghion & Peter Howitt Philippe Aghion &
Steven N. Durlauf (.): Handbook of Economic Growth, . Amsterdam:
North-Holland, Elsevier, 2005.

Paul Romer, Robert Lucas, Joseph A. Schumpeter, Philippe Aghion, Peter Howitt

, Solow, .
( ) L n,
( ) (Y) (K)
n,
. Solow
,
.59
Y (t ) = F ( K (t ), A(t ) L(t ) ) A(t )

a = A A . Solow
y k a , .,
g y = gk = a .

200
.
Solow
(Total
59

, Solow .
.
Solow

k = sf (k ) ( + n)k g k = k k = s f (k ) k ( + n)
g y = y y = K g k K
.

, , , 2009

. 69

Factor Productivity TFP). ; ,

.
. .,
.60 , ,
, , . , Solow,
, .

,
1980 , (endogenous growth models) [
(New Growth Theory)] , Paul Romer.61

Adam Smith 1776

. ., .62
, .

,
Yt = AK t .
.

. , ,
:
Yt = AK t

(1)

. Solow s, 60

Larry E. Jones & Rodolfo E. Manuelli, Neoclassical Models of Endogenous Growth: The Ef
fects of Fiscal Policy, Innovation and Fluctuations, Philippe Aghion Steven N. Durlauf
(.), Handbook of Economic Growth, . Amsterdam: Elsevier, 2005.
61
Increasing Returns and Long-Run Growth, Journal of Political Economy, 94, 5
(. 1986), . 1002-1037 Endogenous Technological Change, Journal of Political Economy,
98, 5, Part 2: The Problem of Development: A Conference on the Institute for the Study
of Free Enterprise Systems. (.. 1990), . S71-102. . The Origins of
Endogenous Growth, Journal of Economic Perspectives, 8, 1 ( 1994), . 3-22
62
. Heinz Kurz Neri Salvadori, The New Growth Theory: Old
Wine in New Goatskins, F. Coricelli, M. Di Matteo & F. H. Hahn (.), New Theories in
Growth and Development, London: Macmillan, 1998.

, , , 2009

. 70

 , (
) .
. ,
( I = K )
. sY.
.
K = sY K = sAK K = K ( sA )
gK

(2)

K
= sA
K

g K .
Solow.
K = sF ( K , L) K
Cobb-Douglas Y = K L1
K = sK L1 K

Solow

K
L1
g K = s 1
K
K

s
, Solow g K ,63 s
. ,
. Solow
. Solow s
,64 s
.

63
64

g K
= ( 1) sK L1 < 0
K

Solow

k sf (k )
=
(n + ) . k = 0
k
k
k * sf (k * ) = (n + )k * . s > s k * > k *
k = sf (k ) (n + )k

f (k ) f (k * )
k sf (k )
=
( n + ) = s

k
k
k
k *

, , , 2009

. 71

. (, s, )
.
. , .
.

. :
() , ()
() .
. .
(knowledge spillover).

, . . spillovers
. .
: .
1962 Marvin Frankel

Cobb-Douglas
. [...]
Cobb-Douglas . ,

-
. CobbDouglas. Frankel :

Cobb-Douglas.
1
Yi = K i ( ALi )

i (i = 1, 2,).
, Frankel

.
,
ALi .

. ,
, , , 2009

. 72

 :
.
, Cobb-Douglas
.65

K = Ki :
i

A = A0 K

.
:
.
(learning-by-doing).
. Kenneth J. Arrow 1962
. Arrow

.
,
Y = K ( AL )

= K ( A0 K L )

= A01 K + (1 ) L1

:
1.
,
.
2. + (1 ) + (1 ) > 1 .
3. .
, < 1 > 1 .
= 1
= 1 Y = A01 KL1 , ,
.
65

Yi = K i ( ALi )

Yi = ( AK Ki )

( AL Li )

= AK 1

AL1 Ki Li1 = A1 Ki Li1

, , , 2009

. 73

 .
< 1 .
< 1 s, , . .
+ 1
, Y = A01 K ( ) L1

Y
K
L
= + (1 ) + (1 )
Y
K
L
gY = + (1 ) g K + (1 ) n

gY g K 66
gY = g K = + (1 ) gY + (1 ) n
gY (1 ) (1 ) = (1 ) n
gY =

n
1

67
n

n =
g y = gY n =
n
1
1
Solow

x,

.
,
.
B. .

.
Robert E. Lucas (1988)68.
, ht ,
X
L

=n
X
L
67
y = Y L x = y z g x = g y g z
66

g X X

68

Robert E. Lucas, Jr., On the Mechanics of Economic Development, Journal of Monetary

Economics, 22 (1988), 3-42.

, , , 2009

. 74

 :
ht
ht 2 .

.
ut ( 0 ut 1 ) 1 ut
.
.
ht = ht G (1 ut ) ,
G (1 ut ) = 0 ut = 1
. Lucas
< 1 , Solow,
.
.
69
:
ht = cht (1 ut )

., ut = 0

g h = h h = c . ut u
g h = h h = c (1 u )
:
1
yt = Akt ( ut ht )
; Yt = AK t Lt1 ,
: ,
ut . ,
. Lt ,
ht Lt . . .

1
Lt ut ht Lt Yt = AK t ( ut ht Lt ) . Lt yt = Akt ( ut ht )

. [ -

. yt = Akt ]. ut yt = Akt ( uht )

. :
yt = Au1 kt ht1 = t

69

Sherwin Rosen, A Theory of Life Earnings, Journal of Political

Economy, 84 (1976), 545-567-

, , , 2009

. 75

 - Au1 , kt ht1 , .
.
Solow ,
., . :
kt = s Akt (uht )1 ( + n)k

( )
( n).
kt
.
1

k
k
g k t = s Akt 1 (uht )1 ( + n) = sAu1 t
kt
ht

k
( + n) = s t
ht

( + n)

kt ht
. k
h .
g k = g h .
g h = h h = c (1 u ) .
Lucas
:
spillovers . .,
.
, .

, h ,
,
spillover.
(Research and Development).

Solow
, , ,
, .
. O Joseph A. Schumpeter (1883-1950)
Harvard
1934.
Schumpeter
Walras ,
, , , 2009

. 76

 .
manager.

, - .
,

, .
, , , , , .
, . , , -
. , (gale of perennial
destruction) .
Schumpeter :70
1. . .
2. , ., ,
,

3. , .
,
.
4. ,
.
5. , , ..,
(. Vertrustung) .

.
Schumpeter
.
(non rivalry)
. (excludability). .

Leibniz 17
.
70

Joseph A. Schumpeter, The Theory of Economic Development: An Inquiry into Profits, Capital,
Credit, Interest, and the Business Cycle. Translated from the German by Redvers Opie, Harvard
University Press, Cambridge, Massachusetts, 1962, . 66. 4
1934: Theorie der wirtschaftlichen Entwicklung: Eine Untersuchung ber
Unternehmergewinn, Kapital, Kredit, Zins und den Konjukturzyklus, Duncker & Humblot, Berlin.
9 1997 [ 1934] . 100-1. 1
1911.

, , , 2009

. 77

 (non rivalry, non excludability). ,

,
.
(rivalry and excludability). ,
Schumpeter.

,
.

() ,
.

.
.
(R&D). : .
(L) ( LY ) ( LR ). n, ( L L = n )
R

LR L = n R .
Cobb-Douglas:

Yt = K t ( At LYt )

.
At = cAt LRt

, ., ,
/. ( c
) .
1. < 0 .
, .
100 . ,
, , .
2. = 0 .
. , . At = cLRt
0 <
. ,
. -

, , , 2009

. 78

 ,
.
3. 0 < < 1 . . , .
4. = 1 .
Romer.71
.
5. > 1 . .

.
= 1 0 < < 1
. Romer, . = 1 .
A
At = cAt LRt g A t = cLRt
At

: &
.
. LR ,
.
. Charles Jones72
0 < < 1 .

A
At = cAt LRt g A t = cAt 1 LRt
At
, . g y = g k = g A ,
LRt At1 .

g LR = n = g A1 = (1 ) g A .
R

LRt L =
n
n R = n n = (1 ) g A g A =
, .
1
n
gy = gA =
1
71

Paul M. Romer Endogenous Technological Change, Journal of Political Economy, 98 (1990),

. S71-S102.
72
. Growth and Ideas Philippe Aghion Steven N. Durlauf (.),
Handbook of Economic Growth, . Amsterdam: Elsevier, 2005,
http://elsa.berkeley.edu/users/chad/handbook200.pdf .
R&D-Based Models of Economic Growth, Journal of Political Economy, 103 (1995), . 759784.

, , , 2009

. 79

.
( ) - .
knowledge
spillovers Schumpeter .
,
. ,
.


Aghion Howitt. Endogenous
Growth Theory (1998) .
(2005)

.73
:
.
. () .
.
m :
Y = Am

. .
m . ,
( > 1) . , n
n ,
An +1 = An
.
, .
m = m . () m
() m .

. q.
73

Philippe Aghion & Peter Howitt, Endogenous Growth Theory, MIT Press, Cambridge,
Massachusetts, 1988 Growth with Quality Improvement Innovations. An Integrated Framework
P. Aghion & S. Durlauf (.), Handbook of Economic Growth, , North-Holland,
Amsterdam, 2005.

, , , 2009

. 80

 .74 q
q.

L = m+q

.

.
, .
() ,
,
.
. . . . . , .
( ) w w
( . ).
w
.
[ . ,
.]
:

= Pm wm = ( w) m wm = ( 1) wm
m
P = w , wm ,
m
w. ( m m
).
, :
:
L = m+q

74

Aghion & Howitt Poisson

.

, , , 2009

. 81

 research arbitrage.75 , . &

. . & , . w,
.
, ,
. . . arbitrage
() w = .
w
1
w = = [ ( 1) wm ] m =
( 1)
L = m + q m = L q .

1
1
m=
= Lq q = L
( 1)
( 1)
.

x = q ( 1)
( 1) ,76
( q),
. : q
& . q -1. q, x

1
g y = x = q( 1) = ( 1) L
( 1)

75

arbitrage
, .
. 110 Yen
, 1,3 143 Yen .
.
( )

.
.
arbitrage. arbitrage
76

An +1 = An A A = ( An +1 An ) An = ( An An ) An = 1

, , , 2009

. 82

,
1. & A (),
., & A
2. (), .,
3. L
4.
(), .
.
:

. .

(scale effect) .
.

&A .
,
.
.
. ,
. .
. U .

, , , 2009

. 83

 , , , 2009

. 84


von Neumann
von
Neumann77 John G. Kemeny, J. Laurie Snel & Gerald L. Thomson, Introduction to Finite Mathematics, 2 , Englewood Cliffs,
N.J.: Prentice-Hall International, 1966.
.

John von Neumann (1903-1957)

77

John von Neumann, ber ein konomischen Gleichungssystem und eine Verallgemeinerung des
Brouwerschen Fixpunktsatzes, [
Brouwer] Ergebnisse eines Mathematischen Kolloquiums,
[ ] Karl Menger, 1938.
E. Dierker, & K. Sigmund (.), Karl Menger: Ergebnisse eines Mathematischen Kolloquiums,
Berlin & New York: Springer Verlag, 1998. G. Morgenstern A Model of
General Economic Equilibrium, [ ] Review of
Economic Studies, XIII, 1 (1945-6), . 1-9. D.G. Champernowne, A Note on
J. von Neumanns Article on A Model of Economic Equilibrium, [
J. von Neumann ], Review of Economic Studies,
XIII, 1 (1945-6), . 10-8. F.H. Hahn (.), Readings in the Theory of
Growth, London: Macmillan, 1971.
J. von Neumann, , :
, 2001.

, , , 2009

. 85


von Neumann Lon Walras. (Elments dconomie politique pure), 1874. Walras ,

.

. , . , . () Walras .
, .,
. Walras ,
(., )
.78 .
.
.
, Walras Gustav Cassel 1918,
Frederik Zeuthen, o Hans Neisser Heinrich von Stackelberg
. 1930
Karl Menger, Carl Menger (
Lon Walras W. Stanley Jevons)
(mathematisches Kolloquium)
. Kolloquium
Karl Schlesinger, Abraham Wald, Oskar Morgenstern.
Kolloquium , , . Arrow-Debreu79 Kolloquium.
John
von Neumann
. von Neumann, , ,
78

.
, (numraire)
. -1
-1.
79
Kenneth J. Arrow & Gerard Debreu, Existence of an Equilibrium for a Competitive Economy,
Econometrica, 22, 3, ( 1954), . 265-290. Cowles Foundation
Paper no. 87 http://cowles.econ.yale.edu/P/cp/p00b/p0087.pdf .

, , , 2009

. 86



. 1932 Princeton
Institute of Advanced Studies,
Einstein. . . Manhattan Project, ., ,
Truman .
80 von Neumann , 1928, 81
Oskar Morgenstern 1944
.82
Kolloquium 1937. E. Roy Weintraub,
History of Economics Society
.
, Richard Goodwin,
20 (one of the great seminal works of
the century).83
von Neumann.

n G1 , Gn m ( )
P1 , Pm .
.

() m > n
.
() (constant returns to scale)
() () .
() . ..,
()
..
:
Pi :

j =1

j =1

aijG j bij G j

(1)

Pi aij G j (
, input coefficient) bij G j (
80

. Maria Joao Cardoso De Pina Cabral, John von Neumann's Contribution to Economic Science, International Social Science Review; 2003, 78
3/4, .126-137.
81
Zur Theorie der Gesellschaftsspiele, Mathematische Annalen, 100, 1, . 295320.
82
Theory of Games and Economic Behavior, Princeton, N.J.: Princeton University Press, 1944.
83
Norman Macrae, John von Neumann: The Scientific Genius Who Pioneered
the Modern Computer, Game Theory, Nuclear Deterrence, and Much More, New York: Pantheon
Books, 1999, . 248-9.

, , , 2009

. 87

, output coefficient).
(joint production). . .
() (1)
().
() .
, .
() A B m n .
a11

a
A = 21

am1

a12
a22
am 2

a1n

a2 n

amn

(Input coefficient matrix)

b11 b12

b
b22
B = 21

b
m1 bm 2

b1n

b2 n

bmn

Output coefficient matrix

1 ,
1 ,

2
2

1 0
1 12
A=
B=

1 4
5 0
,
( ) 12 .
, 4 (
4 ) .
(1)

P1 : G1 + 0 G2 G1 + 12G2
P2 : G1 + 4G2 5G1 + 0 G2

, , , 2009

. 88

 (Intensities)
. xi Pi .
, , 3 8 ,
2 ,
, xi , x1 = 1, x2 = 2 .
() [intensity (row) vector]
x = ( x1
xi
xm )
(input vector): x ,
, A , , xA ,
(input).
(1 m) ( m n ) = (1 n ) .

, G j
m

a x .
i =1

ij i

:
( ) 1 1 + 2 1 = 3
(output vector): m
m
m

(1 n) xB = bi1 xi
bij xi
bin xi

i =1
i =1
i =1

(outputs).

xB = (1 1 + 2 5 1 12 + 2 0 ) = (11 12 )

.
, 12 ,
3 8
. x = ( 8 3) .
1 12
xB = ( 8 3)
= ( 23 96 ) 5 0
. 2 4
x = (1 1) .
1 0
xA = (1 1)
= ( 2 4 ) .
1 4
1 12
xB = (1 1)
= ( 6 12 ) .
5 0

, , , 2009

. 89

 .
x = ( 3 3) 16 36 .
,
: xm
. x1 :
..
(expansion factor)
, . (rate of growth) g, = 1 + g
= 3 , g, 2 200%. = 1
(stationary economy) ,
.
( ) > 1 . .

G j y j . y j 0 ,
(free). ()
[ price (column) vector]
y1

y =
y
n
[Cost of production vector]: Ay
( m n )( n 1) = ( m 1) -

. Pi , i
Ay

a
j =1

ij

y j (total cost of inputs)

(unit operation) .
[Cost value of output vector]: , ( m 1) By
(., m ) .
[interest factor] , y y
z
, z
. = 1 +
100
. .., 10(%) = 1,1 .
von Neumann () .

1

xB xA
,
xA . xB
. 1 -

, , , 2009

. 90

, ,
.
2

By Ay


. [., ]. , , . [no extra profits condition].
3

x(B A ) y = 0
m

b x
i =1

ij i

> aij xi
i =1

,
, y j = 0 , ., . ,
m
m

= 0 y j = 0 . , bij xi aij xi y j = 0 . i =1
i =1
i =1
i =1

, ., j = 1, , n ,
m

b x a x
ij i

ij i

m
m

b
x

aij xi y j = x(B A )y = 0

ij i

i =1
j =1 i =1

4
x(B A ) y = 0
2 . , , .,
xi = 0 . 2 ( B A ) y . i

[ xi = 0 ],
.
5
xBy > 0
. .
, .
:

, , , 2009

. 91

(1) [Existence]: von

Neumann;
(2) [Uniqueness]: , ;
(3) :
;

: A B
. [
].

:
3 x(B A)y = 0 xBy = xAy .
4 x(B A)y = 0 xBy = xAy
, xAy = xAy .
5 xBy 0 xAy 0 =
. [ 3]

1 2.
1: x ( B A ) 0
2: ( B A ) y 0
[ y , x , 3 4.
1, 2 5].
1 2 ( B A ) x y .
m

xi 1
i =1

y
j =1

[ ].
.

:

( B A ) M .

1 12
M = (B A) =

5 4
x = (0,5 0,5) ,
xM = [3 2(3 ) ] .

, , , 2009

. 92

 < 3 .
6 7
y = ,
1 7
6

7 (3 )
My =

10 (3 )
7

> 3 .

( B A ) = B + ( A ) .

B . y . By
, B .
A .
M .
5

Value of M

0
0

-1

-2

-3

-4

-5

.
.

. ,
. . (1) (2)
() ()

()

()

, , , 2009

. 93

(1)
(2)

2
0

1
1

(1) () 2. ()
1. (1) ,
. (1) ().
((1), ()) 1 -1 . (strictly determined game).
, :

(1)
(2)

()
2
1

()
1
2

:
(1) (). (2)
(). :
(1) p (2) 1-p.
() q () 1-q.
p=q=1/2
1,5, :
p ( 2q + 1(1 q ) ) + (1 p ) (1q + 2 (1 q ) ) = 0,5 ( 2 0,5 + 1 0,5 ) + 0,5 (1 0,5 + 2 0,5 ) = 1,5
m n .
m n

[ ].
M = ( B A )
x y .

i =1 i

n
j =1

y j

m
n
x y i =1 xi = j =1 y j = 1 . [
xi 0, y j 0 xi , y j ].
. .

, , , 2009

. 94

CHAMPERNOWNE, D.G. (1945-6), A Note on J. von Neumanns Article on A Model

of Economic Equilibrium, Review of Economic Studies, XIII, 1, .
10-8. Hahn (1971).
DE PINA CABRAL, Maria Joao Cardoso (2003), John von Neumann's Contribution to
Economic Science, International Social Science Review, 78, 3/4,
. 126-137.
DORE, Mohammed, Sukhamoy CHAKRAVARTY & Richard GOODWIN (.) (1989),
John von Neumann and Modern Economics, Oxford: Clarendon Press.
HAHN, Frank H. (.) (1971), Readings in the Theory of Growth, London: Macmillan.
KEMENY, John G., J. Laurie SNEL & Gerald L. THOMSON (1966), Introduction to Finite Mathematics, Englewood Cliffs, N.J.: Prentice-Hall International, 2 .
KURZ, Heinz D. & Neri SALVADORI (2004), Von Neumann, the Classical Economists and Arrow-Debreu: Some Notes, Acta Oeconomica, 54, 1, 3,
. 39-62
MACRAE, orman (1999), John von Neumann: The Scientific Genius Who Pioneered
the Modern Computer, Game Theory, Nuclear Deterrence, and Much More, New
York: Pantheon Books.
THOMSON, Gerald L. (1987), von Neumann, John (1903-1957), John Eatwell,
Murray Millgate & Peter Newman (.), The New Palgrave: A Dictionary of
Economics, London: Macmillan, 4, . 818-22.
VON NEUMANN, John (1937), ber ein konomischen Gleichungssystem und eine
Verallgemeinerung des Brouwerschen Fixpunktsatzes, Karl Menger (.),
Ergebnisse eines Mathematischen Kolloquiums, Vienna, 1938.
Egbert Dierker & Karl Sigmund (.), Karl Menger: Ergebnisse eines Mathematischen Kolloquiums, Berlin & New York: Springer Verlag, 1998.
VON NEUMANN, John (1945-6), A Model of General Economic Equilibrium, Review
of Economic Studies, XIII, 1, . 1-9. G.
Morgenstern 1937. Hahn (1971).
VON NEUMANN, John (2001), , : .

, , , 2009

. 95

 , , , 2009

. 96

(UADPhilEcon), 2008

I.
,

.
.
, ,
, ,

, , , .
.

. , , ,
, ( ) . , ,
( )
; , , ,
;

. , ,
. , , , , . , ,
,
.

, , , 2009

. 97

 , ,
,
.

, .
, , 80,
Romer (1986) Lucas
(1988). ,
,
(Solow), . ,
,
Solow . ,
, Solow
,
, .
,
Solow,
, ,
( ) . Solow , ,
, . ,
,

.
II. Solow
, kt = Kt At Lt ( ) yt = Yt At Lt (
). t
t,
g. g , , Harrod
. , kt = K t Lt ( ) yt = Yt Lt

( ). ,
, , : , , K K = Y Y = g + n . ,
, k k = y y = g . , , k k = y y = 0 .
,
.
, , , 2009

. 98

 ,
. , , Cobb-Douglas, .
,
(1)
Yt = K t ( At Lt )1
tLt

Yt At Lt = K t ( At Lt )1 At Lt
yt = K t ( At Lt ) yt = K t ( At Lt )
(2)
yt = ( K t At Lt ) yt = kt
,
, yt , :

ln yt = ln kt ln yt = ln kt
d ln yt dt = [d ln kt dt ]

(3)

y y = k k
,
. 0 < < 1,
( ,
k k = y y = 0 )
, .
,
, Solow,
sf (k )
k = sf (k ) ( + n + g )k k k =
( + n + g )
(4)
k
, ,
()
() k . k
k * .
sf (k ) > ( + n + g ) k , k > 0 k k > 0 (3)
y y > 0 , k y . (3),
k y . s , sy = sf ( k )
, k . (4) k k ,
, . ,
k sf (k ) ,
)
( + n + g ) k -

, , , 2009

. 99

 .
sf (k ) .
y = f ( k ) , , ,
Y K > 0 , 2Y K 2 < 0 . ,
,
, . , k , sf (k ) = ( + n + g ) k ,
k k = y y = 0.

, k = K L k = K AL , k = Ak .
, y = Y L y = Y AL , y = Ay . ,
y
y y = A A+ y y = g + y y
(5)
, y y = 0 y y = g . ,
, (5)

. , , , ,
,
y y.
; Solow,
. ,
. ,

,
. , ,
.
(, s, n, , g) .
, Solow () ()
, .
,
, . , .
, , .

, , , 2009

. 100

III.

,
, . ,
. , , , .

. , ,
, . ,

,
. ,
t = 0, 1, 2, ..., , ,
:
02 > 12 > ... > 2
,
, 84.
IV.

:
y
1
log( i ,T ) = + log yi ,0 + i
(6)
T
yi ,0
.
, .
yi ,T i (i = 1, 2, , ) ,
. ,
yi ,0 i 0,

.
,
log( yi ,T yi ,0 ) = log yi ,T log yi ,0 , y
[0, ]. logy y. ,
y [0, ]. , ,
84

Solow .
.
,
, , . ,

. ,
,
.

, , , 2009

. 101

 . , , 1960
1979 ( = 20),
$16.000 1960 $32.000 1979,
log( yi ,1979 yi ,1960 ) = ($32.000 $16.000) $16.000 = 100%
(1 20)100% = 5% .
, , i
log yi ,0 . ,
,
85. , , (6) = 0,4
1% , ceteris paribus, 0,4%.
,
. < 0,
y , . < 0 i = 1, 2, ...,
, .
V. :

. ,
.
. < 0 (6)
.
, (6), ,
, = 1.
log yi ,1 log yi ,0 = + log yi ,0 + i

log yi ,1 = + (1 + ) log yi ,0 + i
, log yi ,1
Var (log yi ,1 ) = (1 + ) 2 Var (log yi ,0 ) + Var (i )

(7)

12 = (1 + )2 02 + 2

, Var (ax) = a 2Var ( x) .
(7) , 2i > 0 , 12 < 02 < 0 ,
( )
( 85

, (6) ,
. ,

.

, , , 2009

. 102

 ). .
(7), < 0 12 > 02 ,
.

.
. .


. ;
,
,
, , ,
.
, , .

.
. 100 10 . ,
, 10
. 100 , . 10

, .
; ,
, , , ,
. , ,
, . ,
. ,
,
10 . ;

. , .
,
, , .
. 10
, 10
.
, 100 ;
, . , 80 .
, , , 2009

. 103

 ,
.
, ,
.
.
,
.
, .
.
, .

, .

,
.
.
. ,
. ,
, . ,
< 0 (
) , ,
,
,
. , (7),
< 0 12 < 02 .
,
.
,
. ,
.
.
,
.
,
G7. ,
,
.
(Barro & Sala-I-Martin 1992, 1995) , , , , , 2009

. 104

 ,

.

. ,
. , ,

,
. ,
(
), ,
. , , .
VI.

Solow
. , ,

.
: Solow
; ,


, ;
,

, .



.
; , , ;
Solow

k = sf (k ) ( + n + g )k
,
k = 0 sf (k * ) = ( + n + g )k *
k * = sf (k * ) ( + n + g )

(8)

, ,
( ) . , ,
Cobb-Douglas, y = k
, , , 2009

. 105

 (8) ,
y* = [ sf (k * ) ( + n + g )]
y* = [ s ( + n + g )] f (k * )
y = yA y = y A ,

y* A = [ s ( + n + g )] ( y * A)

y* = [ s ( + n + g )] y* A1
y*1 = [ s ( + n + g )] A1

(9)

y* = [ s ( + n + g )]1 a A

, , y*, s, , n, g,
. s n ,
.
,
,

. ,
, ,
.
, , Solow . ,
. , ,
, , g ,

(1 T ) log( yi ,T yi ,0 ) = 0 + 1 log si + 2 log ni + log yi ,0 + i

(10)

(10) (6)
. ,
, . ,
< 0. < 0
, .
( s n), .
, (Mankiw, Romer & Weil 1992)
(10), , , ,
, .

, , , 2009

. 106

, , , , , ,
g .
g, . , (10) , , g. , 15
,
() g () 86. ,
(10) ad hoc ,

,

. ,
,
,
.
VII.
,
, . ,
,

. ,
Solow
.
, , ,

.
, 87.

.
,
.

86

, ,
, , ,
.
.
87
,
. ,
.
, , ,

.

, , , 2009

. 107

. .

,
,

Solow. ,
. ; G7, 1950 .
,
. ;
,
1950. , ,
.

: ; ,


; .
, .
, Solow
, , ,
. ,
,
. , , ,
. ,
,
,
, .
, , ,
. ,


. , ,
;
. ,
. ,

, , , 2009

. 108

 ; (10)

. ,

,
,
, .

BARRO, Robert J. & Xavier SALA-I-MARTIN (1992), Convergence Journal of Political Economy, 100, 2, . 223-251
BARRO, Robert J. & Xavier SALA-I-MARTIN (1995) Economic Growth, New York:
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