摘要
本文通过在含有资产泡沫与融资约束的DSGE模型中引入市场预期的内生变化机制,弥补了以往研究只能将资产泡沫运动过程外生设定的缺陷,从而更贴近现实地回答中国是否可以通过推动资产价格上涨来促进经济增长。本文研究发现,第一,推动资产价格上涨过程中,市场受乐观预期的驱动会显著增加资产的购买规模,并减少对实体经济的投资。融资约束收紧会进一步强化这一机制,导致更多资金"脱实向虚"。由此,推动资产价格上涨1%,反而会使经济产出水平下降约0.8%。第二,由于资产价格上涨并未推动产出水平上升,市场对资产价格持续上涨的乐观预期不断减弱,转向悲观预期的倾向明显增强,资产泡沫破裂概率显著上升。一旦资产泡沫发生破裂而资产回归至内在基础价值时,将带来约7.5%的产出损失。因此,本文认为中国不应将推动资产价格上涨作为"稳增长"的宏观调控手段。
Since the 2008 global recession, the pressure of an economic downturn in China has been high and conventional macroeconomic policies have gradually become ineffective, spurring fierce debate on whether asset price booming can stimulate economic growth. On the one hand, asset price booming can theoretically stimulate consumption and investment through the wealth effect and Tobin＇s q effect, respectively, and can relax the credit constraint of households and entrepreneurs to stimulate aggregate output, which is why some advanced economies carry out policies of booming up asset prices to mitigate the pressure of economic downturn. On the other hand, however, such policies can lead to resource misallocation and bubblization that crowd out the investment of physical capital, which is harmful to economic growth. This paper develops a dynamic stochastic general equilibrium （DSGE） model of rational asset bubbles with endogenous market sentiments to quantify the effect of asset price booming on aggregate dynamics. The key feature of the model is the characterization of market sentiment dynamics with the changing probability of bubble bursting. Given the information of state variables and sentiment shocks in each period, individual agents calculate the probability of bubble bursting through forward-looking expectations. Comparing the indirect utilities of trading or not trading bubble assets, individual agents pin down the threshold probability under which agents are indifferent. We define market optimism as when the probability of a bubble bursting is less than the threshold probability and more than the probability of market pessimism. Hence, market sentiment and bubble dynamics are endogenously jointly determined by fundamentals and sentiment shocks. According to Martin ＆ Ventura （2016） and related studies, whether asset price booming has a stimulating effect highly depends on the bubble size and the probability of bursting. Therefore, to better quantify the effect of asset price booming, characterizing market sentiment and bubble dynamics endogenously is needed. Our model also includes high participation rate of individual investors, the severe financing constraint of entrepreneurs, and other crucial economic features in China. This paper provides two main results. First, asset price booming is not able to stimulate economic growth. Simulation results show that a 1% increase in asset price will lead to an aggregate output decline of 0.8%. In the case that takes into account endogenous market sentiment, as the asset price goes up, individual agents buy more asset bubble, which crowds out the investment of physical capital. Moreover, to obtain more benefit from asset price booming, entrepreneurs have even less incentive to provide physical investment as long as they are bound by financing constraints, which eventually leads to bubblization. Second, as the output level does not rise as asset prices go up, market sentiment deviates from optimism to pessimism. As long as the asset bubble bursts, the asset price returns to its fundamental level, strengthening the financing constraints of entrepreneurs and significantly reducing the wealth of households. We quantify that aggregate output drops by 7.5% as long as the bubble bursts. We make two contributions. Theoretically, this paper develops a new method to model the interactive switching between optimism and pessimism in the market. Without relying on ad hoc assumptions of bubble dynamics, the model features the entire process from bubble booming to bursting endogenously, providing a micro-foundation of market sentiment dynamics. Empirically, the model enables the quantification of the asset price booming effect on stimulating economic growth and its possible risks. We argue that without considering endogenous market sentiment, the model would overstate the effect of stimulating growth but underestimate the risk exposure of bubble bursting. Moreover, the results of this paper not only apply to China but also have implications for other countries in similar debates over the stimulating effect of asset price booming.
作者
陈彦斌
刘哲希
CHEN Yanbin LIU Zhexi(School of Economics, Renmin University of Chin)
出处
《经济研究》
CSSCI
北大核心
2017年第7期49-64,共16页
Economic Research Journal
基金
国家社会科学基金重点项目(15AZD004)
国家自然科学基金项目(71373266)的资助
