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类型 基础研究 预答辩日期 2018-03-10
开始(开题)日期 2016-11-10 论文结束日期 2018-01-17
地点 东南大学四牌楼校区东南院305 论文选题来源 973、863项目     论文字数 15 (万字)
题目 资产价格泡沫:形成机制及其经济效应研究
主题词 资产价格泡沫,行为金融,经济因素,形成机制,经济效应
摘要 回望百多年来的现代经济发展历程,资产价格泡沫周期性出现,引发系统性金融风险,导致金融危机和经济衰退。2008年席卷全球的美国次贷危机再次佐证了这一事实,由于金融衍生品价格的泡沫过度引发了全球性经济金融危机。近年来我国历经了多次股灾和房地产价格的过度上涨,资产价格泡沫对我国实体经济发展和金融系统稳定产生了相当的冲击,守住不发生系统性金融风险的底线已经成为当前我国重要的宏观稳定目标。围绕资产价格泡沫防范系统性金融风险的研究因此成为当前的理论热点问题,需要人们进一步厘清资产价格泡沫的形成机制和可能的经济效应。本论文基于这一背景,遵循资产价格泡沫的理论界定、识别测度、形成机制和可能的经济效应展开研究,旨在揭示资产价格泡沫的内在形成机理及其可能的经济效应,为资产价格的市场有序和金融系统的内在稳定提供理论支撑和实践指引。 首先,定义了本文所研究资产价格泡沫的内涵,分析泡沫的种类和特征,进而对泡沫进行识别和测度。在将泡沫定义为资产价格偏离其基础价值的基础上,分别对股价泡沫和房价泡沫进行了测度。对于股价泡沫,选取合适的宏观经变量(工业增加值、居民消费价格指数和银行间同业拆借利率)来衡量基本面,运用误差修正模型提取泡沫,进而对股价泡沫采用马尔科夫区制转换模型进行状态划分,发现股价正泡沫持续最长的两个时期分别是2006年10月-2007年11月和2014年5月-2015年6月。对于房价泡沫,采用变量筛选、迭代消除内生变量的方法将房价中的基础价值和泡沫成分分离,发现中国房地产价格泡沫已经形成一定规模,且在2005年7月和2009年初有两次较大幅度的膨胀。 其次,从行为金融视角分析投资者预期、信心、情绪和行为对资产价格泡沫形成的作用机制。(1)建立异质性预期下的噪声交易者泡沫模型,推导出由于信息挖掘者和动量交易者两类不同噪声交易者的非理性行为导致的资产价格泡沫成分,通过数值模拟发现,信息挖掘者和动量交易者分别通过价格期望偏差和历史价格变化影响泡沫演化,且影响方向和程度与其情绪有很大关系。(2)在测度出投资者情绪和羊群行为的基础上,运用时变参数随机波动率结构VAR模型(TVP-SV-SVAR)探讨了投资者情绪、羊群行为和股票价格泡沫之间的时变效应,结果显示,投资者情绪在股价波动幅度较大时对羊群行为的滞后影响期限较长;投资者情绪在当期能够刺激泡沫膨胀,随着时间的推移当期刺激力度有所减小;羊群行为对股价泡沫的影响方向不确定,在股价上涨初始阶段由正转负,在股价上涨波峰或股价下跌阶段则由负转正。(3)从理论上揭示了过度自信和市场流动性对股市投机泡沫正向作用的内在机理,结合时变转移概率马尔科夫区制转换方法(MS-TVTP),构建包含投资者过度自信和市场流动性的泡沫动态演化机制模型对中国股市泡沫的形成和破裂进行探究,发现投资者过度自信的增加会增大泡沫从潜伏区制转换到膨胀区制的概率,市场流动性的负向变化使泡沫从膨胀区制转换到破裂区制的可能性增加。 再次,本文从经济环境视角分别分析了杠杆、经济增长和货币政策对资产价格泡沫形成的作用机制。(1)通过构建基于杠杆的资产价格泡沫模型,分析了杠杆对资产价格泡沫的理论作用机制,并运用分位数脉冲响应方法验证了杠杆对股价泡沫和房价泡沫的非线性和非对称效应,发现不同杠杆对资产价格泡沫的影响在大小和方向上随着经济发展阶段、泡沫演化程度和杠杆水平的变化而变化。(2)考虑到经济增长的周期性,采用频域因果和小波分解的方法探讨了不同周期经济增长对资产价格泡沫的频域效应。研究发现:经济增长对股价泡沫具有显著格兰杰影响的周期是半年到一年左右,而对房价泡沫具有明显格兰杰影响的周期是3-9个月以及约两年以上。(3)基于货币政策与资产价格泡沫的经济理论,运用门限结构VAR模型(ThSVAR)分析不同货币政策状态下货币政策冲击对资产价格泡沫的作用,结果表明,利率正负冲击和 增长率正负冲击对资产价格泡沫的影响在宽松与紧缩的货币政策状态下具有明显的非对称性。 最后,在考虑政府税收和交易成本的条件下建立了包含和不包含资产价格泡沫的内生增长模型,分析了资产价格泡沫对经济增长速度的影响。研究结果对传统的泡沫损害经济的观点提出了质疑,我们发现资产价格泡沫既可能有利益于经济发展,也可能损害经济发展。在此基础上,采用时变VAR分析了股价泡沫和房价泡沫对经济增长的影响,结果很好的验证了泡沫对经济增长影响的不确定性。此外,采用分位数方法研究了资产价格泡沫对经济福利代表性指标的预测效应,发现在极端情况下泡沫对经济福利的预测效果更为显著。 本文研究拓展了关于资产价格泡沫的理论建模型和实证分析,形成了比较系统完整的资产价格泡沫形成机制及其经济效应的分析框架。根据研究结论,本文从关注投资者心理和行为、注重流动性预警、维持适度杠杆、理解货币政策对泡沫的非对称冲击、考量资产价格泡沫的经济效应等多个方面提出了防范和应对资产价格泡沫的政策建议。
英文题目 Asset price bubbles: formation mechanism and its economic effect
英文主题词 Asset price bubble, Behavioral finance, Economic factors, Formation mechanism, Economic effect
英文摘要 Looking back over the course of more than one hundred years of modern economic development, asset price bubbles have periodically emerged, triggering systemic financial risks, leading to financial crises and economic recession. The United States subprime mortgage crisis sweeping the globe in 2008 corroborates this fact once again as the global financial crisis triggered by the over-bubble in the price of financial derivatives. In recent years, China has suffered from excessive stock market catastrophe and excessive real estate prices. The asset price bubble has had a considerable impact on the development of China’s real economy and the stability of the financial system. Holding the bottom line where systemic financial risks do not occur has become an important macro-stability in our country. Preventing systemic financial risk around the asset price bubble has become a hot issue at present, and it is important to further clarify the formation mechanism of the asset price bubble and its possible economic effects. Based on this background, this paper focus on the definition of asset price bubble, the recognition and measure of bubble, the formation mechanism and possible economic effect of asset price bubble, aiming at revealing the internal formation mechanism of asset price bubble and its possible economic effect, providing theoretical support and practical guidance for the orderly market of asset prices and the inherent stability of the financial system. First, after the bubble definition and the analysis of the characteristics of the bubbles, this paper identifies and measures the asset price bubble. Based on the explosive character of bubbles, we use the GSADF method to identify the occurrence and rupture of bubbles in the stock price and housing price in China. Based on the definition of bubble as the part of asset price deviating from its fundamental value, we first estimate the fundamental value of stock price and house price, then separate the stock price bubble and housing price bubble from their real price, respectively. For the stock price bubble, the appropriate macro-variables including industrial added value, consumer price index and inter-bank lending rate are selected to measure the fundamentals, and the price bubbles are extracted using the error correction model. Furthermore, the Markov switching model is used to divide the stock price bubbles. It is found that the two longest survival periods of the stock price bubble are October 2006-November 2007 and May 2014-June 2015 respectively. For the housing price bubble, variable selection and iterative estimation, which is use to eliminate endogenous variable, are applied to separate the fundamental value and bubbles in the housing price. It was found that the housing price bubble in China already exists, and has formed a certain scale. The housing price bubble increased significantly in July 2005 and early 2009. Second, from the behavioral finance perspective, we analyze the mechanisms of investors’ expectations of future market returns, the investors’ confidence, emotion and behavior on the formation of asset price bubbles. (1) The noise trader bubble model under heterogeneous expectation is established, and the asset price bubble, which is caused by the irrational behavior of two types of noise traders: information digger and momentum trader, is deduced. By numerical simulation, it is found that information digger and momentum traders influence the bubble evolution through price expectation deviation and historical price changes respectively, and the direction and degree of influence are closely related to their emotions. (2) Based on the measurement of investor sentiment and herding behavior, we use TVP-SV-SVAR model to explore the time-varying effect between investor sentiment, herding behavior and stock price bubble. The results show that, the lagged effect of investor sentiment on herding behavior is more long in the period of stock price fluctuating; investor sentiment can stimulate the bubble inflated in the current time, and its current stimulus has been reduced over time; the impact of herding behavior on stock price bubble is uncertainty, the direction of the impact change from negative to negative in the initial stage of rising stock prices, and from negative to positive in the period of price peak or the stock price decline. (3) The positive effects of overconfidence and market liquidity on stock market speculative bubble are revealed theoretically. Using the time-varying transition probability Markov Regime Switching (MS-TVTP) model, we find that investors’ overconfidence increase the probability of stock market bubble transforming from dormant to explosive regime, and the negative market liquidity increase the probability of stock market bubble collapsing, both of which are consistent with the theoretic analysis. Third, this paper analyzes the mechanism of the economic factors of the lever, economic growth and monetary policy on the formation of asset price bubble. (1) Based on the construction of asset price bubbles model in which financial leverage is considered, the theoretical mechanism and asymmetric effect of leverage on the asset price bubble are analyzed from by using the quantile method. The results show that the effect of leverage on the stock price bubble and the housing price bubble varies with the stage of economic development, the degree of bubble evolution and the level of leverage. (2) Considering the cyclicality of economic growth, frequency-domain causality test and wavelet decomposition methods are used to explore the effects of of economic growth on asset bubbles price in frequency-domain. The study finds that the period in which economic growth has a significant Granger effect on the stock price bubble is about six months to a year, while the economic growth has obvious Granger effect on housing bubble in the period of 3-9 months and more than two years. (3) Based on the economic theory of monetary policy and asset price bubble, this paper uses threshold structure VAR model to analyze the effect of monetary policy shock on asset price bubble under different monetary policy conditions. We show that the impacts of interest rate shocks and M2 growth rate shocks on asset price bubbles depend on whether the monetary policy is easy or tight. Furthermore, the effects of positive and negative shocks have obvious asymmetry. Fourth, considering government tax and financial frictional, the endogenous growth models with and without asset price bubbles are established, and the impact of asset price bubble on the economic growth rate is analyzed. Our findings question the traditional view that asset price bubble detrimentally affects the economy, we find the asset price bubble may harm or promote economic growth. Based on the above results, we analyze the effect of stock price bubble and housing price bubble on economic growth using time-varying VAR. The result shows that the bubble has uncertain effect on the of economic growth. Furthermore, the influence of asset price bubble on the representative index of economic welfare are studied by quantile method. We found that, under extreme conditions, the bubble has good forecasting effect on economic welfare. This study expands the theoretical modeling and empirical analysis of asset price bubbles and forms a more systematic and complete analysis framework of the formation mechanism of asset price bubbles and their economic effects. According to the conclusion of our study, this paper puts forward the policy of preventing and coping with the asset price bubble from many aspects, such as paying attention to investor’s psychology and behavior, focusing on liquidity warning, maintaining moderate leverage, understanding the bubble effect of monetary policy and considering the economic effect of asset price bubble.
学术讨论
主办单位时间地点报告人报告主题
东南大学经济管理学院 2015年4月21日 经管楼A316 姚登宝 基于SIR模型的银行间流动性风险传染机制研究
东南大学经济管理学院 2015年7月10日 经管楼A316 张旭 金融发展与经济增长——一个考虑空间溢出效应的再检验
东南大学经济管理学院 2015年8月26日 经管楼A316 石广平 Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme
东南大学经济管理学院 2015年9月12日 经管楼A316 姚登宝 金融脱媒、资产价格与中国经济波动—基于多部门DNK-DSGE模型的分析
东南大学经济管理学院 2015年9月20日 经管楼A316 石广平 过度自信、市场流动性与投机泡沫
东南大学经济管理学院 2016年5月7日 经管楼A316 石广平 异质性条件下的杠杆周期行为:基于资产价格视角的研究
东南大学经济管理学院 2016年11月6日 经管楼A316 张旭 资产价格波动与货币政策反应:影响机制及其监控研究
东南大学经济管理学院 2016年12月21日 经管楼A316 许从宝 沪港通会降低上证A股价格波动性吗?—基于自然实验的证据
东南大学经济管理学院 2016年12月30日 经管楼A316 石广平 杠杆对资产价格泡沫的非对称效应
东南大学经济管理学院 2017年3月25日 经管楼A316 石广平 市场流动性状态转换及其金融稳定的时变效应研究
东南大学经济管理学院 2017年5月10日 经管楼A316 刘骏斌 美元加息、人民币汇率与短期跨国资本流动——基于适应性预期的视角
东南大学经济管理学院 2017年11月27日 经管楼A316 田婧倩 金融科技的社交网络关注研究
     
学术会议
会议名称时间地点本人报告本人报告题目
SIBR协会 2015年10月3日 香港湾景国际酒店 High-order Compact Finite Difference Scheme for Option Pricing with Non-affine Stochastic Volatility
东北财经大学 2016年10月29日 东北财经大学 市场流动性状态转换及其与金融稳定的时变互动研究
     
代表作
论文名称
投资者情绪、市场流动性与股市泡沫——基于TVP-SV-SVAR模型的分析
Pricing options under the non-affine stochastic volatility models
异质性条件下的杠杆周期行为:基于资产价格视角的研究
Time-varying causality between stock and housing markets in China
 
答辩委员会组成信息
姓名职称导师类别工作单位是否主席备注
李心丹 正高 教授 博导 南京大学 金融工程
陶士贵 正高 教授 博导 南京师范大学 金融学
李守伟 正高 教授 博导 东南大学 金融工程
张宗庆 正高 教授 博导 东南大学 金融学
唐攀 副高 副教授 博导 东南大学 金融学
      
答辩秘书信息
姓名职称工作单位备注
张颖 副高 副教授 东南大学 金融学