异质性信念,抵押借贷与资产价格泡沫  

Diverse Beliefs,Collateralized Borrowing and Asset Price Bubbles

作　　者：王勇[1] 

机构地区：[1]对外经济贸易大学国际经济贸易学院,副教授北京100029

出　　处：《浙江社会科学》2016年第7期4-10,155,共7页Zhejiang Social Sciences

基　　金：教育部人文社科项目(13YJC790153);国家自然科学基金项目(71403051)的资助

摘　　要：本文从异质性信念的角度为资产价格泡沫提出一种新的理论解释。在一个静态的竞争均衡模型中,本文分析指出,当投资者对资产的收益存在异质性信念时,抵押借贷使得资产价格超过所有投资者对资产基本面的预期,从而产生泡沫。在此基础上本文还分析了债务合同面值对资产价格的影响以及多种面值的债务合同等问题。本文结论有助于理解现实中的高房价现象。This paper aims to provide a new theoretical explanation for asset price bubbles from the perspective of diverse beliefs. In a static model with competitive investors, this paper finds that when investors hold diverse beliefs over the riskiness of the assets, collateralized borrowing helps increase the asset price,to a level that may exceed its expected value of all the investors, so that it creates price bubbles. We further investigate the effect of the face value of debt contract on the asset price, as well as the problem of multiple debt contracts. Our analysis is useful to understand the high house price in current China.

关 键 词：异质性信念 抵押借贷 杠杆化 价格泡沫 

分 类 号：F299.23[经济管理—国民经济] F832.4