金融加速器机制下的资产泡沫与经济波动——以次贷危机前后的中国为例  

Asset Bubble and Economic Fluctuation in the Financial Accelerator Framework——An Example in China Around Subprime Crisis

作　　者：陈蔚[1] 马骏驰[1] 

机构地区：[1]山东大学经济学院,山东济南250199

出　　处：《经济经纬》2017年第1期124-129,共6页Economic Survey

基　　金：山东大学经济学院"繁荣计划"资助

摘　　要：笔者利用带资产泡沫的BGG模型研究了我国资产泡沫与经济波动的关系。首先介绍了带资产泡沫的BGG模型,形成了以企业净值、投资规模、资产泡沫为核心变量的系统;其次综合运用统计数据、计量工具和参考文献三种途径估计了模型的22个参数值;最后基于以上模型,分析了次贷危机前后我国经济的实际波动与模型数值模拟结果。数值模拟结果显示:存在泡沫的经济体比不存在泡沫的经济体波动更大;我国经济在次贷危机前后的波动特征符合超跌破裂方式的形态,即泡沫破裂时资产价格小于价值;盯住资产泡沫的货币政策可以防止经济大幅波动,但是其应对危机时期的负向产出波动比应对泡沫时期的正向产出波动的能力要弱;积极的财政政策可以降低不利冲击的影响幅度,但是过度的投资刺激会加大经济的波动。This paper studies the relation between asset bubble and economic fluctuation in China by using BGG model with asset bubble. First, it introduces BGG model with asset bubble, which forms the system consisting of core variables, such as net asset value, investment scale, asset bubble, etc. Then using statistic data, econometric tool and references, it estimates 22 parameters in the model. Finally, based on the model we discussed, it analyzes economic real fluctuation in China around subprime crisis and makes numerical simulation for the model. The simulation shows that there is larger economic fluctuation in the economy with the bubble than the one without the bubble. The character of economic fluctuation around subprime crisis in China accords with the character of oversold-crash, i. e. , asset price is lower than its value during crash. The monetary policy which is focusing on asset bubble could avoid the economic fluctuating substantially, but its ability to deal with negative output fluctuation in crisis period is weaker than dealing with the positive output fluctuation in bubble period. Positive financial policy could lower the effect caused by the negative shock; but the excessive investment stimulation could amplify the economic fluctuation.

关 键 词：金融加速器 资产泡沫 经济波动 BGG模型 数值模拟 

分 类 号：F822[经济管理—财政学]