经济增速放缓下的资产泡沫研究——基于含有高债务特征的动态一般均衡模型  

The Asset Bubbles Under Economic Growth Slowdown

作　　者：陈彦斌[1] 刘哲希 陈伟泽[3] CHEN Yanbin;LIU Zhexi;CHEN Weize(School of Economics,Renmin University of China;School of International Trade and Economics,The University of International Business and Economics;Department of Economics,Boston University)

机构地区：[1]中国人民大学经济学院 [2]对外经济贸易大学国际经济贸易学院 [3]波士顿大学经济系

出　　处：《经济研究》2018年第10期16-32,共17页Economic Research Journal

基　　金：中国人民大学科学研究基金(中央高校基本科研业务费专项资金资助)项目"利率市场化背景下中国货币政策框架的转型研究"(15XNI006)的阶段性成果;国家自然科学基金项目(71373266)和国家自然科学基金青年项目(71603274)的资助

摘　　要：资产泡沫通常出现在经济稳定或者繁荣时期,但近几年中国却出现了经济增速持续放缓与资产泡沫风险不断加剧的衰退式资产泡沫新现象,这给宏观政策带来了严峻挑战。通过构建含有资产泡沫与高债务特征的动态一般均衡模型,本文对衰退式资产泡沫的形成机制与应对政策进行了深入研究,主要得到以下三点结论:第一,衰退式资产泡沫的形成机制与传统资产泡沫存在显著差异。衰退式资产泡沫的形成不再依赖于乐观预期与信贷扩张两大要素,核心原因在于高债务下僵尸企业等负债主体过度依赖"借新还旧"的方式来滚动债务,所导致的实体经济低迷与金融体系活跃的分化格局。第二,虽然"双紧"的货币政策与宏观审慎政策组合能够有效抑制传统资产泡沫,但不适用于衰退式资产泡沫。"稳健偏宽松的货币政策+偏紧的宏观审慎政策"是更有效的政策组合。第三,治理衰退式资产泡沫时,不能只注重抑制金融体系的过度繁荣,推进实体经济去杠杆以降低负债主体对"借新还旧"的依赖是更为重要的一环。本文研究不仅完善了理论上对资产泡沫形成与应对的共识,也对于中国如何妥善应对衰退式资产泡沫的现实问题具有较好的借鉴意义。Since 2012,China has a downturn in the speed of economic growth but a rise in asset prices.This new phenomenon is referred to as the recessive bubble,and it challenges conventional understanding of asset bubbles and policy intervention.On the one hand,theories predict that a rapid rise in asset prices in general occurs only in times of economic prosperity.These theories state that optimistic expectation and credit expansion are the two key elements giving rise to asset bubbles.During an economic downturn,optimistic expectation is mitigated and the total amount of credit shrinks.Therefore,asset prices fall in response.On the other hand,in response to a recessive bubble,a conventional policy combination-contractionary monetary policy and strict macro-prudential policy(CS)-can even press down the economy and make the output gap even more negative.If expansionary monetary policy is adopted,it may conflict with strict macro-prudential policy,so that asset bubbles in the financial market go out of control.To sum up,recessive bubbles challenge macro policy intervention.Therefore,this paper develops a dynamic stochastic general equilibrium model with asset bubbles and debt leveraging and comprehensively examines the mechanisms and policy design behind recessive bubbles.More specifically,this paper extends the classic macroeconomic model of asset bubbles of Martin&Ventura(2012)in three ways.First,following Minsky s(1986)categorization of firm financing modes,two different types of corporate-sector financing modes are described in this model:hedge and speculative financing.Second,based on the reality of the Chinese economy,the model incorporates two types of enterprise:production-oriented enterprises with high production efficiency,and zombie enterprises with low productivity that can sustain production only through debt rollover behavior.Third,the model characterizes household investors and financial leverage to simulate how individuals and financial organizations leverage up to gain high profits in reality.We present thr

关 键 词：宏观经济 资产泡沫 高债务 货币政策 宏观审慎政策 

分 类 号：C30[社会学] E44[军事—军事理论]