技术炒作、信贷扩张与科技资产泡沫:美国纳斯达克股市资产泡沫和风险的检测与分析  

Technical Speculation,Credit Expansion and Tech-Asset Bubbles:Detection and Analysis of NASDAQ Asset Bubbles and Risks

作　　者：朱民 杨斯尧 巩冰 Zhu Min;Yang Siyao;Gong Bing(China Center for International Economic Exchanges;PBC School of Finance,Tsinghua University;School of International Political Economy University of Chinese Academy of Social Sciences)

机构地区：[1]中国国际经济交流中心 [2]清华大学五道口金融学院博士后科研流动站 [3]中国社会科学院大学国际政治经济学院

出　　处：《国际金融研究》2024年第9期3-24,共22页Studies of International Finance

摘　　要：美国纳斯达克股市继2023年上涨43%以后,2024年上半年继续上涨超18%,主要由七大科技公司领涨。2024年4月以后,科技股和非科技股走势出现分叉,科技股继续上扬,非科技股开始下跌,说明市场对科技企业和非科技企业的预期开始分化,市场开始出现纳斯达克股市是否存在泡沫的讨论(Dalio Ray,2024;Goldman Sachs,2024;朱民等,2024)。加强对国际资本市场风险,特别是对国际股票市场资产泡沫风险的监测与预警,是关系到我国经济安全与社会稳定健康发展的重要议题,由此,本文对纳斯达克股市可能存在的泡沫和风险进行了研究。首先,本文运用GSADF检验对1974-2024年纳斯达克指数资产泡沫水平进行测度,发现纳斯达克指数的确在2020年以来出现了较大的资产泡沫,GSADF值达到1.21,高于2007年的房地产泡沫,但低于2000年的互联网泡沫。为进一步探究泡沫的成因,本文将经济基本面与资产定价方程相结合,构建DSGE-AP模型发现,股票收益冲击带来的市场异常情绪、GPT技术进步和缺乏实体经济大规模运用形成的不可持续的技术炒作,以及货币政策冲击带来的信贷扩张是纳斯达克股市资产泡沫形成的三个主要驱动因素。目前,三大因素都处于显著性敏感阶段。2020年以来纳斯达克股市资产泡沫是否产生大幅调整风险取决于美联储货币政策改变的时点、技术进步能否跟上泡沫扩张的速度,以及非科技企业能否大规模投资和运用GPT技术推动实体经济增长避免美国经济衰退。唯有当科技创新的速度能够与市场期望的热度保持同步时,美国经济能够“软着陆”和流动性仍然宽松才能有效避免本轮资产泡沫大幅调整风险。本文的研究补充了与科技资产泡沫的形成、扩张与破裂机制相关的现有文献,为与金融市场相关的宏观理论建模提供了拓展性研究框架,为当前我国金融市场如何防范风险提供了政策Following the 43%rise in the NASDAQ stock market in 2023,the market continued to climb by over 18%in the first half of 2024,with the increase heavily concentrating among the seven major technology companies.After April 2024,technology stocks and non-technology enterprise stocks exhibited diverging performance.Technology stocks continued to rise,while non-technology stocks began to decline.This indicated that the market expectations for technology and non-technology enterprises started to diverge,and discussions began regarding the existence of a bubble in the NASDAQ stock market(Dalio Ray,2024;Goldman Sachs,2024;Min Zhu et al.,2024).Strengthening the monitoring and early warning of risks in the international capital market,especially the risk of asset bubbles in the international stock market,is crucial to China's economic security and the healthy development of social stability.Therefore,this paper conducted research and analysis on the potential bubbles and risks in the NASDAQ stock market.It firstly uses the GSADF test method to measure and detect the level of asset bubbles in the NASDAQ index from 1974 to 2024.The study found that the NASDAQ index had exhibited a significant asset bubble since 2020,with a GSADF value of 1.21,which was higher than the 2007 housing bubble but lower than the 2000 internet bubble.To further explore the causes of the bubble,this paper further constructed a DSGE-AP model by combining the economic fundamentals and asset pricing equation to deeply analyze the causes of the asset bubble in the U.S.stock market.The study identified three main driving factors behind the NASDAQ stock market asset bubble:abnormal market sentiment resulting from stock return shocks,the impact of the advances of GPT technology,and unsustainable technology speculation due to the lack of large-scale real-world application,along with the credit expansion incluenced by the impact of monetary policy.Currently,all these three factors are in a significantly sensitive phase.The risk of a significant adjustment of t

关 键 词：资产泡沫 广义确界检验(GSADF) 动态随机一般均衡模型(DSGE) 资本资产定价模型(CAPM) 

分 类 号：F821[经济管理—财政学]