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推动资产价格上涨能够“稳增长”吗?——基于含有市场预期内生变化的DSGE模型
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TitleIs Driving Asset Prices Up Able to “Stabilize Economic Growth”?  
作者陈彦斌 刘哲希 陈伟泽  
AuthorChen Yanbin,Liu Xizhe and Chen Weize  
作者单位中国人民大学经济学院 
OrganizationRenmin University of China, RUC 
作者Emailcyb@ruc.edu.cn;liu_ruc@126.com;sysu2006vc@126.com 
中文关键词资产价格 资产泡沫 经济增长 预期 DSGE模型 
Key WordsAsset Price; Asset Bubble; Economic Growth; Expectation; DSGE model 
内容提要本文通过在具有资产泡沫与融资约束的DSGE模型中引入市场预期的内生变化机制,弥补了以往研究只能将资产泡沫运动过程外生设定的缺陷,从而更贴近现实地回答中国是否可以利用资产价格上涨推动经济增长这一重要问题。本文研究发现,推动资产价格上涨过程中,市场受乐观预期的驱动会显著增加资产的购买规模,并减少对实体经济的投资。融资约束收紧则会强化这一机制,导致更多资金“脱实向虚”。由此,推动资产价格上涨反而会使经济产出水平下降约1.5%。与此同时,由于资产价格上涨并未推动产出水平上升,市场对资产价格持续上涨的乐观预期不断减弱,转向悲观预期的倾向明显增强。与不考虑市场预期内生变化的情形相比,资产泡沫破裂概率在资产价格被推动上涨过程中会提高40%。一旦资产泡沫发生破裂而价值跌为零时,将带来约8%的产出损失。因此,本文认为中国不应将推动资产价格上涨作为“稳增长”的宏观调控手段。 
AbstractBy introducing endogenous market expectation dynamics into a DSGE model with asset bubbles and collateral constraints, this paper not only fixes up the flaw of previous literature that assumes that asset bubbles are exogenous, but also reliably answers whether China could stimulate economic growth by driving asset prices up. Our simulations show that when asset prices are being driven up, the market will increase purchases of assets and reduce investments in the real economy because of optimistic expectations. Tighter collateral constraints will amplify this mechanism, driving more money from the real economy to the fictitious economy. Therefore, driving asset prices up will lower economic output by approximately 1.5%. Meantime, because driving asset prices up is not able to stimulate the real economy, optimistic expectations of the market towards the rise in asset prices ebb and tend to change into pessimistic expectations. By contrast, the probability of the bust of asset bubbles outperforms that in the model without endogenous market expectation dynamics by 40% when asset prices are being driven up. When asset bubbles bust and the value of assets becomes zero, there is an 8% loss in economic output. In conclusion, this paper proposes that it is not advisable for China to consider driving asset prices up as a good tool of macroeconomic control to "stabilize economic growth". 
文章编号WP1178 
登载时间2017-04-07 
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