资产价格波动、通货膨胀与产业“空心化”——基于我国沿海地区民营工业面板数据的实证研究

本文利用2001—2010年我国沿海地区12省市民营工业的面板数据,实证检验了资产价格波动、通货膨胀对我国沿海地区民营工业"规模空心化"与"效率空心化"的影响。结果表明,房地产价格上涨、通货膨胀存在引发民营工业"规模空心化"和"效率空心化"的作用机制。股价上涨一方面对民营实体投资具有"挤出效应",加剧民营工业的"规模空心化",另一方面对民营工业的技术效率存在促进效应,一定程度上又减轻了"效率空心化"。宏观政策上,可以通过调控资产价格、降低通货膨胀预期来对民营工业"空心化"进行积极干预。短期内要为民营工业营造良好的生存环境,长期内要抛弃"依靠低要素价格在低附加值领域维持低成本竞争"的发展模式,开辟新的利润源泉,民营工业的"空心化"才能真正好转。     

经济全球化和全球化的泡沫

在经济全球化的背景下,金融资本的国际化流动不断加强．促成了国际金融市场的联动性和互相影响程度不断加强。背后是金融风险发生后容易出现全球化扩散。而实体经济因为大宗商品金融定价权的原因也越来越受到金融市场波动的影响。在这样的背景下,资产价格的泡沫的出现和泡沫的全球化蔓延对我国经济发展提出了新的挑战和思考。     

企业破产机制、企业融资决策与最优资本结构选择——基于数值模拟的研究

本文使用数值模拟的方法定量分析了破产机制对企业最优资本结构和债券价格的影响。模拟结果显示随着破产重整期间的上升,最优杠杆比率随之增加。讨价还价能力在债权人和股东之间的分配格局显著地影响了企业最优资本结构的选择。企业税率、企业资产价值波动率、破产成本、财务危机成本等非破产机制因素也在一定程度上影响甚至改变了破产机制影响最优资本结构的程度和方式。     

中国再生资源价格长期波动特征及其对经济的影响研究

尽管再生资源在工业生产中替代原生资源的比例逐渐升高,但对再生资源价格波动的特征及对经济的影响尚缺乏研究。本文以再生铜为例,采用GRACH族模型分析发现,我国再生铜价格的波动存在一定集聚性和持续性,价格波动比较缓慢。且负向冲击对再生铜价格波动的影响比正向冲击大,存在显著的杠杆效应。此外,再生铜价波动具有显著的GARCH-M效应,即预期的风险对再生铜价格波动具有正向影响。然后采用VAR模型和脉冲响应函数等方法,引入产出、投资、消费和通货膨胀率变动等宏观经济变量,定量分析了再生资源价格波动与中国经济之间的关系。检验结果表明：再生铜价作为建筑业重要的生产资料,其价格上涨短期内 促使GDP增长,但长期则抑制投资,最终可能影响GDP增长并提高通货膨胀率,即再生铜价格上涨对国家经济发展有不利影响。本文的实证结果揭示出,对中国经济的影响而言,废旧金属价格的变动只是某种表象,经济增长和通货膨胀率变动的背后是更为复杂的原因,问题的实质是以固定投资拉动经济增长的发展模式和部分地区对房地产业过度依赖的产业结构的变化等对中国经济产生的根本性的影响。     

虚拟经济波动与宏观经济稳定

本文论证虚拟经济体系价格波动与实体经济体系价格波动之间的关系，以此来分析虚拟经济与宏观经济的稳定。全文分为四个部分：第一部分为引言，是虚拟经济与实体经济关系的理论探讨；第二部分为模型推导；第三部分经验分析，主要分析20世纪80年代后美国与日本经济运行特征；第四部分是全文总结。     

国际油价波动对页岩气开发效益的影响研究

国际油价的持续波动对页岩气等非常规油气的开发利用冲击巨大， 未来页岩气开发能否承受油价波动的影响有待进一步研究。 本文从技术经济评价的角度， 选取净现值为页岩气开发全生命周期效益评价的指标， 理清国际油价波动对页岩气开发效益影响的传导机制， 通过趋势分析、 相关性分析、 协整检验和回归分析， 量化油价对页岩气价格、 市场规模、 投资及相关运营成本等开发效益评价关键参数的影响， 结合折现现金流法， 定量研究油价波动对页岩气开发效益的影响程度。 认为虽然现阶段国际油价波动对我国页岩气开发效益的影响较小， 但当财税政策、 定价机制和市场规模稳定后， 油价波动对页岩气开发效益的影响会更加凸显， 页岩气开发企业应当对油价波动有所重视。 研究结果有助于认识油价风险， 辅助页岩气开发企业进行投资决策。     

表外业务扩张与银行资产负债结构的脆弱性

本文尝试结合公允价值渠道探讨商业银行表外资产业务扩张影响资产负债表脆弱性的内在机制与监管内涵。现有文献表明,表外资产业务不仅会通过激励银行过度风险承担、提升银行系统的同质性、强化机构间的关联机制放大系统性风险,还会通过公允价值波动渠道将资产价格的波动传递到资产负债表。应用我国上市银行的样本研究发现,行业竞争和监管改革是驱动我国商业银行表外业务变化趋势的关键因素,二者共同驱动表外业务占比的周期性变化。此外,表外业务的扩张与上市银行风险准备金水平和公允价值波动性呈现正向相关关系,与超额回报改善相关性则不显著,意味着表外业务的扩张并未实质上带来超额回报。本文的研究表明,应高度重视银行资产负债表的脆弱性问题及其背后的公允价值波动渠道,实现监管和竞争政策之间的协调与统筹以提升银行体系的稳定性。     

我国电煤需求波动及电煤价格弹性的实证研究

采用Granger因果关系检验、Johansen协整检验等方法,对我国电煤的需求波动特征及电煤的影响因素进行了研究,结果表明:我国电煤需求与国内生产总值、火电发电量、电煤价格和电力价格存在长期协整关系;火电发电量是电煤的直接引致需求,经济潜在增长是电煤的间接引致需求;国内生产总值、火电发电量、火电价格对电煤需求存在正向影响,而电煤价格对电煤需求则存在负向影响;而煤炭企业集中度与电力企业集中度则反映了煤炭管制与电价管制对于电煤需求的体制影响。     

内外失衡背景下我国资产价格泡沫的形成机制及其调控

当前中国经济出现了以股市和房地产为载体的资产价格泡沫。文章研究了这一资产价格泡沫的形成机制,得出结论认为其根本原因在于中国经济内外失衡,而由此产生的流动性过剩则是资产价格飙升的直接原因。为避免资产价格泡沫破灭带来的严重后果,作者提出了促进消费实现经济内外均衡、转变投融资体制、完善汇率制度、加强金融监管等宏微观调控建议和措施。     

房地产的虚拟性与宏观经济稳定

本文从虚拟经济的角度深入剖析了房地产的虚拟资产特性，指出房地产是一种虚拟资产．房地产这种虚拟资产的特性是其虚拟性介于普通商品和金融资产之间。文章同时指出．正是房地产的这种虚拟资产特性使其成为联系实体经济和虚拟经济的纽带。除了扰动作用以外，房地产更能起到稳定经济的作用。这表现在两个方面：一方面。与金融资产相比．房地产价格具有相对的稳定性．这使其成为商业银行发放贷款的重要的抵押品；另一方面，房地产价格的长期稳定增长对货币发行量的稳定增长有重要影响。可见，房地产的虚拟资产特性对于银行贷款和货币供给的稳定增长．从而对整个经济的稳定增长具有重要意义。     

MARKET POWER AND PRICE MOVEMENTS OVER THE BUSINESS CYCLE*

This paper develops and tests implications of an oligopoly‐pricing model. The model predicts that during a demand expansion, the short run competitive price is a pure strategy Nash equilibrium but in a recession, firms set prices above the competitive price. Thus, price markups over the competitive price are countercyclical. Prices set during a recession are more variable than prices set in expansions because firms employ mixed strategy pricing in recessions. The empirical analysis utilizes Hamilton's time series switching regime filter to test the predictions of the model. Fourteen out of fifteen industries have fluctuations consistent with this oligopoly‐pricing model.     

Price Formation Under Small Numbers Competition: Evidence from Land Auctions in Singapore

This article examines the price formation process under small numbers competition using data from Singapore land auctions. The theory predicts that bid prices are less than the zero-profit asset value in these first-price sealed-bid auctions. The model also shows that expected sales price increases with the number of bidders both because each bidder has an incentive to offer a higher price and because of a greater likelihood that a high-value bidder is present. The empirical estimates are consistent with auction theory and show that the standard land attributes are reflected in auction prices as expected.     

Auction versus Negotiated Sale: Evidence from Real Estate Sales

We offer a theoretical and empirical comparison of auctions and negotiated sales. We first build a simple model to show that auctions generate a higher relative price than negotiated sales when demand for the asset is strong, when the asset is more homogeneous and when the asset attracts buyers with higher valuations. Using data from property sales in Singapore, we find support for our theoretical predictions. In addition, we find that auctions do not necessarily generate a higher price premium for foreclosed properties than for nonforeclosed properties.     

Measuring House Price Bubbles

Using data for six metropolitan housing markets in three countries, this article provides a comparison of methods used to measure house price bubbles. We use an asset pricing approach to identify bubble periods retrospectively and then compare those results with results produced by six other methods. We also apply the various methods recursively to assess their ability to identify bubbles as they form. In view of the complexity of the asset pricing approach, we conclude that a simple price–rent ratio measure is a reliable method both ex post and in real time. Our results have important policy implications because a reliable signal that a bubble is forming could be used to avoid further house price increases.     

Discount Brokerage in Residential Real Estate Markets

Transaction costs are thought to affect asset prices and market liquidity, but the direction and magnitude of these effects continue to be the subject of debate. In the single‐family residential market, discount brokers offer to list a house for a lower price and thus reduce the transaction costs associated with obtaining a match. In this article we obtain empirical estimates of the price and liquidity impact of a seller selecting a discount broker to market a single‐family residential property. The unique data set allows for the identification of residential properties that were listed by a discount brokerage firm. The empirical results confirm the predictions of our theoretical model. Using a sample of 318,221 listings and 243,625 sales, we find that houses listed by discount brokers sell at prices similar to non‐discount brokerage listings, but are less likely to sell, and when they do sell, take approximately three days longer to sell. The results indicate that lower transaction costs do not impact housing prices in this market, but that they are related to asset liquidity.     

The Asset Approach to Pricing Urban Land: Empirical Evidence

Many papers have attempted to explain Intelmetropolitan variations in the price of housing using multi-equation models of the metropolitan housing market. This paper uses a long-run equilibrium urban asset model to explain such variations. The model builds upon previous models that introduce uncertainty into the dynamic urban model of land conversion. The empirical results strongly support the asset approach to valuing land in urban areas.     

Catch Animal Spirits in Auction: Evidence from New Zealand Property Market

Following the animal spirits theory proposed by Akerlof and Shiller, this article contributes to behavior economics by investigating the possibility of using auction sales data to capture evidence of irrational exuberance in the housing market. Using the monthly percentages of residential property auction sales for Auckland, Wellington and Christchurch regions in New Zealand from 2006 to 2015, and the exuberance testing method proposed by Phillips, Shi and Yu, we find that animal spirits have been developing in the Auckland housing market since 2013, but not in other regions. When compared to the results based on price‐to‐rent ratios, auction sales provide more meaningful results for identifying market‐wide irrational exuberance at an early stage. The causality test on price‐to‐rent ratios and auction sales volume shows that asset prices and animal spirits influence each other in the short run. In the long run, prices have significant effect on animal spirits, but not vice versa.     

On the costs of food price fluctuations in low-income countries

Conventional welfare measures of the costs of food price fluctuations in low-income countries are extended to allow for both economic growth and food security effects. The analysis reveals that growth and food security effects may dominate more conventional welfare costs of food price fluctuations, although estimating the empirical magnitude of the effects is hampered by the lack of consensus on the extent to which food price fluctuations actually reduce economic growth and food security. Even if the welfare costs of food price fluctuations are high there are many challenges to the design and successful implementation of price stabilization schemes.     

投机性需求、刚性需求与房价上涨的非线性关系——基于空间计量模型的实证研究

本文利用2000~2008年24个省份的季度面板数据,采用空间计量经济模型构建基于当期收入、预期资产收益变动以及利率的住宅价格模型,以资产升值预期和收入变动的视角来研究住宅价格上涨的投机性需求和刚性需求。实证研究结果表明货币政策对房价的影响极为重要;可支配收入对房价的影响次之,资产升值预期对房价的影响与刚性需求相差不大,表明投机性需求已经逐渐成为主导我国住宅价格走势的关键性因素。