资产定价泡沫对经济的影响

本文采用具有技术进步和随机实质资本投资收益率的跨时迭代模型 ,从理论上分析了资产定价泡沫对经济的影响 ,同时对我国转轨时期经济的动态效率进行了实证研究。结果显示 :我国转轨时期经济正从动态无效向动态有效转化 ,在实质资本收益率确定的情况下 ,适当的资产定价泡沫 (如果存在的话 )对我国经济有益 ,会增加人均消费 ,加快我国经济向动态有效转化 ,使资源配置达到Pareto最优 ;在实质资本收益率随机的情况下 ,资产定价泡沫对经济的影响是不确定的 ,其效果依赖于个人对未来投资实质资本收益率的预期 ,因而加强投资者对未来实质资本投资的收益率持乐观态度的信心是至关重要的。     

Monetary–fiscal interactions with endogenous liquidity frictions

I develop a tractable macro model with endogenous asset liquidity to understand monetary–fiscal interactions with liquidity frictions. Agents face idiosyncratic investment risks and meet financial intermediaries in competitive search markets. Asset liquidity is determined by the search friction and the cost of operating the financial intermediaries, and it drives the financing constraints of entrepreneurs (those who have investment projects) and their ability to invest. In contrast to private assets, government bonds are fully liquid and can be accumulated in anticipation of future opportunities to invest. A higher level of real government debt enhances the liquidity of entrepreneurs׳ portfolios and raises investment. However, the issuance of debt also raises the cost of financing government expenditures: a higher level of distortionary taxation and/or a higher real interest rate. A long-run optimal supply of government debt emerges. I also show that a proper mix of monetary and fiscal policies can avoid a deep financial recession.     

Endogenous growth cycles with financial intermediaries and entrepreneurial innovation

This study analyzes the effects of financial intermediaries’ activities on economic fluctuations in a model of endogenous innovation cycles. In the model, I consider an economy in which entrepreneurs and financial intermediaries engage in their respective innovative activities. Entrepreneurs can invent new products and raise funds for their invention from financial intermediaries and if their invention is successful, they can produce new products. Only financial intermediaries can evaluate entrepreneurial ideas regarding their new products. Moreover, they can invest their capital to improve information about the entrepreneurial ideas and thus, meet successful entrepreneurs with a higher probability. I show that when an economy does not accumulate enough capital, and the level of financial innovation is not sufficiently high, the economy is trapped in a no-entrepreneurial innovation regime. I also show that when the financial innovation slightly develops, the economy fluctuates between the no-entrepreneurial innovation and entrepreneurial innovation regimes.     

A political economy theory of the soft budget constraint

Why do soft budget constraints exist and persist? In this paper we argue that the prevalence of soft budget constraints can be best explained by the political desirability of softness. We develop an infinite horizon political economy model where neither democratic nor autocratic politicians can commit to policies that are not ex post optimal. We show that because of the dynamic commitment problem inherent in the soft budget constraint, politicians can in essence commit to make transfers to entrepreneurs which otherwise they would not be able to do. This encourages such entrepreneurs to support them politically. Though the soft budget constraint may induce economic inefficiency, it may be politically rational because it influences the probability of political survival. In consequence, even when information is complete, politicians may fund bad projects which they anticipate they will have to bail out in the future. We show that, maybe somewhat surprisingly, dictators who are less likely to lose power, are more likely to use the soft budget constraint as a strategy to gain political support.     

Redistribution as a selection device

This paper studies the role of the wealth distribution for the market selection of entrepreneurs when agents differ in talent. It argues that the redistribution of initial endowments can increase an economy's surplus because more talented individuals get credit for their risky investment projects. Moreover, the redistribution of initial endowments may lead to a Pareto-improvement although all agents are non-satiable. An agent's entrepreneurial ability is his private information and there is moral hazard in production. I find conditions such that unproductive rich entrepreneurs crowd out productive poor ones on the capital market. Then redistribution of initial endowments may lead to a new equilibrium where market participants are better informed about the entrepreneurs’ ability. The new equilibrium is characterized by (i) the selection of better entrepreneurs, (ii) a higher riskless rate of return on capital, (iii) lower repayments of successful entrepreneurs to their creditors and (iv) the fact that all agents are better off.     

The Carbon Bubble: climate policy in a fire-sale model of deleveraging∗

Credible implementation of climate change policy, consistent with the 2 °C limit, requires a large proportion of current fossil-fuel reserves to remain unused. This issue, named the Carbon Bubble, is usually presented as a required asset write-off, with implications for investors. We embed the Carbon Bubble in a macroeconomic model exhibiting a financial accelerator: if investors are leveraged, then the Carbon Bubble might precipitate a fire-sale of assets across the economy, and generate a large and persistent fall in output and investment, impairing the economy's ability to invest in the zero carbon assets it needs to produce output in the post-climate-transition world. We find a role for macroeconomic policy protecting investors' balance sheets in mitigating the macroeconomic effects of the Carbon Bubble, and enhancing welfare.     

股市投机泡沫:理论模型、检验与度量方法研究

投机泡沫是导致泡沫经济并引发经济危机的重要根源,而不断扩大的股市泡沫则预示着泡沫经济的到来。投机泡沫的度量方法包括股价指数的上涨时间、上涨速度和换手率、股票市场的相对成长性估值类方法和Q比率方法。但是这些方法对经济发展及社会的经济环境不能全面地考虑。应构造建立在股票内在价值基础上的检验方法,运用相对估计指标对泡沫进行全面的度量,从而提高泡沫检验的准确度和对股票价值检验及预测的实际应用能力。     

America’s flawed paradigm: macroeconomic causes of the financial crisis and great recession

This paper traces the roots of the financial crisis and Great Recession to a flawed U.S. macroeconomic paradigm that was adopted around 1980 with the triumph of neoliberal economics. One flaw concerns the growth model. A second flaw concerns the model of global economic engagement that created a triple economic hemorrhage of spending on imports, manufacturing job losses, and off-shoring of investment. The new growth model hollowed out the economy and relied on growing debt and asset price inflation. As the process deepened the economy needed ever larger bubbles to grow. Financial deregulation and excess kept the model going longer than expected, but it meant the economy experienced a financial crash and deeper collapse when the contradictions finally surfaced. The United States needs a new economic paradigm and a new growth model, but as yet this challenge has received little attention from policymakers or economists.     

Can Culture Account for Investment Expectations?

Until recently, risk-taking in investment decisions has been explained by cognitive biases and emotional urges. I would like to propose an alternative explanation, based on the work of Pierre Bourdieu, who links cultural capital to risk-taking. His concept of cultural capital has a very broad meaning, as it encompasses technical skills, aesthetic preferences, verbal facility, general cultural awareness, educational credentials, and artistic competencies. On theoretical grounds, one can assume that a high level of cultural capital enables the taming of uncertainty and allows for temporal horizons that cover longer terms. I test this hypothesis by conducting and analyzing a survey of 307 entrepreneurs. I define risk-taking in two ways: (i) in a somewhat mainstream way, on the basis of expected utility, and (ii) in a heterodox way, in a qualitative, context-dependent setting. I find that, in both cases, there seems to be a link between cultural capital and risk-taking. Furthermore, it seems to make financing issues more salient. I conclude by opening a discussion about the heterogeneity of entrepreneurs and their animal spirits.     

控制权配置对企业投资行为的影响研究——基于企业家注重声誉的视角

如何通过提高企业家声誉来优化企业投资行为事关我国企业的健康发展。通过构建企业投资支出的回归模型,对控制权配置与企业投资行为进行实证检验。实证分析表明,在企业家注重声誉的前提下,第一大股东持股比例与企业投资支出水平负相关,而当内部现金流充裕时,股权制衡比例与企业投资支出水平正相关。因此,可以通过建立企业家征信制度、完善充分竞争的企业家市场、确保企业家有长远预期和培育合格的市场主体等措施,提高企业家声誉,优化企业投资行为。     

Technology Adoption Costs and Productivity Growth: The Transition to Information Technology

Using two panels of U.S. manufacturing industries, this paper estimates capital adjustment costs from 1961 to 1996. I find that from 1974–1983 adjustment costs rose sharply—they more than doubled from about 3% of output to around 7%. Moreover, this increase is specifically associated with a shift to investment in information technology. But such large adoption costs imply that the Solow residual mismeasures productivity growth: Adoption costs are resource costs representing an unmeasured investment. I find that when this investment is included, productivity grew about 0.4% per annum faster than official measures during the 1970's and early 1980's, reducing the size of the productivity “slowdown.” Indeed, estimated productivity growth rates were roughly the same from 1974–1988 as from 1949–1973. Thus technology transitions critically affect productivity growth measurement. Journal of Economic Literature Classification Numbers: O30, O47, E22.     

A coalition proof equilibrium for a private information credit economy

Summary This paper examines an economy in which agents with private information about their own productive capabilities seek to raise capital to fund their investment projects. We employ an equilibrium concept which is closely related to Coalition Proof Nash Equilibrium. In equilibrium, all agents who succeed in raising capital (entrepreneurs) are pooled; they all receive the same contract or consumption schedule. Entrepreneurs, however, are separated from those who fail to raise capital. This separation results in productive efficiency for the economy. If the economy has no viable alternative investment opportunity (other than agents' projects) then equilibrium allocations can be supported by a (non-intermediated) securities market. If there is a viable alternative, the equilibrium allocations cannot be supported by a securities market equilibrium. We interpret this case as suggesting the emergence of financial intermedary coalitions.     

Investment climate and firm productivity: an application to Vietnamese manufacturing firms

The fundamental aspect of a national competitive advantage is a good investment climate. Understanding the role of the investment climate in generating firm productivity has received extensive attention by policymakers and economists in many countries. The article studies the effect of different dimensions of the investment climate on firm productivity. Using a large dataset of Vietnamese manufacturing firms, the article finds that deficiencies in the investment climate are prejudicial to firm productivity and competition. Furthermore, in examining the effect of corruption in association with the quality of the business environment, the study also investigates the possibility that corruption may compensate firms for a bad investment climate or at least may neutralize the negative impact of inefficient government regulations. In other words, corruption acts as ‘speed money’ to improve the efficacy of the provision of public services or provides leeway for entrepreneurs to bypass the inefficient regulations. This situation, however, is extremely harmful to the economy in the long run because it distorts the market and erodes the incentives for productive investments. Developing countries therefore need to put much more effort into institutional reforms, especially fighting corruption and efficiency in the provision of public goods and services.     

Archetypes as Triggers of Financial Bubbles

Sparking financial bubbles are irrational impulses—from mania to panic—that play a major role in collective human investment behavior. Contradicting the rational man theory, bubbles keep occurring. But to disregard its influences as aberrations have only rendered conventional economic theory as abstract academia with little practical value. However, allowing for the juxtaposition between the concepts of archetypes and the collective unconscious, as coined by the Swiss psychologist Carl Gustav Jung, and the generic anatomy of financial bubbles could provide fertile ground for an improved understanding of the seemingly irrational behavior. The author aims to demonstrate the workings of archetypes and proposes a measurement methodology designed to capture the subliminal forces that influence investment decisions.     

Entrepreneurship in the shadows

I develop a dynamic model of forward-looking entrepreneurs, who decide whether to operate in the formal economy or informal economy and choose how much to invest in their businesses, taking government policy as given. The government has access to two policy tools: taxes on formal business activity and enforcement (or policing) discouraging informality. The main focus of the paper is on transitional dynamics under different initial wealth levels. Whether an initially small business will be trapped in the informal economy and remain small forever or grow quickly and become a large formal business depends on tax and enforcement policies. High tax rates accompanied by loose enforcement – which is mostly the case in less-developed countries (LDCs) – induce tax avoidance, discourage investment in formal businesses, and drive the entrepreneurial activity towards the informal sector even though the initial wealth level is high. Lowering taxes on formal activity joined with strict enforcement can help reducing the magnitude of poverty traps in LDCs – such as the MENA region, Latin America and developing Asia.     

日本增速换挡过程中需求结构变迁对中国的启示*

本文利用非竞争型投入产出表比较分析了日本在1955-2011年间、中国在1987-2012年间的最终需求和所诱发的产业部门对总产出增长的影响。通过分析日本从高速增长期到中速增长期、再到经济低迷期两次增速换挡过程中的需求动力变化趋势,本文认为中国在向中高速增长期的转型过程中：（1）消费作为经济增长的稳定性力量,将逐渐成为首要贡献因素,但其拉动作用将呈下降趋势,应重点发展流通服务业和工商服务业,同时应做好机械制造业和传统制造业的升级创新;（2）投资仍然是中高速增长的重要贡献因素,机械制造业对投资的重要性将上升,基础设施业对投资的重要性将下降;（3）出口对中国经济的重要性将有所回调,但仍具有较大成长空间,应重点提高机械制造业和化工业的国际竞争力。     

宗教信仰、政治身份与企业投资偏好

文章运用企业家宗教信仰的直接调查数据,考察了企业家的个人宗教信仰对企业投资活动的影响。研究发现,相对于研发型投资,有宗教信仰的企业家偏好于风险相对较小的关系型投资;不同类型的宗教信仰对企业投资偏好具有不同的影响,笃信东方宗教的企业家相对于笃信西方宗教的企业家更加偏好于关系型投资;企业家的宗教信仰对投资偏好的影响因企业家是否具有政治身份而有所不同,相对于有政治身份的企业家,没有政治身份的企业家的宗教信仰会更加显著地正向影响关系型投资,表明政治身份可能会弱化宗教信仰在关系型投资中的作用。     

EC INTEGRATION AND JAPANESE FOREIGN DIRECT INVESTMENT IN THE EC

This study proposes two hypotheses to identify the cause(s) behind the short-term cyclical Japanese manufacturing foreign direct investment in the European Community (EC) in the late 1980s and early 1990s: (i) a catch-up process of Japanese firms in anticipation of EC single market integration in 1993 and (ii) the so-called bubble economic phenomenon caused by the overheated economy following expansionary monetary policy in Japan in the late 1980s. Applying multinomial logit models to the data on parent firms of 283 Japanese manufacturing subsidiaries established in the EC from 1988 to 1992 reveals strong support for the bubble economy hypothesis but not for the catch-up hypothesis. Results also show that under a bubble economy situation, tax-related incentive policies in host countries—e.g., an investment tax allowance for foreign direct investment—are quite important in attracting Japanese firms.     

Optimal collective contract without peer information or peer monitoring

If entrepreneurs have private information about factors influencing the outcome of an investment, individual lending is inefficient. The literature typically offers solutions based on the assumption of full peer information to solve adverse selection problems and peer monitoring to solve moral hazard problems. In contrast, I show that it is possible to construct a simple budget-balanced mechanism that implements the efficient outcome even if each borrower knows only own type and effort, and has neither privileged knowledge about others nor monitoring ability. The mechanism satisfies participation incentives for all types, and is immune to the Rothschild–Stiglitz cream skimming problem despite using transfers from better types to worse types. The presence of some local information implies that the mechanism cannot be successfully used by formal lenders. Thus a local credit institution can emerge as an optimal response to the informational environment even without peer information or monitoring. Finally, I investigate the role of monitoring in this setting and show how costly monitoring can increase the scope of the mechanism.     

PRODUCE OR SPECULATE? ASSET BUBBLES,OCCUPATIONAL CHOICE,AND EFFICIENCY*

We study the effects of rational asset bubbles in an overlapping‐generations economy where asset trading requires specialized intermediaries and agents freely choose between working in the production or the financial sector. Frictions in the market for deposits create rents in the financial sector that affect agents’ occupational choices. When rents are large, the private gains associated with trading bubbles lead too many agents to become speculators, causing bubbles to lose their efficiency properties. Moreover, if speculation can be carried out by skilled labor only, then bubbles displace skilled workers away from the productive sector and raise income inequalities.