利率、魏克赛尔累积过程与资产价格

通货膨胀目标制的理论基础直接来源于魏克赛尔的累积过程理论。央行的利率政策不但会影响一般价格的上涨,而且会导致资产价格出现泡沫。现时的房产价格与未来的产出和通货膨胀关系密切,应该在CPI中给予一定的权重。低利率、低通胀和资产价格膨胀共存并不意味着累积过程理论失效,而是因为其反馈机制和通胀度量出现了问题。     

资产价格泡沫与货币政策应对——事先行动还是事后反应

资产价格泡沫的产生原因是多方面的,早期的研究更多地认为资产泡沫来自于投资者的非理性因素,但是随着金融自由化进程的推进,与经济金融发展水平不相适应的金融自由化也成为资产泡沫产生的一个重要原因。而对于资产价格泡沫的货币政策应对一直存在争议,一些学者主张货币政策应该忽略资产价格,而另一些学者则主张货币政策应该对资产价格作出反应。本文基于后一种观点,来探讨当预期资产价格将出现泡沫时,货币政策是该事先行动还是事后反应,为此,本文引入产出跨期配置的理论,来阐述货币政策应对资产价格泡沫的决策模型。     

TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES

The probabilistic structure of periodically collapsing bubbles creates a gap between future spot and forward (futures) asset prices in small samples. By exploiting this fact, we use a recently developed recursive unit root test and rolling Fama regressions for detecting bubbles. Both methods do not rely on a particular model of asset price determination, are robust to explosive fundamentals, and allow date stamping. An application to U.S. dollar exchange rates provides evidence of bubbles during the interwar German hyperinflation, but not during the recent floating‐rate period. A further application to S&P 500 supports the existence of bubbles in the U.S. equity market.     

Quantitative easing tilts the balance between monetary and macroprudential policy

Quantitative easing by central banks has stimulated risk-taking in financial markets and contributed to a liquidity-driven boom in asset prices. It puts the relation between monetary policy and financial stability into a new perspective. We show by a regression analysis for a panel of 11 advanced economies that an asset price bust has adverse effects on inflation. The effect of stock prices and corporate bond rates on inflation is significant, also if we control for developments in credit. This insight implies that in conducting and implementing quantitative easing, central banks should closely monitor and take into account asset bubbles.     

Two-period trading sentiment asset pricing model with information

We present a dynamic asset pricing model with investor sentiment and information, which shows that the investor sentiment plays a systematic and important role in the asset prices and the information is gradually incorporated into prices. The model has an analytical solution to the sentiment equilibrium price. We find that sentiment trading quantity not only increases the market liquidity, but also causes the asset prices' overreaction if the intensity of sentiment demand is more than a constant value. Therefore, the continuing overreactions result in a short-term momentum and a long-term reversal. The model could offer a partial explanation to some financial anomalies such as price bubbles, high volatility, asset prices' overreaction and so on.     

预算软约束与资产价格理性泡沫

文章将预算软约束引入资产价格理性泡沫的分析之中,在给出一个预算软约束情形下资产均衡价格决定模型的基础上,得出了资产价格理性泡沫的表达式.模型分析表明,当存在预算软约束时风险资产的理性泡沫为正;同时,风险资产对应企业面临的预算软约束越大,该风险资产价格中的理性泡沫越大.     

房地产基础价值及泡沫类型解析——以上海市为例

本文应用时变现值模型对上海商品房的基础价值进行了测算,在此基础上计算各时期商品房价格与价值的偏离值,通过对偏离值的统计检验证实存在房地产泡沫。结果表明:爆炸性泡沫并不存在;内生性泡沫和趋势性泡沫是构成实际泡沫的主要成分;内生性泡沫的影响要高于趋势性泡沫的影响。     

Investor sentiment,information and asset pricing model

We present an asset pricing model with investor sentiment and information, which shows that the investor sentiment has a systematic and significant impact on the asset price. The equilibrium price's rational term drives the asset price to the rational, and the sentiment term leads to the asset price deviating from it. In our model, the proportion of sentiment investors and the information quality could amplify the sentiment shock on the asset price. Finally, the information is fully incorporated into prices when sentiment investors learn from prices. The model could offer a partial explanation of some financial anomalies: price bubbles, high volatility, asset prices' momentum effect and reversal effect.     

Information and adjustment in a local housing market

Existing studies on bubbles have been mainly concerned with investigating the stationarity properties of stock prices and market fundamentals. We develop a new method of testing for bubbles that relates the bubble component of stock prices to the probability of bursting in the context of the Weibull distribution. There were several eruptions and subsequent collapses of seeming bubbles over the past three decades: 1987 (Black Monday), 2000 (information technology (IT) boom) and 2007 (housing market boom). Using US monthly data for the S&P 500 and NASDAQ series, we have found that the S&P 500 series contained an explosive bubble only during the boom of the housing market that occurred before the 2007 global economic crisis, and the NASDAQ market contained an explosive bubble during the surge of stock prices peaking in 1987 and 2007, although our stationarity tests fail to detect the bubbles. No bubble was found in both the S&P and NASDAQ series during the 2000 IT boom. Our evidence corroborates the criticism that the traditional unit root and cointegration tests may not be able to detect some important class of bubbles.     

Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?

The speculative nature of both stock and housing markets in China has attracted the attention of observers. However, while stock market data are easily available, the low frequency and low quality of publicly available housing price data hampers the study of the relationship between the two markets. We use original hedonic weekly resale housing prices of a major Chinese housing market and study them in conjunction with Shanghai's stock market index in the second half of the 2000s. The use of the Phillips et al. (2015 a,b) recursive explosive‐root test enables us to detect and date speculative episodes in both markets. We then implement the Greenaway‐McGrevy and Phillips (2016) methodology to detect the presence of migration between the two types of bubbles. We detect significant migration from the stock to the housing market bubble in 2009 and a temporary spillover in 2007.     

Impact of asset price fluctuation on China’s monetary policy: An empirical analysis based on quarterly data, 1994–2006

The strenuous fluctuation in global asset price in recent years has had a profound impact on the economic and social development of every country. An empirical analysis indicates that asset prices (the stock price index and real estate prices) are important endogenous variables affecting the interest rate reaction function of central bank monetary policy. With expected inflation as a given, each one percentage point rise in output gap will cause a 0.79 percentage point reduction in interest rates by the central bank and each one percentage point rise in real estate price will result in a 2.2 percentage point rise in interest rates. The stock price index does have an influence on the trends in monetary policy, but it is less salient than the impact of housing prices. We also show that monetary policy that employs asset price as an endogenous variable increases the central bank’s control in seeking to attain its objectives. Therefore we suggest that the central bank should make asset price fluctuation an endogenous variable and incorporate it into its forward-looking interest rate rule, in order to facilitate the healthy development of China’s markets for real estate, stocks and derivatives, energy and bulk commodities and maintain rapid, smooth, sustainable and harmonious economic development.     

Compensation schemes,liquidity provision,and asset prices: an experimental analysis

In an experimental setting in which investors can entrust their money to traders, we investigate how compensation schemes affect liquidity provision and asset prices, two outcomes that are important for financial stability. Compensation schemes can drive a wedge between how investors and traders value the asset. Limited liability makes traders value the asset more than investors. To limit losses, investors should thus restrict liquidity provision to force traders to trade at a lower price. By contrast, bonus caps make traders value the asset less than investors. This should encourage liquidity provision and increase prices. In contrast to these predictions, we find that under limited liability investors increase liquidity provision and asset price bubbles are larger. Bonus caps have no clear effect on liquidity provision and they fail to tame bubbles. Overall, giving traders skin in the game fosters financial stability.     

Testing for rational bubbles in the US housing market

The presence of a bubble in the US housing market prior to the 2007 subprime mortgage financial crisis is investigated. This is done by looking into the relationship between house prices and rental prices, known as the price–rent ratio, which is an important measure of a potential deviation between house prices and its fundamental value. Additionally, the interest rate is taken into account since it is an important factor in determining demand for housing mortgages and thereby influencing house prices, and explosive behavior of house prices is considered. These relationships are investigated through a theoretical and econometrical framework. The empirical evidence suggests that there was a bubble in the housing market prior to the financial crisis, even when controlling for the decreasing interest rate and the fundamental information given by the rental price in the period. Explosiveness was the main source of the price increase, such that a bubble was present in the housing market after correcting for other fundamental factors. The econometric procedures used in the analysis may therefore be relevant for monitoring the housing market.     

Regime switching and the (in)stability of the price–rent relationship: evidence from the US

Present value models of house prices assert that in the absence of self-fulfilling bubbles, a house price is equal to the present discount value of all future rents, which implies a linear relationship between house price and rent, and hence a stable price-to-rent ratio. Using a Markov switching error correction model, we re-examine this relationship in the US housing market and find two distinctive regimes: one with a long-run relation between house price and rent predicted by the present value models and the other in which the relation is nonlinear. Furthermore, we find evidence that deviations of house prices from the present value models’ predictions are caused by the overreaction of house prices to movements in rents rather than speculative bubbles attributable to extraneous factors.     

Bootstrapping asset price bubbles

In this paper we propose a method that allows to test for asset price bubbles. The method is mainly based on a bootstrap methodology which helps to compute the finite sample probability distribution of the asymptotic tests which were recently proposed in Phillips et al. (2011) and Phillips and Yu (2009). We apply the method to the Nasdaq stock price index and Case-Shiller house price index. The results indicate that speculation was behind the upsurge in both asset prices.     

Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices

This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability Markovian processes (TVPMS), we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes respond to housing and (to a smaller extent) to stock price changes during normal times. However, at periods characterized by high financial volatility, government taxation only counteracts stock market developments (and not the dynamics of the housing sector). As for government spending, it is neutral vis-a-vis the asset market cycles. We conclude that, correcting the fiscal balance and, notably, the revenue side for time-varying effects of asset prices provides a more accurate assessment of the fiscal stance and its sustainability.     

论投机性泡沫的内生性——基于一个模拟投机交易过程的经验模型

通过一个简约的模拟投机交易的经验模型,阐述了投机性泡沫是投机者对资产价格预期的一种自我实现①,它内生于投机者对资产价格进行无约束的套利交易过程中,其内在机制是交易数量的加速膨胀和预期的资产价格增长的相互作用。并据此认为政府管理部门首先应根据经济宏观和微观运行状况,结合资产的特点,为资产价格确立一个目标区域,并运用结构性的货币政策、延展交易资产的持有时间以及征收交易税等手段对资产价格进行有效管理,以防范投机性泡沫的形成和扩展。     

Robust asset prices with bubbles

We generally establish equilibrium asset prices than can include price bubbles yet (a) be robust to truncations of the economy and (b) exclude trade in non-consumables, like money, stock certificates, or land deeds.     

Housing price,talent movement,and innovation output: Evidence from Chinese cities

How housing costs would influence the job‐housing choice of talent and associated city‐level innovation performance is a question of interest for urban development policies. Recently, considerable attention has been paid to the influence of rising housing prices on the attraction of talent and the associated innovation output in major Chinese cities. In this paper, we use the housing price data of 51 cities from the China Real Estate Index System database and the corresponding macro data of China City Statistical Yearbooks from 2005 to 2014 to analyze this focal research question. The empirical analysis shows that the increase in city housing prices generally correlates positively with city innovation outcome and talent attraction, suggesting no crowding‐out effect on the innovative performance of the city. However, the positive association between housing prices and innovation outcome and talent attraction has started to disappear in first‐tier cities in recent years, suggesting potential crowding‐out effect if the increasing housing prices transform to bubbles. This research thus provides considerable policy implications concerning the impacts of housing prices on talent movement and innovation output.     

What are the effects of fiscal policy on asset markets?

We investigate the link between fiscal policy shocks and asset markets. Our results show that spending shocks have: a positive and persistent effect on GDP in the U.S. and in the U.K., while for Germany and Italy, such impact is temporary; a positive and persistent effect on housing prices; a negative effect on stock prices; and mixed effects on the price level. A VAR counter-factual exercise suggests that fiscal shocks play a minor role in the asset markets of the U.S. and Germany, and substantially increase the variability of housing and stock prices in the U.K., while government revenue shocks have increased volatility in Italy.