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。

The Impact of Asset Pricing Bubble on Economy

This paper theoretically analyzes the impact of asset pricing bubble on economy by overlapping generation model with technological progress and uncertain return on investment in real capital,and empirically studies the dynamic efficiency of Chinese economy in the transition.Firstly,The proper bubbles in the stock market(if exist)may enhance dynamic efficiency and increase consumption per capita when return on investment in real capital is determinable.The impact of bubbles on economy is uncertain when the return is stochastic.Secondly,We show that Chinese economy is turning to dynamic efficiency from dynamic inefficiency.Hence,The suitable bubbles in stock market are beneficial to economy in China if the return on investment in real capital is certain,and it is vital to enhance optimistic confidence of investors about the future return on investment in real capital if the return is stochastic.