中国房地产市场投机泡沫实证分析

由于对国民经济具有明显的乘数带动效应,因此房地产业既可以拉动经济增长,也可能导致经济过热,进而常常成为政府宏观调控的首选对象和是否成功的主要标志之一。本文对中国房地产市场发展概况进行了简要分析,介绍了有关泡沫的经济学基本理论和研究,以及中国房地产市场是否存在泡沫的争论。在此基础上,本文重新定义了房地产基本价值、投机泡沫和泡沫度,并利用中国房地产的相关数据,对中国房地产基本价值、投机泡沫和泡沫度进行了实际计算,得出了中国房地产泡沫已经产生、而且比较严重的结论,并解释了中国房地产投机泡沫产生的主要原因。最后,提出了挤出房地产泡沫的若干政策,并特别指出,地方政府对中央政府的有关政策能否“上令下达,不打埋伏”是挤出房地产市场泡沫的关键所在。     

股市流动性踩踏危机的形成机理与应对机制

中国股票市场2015年出现的股市异常波动,在金融活动中属于一类由严重流动性缺失而导致的恐慌性踩踏现象,探索其中的机理具有典型的学术和实践意义.本文基于“情景-应对”型风险管理思想、利用计算实验生成各种风险“情景”,揭示了高杠杆融资在投资者非理性行为和中国市场微观机制作用下引致股市流动性踩踏危机的机理.计算实验的结果刻画了2015年中国股市流动性危机中连续单边暴跌、流动性缺失大面积传染和危机后持续震荡的三个典型特征.实验表明融资杠杆在投资者的技术分析策略和适应性转换动态资产配置作用下,对市场泡沫的形成与破灭起到推波助澜的作用,并引起个股板块联动和流动性缺失传染,最终导致连锁强行平仓,从而引发了流动性踩踏危机;连续竞价的订单簿撮合机制和涨跌幅限制在股灾中加剧了流动性踩踏危机.据此,本文提出了保持低融资杠杆、引入临时做市商提供紧急流动性、通过大宗交易系统收购强行平仓头寸等应对措施来缓释流动性踩踏危机的新机制.     

When Gray is Good: Gray Markets and Market‐Creating Investments

Gray markets arise when an intermediary buys a product in a lower‐priced, often emerging market and resells it to compete with the product's original manufacturer in a higher priced, more developed market. Evidence suggests that gray markets make the original manufacturer worse off globally by eroding profit margins in developed markets. Thus, it is interesting that many firms do not implement control systems to curb gray market activity. Our analysis suggests that one possible explanation lies at the intersection of two economic phenomena: firms investing to build emerging market demand, and investments conferring positive externalities (spillovers) on a rival's demand. We find that gray markets amplify the incentives to invest in emerging markets, because investments increase both emerging market consumption and the gray market's cost base. Moreover, when market‐creating investments confer positive spillovers, each firm builds its own market more efficiently. Thus, firms can be better off with gray markets when investments confer spillovers, provided the spillover effect is sufficiently large. These results provide a perspective on why firms might not implement control systems to prevent gray market distribution in sectors where investment spillovers are common (e.g., the technology sector) and, more broadly, why gray markets persist in the economy.     

Verbot von Leerverkäufen in der Krise

During the recent financial and economic crisis political and corporate representatives demanded for stricter regulations of short sales to limit the risks of price manipulation and potential stock price crashes. In autumn 2008 regulators of most industrial countries decided to implement temporary short sale restrictions to prevent a further collapse of the capital market. While some countries restricted only naked short sales and increased their disclosure requirements, other markets like the USA and Great Britain implemented a full ban on short selling. The analysis of these two markets supports the hypothesis that temporary bans are unlikely to prevent or limit large price drops in the affected stocks. Instead the results suggest that the implemented emergency measures led to a temporary overvaluation of stock prices and to a deterioration of market efficiency. These results become even more prominent for stocks with high dispersion of investor opinion.     

Speculative Overpricing in Asset Markets With Information Flows

In this paper, we derive and experimentally test a theoretical model of speculation in multiperiod asset markets with public information flows. The speculation arises from the traders' heterogeneous posteriors as they make different inferences from sequences of public information. This leads to overpricing in the sense that price exceeds the most optimistic belief about the real value of the asset. We find evidence of speculative overpricing in both incomplete and complete markets, where the information flow is a gradually revealed sequence of imperfect public signals about the state of the world. We also find evidence of asymmetric price reaction to good news and bad news, another feature of equilibrium price dynamics under our model. Markets with a relaxed short‐sale constraint exhibit less overpricing.     

中国股市泡沫破裂临界时点动态置信区间研究

本文在对数周期幂率(LPPL)模型基础上,分别构建了“滚动窗口”以及“固定起点并移动终点”两种泡沫临界点动态置信区间构建方法,并以中国股市沪深300指数在2007年和2015年发生的两次大牛市股市崩盘为研究对象,采用两种新的方法进行样本外预测,计算出泡沫破裂的临界时点以及动态置信区间。研究结果表明,随着时间的不断推移,泡沫破裂临界时点的置信区间基本上能稳定覆盖实际发生泡沫破裂的时点。相比单纯利用LPPL模型预测临界时点方法,置信区间法能更好地克服预测临界时点随机性的情况,并能很好显示股市泡沫临界区间的变化轨迹,为投资者风险管理提供参考。     

众包模式下基于参与者胜任度 和接受度的任务推送模型

资产价格泡沫是关系金融、经济能否稳定发展的重要经济现象.现有国内外文献鲜有对资产价格泡沫驱动因素的实证探讨.以理性资产泡沫理论为依据, 使用20个代表经济体2000年—2015年的经济金融数据, 采用面板Logit模型实证研究了股权资产泡沫的驱动因素, 弥补了该领域研究的不足.研究发现, 交易量和价格波动率是股权资产泡沫的显著正向驱动因素, 但对程度严重的股权泡沫而言, 交易量不再是显著的决定因素;货币政策是驱动股权资产泡沫产生的显著因素之一;银行对私人部门的信贷规模及其滞后项也是股权资产泡沫的稳健决定变量.除此之外, 还考察了制度变量对股权泡沫发生的作用, 基本结论可概括为普通法、小投资者保护度低、政府透明度高、套利自由的国家更易发生股权资产泡沫.最后, 还通过BMA-Logit模型和其他方法做了一系列的稳健性检验, 确保了研究结论的稳健性.     

A Robust Model of Bubbles With Multidimensional Uncertainty

Observers often interpret boom–bust episodes in asset markets as speculative frenzies where asymmetrically informed investors buy overvalued assets hoping to sell to a greater fool before the crash. Despite its intuitive appeal, however, this notion of speculative bubbles has proven difficult to reconcile with economic theory. Existing models have been criticized on the basis that they assume irrationality, that prices are somewhat unresponsive to sales, or that they depend on fragile, knife‐edge restrictions. To address these issues, I construct a rational version of Abreu and Brunnermeier (2003), where agents invest growing endowments into an asset, fueling appreciation and eventual overvaluation. Riding bubbles is optimal as long as the growth rate of the bubble and the probability of selling before the crash are high enough. This probability increases with the amount of noise in the economy, as random short‐term fluctuations make it difficult for agents to infer information from prices.     

The Dark Side of Information and Market Efficiency in E‐Markets*

Price dispersion reflects the differences in prices for identical products. While in physical markets such dispersion is prevalent due to high search costs, many researchers argue that search costs and price dispersion will be much lower in electronic markets (e‐markets). Empirical evidence does not support this contention, and researchers have studied search costs, market factors, and service‐quality factors to explain this dispersion. Previous research has largely assumed that more information is better. By ignoring the dark side of information, we argue that only a partial understanding of price dispersion is possible. In this article, information overload and equivocality are studied as two dark attributes of information that lead sellers to different pricing decisions in e‐markets. Hypotheses relating these attributes to price dispersion are supported through analysis of 161 product markets. This work opens up new avenues in the study of e‐markets and discusses the implications of these findings for research and practice on consumer and seller decisions.     

OPTIMAL EXCHANGE RATES: A MARKET MICROSTRUCTURE APPROACH

Motivated by the observation that exchange‐rate management resembles market‐making, we use microstructure theory to conduct a welfare analysis of exchange‐rate management, including the “corner solutions” of a free float and a fixed peg. We show that a policy that smoothes out exchange‐rate fluctuations needs to trade off the welfare gain due to lower risk exposure of local producers against the trading losses that the policy would generate due to speculation. We identify the conditions under which exchange‐rate management can increase welfare and argue that these conditions are more likely to be satisfied in illiquid markets, mainly small economies and emerging markets. We also explore the role of a Tobin tax (assuming enforceability) in facilitating exchange‐rate management. (JEL: E58, F31, G14, O24)     

Offsetting or Enhancing Behavior: An Empirical Analysis of Motorcycle Helmet Safety Legislation

This study uses state‐level panel data from a 33‐year period to test the hypotheses of offsetting and enhancing behavior with regards to motorcycle helmet legislation. Results presented in this article find no evidence of offsetting behavior and are consistent with the presence of enhancing behavior. State motorcycle helmet laws are estimated to reduce motorcycle crashes by 18.4% to 31.9%. In the absence of any behavioral adaptations among motorcyclists mandatory helmet laws are not expected to have any significant impact on motorcycle crash rates. The estimated motorcycle crash reductions do not appear to be driven by omitted variable bias or nonclassical measurement error in reported crashes. Overall, the results strongly suggest that mandatory helmet laws yield significant changes in motorcycle mobility in the form of reduced risk taking and/or decreased utilization.     

In search for the ideal coopetition partner: an experimental study

Coopetition (collaboration between competitors) has the potential to provide major benefits or losses to participating firms. Entering a partnership with a competitor is a strategic decision with potential long-term consequences rendering the choice of partner of key importance. Existing research has investigated partner’s strategic attributes, but not how the inter-organizational factors between coopetiting firms affect partner selection and on which layers those effects occur. We use a vignette study for reducing this gap, representing the first experimental study on the field of coopetition research. The results from our study from 874 evaluations of potential coopetition partnerships by key informants from Austria, Germany, Liechtenstein and Switzerland offer insights into how the possible partner’s role, resource alignment and the planned activity affect partner selection. The findings suggest that the partner’s role in the markets—i.e. whether it is a direct or an indirect competitor—is critical in partner selection. The planned activity and resource configuration is also found to influence the evaluation of possible coopetition partners. Overall, the results of this first experimental study in coopetition research provide important implications to both theory and practice.     

资产价格泡沫何时发生崩溃？——基于LPPL模型的在中国金融市场上的有效性检验

本研究基于对数周期幂律模型LPPL（Log Periodic Power Law Model），针对金融时间序列将一维价格波动翻译成反映市场泡沫微观结构的多维变量。通过对多维变量的动态监测，把握市场中泡沫的演变并预测泡沫破裂的临界点，从而有效降低或防范金融资产泡沫破裂所导致的风险。为检验LPPL模型在中国金融市场中的适用性，本文分别使用上证综指、四个期货连续合约以及两支个股检验模型效果。实证结果表明当金融资产价格序列呈现超指数加速震荡上升或下降时，该模型能获得稳定的估计效果，有效预测泡沫破裂临界时点。     

Corporate Political Activity and Firm Performance: The Moderating Effects of International and Product Diversification

Prior research has found that corporate political activity (CPA) can both positively and negatively impact firm performance. Combining agency theory with the resource-based view, we examine the relationship between domestic lobbying (a key form of CPA) and firm performance by explicating the moderating effects of international and product diversification. We argue that expansion into international and product markets increases a firm's resources and reduces agency costs in domestic lobbying. Our results, based on a sample of 737 firms, show that lobbying is positively associated with performance for firms that are diversified in both international markets and along product-lines; whereas lobbying is counter-productive for purely domestic and undiversified firms. Our results contribute to the literature on the firm performance implications of corporate political activity by highlighting the roles of international and product diversification.     

中国股市跨行业系统性风险空间溢出关联及风险预测分析——基于尾部风险网络模型

基于条件风险价值CoVaR和SIM单指数分位数回归技术,选取2012-2018年我国股市24行业指数周频数据,构建时变的跨行业尾部风险网络,通过网络拓扑结构反映系统性风险的空间关联及潜在变化趋势。此外,引入ARDL模型探究网络结构和宏观经济变量对股市系统性风险的长短期效应,最后对系统性风险进行预测。结果表明：(1)我国股市行业板块间存在明显的系统性风险空间关联和传染效应,风险溢出网络具有“小世界”特征;(2)网络连边集中度HHI呈明显的周期性变化。在尾部事件期间,HHI指标显著增加,风险网络呈较单一的中心节点结构,网络稳定性差;(3)通过节点风险传播强度和中心化程度发现,仅通过节点内部属性判断节点的系统重要性已不够全面和准确,应结合节点在网络中的位置和关联关系来判断;信息技术、医疗保健、商业和专业服务行业是风险网络中最有影响力的行业;(4)通过ARDL-ECM模型发现网络连边集中度是系统性风险的主要影响因素,并对股市系统性风险进行了高度准确的预测。本研究可为监管机构有效识别我国股市中有影响力的行业提供参考,依据关键行业的溢出关联制定针对性的风险防范措施,同时对风险溢出效应设立预警机制。     

中国金融市场系统复杂性的演化机理与管理研究

已有的实证结果表明中国金融市场这一复杂系统在发展过程中表现出相关性、非线性和适应性.本文以货币、证券及外汇三个主要子市场及构成的整体金融市场为对象,探究其在结构、作用和功能方面的演化机理与管理问题.具体提出了金融市场复杂性特征与演化机理间的表征关系,对各演化机理建立了模型框架,并依此应用分析股票市场中的泡沫现象.其中,针对相关性提出三体"束缚"模型,以描述各子市场间的复杂关系;针对非线性提出基于朗之万方程的动力学模型,以划分内生演进及外生随机两类非线性作用;针对适应性提出动态反馈模式,以反映不同非线性作用下金融市场演化的路径及动态适应的能力.进而结合宏观市场的时空演变结构,从金融系统的环境、组成、关联、演化、稳定、风险各方面构建起应对复杂性的宏观管理框架.     

No‐Bubble Condition: Model‐Free Tests in Housing Markets

We test for the existence of housing bubbles associated with a failure of the transversality condition that requires the present value of payments occurring infinitely far in the future to be zero. The most prominent such bubble is the classic rational bubble. We study housing markets in the United Kingdom and Singapore, where residential property ownership takes the form of either leaseholds or freeholds. Leaseholds are finite‐maturity, pre‐paid, and tradeable ownership contracts with maturities often exceeding 700 years. Freeholds are infinite‐maturity ownership contracts. The price difference between leaseholds with extremely‐long maturities and freeholds reflects the present value of a claim to the freehold after leasehold expiry, and is thus a direct empirical measure of the transversality condition. We estimate this price difference, and find no evidence of failures of the transversality condition in housing markets in the U.K. and Singapore, even during periods when a sizable bubble was regularly thought to be present.     

技术分析、主体异质性与资产定价

通过构建异质主体经济跨期模型, 从技术分析的角度研究了主体异质性对市场理性预期均衡的影响,进而发现了异质主体经济下的市场价格稳定条件由技术分析者对历史价格的敏感程度、技术分析者所占市场份额以及无风险利率三者共同所决定.研究表明, 若分析策略不能严格地满足所给出的特定条件, 则技术分析会长期影响价格水平及波动性.此外, 价格序列的发散表征了市场泡沫的产生, 而造成价格发散的部分原因是由于理性投资者与技术分析者异质性较高, 技术分析者对历史信息过度敏感.针对此类泡沫,小幅度提升无风险利率并不能起到有效的抑制作用.     

Real-World Personal Conversations Using a Hands-Free Embedded Wireless Device While Driving: Effect on Airbag-Deployment Crash Rates

A wireless device embedded in the vehicle allowed the user to engage in a personal hands-free conversation (HFC), and automatically placed an emergency notification call to an OnStar call center if the vehicle was involved in a crash in which its airbag deployed. A database stored the exact counts, start timestamps, and billed durations of all HFC and airbag notification calls. In 30 months of naturalistic driving, there were 91 million HFC calls from an average of 323,994 drivers per month who made calls. There were 14 airbag deployments in 276 million driver-minutes of HFC conversation for an exposed incidence rate of 5.08 airbag crashes per 100 million driver-minutes. There were 2,023 airbag deployments in an estimated 24.7 billion driver-minutes of no HFC conversation for a not-exposed incidence rate of 8.18 airbag crashes per 100 million driver-minutes. The crash incidence rate ratio (IRR) is the ratio of these two rates or 0.62 (95% C.I. 0.37 to 1.05). Sensitivity analyses controlled for the impact on the crash IRR of estimated time spent driving per day and calls by passengers. Counting all crashes as much as 20 minutes later than a call as related to that call gave similar results. We conclude that for personal conversations using a hands-free embedded device the risk of an airbag crash is somewhere in a range from a moderately lower risk to a risk near that of driving without a recent personal conversation. These results are not consistent with the large increase in crash risk reported in epidemiological studies using the case-crossover method.     

资产泡沫、技术创新与经济增长

本文从理论和实证两个角度研究了资产泡沫发生、技术创新与经济增长之间的相关性。理论方面,本文构建了符合我国经济典型事实的熊彼特经济增长模型。模型中,企业家在为研发筹集资金时面临融资约束。由于融资约束的存在导致资本市场的资金供过于求,发生资产泡沫可促进企业平均的研发投入增加,研发成功的概率相应上升。实证方面,本文采用FF-TVP-SV-VAR和TVAR模型以及我国2000-2016年的月度数据分别对理论分析得出的结论进行检验。实证结果表明,资产泡沫发生可以促进技术创新,但该效应依赖于融资约束。此外,本文识别了融资约束的两个门限值。低于下限值时,资产泡沫可通过技术创新效应促进经济增长;高于下限值时,资产泡沫的技术创新效应较弱,因而对经济增长产生负向作用。