【作者】 徐挺；

【导师】 逄锦聚； 郭树清；

【作者基本信息】 南开大学 ， 政治经济学， 2010， 博士

【摘要】 历史上资产价格过度波动引发金融动荡的历史事件不胜枚举,其中较为著名的有1637年郁金香狂热、1720年南海泡沫、1907年美国银行业危机、1929年华尔街崩盘、1987年“黑色星期一”……进入20世纪90年代,随着金融自由化、金融创新和信息技术的发展,资本市场的规模不断扩大、市场化程度不断提高,然而,这并未平息金融体系的剧烈动荡以及由此引致的实体经济衰退,日本“迷失的十年”、亚洲金融危机、美国次级贷款危机接连发生。在世界范围内金融体系大变革的背景下,上述金融危机也体现了新的时代特点：首先,资本市场与货币市场、境内市场与国际市场的日益融通促使金融资产规模日益扩张,资产价格变化对市场主体(家庭、企业)所持有的资产价值和一国宏观经济的影响日益增大,资产价格过度波动愈来愈成为宏观经济的不稳定因素；其次,上述危机均发生在通货平稳运行的情况下,资产价格与一般商品、服务价格的趋势性背离使传统货币政策的制定与实施陷入两难困境。目前,关于资产价格波动引致经济金融风险的系统性研究似乎并未引起足够的重视。关于金融危机的研究主要集中于银行业危机和货币危机,资产价格只是危机研究的附属研究对象；而在货币政策方面,资产价格也是长期游离于目标体系之外,关于资产价格能否纳入、如何纳入货币政策目标体系,至今尚无定论。这在以往资本市场不够发达,规模狭小的情况下尚可理解,而时至今日,资本市场的深度和广度空前发展,以价格剧烈波动和数量高速扩张为特征的金融资产膨胀日益严重地改变世界经济结构和发展节奏,以往有关资产价格与经济金融稳定的相关理论就显得相对滞后与疲软。反观我国,尽管在历次金融危机中,我国虽能有效应对,但风险犹存。资本市场波动剧烈、在内外流动性夹击下资产价格泡沫隐现、金融风险突出。这一系列现实问题都迫使我们寻求资本市场的内在波动机制以及化解资产价格泡沫、防范金融风险的路径和答案。出于对上述问题的思考,本文企图从资本市场波动的内在机理出发,探究资产价格泡沫“膨胀—破裂”的周期性：运行机制及其与银行业危机和货币危机的传导机制,进而为制定科学、有效的风险防范和金融稳定政策提供理论依据。全文分为六章。第一章对资本市场波动与金融危机的文献进行梳理与回顾,通过对马克思的虚拟资本理论及其凯恩斯、费雪、明斯基等人的经典模型的考察,为文章的后续展开奠定理论基础。第二章从金融资产的特殊属性出发,通过戈登股利恒定增长模型阐述资产价格的价值决定机制以及内在价值的经验判断方法,同时依据该方法将我国资本市场与美国、香港、台湾等海外市场进行基础价值的对比分析,为全面认识我国资产价格整体水平提供事实依据。在此基础上,对资产价格过度波动进行定性和定量分析,并利用因素分析法探究我国资本市场的主要影响因素及其影响的频度和程度。第三章首先分析有效假说市场的理论缺陷和面对金融异象陷入的困境；接着引入行为金融的分析方法,阐述了投资主体的过度自信、羊群效应以及正反馈交易等非理性行为特征,着重通过DSSW噪声交易模型分析投资者行为特征对资产价格泡沫的催生作用,从投资主体这一微观视角展开对资产价格波动以及泡沫衍生的理论分析。第四章选取流动性过剩作为资产价格泡沫膨胀的宏观因素,分析流动性过剩引致资产价格泡沫的作用机制。根据开放经济下的银行资产负债表,货币供应量主要是由本国商业银行信贷和持有外汇储备构成,因此,从信贷扩张和资本流入两个角度分别探讨内源性流动性过剩和输入性流动性过剩对资产价格泡沫的作用机制。最后,通过建立回归模型对我国流动性过剩与资产价格泡沫进行实证分析。第五章从资产价格波动视角系统考察金融危机的生成与扩散机制。首先,分析资产价格泡沫存续性条件和破裂的原因；然后探讨泡沫破裂引发银行业危机和货币危机的传导机制,并分别以次贷危机和亚洲金融危机为配合案例,生动描绘泡沫破裂引发危机的传导机制。针对我国资本市场市场波动剧烈、价格泡沫隐现、金融风险突出的运行特征,第六章提出相应的调控措施：通过建立多层次资本市场抑制过度波动；通过科学的货币政策疏导流动性过剩,控制资产价格泡沫；通过建立金融危机的预警机制,化解系统性风险等。本文拟实现的创新主要有：1、尝试将微观层面的投资者主体行为与宏观层面的流动性过剩相结合,分析资产价格泡沫“膨胀—破裂”的运行机制及其引发的金融危机的传导机制。就微观层面而言,资本市场是由无数投资者和投机者共同构成的博弈场所,因而对于资本市场脱离基本面因素的非理性波动唯有从行为金融的角度加以阐释,这为我们分析资产价格泡沫提供了可取的微观视角；然而在没有流动性支持的情况下,任何投资主体都无法将其主观意愿转化为投资现实,从而也就难以作用于资产价格。流动性在为资产价格提供资金支持的同时,也会影响投资主体预期,从而间接作用于资产价格。遵循这一脉络,并结合当前的经济环境,在宏观层面上,本文从流动性视角来分析资产价格泡沫膨胀的原因,这样也可以更好地理解泡沫破裂后信贷紧缩和资本逆流所引发金融危机的传导机制。2、依据流动性的相关文献和开放经济下银行体系资产负债表说明的货币供给机制,将流动性过剩引致资产价格泡沫的机制划分为信贷扩张导致的内源性流动性冲击和资本流入导致的输入性流动性冲击,系统分析了流动性过剩对资产价格的作用机制。3、系统性地研究了资产价格泡沫“膨胀—破裂”周期性运行与银行业危机和货币危机的互动机制。目前的金融危机理论主要集中于对银行业危机和货币危机的研究,对资本市场危机没有足够重视。但是众多危机事件表明,20世纪30年代美国经济大萧条和20世纪90年代日本的持续经济衰退都起因于银行信用深度介入资本市场,推动了资产价格泡沫的急剧膨胀,而泡沫的破裂则直接引发了银行信用出现内生性紧缩,进而导致整体经济进入长期衰退状态；1997年亚洲金融危机,资产价格泡沫与外资流入也存在相似的作用机制。本文系统性地分析资产价格与信贷扩张、资本流动的互动机制,旨在引起对这一现象与机理的重视。4、在分析的基础上,提出应对世界金融危机对我国经济严重影响的措施和政策建议。更多还原

【Abstract】 There are numerous historical events about the financial upheavals triggered by the excessive volatility of asset prices, such as the Tulip Fever in 1637,the South Sea Foam in 1720, American Banking Crisis in 1907, the collapse of Wall Street in 1929 and the Black Monday in 1987 and so on. In 1990s, with the trend of financial liberation and innovation as well as the development of information techniques, the capital market was expanding continuously, so as to its market tendency. However the excellent capital market could not balance the tremendous turbulence of financial system and the following real economic depression. So it came in succession the Lost Ten Years in Japan, Asia Financial Crisis and US Subprime Mortgage Crisis. In the circumstances of the great revolution of global financial system, the financial crisis, discussed above, embody some new characteristics:first of all, the combinations of capital market and money market as well as the accommodation of domestic market and international market are fostering the escalation the scale of financial asset. The change of asset price has exert great influence on the asset value held by market’s principal parts, that are family and enterprise, and also on the nations’macroeconomic. Besides, the excessive volatility of asset prices is more and more becoming the incentive of the unstable macroeconomic. Secondly, the above crisis all happened when the circulating medium was working smoothly, while the establishment and implement of traditional money policy is in a dilemma because of the violation of asset price from common commodity and service price.Currently, people have not taken many eyes on the systematical research about the relationship between the excessive volatility of asset prices and economical financial crisis. The related studies are mainly about banking and money crisis. The asset price is only an additional object in the research of crisis. While to the policy of money, the asset price has being detached from the objective system for a long time. And there exist many aspects which are not ascertained till today, such as whether asset price can bring into the money policy’s objective system or not, and if it could how it would be come true. The above problems can be understood in the former capital market which was not developed enough and its scale was too narrow. However today, according to the unprecedented development of the capital market’s depth and breadth, and the changing world economic system and its developing rate, which are greatly influenced by the inflation of financial asset characterized with price volatility and quantity increased in a high speed, the former theories relating to the asset price and economical financial steady will become relatively lag and flexible.Although China has avoided all previous crises, the dangerous of financial crisis also exists. The capital asset is fluctuating fiercely. The asset price bubble is looming and the financial crisis is standing out for the converging attack of domestic and aboard liquidity. So we are compelled to find the inherent volatility system of asset market and to resolve the problems of asset price bubble. With the consideration of above problems, this dissertation will study the periodicity circulate system of asset price bubble’s "inflation-burst" and the transmit system of banking and money crisis.The purpose of this thesis is to provide theoretical basis for establishing scientific and effective crisis protection and financial steady policy.This dissertation includes six chapters.The first chapter is the retrospect of some classical literatures relating about asset market volatility and financial crisis. The review of Marxian dummy capital theory and some classical models of Keynes, Fisher and Minsky is the basis of following discussion.In chapter two, on the basis of financial asset’s special attribute, I will expound the value decision system of asset price and its inherent value’s experience judgment with Gordon dividend constant growth model. And the foundation value will be contrastive analyzed between Chinese capital markets with overseas markets such as US,Hong Kong, Taiwan with the method that the Gordon Model contains simultaneously, so as to understand the overall level of asset price in Chinese capital market. On the basis of the correct understanding of asset prices, the excessive fluctuations will be analyzed with qualitative and quantitative method. And then, the major effect factor and their frequency and the degree in Chinese capital market will be measured in the Factor Analytic Method. The third chapter first analyzes the theory flaw of EMH and the difficult position of EMH caused by financial heteromorphy’s;and then the Behavior Finance’s analysis method will be leaded. In which method, the investor contain the non-rational behavior characteristic such as excessively self-confident, the flock of sheep effect as well as the regeneration transaction and so on. In this part, the DSSW model will be introduced to analyze the catalytic role of investor behavior characteristics in asset price bubble. In brief, the generation of asset price is be analyzed in the micro view from the investor perspective.In the fourth chapter, the excess liquidity has been selected as an asset price bubble of the macroeconomic factor, therefore, the focus of this chapter is to analyze the mechanism that how do asset price be caused by excess liquidity. According to the balance sheet of banks in the open economy, we can see that money supply is mainly held by domestic commercial bank credit and foreign exchange reserves composition, therefore,we can extend credit as endogenous liquidity and define the capital inflow as exogenous excess liquidity, and then the asset price bubble could be analyzed from these two aspects respectively. Finally, an empirical analysis on excess liquidity and asset price bubbles in Chinese capital market will be carried out with a regression model.The purpose of chapter five is to review the generation and proliferation of financial crisis from the aspect of asset price fluctuation. First of all, this chapter will analysis what is the condition of asset price fluctuation continuously exists and why it collapses.In succession, the transmit system, with which the bubble burst causing banking and money crisis, will also be probed in this part. And the cases of sub prime mortgage crisis and Asia financial crisis will be exampled here to support theory of the transmit system discussed above.For the capital asset is fluctuating fiercely and the asset price bubble is looming as well as the financial crisis is standing out in our domestic capital market, the sixth chapter will provide corresponding measures to control the circulated problems. The main steps are as follows. We should set up multi-level capital market to control the excessive fluctuate. And the scientific money policy should be established to ease the excess liquidity and to control asset price bubble. Besides, we can establish the warning system against the financial crisis to resolve the systematic crisis.The innovation of this paper include:1.The expected innovations of this dissertation are as follows. First, the principal investor behavior in microcosmic level will be connected with the excess liquidity in macrocosmic aspect in order to analysis the operating mechanism of asset price bubble’s "expansion-break" and the transmission mechanism of how it causes the financial crisis. In the aspect of microeconomic, since capital market is the competitive sites constituted by numerous investors and speculators, so we should explain the irrational fluctuations of capital market, separating from fundamental aspects, in the prospective of behavioral finance, so that we can attain the suitable micro perspective in the process of the analysis the asset price bubble. However, without the support of liquidity, no investor can translate his or her subjective will translate into invest reality. Thus the asset price can not be influenced either. The liquidity can provide the capital support to asset price. Meanwhile it can also influence the expectation of invertors as well as the asset price indirectly. According to this thread, and in the circumstance of current economic, we can reach the reason why the asset price bubble is swelling in the aspect of liquidity. So the transmission mechanism, with which the credit crunch and capital reflux cause the financial crisis, can also be understood easily.2. According to the literature based on liquidity and the money support system showed by balance sheet of banking system in the open economy, this paper divides the mechanism causing the asset price bubble into internal liquidity impact caused by credit expansion and external liquidity impact caused by capital flows so as to analysis the action mechanism of excess liquidity on asset prices systemically.3. The present thesis makes a systematic study on the periodicity of capital price foam’s "explosion-collapse" and the interactive mechanism between bank crisis and currency crisis. Contemporary financial crisis theories are mainly focused on the study of bank crisis and currency crisis, but emphasis on the capital market crisis is not enough. However, past crisis events showed that American Great Depression in the 1930s and the Japanese constant economy recession in the 1990s both origin from the involvement of bank credit into capital market, which aggravated the rapid explosion of capital price foam and leads to a sustained recession of the entire economy. In the Asian financial crisis in 1997, the interactive mechanism between the capital price foam and the inflow of foreign capital is the same. The present thesis aims to arouse emphasis on the interactive mechanism between t the credit expansion, the capital flow and the capital price by making a systematic analysis on it.4. On the basis of analysis, the present thesis suggests respondent strategies and policies to the severe influence of world financial crisis on China’s economy.更多还原