刚性泡沫:基于金融风险与刚性兑付的动态一般均衡分析

Guaranteed Bubbles:A Dynamic General Equilibrium Analysis of Financial Risks and Rigid Redemption

随着金融系统风险的不断增大,宏观政策如何应对资产泡沫是一个亟待解决的重要问题。本文基于一个具有理性资产泡沫的动态一般均衡模型,重点讨论了金融风险增大情况下,资产泡沫的成因及其宏观效应。本文从理论上证明:资产泡沫一方面有利于缓解融资约束带来的流动性短缺,从而一定程度上改善了金融摩擦引致的资源错配;另一方面,资产泡沫本身又会加大整个金融系统风险,从而对宏观经济造成威胁。将刚性兑付引入基准模型后,本文发现对高风险金融资产的刚性兑付会导致流动性充裕的投资者过度投机而引起所谓的“刚性泡沫”,泡沫资产的需求和价格与刚性兑付力度呈正向关系。进一步分析表明,“刚性泡沫”在改善流动性短缺的同时,又会对实体经济造成挤出效应。因此,政府对金融市场的救助行为面临取舍,且最优救助力度随金融系统风险的增大而降低。以上分析表明,在高金融风险与资产泡沫并存的情况下,针对资本市场的救助政策需谨慎执行。

As financial system risks continue to grow,concerns about asset bubbles are increasing.The consensus is that,explicitly or implicitly,the guaranteed bailout(i.e.,rigid redemption)of high-risk financial assets encourages investors to take greater risks,leading to excessive speculation and asset price bubbles,which threaten the stability of the macro system.However,academia has not fully explored how guaranteed bailouts affect asset bubbles and how a government can implement a prudential policy of guaranteed bailout.To this end,this paper introduces financial system risk and rigid payment into an infinite-period asset bubble dynamic general equilibrium model and attempts to answer the following questions.How does rigid payment of high-risk financial assets generate the so-called“guaranteed bubbles”?Given the existence of asset bubbles,how does the guaranteed bailout affect asset prices and the overall macro economy?At the macro level,is there an optimal rigid payment policy?Our analysis framework is based on the infinite-period rational bubble model of Wang&Wen(2012).The model assumes that firms face heterogeneous shocks to investment efficiency.Under financing constraints,firms with higher investment efficiency cannot obtain desirable liquidity from the credit market.Therefore,resource misallocation exists.The incompleteness of this financial market endogenously creates the necessary conditions for the existence of asset bubbles that can provide liquidity.In turn,asset bubbles can improve liquidity to a certain extent and promote corporate investment.Asset bubbles have a probability of bursting.We assume that once a bubble bursts,the government will bail out a certain proportion of the bubbly assets.We show that this policy makes the entire economy more prone to bubbles,so we call it a“guaranteed bubble”policy.This policy causes more liquid companies to hold bubbles even if the asset itself is highly risky.At the same time,greater demand for asset bubbles directly pushes up asset prices,causing an increase in the size of asset bubbles in equilibrium.We further demonstrate that when financial risks increase,guaranteed bailout provides a more obvious boost to asset prices and bubble size.When financial risks increase,the guaranteed subsidy for a bubble burst is essentially a bailout policy that encourages the expansion of asset bubbles while also increasing market liquidity.It then plays a positive role in investment and production.However,due to the inherent risks of bubbly assets,the guaranteed bailout will cause a crowding-out effect on the real economy.Our analysis shows that due to the trade-offs faced by guaranteed bailout policies,there is an optimal guaranteed bailout level,and the optimal value decreases as financial risks increase.In the case in which high financial risks and asset bubbles coexist,the government's rescue policy for the capital market must be implemented cautiously.In sum,when the risk to the financial system is increasing,macro policies that deal with asset bubbles need to be resolved urgently.Using a dynamic general equilibrium model with rational asset bubbles,this paper investigates the causes and macroeconomic consequence of asset bubbles in the context of increased financial risk.We theoretically prove that asset bubbles are conducive to alleviating the liquidity shortage caused by financing constraints,thus improving the resource mismatch caused by financial friction to some extent.However,asset bubbles also increase financial system risks,which pose a threat to the macro economy.After introducing the guaranteed bailout into the benchmark model,we find that the implicit bailout of high-risk financial assets leads to excessive speculation by investors with sufficient liquidity and thus cause guaranteed bubbles.The demand and price of bubbly assets are therefore positively related to the generosity of the implicit bailout.Our further analysis shows that guaranteed bubbles generate a crowding effect on the real economy while improving the liquidity shortage.Therefore,a government's bailout policy creates competing effects,and thus,optimal policy decreases with the risk of the financial system.Our theoretical analysis reveals that given the coexistence of high financial risks and asset bubbles,the optimal bailout policy for financial markets must be selected with caution.