经济政策不确定性和经济周期与艺术资产价格

Economic Policy Uncertainty and Economic Cycle With Art Asset Prices

本文基于雅昌艺术网国画400指数的388位艺术家2000—2017年的16956对重复样本数据,运用重复交易法、3SLS回归量化研究了经济政策不确定性、经济周期对艺术资产价格的影响。研究结果表明:第一,在经济政策不确定性处于较低水平时,不确定性与艺术资产价格呈现显著的负相关关系,在不确定性处于较高水平时,二者之间则呈现显著的正相关关系,经济政策不确定性对艺术资产价格的影响是非线性的,呈U型。第二,相比于经济扩张阶段,经济紧缩阶段艺术资产呈现出更高的价格水平,即艺术资产价格是逆周期的。第三,在同等水平的经济政策不确定性条件下,投资者更倾向于持有艺术品杰作。因此,艺术资产具有典型的逆周期属性和避险属性,在资产组合和大类资产配置时考虑加入艺术资产是可行的。

Based on 16956 pairs of the repeated sample data of 388 artists from 2000 to 2017 in the Artron 400 Index of the Artron Art Network,this paper uses the repeated transaction method and 3 SLS regression to quantitatively study the impact of economic policy uncertainty and economic cycle on the price of art assets.The conclusions of the study are as follows:First of all,the impact of economic policy uncertainty on the price of art assets is non-linear and U-shaped;Secondly,compared with the stage of economic expansion,art assets in the stage of economic contraction show a higher price level,that is,the price of art assets is counter-cyclical;Finally,with the same level of economic policy uncertainty,investors are more likely to own masterpieces.Therefore,art assets have typical counter-cyclical attributes and risk aversion attributes,so it is feasible to consider adding art assets in asset portfolio and asset allocation.