商业银行行为与资产市场泡沫——一个基于中国制度背景的均衡模型

Behavioral Features of Commercial Banks and Asset Market Bubbles:An Equilibrium Model under Chinese Institutional Background

资产市场均衡价格高于其真实价格的部分即为泡沫,泡沫破灭将导致财富幻觉的消失,进而造成需求萎缩、投资不足、经济增长放缓等不良后果。文章研究表明,制度缺陷将导致资产市场理性泡沫的存在。在资产市场配额供给、商业银行承担两类代理成本、央行实施价格管制、监管当局实施资产比例管理等制度背景下,存在私人利益和正的边际私人利益的银行家,倾向于向资产市场过度供给贷款,从而导致风险资产价格相对于银行家无私人利益时的均衡资产价格而言,系统性地被高估。在商业银行与银行监管当局仅根据风险资产最近成交价格预测银行贷款组合或贷款低押物未来价值这一信息结构下,一次交易中所形成的资产市场泡沫,可能会随着时间的延续而逐渐累积。

The defects of institutional arrangement bring about rational asset bubbles. Defects, such as the supply quotas in IPOs, agent cost and price regulations, encourage bankers who possess positive private benefits and marginal private benefits to provide excess loans to the asset market, which in turn leads to the equilibrium price in the asset market being systematically higher than the price when bankers have zero private benefits. When banking regulatory authorities can evaluate the value of collateral conditional only on its latest price, the bubbles generated in earlier rounds of trading will be accumulated as time goes on.