论投机性泡沫的内生性——基于一个模拟投机交易过程的经验模型

Intrinsic Bubbles Based on Process of Speculating——An Empirical Model of Simulating the Process of Speculating

通过一个简约的模拟投机交易的经验模型,阐述了投机性泡沫是投机者对资产价格预期的一种自我实现①,它内生于投机者对资产价格进行无约束的套利交易过程中,其内在机制是交易数量的加速膨胀和预期的资产价格增长的相互作用。并据此认为政府管理部门首先应根据经济宏观和微观运行状况,结合资产的特点,为资产价格确立一个目标区域,并运用结构性的货币政策、延展交易资产的持有时间以及征收交易税等手段对资产价格进行有效管理,以防范投机性泡沫的形成和扩展。

This paper expounds that speculative bubbles are a procedure of self-realization of the expectations about assets price by an elliptical simulation model.These expectations are intrinsically formed in an unrestricted process of arbitrage trading by speculators.The internal mechanism of speculative bubbles is the interaction of continually increasing of the transactions and asset prices.This paper thinks that the government should set a target area about assets price according to the macroeconomic and microeconomic fundamentals,and the government should effectively control speculative bubbles by using structural monetary policies and holding up the trading time and a transaction tax etc.