摘要
近年来,中国货币供给保持较快增长,其中大量货币流入房地产市场,使得房地产市场长期繁荣。然而,2022年开始的房价快速回落也客观说明了此前房地产价格上涨是一种泡沫,是经济“脱实向虚”的后果。为了探究经济“脱实向虚”的内在机理,本文通过构建一个包含货币、生产资本和泡沫资产三种资产的“经济增长—资产组合”模型,探索泡沫资产对货币流向及货币政策效率的影响。模型分析结果表明,提高货币增长率具有二重效应。第一重是总量效应,即通过降低货币的实际收益率来提高家庭的非货币资产持有,进而推高储蓄率,推动经济增长。第二重是结构效应,通过影响资产组合来降低生产资本与泡沫资产的比例,加剧“脱实向虚”,抑制经济增长。当泡沫资产的风险较小时,结构效应将占主导,货币增长率的提升只会导致资金不断流向泡沫资产,阻碍经济增长。进一步的政策模拟结果表明,通过宏观审慎政策工具与货币政策相搭配,将能够防范经济“脱实向虚”,最大化社会福利。
The past decade has witnessed a rapid growth of money supply in China and consequently a large amount of money has flown into the real estate market leading to a real estate bubble,and shifting the economy from real to virtual.This has raised special attention from policy makersto professional economists and also has ignited heated debate on the direction of monetary flows and the efficacy of monetary policy.Following Brunnermeier and Sannikov(2016),we construct a stochastic growth model with endogenous asset portfolio choice.In the model,each household owns productive capital and is subject to idiosyncratic shocks.Constrained by financial frictions,households are unable to insure against such idiosyncratic risks in full,so they need to do diversification through careful asset allocation.Money is risk-free and functions as a store of value,as illustrated in the conventional literature.Our innovation relative to the previous work is to include a(risky)bubbly capital for the purpose of examining the dynamic structural change of the real sector and virtual economy.The bubbly capital does not create real wealth but gives its holder“money illusions”.The return rate for bubbly capital is monotonically increasing in its social average investment rate.That is,the more household purchase the bubbly capital,the higher its return.The effect of money growth on the economy has two competing forces.The first is the aggregate effect,i.e.,an increase in the money growth rate leads households to hold more non-money assets,thus pushes up the aggregatesavings,accumulates both productive and bubbly capital and finally promotes economic growth.The second is called the structural effect,i.e.,an increase in the money growth rate reduces the proportion of productive capital relative to bubbly capital via household portfolio choice and therefore worsens the phenomenon of“making the economy shift from real to virtual”and finally slows down economic growth.Risk is an important factor to determine the relative magnitude between thes
作者
彭俞超
郭豫媚
沈吉
Yuchao Peng;Yumei Guo;Ji Shen(School of Finance,Central University of Finance and Economics;Guanghua School of Management,Peking University)
出处
《经济管理学刊》
2024年第4期119-154,共36页
Quarterly Journal of Economics and Management
基金
国家自然科学基金青年项目(71903208)
面上项目(72273159)对本文研究的资助。
关键词
“脱实向虚”
货币政策
资产组合
宏观审慎
Shifting from Real to Virtual
Monetary Policy
Portfolio
Macro-Prudential Policy