財務槓桿與資產泡沫的動能分析

Financial Leverage and the Dynamics of Asset Price Bubble

陳至還(Chih-Huan Chen) ； 劉宗欣(Zong-Shin Liu)

《真理財經學報》 28期 (2018/06) Pp. 75-97

摘要

世界各國經濟愈來愈受資產泡沫的宰制，惟至今學界對泡沫的形成仍缺乏滿意的理論。主流派經濟學家將資產泡沫的產生歸因於市場上預期看漲心理，而後透過自我實現預言的機制實現，但是這種說法無法進一步解釋市場上普遍看漲心態的由來。為填補這理論的缺陷，許多相關解釋轉向求助於交易者的信念差異化、資訊不全或非理性行為假設，然而這些假設均未能充分掌握泡沫形成的核心因素。有鑑於此，本文嘗試從市場積極投資者的財務觀點，提出一動態模型來解釋資產泡沫的成長動能，此動能係來自資產價格與積極投資者財務狀況呈現交互加强的循環，而形成資產泡沫持續成長的迴圈機制。本模型可以解釋為何資產泡沫很容易在信用過度寬鬆及低利率環境下猖狂孳長。

關鍵字

資產泡沫 ； 財務槓桿 ； 投機市場

並列摘要

Modern economies have increasingly come to depend on asset bubbles. Yet, to date, there is no widely accepted theory to fully explain their occurrence. Mainstream economists take the so-called ＂rational bubble＂ that result from the expectations of rising prices can be self-fulfilling, but they leave the question of how the rising expectations might arise unexplained. To fill in the missing component of the theory, we develop a simple dynamic model from the viewpoint of a rational trader to explain the growth of asset price bubble. The model shows that the growth of a bubble feeds on itself by strengthen the financial position of market traders. A feedback loop which interacts between the leverage of traders and asset price can explain the formation of asset price bubble. It suggests that asset price bubbles can be easily pumped up under the environment of excessive loose credit and excessive low interest rates.

並列關鍵字

asset price bubble ； financial leverage ； speculative market

參考文獻

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