Annual Review of Economics · 2021 · [{"name": "Alp Simsek", "affiliation": ["National Bureau of Economic Research", "Centre for Economic Policy Research", "Massachusetts Institute of Technology"]}]
中文摘要
我从宏观经济学视角回顾了由信念分歧驱动的金融投机文献。为突出其中统一的主题，我构建了一个嵌入多种机制的程式化宏观经济模型。在卖空约束下，投机可能导致资产估值过高和投机泡沫。杠杆可以大幅放大投机泡沫，而杠杆上限取决于感知到的下行风险。关于下行尾部情景的信念转变可以解释杠杆化投机泡沫的产生与崩溃。投机泡沫与理性泡沫相关，但在资产收益可预测性的经验证据方面与之更为吻合。即使没有卖空约束，投机也会导致资产估值呈现顺周期性。当投机影响总量资产价格时，它也会影响总消费、投资和产出等宏观经济结果。繁荣时期的投机会降低随后衰退中的资产价格、总需求和产出。限制繁荣期投机的宏观审慎政策可以改善宏观经济稳定性和社会福利。
Abstract
I review the literature on financial speculation driven by belief disagreements from a macroeconomics perspective. To highlight unifying themes, I develop a stylized macroeconomic model that embeds several mechanisms. With short-selling constraints, speculation can generate overvaluation and speculative bubbles. Leverage can substantially inflate speculative bubbles, and leverage limits depend on perceived downside risks. Shifts in beliefs about downside tail scenarios can explain the emergence and the collapse of leveraged speculative bubbles. Speculative bubbles are related to rational bubbles, but they match better the empirical evidence on the predictability of asset returns. Even without short-selling constraints, speculation induces procyclical asset valuation. When speculation affects the price of aggregate assets, it also influences macroeconomic outcomes such as aggregate consumption, investment, and output. Speculation in the boom years reduces asset prices, aggregate demand, and output in the subsequent recession. Macroprudential policies that restrict speculation in the boom can improve macroeconomic stability and social welfare.