| 题名 |
資金成本與資產價格波動 |
| 并列篇名 |
Costs of Funds and the Volatility of Asset Prices |
| DOI |
10.29628/AEP.200112.0003 |
| 作者 |
林鳴琴(Ming-Chin Lin) |
| 关键词 |
資金成本價差 ； 資產價格波動性 ； Differential cost of funds ； Volatility of asset prices |
| 期刊名称 |
經濟論文 |
| 卷期/出版年月 |
29卷4期（2001 / 12 / 01） |
| 页次 |
437 - 459 |
| 内容语文 |
繁體中文 |
| 中文摘要 |
本文認為投資人所面對的資金成本差異是一項解釋資產價格過度波動現象不可或缺的因素。投資人由於期初財富水準不同，資金充裕者可以同時持有風險性資產和無風險資產，資金短缺者則可以採取融資方式投資風險性資產。一般而言，融資利率應高於無風險利率，即使投資人訊息同質，但因為資金成本不同，投資需求亦不相同。當資金充裕投資人與資金短缺投資人二者之資金成本差異擴大，造成平均資金成本變動，即使基本面沒有任何變化，資產價格仍然會波動，並且低於完美市場下的均衡價格。本文所建立部分均衡模型，可以說明資金成本差異對價格波動性的影響，以及均衡價格的特性。主要結果包括當資金成本價差愈大、投資人風險趨避度低或資產基本面風險小，均會造成資產價格波動更加劇烈。 |
| 英文摘要 |
This paper attempts to explain the cause of the volatility in asset prices. The key element in our explanation is the differential cost of internal and external funds that investors face. Investors are assumed to exhibit heterogeneous initial wealth. Surplus-fund investors can hold risky assets and risk-free asset with their own capital, while shortage-of-fund investors can purchase risky assets by borrowing debt from banks. In general, the borrowing rate is higher than the lending rate, even though with homogeneous information, investors’ demand for risky assets differs due to the differential cost of funds. When the interest spread widens, then the average cost of capital changes as does the asset price, regardless of whether there is a change in fundamentals. This drivers asset prices down below what they would be with frictionless markets. The partial equilibrium model constructed in the paper is able to trace the impact of the differential cost of funds on the asset price’s equilibrium. The main results obtained suggest that the wider the spread is between the cost of funds, the lower the risk aversion or the smaller the fundamental risk will be, and the more volatile the asset price will be. |
| 主题分类 |
社會科學 >
經濟學 |
| 参考文献 |
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