报告时间：6月4日14:00-17:00

报告地点：管楼G506会议室

报告题目：Heterogeneous impacts of monetary policy shocks on rational and naive bubbles

报告摘要

This paper studies the housing bubble characteristics and the response of bubble dynamics when facing monetary policy surprises in China. We propose a conceptual framework allowing bounded rationality to identify two distant bubble types, i.e., rational and naïve bubbles, and estimate the bubble characteristics by using a fractional time series analysis. Exogenous monetary policy shock is captured by estimating an endogenously switching rule that accommodates institutional facts in China. Using a historical dataset covering major Chinese cities, our results demonstrate that both the magnitude and type of housing bubbles evolve across locations over time, while the bubbles are mostly dominated by a rational type. Tightening monetary policy is found to exert a containing role in affecting rational housing bubbles but its role in naive bubbles is less significant. Our results confirm effectiveness of contractionary monetary policy and home purchase restrictions in combating China’s housing bubbles thanks to the nationwide dominance of a rational bubble type.

报告人简介

段堃，华中科技大学经济学院副教授、硕士生导师，南安普顿大学经济学博士。现任全英/全欧中国经济学会应用计量经济学工作组联席主任。主要研究领域包括价格波动与预期、资产市场与政策、数字金融。以第一作者/通讯作者身份在Journal of International Financial Markets, Institutes & Money，Energy Economics，Journal of Real Estate Finance and Economics，International Review of Financial Analysis，Economics Letters，《管理科学》等国内外权威期刊发表学术论文近30篇，其中ESI高被引论文4篇。主持美国金融协会科研项目一项，教育部科研项目一项，参与多项国家级课题项目。研究成果曾获得中国房地产学术年会优秀论文奖，华中科技大学人文社会科学研究突出贡献奖。