唧唧堂编辑二朵2014-05-16 3:09 PM

亚洲银行借贷和不动产: 市场乐观情绪和资产泡沫 Bank lending and real estate in Asia: market optimism and asset bubbles 

论文摘要

本文研究了上世纪90年代亚洲房地产价格的飙升和崩盘。我们确认了金融中介对作为所观察到价格行为的潜在原因的嵌入于无追索权抵押贷款的认沽期权的抑价。这种低估是由于行为原因(贷款人的乐观和对灾难短视)和/或贷款人 对市场激励机制的理性反应(代理冲突,存款保险或银行股东的有限责任)。经验证据表明,这种抑价发生在泰国,马来西亚和印度尼西亚。因此这些国家经历了比抑价受控于强有力政府干预和/或更适当的激励机制之下的香港和新加坡更严重的市场崩盘。

Abstract 

This paper investigates the Asian real estate price run-up and collapse in the 1990s. We identify financial intermediaries’ underpricing of the put option imbedded in non-recourse mortgage loans as a potential cause for the observed price behavior. This underpricing is due to behavioral causes (lender optimism and disaster myopia) and/or rational response of lenders to market incentives (agency conflicts, deposit insurance, or limited liability of bank shareholders). The empirical evidence suggests that underpricing occurred in Thailand, Malaysia, and Indonesia. Consequently, these countries experienced a more severe market crash than Hong Kong and Singapore, where underpricing was kept under control by strong government intervention and/or more appropriate incentive mechanisms.

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