Moral Hazard and the Us Stock Market: The Idea of a 'Greenspan Put'
Moral Hazard and the Us Stock Market: The Idea of a 'Greenspan Put'
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道德风险与美国股市：“格林斯潘看跌期权”的理念
DOI：
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发表时间：
2001
期刊：
影响因子：
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通讯作者：
Lei Zhang
中科院分区：
文献类型：
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作者：
Marcus Miller;P. Weller;Lei Zhang
美国股市的风险溢价已远低于历史水平，Shiller(2000)将其归因于心理因素驱动的泡沫。作为另一种解释，我们指出，美联储的单方面干预政策可能会降低观察到的风险溢价，这会导致投资者错误地认为他们已经为下行风险提供了保险。通过考虑部分可信度和国家依赖的风险厌恶，我们证明了这种“保险”--被称为格林斯潘看跌期权--与隐含波动率随着市场下跌而上升的观察结果是一致的。我们的泡沫和席勒的泡沫一样，涉及市场心理：但我们所描述的与其说是“非理性繁荣”，不如说是对格林斯潘稳定力量的夸大信心。
The risk premium in the US stock market has fallen far below its historic level, which Shiller (2000) attributes to a bubble driven by psychological factors. As an alternative explanation, we point out that the observed risk premium may be reduced by one-sided intervention policy on the part of the Federal Reserve which leads investors into the erroneous belief that they are insured against downside risk. By allowing for partial credibility and state dependent risk aversion, we show that this ‘insurance’ – referred to as the Greenspan put – is consistent with the observation that implied volatility rises as the market falls. Our bubble, like Shiller’s, involves market psychology: but what we describe is not so much ‘irrational exuberance’ as exaggerated faith in the stabilising power of Mr. Greenspan.