The impact of Asset Purchases in an Experimental Market with Consumption Smoothing Motives

Material type: 文書・図像類

Author: Duan, Jieyiほか

Publisher: The Institute of Social and Economic Research, Osaka University

Publication date: 2021-11

Material Format: Paper

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Note (General)：: We investigate the effect of preannounced market intervention on an asset price as well as participants’ welfare in an experimental frame?work where p...

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Paper

Material Type: 文書・図像類
Title: The impact of Asset Purchases in an Experimental Market with Consumption Smoothing Motives
Author/Editor: Duan, Jieyi
Hanaki, Nobuyuki
Author Heading: Duan, Jieyi
Hanaki, Nobuyuki
https://nrid.nii.ac.jp/nrid/1000070400611
Publication, Distribution, etc.: The Institute of Social and Economic Research, Osaka University
Publication Date: 2021-11
Publication Date (W3CDTF): 2021-11
Periodical title: Institute of Social and Economic Research Discussion Papers
No. or year of volume/issue: 1147
Volume: 1147
Pages: 1-28
ISSN (Periodical Title): PISSN : 0473453X
EISSN : 24350982
Text Language Code: eng
Subject Heading: Asset Pricing
Consumption Smoothing
Bounded Rationality
Quantitative Easing
Target Audience: 一般
Note (General): We investigate the effect of preannounced market intervention on an asset price as well as participants’ welfare in an experimental frame?work where participants have consumption smoothing motives to trade the asset. The results show that, on one hand, the preannounced inter?vention results in significantly larger overpricing of the asset relative to the rational expectations equilibrium level in periods prior to the intervention compared with the treatment without it. The partici?pants’ welfare, measured by the discounted sum of the payoffs at the beginning of the experiment, on the other hand, are not significantly worsened by the intervention.
本稿では、実験室実験の手法を用いて、事前公表ありの市場介入が資産価格および消費者福祉に与える影響を調べた。本実験では、被験者は、消費平準化をする動機のもとで資産の取引を行う。市場介入が存在する場合の介入前の資産市場価格は、市場介入が存在しない場合の市場価格より高いだけでなく、合理的な期待均衡価格をも大幅に超えていることが示された。一方で、このような価格変動をもたらす市場介入は、消費者福祉（実験の開始時点を基準として、割引された各期の収益の合計）に有意な影響を与えていないことも観察された。
References (URI): URI
https://www.iser.osaka-u.ac.jp/library/dp/2021/DP1147.pdf
URI
https://www.iser.osaka-u.ac.jp/library/dp/summary/ISER_DP_No1147.pdf
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫　桜華