针对金融市场不稳定的监管医学：什么是有益的，什么是有害的？
Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?
摘要：
我们是否知道卖空禁令或托宾税是否会导致更稳定的资产价格？或者他们实际上让事情变得更糟？就像药品一样，金融市场的监管措施旨在改善本已复杂的体系。就像药物一样，这些干预措施可能会导致副作用，当考虑到与其他措施的相互作用时，这些副作用甚至更难评估。本文建立了一个基于Agent的股票市场模型，试图解决上述问题。在一个循序渐进的过程中，监管措施被引入，并研究其对市场流动性和稳定性的影响。特别是，观察和讨论了以下措施的影响：（一）禁止卖空;（二）强制性风险限额，即风险价值限额;（三）引入托宾税，即交易税;以及（四）任意组合的措施。该模型的建立，将非线性反馈效应的杠杆和流动性限制，导致火灾销售和逃生动态。在不受监管的版本中，模型结果能够再现资产回报的程式化事实，如厚尾和聚集波动。引入监管措施表明，只有强制性的风险限制从各个角度来看都是有益的，而卖空禁令--尽管减少了波动性--却增加了尾部风险。托宾税的情况正好相反：它减少了崩溃的发生，但增加了波动性。此外，措施之间的相互作用不可忽视：措施之间相互阻碍，精心选择的组合可以减轻不可预见的副作用。关于托宾税，调查结果表明，过量服用会造成严重伤害。
英文摘要：
Do we know if a short selling ban or a Tobin Tax result in more stable asset prices? Or do they in fact make things worse? Just like medicine regulatory measures in financial markets aim at improving an already complex system. And just like medicine these interventions can cause side effects which are even harder to assess when taking the interplay with other measures into account. In this paper an agent based stock market model is built that tries to find answers to the questions above. In a stepwise procedure regulatory measures are introduced and their implications on market liquidity and stability examined. Particularly, the effects of (i) a ban of short selling (ii) a mandatory risk limit, i.e. a Value-at-Risk limit, (iii) an introduction of a Tobin Tax, i.e. transaction tax on trading, and (iv) any arbitrary combination of the measures are observed and discussed. The model is set up to incorporate non-linear feedback effects of leverage and liquidity constraints leading to fire sales and escape dynamics. In its unregulated version the model outcome is capable of reproducing stylised facts of asset returns like fat tails and clustered volatility. Introducing regulatory measures shows that only a mandatory risk limit is beneficial from every perspective, while a short selling ban - though reducing volatility - increases tail risk. The contrary holds true for a Tobin Tax: it reduces the occurrence of crashes but increases volatility. Furthermore, the interplay of measures is not negligible: measures block each other and a well chosen combination can mitigate unforeseen side effects. Concerning the Tobin Tax the findings indicate that an overdose can do severe harm.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
