Abstract: This paper constructs an asymmetric evolutionary game model betweenentrepreneurs and lenders, so as to explore the micro-mechanism of asset bubbles emergence. This study finds that the impact of financial frictions on entrepreneurs and lenderis heterogenous, both of which can result in capital misallocation. The generation of asset bubbles is the results that staff take on non-rational economic actions with the action of herd effect and contagion effect on individual carries on irrational economic actions in short-term under financial friction shock. It also shows that lenders' seek for higher rents of capital could account for the emergence of asset bubbles, and entrepreneurs provide capital in the process of asset bubbles expansion. Asset bubbles divide individual maximization effect and macroeconomic development. Since financial frictions are the condition of asset bubbles emergence, hence, the effective method to cut off the path of asset bubbles generation is to improve financial efficiency and financial function.

Key words: financial frictions, capital misallocation, evolution games, asset bubbles

摘要： 构建企业家和贷款人的非对称演化搏弈模型,分析金融摩擦约束下代理人群体决策与资产泡沫的联系,探索资产泡沫产生的微观机理。研究发现:金融摩擦对代理人群体的影响是异质的,但都会导致资本配置扭曲;资产泡沫产生是代理人在金融摩擦冲击下,个体短期非理性在羊群效应和传染效应作用下引致的群体非理性;贷款人对资本高租金追求是资本泡沫产生的根源,但企业家为资产泡沫膨胀提供了资本支持;资产泡沫产生源于经济个体的最大化目标与宏观经济发展目标的背离。金融摩擦为资产泡沫产生提供了外生条件,切断资产泡沫产生路径的有效方式是提高金融市场效率和完善金融市场功能。

关键词: 金融摩擦, 资本配置, 演化博弈, 资产泡沫