金融资产和住房资产财富效应的研究

发布时间：2018-04-02 11:35

本文选题：家庭生命周期　切入点：居民财富　出处：《浙江工商大学》2013年硕士论文

【摘要】：近年来,我国金融市场和房地产市场的规模不断扩大、运行机制不断完善,促进了我国居民所持有的金融资产和住房资产价值持续增长,居民财富的增加对我国居民消费水平的提高和国民经济的良好运行起着关键性的作用。基于这样的背景下,深入研究我国居民资产的财富效应能为宏观经济政策的制定提供依据。本文主要对我国居民的金融资产和住房资产的财富效应及其特征进行了描述和分析。首先阐述了居民资产财富效应的相关概念,从消费函数的角度来解释财富效应。消费函数主要研究收入和消费的关系,包括凯恩斯消费函数、杜森贝利的相对收入理论、莫利迪安尼的生命周期假说、弗里德曼持久收入理论和霍尔的随机游走模型等理论；同时详细的说明了金融资产和住房资产财富效应的传导机制,论述了财富效应的波动性和非对称性；其次引入莫利迪安尼和弗里德曼的生命周期-持久收入假说模型和Benjamin模型；最后基于该模型对我国城镇居民的储蓄资产、股票资产和住房资产的财富效应进行了实证分析,运用单位根检验、协整检验、格兰杰因果检验及误差修正模型(EMC)等方法对我国城镇居民这三种资产财富效应的大小进行了检验,同时运用状态空间模型和风险价值模型(VAR)等方法分别对这三种资产的波动性和非对称性进行实证分析。本文的研究结论是储蓄资产的财富效应最大,约为0.25,住房资产的财富效应约为0.06,股票资产的财富效应最小,为0.01。研究发现,三种资产都呈现出一定程度的波动性。股票资产财富效应的波动性最大,储蓄资产次之,住房资产财富效应的波动性最小。三类资产的财富效应表现出明显的震荡特征,但非对称性并不显著。本文以实证研究的结果为基础,对我国城镇居民资产的财富效应及其特征进行总结,提出促进我国居民消费和实体经济增长的政策建议。
[Abstract]:In recent years, the scale of China's financial market and real estate market has been continuously expanded, and the operating mechanism has been continuously improved, which has promoted the continued growth of the value of financial and housing assets held by Chinese residents. The increase of residents' wealth plays a key role in improving the consumption level of our country's residents and the good operation of the national economy. Further study on the wealth effect of Chinese residents' assets can provide basis for the formulation of macroeconomic policy. This paper mainly describes and analyzes the wealth effect and its characteristics of Chinese residents' financial assets and housing assets. The consumption function mainly studies the relationship between income and consumption, including Keynesian consumption function, Ducson Bailey's relative income theory, Moritiani's life cycle hypothesis, Friedman's theory of persistent income and Hall's random walk model, the transmission mechanism of wealth effect of financial assets and housing assets, and the volatility and asymmetry of wealth effect are discussed in detail. Secondly, the life cycle hypothesis model and Benjamin model of Morliani and Friedman are introduced, and the wealth effects of savings assets, stock assets and housing assets of urban residents in China are analyzed empirically based on this model. Using the methods of unit root test, cointegration test, Granger causality test and error correction model (EMC), this paper tests the wealth effects of these three kinds of assets of urban residents in China. At the same time, the state space model and the risk value model are used to analyze the volatility and asymmetry of these three kinds of assets. The conclusion of this paper is that the wealth effect of savings assets is the largest (about 0.25), the wealth effect of housing assets is about 0.06, and the wealth effect of stock assets is the least (0.01). All three kinds of assets show certain degree of volatility. The volatility of wealth effect of stock assets is the largest, that of savings assets is the second, and that of housing assets is the least. The wealth effects of three kinds of assets show obvious characteristics of volatility. However, asymmetry is not significant. Based on the results of empirical research, this paper summarizes the wealth effect and its characteristics of urban residents' assets in China, and puts forward some policy suggestions to promote the growth of residents' consumption and real economy in China.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F299.23;F832.51

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