股票财富、信号传递与中国城镇居民消费

发布时间：2018-05-16 10:26

本文选题：股票市场 + 财富效应　；参考：《经济研究》2012年03期

【摘要】：本文尝试在消费者最优选择模型基础上,通过引入居民的借贷约束和预防性储蓄,推导出能够检验股市的财富效应、信号传递效应和不对称效应的实证分析框架,并利用中国的季度数据考察中国股市变动对居民消费的影响。与国内相关文献所得结论不同,本文的研究表明:如果不仅考虑股票价格变动的财富效应,而且考虑其信号传递效应,那么中国股票市场对城镇居民消费存在着较为明显的影响。分析也表明,如果用工资而不是人均可支配收入度量人力资本回报,中国股票市场同样存在正的财富效应,且这种财富效应具有明显的不对称性,反映经济基本面变化的股价变动对中国居民消费具有长期影响,投机因素引起的股价变动对中国居民消费的影响甚微。
[Abstract]:Based on the optimal choice model of consumers, this paper tries to derive an empirical analysis framework which can test the wealth effect, signal transmission effect and asymmetric effect of stock market by introducing the borrowing constraints and precautionary savings of residents. And use China's quarterly data to examine the impact of changes in China's stock market on consumer consumption. Different from the conclusions obtained in domestic literature, this study shows that if we consider not only the wealth effect of stock price change, but also the signal transmission effect, So the stock market of China has obvious influence on the consumption of urban residents. The analysis also shows that if the return on human capital is measured by wages rather than per capita disposable income, there is also a positive wealth effect in China's stock market, and this wealth effect has obvious asymmetry. Changes in share prices, which reflect changes in economic fundamentals, have a long-term impact on Chinese residents' consumption, with speculative share price movements having little impact on Chinese consumption.
【作者单位】：上海财经大学经济学院;
【基金】：上海财经大学“211工程”重点学科建设项目上海市重点学科建设项目(B801)资助
【分类号】：F224;F832.51;F124.7

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