财富冲击与相对风险厌恶

发布时间：2018-06-26 22:29

本文选题：风险厌恶 + 金融财富　；参考：《厦门大学》2014年硕士论文

【摘要】：为解释资产定价中出现的问题,当代文献放松相对风险厌恶系数为常数的假设,这意味着相对风险厌恶系数存在财富效应。本文使用美国1952年至2008年的宏观经济季度数据从实证角度来检验这个关系。我们将总财富拆分为金融财富和房产财富,分别来研究他们的财富效应。发现相对风险厌恶的金融财富效应为负,房产财富效应为正,且前者是后者的5倍左右。同时我们发现金融财富变化对相对风险厌恶变化的解释能力大于财富总量变化。我们通过自回归滑动平均模型来计算财富冲击,以此来研究财富冲击对相对风险厌恶系数的影响,发现金融财富冲击会显著影响相对风险厌恶系数,而房产财富冲击对相对风险厌恶系数没有影响。根据这个结果,我们估计金融财富冲击约为房产财富冲击的7倍。本文关于财富效应的研究结果支持Giuseppe Cappelletti(2012),但与Brunnermeier和Nagel(2008)的结果不符。与Ricardo M. Sousa(2007)相比,我们认为财富冲击效应仅仅体现在金融财富冲击上,是对其结果的一个提高。此外,通过使用标准普尔500综合指数来度量金融价格,本文发现金融价格变化对风险资产比例变化的解释作用很大,但并没有预测能力,并对此结果与微观研究中的结果作对比,解释了二者之间的差异,认为微观领域每个家庭可以随时调整自己的风险资产比例,而宏观中金融价格对风险资产的总量大小起到决定性作用。通过税后收入刻画人力资本,我们发现税后收入对相对风险厌恶系数的变动没有解释能力。最后通过消费财富比、劳动收入消费比两个变量研究消费的影响,发现消费波动对风险资产比例变动没有解释能力。
[Abstract]:In order to explain the problems in asset pricing, contemporary literature relaxes the assumption that the relative risk aversion coefficient is constant, which means that the relative risk aversion coefficient has a wealth effect. This paper examines this relationship from the empirical point of view using the quarterly macroeconomic data from 1952 to 2008 in the United States. We split total wealth into financial wealth and real estate wealth to study their wealth effects. It is found that the financial wealth effect of relative risk aversion is negative, the property wealth effect is positive, and the former is about five times that of the latter. At the same time, we find that the ability of financial wealth change to explain the relative risk aversion change is greater than the change of total wealth. In order to study the influence of wealth shock on relative risk aversion coefficient, we find that financial wealth shock can significantly affect relative risk aversion coefficient. The impact of real estate wealth on the relative risk aversion coefficient has no effect. Based on this result, we estimate that the financial wealth shock is about 7 times the real estate wealth shock. The results of this paper on wealth effect support Giuseppe Cappelletti (2012), but they are not consistent with those of Brunnermeier and Nagel (2008). Compared with Ricardo M. Sousa (2007), we think that the effect of wealth shock is only reflected in financial wealth shock, and it is an improvement of the result. In addition, by using the S & P 500 composite index to measure financial prices, this paper finds that the changes in financial prices have a great effect on explaining the changes in the proportion of risky assets, but they have no predictive power. By comparing the results with the results of microcosmic research, the paper explains the difference between the two, and concludes that every household in the micro field can adjust its risk asset ratio at any time. And macro-financial prices play a decisive role in the size of the total amount of risky assets. By characterizing human capital with after-tax income, we find that after-tax income has no explanation for the change of relative risk aversion coefficient. Finally, the paper studies the influence of consumption through two variables: consumption wealth ratio and labor income consumption ratio, and finds that the fluctuation of consumption has no explanatory power to the change of risk asset ratio.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.9

【共引文献】