基于TVAR模型的居民资产财富效应非对称性检验及其政策含义分析

发布时间：2018-02-26 12:09

本文关键词： 财富效应非对称性 TVAR　出处：《广东商学院》2013年硕士论文　论文类型：学位论文

【摘要】：财富效应是指在其他条件不变的情况下货币余额的变化在总消费开支方面引起的变动。财富效应的非对称性是指，资产价值的正负冲击或强度不同的冲击对居民消费的影响程度的差异。一般来说，负向冲击产生的财富效应大于正向冲击产生的财富效应（如前景理论），也有部分理论支持负向冲击产生的财富效应小于正向冲击产生的财富效应的观点（如流动性约束理论）。财富效应之所以呈现非对称的特性，学术界有四种主流的理论解释，包括资产价格的“持久性变化”和“暂时性变化”的区别，流动性约束（信贷约束）的影响，，前景理论与损失厌恶理论，主观贴现因子的变化。除此之外，还有一些非主流理论解释，如非理性躁动、过度自信、收益波动、社会学解释等。本文财富效应模型以LettauLudvidson(2001)模型为基础，借用CampbellMankiw(1987)分析方法建立财富效应分析模型。实证检验以TVAR模型为基础，选取居民消费、证券类金融资产、非证券类金融资产、非金融资产和工资五个变量建立三个财富效应模型，即总资产模型、金融资产与非金融资产模型、证券类金融资产与非证券类金融资产模型，并且对我国城镇样本和农村样本进行比较分析。经过理论和实证分析，本文检验18组模型后得出财富效应非对称性的存在形式、强度、持续性和影响因子等特征，也总结出抑制居民资产财富效应非对称性和提高财富效应的建议，这些对我国探索建立扩大消费需求的长效机制，促进释放城乡居民消费潜力有重要意义。本文得出的抑制财富效应非对称性的建议有：保持居民收入的平稳增长、控制城镇居民房地产的快速升值、关注农村房地产的发展、保持居民证券类金融资产的平稳增长等。提高财富效应的政策建议包括促进居民社会保险的快速增长、引导居民投资多样化、大力扶持农村经济等。
[Abstract]:A wealth effect is a change in total consumer spending caused by a change in the balance of money under other conditions. The asymmetry of the wealth effect refers to, The difference in the degree to which the positive or negative impact of the value of assets or the impact of different intensities on residents' consumption. The wealth effects of negative shocks are greater than those of positive shocks (such as prospect theory, and some theories support the view that the wealth effects of negative shocks are smaller than those of positive shocks, such as flows. The theory of sexual constraint. The wealth effect is asymmetric. There are four main theoretical explanations in academic circles, including the distinction between "persistent change" and "temporary change" in asset prices, the influence of liquidity constraints (credit constraint), prospect theory and loss aversion theory. In addition, there are some non-mainstream theoretical explanations, such as irrational restlessness, overconfidence, income fluctuation, sociology explanation and so on. Based on LettauLudvidsonian model and CampbellMankiws1987), the wealth effect model is established in this paper. The empirical test is based on the TVAR model and selects residential consumption, securities financial assets, non-securities financial assets, and non-securities financial assets. The five variables of non-financial assets and wages establish three models of wealth effect, that is, total assets model, financial assets model and non-financial assets model, securities financial assets model and non-securities financial assets model. Through theoretical and empirical analysis, this paper tests 18 groups of models and obtains the existence form, intensity, persistence and influence factors of wealth effect asymmetry. It also summarizes the suggestions for restraining the asymmetry of the wealth effect of the residents' assets and improving the wealth effect, which will provide a long-term mechanism for the expansion of consumer demand in China. It is of great significance to promote the release of the consumption potential of urban and rural residents. The suggestions in this paper to curb the asymmetric wealth effect are as follows: to maintain the steady growth of residents' income, to control the rapid appreciation of urban residents' real estate, and to pay close attention to the development of rural real estate. The policy suggestions for improving the wealth effect include promoting the rapid growth of the residents' social insurance, guiding the residents to diversify their investment, and vigorously supporting the rural economy.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F124.7;F832.5;F224

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