人口结构与金融市场风险结构:风险厌恶的生命周期时变特征

发布时间：2018-05-28 01:13

本文选题：风险厌恶 + 生命周期理论　；参考：《经济研究》2017年09期

【摘要】：金融市场中要更多考虑参与主体"人"的因素。经典理论模型通常设定风险厌恶系数为不随年龄而变的常数。本文构建模型并运用微观和宏观数据,刻画和验证经济主体风险厌恶在生命周期中的时变特征。微观视角下风险厌恶受年龄正向影响,宏观视角下金融市场和行为风险厌恶均随平均年龄上升而上升。少年人口占比负向影响风险厌恶;中、老年人口降低风险偏好,风险态度趋于保守。风险厌恶在生命周期内存在时变性,表现为年龄越大风险厌恶越强,可谓"江湖越老,胆子越小"。这对于后续建模中设定风险厌恶可变系数有借鉴意义。年龄改变风险态度和风险资产组合,使得人口年龄结构系统性影响金融市场风险结构。因此,本文对于从人口学视角预判未来金融市场风险结构也具有一定参考价值。
[Abstract]:In the financial market, more consideration should be given to the participation of the main "people" factor. Classical theoretical models usually set the risk aversion coefficient as a constant that does not vary with age. This paper constructs a model and uses micro and macro data to characterize and verify the time-varying characteristics of risk aversion in the life cycle of economic agents. Risk aversion is positively influenced by age in micro perspective, and financial market and behavioral risk aversion increase with average age in macro perspective. The proportion of juvenile population negatively affected risk aversion, while the elderly population reduced risk preference and risk attitude tended to be conservative. Risk aversion is time-varying in the life cycle, showing that the older the age, the stronger the risk aversion. This can be used for reference to set the variable coefficient of risk aversion in subsequent modeling. Age changes risk attitude and portfolio, which makes population age structure influence financial market risk structure systematically. Therefore, this paper also has certain reference value to predict the future financial market risk structure from the demography angle.
【作者单位】：首都经济贸易大学金融学院;
【基金】：国家社会科学基金青年项目(12CJY114) 教育部人文社会科学规划基金项目(17YJA790100)、教育部新世纪优秀人才支持计划(NCET-13-0914)的资助
【分类号】：C924.2;F224;F832

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