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。
By introducing borrowing constraints and precautionary saving into a standard consumer optimization model, the paper derives a framework for an empirical study in the wealth, signaling and asymmetric effects of stock market on China＇ s private consumption. In contrast to the most＇ relevant studies, the results show that if we not only take into account of wealth effect but also signaling effect, the stock market affects China＇ s private consumption significantly. If we measure human capital with average wage level instead of disposable income per capita, the wealth effect is also statistically significant and asymmetric. While changes in stock prices, which reflects fundamental factors, have long run effects on consumption, changes caused by speculative factors have little or no effect on consumption.
出处
《经济研究》
CSSCI
北大核心
2012年第3期115-126,共12页
Economic Research Journal
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
