【摘要】： 股票市場的財富效應是指股票所代表的虛擬財富的增長與下降對人們的消費,進而對經(jīng)濟運行所產(chǎn)生的影響。股市繁榮對消費的影響表現(xiàn)為:一是直接增加股票持有者的財富,二是增加居民的消費信心,影響短期邊際消費傾向,形成正財富效應。而持續(xù)下跌的股市則形成負財富效應。 本文的理論分析部分首先分析了股票市場財富效應的傳導機制。然后在回顧持久收入、生命周期消費函數(shù)理論和行為金融學理論的基礎上,總結出分析股票市場財富效應的消費函數(shù)模型。 文章實證部分首先分析了我國股價波動如何影響消費者信心,進而影響家庭消費決策的機制。實證結果表明在我國股價波動是影響消費者信心的因素之一,但消費者信心影響消費者消費支出的傳導渠道不通暢。其次根據(jù)加入股市財富的消費函數(shù)模型,采用基于VAR系統(tǒng)的處理非平穩(wěn)時間序列回歸的協(xié)整理論、誤差修正分析和脈沖響應函數(shù),利用2000—2007年季度數(shù)據(jù)考察股票價格、房地產(chǎn)價格和居民收入及消費支出的長期均衡和短期動態(tài)調整情況。實證結果表明:目前影響我國消費需求的主要因素還是可支配收入,促進居民收入增長,穩(wěn)定收入預期還是促進我國消費增長的根本途徑。股票市場價格變動對居民的消費支出帶來一定的正財富效應,但股票市場的不完善制約了財富效應的發(fā)揮。針對造成我國股票市場弱財富效應的因素,本文提出一些政策建議。
[Abstract]:The wealth effect of the stock market refers to the influence of the growth and decline of the virtual wealth represented by the stock market on people's consumption and then on the economic operation. The impact of stock market boom on consumption is as follows: first, directly increasing the wealth of stockholders, second, increasing residents' consumption confidence, influencing short-term marginal consumption tendency, forming positive wealth effect. And the stock market that keeps falling forms negative wealth effect. The theoretical analysis of this paper first analyzes the transmission mechanism of the wealth effect in the stock market. Then, on the basis of reviewing the theory of lasting income, life-cycle consumption function and behavioral finance, the consumption function model of analyzing the wealth effect of stock market is summarized. The empirical part first analyzes how the fluctuation of stock price affects consumer confidence and then the mechanism of household consumption decision. The empirical results show that the fluctuation of stock price is one of the factors affecting consumer confidence in China, but the transmission channel of consumer expenditure is not smooth. Secondly, according to the consumption function model of adding stock market wealth, using the co-integration theory based on VAR system to deal with non-stationary time series regression, error correction analysis and impulse response function, using the quarter data of 2000-2007 to investigate the stock price. Real estate prices and household income and consumer spending long-term balance and short-term dynamic adjustment. The empirical results show that: at present, the main factors affecting consumption demand in China are disposable income, promoting the growth of residents' income, and stabilizing income expectation as the fundamental way to promote the growth of consumption in China. The change of stock market price brings positive wealth effect to residents' consumption expenditure, but the imperfection of stock market restricts the exertion of wealth effect. In view of the factors that cause the weak wealth effect in China's stock market, this paper puts forward some policy suggestions.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2009
【分類號】：F224;F832.51

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