本文關(guān)鍵詞： 財(cái)富效應(yīng) 非對(duì)稱性 TVAR　出處：《廣東商學(xué)院》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：財(cái)富效應(yīng)是指在其他條件不變的情況下貨幣余額的變化在總消費(fèi)開支方面引起的變動(dòng)。財(cái)富效應(yīng)的非對(duì)稱性是指，資產(chǎn)價(jià)值的正負(fù)沖擊或強(qiáng)度不同的沖擊對(duì)居民消費(fèi)的影響程度的差異。一般來說，負(fù)向沖擊產(chǎn)生的財(cái)富效應(yīng)大于正向沖擊產(chǎn)生的財(cái)富效應(yīng)（如前景理論），也有部分理論支持負(fù)向沖擊產(chǎn)生的財(cái)富效應(yīng)小于正向沖擊產(chǎn)生的財(cái)富效應(yīng)的觀點(diǎn)（如流動(dòng)性約束理論）。財(cái)富效應(yīng)之所以呈現(xiàn)非對(duì)稱的特性，學(xué)術(shù)界有四種主流的理論解釋，包括資產(chǎn)價(jià)格的“持久性變化”和“暫時(shí)性變化”的區(qū)別，流動(dòng)性約束（信貸約束）的影響，，前景理論與損失厭惡理論，主觀貼現(xiàn)因子的變化。除此之外，還有一些非主流理論解釋，如非理性躁動(dòng)、過度自信、收益波動(dòng)、社會(huì)學(xué)解釋等。 本文財(cái)富效應(yīng)模型以LettauLudvidson(2001)模型為基礎(chǔ)，借用CampbellMankiw(1987)分析方法建立財(cái)富效應(yīng)分析模型。實(shí)證檢驗(yàn)以TVAR模型為基礎(chǔ)，選取居民消費(fèi)、證券類金融資產(chǎn)、非證券類金融資產(chǎn)、非金融資產(chǎn)和工資五個(gè)變量建立三個(gè)財(cái)富效應(yīng)模型，即總資產(chǎn)模型、金融資產(chǎn)與非金融資產(chǎn)模型、證券類金融資產(chǎn)與非證券類金融資產(chǎn)模型，并且對(duì)我國城鎮(zhèn)樣本和農(nóng)村樣本進(jìn)行比較分析。經(jīng)過理論和實(shí)證分析，本文檢驗(yàn)18組模型后得出財(cái)富效應(yīng)非對(duì)稱性的存在形式、強(qiáng)度、持續(xù)性和影響因子等特征，也總結(jié)出抑制居民資產(chǎn)財(cái)富效應(yīng)非對(duì)稱性和提高財(cái)富效應(yīng)的建議，這些對(duì)我國探索建立擴(kuò)大消費(fèi)需求的長效機(jī)制，促進(jìn)釋放城鄉(xiāng)居民消費(fèi)潛力有重要意義。本文得出的抑制財(cái)富效應(yīng)非對(duì)稱性的建議有：保持居民收入的平穩(wěn)增長、控制城鎮(zhèn)居民房地產(chǎn)的快速升值、關(guān)注農(nóng)村房地產(chǎn)的發(fā)展、保持居民證券類金融資產(chǎn)的平穩(wěn)增長等。提高財(cái)富效應(yīng)的政策建議包括促進(jìn)居民社會(huì)保險(xiǎn)的快速增長、引導(dǎo)居民投資多樣化、大力扶持農(nóng)村經(jīng)濟(jì)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.
【學(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F124.7;F832.5;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 駱祚炎,劉朝暉;資產(chǎn)結(jié)構(gòu)、收入結(jié)構(gòu)與股市財(cái)富效應(yīng)[J];財(cái)經(jīng)科學(xué);2004年04期

2 李成武;;中國房地產(chǎn)財(cái)富效應(yīng)地區(qū)差異分析[J];財(cái)經(jīng)問題研究;2010年02期

3 駱祚炎;;中國居民資產(chǎn)結(jié)構(gòu)性財(cái)富效應(yīng)的時(shí)間特征分析——基于改進(jìn)的分析模型并兼論貨幣政策對(duì)資產(chǎn)價(jià)格的關(guān)注[J];財(cái)貿(mào)經(jīng)濟(jì);2010年04期

4 王子龍;許簫迪;徐浩然;;中國房地產(chǎn)財(cái)富效應(yīng)測(cè)度的實(shí)證研究[J];財(cái)貿(mào)研究;2009年02期

5 毛前友;;中國股票市場的非對(duì)稱波動(dòng)——一個(gè)新的分析框架[J];當(dāng)代財(cái)經(jīng);2010年08期

6 劉紅;;中國資產(chǎn)價(jià)格財(cái)富效應(yīng)的比較與檢驗(yàn)[J];改革與戰(zhàn)略;2009年07期

7 趙曉力;馬輝;陳守東;;股價(jià)、房價(jià)對(duì)消費(fèi)行為的影響[J];廣州大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2007年03期

8 姚玲珍;劉旦;;中國城鎮(zhèn)房地產(chǎn)市場財(cái)富效應(yīng)分析——基于生命周期假說的宏觀消費(fèi)函數(shù)[J];河北經(jīng)貿(mào)大學(xué)學(xué)報(bào);2007年06期

9 李政;;房產(chǎn)價(jià)格的財(cái)富效應(yīng)是否存在?——基于中國的面板數(shù)據(jù)[J];河南金融管理干部學(xué)院學(xué)報(bào);2009年03期

10 徐強(qiáng);;我國城鄉(xiāng)居民消費(fèi)函數(shù)實(shí)證研究[J];合作經(jīng)濟(jì)與科技;2010年03期

相關(guān)博士學(xué)位論文 前1條

1 劉建江;股票市場財(cái)富效應(yīng)研究[D];華中科技大學(xué);2006年

本文編號(hào)：1537954