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资产价格的波动通过影响居民的实际财富和收入的增长,以及对未来财富和收入增长的预期,进而影响居民的消费。而这一过程借助何种中介机制进行传导,是此文的研究主题。考虑到传统方法的局限性,文章创新性地运用有向无环图方法(DAG)及递归预测方差分解技术,并引入货币政策、实际收入与消费者信心作为中介传导变量,实证考查资产价格波动影响居民消费的传导机理。分析表明:资产价格波动对居民消费呈显著的财富效应,且以实际收入的中介机制影响程度最大,货币政策次之,最后为消费者信心;我国的房市与股市呈明显的"政策市"现象,信贷规模仍是货币政策的主导工具,而利率对财富效应的影响虽较小但却显著,一则说明推行利率市场化这一金融改革的合理性,一则显示我国利率市场化逐步推进,距完善的利率调控框架机制的建立尚待时日。
Abstract：Considering that asset prices affect consumer's real wealth and the growth of income, and the expectations about future income and wealth growth, this paper, by applying the Life Cycle-Permanent Income Theory(LC-PIH),Directed Acyclic Graphs and Recursive Forecast Error Variance Decompositions, investigated the transmission mechanism of the effect of asset price on wealth, using the monetary policy, the actual income and the consumer confidence as mediating transmission factors. The results showed that, when asset prices fluctuate, the consumption will vary. The effect mainly works through the actual income, followed by the monetary policy and then the consumer confidence. The housing and stock market are obviously swayed by policies in China, which proves the rationality of the liberalization of interest rate, and that the continuous promotion of the liberation of interest rate is still far from a perfect interest rate regulation mechanism.
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(1)实际收入对资产价格总财富效应的贡献为82.63%(1.30×0.75/1.18=82.63%),货币政策(以信贷规模为例)对资产价格总财富效应的贡献为16.27%(1.92×0.10/1.18=16.27%),消费者信心指数的贡献仅为1.4%(0.11×0.15/1.18=1.4%)。
基本信息:
DOI：10.13568/j.cnki.issn1000-2820.2016.06.001
中图分类号:F832;F126.1
引用信息:
[1]周利,王聪.资产价格财富效应传导机制的实证分析[J].新疆大学学报(哲学·人文社会科学版),2016,44(06):1-10.DOI:10.13568/j.cnki.issn1000-2820.2016.06.001.
基金信息:
广东省打造“理论粤军”2013年度重大资助项目“中国家庭金融问题研究——基于制度因素,人力资本和财富效应的考察”(LLYJ1317);; 广东省高等学校高层次人才项目“转型期我国家庭金融资产选择及财富效应的理论与实证”(YCJ201143)
2016-03-20
2016
2016-04-21
2016
1
2016-11-15
2016-11-15