居民资产具有财富效应吗_来自京_津_沪_渝面板数据的验证

:2010-5-26:,,,2008,;,,,,(wealtheffect),1997,:,955-956!LifeCycleHypothesis-PermanentIncomeHypothesis,,LCHPIH居民资产具有财富效应吗?∀∀∀DoesThereExistWealthEffectofHouseholdAssets?∀∀∀AnEmpiricalStudybyPanelDataModelof4ChineseMunicipalities林#霞1#姜#洋2#LIN#Xia#JIANG#Yang(1##610064#2##100020)[#]随着现代金融市场的发展,包括股票房产在内的居民资产逐渐成为财富效应的主要来源尤其是在∃内需不振%∃股市泡沫%和∃房价争论%的背景下,资产财富效应问题受到广泛关注本文基于消费者跨期最优选择模型,利用京津沪渝四个直辖市的城镇居民面板数据,分析的结论表明,中国股市升值和房价上涨引致的财富效应并不明显,其中房地产的财富效应几乎为零,股票的财富效应为负旨在通过房地产拉动居民内需的政策效果微弱,甚至适得其反;而股票市场的∃慢牛%升值更有利于形成正的消费预期,现阶段扩大内需的着力点在于提高居民收入总量及调整收入分配结构[]财富效应#消费者行为#面板计量模型[]F0321#[]A#[]1000-1549(2010)10-0075-80∃%,,Haberler(1939),Pigou(1943),Patinkin(1956):∃,,Pigou%Pigou,,,,,Pigou,(FrancoModiglian&iBrumberg,1954)(MiltonFriedman,1957)LCH-PIH!,(),,,,,,11[1]21%20%50%8%21%17%39%23%34%12%47%7%32%3%35%30%7520101031%17%39%13%10%3%44%43%40%3%47%10%27%107%43%191%:,:1998-20062007(5):41-531/4,107%,:,,1994GDP76%,2008403%,2007127(2),1994GDP169%,2008888%,2002072,2008152,1/3,,,∃%,,,,,1992,2008418119(2),,,2/GDP/GDP(GDP)(GDP)1992∀∀∀∀∀∀∀∀∀2018(16%)199557%66%17531(39%)12577(21%)2000485%613%33120(33%)39354(40%)2005177%173%108610(59%)175761(96%)20071271%1790%180054(70%)298891(116%)2008403%888%220813(73%)240714(108%):2009;LCH-PIH,,,∃%∃%,203090,,Ando&Modigliani(1963),,1%,072%[2],,2090,,∃%,209076201010∃Theexistenceofa∃wealtheffect%hasbeenfrequentlysuggestedinthebusinessmedia,mostlyinlinkingconsumerspendingwiththesrugingstockmarketofthe1990s%&SamuelBBulmashAnewparadigm:thewealtheffectofthestockmarketonconsumption,inacontextofinteractingbio-systems[J]JournalofSocio-Economics,2002(31):75-100,LCH-PIH∃%,;,∃%∃%,,,,Poterba,James(2000);NikolaDvornakandMarionKohler(2003);Bertaut(2002),GirouardandBlondal(2001),004,[3]StarrMcCluer(1998),,85%,25,[4];Dynan&Maki(2001)1983-1989,,,[5],1969-19701981-1982,,Elliott(1980),[6];Case(1992)1980s,[7];Skinner(1989),Engelhardt(1996)(PSID)003[8],Case,QuigleyandShiller(2001)OECE,,Benjiamin,ChinloyandJud(2004)4,18,2NKundanKishor(2004),,[9],:,,LCH-PIH,;,,;,,,,,,(),NKundanKishor(2007)[10],Wtt,:Wt+1=(1+Rt+1)(Wt+Yt-Ct)(1)Rt+1,Yt,CtSt(),Ht()Lt(),t(2):Wt=St+Lt+Ht(2),(2):wt∋st+yt+(1--)ht(3),,1--77201010(1):(1+Rw,t)=(1+Rs,t)+(1+Ry,t)+(1--)(1+Rh,t)(4)Rw,t,Rf,t,Ry,t,Rh,t,Cambell&Mankiw(1989)-,(5)[11]:ct-wt=Et(i=1iw(rw,t+1-!ct+i)(5)(3)(6)ct-yt-st-(1--)ht=Et(i=1iw[(ry,t+i+rs,t+i+(1--)rh,t+i-!ct+i)]+∀t(6)(6),ct=#0+#1yt+#2ht+#3st+∃t(7)ct,yt,ht,st#2,#3():,∃%1978,1978,,,;,(),∃%,,,,,,,,,,,,(paneldata),Baltagi(1995)[12]Hsiao(1996)[13],20001∀200712CtYt;Ht20001;St,2007(),,,IPSW,PP-Fisher,ADFFisher;,,;HausmanEViews6013ConsumptionlaborincomeHousevalueStockvalueIPSWstat44(100)-146(000)64(100)-127(000)24(099)-87(000)38(099)-97(000)78201010NikolaDvornakandMarionKohler(2003)∃Houseingwealth,stockmarketwealthandconsumption:apanelanalysisforAustralia%EconomicResearchDepartmentReserveBankofAustraliaResearchDiscussionPaper!Poterba,James(2000)∃Stockmarketwealthandconsumption%,JournalofEconomicPerspectives14,99-118)Bertaut(2002)GirouardandBlondal(2001)∃Equityprices,householdwealth,andconsumptiongrowthinforeignindustrialcountries:wealtheffectsinthe1990s,BoardofGovernorsoftheFederalReserveSystemInternationalFianceDiscussiionPaperNo724∗TanAandGVoss(2003)∃ConsumptionandwealthinAustralia%,TheEconomicRecord,79(244),pp39-56ConsumptionlaborincomeHousevalueStockvalueADFFisher03(100)1121(000)98(028)844(000)22(097)763(000)0(100)960(000)PPFisher334(000)737(000)147(000)737(000)15(099)831(000)10(099)941(000):(1);(2)P3,5%,,,,##2Kao`sADFFisherandJohnson02%,##4####Kao`sADFFisherandJohnsonP-3563(00002)9891(0000):kao`sADFSchwarzcriterion;FisherandJohnson,P(),,HausmanHausmanChisq=1634,0001,,,,OLS,,EGLS(crosssectionSUR),:c=410145+0480y+0007h-0070stt(756)(178)(156)(-281)p(000)(000)(011)(001)R2=090;DW=161;F=4841:0051553DW2447:(1),;(2),1%,0007%;,20001200712∃%(5)5!003-007(002-010)003-0075003-005)005-0080045-008∀∀∀002-004004-0045002-008∗004-005004-0016##,,,,;79201010,,;,,,,,,,,,,∃%,;∃%,,,;,,,,,,,,,,1,,,∃%,∃%;,∃%,2,,,,,,,,,;,,:[1]:1998-2006,[J],2007(5):41-53.[2]AlbertAndoandFranceModiglianiThe∃LifeCycle%Hypothesisofsaving:aggregateimplicationsandtest[J],TheAmericanEconomicReview1963(53):55-84.[3]Case,KarlE,JohnMQuigleyandRobertJShillerComparingwealtheffects:thestockmarketvsthehousingmarketCowlesFoundationPaperNo11812006.[4]StarrMcCluer,MarthaStockmarketwealthandconsumerspendingWsahington:BoardofgovernorsoftheFederalReserveSystem,FEDSpaperNo98-120,1998.[5]Dynan,KarenEandDeanMMakiDosestockmarketwealthmatterforconsumption?Washington:BoardofgovernorsoftheFederalReservesystem,FEDSdiscussionpaperNo2001-23,2001.[6]Elliot,JWalterWealthandwealthproxiesinapermanentincomemodel[J]QuarterlyJournalofEconomics,95,1980:509-535.[7]Case,KarlETherealestatecycleandtheeconomy:consequencesoftheMassachusettsboomof1984-1987[J]UrbanStudies1992(29):171-183.[8]Skinner,JonathanHousingwealthandaggregatesaving[J]RegionalScienceanUrbanEconomics1989(19):193-205.[9][10]NKundanKishorConsumptionrespondmoretohousingwealththantofinancialmarketwealth?Ifso,why?[J]JournalofRealEstateFinanceandEconomics,2007(35):427-448.[11]Cambel,lJYa