【摘要】： 股票市場(chǎng)的財(cái)富效應(yīng)是指股票所代表的虛擬財(cái)富的增長(zhǎng)與下降對(duì)人們的消費(fèi),進(jìn)而對(duì)經(jīng)濟(jì)運(yùn)行所產(chǎn)生的影響。股市繁榮對(duì)消費(fèi)的影響表現(xiàn)為:一是直接增加股票持有者的財(cái)富,二是增加居民的消費(fèi)信心,影響短期邊際消費(fèi)傾向,形成正財(cái)富效應(yīng)。而持續(xù)下跌的股市則形成負(fù)財(cái)富效應(yīng)。 本文的理論分析部分首先分析了股票市場(chǎng)財(cái)富效應(yīng)的傳導(dǎo)機(jī)制。然后在回顧持久收入、生命周期消費(fèi)函數(shù)理論和行為金融學(xué)理論的基礎(chǔ)上,總結(jié)出分析股票市場(chǎng)財(cái)富效應(yīng)的消費(fèi)函數(shù)模型。 文章實(shí)證部分首先分析了我國股價(jià)波動(dòng)如何影響消費(fèi)者信心,進(jìn)而影響家庭消費(fèi)決策的機(jī)制。實(shí)證結(jié)果表明在我國股價(jià)波動(dòng)是影響消費(fèi)者信心的因素之一,但消費(fèi)者信心影響消費(fèi)者消費(fèi)支出的傳導(dǎo)渠道不通暢。其次根據(jù)加入股市財(cái)富的消費(fèi)函數(shù)模型,采用基于VAR系統(tǒng)的處理非平穩(wěn)時(shí)間序列回歸的協(xié)整理論、誤差修正分析和脈沖響應(yīng)函數(shù),利用2000—2007年季度數(shù)據(jù)考察股票價(jià)格、房地產(chǎn)價(jià)格和居民收入及消費(fèi)支出的長(zhǎng)期均衡和短期動(dòng)態(tài)調(diào)整情況。實(shí)證結(jié)果表明:目前影響我國消費(fèi)需求的主要因素還是可支配收入,促進(jìn)居民收入增長(zhǎng),穩(wěn)定收入預(yù)期還是促進(jìn)我國消費(fèi)增長(zhǎng)的根本途徑。股票市場(chǎng)價(jià)格變動(dòng)對(duì)居民的消費(fèi)支出帶來一定的正財(cái)富效應(yīng),但股票市場(chǎng)的不完善制約了財(cái)富效應(yīng)的發(fā)揮。針對(duì)造成我國股票市場(chǎng)弱財(cái)富效應(yīng)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(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2009
【分類號(hào)】：F224;F832.51

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