本文選題：風(fēng)險(xiǎn)厭惡 + 金融財(cái)富��； 參考：《廈門大學(xué)》2014年碩士論文

【摘要】：為解釋資產(chǎn)定價(jià)中出現(xiàn)的問題,當(dāng)代文獻(xiàn)放松相對(duì)風(fēng)險(xiǎn)厭惡系數(shù)為常數(shù)的假設(shè),這意味著相對(duì)風(fēng)險(xiǎn)厭惡系數(shù)存在財(cái)富效應(yīng)。 本文使用美國(guó)1952年至2008年的宏觀經(jīng)濟(jì)季度數(shù)據(jù)從實(shí)證角度來檢驗(yàn)這個(gè)關(guān)系。我們將總財(cái)富拆分為金融財(cái)富和房產(chǎn)財(cái)富,分別來研究他們的財(cái)富效應(yīng)。發(fā)現(xiàn)相對(duì)風(fēng)險(xiǎn)厭惡的金融財(cái)富效應(yīng)為負(fù),房產(chǎn)財(cái)富效應(yīng)為正,且前者是后者的5倍左右。同時(shí)我們發(fā)現(xiàn)金融財(cái)富變化對(duì)相對(duì)風(fēng)險(xiǎn)厭惡變化的解釋能力大于財(cái)富總量變化。 我們通過自回歸滑動(dòng)平均模型來計(jì)算財(cái)富沖擊,以此來研究財(cái)富沖擊對(duì)相對(duì)風(fēng)險(xiǎn)厭惡系數(shù)的影響,發(fā)現(xiàn)金融財(cái)富沖擊會(huì)顯著影響相對(duì)風(fēng)險(xiǎn)厭惡系數(shù),而房產(chǎn)財(cái)富沖擊對(duì)相對(duì)風(fēng)險(xiǎn)厭惡系數(shù)沒有影響。根據(jù)這個(gè)結(jié)果,我們估計(jì)金融財(cái)富沖擊約為房產(chǎn)財(cái)富沖擊的7倍。 本文關(guān)于財(cái)富效應(yīng)的研究結(jié)果支持Giuseppe Cappelletti(2012),但與Brunnermeier和Nagel(2008)的結(jié)果不符。與Ricardo M. Sousa(2007)相比,我們認(rèn)為財(cái)富沖擊效應(yīng)僅僅體現(xiàn)在金融財(cái)富沖擊上,是對(duì)其結(jié)果的一個(gè)提高。 此外,通過使用標(biāo)準(zhǔn)普爾500綜合指數(shù)來度量金融價(jià)格,本文發(fā)現(xiàn)金融價(jià)格變化對(duì)風(fēng)險(xiǎn)資產(chǎn)比例變化的解釋作用很大,但并沒有預(yù)測(cè)能力,并對(duì)此結(jié)果與微觀研究中的結(jié)果作對(duì)比,解釋了二者之間的差異,認(rèn)為微觀領(lǐng)域每個(gè)家庭可以隨時(shí)調(diào)整自己的風(fēng)險(xiǎn)資產(chǎn)比例,而宏觀中金融價(jià)格對(duì)風(fēng)險(xiǎn)資產(chǎn)的總量大小起到?jīng)Q定性作用。通過稅后收入刻畫人力資本,我們發(fā)現(xiàn)稅后收入對(duì)相對(duì)風(fēng)險(xiǎn)厭惡系數(shù)的變動(dòng)沒有解釋能力。最后通過消費(fèi)財(cái)富比、勞動(dòng)收入消費(fèi)比兩個(gè)變量研究消費(fèi)的影響,發(fā)現(xiàn)消費(fèi)波動(dòng)對(duì)風(fēng)險(xiǎn)資產(chǎn)比例變動(dòng)沒有解釋能力。
[Abstract]:In order to explain the problems in asset pricing, contemporary literature relaxes the assumption that the relative risk aversion coefficient is constant, which means that the relative risk aversion coefficient has a wealth effect. This paper examines this relationship from the empirical point of view using the quarterly macroeconomic data from 1952 to 2008 in the United States. We split total wealth into financial wealth and real estate wealth to study their wealth effects. It is found that the financial wealth effect of relative risk aversion is negative, the property wealth effect is positive, and the former is about five times that of the latter. At the same time, we find that the ability of financial wealth change to explain the relative risk aversion change is greater than the change of total wealth. In order to study the influence of wealth shock on relative risk aversion coefficient, we find that financial wealth shock can significantly affect relative risk aversion coefficient. The impact of real estate wealth on the relative risk aversion coefficient has no effect. Based on this result, we estimate that the financial wealth shock is about 7 times the real estate wealth shock. The results of this paper on wealth effect support Giuseppe Cappelletti (2012), but they are not consistent with those of Brunnermeier and Nagel (2008). Compared with Ricardo M. Sousa (2007), we think that the effect of wealth shock is only reflected in financial wealth shock, and it is an improvement of the result. In addition, by using the S & P 500 composite index to measure financial prices, this paper finds that the changes in financial prices have a great effect on explaining the changes in the proportion of risky assets, but they have no predictive power. By comparing the results with the results of microcosmic research, the paper explains the difference between the two, and concludes that every household in the micro field can adjust its risk asset ratio at any time. And macro-financial prices play a decisive role in the size of the total amount of risky assets. By characterizing human capital with after-tax income, we find that after-tax income has no explanation for the change of relative risk aversion coefficient. Finally, the paper studies the influence of consumption through two variables: consumption wealth ratio and labor income consumption ratio, and finds that the fluctuation of consumption has no explanatory power to the change of risk asset ratio.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.9

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