房价预期与家庭风险金融资产配置
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| Title | Houseprice Expectations and Household Risky Financial Asset Allocation——Theoretical Study and Empirical Evidence from CHFS
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| 作者 | 徐淑一 许溢斌 |
| Author | Xu Shuyi and Xu Yibin |
| 作者单位 | 中国人民大学;中山大学 |
| Organization | Lingnan College, Sun Yat-sen University ; Hanqing Advanced Institute of Economics and Finance, Renmin University of China. |
| 作者Email | 978889618@qq.com；lnsxsy@mail.sysu.edu.cn |
| 中文关键词 | 风险金融资产配置 替代效应 流动性约束效应 Tobit模型 |
| Key Words | Household risky financial asset allocation; Substitution effect; Liquidity constraint effect; Tobit model |
| 内容提要 | 近十几年来，我国居民家庭对股票市场“有限参与”而同时热衷于房地产投资，本文试图对这一现象从理论和实证角度予以研究。基于适应性预期的框架，本文首先构建多期动态最优化理论模型，从替代效应和流动性约束效应的角度，分析房价预期对居民家庭风险金融资产配置的影响，并提出研究假说。然后，本文采用中国家庭金融调查（CHFS）数据进行实证分析。本文研究发现：第一，家庭风险金融资产配置由各类资产的预期收益率、风险以及投资决策者自身的特质共同决定，并得到实证支持；第二，房价预期上涨与家庭风险金融资产配置呈现显著的负相关关系，这种影响主要是通过替代效应实现的，且随着房价预期上涨幅度的增大，替代效应的负向作用越强烈，而流动性约束效应仅在家庭拥有二（或多）套房的情况下体现。此外，上述影响机制对城镇家庭的解释较强，但对农村家庭则解释较弱。本文实证结论在改变风险金融资产定义以及考虑未来家庭资产配置情况下依然稳健。 |
| Abstract | In the recent decades, Chinese households display limited participation in the stock market, while they are enthusiastic about real estate investment. This paper attempts to study this phenomenon theoretically and empirically. Based on the framework of adaptive expectations, using the method of multiphase dynamic optimization, this paper constructs a theoretical model that analyzes the effect of houseprice expectations on the household risky financial asset allocation including the substitution effect and liquidity constraint effect, and then puts forward the research hypothesis on this basis. Based on this, this paper uses the data of Chinese Household Financial Survey (CHFS) to empirically examine the research hypothesis. The results of the empirical analysis are as follows: First, the proportion of household risky financial asset investment is codetermined by the risk-adjusted expected return rates of different assets and the household investment decision makers’ own distinctive features, which is consistent with the empirical evidences. Second, there is a significant negative correlation between the expectations of rising houseprice and the household risky financial asset allocation, which is mainly realized by the substitution effect. And the higher houseprice is expected to rise, the stronger the substitution effect will be. While the liquidity constraint effect only plays its role when the family has more than one owned estates. Besides, such an influential mechanism is more explicable for urban families than rural families. Moreover, these conclusions are still robust when the definition of risky financial asset is changed or the future household asset allocation is introduced to the empirical equation. |
| 文章编号 | WP1327 |
| 登载时间 | 2019-01-16 |
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