货币政策有效性的微观基础研究——居民消费、储蓄行为

结合居民消费、储蓄理论以及货币政策作用机制理论,本文发现我国居民的消费、储蓄行为发生了一系列变化:消费升级出现障碍;消费供需结构不对称,面临不确定性以及流动性约束;受利率变动影响的支出占比不断提高;金融资产组合不断丰富,然而股票市场的参与面仍然有限。面对这一系列的变化,由于中央银行作用于居民消费的货币政策工具不多,致使货币政策的有效性程度不高。     

价格因素对城乡居民谨慎消费行为的影响

基于预防性储蓄理论本文运用城乡分列时序数据实证分析价格因素对我国城乡居民谨慎消费行为的影响。实证研究结果表明,除收入不确定性和流动性约束外,以相应价格衡量的支出不确定也是影响我国城乡居民谨慎消费行为的重要因素,各类消费支出不确定性的影响不同且具有城乡差异性。根据实证研究结论本文最后提出了相应的政策建议。     

中国居民高储蓄现象的实证研究——基于分位数回归分析

本文利用1978-2008年中国宏观经济数据,通过分位数回归的方法,从消费者预期效用最大化模型出发,分析不确定性与流动性约束在中国居民消费储蓄决策中所起的作用。通过选取不同分位点进行实证研究,证明城乡居民不同消费群体的消费行为均受到了不确定性与流动性约束的影响,但影响的程度不尽相同。在此基础上,本文提出增加居民收入、改善消费者环境和完善保障体系等若干政策建议。     

城镇化视角下的居民消费储蓄行为分析

本文选择中国城镇和农村居民1978-2012年间的省际面板数据,采用固定效应-工具变量法对我国城镇、农村居民预防性储蓄动机强度进行实证研究.结果表明,我国城镇和农村居民都存在很强的预防性储蓄动机,且城镇居民的预防性储蓄动机强于农村居民.在社保制度不完善的前提下,提高城镇化率未必能有效降低居民的预防性储蓄,反而可能增加,最后对我国城乡居民储蓄快速增长提出了若干政策建议.     

寿险对消费内需的作用机制研究

采用预防性储蓄研究框架,通过建立纳入不确定因素的效用函数模型,分析了寿险产品中年金产品和非年金产品影响消费内需的机制及效果,并对2010年中国各地区及世界主要国家的寿险业发展和消费内需水平进行了横向比较。本文的研究表明,寿险业对于消费内需的作用机制在于:通过"风险汇聚"和"损失分担"的机制,消除居民面临的损失、收入、支出以及寿命的不确定性,使居民对未来形成稳定的预期,从而降低居民的预防性储蓄,增加现期消费。因此,寿险业对于消费内需具有重要的拉动作用。     

预防性储蓄理论与我国居民储蓄行为探析

我国居民储蓄的持续增长一直是我国经济中的一个热点问题。对于居民储蓄增长的原因,许多人都从不同的角度给出了解释。本文试图从预防性储蓄理论出发,联系我国社会生活中一些实际问题和变革来解释这一问题。该理论认为储蓄的主要动机是预防意外事件,当人们预期未来收入不确定时,就会进行预防性储蓄。本文分析了影响我国居民预期未来收入不确定的因素,并提出相关建议。     

我国存贷利率变动对股份制商业银行居民储蓄影响的实证研究

一、引言 我国利率变动对储蓄的实际影响与古典经济理论不相符合,于是有很多学者试图运用现代经济理论来解释我国经济转轨时期居民储蓄与利率的关系.李维、毛端懿等对1978-1997年的数据进行实证分析,认为我国居民储蓄对利率没有敏感性.自钊、魏中许认为利率水平和储蓄余额存在显著负相关,以利率调节为主的货币政策失效.操华波则认为利率对于储蓄率的影响是不确定的,名义利率对储蓄率有微弱的负效应,实际利率对储蓄率则有不显著的正效应.占云生认为我国的利率对储蓄的作用越来越显著.这些研究被解释变量的选择上,往往选用全国居民总储蓄额,忽略了金融机构之间的市场化程度差异;而在解释变量的选择上,也没有考虑贷款利率变动对居民储蓄变化的影响;更为重要的是在数据的选用上常常采用跨度较长的年度数据,使得模型的拟合程度存在一定的同题,模型对现实的解释也就显得有些牵强,因而缺乏指导性.本文从市场化程度较高的股份制商业银行的角度,采用季度数据,研究存贷利率变动对居民储蓄的影响.     

金融抑制、流动性约束与农业保险需求潜力研究

农村金融抑制导致的金融资源供给不足使农民面临严重的流动性约束,削弱了农民对农业保险的购买能力。运用异质性随机边界模型进行实证分析的结果表明,流动性约束使我国农业保险的实际需求水平低于最优值50%~60%左右;流动性约束不仅制约了农业保险的整体需求,而且加剧了各地区农业保险发展的两极分化,中西部农民面临的流动性约束问题要比东部地区更为严重;农民现金结余的增加对于缓解流动性约束及其不确定性均没有显著影响,涉农贷款的增加不仅对于流动性约束没有显著影响,而且会增加其不确定性。因此有必要对现行的农村金融体制进行改革,通过改善农村地区的融资环境促进农业保险的发展。     

预防性储蓄对中国经常项目的影响

作为一国经济外部均衡的集中体现,经常项目反映了国内储蓄与投资的差额,对经常项目的解释也就是对储蓄投资差额的解释。由于储蓄本质上是居民跨期选择的结果,故根据跨期选择理论研究储蓄动机是理解经常项目的重要环节。笔者基于消费者跨期最优分析,建立了包含预防性储蓄变量的经常项目现值模型。模型将经常项目形成分解为预防性储蓄、平滑消费、倾斜消费和新息四个来源。来自中国的宏观经济数据对模型检验的结果表明,尽管预防性储蓄对经常项目的贡献在不同的风险规避量下和不同的年度会有较大差别,但在5%的利率假设下,这一指标基本集中在30%~50%,这表明预防性储蓄是中国经常项目形成的不可忽视的因素,从而在一定程度上解释了中国经常项目长期顺差的原因,从储蓄形成的视角为未来涉及经常项目的政策提供了理论依据。     

房地产价格对我国城镇居民消费的长短期影响研究

考虑居民收入等级不同,对住房属性偏重不同,将居民分为不受到流动性约束型、不完全受到流动性约束型、完全受到流动性约束型三类.基于各自目标函数及约束条件,确定动态面板模型检验房价与消费的协整关系,并构建动态面板误差修正模型,结果显示:全国层面,收入是影响消费的核心因素,房价上涨、预期房价上涨影响消费为挤出效应,且存在长期均衡关系;居民层面:不受到流动性约束的居民,收入不是消费的重要因素,而其余两类居民的消费受收入、习惯强度影响较大,且流动性约束越强,影响更为明显;不受到流动性约束的居民,在短期及长期内,房价上涨、预期房价上涨影响消费为财富效应;而其余两类居民,影响为挤出效应,强度大于前者的财富效应,且流动性约束越强,抑制作用更为显著.     

Precautionary Saving of Chinese and U.S. Households

We employ a model of precautionary saving to study why household saving rates are high in China and low in the United States. The use of recursive preferences gives a convenient decomposition of saving into precautionary and nonprecautionary components. Over 80% of China's saving rate and nearly all U.S. saving arises from the precautionary motive. The difference between U.S. and Chinese household income growth rates is vastly more important than income risk for explaining the saving rates. The key mechanism is that precautionary savers have target wealth‐to‐income ratios, and rapid income growth necessitates high saving rates to maintain the ratio.     

Precautionary money demand in a business-cycle model

Precautionary demand for money is significant in the data, and may have important implications for business-cycle dynamics of velocity and other nominal aggregates. Accounting for such dynamics is a standing challenge in monetary macroeconomics: standard business-cycle models that have incorporated money have failed to generate realistic predictions in this regard. In those models, the only uncertainty affecting money demand is aggregate. We investigate a model with uninsurable idiosyncratic uncertainty about liquidity need. The resulting precautionary motive for holding money produces substantial improvements in accounting for business-cycle behavior of nominal variables, at no cost to real variables.     

The Impact of Short-Sales Constraints on Liquidity and the Liquidity–Return Relations

Baker and Stein's (2004) model predicts that individual stock liquidity, commonality in liquidity across stocks, the contemporaneous correlation between stock returns and liquidity, and the degree of high liquidity associated with low subsequent stock returns decrease in the absence of short-sales constraints relative to in the presence. To test these theoretical predictions, we examine both the component stocks of the Taiwan 50 index and other nonindex stocks for the sample period before and after the removal of short-sales constraints on the former and use trading turnover and Amihud's (2002) illiquidity ratio as the measure of liquidity to proxy for investor sentiment. Overall, our empirical results are consistent with these theoretical predictions and therefore provide evidence in support of Baker and Stein's (2004) model.     

Inflation Uncertainty, Real-Interest-Rate Uncertainty, and the Liquidity Premium on Government Bonds

This paper shows that the components of uncertainty about nominal interest rates, real-rate uncertainty and inflation uncertainty, have different effects on the liquidity premium. An increase in inflation uncertainty should increase the equilibrium liquidity premium because investors reduce the effect of inflation uncertainty on the riskiness of their portfolios by holding more short-term bonds. In contrast, an investor can reduce the effects of uncertainty about future ex-ante real rates on portfolio return by matching more closely the maturity dates of the bonds held with the date on which the portfolio is to be liquidated for consumption purposes. Thus, the effect of an increase in real-rate uncertainty on the equilibrium liquidity premium is ambiguous, depending on the relative magnitudes of long-term and short-term saving and the proportions of short-term and long-term bonds issued by the government.     

A tale of two Us: Corporate leverage and financial asset allocation in China

Firms choose to make liquid and illiquid financial investments due to different motives and, therefore, how they relate to corporate leverage may exhibit different non-linear shapes. On the one hand, firms hold liquid financial assets to hedge against external uncertainty and liquidity shocks based on the “precautionary saving” motive. This implies a positive U-shaped relationship between the leverage ratio and liquid financial asset allocation. On the other hand, firms allocate illiquid financial assets due to the “investment substitution” motive to earn high yields. This leads to an inverted U-shaped relationship between the leverage ratio and illiquid financial asset holdings. Using financial data of Chinese listed firms from 2007 to 2017, we verify the above theoretical predictions. Further analysis finds factors such as internal and external risks, financing environment, and total factor productivity to be important determinants of corporate financial asset allocation.     

Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty

Mortgage refinancing activity associated with extraction of home equity contains a strongly countercyclical component consistent with household demand for liquidity. We estimate a structural model of liquidity management featuring countercyclical idiosyncratic labor income uncertainty, long- and short-term mortgages, and realistic borrowing constraints. We empirically evaluate its predictions for households' choices of leverage, liquid assets, and mortgage refinancing using microlevel data. Taking the observed historical paths of house prices, aggregate income, and interest rates as given, the model accounts for many salient features in the evolution of balance sheets and consumption in the cross-section of households over 2001 to 2012.     

Entrepreneurial finance: Banks versus venture capital

We analyze how entrepreneurial firms choose between two funding institution: banks, which monitor less intensively and face liquidity demands from their own investors, and venture capitalists, who can monitor more intensively but face a higher cost of capital because of the liquidity constraints that they impose on their own investors. Because the firm's manager prefers continuing the firm over liquidating it and aggressive (risky) continuation strategies over conservative (safe) continuation strategies, the institution must monitor the firm and exercise some control over its decisions. Bank finance takes the form of debt, whereas venture capital finance often resembles convertible debt. Venture capital finance is optimal only when the aggressive continuation strategy is not too profitable, ex ante; the uncertainty associated with the risky continuation strategy (strategic uncertainty) is high; and the firm's cash flow distribution is highly risky and positively skewed, with low probability of success, low liquidation value, and high returns if successful. A decrease in venture capitalists’ cost of capital encourages firms to switch from safe strategies and bank finance to riskier strategies and venture capital finance, increasing the average risk of firms in the economy.     

Inflation-Indexed Bonds and Nominal Bonds: Financial Innovation and Precautionary Motives

This paper introduces a two-period monetary general equilibrium model with proportional transaction costs on nominal and inflation-indexed bonds. This paper demonstrates that financial innovation on indexed bonds causes equilibrium interest rates of the nominal bond to increase when agents have precautionary saving motives. This result implies that ignoring precautionary motives would underestimate savers' welfare gain and overestimate borrowers' welfare gain from innovation on indexed bonds.     

Buffer stock saving in retirement accounts

We use a dynamic programming model to explore the possibility and extent of precautionary saving in tax-sheltered accounts such as the 401(k). The main policy experiment examines the behavior of saving for different levels of unemployment insurance (UI), which is a perfect substitute for precautionary saving against job loss. Our results indicate that increasing the generosity of UI crowds out 401(k) contributions made by younger workers, who save primarily for precautionary reasons. At the aggregate level, we find that 401(k)s increase national saving and that the magnitude of the effect depends on the generosity of UI.