收入和流动性风险约束下家庭金融资产选择的实证研究

本文采用SCF数据,运用TOBIT模型从实证的角度研究收入风险和流动性约束对投资者资产选择的影响。研究结果表明：控制其他变量的影响之后，收入风险的增加会使得投资者降低对风险资产的需求．预期未来流动性的约束也减少投资者的风险资产投资比例。接着本文采用分类回归及将风险资产投资比例概念由狭义转变为广义，得到的结论都和前面的研究一致。最后．本文采用迭代LAD回归技术所得到的结果也证明了本模型的结论具有稳健性。

Income risk, liquidity Constraints and Households' Portfolio Selection

This paper, investigates the effect of income risk and liquidity constraints on portfolio choice by using the data from SCF and utilizing TOBIT model. The conclusion is that, by controlling other variables, the increase of income risk and liquid constraints will decrease the ratio of risk asset holdings of households. Dividing the data into self-employed and working for others, and broadly defining the risk assets give us similar result. Finally, this paper uses iterative LAD technique to test the robustness of the model.