股市收益、收益波动与中国城镇居民消费行为

本文通过构造边际消费倾向理论模型，发现股市收益波动是影响居民边际消费倾向的重要因子，而股市收益对居民边际消费倾向的影响带有不确定性；股市正财富效应的发挥与否的主要因素之一是经济风险大小；并依据模型分析了股市财富效应的非对称性特征。实证研究证实了模型的结论，且发现股市收益产生的影响随着时滞的增长将变得更加不确定。     

收入分配、财富积累与城镇居民财产性收入——一个研究假说及其验证

本文结合我国居民收入和财富差距持续扩大的现实,系统研究了城镇居民收入分配差距对财产性收入的影响和作用机制,并利用2000-2009年省级面板数据进行实证检验.研究发现,由于差异税率和边际消费倾向递减规律的作用,收入分配差距的扩大增加了居民总税负的同时也提高了社会总消费,综合效应导致社会财富积累和居民的财产性收入减少.同时,本文还发现了城镇居民财产性收入与股市参与深度正相关、与房价收入比负相关的结论.本文的研究为拓宽我国城镇居民分享和获取更多财产性收入的政策取向提供了经验支持.     

我国股票市场财富效应对消费影响的实证分析

本文在阐释股市财富效应对消费影响的传导机制基础上,依据消费函数理论模型及我国股市和经济发展的相关数据,检验了我国股市财富效应对消费的影响,检验结果表明我国股市目前存在弱财富效应,与消费之间存在长期协整关系,相对于收入指标而言,股票市场的发展对消费的影响仍较小。探究其原因,主要是由于我国股票市场整体规模仍偏小,股市价值的持续波动趋势不稳定影响市场预期,以及投资者收益结构分配不合理等。据此,从扩大股市规模、完善证券市场制度等角度提出了相应建议。     

商品房价格、收入与消费支出的关系研究——广州市房地产财富效应实证检验

一、财富效应的理论概述 财富效应（The Wealth Effect）是指由于资产价格上涨（或下跌）,导致资产持有人财富的增长（或减少）,进而促进（或抑制）消费增长,影响短期边际消费倾向（MPC）,促进（或抑制）经济增长的效应。简而言之,财富效应就是指人们资产越多,消费意欲越强,又称实际余额效应。财富包括两种形式：金融资产和实物资产。近年来,我国房地产市场快速发展,房地产资产占居民实物资产的比重不断上升,     

资产结构、收入结构与股市财富效应

本文对1992～2002年的经济数据分析表明:中国股市存在微弱财富效应,金融资产的MPC=0.0486;股市财富效应对消费的影响占总消费变动的平均比例仅为0.84%.形成这种状况的重要原因有:股票价值占GDP的比例较小;居民在股票等方面的财产性收入较低.因此,要采取措施提高股票市值占GDP的比例,扩大股票资产占居民资产的比重,提高财产性收入的比例,提高股市财富效应对消费的促进作用.     

居民边际消费倾向影响因素研究

目前对于边际消费倾向主流的观点是边际消费倾向随收入的提高而递减.收入分配差距是影响边际消费倾向的重要因素.政府的财政政策、货币政策在短期对居民边际消费倾向造成影响,文化和制度因素在长期对于边际消费倾向有决定性的影响.除此之外,其他因素也能够对居民的边际消费倾向造成影响.政府需综合考虑各种因素制定短期和长期政策.     

近年来中国股市财富效应的实证分析

本文以1992-2002年的经济数据为样本，对中国股市财富效应进行理论和实证分析。研究表明：中国股市存在微弱的财富效应。金融资产的MPC=0．0486，股市财富效应对总消费的影响较小。一是因为股市财富效应对消费的影响占总消费变动的平均比例仅为1．33％，1995年、2001年和2002年的股市财富效应甚至对消费起到了减少的反作用；二是因为股票等资产的财富效应相对于收入对消费的影响来说，显得很微小；三是因为总消费中存在的自主性消费减弱了股市财富效应对总消费的影响。为扩大股市财富效应对消费的作用，应扩大股票市场价值占GDP的比例，提高股票类金融资产占居民家庭的比重，维持股市稳定的预期。     

我国居民信息消费函数的实证研究

本文构建了信息消费函数,并运用分离出个体差异和时间差异的panel data模型,研究了我国居民信息消费问题.实证结果显示,近年来我国居民信息消费边际倾向高于其他单项消费,且信息消费增速快;信息消费中的"时滞效应"和"棘轮效应"明显;居民信息消费的城乡差异、地区差异和时间差异均比较明显,其中,城乡、地区不平衡的根源是城乡、地区收入上的差距,时间上的差异则主要是因为居民对未来的预期不稳定.     

居民资产、财富效应与我国城镇居民消费

现代消费理论认为财富是影响居民消费的重要因素,并且各种财富形式对消费水平影响不同.对我国居民资产财富效应的实证研究表明,股票资产在长期对居民消费有负向影响.财富效应微弱,而房产财富对居民消费的正向效应比较明显,刺激消费作用较强.当前财富效应的产生与我国股市发展不稳定及房地产市场的发展特性相关,而个人可支配收入和储蓄仍是影响我国居民消费支出的主要因素.     

试论流动性约束、短视行为与我国消费需求疲软的关系

本文分析了国外现代宏观消费理论对于研究我国消费需求的局限性 ,并从我国国情出发建立了一个“短视消费模型” ,讨论了边际消费倾向与短期储蓄目标的关系 ,从而论证了造成我国目前消费疲软的根本原因是短视行为与流动性约束太强 ,最后解释了我国居民边际消费倾向降低以及农村居民边际消费倾向偏低的原因。     

An analysis of the consumption risk and asset returns of Chinese residents

The research on the consumption-based asset pricing theory is limited to the developed capital markets. This paper seeks to extend the research to the Chinese developing capital market. It analyzes the dynamic relationship between the Chinese residents’ consumption, stock market returns and interest rates with the CCAPM. According to the analyses of this paper, the IV regression results are mixed. However, the data can fit the model relatively well, and the empirical results fail to reject the model. Thus, the results show that a relationship between the Chinese residents’ consumption growth rates and the asset returns does indeed exist, and that the consumption volatility risk could influence the asset returns.     

中国股票市场和债券市场收益率动态相关性分析

基于A股综合市场收益率和中信全债指数收益率数据来研究中国股票市场和债券市场收益率的动态相关性,并分析时变的股债相关性影响因素,以及在横截面上对股票收益率的定价影响进行考察后得知:股债相关性是时变的,股票市场的不确定性和预期通货膨胀率是影响股债相关性的主要因素;通过虚拟变量回归发现,股债相关性在横截面上对股票收益率的影响很小。这些结论对于投资者来说具有直接的现实意义。     

Oil shocks,policy uncertainty and stock returns in China

This paper examines the interdependence of China's policy uncertainty, the global oil market and stock market returns in China. A structural VAR model is estimated that shows that a positive shock to economic policy uncertainty in China has a delayed negative effect on global oil production, real oil prices and real stock market returns. Shocks to oil market‐specific demand significantly raise China's economic policy uncertainty and reduce the real stock market returns. As measured by a spillover index, the interdependence between these variables has been rising since 2003 as China's influence in the oil market has increased. An equivalent spillover index calculated for the US is smaller and has been largely flat over time.     

消费者信心指数与股票市场收益的实证研究

基于行为金融学的视角，研究消费者信心和股票市场收益的互动关系，结果发现消费者信心指数与殷市收益具有较强的相关性。利用脉）辛响应和方差分解分析消费者信心与股市收益之间的互动关系，结果表明，消费者信心指数能预测一部分收益，股市收益与消费者信心指数间的冲击具有不对称性。     

Using long-run consumption-return correlations to test asset pricing models

This paper examines a new set of implications for existing asset pricing models regarding the correlation between returns and consumption growth over both the short run and the long run. The findings suggest that external habit formation models face a challenge in producing two robust facts in aggregate data, namely, that stock market returns lead consumption growth, and that the correlation between returns and consumption growth is higher at low frequencies. To reconcile these facts with a consumption-based model, I demonstrate the need for focusing on models that contain a forward-looking consumption component, i.e., models that allow for both trend and cyclical fluctuations in consumption, and that link returns to cyclical fluctuations in consumption. Long-run risk models provide examples of models that contain this consumption component.     

Macroeconomic shocks and stock market returns: the case of Korea

This study examines the effects of macroeconomic shocks on key macro variables, including stock market returns in Korea, using the structural vector autoregression (SVAR) model. We suggest a three-variable SVAR model incorporating inflation, output growth and stock returns. We adopt a nonzero z-ratio restriction for the long-run identifying assumption to allow for economically meaningful relationships among variables. While our results support the negative (positive) relation of demand (supply) shocks to stock returns, we also find that demand shocks influence stock market variance more significantly than supply shocks do. The sub-period analysis finds that global market fluctuations during the global financial crisis have relatively little effect on Korean stock market performance. We also examine a generalized five-variable model that includes the foreign exchange rate and interest rate, confirming the results from the three-variable case.     

Bank of Canada communication, media coverage, and financial market reactions

We examine how Bank of Canada communications and media reporting on them impacts Canadian bond and stock market returns. Official communications exert a relatively larger influence on the bond market, whereas media coverage is more relevant for the stock market.     

A Reexamination of the Wealth Effect and Uncertainty Effect

In an influential article, [Romer, C. “The Great Crash and the Onset of the Great Depression,” Quarterly Journal of Economics, 105, 1990, pp. 597–624.] estimates the magnitudes of the uncertainty and wealth effects. She reports that before and after the Great Depression, the uncertainty effect has a large and statistically significant influence on durable good production, while the wealth effect is negative but negligible. When the authors of this paper change the specification of the model with respect to the amount of time necessary for stock returns to translate into changes in consumption, they reach the exact opposite conclusions that Romer does. Specifically, when the authors allow consumers 12 or more months to alter consumption behavior, rather than Romer's three, stock price uncertainty did not significantly affect the durable goods production before, during, or after the Great Depression. The authors also find that stock market returns from the previous year have a positive and statistically significant impact on the durable goods production, indicating the importance of the wealth effect.     

How are gold returns related to stock or bond returns in the U.S. market? Evidence from the past 10-year gold market

Although the gold market over the past decade has been soaring relative to its prior history, there have been few studies on the relationship between the gold market and other major financial markets based on the past decade of data. To re-investigate how the gold market interacts with the stock market and the bond market, we re-visit economic and financial characteristics of gold using the past 10-year data in terms of co-integration, causality, predictive power, and extreme returns. We find that while gold returns are not co-integrated with stock returns and bond returns, gold returns have a unidirectional causality with both of them. Also, we discover that gold returns have some predictive power on subsequent short-term stock returns. Under extreme market scenarios, it turns out that gold returns tend to deteriorate more simultaneously with bond returns than stock returns. This means that gold can better serve as a safe haven for stock in a relative sense during temporary market downturns.     

Information Transmission Through Rumors in Stock Markets: A New Evidence

The authors provide new evidence of the influence of false rumors based on Taiwan's stock market. The results indicate significant patterns of abnormal returns and trading volumes surrounding the event day and that the rumors seem to be disseminated in the stock market before appearing in newspapers. The results also indicate asymmetry: Investors hearing a positive rumor about a stock may tend to buy the stock, prompting a price run-up until the rumor dies away, while negative rumors usually have greater and longer negative impacts on stock returns than positive rumors do. The presence of a daily price limit is negatively correlated to the size of abnormal returns and abnormal trading volumes on the event day, and the abnormal trading volumes are more sensitive to the price limit surrounding the event day. Finally, firm managers might receive rumor information earlier and then conduct stock trading before the rumor's announcement.