基于VAR模型的中国股市财富效应实证研究

文章运用基于VAR模型的协整检验、Granger因果关系检验、ECM方法研究有关财富效应的一些问题,形成以下结论:我国股票市场总体上存在财富效应,但在某些时段表现为股市投资对消费的替代效应;通过股票市场刺激消费的做法短期可行,长期并不有效。文章最后提出了有利于发挥股市财富效应的相关措施。     

我国股市的财富效应——基于动态分布滞后模型和状态空间模型的实证检验

本文利用动态分布滞后模型和状态空间模型分析我国股市财富效应.动态分布滞后模型结果表明,我国股市既不具有即期财富效应,也不具有长期财富效应.利用状态空间模型的时变参数模型检验结果显示,我国股市较长时期内不具有财富效应,但随着经济增长和证券市场规模的不断扩大,股市的正财富效应逐渐显现.主要的原因是我国居民的投资和消费具有替代效应,可支配收入的边际消费倾向受股市预期和宏观经济景气影响显著.     

股市财富效应季节单位根与协整分析

股票市场的财富效应,是指由于股价上涨（或下跌）,导致股票持有人财富的增长（或减少）,进而产生扩大（或减少）消费,影响短期边际消费倾向变动,促进（或抑制）经济增长的效应。其中,股市促进消费增长的效应称之为正的财富效应,抑制消费增长的效应称为负的财富效应。自从Pigo（1940）对财富效应进行分析以来,国内外专家学者对股市财富效应进行了大量研究,     

中国股市财富效应静态和动态实证分析

本文利用2002—2008年的月度数据,利用协整分析、误差修正模型等现代计量经济方法和状态空间模型研究了中国股市财富效应问题。研究结果认为:从长期均衡关系看,我国股市财富效应是显著存在;从短期动态关系看,我国股市财富波动对全社会消费支出波动具有负影响但不显著;从股市财富的边际消费倾向的动态过程看,我国股市财富效应始终存在,但挤出效应同样显著。     

城镇居民金融资产与不动产财富效应的比较分析

城镇居民两种资产的财富效应呈现三个特点:一是住房资产的财富效应大于金融资产的财富效应;二是两种资产的财富效应差别不大;三是两种资产的财富效应较微弱。这表明:第一,住房对消费具有一定的支撑作用;第二,金融资产增值性不强和股市的波动限制财富效应的发挥;第三,较强的流动性约束制约住房资产的财富效应;第四,消费的过度敏感性使资产财富效应微弱。为了通过财富效应来促进消费,必须维持股市和房地产市场稳定的预期,大力发展金融市场,抑制住房价格的过快增长并促进住房市场平稳发展。     

启动股市的“财富效应”

中央针对近些年来持续存在的内需不足问题连续出台了一系列的方针政策，并取得了一定的成效。然而，如何利用资本市场尤其是利用股市“财富效应”的作用来刺激国内消费需求的扩大，尚未引起政府的高度重视。股市“财富效应”的内涵及意义所谓“财富效应”，是指由于金融资产（主要是证券）价格上涨导致资产持有人财富拥有量增长，进而产生刺激消费增长和推动经济增长的效应。在当前内需不足的形势下，探讨培育股市的“财富效应”刺激消费需求，进而拉动经济增长，具有十分重要的理论意义和现实意义。从美国等发达国家的经验来看，股市“财富…     

中国股市有财富效应吗？

股市财富效应在欧美等证券化程度较高的国家确实存在,但由于股市规模有限,股市持续繁荣趋势不明显,投资者结构与投资收益分配格局不合理等因素的限制,中国股市的财富效应很不显著,因此,期望通过“激活股市刺激消费”的政策主张目前难以凑效,笔者认为,要尽快培育和发挥股市刺激消费与促进经济增长的作用,必须把通过股市“富民”的方略置于重要位置,并积极采取以及措施：（1）重视股市的作用,调整股市的功能定位;（2）扩大股市规模,（3）利用证券市场推行“富民政策”,（4）构建稳定的,持续繁荣的证券市场。     

居民金融资产结构性财富效应分析：一种模型的改进

1985～2006年样本数据表明,居民非证券类金融资产财富效应高于证券类金融资产财富效应,两种金融资产财富效应均高于住房资产财富效应。这种财富效应的特征由以下因素决定,一是证券价值的波动过大限制其财富效应的发挥,二是证券资产比重过小使其对居民的消费影响有限,三是以储蓄为主的居民金融资产增长相对平稳。为发挥金融资产财富效应对扩大内需的作用,应该促进股市的平稳发展,防止股市替代效应和负面效应的产生;开辟多种投资渠道,提高居民财产性收入;发展银行理财和证券市场业务,增加居民家庭金融资产。     

后金融危机时代中国股市财富效应实证分析

本文选取社会消费品零售总额、股票市场流通市值和城镇家庭人均可支配收入三大指标,以2009年7月-2012年9月的月度数据为样本,运用协整分析及向量误差修正模型对后金融危机时代的中国股市财富效应进行实证检验。结果表明,在经济增速放缓、股市长期走熊的背景下,中国股市存在极为微弱的财富效应,并且股市短期财富效应大于长期效应,前者大约是后者的1.6倍。     

房产与金融的财富效应的实证研究

本文运用消费和其他不同资产之间长期平衡关系去估算房产及金融资产的变化对消费的影响。通过对资产研究表明:在长期中我国金融市场的财富效应微弱,其财富效应主要表现在短期中;并且在长期中房地产市场的财富效应远大于股票市场,房地产市场长期存在正财富效应,而在短期的财富效应则并不显著。因次房地产市场的发展对消费者居民长期消费影响很大,而且对投资的影响效应更大。     

Wealth effect and investor sentiment

This paper investigated the relationship between the U.S. stock and housing markets as well as their influence on the wealth effect of consumption and found that the stock market sentiment index can explain changes in the wealth effect. The empirical results indicate that these two markets exert a wealth effect on consumption. The estimation results of the Markov-switching model indicate two states: a state in which the stock market influences its coexistence with the housing market and a state in which the housing and stock markets are unrelated. Public optimism regarding stock market investments affects the probability of transitioning between these states.     

股市“财富效应”对我国货币政策的影响

伴随着中国证券市场的长足发展 ,股市的“财富效应”也日益显著。本文从分析股市“财富效应”及“财富负效应”影响货币政策的机制入手 ,进而探讨了其对我国现行货币政策的冲击 ,并相应提出了几点政策建议。     

The effect of housing and stock market wealth on consumption in emerging and developed countries

This study examines the long- and short-run relationship between private consumption, housing wealth, stock market wealth and income. In order to asses this relationship empirically, we use pooled mean group estimators of dynamic heterogeneous panel data on a sample of 30 developed and emerging economies. The sample countries are segmented into three separate panels: a developed bank-based panel, a developed market-based panel, and an emerging bank-based panel. Empirical estimates support the existence of long- and short-run stock market wealth effects in both groups of developed countries, with the effect being particularly strong in the developed market-based countries. A moderate long-run housing wealth effect is confirmed only for the developed bank-based countries, while a very strong short-run housing wealth effect is present in the developed market-based countries. As far as the emerging countries are concerned, the evidence is somewhat inconclusive, but it does seem to suggest that both wealth effects are effective in the long run, with housing wealth being more dominant.     

房地产市场财富效应实证分析——基于广州市房地产市场的经验证据

基于广州市2003～2007年的月度数据,利用协整检验对广州市房地产市场的财富效应进行了实证分析。结果表明:房地产价格上涨对消费具有抑制作用,广州市房地产市场不具有财富效应。     

Monetary policy,asset prices and consumption in China

This paper studies the wealth channel in China. Although the wealth channel has been found to be functioning in many advanced countries, its existence is yet to be explored in most emerging economies, also in China. In order to illuminate dynamics between monetary policy, asset prices and consumption, we use the structural vector autoregression method. The findings support the view that a loosening of China's monetary policy does indeed lead to higher asset prices. Furthermore, a positive shock to residential prices increases household consumption, while the role of stock prices seems to be small from the households’ point of view. Finally, we test the existence of the wealth channel more formally to find out whether those changes in asset prices that are caused by monetary policy are significant enough to increase consumption. In summary, the wealth channel remains weak but there are some signs of it via residential prices. The results are not that different from those attained for the advanced economies, where the size of the wealth channel has been found to be limited.     

Market effects of private equity placement: Evidence from Chinese equity and bond markets

Research has provided empirical evidence for the stock market reaction toward private placement; however, similar research has not been conducted in terms of the bond market. Using the event study method, we empirically examine the explanatory power of the signaling, free cash flow, and wealth transfer hypotheses based on the reaction of the stock market, bond market, and firm abnormal returns to the private placement announcement. The results show that the stock market has a negative reaction toward private placement, whereas the bond market has a positive reaction. The results also show that the scale of private placement is correlated with the severity of the market reaction. Abnormal returns indicate no significant change both before and after the private placement, and they are unaffected by the scale of private placement. These results are consistent with the wealth transfer hypothesis; however, the market reaction is not attributable to the signaling hypothesis and the free cash flow hypothesis. Extensive research shows that the abnormal returns of private placement change dramatically in non-state-owned enterprises and firms with low credit rating bonds, whereas the bond maturity has no significant impact on the abnormal returns—the wealth transfer effect of private placement is stronger in non-state-owned enterprises and firms with low credit rating bond.     

News and noise: do investors react to stock split announcements differently during periods of high and low market volatility?

In this paper, we find evidence that stock split announcements have a greater wealth effect when market volatility, as measured by the VIX index, is low. This effect is driven primarily by small firms. These results support the hypothesis that when market volatility is high, signals sent by small firms are more likely to be obscured by noise than when market volatility is low.     

THE STOCK MARKET, HOUSING AND CONSUMER SPENDING: A SURVEY OF THE EVIDENCE ON WEALTH EFFECTS

Abstract.  This paper examines the time-series and micro-econometric evidence on the relationship between stock and house prices and consumer spending. The time-series studies distinguish between short-run and long-run links between consumption, income and wealth. They allow us to identify which variables adjust to restore the long-run equilibrium in the case of a shock, and to determine the time taken by the adjustment process. The micro-econometric literature improves our understanding of the link between wealth and expenditure and distinguishes among the alternative hypotheses – of direct wealth effect, common causality and collateral channel – that have been proposed to explain this relationship. The relationship between wealth and consumer spending appears to be strong, but there is some disagreement as to its size and nature. Furthermore, there appear to be some important differences across countries, which should be allowed for by policy makers when appraising the policy implications of a change in asset prices.