消费、收入约束与股票溢价

由于低收入居民缺乏金融资产,无法通过消费与投资选择,直接影响资产收益率,因此,利用全国人均消费数据来检验消费资本资产定价模型(CCAPM)可能会导致设定偏差.按收入分组的城镇居民家庭消费支出数据检验了收入约束假说,考察了是否高收入居民的消费模式与CCAPM更为一致.CCAPM在各收入组的表现是不规律的,收入约束假说没能通过实证检验,将收入约束纳入到CCAPM的研究中未能解开股票溢价之谜.     

消费与权益资产收益:针对我国资本市场的实证研究

基于我国资本市场的实际情况,以及CCAPM模型和递归效用函数的随机折现因子模型进行的实证研究表明,我国投资者的相对风险厌恶度远小于成熟资本市场投资者的相对风险厌恶度,消费跨期替代弹性也处于不合理的负值区间。同时,相关实证结果也不支持我国资本市场上存在“理性预期”和“权益资产溢酬之谜”。     

消费波动、收入约束与资产收益

本文利用城镇居民家庭消费支出考察了经济上未受约束消费者的消费模式是否比受约束消费者的消费模式更符合CCAPM，在参与约束的背景下，许多消费者缺乏直接影响均衡消费支出和资产收益率的金融资产，其跨期分配消费能力是有限的，因此，利用总量消费数据来检验消费资本资产定价模型（CCAPM）有可能会导致设定偏差。本文利用广义矩法（GMM）考察了在我国收入差距的背景下，受约束的消费者和不受约束的消费者对于CCAPM的影响。对代表性经济人进行了重新设定。从而拓展了对代表性经济人的假设。利用消费性支出与资产收益率的GMM检验结果是不支持收入约束假说的。将收入约束纳入到消费资本资产定价模型的分析中并未改善该模型在我国资本市场的表现。     

国际股票市场价值溢价——基于世界长期风险模型的解释

价值型公司组合总体收益高于成长型公司组合,即价值溢价之谜在国际股票市场上普遍存在。在经济一体化假设下,采用传统消费的资本资产定价模型、习惯形成、协整的长期风险和平稳的长期风险等CCAPM理论来研究主要发达国家和地区的价值溢价现象,实证结果发现价值溢价产生的原因在于价值型公司对于协整风险和时变经济波动风险的暴露更大;协整的长期风险理论综合考虑了股票的短期和长期风险暴露,较其他模型优胜。这对于同样存在价值溢价,又处在越来越开放的经济条件下的中国股票市场具有一定的启示作用。     

耐用品理论研究综述

耐用品是指能够在多个时期内提供效用的产品，它同时具有资产和一般非耐用消费品的特性。由于一些耐用品，如汽车、房屋等在家庭财富中占有很大比重，所以对这些耐用品的消费影响到整个家庭消费和储蓄分配，影响到对其他非耐用品的消费。另外，作为一种资产，耐用品消费的利率弹性较大；并由于耐用品提供效用的持续性，消费者可以根据经济的景气状况调整对耐用品购买或更新时间。     

基于效用成本风险异质性的消费资本资产定价模型

资产定价既是现代金融的核心,也是许多困惑之所在,其中最著名的就是股权溢价之谜和无风险利率之谜。本文对消费资本资产定价模型中的效用成本做了重新思考,引入"效用成本风险异质性"的概念,并将效用成本区分为"消费效用成本"和"风险效用成本"。在此基础上,本文提出了消费资本资产定价模型的新形式,并对股权溢价之谜和无风险利率之谜进行解释。     

中国居民消费风险与资产收益分析

消费资本资产定价模型（Consumption-based Capital Asset Pricing Model，简称CCAPM）表明，资产风险溢价由代表性经济人的相对风险规避系数与资产收益和消费增长率之间的协方差的乘积决定，这就是消费增长决定的资产收益形成机制。在消费资本资产定价模型中，一项资产的风险能够通过使用其收益与人均消费增长率的协方差进行测量，这表明预期资产收益率的系统风险能够用消费增长率风险来进行解释。由于各资产与人均消费增长率的协方差有所不同，因此各资产的收益会有所区别。     

论消费习惯及其对资产定价的影响

传统的资产定价理论通常假设投资者的效用函数是跨时可加的,并且假设投资者每期的效用由本期的消费水平确定,这就是典型的基于消费的资产定价模型。这种模型所导出的结论遭到实证结果强有力的挑战,其中具有代表性的有“股权溢价之谜”、“消费平滑之谜”和“无风险利率之谜”等。为了解释这些“难解之谜”,一种典型的做法是对传统的跨时可加的效用函数进行修改,消费习惯的引进是其中最具代表性的方法。本文试图对这一方法进行综述,对消费习惯的经济含义进行分析,并进一步分析消费习惯对资产定价的影响     

中国家庭资产配置与异质性消费者行为分析

中国居民家庭存在"资产规模增长、结构多元化"与"消费需求相对不足"共存的现象。在此背景下,研究资产结构对消费者行为的影响显得尤为重要。本文根据资产结构识别异质性消费者,综合了流动性约束和预防性储蓄理论,通过估计暂时性收入冲击下的边际消费倾向,以及不确定性引致的财富积累,探讨了不同资产结构下异质性消费者行为的差异。本文不仅验证了资产变现难易程度对消费路径平滑和流动性约束的作用,同时发现了住房资产通过影响预防性储蓄行为,导致了流动性约束程度的差异。本文从资产流动性和住房资产需求角度,结合家庭"住房资产占总资产比重高与需求刚性较强"的典型事实,为中国居民消费需求相对不足的原因提供了一种解释,有助于把握消费刺激政策的着力点,进而增强消费对经济发展的基础性作用。     

基于Probit回归的绿色农产品消费影响因素及购买行为分析

以黑龙江省城镇居民为样本,通过对消费者自然、社会属性、消费行为与习惯、消费动机及认知与信任度等特性的调研和分析,论述了影响绿色农产品消费的主要因素及其作用机理,建立了基于Probit回归的购买行为预测模型。研究表明除收入、价格等传统经济变量以外,消费者关注度、信任度及支付意愿也将对其购买行为产生重要影响;信息不对称、消费信心不足以及溢价水平过高是其拒购的主要原因。最后针对研究结论提出了相应的改进策略和建议。     

Globalization and household saving: is there a link?

This article proposes that globalization can affect household saving in the long run in a number of ways. Social interactions between different cultures can induce value changes, which can result in shifts in consumption and saving behaviour. International trade allows consumers to have easier access to status goods, stimulating consumption and dampening saving. Extending from Veblen’s conspicuous consumption theory, saving may also decrease when globalization leads to greater population mobility and fosters urbanization, thus enhancing the importance of consumption as a way to display wealth. In addition, financial globalization reduces credit constraints and allows households to save less. Using cross-country data from the United Nations (UN), the OECD, and other sources, this article finds evidence that household saving declines as globalization deepens, especially in the social and cultural dimensions.     

消费者自愿在线反馈行为的效用分析——基于马斯洛人类动机理论的考察

自愿的在线反馈行为是网络消费中的普遍现象，其背后隐藏着一个重要的经济学问题，即公共品的私人自愿供给。为了更深入地研究消费者自愿进行在线反馈的动因，并相应探讨私人自愿提供公共品的原因，本文以马斯洛人类动机理论为基础，建立了自愿在线反馈行为的效用模型，并利用网络问卷数据对模型进行验证。研究结果表明，自愿在线反馈行为是消费者在效用和成本之间理性选择的结果，公共品的私人自愿供给方式具有理性基础。本文拓展了传统效用函数的内涵，深化了对公共品私人自愿供给和马斯洛动机理论的认识，也为网络消费平台的信用体系建设提供了新思路。     

Modelling structural change in the UK housing market: A comparison of alternative house price models

This paper develops a new approach to the modelling of house prices in the UK, with housing demand being conditioned directly on consumers' expenditure rather than the determinants of expenditure. Conditioning on consumption ensures that the permanent income measure used in determining the level of consumption is consistently reflected in housing demand. The effects of financial liberalisation on the relative consumption of housing and non-housing goods and services are captured using the average loan-value ratio for first-time buyers. We also allow for financial effects via the real user cost of home ownership. House prices are assumed to adjust so as to clear the housing market. The proposed model is found to have structurally stable parameters across the housing market downturn since 1990. Statistical comparisons with the more conventional models in use at HM Treasury and the Bank of England during the early 1990s provide additional evidence in favour of our proposed approach.     

Public goods provision,redistributive taxation,and wealth accumulation

This paper presents an extension of a static model of public goods provision with redistributional taxation, as described by Uler [Journal of Public Economics 93 (3–4), pp. 440–453], as a dynamic model of wealth accumulation. Intertemporal consumption and saving behavior strongly affect the relation between redistributive taxation and charitable contribution. Indeed, the analyses presented herein reveal that more patience (i.e. higher saving) engenders a lower redistributional tax rate. However, the optimal redistributive tax rate is not zero because redistributive taxation improves the efficiency of providing public goods that are not improved by balanced growth. This paper fills the gap separating static analysis and dynamic analysis, and generalizes the results presented by static analysis.     

Direct versus indirect pigovian taxation

This paper considers the theory of optimal taxation in the presence of externalities when it is the uses of commodities in particular consumption processes which generate externalities, rather than the consumption of certain commodities as such. If the government is constrained to using ordinary commodity taxes (for reasons of imperfect information, costly control, etc.), it is demonstrated that there is a case for having taxes or subsidies on related goods in addition to a tax on the externality-creating commodity itself. The analysis also identifies the conditions under which related goods should be subsidized or taxed.     

Testing evolutionary theory of household consumption behavior in the case of novelty - a product characteristics approach

This article tests and extends the evolutionary theory of household consumption behavior, which is an alternative to neoclassical theory. Evolutionary economists offer novel approaches to the analysis of consumption behavior that emphasize the major role of learning in the evolution of consumer preferences and wants. As a possible inspiration for further progress in evolutionary thought, this paper examines the idea of consumer learning by studying the nature of what consumers should learn in the context of ‘novelty’. Our empirical results regarding novelty during the learning process show that consumers learn the ‘new characteristics’ of consumer goods, contrary to the Lancasterian approach, which suggests that the characteristics space of goods is fixed. We show that during the process of consumption, ‘consumer learning’ extends the characteristics space of consumer goods; this phenomenon is far from negligible and differs across product types. Moreover, our results show that the emergence of new characteristics cannot be modeled as a Poisson process because these new characteristics exhibit clear interdependence over time.     

Banning a risky product cannot improve any consumer's welfare (properly understood), with applications to FDA testing requirements

Conclusion Banning a product can never improve the well-being of consumers properly understood, that is, understood as individual consumers' prospective and subjective utility. This proposition remains valid even when risk is incorporated into the analysis. Risk of inefficacy or adverse side effects is simply another dimension of each good, like taste, size, or location, about which the consumer has preferences. Government restrictions have the same effect on consumer welfare regardless of the dimension of the good that is restricted; in this regard there is nothing special about risk.A simple model incorporating this approach to thinking about risky consumers' goods allows us to establish that the FDA's regulation of drugs (and likewise its regulation of medical devices), both in general and in several of its specific forms, has detrimental effects on consumers' welfare. Nothing in economic theory, correctly understood, supports the imposition of product bans such as those enforced by the FDA through its testing requirements. The bans help no consumer; they definitely hurt some consumers.For comments on a previous draft, my thanks go to Don Boudreaux, Randy Holcombe, Murray Rothbard, Andy Rutten, and anonymous referees, one of whom made especially detailed and constructive remarks.     

Subjective mortality expectations and consumption and saving behaviours among the elderly

Abstract Life expectancy is an important factor that individuals have to take into account for saving and consumption choices. The life‐cycle model of consumption and saving behaviour predicts that consumption growth should decrease with higher mortality rates. The aim of this study is to test this hypothesis based on data about subjective longevity expectations from the Health and Retirement Study merged with detailed consumption data from two waves of the Consumption and Activities Mail Survey. This study finds that an increase in subjective mortality by 1% corresponds to an annual decrease in consumption of non‐durable goods of around 1.8%.     

THE IMPACT OF GOVERNMENT DEFICITS ON PERSONAL AND NATIONAL SAVING RATES

This study provides fresh evidence on the responsiveness of private consumption and, by implication, saving to government deficits. It focuses on consumption and saving from 1981 to 1989, a period during which the personal saving rate was characterized as surprisingly unresponsive to high federal budget deficits. The authors attempt to determine whether this experience is consistent with previous behavior. They also test whether this experience refutes the Ricardian Equivalence Proposition (REP), under which consumers incorporate the government's intertemporal budget constraint into their own.
The analysis involves estimating two consumer expenditure functions based on two measures of current income capable not only of explaining expenditure behavior during the postwar period but also of successfully forecasting out of sample into the 1981–1989 period. Only one model is consistent with the REP, but neither model indicates that high government deficits caused the drop in the national saving rate experienced during the 1980s. Both models predict similar short-run responses to shifts in the government deficit. The responses depend crucially on the mix of tax and expenditure changes used to achieve the deficit shift. Both consumption and saving are more responsive to changes in government expenditures on goods and services than they are to changes in taxes.     

Cantillon and Ricardo effects: Hayek's contributions to business cycle theory

The distinctive line of argument in Hayek' business cycle theory can be characterized as a combination of the Cantillon effect monetary expansion on the price structure and the Ricardo effect of a shortage of consumption goods on the production of investment goods. This paper compares the original ideas of Cantillon and Ricardo with their adaptation and combination by Hayek. The differences help to expose fundamental problems in Hayek' theory and, more generally, in projects of integrating money and the business-cycle phenomenon with Walrasian general equilibrium theory.