我国股市财富效应对居民消费影响的实证检验——基于生命周期—持久收入理论扩展模型的新视角

基于生命周期-持久收入(LC-PIH)理论,本文建立居民收入、消费支出、股市市值和购房支出几个变量之间的实证检验模型,以研究我国股市的财富效应。选取季度和月度频率数据,测算我国2003~2018年全口径居民消费和2013~2018年乘用车消费的股市财富效应,实证结果发现全口径居民消费主要受收入的影响,股市的财富效应不显著,检验结果符合持久收入说;乘用车消费除受收入的影响之外,股市的财富效应也显著。基于实证结果,并结合发达国家较为普遍存在的财富效应,提出三点建议:一是稳步提高居民可支配收入,是促进我国消费平稳增长、发挥消费拉动经济增长基础性作用的根本;二是要发挥出股市在消费中的财富效应,需改变我国股市长期存在的牛短熊长困境;三是应进一步提高我国居民通过养老金和企业年金等间接渠道参与股市的比重,使养老金、企业年金等长期资金与资本市场形成良性互动。

The Empirical Test of Stock Market Wealth Effect on Household Consumption in China: A New Perspective Based on A LC-PIH Extended Model

Based on the literature on wealth effect, this paper establishes an empirical test model between household income, consumption expenditure, stock market value and residential real estate purchasing expenditure based on the life cycle-permanent income(LC-PIH) theory to study the stock market wealth effect of China. We use the quarterly and monthly frequency data to empirically test the stock market wealth effect of China’s full-caliber household consumption from 2003 to 2018 and China’s passenger cars’ consumption from 2013 to 2018. It is found that the consumption of full-caliber households is mainly affected by income, and the stock market wealth effect is not significant. The empirical test results are consistent with permanent income hypothesis. As for passenger cars’ consumption, in addition to the impact of income, the wealth effect of the stock market is also significant. Based on the above empirical results, combined with the fact that the stock market wealth effect is more prevalent in developed countries, the paper propose three recommendations: First, steadily increasing the disposable income of households is crucial to promote the steady growth of China’s consumption and to let consumption playing the fundamental role of driving economic growth. Second, to facilitate the wealth effect of the stock market, we must fundamentally change "the long-term bear market and short-term bull market" problem that existing a long time in China’s stock market. Third, we should further promote households indirectly participating in the stock market through pension funds and enterprise annuities, so that the long-term funding such as pension funds and annuities can form a positive interaction with the capital market.