摘要
利用1978～2005年的相关数据，以我国城镇居民和农村居民为分析对象，采用利率的条件方差来度量利率的不确定性，使用GARCH—M模型分别刻画我国城市金融市场和农村金融市场的利率风险，并进一步研究了利率风险对我国城镇居民和农村居民消费的影响。实证结果表明，利率风险对我国城镇居民的人均消费具有抑制作用，而对农村居民的人均消费具有滞后的促进作用；在负利率和零利率的年份中，城镇居民和农村居民的人均消费均对利率风险过于敏感，但实际消费并不完全与之相吻合。因此，实施稳健的货币政策，规避利率风险，对拉动消费、促进经济增长具有积极的作用。
With the correlative data of real interest rate and consumption between 1978 to 2005, focusing the urban and rural residents in China, the paper uses the conditional variance to measure the uncertainty of interest rate and adopts the GARCH - M model to calculate the in- terest rates risk in ~ and rural financial markets to reveal the influence of the interest rates risk on the urban and rural residents consump- tion. The result comes out to be three aspects. Firstly, the interest rates risk has the restraint to the urban residents consumption; Secondly the risk has the hysteretic promotion in the rural markets. The phenomenon ascribed to the weak risk awareness of the rural residents and the rural imperfecting markets. Finally the result also shows that during the negative and naught interest rate years, even per capita consumption of the urban and rural residents are sensitive to the interest rates risk, but the actual expenditure is out of correspondence.
出处
《山西财经大学学报》
CSSCI
北大核心
2009年第1期21-26,共6页
Journal of Shanxi University of Finance and Economics
基金
农业部软科学研究课题"农村金融改革跟踪研究"(项目编号:200826)的阶段性成果
关键词
利率风险
不确定性
消费
预防性储蓄
interest rate risk
uncertainty
consumption
precautionary saving
