摘要
基于微观层面研究了家庭主观预期对家庭房产、风险资产和无风险资产配置比例的影响机制,并导出三者间的直接联动关系.应用中国家庭金融调查(CHFS)数据和联立Tobit模型估计分析发现,家庭预期利率上升会同时增加无风险资产和风险资产的配置,但减少房产配置;预期风险资产收益下降会减少风险资产配置;预期房价上升会增加房产投资但减少风险资产配置.风险偏好型家庭会加大风险资产配置,且减少房产配置;而风险规避型家庭相反.3类资产配置比例之间存在直接的“挤出效应”,且表现出明显的非对称性:房产和无风险资产对风险资产的“挤出效应”强于各自反向的“挤出效应”,而无风险资产对房产的“挤出效应”在经济意义上强于反向的“挤出效应”.主观预期与风险偏好变量会通过资产配置间的直接影响渠道进一步影响家庭各类资产的配置比例.本研究揭示了中国家庭追求更安全的无风险资产和更高收益的房产投资,且弱化风险资产配置的普遍投资模式,这对政府预期管理与宏观调控、财富管理多投资渠道推荐和家庭合理主观预期形成等具有实际意义.
This paper studies the mechanism by which households’subjective expectations on the future uncertainty affect the allocations of real estate,risk assets and risk-free assets,as well as the direct linkages among the three of them from the micro-theoretic aspect.Applying the data of China Household Finance Survey(CHFS)and the simultaneous Tobit estimation and analysis,the paper finds that the expected interest rate increase would upgrade the risk-free or risky assets allocations but reduce the real estate allocation,and that an expected decline in the earning rate of risky assets would decrease the allocation share of risky assets.The expected increase in house prices would make the households increase their investment in real estate and decrease their investment in risky assets.Risk-loving households will increase the allocation of risky assets and reduce that of real estate while risk-averse households will do the opposite.Further,there is a direct“crowding-out effect”among the three types of asset allocations with obvious asymmetry:the crowding-out effects of real estate and risk-free assets on risky assets are greater than the reverse,and the crowding-out effect of risk free assets on the real estate is economically greater than the reverse.Subjective expectation and risk preference can further affect the asset allocations through the direct channels among the three assets.This reveals the general investment mode in which the Chinese families generally pursue the real estate investment with higher yields and safer risk-free assets instead of the risky asset investment.The conclusion of this paper has guiding significance for the expectation management and macro-control of the government,multi-channel investment recommendation of the wealth management sectors and the formation of reasonable subjective expectation of the households.
作者
周先波
代川
潘哲文
毕青苗
ZHOU Xian-bo;DAI Chuan;PAN Zhe-wen;BI Qing-miao(Lingnan College,Sun Yat-sen University,Guangzhou 510275,China;School of Economics,Zhejiang University of Finance&Economics,Hangzhou 310018,China)
出处
《管理科学学报》
CSCD
北大核心
2023年第1期116-141,共26页
Journal of Management Sciences in China
基金
国家社会科学基金资助重大项目(21ZDA036)
国家自然科学基金资助重大项目(71991474)
国家自然科学基金资助项目(71773146
72173142
71973157)。
关键词
主观预期
风险偏好
资产配置比例
联立Tobit模型
挤出效应
subjective expectation
risk preference
household assets allocation
simultaneous Tobit model
crowding-out effect
