资产选择、风险偏好与储蓄存款需求

Portfolio Choice, Risk Preference and the Demand for Savings Deposit

本文以消费者最优资产选择模型为基础,采用局部均衡分析方法探讨了通货膨胀、股市收益波动、消费者风险偏好对储蓄存款需求的影响。2001年6月以后,通货膨胀方差下降,股市持续下跌,股市收益率下降,收益率方差也有所下降,但货币需求却加速增长。本文根据不同的相对风险回避指数,模拟了利率、通货膨胀、股市收益率、股市收益率方差等因素对2001年6月至2005年9月平均储蓄存款的影响。在适当的相对风险回避指数下,储蓄存款增加的30%左右可以由这些因素解释;如果不考虑GDP等规模变量,股市收益率下降是导致平均货币需求增长的主要因素。

On the basis of partial equilibrium, an asset portfolio model is provided to analyze the impact of interest rate, inflation, the volatility of stock market return and consumer＇s risk preference on the demand for savings deposit. From June 2001 on, the inflation and the variation of CPI came down, the return of stock market and its variation declined as well while the index of stock market dropped off; however, the demand for money （including savings deposit） has seen an accelerating trend of growth. According to various index of relative risk aversion, simulation results are provided to clarify the impact on the average demand for money between July 2001 and September 2005 of such factors as interest rate, inflation, the return of stock market and the volatility of stock market. Nearly 30% of the increase savings deposit could be explained by these factors corresponding to a reasonable value of relative risk aversion. If the scale variable such as GDP were not considered, the decreasing return of stock market is the dominant factor to explain the accelerating growth demand for money in the specified sample.