基于马尔科夫转换模型的城镇居民消费行为研究

The Research on the Consumption Behavior of China's Urban Residents and the Wealth Effects Based on Markov Regime Switching Model

居民消费不足一直是近年来影响我国经济持续稳定发展的隐患。本文采用双区制马尔科夫转换模型对我国城镇居民的消费行为进行的实证考察发现,居民可支配收入是影响居民消费的主要因素,但房地产资产并不具备显著的财富效应,而股票市场不仅没有财富效应,反而对居民消费具有一定的挤出效应。我们认为,股票市场之所以对居民消费具有挤出效应,并不是因为居民消费对股票财富不敏感,而是由于长期以来居民从股市中得到的资产性收入少。因此,拉动居民消费需求不仅应该提高其可支配收入,更应该让居民从股市中感受到真实的财富增值。

The deficiency of household consumption has been the pitfall that affects the stable and sustainable development of China＇s economy. In this paper we employ a Markov switching model with two regimes to study the consumption behavior of China＇s urban residents, and the empirical results find that the residents＇ disposable income is the major factor that affects the household consumption, but the real estate assets do not have a significant wealth effect, and the stock market crowds out the consumption to some extent, rather than has any wealth effects. We believe that the reason of the crowding--out effect of the stock market is not that the consumption is insensitive to the stock wealth, but the residents have gained little assets returns in the long term. Therefore, to promote the household consumption needs not only to increase the residents＇ disposable income, but also to let them feel the real appreciated value from the stock market.