我国居民资产配置行为的随机模拟研究

The Simulative Research of the Family Asset Choice in China

近两年来,证券市场高涨下的居民资产配置行为备受关注。本文以最优资产选择模型为基础,讨论了2005年7月至2007年5月利率、风险偏好、沪深股市相关性、股市收益波动与居民资产选择的数量关系,采用Monte-Carlo与Bootstrap等方法模拟牛市时期各因素对资产配置行为的影响。研究发现:牛市时期以储蓄存款为主的单一型金融资产结构格局并未改变;从收益率的角度,股市对储蓄的影响比利率大;从风险的角度,利率对储蓄的影响比股市大;利率、沪深股市的之间的相关性大小对居民储蓄投资的影响不容忽视。

Over the past two years ,lots of people engaged in studing the problem of assets allocation during the period of bull stock Market. On the basis of the optimum asset portfolio model,this paper analyzes quantity relation between family asset choice with interest rates, risk preferences, the relevance of Shanghai and Shenzhen stock markets, stock market volatility and return during July 2005 to May 2007. At the period of bull stock Market, with the methods Monte-Carlo and Bootstrap,the paper simulates the impact on the saving deposit of such factors as relation between interest rate and Stock Market, relation between Shanghai stock market and Shenzhen Stock market,the return and volatilivty of interest,the return and volatility of stock market.The results indicates that,（1） at the period of bull stock Market,the major means of household investment is still saving deposit. （2）viewing at the return , the influence on saving Of stock market is bigger than influence on saving of interest rate.（3） viewing at the volatilivty, the impact on saving of stock market is smaller than impact on saving of interest rate.（4）the quantity of the relation between interest rate ,Shanghai Stock Market and Shenzhen Stock Market should not be neglect in analysis the behavior of Customer investment on saving deposit.