居民消费、自然储蓄与资产价格

Nature Deposit,Consumption and Risky Asset Pricing

凯恩斯的储蓄-投资恒等式忽视了消费者的储蓄行为的重要信息,是导致CCAPM遭遇实证难题的重要原因之一,本文结合储蓄理论来改进CCAPM。储蓄理论的研究对象是居民可支配收入中既不购买消费品,也不购买投资品的"冗余"部分。这些收入"冗余"的数量与储蓄收益率(利率)无关,给消费者带来了直接的效用,笔者称之为自然储蓄。本文把自然储蓄加入到标准CCAPM的理论框架内,重新讨论自然储蓄、消费和资产价格之间的长期均衡关系,发现除基于消费的风险溢价以外,传统股权溢价还包括了基于储蓄的风险溢价,最后利用中国经济数据进行了实证检验,为理论模型提供了经验证据的支持。其他结论如下:自然储蓄抑制了消费者对金融资产的需求,这为发展中国家普遍出现的"超额储蓄"与欠发达金融市场并存的现象提供一种新的理论性解释;我国消费者的储蓄效用弹性远高于消费效用弹性,说明储蓄政策是比消费政策更为有效的资产市场调控手段。

Keynes＇ saving-investment identical equation ignore much information contained in consumers＇ saving behaviors, which is an important reason leading to CCAPM＇s puzzles. This paper attempt to rebuild CCAPM by syncretizing saving theory. The object of Saving theory is the ＂pure surplus＂ in consumers＇ governable incomes, which is existed as consumption goods , so their amount is independent with interest rate. This paper defines savings acting as consumption goods as nature saving, then build a model to analyze the equilibrium relationship among nature deposits, consumption and asset prices, after nature saving is put into repre- sentational consumers＇ basic utility function.. A empirical test using Chinese economic data is carried on at last, which find some reliable evidences to support foregoing theoretic model. The main conclusion is traditional equity premiums should be depart into two parts, premiums based on consumption and premiums based on nature saving, which help solve the equity premium puzzle and equity volility puzzle. It is also imply that na- ture saving restrain demand for risky assets, which provide a new theoretic explanation for the fact that extra saving and underdeveloped financial markets coexist in developing countries. It is also implied that Chinese consumer＇s deposits elasticity is much larger than consumption elasticity, which means deposits policies should be more effective than consumption policies in affect asset markets.