中国资产市场财富效应的实证研究——基于平滑转换回归模型的分析

Empirical Research on the Wealth Effect of Chinese Asset Markets —— The study Based on Smooth Transition Regression Model

从财富效应的稳定性视角出发,利用我国2001～2009年的月度数据,采取平滑转换回归方法就资产价格波动对消费的影响效应进行了研究。结果表明,随着收入水平的区制转换,我国资产价格与消费之间呈现V型的变化趋势。也就是说,当滞后一期的人均可支配收入处于低区制状态时,资产价格对消费的影响效应为负;当处于高区制状态时,资产价格对消费的影响效应为正。

From the perspective of the stability study,the paper uses the Chinese monthly data from 2001—2009 and implements smooth transition regression method about the effect of asset price fluctuation on consumption.The result shows that the relationship between asset prices and consumption is of dynamic V-trend of regime switches.When per capita disposable income of one lag period is in a low-regime state,the impact of asset price on consumption is negative;When per capita disposable income of one lag period is in a high-regime state,the impact of asset price on consumption is positive.This results of paper provides an important theoretical basis for a reasonable regulation on asset pricest,o promote consumption.