消费习惯与资产价格波动研究

Research on Habit Formation and Volatility of Asset Prices

投资者的主观属性对于资产价格的决定起着重要的作用。消费习惯是投资者的一种重要的行为属性。习惯形成模型假定消费者的效用不仅仅来自于当前的消费水平,还来自于过去的相对消费水平。投资者在做出投资决策时不仅仅要考虑未来每一期的消费水平,还要考虑已经形成了的消费习惯,因而会影响资产的均衡价格。本文将股票的均衡价格表示为习惯参数的函数,进而研究消费习惯的变动对于股票价格波动的影响,并比较中美股市波动的差异性。文章使用GMM方法估计得到了我国投资者的习惯参数,结果表明我国投资者对过去消费具有强烈的依赖性,且这种依赖程度要大于美国的投资者。文章还采用数值模拟的方法研究了消费习惯的波动对资产价格波动的影响。模拟结果表明我国投资者消费习惯的较小波动,会引起股票价格的大幅波动,并且这种波动幅度要大于美国投资者消费习惯的波动所引起的股票价格波动的幅度。

Investors＇ subjective attributes directly determine the asset prices.Habit formation is one of the most important behavior attributes.The model based on habit formation assumes that the utilities of consumers come from not only the current level of consumption,but also the previous levels. Investors should consider both the consumption each period in the future and the habit formation when they are making investment decisions,which would affect the equilibrium prices of assets.In this paper,the equilibrium price of stock is expressed as the function of consumption habit,based on which we study the influence of the change of habit on the volatility of asset prices and compare the differences between China and the United States.We estimate the habit parameter by GMM and study the influence of consumption fluctuation on asset price volatility by numerical simulation.The results show that investors in China have stronger dependence on previous consumption than the Americans,and a small fluctuation of consumption habit will also cause greater volatility of stock prices in China.