中国居民资产配置效率的门限效应研究:金融约束视角

The Threshold Effect of Chinese Residents' Asset Allocation Efficiency:Financial Restraints Perspective

本文基于金融约束视角,结合微观调查数据,并运用门限回归法和两阶段最小二乘法,对我国居民资产配置效率的门限效应问题进行研究。结果表明,从流动性约束、房产持有及商业资产持有三个角度分析居民面临的金融约束,居民资产配置效率的非对称门限效应在不同样本中都显著存在。居民持有资产的风险水平越高,带来的投资收益增量部分越低。同时,持有房产在缓解居民金融约束的同时,资产风险增加对于居民资产配置收益的促进作用仍然下降,受流动性约束影响低的居民以及持有商业资产的居民均能够获得更高的资产配置收益。在不改变金融约束的框架下,以商业性资产替代房产作为主要资产种类能够从微观层面增强经济稳定性,降低系统性金融风险,优化收入结构,提升资产配置效率。

From the financial restraint perspective,this paper analyzes the threshold effect of Chinese residents'asset allocation efficiency with micro survey data.Empirical results from perspectives of liquidity constraint,owning real estate and commercial assets show that there is significant asymmetric threshold effect in Chinese residents'asset allocation efficiency across different samples.The higher the assets held by the residents,the lower is the margin of investment return.The results also indicate that the residents with lower liquidity constraint can obtain higher asset allocation benefit.We also find that real estate plays a small role in enhancing residents'asset allocation benefit whereas it crowds out other types of assets.Under the framework of financial restraint,substituting real"estate for commercial assets can stabilize the overall economy from micro aspects,lower systematic financial risk,better income structure,and improve asset allocation efficiency.