居民家庭金融资产组合收益风险与宏观经济联动性研究

Study on the Linkage between Household Financial Assets Portfolio Risk and Macro-economic Variables

本文构建了一个同质性的居民家庭金融资产组合,并讨论其收益和风险与宏观经济间的关系,使用数据为2003-2015年的月度数据,结果发现利率波动、CPI及房地产行业景气情况均显著影响家庭金融资产组合的收益,CPI的变动滞后一期于家庭金融资产组合风险的变动。

This paper constructs a homogeneous household financial assets portfolio and discusses the relationship between the portfolio＇s risk and return and the macro-economic variables.Here uses the monthly data from 2003 to 2015.The results show that all of the interest rate fluctuation、CPI index and the prosperity of real estate industry have significant effects on the return of the household financial assets portfolio and CPI index fluctuates one period lag in the risk measure.