政策不确定性、消费行为与股票资产定价

Policy Uncertainty,Consumption Behaviors and Asset Pricing

政策不确定性是股票市场的重要定价因子。本文将内生的消费习惯形成因素引入包含政策不确定性资产定价模型中,通过参数校准、静态比较、动态模拟和数值求解等方法,探讨了政策不确定性影响股票价格的传导机制。研究发现:政策不确定性通过随机的政策调整成本影响政府决策,进而影响随机贴现因子波动和股票价格;政策不确定性通过影响企业利润率、家庭消费和风险资产投资比例,进而影响企业账面价值和股票价格;政策不确定性对股票价格的影响程度受到习惯形成、风险厌恶系数、风险资产投资比例等变量的影响。

Policy uncertainty is an important pricing factor in stock market. In this paper, we introduce the endogenous consumption habit formation to an asset pricing model with policy uncertainty. Via parameter calibration, static analysis and dynamic simulation, we investigate the channels through which the policy uncertainty affects stock prices. Our first finding is that policy uncertainty affects governments＇ deci- sion-making through stochastic adjustment costs, which then influences the fluctuations of discount factors and stock prices. Second, policy uncertainty affects corporate profit margins, household consumption, and investment decisions through expectation, which further affects corporates＇ book values and stock prices. Last but not least, the impact of policy uncertainty on stock prices depends on the habit formation, risk a- version and the ratio of risky assets in the investment portfolio.