投资者风险容忍度与家庭债务规模——后危机时代的微观证据

Investor′s Risk Tolerance and Household Debt——Micro-Evidence from the Post-Financial Crisis

在经济新常态的后危机时代背景下,探讨家庭风险容忍度是否变化及其对家庭债务规模的影响事关家庭资产配置与金融稳定。基于2013和2015年的家庭金融调查数据,以狭义和广义的股市参与两个客观指标、一个风险态度的主观指标衡量风险容忍度,实证检验发现:(1)总体上,家庭对股市的参与率较低,说明绝大多数的居民家庭是风险厌恶型。(2)居民家庭的受教育程度越高、收入和净资产越高,其对风险的容忍度在后危机时代越有可能增强。(3)工具变量的回归结果显示,投资者对风险的容忍度是影响家庭债务规模的重要因素。当投资者对风险的容忍度降低时,家庭的负债水平显著下降;而当投资者对风险的容忍度提高时,家庭的债务规模将不显著地增加。

Under the new normal economy of China,we firstly explore whether the household′s risk tolerance has changed in the post-financial crisis over time,and if it has changed,what characteristics of families are the most vulnerable to such changes.Secondly,we further analyze the impact of changes in risk tolerance on household debt.Risk tolerance is measured by narrowly and broadly stocks holding indicators and investors′subjective risk attitude.Based on the 2013 and 2015 China household financial survey data,this paper finds that:(1)investors as a whole are risk-averse,which is indicated by the low stock market participation.(2)the better educated and older investors,households with more members and higher net assets may have a greater tolerance for risks.(3)based on the pro⁃pensity matching score method,we find that changes in investor′s risk tolerance over time are an important factor affecting the absolute levels of household debt.When investors′tolerance for risk increases,he will possibly accumulate more household debt significantly.