中国家庭风险资产配置的理论与实证——基于信息不确定性视角下的研究

The theory and evidence of Chinese household risk asset allocation from the perspective of information uncertainty

本文研究了理性疏忽下(rational inattention)家庭最优资产配置,从理论推导出了信息不确定性与家庭最优资产配置的关系,并运用中国家庭金融调查(CHFS)数据进行了实证,选择自身信息处理能力和外在信息获取能力作为信息不确定性下降的渠道,研究了两者对家庭金融市场参与和家庭资产选择的影响.结果表明两者的增强不仅提高了家庭参与金融市场的可能性,而且也提高了家庭持有风险资产的比例.实证结果也进一步发现,信息处理能力越强的家庭越倾向于参与股票这类高风险市场,同时也会提高家庭持该类资产的比例;外在信息获取能力对家庭风险资产配置的影响在股票和基金资产上表现为倒U型关系,在债券资产上表现为U型关系,实证结果还发现自身内在信息处理能力与外在信息获取能力在影响家庭风险资产配置上存在着一定的替代效应.

This paper investigates the optimal allocation of household assets under rational inattention.We provide a model to explore how the information uncertainty affect asset allocation.Furthermore,we quantitatively analyze the relation between the reduction of information uncertainty and household portfolio by employing the data of CHFS.Meanwhile,we use the ability of information process and information acquisition as the reduction of information uncertainty.The study suggests that both of them can increase the possibility of households participating in the financial market and the proportion of households holding risky assets.The empirical results further find that the household with stronger information process abilities is more inclined to hold high-risk markets such as stocks.The relation between external information acquisition ability and the allocation of family risk assets is shown as an inverted U-shaped.The results also find that the own internal information processing ability and external information acquisition ability have a substitution effect in affecting the allocation of family risk assets.