财产和生命双重风险约束下的家庭资产选择——基于地震风险的研究

Household’s Portfolio Choice with the Risks of Wealth and Life——A Study Based on Earthquake Risk

现实中不少事件会同时威胁人们的财产和生命安全,而关于这种财产风险和生命风险叠加的冲击对人们行为影响的研究仍然比较缺乏。本文借助地震灾害这一外生冲击,构建内生化家庭资产选择模型,分析财产风险和生命风险对风险金融资产持有比例的影响,并基于微观家庭调查数据检验模型结论。研究发现:地震的“财产风险效应”导致家庭的风险厌恶程度随地震震级的增加而提升,进而减少风险金融资产持有;地震的“生命风险效应”导致死亡概率增加,进而增加风险金融资产持有。当地震引发的死亡概率较小时,“财产风险效应”起主导作用;当地震引发的死亡概率较大时,“生命风险效应”起主导作用;这两种效应共同导致家庭风险金融资产持有比例与地震震级之间呈正“U”型关系。经验证据支持了这一正“U”型关系。进一步细分金融资产发现,货币持有与地震震级之间存在倒“U”型关系,股票等风险投资行为与地震震级之间具有正“U”型关系。地震导致的地区文化特征变化以及个人经历是其影响家庭资产选择的重要渠道。在考虑了选择偏误、遗漏变量等内生性问题后,本文的实证结果基本稳健。本文的研究对理解人们在多重风险约束下的行为规律具有重要意义。

In reality, many events could threaten people’s property and life safety at the same time, but there is still lack of research on the impact of the superposition of property risk and life risk on people’s behavior.By building a theoretical model of the optimal portfolio choice with the seismic disasters, this paper analyzes the effects of wealth risk and life risk on the household’s portfolio choice, and tests the theoretical results using the micro household survey data.This paper finds that the effect of the wealth risk tends to reduce the proportion of the risky assets in the household’s portfolio by decreasing the risk aversion.The effect derived from the life risk provides an incentive to hold a greater proportion of the risky assets, which is the result of a greater probability of death.When the magnitude of earthquake is small, the effect of the wealth risk is dominant;otherwise, the effect of life risk will dominate.This contributes to the U-shaped relationship between the earthquake’s magnitude and the proportion of the risky assets.Our empirical evidence supports the main result.This paper also finds the inverted U-shaped relationship between the earthquake’s magnitude and the proportion of money, and the U-shaped relationship between the earthquake’s magnitude and the proportion of risky financial assets such as stock.Changes in regional cultural characteristics induced by earthquakes and individual earthquake experience, are the channels through which earthquakes affect household’s portfolio choice.The results are robust to the selection bias, omitted variables, and other endogenous problem.The main results are important for understanding the household’s portfolio choice with multiple risks.