中国家庭的风险偏好——基于微观家庭金融调查数据的实证研究 阅读全文
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Title | Risk preference of households in China——evidence from China Household Finance Survey
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作者 | 侯蕾 宋信息 游宇 |
Author | Hou Lei,Song Xinxi and You Yu |
作者单位 | 首都经济贸易大学国际经济管理学院 |
Organization | Capital University of Economics and Business |
作者Email | f91yy@163.com |
中文关键词 | HARA CRRA 习惯形成 风险偏好 |
Key Words | HARA; CRRA; Habit Formation; Risk Preference |
内容提要 | 中国家庭风险偏好是重要的研究问题。但由于数据难于获得,基于中国微观家庭金融数据的实证研究并不多见。本文运用中国家庭金融调查(China Household Finance Survey, CHFS)的面板数据,研究了中国家庭风险偏好的性质和系数大小。以微观家庭的金融资产投资数据为基础,本文验证了风险偏好的效用函数形式并计算了相对风险厌恶系数(coefficient of relative risk aversion)的具体数值。结果表明,中国家庭的风险资产投资是其总金融财富的线性函数,从而确认了调和绝对风险厌恶 (Harmonic Absolute Risk Aversion, HARA) 的风险偏好性质。进一步地,在HARA的风险偏好类别下,中国家庭的金融资产投资行为更符合常相对风险厌恶 (Constant Relative Risk Aversion, CRRA) 而非习惯形成 (Habit formation, Habit) 的效用函数。应用中国股市预期风险溢价数据的验证也不支持Habit。此外,相对风险偏好系数呈现异质性,其均值约为4.5,高于宏观和金融领域现有文献对发达国家相对风险偏好系数的估计。 |
Abstract | The shape and magnitude of risk preference of China households, although important, have rarely been explored due to lack of detailed household data. Using panel data from China Household Finance Survey (CHFS), we investigate the hypothesis of harmonic absolute risk aversion, and recover the magnitude of relative risk aversion. We find that households' expenditure on risky asset is a linear function of total financial wealth, supporting HARA assumption. Further analysis reveals that among HARA class, CRRA is favored against difference habit model. The cyclical behavior of expected stock return in China also rejects habit model. The recovered relative risk aversion is quite heterogeneous across households, and its average magnitude is around 4.5, higher than the value postulated for advanced economies in macro and finance literature. |
文章编号 | WP1400 |
登载时间 | 2019-07-30 |
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