我国居民部门资产替代行为研究
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摘要
近年来,我国金融化水平的提高和房地产行业的兴起,为居民手中的大量储蓄提供了多种资产选择。居民的储蓄如何在各种金融资产和房地产之间分配?各种资产之间的相互关系怎样?是什么原因导致居民在各种资产之间取舍?本文的居民资产替代行为研究就是要回答这些问题,对这些问题的回答有助于我们了解金融资产规模的变动机制,有助于我国维护金融稳定和控制房地产价格增长速度。
本文的居民部门资产替代行为研究,主要包括两大部分内容,其一是资产替代测度研究；其二是资产替代原因研究。文中第二章是资产替代测度文献综述。第三章是资产替代相关理论研究,包括资产替代的定义及性质等。第四章是我国居民部门资产替代测度研究,包括资产替代理论模型推导、资产替代测度方法设计、我国居民部门资产替代实证研究等。第五章是我国居民部门资产替代特征分析以及综合指数的构建,该章是对第四章实证研究结果的总结分析。第六章是资产替代原因研究,包括分类资产替代原因研究和资产替代总规模原因研究。第七章是问题总结与政策建议。
通过第二章的总结,本文发现已有文献对于资产替代测度的研究有一个共同的缺陷,就是将资产等同于一般商品,只研究由于资产收益率或者资产使用者成本变动引起的各种资产之间的替代,忽略了其他影响资产需求的因素对资产替代的影响,比如资产的相对风险和相对流动性等,因此已有文献测度出来的资产替代是不全面的。本文设计的资产替代测度方法,克服了已有文献的这一缺陷。第四章中,本文在Chetty(1969)理论模型的启发下,自行推导出新的资产替代理论模型。然后依据第三章提出的资产替代定义,利用资产替代理论模型中系数设计了资产替代测度方法,并用该资产替代测度方法,对1999年第1季度至2009年第3季度我国居民部门的储蓄存款、股票和房地产的替代进行了测度。本文设计的资产替代测度方法与以往文献使用的替代弹性系数方法相比,有两个优势,一是利用本文设计的方法测度出来的资产替代与替代只改变某种资产的规模,但不改变资产总规模的本质相符,而如果用替代弹性系数很难做到这一点；二是利用本文设计的方法测度的资产替代囊括了各种原因引起的资产替代,而不像以往文献那样只测度收益率或使用者成本引起的资产替代,比以往文献测度的替代更加全面。文中的资产替代定义、资产替代理论模型的推导以及资产替代测度方法设计都体现了本文的创新性。
第四章对我国居民部门资产替代测度得出的主要结论有：1.储蓄存款与其他资产是替代关系,且储蓄存款单位变化对房地产的替代程度大于对股票的替代程度；2.房地产与股票是互补关系,且单位房地产变化引起的股票的补充变化程度大于单位股票变化引起的房地产的补充变化程度。
第五章主要是对第四章测度的资产替代结果进行总结分析,为更好的描述资产替代强度的动态变化,在本章还构建了资产替代综合指数体系,该指数体系的构建也是本文的创新点之一。
第六章对资产替代原因进行了实证研究,得到了一些具有政策性指导意义的结论,比如CPI和利率的变动对居民购买房地产的影响大于对其购买股票的影响等等。
第七章对前六章研究中发现的问题进行总结,并提出建议。本文研究发现居民部门资产替代存在的主要问题有：1.储蓄存款依然是居民的主要资产选择,资产多样化尚未实现,这将不利于股市稳定；2.居民对房地产的需求主要还是自住需求,需求刚性较强,房价调控任务艰巨；3.房地产已经表现出一定的投资需求,只是其投资属性不如股票强；4.当前房地产价格已经高到一定水平,将导致居民增加储蓄或增加股票持有量,这将不利于扩大内需和股市稳定,遏制房地产价格增速势在必行；5.我国居民对股票需求具有较明显的投机性；6.通货膨胀率和房地产价格的提高,增加了我国房地产价格上涨压力和股市的波动等等。
In recent years, the fast development of China's financial and real estate offers a variety of assets selection for the large number of saveings held by residents of China. How to distribute these savings between various financial assets and real estate asset? What are the relationships among these assets? Which reason causes residents to substitute one asset with another? The research of this paper on the residents assets substitutability will answer these questions. And the answers of these questions will not only help us to understand the mechanism of changes in financial assets scale, but also have a great significance on our country's maintaining financial stability and controling of real eatate price growth.
The research of this paper on the residents assets substitutability can be devided into two parts, the first is research on the measure of assets substitutability and the second is the reason research on assets substitutability. Chapter II is the literature reviews on assets substitutability. Chapter III is the theory research on assets substitutability, incluing the definition of assets substitutability and the properties of assets substitutability, etc. Chapter IV is the measure of our country's residents asset substitutability, including the derivation of asset substitutability theoretical model, the method of measure asset substitutability and the empirical research of our country's household sector asset substitutability. Chapter V is the construction of synthesize index on character analysising of oue country's household sector asset substitutability, it is a summary of chapter IV's empirical results. Chapter VI is the causes analysising of asset substitutability, including classfied assets substitutability reasons and total size of assets substitutability reasons. Chapter VII is the problems summary and policy recommendations.
Via the summary of chaper II, there is a common defect in the existing literatures in the assets substitutability measurement which is that equate assets with ordinary commodities. The existing literatures only studied on the substitutability leaded by the changes of returns or user costs, and ignored other factors which also have impacts on assets substitutability such as relative risk and relative liquidity of the assets and so on. So the measurements of assets substitutability in existing literatures were not comprehensive. And in this paper a new measure approach will be constructed which will overcome this defect. In chapter IV, inspired by the theoretical model of Chetty (1969), a new theoretical model of assets substitutability is self-derived. Then based on the definition of assets substitutability in chapter III, a new measure approach of assets substitutability is designed by the coefficients in theoretical models. And then empirical analysis is done among savings, stocks and real estate asset use data of our country's from1st Quarter1999to3rd Quarter2009. The measurement approach of assets substitutability in this paper has two advantages compared with other methods. The first one is the result satisfied the law of total assets still have the same size. And this is consistent with the essential meaning of substitutability. But the substitie elasticity is difficult to do this. The second is that the method in this paper measure assets subtititutability caused by all reasons, which is different from the existing method which measure the substitutability caused by the changes of returns or user costs only. So it is more comprehensive. The definition of assets substitutability, the derivation of theoretical model on assets substitutability and the design of assets substitutability measurement, all of these embody the innovation ideas of this paper.
The main conclusions after the measuring our country's household sector assets substitutability in chapter IV are as follows. First, saving substitutes other assets, and the unit changes of savings substitutability in real estate asset is greater than stock; Second, there is a complementary relationship between real estate asset and stocks, and the additional changes of stock asset caused from unit changes of real estate asset is larger than the contrary.
Chapter V is a summary of chapter IV's assets substitutability empirical results. In order to have a better describe of the dynamic changes on assets substitutability's intensity, in this chapter a synthesize index system of assets substitutability is constructed, and also this is one of this innovations.
Chapter VI is empirical research on the reasons of assets substitutability, then obtain some guidance of policy conclusions. Such as the changes of CPI or rate will lead a greater impact on the residents's purchasing of real estate asset than purchasing of the stock asset.
Chapter VII is the summary of the first six chapters and some recommendations are made. The study of this paper has found some problems on household sector assets substiton just as follows. First, Savings is still the main choice of residents's asset selection, the diversification of assets has not been achieved and this will helpless for the stablitity of the stock market; Second, the real estate needs of the residents are mainly home use, demand stronger rigidity, So the real estate price control task is arduous; Third, the real estate asset has shown some investment demand property, but it's investment demand property still weaker than stock; Fourth, the current real estate prices have been achieved a certain high level, this will lead residents to choice savings or stocks which is helpless for domestic demand expand and the stable of stock market, it is imperative to curb the fast growth of property prices; Fifth, the stocks demand of our country's residents is obvious speculative; Sixth, inflation and real estate price increase will lead a growth pressure in real estate asset and stock market fluctuations, etc.
本文的居民部门资产替代行为研究,主要包括两大部分内容,其一是资产替代测度研究；其二是资产替代原因研究。文中第二章是资产替代测度文献综述。第三章是资产替代相关理论研究,包括资产替代的定义及性质等。第四章是我国居民部门资产替代测度研究,包括资产替代理论模型推导、资产替代测度方法设计、我国居民部门资产替代实证研究等。第五章是我国居民部门资产替代特征分析以及综合指数的构建,该章是对第四章实证研究结果的总结分析。第六章是资产替代原因研究,包括分类资产替代原因研究和资产替代总规模原因研究。第七章是问题总结与政策建议。
通过第二章的总结,本文发现已有文献对于资产替代测度的研究有一个共同的缺陷,就是将资产等同于一般商品,只研究由于资产收益率或者资产使用者成本变动引起的各种资产之间的替代,忽略了其他影响资产需求的因素对资产替代的影响,比如资产的相对风险和相对流动性等,因此已有文献测度出来的资产替代是不全面的。本文设计的资产替代测度方法,克服了已有文献的这一缺陷。第四章中,本文在Chetty(1969)理论模型的启发下,自行推导出新的资产替代理论模型。然后依据第三章提出的资产替代定义,利用资产替代理论模型中系数设计了资产替代测度方法,并用该资产替代测度方法,对1999年第1季度至2009年第3季度我国居民部门的储蓄存款、股票和房地产的替代进行了测度。本文设计的资产替代测度方法与以往文献使用的替代弹性系数方法相比,有两个优势,一是利用本文设计的方法测度出来的资产替代与替代只改变某种资产的规模,但不改变资产总规模的本质相符,而如果用替代弹性系数很难做到这一点；二是利用本文设计的方法测度的资产替代囊括了各种原因引起的资产替代,而不像以往文献那样只测度收益率或使用者成本引起的资产替代,比以往文献测度的替代更加全面。文中的资产替代定义、资产替代理论模型的推导以及资产替代测度方法设计都体现了本文的创新性。
第四章对我国居民部门资产替代测度得出的主要结论有：1.储蓄存款与其他资产是替代关系,且储蓄存款单位变化对房地产的替代程度大于对股票的替代程度；2.房地产与股票是互补关系,且单位房地产变化引起的股票的补充变化程度大于单位股票变化引起的房地产的补充变化程度。
第五章主要是对第四章测度的资产替代结果进行总结分析,为更好的描述资产替代强度的动态变化,在本章还构建了资产替代综合指数体系,该指数体系的构建也是本文的创新点之一。
第六章对资产替代原因进行了实证研究,得到了一些具有政策性指导意义的结论,比如CPI和利率的变动对居民购买房地产的影响大于对其购买股票的影响等等。
第七章对前六章研究中发现的问题进行总结,并提出建议。本文研究发现居民部门资产替代存在的主要问题有：1.储蓄存款依然是居民的主要资产选择,资产多样化尚未实现,这将不利于股市稳定；2.居民对房地产的需求主要还是自住需求,需求刚性较强,房价调控任务艰巨；3.房地产已经表现出一定的投资需求,只是其投资属性不如股票强；4.当前房地产价格已经高到一定水平,将导致居民增加储蓄或增加股票持有量,这将不利于扩大内需和股市稳定,遏制房地产价格增速势在必行；5.我国居民对股票需求具有较明显的投机性；6.通货膨胀率和房地产价格的提高,增加了我国房地产价格上涨压力和股市的波动等等。
In recent years, the fast development of China's financial and real estate offers a variety of assets selection for the large number of saveings held by residents of China. How to distribute these savings between various financial assets and real estate asset? What are the relationships among these assets? Which reason causes residents to substitute one asset with another? The research of this paper on the residents assets substitutability will answer these questions. And the answers of these questions will not only help us to understand the mechanism of changes in financial assets scale, but also have a great significance on our country's maintaining financial stability and controling of real eatate price growth.
The research of this paper on the residents assets substitutability can be devided into two parts, the first is research on the measure of assets substitutability and the second is the reason research on assets substitutability. Chapter II is the literature reviews on assets substitutability. Chapter III is the theory research on assets substitutability, incluing the definition of assets substitutability and the properties of assets substitutability, etc. Chapter IV is the measure of our country's residents asset substitutability, including the derivation of asset substitutability theoretical model, the method of measure asset substitutability and the empirical research of our country's household sector asset substitutability. Chapter V is the construction of synthesize index on character analysising of oue country's household sector asset substitutability, it is a summary of chapter IV's empirical results. Chapter VI is the causes analysising of asset substitutability, including classfied assets substitutability reasons and total size of assets substitutability reasons. Chapter VII is the problems summary and policy recommendations.
Via the summary of chaper II, there is a common defect in the existing literatures in the assets substitutability measurement which is that equate assets with ordinary commodities. The existing literatures only studied on the substitutability leaded by the changes of returns or user costs, and ignored other factors which also have impacts on assets substitutability such as relative risk and relative liquidity of the assets and so on. So the measurements of assets substitutability in existing literatures were not comprehensive. And in this paper a new measure approach will be constructed which will overcome this defect. In chapter IV, inspired by the theoretical model of Chetty (1969), a new theoretical model of assets substitutability is self-derived. Then based on the definition of assets substitutability in chapter III, a new measure approach of assets substitutability is designed by the coefficients in theoretical models. And then empirical analysis is done among savings, stocks and real estate asset use data of our country's from1st Quarter1999to3rd Quarter2009. The measurement approach of assets substitutability in this paper has two advantages compared with other methods. The first one is the result satisfied the law of total assets still have the same size. And this is consistent with the essential meaning of substitutability. But the substitie elasticity is difficult to do this. The second is that the method in this paper measure assets subtititutability caused by all reasons, which is different from the existing method which measure the substitutability caused by the changes of returns or user costs only. So it is more comprehensive. The definition of assets substitutability, the derivation of theoretical model on assets substitutability and the design of assets substitutability measurement, all of these embody the innovation ideas of this paper.
The main conclusions after the measuring our country's household sector assets substitutability in chapter IV are as follows. First, saving substitutes other assets, and the unit changes of savings substitutability in real estate asset is greater than stock; Second, there is a complementary relationship between real estate asset and stocks, and the additional changes of stock asset caused from unit changes of real estate asset is larger than the contrary.
Chapter V is a summary of chapter IV's assets substitutability empirical results. In order to have a better describe of the dynamic changes on assets substitutability's intensity, in this chapter a synthesize index system of assets substitutability is constructed, and also this is one of this innovations.
Chapter VI is empirical research on the reasons of assets substitutability, then obtain some guidance of policy conclusions. Such as the changes of CPI or rate will lead a greater impact on the residents's purchasing of real estate asset than purchasing of the stock asset.
Chapter VII is the summary of the first six chapters and some recommendations are made. The study of this paper has found some problems on household sector assets substiton just as follows. First, Savings is still the main choice of residents's asset selection, the diversification of assets has not been achieved and this will helpless for the stablitity of the stock market; Second, the real estate needs of the residents are mainly home use, demand stronger rigidity, So the real estate price control task is arduous; Third, the real estate asset has shown some investment demand property, but it's investment demand property still weaker than stock; Fourth, the current real estate prices have been achieved a certain high level, this will lead residents to choice savings or stocks which is helpless for domestic demand expand and the stable of stock market, it is imperative to curb the fast growth of property prices; Fifth, the stocks demand of our country's residents is obvious speculative; Sixth, inflation and real estate price increase will lead a growth pressure in real estate asset and stock market fluctuations, etc.
引文
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2 Barr. D. G. and Cuthbertson. K. An interdependent error feedback model of UK company sector asset demands. Oxford Economic Papers. Vol.43.596-611.1991b.
3Barr. D. G. and Cuthbertson. K. The demand for financial assets held in the UK by the overseas sector. Manchester School, Vol.62.1-20.1994.
4 Dinenis. E. and Scott. A. What determines institutional investment? An examination of UK pension funds in the 1980s. Oxford Economic Papers. Vol.45.292-310,1993.
5 David Blake. Modelling the Composition of Personal Sector Wealth in the UK. Applied Financial Economics, Vol.14, 611-630.2004.
6 GALLANT, A. R. On the bias in flexible functional forms and an essentially unbiased form:the Fourier flexible form. Journal of Econometrics. Vol.15.211-45,1981.
7 FISHER, D. Money-demand variability:a demand-systems approach. Journal of Business Economic Statistics, Vol.10, 143-51,1992.
8 BARNETT, W. A. and JONAS. A. The Muntz-Szatz demand system:an application of a globally wellbehaved series expansion. Economic Letters. Vol.11.337-42.1983.
9 BARNETT, W. A. and YUE, P. Semiparametric estimation of the asymptotically ideal model:the AIM demand system. Advances in Econometrics, ed. G. Rhodes, Vol.7,229-51,1988.
10 Drake, Leigh, Adrian R. Fleissig, and James L. Swofford. A Semi Nonparametric Approach to Neoclassical Consumer Theory and Demand for UK Monetary Assets. Economica, Vol.70,99-120,2003.
11 VAR1AN, H. R. The nonparametric approach to demand analysis. Econometrica, Vol.50,945-73,1982. ——Nonparametric tests of consumer behaviour. Review of Economic Studies, Vol.50,99-110,1983.
1 Drake, Leigh, Adrian R. Fleissig, and Andy Mullineux. Are "risky assets" substitutes for "monetary assets"? Economic Inquiry, Vol.37,510-526,1999.
1《货币金融学》(第四版),米什金著,中国人民出版社,1998年,P90。
2 Giliberto, S. M. Equity real estate investment trusts and real estate returns, Jounal of Real Estate Research,1990,5,259-63.
3 Seek, D., The substitutability of real estate assets. Real Estate Economics,1996,24,75-95.
2彭兴韵,《金融学原理》,三联书店,2008年,P282。
3张亦春、邱崇明,《开放进程中的中国货币政策研究——基于“入世”背景》,北京大学出版社,2008年,P91。
1Barnett, William A., and Yi Liu. "The CAPM:Extended Divisia Monetary Aggregate with Exact Tracking under Risk/ Working Paper No.195, Department of Economics, Washington University, St. Louis, Mo.,1995.
1Barnett, William A., Mark C. Jensen, and Yi Liu.'"The CAPM Risk Adjustment for Exact Aggregation over Financial Assets." Macroeconomic Dynamics, VOL.1(2) May 1997,485-512.
1对CCAPM的介绍参考了傅强、唐勇的《基于CCAPM的实物期权定价》,财会月刊,2009.10
2Barnett, William A. "The User Cost of Money." Economics letters,1(2),1978,145-149.
3Barnett. William A., and Yi Liu."The CAPM:Extended Divisia Monetary Aggregate with Exact Tracking under Risk." Working Paper No.195, Department of Economics, Washington University, St. Louis, Mo.,1995.
4Barnett, William A., Mark C. Jensen, and Yi Liu. "The CAPM Risk Adjustment for Exact Aggregation over Financial Assets." Macroeconomic Dynamics, VOL.1 (2) May 1997,485-512.
1 V. Mukerjee, "A Generalized S.M.A.C. Function with Constant Ratios of Elasticity of Substitution," Rev. Econ. Stud., Oct. 1963,233-236, Vol 30
2 P.J. Dhrymes And M. Kurz, "Tech-nology and Scale in Electricity Generation," Ecomometrica, July 1964,287-315, Vol 32
[1]Aivazian, Varouj A., Callen, Jeffery L., Krinsky, Itzhak and Kwan, Clarence C.V. An empirical portfolio analysis of financial asset substitutability: The case of the US household sector[J], Quarterly Review of Economics and Business,1986, Vol.26, P47-65.
[2]Leigh Drake and K. Alec Chrystal. Company sector liquid asset holdings. Journal of Money, Credit and Banking[J],1992, Vol.24, P83-97.
[3]Angus Deaton and John Muellbauer. An Almost Ideal Demand System[J], The American economic Review,1980, Vol.70, P312-26.
[4]Apostolos Serletis and A. Leslie Robb. Divisia Aggregation and substitutability among monetary assets[J], Journal of Money, Credit, and Banking.1986, Vol.18, P430-446.
[5]Bamett, William A. Economic Monetary Aggregates:An Application of Aggregation and Index Number Theory [J]. Journal of Econometrics.1980, Vol.14, P11-48.
[6]Bamett, William A., Douglas Fisher, and Apostolos Serletis. Consumer Theory and the Demand for Money[J], Journal of Economic Literature,1992, Vol.30, P2086-119.
[7]Bamett, William S. The User Cost of Motiey[J], Economic Letters,1978, P145-49.
[8]Bamett, W. A. and JONAS, A. The Muntz-Szatz demand system:an application of a globally wellbehaved series expansion[J], Economic Letters,1983, Vol.11, P337-42.
[9]Bamett, W. A. and YUE, P. Semiparametric estimation of the asymptotically ideal model: the AIM demand system[J], Advances in Econometrics, ed. G. Rhodes,1988, Vol.7, P229-51.
[10]Barnett, William A. and Yi Liu. The CAPM:Extended Divisia Monetary Aggregate with Exact Tracking under Risk. Working Paper No.195, Department of Economics, Washington University, St. Louis, Mo.,1995.
[11]Barnett, William A. The User Cost of Money[J], Economics letters,1978, P145-149.
[12]Barnett, William A., Mark C. Jensen and Yi Liu. The CAPM Risk Adjustment for Exact Aggregation over Financial Assets[J], Macroeconomic Dynamics,1997, Vol.1(2), P485-512.
[13]Barnett, William A.and P.Yue.Semiparametric Estimation of the Asymptotically Ideal Model:The AIM Demand System[J], Advances in Econometrics,1988, Vol.7, P229-251.
[14]Barr, D. G. and Cuthbertson, K. Neoclassical consumer demand theory and the demand for money[J], Economic Journal,1991, Vol.101, P855-76.
[15]Barr, D. G. and Cuthbertson, K. An interdependent error feedback model of UK company sector asset demands, Oxford Economic Papers,1991b, Vol.43, P596-611.
[16]Barr, D. G. and Cuthbertson, K. Neoclassical consumer demand theory and the demand for money[J], Economic Journal,1991a, Vol.101, P855-76.
[17]Barr, D. G. and Cuthbertson, K. The demand for financial assets held in the UK by the overseas sector. Manchester School,1994, Vol.62,1-20.
[18]Baumol "The Transactions Demand for Cash:An Inventory Theoretic Approach," Quart. J. Econ. Nor.1952,66(4), P544-56.
[19]Brainard and Tobin. "Pitfalls in Financial Model Building." Amer. Econ. Rev., May 1968, 58(2), P99-122.
[20]Carl F.Christ."Interest Rates and'Portfolio Selection'Among Liquid Assets in the U.S.," in Measurement in economics:Studies inmathematical economics and econometrics in memory of Yehuda Grunfeld. Stanford Stanford University Press,1963, P201-18.
[21]Chetty, V. K. On Measuring the Nearness of Near-Moneys [J], American Economic Review, June 1969,59(3), P270-81.
[22]Christensen. Laurits R. Dale W, Jorgenson, and Laurence J. Lau. Transccndentai Logarithmic Utility Functions[J], American Economic Review,1975, Vol.65, P367-83.
[23]Cooper. "Economic Forecasting Model of the Financial Sector of U.S. Households," unpublished paper. International Institute of Management, Berlin,1971.
[24]Dale J. Knapp and Farrokh Nourzad. The Substitutability of Equities and Consumer Durable Goods:A Portfolio-Choice Approach[J], Southern Economic Journal,1994, Vol.60, P612-21.
[25]David Blake. Modelling the Composition of Personal Sector Wealth in the UK[J], Applied Financial Economics,2004, Vol.14, P611-630.
[26]Deaton A.and J. Muellbauer. An Almost Ideal Demand System[J],.The American Economic Review,1980, Vol.70, P312-32.
[27]Dinenis, E. and Scott, A. What determines institutional investment? An examination of UK pension funds in the 1980s. Oxford Economic Papers, Vol.45, P292-310,1993.
[28]Drake, L. The substitutability of financial assets in the UK and the implications for monetary aggregation[J], Manchester School of Economics and Social Studies,1992, Vol.60, P221-48.
[29]Drake, Leigh, Adrian R. Fleissig, and Andy Mullineux. Are "risky assets" substitutes for "monetary assets"?[J], Economic Inquiry,1999, Vol.37, P510-526.
[30]Drake, Leigh, Adrian R. Fleissig, and James L. Swofford. A Semi Nonparametric Approach to Neoclassical Consumer Theory and Demand for UK Monetary Assets[J], Economica,2003, Vol.70, P99-120.
[31]Edgar L. Feige and Douglas K. Pearce. The Substitutability of Money and Near-Monies:A Survey of the Time-Series Evidence[J], Journal of Economic Literature,1977, Vol.15, P439-69.
[32]Ewis, N. A. and Fisher, D. The translog utility function and the demand for money in the United States. Journal of Money [J], Credit and Banking,1984, Vol.16, P34-52.
[33]Feige. The demand for liquid assets:A temporal cross-section analysis. Englewood Cliffs, N.J.:Prentice Hall,1964.
[34]Feige, E. I. And Douglas K.P. The Substitutability of Money and Near-monies:A Survey of the Time-Series Evidence[J], Journal of Economic Literature,1977, Vpl.15, P439-70.
[35]Feldslein. M, and J, H. Stock. Measuring Money Growth when Financial Markets are changing[J], Journal of Monetary Economics,1996, Vol.37, P3-27.
[36]FISHER, D. Money-demand variability:a demand-systems approach[J], Journal of Business Economic Statistics,1992, Vol.10, P143-51.
[37]Frank De Leeuw. "A Model of Financial Behavior," in The Brookings quarterly model of the United States. Gary Fromm. Lawrence R. Klein. And Edwin Kuh.Amsterdam:Northholland: Chicago:Rand_Mcnally, P465-530,1965.
[38]GALLANT, A. R. On the bias in flexible functional forms and an essentially unbiased form: the Fourier flexible form. Journal of Econometrics, Vol.15,211-45,1981.
[39]Galper. Alternative Interest Rates and the Demand for Money:Comment[J], American Economic Review,1969, Vol.59(3), P401-407.
[40]Giliberto, S. M.. Equity real estate investment trusts and real estate returns[J], Jounal of Real Estate Research,1990, Vol.5, P259-63.
[41]Goldfeld. The Demand for Money Rewisited[J], Brookings Pap. Econ. Act.,1973, (3), P577-638.
[42]Goldfeld. Commercial band behavior and economic activity. Amsterdam:North-Holland, 1966.
[43]Gramlich and Kalchbrenner. A constrained estimation approach to the demand for liquid assets. Sepcial Studies Paper No.3, Division of Research and Statistics. Washington:Federal Reserve Board,1970.
[44]Gurley, John G. and Edward S. Shaw. Financial Aspects of Economic development[J], The American Economic Review,1955, P515-38.
[45]Hamburger, M. J. The Demand for Money by Households, Money Substitutes and Monetary Policy[J], Journal of Political Economy,1966, P600-23.
[46]Hamburger, M. J. The Household Demand for Financial Assets[J], Econometrica,1968, P97-118.
[47]Hamburger, M. J. Alternative Interest Rates and The Demand for Money:Comment[J], The American Economic Review,1969, P407-411.
[48]Hosek, William R. and Zahn, Frank. A comparison of aggregate measures of the real rate of interest and the realrate of return on capital[J], Quarterly Review of Economics and Business, 1984, Vol.24, P58-71.
[49]Hosek, William R. and Zahn, Frank. An alternative approach to the estimation of the real rate of interest[J], Jounal of Macroeconomics,1985, Vol.7, P211-222.
[50]Irwin Friend "The Effects of Monetary Policies on Nonmonetary Financial Institutions and Capital Markets " in Private capital markets.Preared for the Commission on Money and Credit. Englewood Cliffs, N.J.:Prentice_Hall,1964, P1-172.
[51]James M. McGibany and Farrokh Nourzad. The Substitutability of Real Capital and Financial Assets[J], Applied Economics,1988, Vol.20, P1445-1451.
[52]Johnson, Harry G. Monetary Theory and Plicy[J], America Economic Review,1962, Vol. 52(3), P335-84.
[53]Leigh Drake and Terence C. Mills. A new empirically weighted monetary aggregate for the united states [J], Economic Iquiry,2005, Vol 43, P138-157.
[54]Manser. Marilyn E. Elasticities of Demand for Food:An Analysis Using Non-Additive Utility Functions Allowing for Habit Formation[J], Southern Economic Journal,1976, Vol.43, P879-91.
[55]P.J. Dhrymes and M. Kurz. Tech-nology and Scale in Electricity Generation [J], Ecomometrica,1964, Vol.32, P287-315.
[56]Seck, D..The substitutability of real estate assets[J], Real Estate Economics,1996, Vol.24, P75-95.
[57]Teigen. "An Aggregated Quarterly Model of the U.S. Monetary Sector 1953-1964," in Targets and indicators of monetary policy. By Karl Brunner. San Francisco:Chandler,1969, P175-218.
[58]Tobin "The Interest Elasticity of the Transactions Demand for Cash," Rev. Econ. Statist., Aug 1956, Vol.38(3), P241-47.
[59]Tong Hun Lee. Alternative Interest Rates and the Demand for Money:Reply[J], Amer. Econ. Rev., June 1969, Vol.59(3), P412-18.
[60]Tong Hun Lee. Alternative Interest Rates and the Demand for Money:The Empirical Evidence[J], Amer.Econ.Rev.,1967, Vol.57(5), PI 168-81.
[61]Tong Hun Lee. Substitutability of Non-Bank Intermediary Liabilities for Money:The Empirical Evidence [J], J.finance,1966, Vol.21, P441-57.
[62]V. Mukerjee. A Generalized S.M.A.C. Function with Constant Ratios of Elasticity of Substitution[J], Rev. Econ. Stud.,1963, Vol 30, P233-236.
[63]VARIAN, H. R. The nonparametric approach to demand analysis[J], Econometrica,1982, Vol.50, P945-73.
[64]VARIAN, H. R. Nonparametric tests of consumer behaviour[J], Review of Economic Studies,1983, Vol.50, P99-110.
[65]VARIAN, H. R. The nonparametric approach to demand analysis[J], Econometrica,1982, Vol.50, P945-73.
[66]W.L.Silber. Portfolio behavior of financial institutions. New York:Holt, Rinehart and Winston,1970.
[67]傅强、唐勇.《基于CCAPM的实物期权定价》.财会月刊.2009.10
[68]米什金.《货币金融学》(第四版).中国人民出版社.1998.P90
[69]彭兴韵.《金融学原理》.三联书店.2008.P282
[70]张亦春、邱崇明.《开放进程中的中国货币政策研究——基于“入世”背景》。北京大学出版社.2008.P91
[71]彭亮、杨宇舟,消费资本资产定价理论述评,金融经济,2007.22
[72]拉个纳·弗里希、乌拉夫·比尔考特,《弗里希文萃》,首都经济贸易大学出版社,王庆新、钱勇等译,2006
1Johnson,Hary G.Monetary Thcoy and PlicyAmerica Economic Rcview-June.1962.52(3),P P.335-84.
1Irwin Friend "The Effects of Monetary Policies on Nonmonetary Financial Institutions and Capital Markets " in Private capital markets.Preared for the Commission on Money and Credit.Englewood Cliffs,N.J..:Prentice_Hall,1964, pp.1-172.
2 Carl F.Christ "Interest Rates and'Portfolio Selection'Among Liquid Assets in the U.S.," in Measurement in economics: Studies inmathematical economics and econometrics in memory of Yehuda Grunfeld.Stanford:Stanford University Press, 1963, pp.201-18
3 Tong Hun Lee "Substitutability of Non-Bank Intermediary Liabilities for Money: The Empirical Evidence," J.finance, Sept. 1966,21, pp.441-57.
4 Tong Hun Lee "Alternative Interest Rates and the Demand for Money:The Empirical " Evidence. Amer.Econ.Rev., Dec.1967, 57(5), pp.1168-81
1 Hamburger. "Alternative Interest Rates and the Demand for Money: Comment." Amer. Econ. Rev., June 1969,59(3). pp. 407-12
2 long Hun Lee, "Alternative Interest Rates and the Demand for Money:Reply,'" Amer. Econ. Rev., June 1969,59(3), pp. 412-18
J Galper, "Alternative Interest Rates and the Demand for Money:Comment," Amer. Econ. Rev., June 1969,59(3), pp.401-07
4 Gramlich and Kalchbrenner A constrained estimation approach to the demand for liquid assets. Sepcial Studies Paper No.3, Division of Research and Statistics. Washington:Federal Reserve Board,1970.
5 Brainard and Tobin, "Pitfalls in Financial Model Building." Amer. Econ. Rev.. May 1968,58(2), pp.99-122.
6 Cooper "Economic Forecasting Model of the Financial Sector of U.S. Households," unpublished paper, International Institute of Management, Berlin,1971.
1Baumol "The Transactions Demand for Cash:An Inventory Theoretic Approach,"Quart. J. Econ,. Nor.1952.66(4), pp. 544-56.
2 Tobin. "The Interest Elasticity of the Transactions Demand for Cash," Rev. Econ. Statist., Aug 1956,38(3), pp.241-47.
'Frank De Leeuw. "A Model of Financial Behavior," in The Brookings quarterly model of the United States. Gary Fromm. Lawrence R. Klein. And Edwin Kuh.Amsterdam:Northholland; Chicago:Rand_Mcnally,1965. pp.465-530.
4 Goldfeld. Commercial band behavior and economic activity. Amsterdam:North-Holland,1966.
5 W.L.Silber. Portfolio behavior of financial institutions. New York:Holt,Rinehart and Winston,1970.
1Teigen "An Aggregated Quarterly Model of the U.S. Monetary Sector,1953-1964," in Targets and indicators of monetary policy.By Karl Brunner. San Francisco:Chandler,1969,pp.175-218.
2Goldfeld.“The Demand for Money Rewisited，”Brookings Pap. Econ. Act.,1973, (3),pp.577-638.
3Feige, E. I. And Douglas K.P.. The Substitutability of Money and Near-monies: A Survey of the Time-Series Evidence. Journal of Economic Literature,15, June 1977, pp439-70.
4 Feige The demand for liquid assets: A temporal cross-section analysis. Englewood Cliffs,N.J.:Prentice_Hall,1964.
1 Chetty, V, Karuppan. On Measuring the Nearness of the Near-Moneys. American Economic Review. Vol.59 (June 1969), 270-81.
1James M. McGibany and Farrokh Nourzad. The Substitutability of Real Capital and Financial Assets. Applied Economics. Vol. 20,1445-1451,1988.
2 Dale J. Knapp and Farrokh Nourzad. The Substitutability of Equities and Consumer Durable Goods: A Portfolio-Choice Approach. Southern Economic Journal, Vol.60,612-21,1994.
1DeatonA.and J. Muellbauer. An Almost Ideal Demand System.The American Economic Review. Vo.l70. No.3,312-32,1980.
1 Barr, D. G. and Cuthbertson, K.Neoclassical consumer demand theory and the demand for money.Economic Journal, Vol.101, 855-76,1991a.
2 Barr, D. G. and Cuthbertson, K. An interdependent error feedback model of UK company sector asset demands.Oxford Economic Papers, Vol.43,596-611,1991b.
3 Barr, D. G. and Cuthbertson, K. The demand for financial assets held in the UK by the overseas sector. Manchester School, Vol.62,1-20,1994.
4 Dinenis, E. and Scott, A. What determines institutional investment? An examination of UK pension funds in the 1980s.Oxford Economic Papers, Vol.45,292-310,1993.
5 David Blake. Modelling the Composition of Personal Sector Wealth in the UK. Applied Financial Economics, Vol.14, 611-630,2004.
1 Christensen, Laurits R,, Dale W, Jorgenson, and Lawrence J, Lau. Transcendental Logarithmie Utility Functions. American Economic Review, Vol.65.367-83,1975.
2 Manser. Marilyn E. Elasticities of Demand for Food: An Analysis Using Non-Additive Utility Functions Allowing for Habit Formation. Southern Economic Journal 43,July 1976,879-91.
3 EWIS, N. A. and FISHER, D. The translog utility function and the demand for money in the United States. Journal of Money, Credit and Banking, Vol.16,34-52,1984.
1 Barnett, William A.and P.Yue.Semiparametric Estimation of the Asymptotically Ideal Model:The AIM Demand System, in Advances in Econometrics, vol.7,1988,229-251.
1 Angus Deaton and John Muellbauer. An Almost Ideal Demand System.The American economic Review.Vol.70,312-26,1980.
2 EWIS, N. A. and FISHER, D. The translog utility function and the demand for money in the United States. Journal of Money, Credit and Banking, Vol.16,34-52,1984.
3 APOSTOLOS SERLETIS and A. LESLIE ROBB. Divisia Aggregation and substitutability among monetary assets. Journal of Money. Credit and Banking,Vol.18,430-446.1986.
4 DRAKE, L. The substitutability of financial assets in the UK and the implications for monetary aggregation. Manchester School of Economics and Social Studies, Vol.60,221-48,1992.
1Barr. D. G. and Cuthbertson. K. Neoclassical consumer demand theory and the demand for money.Economic Journal, Vol. 101.855-76.1991a.
2 Barr. D. G. and Cuthbertson. K. An interdependent error feedback model of UK company sector asset demands. Oxford Economic Papers. Vol.43.596-611.1991b.
3Barr. D. G. and Cuthbertson. K. The demand for financial assets held in the UK by the overseas sector. Manchester School, Vol.62.1-20.1994.
4 Dinenis. E. and Scott. A. What determines institutional investment? An examination of UK pension funds in the 1980s. Oxford Economic Papers. Vol.45.292-310,1993.
5 David Blake. Modelling the Composition of Personal Sector Wealth in the UK. Applied Financial Economics, Vol.14, 611-630.2004.
6 GALLANT, A. R. On the bias in flexible functional forms and an essentially unbiased form:the Fourier flexible form. Journal of Econometrics. Vol.15.211-45,1981.
7 FISHER, D. Money-demand variability:a demand-systems approach. Journal of Business Economic Statistics, Vol.10, 143-51,1992.
8 BARNETT, W. A. and JONAS. A. The Muntz-Szatz demand system:an application of a globally wellbehaved series expansion. Economic Letters. Vol.11.337-42.1983.
9 BARNETT, W. A. and YUE, P. Semiparametric estimation of the asymptotically ideal model:the AIM demand system. Advances in Econometrics, ed. G. Rhodes, Vol.7,229-51,1988.
10 Drake, Leigh, Adrian R. Fleissig, and James L. Swofford. A Semi Nonparametric Approach to Neoclassical Consumer Theory and Demand for UK Monetary Assets. Economica, Vol.70,99-120,2003.
11 VAR1AN, H. R. The nonparametric approach to demand analysis. Econometrica, Vol.50,945-73,1982. ——Nonparametric tests of consumer behaviour. Review of Economic Studies, Vol.50,99-110,1983.
1 Drake, Leigh, Adrian R. Fleissig, and Andy Mullineux. Are "risky assets" substitutes for "monetary assets"? Economic Inquiry, Vol.37,510-526,1999.
1《货币金融学》(第四版),米什金著,中国人民出版社,1998年,P90。
2 Giliberto, S. M. Equity real estate investment trusts and real estate returns, Jounal of Real Estate Research,1990,5,259-63.
3 Seek, D., The substitutability of real estate assets. Real Estate Economics,1996,24,75-95.
2彭兴韵,《金融学原理》,三联书店,2008年,P282。
3张亦春、邱崇明,《开放进程中的中国货币政策研究——基于“入世”背景》,北京大学出版社,2008年,P91。
1Barnett, William A., and Yi Liu. "The CAPM:Extended Divisia Monetary Aggregate with Exact Tracking under Risk/ Working Paper No.195, Department of Economics, Washington University, St. Louis, Mo.,1995.
1Barnett, William A., Mark C. Jensen, and Yi Liu.'"The CAPM Risk Adjustment for Exact Aggregation over Financial Assets." Macroeconomic Dynamics, VOL.1(2) May 1997,485-512.
1对CCAPM的介绍参考了傅强、唐勇的《基于CCAPM的实物期权定价》,财会月刊,2009.10
2Barnett, William A. "The User Cost of Money." Economics letters,1(2),1978,145-149.
3Barnett. William A., and Yi Liu."The CAPM:Extended Divisia Monetary Aggregate with Exact Tracking under Risk." Working Paper No.195, Department of Economics, Washington University, St. Louis, Mo.,1995.
4Barnett, William A., Mark C. Jensen, and Yi Liu. "The CAPM Risk Adjustment for Exact Aggregation over Financial Assets." Macroeconomic Dynamics, VOL.1 (2) May 1997,485-512.
1 V. Mukerjee, "A Generalized S.M.A.C. Function with Constant Ratios of Elasticity of Substitution," Rev. Econ. Stud., Oct. 1963,233-236, Vol 30
2 P.J. Dhrymes And M. Kurz, "Tech-nology and Scale in Electricity Generation," Ecomometrica, July 1964,287-315, Vol 32
[1]Aivazian, Varouj A., Callen, Jeffery L., Krinsky, Itzhak and Kwan, Clarence C.V. An empirical portfolio analysis of financial asset substitutability: The case of the US household sector[J], Quarterly Review of Economics and Business,1986, Vol.26, P47-65.
[2]Leigh Drake and K. Alec Chrystal. Company sector liquid asset holdings. Journal of Money, Credit and Banking[J],1992, Vol.24, P83-97.
[3]Angus Deaton and John Muellbauer. An Almost Ideal Demand System[J], The American economic Review,1980, Vol.70, P312-26.
[4]Apostolos Serletis and A. Leslie Robb. Divisia Aggregation and substitutability among monetary assets[J], Journal of Money, Credit, and Banking.1986, Vol.18, P430-446.
[5]Bamett, William A. Economic Monetary Aggregates:An Application of Aggregation and Index Number Theory [J]. Journal of Econometrics.1980, Vol.14, P11-48.
[6]Bamett, William A., Douglas Fisher, and Apostolos Serletis. Consumer Theory and the Demand for Money[J], Journal of Economic Literature,1992, Vol.30, P2086-119.
[7]Bamett, William S. The User Cost of Motiey[J], Economic Letters,1978, P145-49.
[8]Bamett, W. A. and JONAS, A. The Muntz-Szatz demand system:an application of a globally wellbehaved series expansion[J], Economic Letters,1983, Vol.11, P337-42.
[9]Bamett, W. A. and YUE, P. Semiparametric estimation of the asymptotically ideal model: the AIM demand system[J], Advances in Econometrics, ed. G. Rhodes,1988, Vol.7, P229-51.
[10]Barnett, William A. and Yi Liu. The CAPM:Extended Divisia Monetary Aggregate with Exact Tracking under Risk. Working Paper No.195, Department of Economics, Washington University, St. Louis, Mo.,1995.
[11]Barnett, William A. The User Cost of Money[J], Economics letters,1978, P145-149.
[12]Barnett, William A., Mark C. Jensen and Yi Liu. The CAPM Risk Adjustment for Exact Aggregation over Financial Assets[J], Macroeconomic Dynamics,1997, Vol.1(2), P485-512.
[13]Barnett, William A.and P.Yue.Semiparametric Estimation of the Asymptotically Ideal Model:The AIM Demand System[J], Advances in Econometrics,1988, Vol.7, P229-251.
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