摘要
消费需求增长乏力一直以来都是制约我国经济增长的瓶颈之一,特别是金融危机以来,我国出口遭受严重冲击,扩大内需就更成为重中之重。在消费需求函数中,资产价值是影响消费支出的重要变量,而房地产和股票又是居民持有资产中的重要组成部分,因而研究房地产和股票资产价格变动对消费支出所带来的影响,对于通过调控资本市场促进经济增长有重要意义。
本文在总结和借鉴前人理论分析后,对房地产和股票的资产特性,两个市场的财富效应传导机制等进行研究。并利用1999年1季度至2009年2季度的消费总额,城镇居民可支配收入,上证指数以及商品房平均销售价格的季度数据作为实证研究的基础,运用基于VAR模型的单位根检验,协整检验并建立向量误差修正模型以及脉冲响应函数模型,得到以下结论:我国房地产市场的财富效应很大,长期边际消费倾向(MPC)达到0.50,房地产行业的繁荣对于带动经济增长发挥了积极作用;相较而言,我国股票市场的财富效应相当微弱,长期边际消费倾向(MPC)仅为0.09。
本文根据实证结果,基于中国房地产和股票市场自身发展的特点,探析了这种差异性的成因,并为资本市场财富效应的充分发挥提出了相关的政策建议。
Weak consumer demand has long been a bottleneck of China’s economic growth. Expanding domestic demand has been regarded as the country’s top priority since the global financial crisis severely impacted China’s exports. In the Consumer Demand Function, the value of assets serves as a significant variable to affect the consumer expenditure, while real estate and shares constitute a great portion of the assets hold by residents. Thus a study of the effect on consumer expenditure brought about by the fluctuating prices of real estate and shares will be meaningful to the promotion of economic growth by regulating and controlling the capital market.
The thesis, beginning with a summary and examination of previous theories and analyses, studies quantitatively the characteristics of the assets in real estate and stock markets and the transmitting mechanism of wealth effect between the two markets. Grounded upon the seasonal total consumption from the first season of 1999 to the second season of 2009, disposable income of urban residents, Shanghai Stock Index and seasonal averages of commercial house prices, the thesis applies Unit Root Test, Cointegration, Vector Error Correction and Impulse Responses Function based upon VAR model and concludes the wealth effect of China’s real estate market is large, with its long-term Marginal Propensity of Consumption (MPC) reaching 0.50, and contributes to the economic growth while the wealth effect the stock market is fairly weak, of which the long-term Marginal Propensity of Consumption is 0.09.
According to the above evidence, the thesis explains, based upon the characters of China’s real estate and stock markets, the cause of the disparity and puts forward policy-making suggestions on the exertion of wealth effect.
引文
[1] Bostic,R.,Gabriel,S.,Painter,G..Housing wealth,financial wealth,and consumption:New evidence from micro data.Regional Science and Urban Economics,2009,39:79–89
[2] Campbell,Y.,Cocco,F..How do house prices affect consumption? Evidence from micro data.Journal of Monetary Economics,2002,54:591–621
[3] Catte,S.,Pietro,A.,Girouard,N.,et al.House Markets, Wealth and The Business Cycle.OECD Economics Department Working Papers,2004.1-32
[4] Cho,S..Evidence of a stock market wealth effect using household level data.Economics Letters,2006,90:402–406
[5] Fisher,Y.,Otto,G.,Graham,M..The response of Australian consumption to housing wealth.Journal of Macroeconomics,2009,10:79–95
[6] Flavin,C.,Marjorie,A.. The Adjustment of Consumption to Changing Expectations about Future Income.Journal of Political Economy,1981,89:974-1009
[7] Friedman,M.. A Theory of the Consumption Function.Princeton University Press.Princeton :1957.1-361
[8] Funke,N..Is there a stock market wealth effect in emerging markets.Economics Letters,2004,83:417–421
[9] Green,R.. Stock prices and house prices in California:new evidence of a wealth effect.Regional Science and Urban Economics,2002,32:775–783
[10] Hall,E..Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence.Journal of Political Economy,1978,6:971-987
[11] Ludvigson,S.,Steindel,C..How important is the stock market effect on consumption.FRBNY Economic Policy Review,1999,5:29- 51
[12] Ludwig,A.,S1ok,T..The Impact of Stock Prices and House Prices onConsumption in OECD Countries .IMF Working Paper,2001.1-36
[13] Modigliani,Ando,Albert,et al.The Life Cycle Hypothesis of Saving: Aggregate Implications and Tests.American Economic Review,1963,53:55-84
[14] Paiella,M..Does wealth affect consumption? Evidence for Italy. Journal of Macroeconomics,2007,29: 189–205
[15] Phang,S..House prices and aggregate consumption:do they move together? Evidence from Singapore.Journal of Housing Economics,2004,13:101–119
[16] Samuel,B.,Bulmash,R..A new paradigm:the wealth effect of the stock market on Consumption , in a context of interacting bio-systems . Journal of Socio-Economics,2002,31:75–100
[17]陈红,田农.中国股市财富效应:理论与实证.广东金融学院学报,2007,22:76-81
[18]丁攀,胡宗义.股价与房价波动对居民消费影响的动态研究.经济纵横,2008,15:106-109
[19]邓淇中,周丽.基于VAR模型的湖南房地产财富效用实证分析.地方经济,2009,14:122-123
[20]高建宁.我国证券市场“财富效应”分析.华东经济管理,2000,14:12-13
[21]黄永如.房地产财富效应的行为金融学分析.开放导报,2008,5:36-39
[22]鞠方,周建军,吴佳.房价与股价波动引起财富效应的差异比较.当代经济,2009,5:5-13
[23]刘建江,杨玉娟,袁冬梅.从消费函数理论看房地产财富效应的作用机制.消费经济,2005,2:93-97
[24]卢嘉瑞,朱亚杰.股市财富效应及其传导机制.经济评论,2006,6:36-45
[25]刘建伟.股票与房地产价格的变化对消费的影响.上海金融学院学报,2004,1:48-52
[26]刘丽,刘爱松.房地产市场财富效应实证分析——基于广州市房地产市场的经验证据.价值工程,2008,8:158-161
[27]李学峰,徐辉.中国股票市场财富效应微弱研究.南开经济研究,2003,3:67-72
[28]梁宇峰,冯玉明.股票市场财富效应实证研究.证券市场导报,2000,6:47-52
[29]李振明.中国股市财富效应的实证分析.经济科学,2001,3: 57-61
[30]骆祚炎.近年来中国股市财富效应的实证分析.当代财经,2004,236:10-15
[31]毛定祥.我国股票市场财富效应的实证分析.上海大学学报, 2004,10:218–220
[32]宋勃.房地产市场财富效应的理论分析和中国经验的实证检验:1998-2006.经济科学,2007,5:41-54
[33]唐绍祥,蔡玉程,解梁秋.我国股市的财富效应——基于动态分布滞后模型和状态空间模型的实证检验.数量经济技术经济研究,2008,6:79-90
[34]魏锋.中国股票市场和房地产市场的财富效应.重庆大学学报,2007,2:153-158
[35]邬丽萍.房地产价格上涨的财富效应分析.求索,2006,1:17-30
[36]王子龙,许箫迪,徐浩然.房地产市场财富效应理论与实证研究.经贸财经,2008,12:116-124
[37]杨新松.基于VAR模型的中国股市财富效应实证研究.上海立信会计学院学报,2006,3:40-45
[38]支大林.中国居民资产的财富效应问题研究——基于扩大消费需求的目的.吉林工商学院学报,2008,1:21-27
[39]朱新玲,黎鹏.我国房地产市场财富效应的实证分析.武汉科技大学学报,2006,8:16-19
[40]张云.我国股市“财富效应”传导机制初探.商业研究,2006,239:171-173